In this study, we investigate forecasting performance of various univariate and multivariate models in predicting inflation for different horizons. We design our forecast experiment for the post-oil boom years of 2010-2014 and compare forecasting ability of the different models with that of...

In this paper, we study main problems and practical issues of modeling and forecasting of macroeconomic variables in the national economy. For that, we employ astructural VAR models and estimate interdependencies among different economic variables. Initial data analysis of macroeconomic...

In this study, we estimate a risk-neutral implied probability distribution using American call (put) options on Brent oil futures. For this purpose, we apply three different methodologies: non-parametric approach (kernel density estimation), semi-parametric approach by Shimko (1997), Datta and...

Qarşısına inflyasiya hədəflənməsi (İH) rejiminə keçid məqsədi qoyan mərkəzi banklar həm də müvafiq qiymət indeksinin seçilməsi ilə bağlı qərar verməlidirlər. Bu qərar verilərkən bir sıra meyarlar nəzərə alınır, mövcud qiymət indeksləri arasında "fayda-itki"...

Since independence, currency substitution has drawn considerable attention in the policy circles of the CIS countries, but recently its nature has changed notably. High inflation volatility and fragile economic stability in the early phase of transition induced dollarization as people attempted...

In our study, we model both steady state and short-run dynamics of the important aspects of the national economy using quarterly data for the period 1999Q1-2016Q2. We explicitly model government, money market and external sector, but omit household sector, labor market, wage dynamics and volume...

The CBAR plans to make a transition from the current peg regime where exchange rate acts as a “nominal anchor” to an inflation targeting (IT) regime. All leading central banks which adhere to an IT regime adopt a respective operational framework consistent with the announced monetary regime....

In this paper, we estimate a DSGE model for the national economy, which also draws on the unique economic characteristics of the country. The empirical estimation is based on quarterly data and taking into account the short length of the time series for the national economy Bayesian estimation...

This paper proposes a comparative analysis of the federal funds rate. The analysis is based on the results of an empirical study, conducted using the econometrics of Vector Auto Regressions. The results are compared across two time periods: 1960-1979 and 1983-2002, the intervals representing the...

This paper seeks empirical evidence for the J-curve and the Marshal-Lerner condition for Azerbaijan. The results suggest that a real depreciation of the Azerbaijani Manat would cause a decline in the balance of trade in the short-run and an increase in the long-run. When including the prices of...