the upswing in the credit volatility that kept money supply variability from translating into inflation and GDP volatility. … volatilities away from the downward trending GDP and inflation volatilities. Using an endogenous growth monetary DSGE model, with … micro-based banking production, enables a contrasting characterization of the two great volatility cycles over the …

and supervisory arrangements adequate when market volatility increases and financial institutions come under stress? In …

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … techniques are applied to monthly inflation series of 21 OECD countries and it is found that average forecasting methods in …

persistence and volatility of inflation even though the underlying shocks are purely transitory. We also find that the persistence … and volatility become smaller as the inflation target becomes more credible, that is, the private agents' uncertainty …We analyse the interaction between private agents? uncertainty about inflation target and the central bank's data …

concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

the Taylor rule is beneficial if the central bank aims at optimally stabilizing inflation and output gap variability under … discretion. Placing a weight on deviations from a simple Taylor rule increases the overall relative weight of inflation … volatility in the effective loss function, which reduces the stabilization bias of discretionary monetary policy. The welfare …

volatility of both inflation and unemployment differentials. Finally, we show that it is important to take into account the … and real wage rigidities. In our analysis, we focus on the differentials in inflation and unemployment between countries … inflation and unemployment differentials. Second, we find that asymmetries in labor market structures tend to increase the …

coefficient, monetary authority is not completely successfull in stabilizing the volatility of output, nominal rate and inflation … translates into a lower ability to control inflation volatility, together with a strong policy reaction with respect to an … and nominal and real rigidities is discussed with a special emphasis on the volatility of output, nominal rate and in …

-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets … underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put … the price index, allowing to treat the volatility parameter as the object of interest. The model can be estimated using …

on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new … directions. First, the realized variance is a much better estimate of the latent volatility than the sum of the weighted daily … squared returns. As such it is better suited for comparing the out-of-sample performances of competing volatility models …