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Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks

Zhou, Su - 1998

This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The …, during the recent floating exchange rate period, PPP holds well, at least in a weak form, in high-inflation countries where …

Persistent link: https://www.econbiz.de/10014071881

A Simple Multivariate Filter for Estimating Potential Output

Blagrave, Patrick - 2015

Estimates of potential output are an important ingredient of structured forecasting and policy analysis. Using information on consensus forecasts, this paper extends the multivariate filter developed by Benes and others (2010). Although the estimates in real time are more robust relative to...

Persistent link: https://www.econbiz.de/10013023270

Long Memory and Estimation of Memory Parameters : Nigerian and US Inflation Rates

Yaya, OlaOluwa S. - 2010

. This paper therefore focuses on investigating the existence or otherwise of long memory in the Nigerian and US inflation …-parametric methods. Even though the US inflation is fractionally integrated and Nigerian inflation series has unit root, the linear model …

Persistent link: https://www.econbiz.de/10013139343

A functional approach to test trending volatility

Guerrero Escobar, Santiago; Hernández del Valle, Gerardo; … - 2016

In this paper we extend the traditional GARCH(1,1) model by including a functional trend term in the conditional volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the Mexican CPI basket, as well as to the international prices...

Persistent link: https://www.econbiz.de/10011456514

The Demand for Broad Money in Norway, 1969-1993

Eitrheim, Oyvind - 2010

wealth. Domestic price inflation is affected by imported inflation including currency depreciation (a pass through effect …

Persistent link: https://www.econbiz.de/10014215622

Structural Changes in Inflation Dynamics : Multiple Breaks at Different Dates for Different Parameters

Eo, Yunjong - 2015

I make inferences about complicated patterns of structural breaks in inflation dynamics. I extend Chib's (1998 … breaks are modeled as abrupt changes to identify potential regime shifts in economic structure such as a long-run inflation … target, monetary policy, and price-setting behavior. I consider postwar quarterly U.S. inflation rates based on the CPI and …

Persistent link: https://www.econbiz.de/10013013876

Second Order Time Dependent Inflation Persistence in the United States : a GARCH-in-Mean Model with Time Varying Coefficients

Canepa, Alessandra - 2020

In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate … varying persistence, which not only distinguishes between changes in the dynamics of inflation and its volatility, but it also … allows for feedback from nominal uncertainty to inflation. Our empirical results suggest that inflation persistence in the …

Persistent link: https://www.econbiz.de/10012843786

A Re-Examination of Causality Relationships in Australian Wage Inflation and Minimum Award Rates - Using Multivariate Subset Autoregressive Modelling with Constraints - Financial a...

Penm, Jack H.W; Penm, Jammie H.; Terrell, R. Deane - 2003

In this chapter, a vector subset autoregressive process is fitted using a block modified Choleski decomposition method and a leaps-and-bounds algorithm to attain the best subset autoregression for each size (number of non-zero coefficient matrices). Model selection criteria are then employed to...

Persistent link: https://www.econbiz.de/10014097745

Inflation persistence in Central and Eastern European countries

Darvas, Zsolt M.; Varga, Balázs - 2013

This paper studies inflation persistence with time-varying coefficient autoregressions for twelve central European … countries,in comparison with the United States and the euro area. Inflation persistence tends to be higher in times of high … inflation. Since the oil price shocks, inflation persistence has declined both in the US and euro-area. In most central and …

Persistent link: https://www.econbiz.de/10009768497

Inflation persistence in central and eastern European countries

Darvas, Zsolt M.; Varga, Balázs - 2013

This article studies inflation persistence with time-varying coefficient autoregressions for twelve central European … countries, in comparison with the United States and the euro area. Inflation persistence tends to be higher in times of high … inflation. Since the oil price shocks, inflation persistence has declined both in the US and the euro-area. In most central and …

Persistent link: https://www.econbiz.de/10009777733