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This paper aims to improve the understanding of U.S. inflation dynamics by separating out structural from cyclical effects using frequency domain techniques. Most empirical studies of inflation dynamics do not distinguish between secular and cyclical movements, and we show that such a...
Persistent link: https://www.econbiz.de/10014401975
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience...
Persistent link: https://www.econbiz.de/10010790479
Persistent link: https://www.econbiz.de/10003354552
We investigate the drivers of dynamics of major U.S. FX bilaterals. We first construct a novel measure of FX risk premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk premium shocks play a key role in driving dynamics of the major U.S. FX bilaterals;...
Persistent link: https://www.econbiz.de/10011711595
Persistent link: https://www.econbiz.de/10012691119
This paper aims to improve the understanding of U.S. inflation dynamics by separating out structural from cyclical effects using frequency domain techniques. Most empirical studies of inflation dynamics do not distinguish between secular and cyclical movements, and we show that such a...
Persistent link: https://www.econbiz.de/10012779709
We investigate the drivers of dynamics of major U.S. FX bilaterals. We first construct a novel measure of FX risk premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk premium shocks play a key role in driving dynamics of the major U.S. FX bilaterals;...
Persistent link: https://www.econbiz.de/10012977825
Persistent link: https://www.econbiz.de/10001498655
Persistent link: https://www.econbiz.de/10001506194
Persistent link: https://www.econbiz.de/10001422727