This article studies inflation persistence with time-varying coefficient autoregressions for 12 central European countries in comparison with the United States and the euro area. We find that inflation persistence tends to be higher in times of high inflation. Since the oil price shocks,...

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...

Using Monte Carlo methods, we compare the ability of the Kalman-filter, the Kalman-smoother and the flexible least squares (FLS) to uncover the parameters of an autoregression. We find that the ordinary least squares (OLS) estimator performs much better that the time-varying coefficient methods...

This paper estimates Phillips curve relationships for the data of four Central European countries, the Czech Republic, Hungary, Poland and Slovakia, using a sample period from the mid-1990s till 2012. For the estimation Gordon’s triangle model is used with the Kalman filter, where the...

On the basis of a disaggregated data set, we study inflation persistence in Hungary by focusing on regional cross-sectional variation. To this end, we use regional inflation series constructed from individual store-level price quotes. The price observations were collected for the CPI database at...

The unemployment rates of then-communist Central European countries were unnaturally low because of manipulated data and latent, "intra-firm" unemployment. As the transition of these states is now more than two decades ago, the question of how the NAIRU evolved since then arises. Because of the...

The puzzle of Feldstein and Horioka (1980) stems from the early eighties: the authors identified the correlation between a country's savings-to-GDP and investment-to-GDP ratio as a measure of international capital mobility. By using a cross-section analysis they concluded that the long-awaited...

We analyze the impact of price stability-oriented monetary strategies (inflation targeting—IT—and constraining exchange rate arrangements) on inflation persistence using a time-varying coefficients framework in a panel of 68 countries (1993–2013). We show that explicit IT has a stronger...

This paper studies inflation persistence with time-varying-coefficient autoregressions for twelve Central-European countries, in comparison with the US and the euro-area. Inflation persistence tends to be higher in times of high inflation. Since the oil price shocks, inflation persistence...

Az értekezés négy önálló tanulmányból áll négy fő fejezetben, amelyek témáját összeköti az időben változó paraméterű ökonometriai modellek alkalmazása. Elsőként áttekintést adunk az időben változó paraméterű regressziók lehetséges becslési módszereiről, a...