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In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries …: Sweden, United Kingdom, and the United States. The primary purpose is to examine if periods of low inflation are associated … variance in unemployment. In the U.S. case we find that the variance of unemployment is lower in the low inflation regime than …
Persistent link: https://www.econbiz.de/10011584800
. -- New Keynesian Phillips curve ; cointegration ; vector autoregressive model …
Persistent link: https://www.econbiz.de/10003732137
. -- New Keynesian Phillips curve ; cointegration ; vector autoregressive model …
Persistent link: https://www.econbiz.de/10003702411
Persistent link: https://www.econbiz.de/10003774225
Persistent link: https://www.econbiz.de/10002984951
Various inflation forecasting models are compared using a simulated out-of-sample forecasting framework. We focus on … the question of whether monetary aggregates are useful for forecasting inflation, but unlike previous work we examine a … are also reported on. The first shows that cointegration vector parameter estimation error is crucial when using VEC …
Persistent link: https://www.econbiz.de/10001848940
Inflation is a monetary phenomenon. While this statement is widely accepted in terms of a long-run relationship, the … quantity theory has been made operational also for the short-run dynamics of inflation by so-called Pstar models. An error … inflation. The response of the HICP is strongly positive. Other factors such as raw material prices and unit labor costs also …
Persistent link: https://www.econbiz.de/10011477146
useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this …
Persistent link: https://www.econbiz.de/10010208787
useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this … drivers of the current financial crisis, if not possibly more. -- Commodity prices ; cointegration ; CVAR analysis ; global … liquidity ; inflation ; international spillovers …
Persistent link: https://www.econbiz.de/10003931399
useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this … drivers of the current financial crisis, if not possibly more. -- Commodity prices ; cointegration ; CVAR analysis ; global … liquidity ; inflation ; international spillovers …
Persistent link: https://www.econbiz.de/10003934679