Long memory in inflation rates: International evidence
U Hassler, J Wolters - Journal of Business & Economic Statistics, 1995 - Taylor & Francis
We examine monthly inflation rates of five industrial countries. The application of tests
against stationarity as well as tests against a unit root yield contradictory results. Thus …
against stationarity as well as tests against a unit root yield contradictory results. Thus …
International capital markets and foreign exchange risk
MJ Brennan, Y Xia - The Review of Financial Studies, 2006 - academic.oup.com
Relations between foreign exchange risk premia, exchange rate volatility, and the volatilities
of the pricing kernels for the underlying currencies, are derived under the assumption of …
of the pricing kernels for the underlying currencies, are derived under the assumption of …
Persistence in international inflation rates
CF Baum, JT Barkoulas… - Southern Economic …, 1999 - Wiley Online Library
We test for fractional dynamics in inflation rates based on the consumer price index (CPI) for
27 countries and inflation rates based on the wholesale price index (WPI) for 22 countries …
27 countries and inflation rates based on the wholesale price index (WPI) for 22 countries …
Real risk, inflation risk, and the term structure
MDD Evans - The Economic Journal, 2003 - academic.oup.com
I present a model for the term structures of nominal and real interest rates in the UK that
incorporates Markov‐switching and allows for non‐neutralities, nonlinear dynamics, and …
incorporates Markov‐switching and allows for non‐neutralities, nonlinear dynamics, and …
The information content of M3 for future inflation in the euro area
C Trecroci, JL Vega - Weltwirtschaftliches Archiv, 2002 - Springer
Abstract The Information Content of M3 for Future Inflation in the Euro Area.—The
information content of M3 for future inflation in the euro area is investigated from a number of …
information content of M3 for future inflation in the euro area is investigated from a number of …
Explaining the failures of the term spread models of the rational expectations hypothesis of the term structure
E Tzavalis, MR Wickens - Journal of Money, Credit, and banking, 1997 - JSTOR
Contrary to the predictions of the rational expectations hypothesis of the term structure of
interest rates, empirical evidence suggests that the term spread between long and short …
interest rates, empirical evidence suggests that the term spread between long and short …
Estimating the ECB policy reaction function
K Carstensen - German Economic Review, 2006 - degruyter.com
This paper estimates the policy reaction function of the European Central Bank in the first
four years of EMU using an ordered probit model which accounts for the fact that central …
four years of EMU using an ordered probit model which accounts for the fact that central …
Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration
G Canarella, SM Miller - Journal of Economics and Business, 2017 - Elsevier
We investigate the dynamics of inflation persistence for a sample of advanced (Canada,
Sweden, and the United Kingdom) and newly industrialized and emerging market (Chile …
Sweden, and the United Kingdom) and newly industrialized and emerging market (Chile …
The efficacy of SARIMA models for forecasting inflation rates in developing countries: The case for Turkey
G Saz - International Research Journal of Finance and …, 2011 - papers.ssrn.com
This paper analyzes the efficacy of SARIMA models in view of forecasting the inflation rates
in the Turkish economy. We perform rigorous tests on the stationarity and show that …
in the Turkish economy. We perform rigorous tests on the stationarity and show that …
The information content of the yield curve for monetary policy: A survey
JM Berk - De Economist, 1998 - Springer
The information content of the yield curve with respect to future inflation as well as future real
economic activity is discussed. Both theoretical arguments and the empirical validity of these …
economic activity is discussed. Both theoretical arguments and the empirical validity of these …