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Author : Namwon Hyung
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (671 download)
Download or read book Structural Breaks and Long Memory in US Inflation Rates written by Namwon Hyung and published by . This book was released on 2001 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Uwe Hassler
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (13 download)
Download or read book Detecting Multiple Breaks in Long Memory written by Uwe Hassler and published by . This book was released on 2016 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multiple structural change tests by Bei and Perron (1998) are applied to the regression by Demetrescu, Kuzin and Hassler (2008) in order to detect breaks in the order of fractional integration. With this instrument we tackle time-varying inflation persistence as an important issue for monetary policy. We determine not only the location and significance of breaks in persistence, but also the number of breaks. Only one significant break in U.S. inflation persistence (measured by the long-memory parameter) is found to have taken place in 1973, while a second break in 1980 is not significant.
Author : Charles Steven Bos
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (192 download)
Download or read book Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks written by Charles Steven Bos and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Uwe Hassler
Publisher :
ISBN 13 : 9783865587602
Total Pages : 48 pages
Book Rating : 4.5/5 (876 download)
Download or read book Detecting Multiple Breaks in Long Memory written by Uwe Hassler and published by . This book was released on 2011 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Uwe Hassler
Publisher :
ISBN 13 : 9783865587619
Total Pages : 0 pages
Book Rating : 4.5/5 (876 download)
Download or read book Detecting Multiple Breaks in Long Memory written by Uwe Hassler and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yunjong Eo
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)
Download or read book Structural Changes in Inflation Dynamics written by Yunjong Eo and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: I make inferences about complicated patterns of structural breaks in inflation dynamics. I extend Chib's (1998) approach by allowing multiple parameters such as the unconditional mean, a group of persistence parameters, and/or the residual variance to undergo mutually independent structural breaks at different dates with the different number of breaks. Structural 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 the GDP deflator over the period from 1953:Q1 to 2013:Q4. I find that two inflation measures had distinct structural changes in different parameters as well as at different dates using Bayesian model selection procedures. CPI inflation experienced a dramatic drop in persistence around the early 1980s, but GDP deflator inflation is still persistent. In addition, the residual variance for both inflation measures switched from a low volatility regime to a high volatility regime in the early 1970s, but it returned to another low volatility regime at different dates: the early 1980s for GDP deflator inflation and the early 1990s for CPI inflation. The residual variance for CPI inflation has increased again since the early 2000s, while GDP deflator inflation has remained less volatile. These volatility shifts are confirmed by the empirical results based on the unobserved components model with stochastic volatility. However, I do not find evidence of a structural shift in the unconditional mean. When reviewing the recent literature, considerable controversy exists over the structural break in inflation persistence around the early 1980s but this appears to be dependent on the measures of inflation, as highlighted by the empirical findings in this paper.
Author : Michael D. Bordo
Publisher : University of Chicago Press
ISBN 13 : 0226066959
Total Pages : 545 pages
Book Rating : 4.2/5 (26 download)
Download or read book The Great Inflation written by Michael D. Bordo and published by University of Chicago Press. This book was released on 2013-06-28 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: Controlling inflation is among the most important objectives of economic policy. By maintaining price stability, policy makers are able to reduce uncertainty, improve price-monitoring mechanisms, and facilitate more efficient planning and allocation of resources, thereby raising productivity. This volume focuses on understanding the causes of the Great Inflation of the 1970s and ’80s, which saw rising inflation in many nations, and which propelled interest rates across the developing world into the double digits. In the decades since, the immediate cause of the period’s rise in inflation has been the subject of considerable debate. Among the areas of contention are the role of monetary policy in driving inflation and the implications this had both for policy design and for evaluating the performance of those who set the policy. Here, contributors map monetary policy from the 1960s to the present, shedding light on the ways in which the lessons of the Great Inflation were absorbed and applied to today’s global and increasingly complex economic environment.
Author : Pierre Perron
Publisher : MDPI
ISBN 13 : 3038428116
Total Pages : 167 pages
Book Rating : 4.0/5 (384 download)
Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by MDPI. This book was released on 2018-04-13 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Author : Walter Krämer
Publisher : Springer Science & Business Media
ISBN 13 : 3642484123
Total Pages : 134 pages
Book Rating : 4.6/5 (424 download)
Download or read book Econometrics of Structural Change written by Walter Krämer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t
Author : C. Milas
Publisher : Emerald Group Publishing
ISBN 13 : 044451838X
Total Pages : 461 pages
Book Rating : 4.4/5 (445 download)
Download or read book Nonlinear Time Series Analysis of Business Cycles written by C. Milas and published by Emerald Group Publishing. This book was released on 2006-02-08 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Contributions to Economic Analysis addresses a number of important questions in the field of business cycles including: How should business cycles be dated and measured? What is the response of output and employment to oil-price and monetary shocks? And, is the business cycle asymmetric, and does it matter?
Author : Terence C. Mills
Publisher : Springer
ISBN 13 : 0230244408
Total Pages : 1406 pages
Book Rating : 4.2/5 (32 download)
Download or read book Palgrave Handbook of Econometrics written by Terence C. Mills and published by Springer. This book was released on 2009-06-25 with total page 1406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.
Author : Paul Doukhan
Publisher : Springer Science & Business Media
ISBN 13 : 3642141048
Total Pages : 222 pages
Book Rating : 4.6/5 (421 download)
Download or read book Dependence in Probability and Statistics written by Paul Doukhan and published by Springer Science & Business Media. This book was released on 2010-07-23 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This account of recent works on weakly dependent, long memory and multifractal processes introduces new dependence measures for studying complex stochastic systems and includes other topics such as the dependence structure of max-stable processes.
Author : G. S. Maddala
Publisher : Cambridge University Press
ISBN 13 : 9780521587822
Total Pages : 528 pages
Book Rating : 4.5/5 (878 download)
Download or read book Unit Roots, Cointegration, and Structural Change written by G. S. Maddala and published by Cambridge University Press. This book was released on 1998 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author : Pierre Perron
Publisher :
ISBN 13 : 9783038428121
Total Pages : pages
Book Rating : 4.4/5 (281 download)
Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Unit Roots and Structural Breaks.
Author : Faruk Selcuk
Publisher : Routledge
ISBN 13 : 1351739271
Total Pages : 190 pages
Book Rating : 4.3/5 (517 download)
Download or read book Inflation and Disinflation in Turkey written by Faruk Selcuk and published by Routledge. This book was released on 2018-04-27 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title was first published in 2002. Since the 1990s Turkey has experienced a number of disasters, both physical and economic. The result has been a decrease in economic performance compared to other European states. This study addresses the country's ongoing economic struggles.
Author : JAN G. DE GOOIJER
Publisher :
ISBN 13 :
Total Pages : 756 pages
Book Rating : 4./5 ( download)
Download or read book INTERNATIONAL JOURNAL OF FORECASTING written by JAN G. DE GOOIJER and published by . This book was released on 2002 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ms.Valerie Cerra
Publisher : International Monetary Fund
ISBN 13 : 1513536990
Total Pages : 50 pages
Book Rating : 4.5/5 (135 download)
Download or read book Hysteresis and Business Cycles written by Ms.Valerie Cerra and published by International Monetary Fund. This book was released on 2020-05-29 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditionally, economic growth and business cycles have been treated independently. However, the dependence of GDP levels on its history of shocks, what economists refer to as “hysteresis,” argues for unifying the analysis of growth and cycles. In this paper, we review the recent empirical and theoretical literature that motivate this paradigm shift. The renewed interest in hysteresis has been sparked by the persistence of the Global Financial Crisis and fears of a slow recovery from the Covid-19 crisis. The findings of the recent literature have far-reaching conceptual and policy implications. In recessions, monetary and fiscal policies need to be more active to avoid the permanent scars of a downturn. And in good times, running a high-pressure economy could have permanent positive effects.
