Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters potx

... 450 Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters Alina Barnett, Haroon Mumtaz and Konstantinos Theodoridis May 2012 Working ... regimes TVP−VAR (General) TVP−VAR (Standard) TVP−VAR (Homoscedastic) TVP−FAVAR TVP−FAVAR(Homoscedast ic) FAVAR UC TVAR (GDP) TVAR (Inf...

Ngày tải lên: 06/03/2014, 14:20

... which any movements in actual inflation are expected to persist. So both inflation perceptions and expectations appear to have a reasonably close relationship with actual inflation data. A key ... perceptions and measures of current inflation Research and analysis Public attitudes to inflation and interest rates 213 have been expected simply by extrapolating from...

Ngày tải lên: 15/02/2014, 05:20

... perceptions and annual CPI, RPI and RPIX inflation rates Research and analysis Public attitudes to inflation and interest rates 153 showed how the Bank/GfK NOP measure of perceptions of current inflation ... England and Bank/GfK NOP survey. Chart 3 Revisions to the inflation outlook one year ahead Research and analysis Public attitudes to inflation and inter...

Ngày tải lên: 15/02/2014, 05:20

...

Ngày tải lên: 19/02/2014, 03:20

... FRED database and are released by the Federal Reserve Board, the Bureau of Economic Analysis and the Bureau of Labor Statistics. Euro area data are from the European Central Bank and Eurostat. Swiss ... approach (SNB) for Switzerland. Interest rates are 3-month rates. All series except interest rates are seasonally adjusted. The samples considered, chosen according t o avai...

Ngày tải lên: 22/03/2014, 23:20

... changes in interest rates and default rates. As can been seen in Table 4, the correlation default rates and changes in interest rates is more negative at shorter interest rates terms. Decreases in ... and interest rates. Toward this goal, we analyze the relationship between interest rates and default rates using the Moody’s KMV public firm default database—t...

Ngày tải lên: 26/10/2012, 11:21

... individual stock price process, a set of systematic state variables that determine the time-varying “mean”, “variance”, and “covariance” of the consumption process and stock returns, and finally a set ... multivariate SV models for daily stock returns and daily short-term interest rates. The EMM technique shares the advantage of being valid for a whole class of mo...

Ngày tải lên: 21/12/2013, 01:20

... samples; only Korea, Pakistan, Thailand, and Zimbabwe appear in both. Long-Run Correlations First we examine the relationships between the average rate of money growth and the average of the annual ... eliminated Iceland, Maldives, and Morocco from the money market rate sam- ple because although these countries’ interest rate data span at least 14 years, several of their individ...

Ngày tải lên: 15/02/2014, 06:20

... Japan, Spain, Switzerland and esp ecially Germany and Canada, the correlation is even negative. However, Canada and Germany are also among the countries with the lowest standard deviation of actual ... actual from fundamental prices and with the lowest standard deviations of the annual growth rates of actual and funda- mental prices. Hence, for these countries, the corre...

Ngày tải lên: 17/02/2014, 03:20

... significant response of bond rates. Other examples of the VAR approach include Evans and Marshall (1998) and Mehra (1996). In an effort to model the discrete nature of target rate changes, Demiralp and ... relationship between Fed actions and long-term interest rates appears much looser and more variable.” These studies did not distinguish between anticipated and unantic...

Ngày tải lên: 06/03/2014, 02:21