Global factors and trend inflation
Gunes Kamber,Benjamin Wong +1 more
TLDR
This article developed an empirical model to study the influence of global factors in driving trend inflation and the inflation gap and applied their model to 7 developed economies and 21 emerging market economies and found that while global factors can have a sizeable influence on the inflation gaps, they play only a marginal role in driving the trend inflation.About:
This article is published in Journal of International Economics.The article was published on 2020-01-01 and is currently open access. It has received 45 citations till now. The article focuses on the topics: Inflation & Commodity.read more
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Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve
TL;DR: In this paper, the authors investigate the nature of structural breaks in inflation by estimating a version of the New Keynesian Phillips curve (NKPC) in the presence of a unit root in inflation, and they show that the NKPC implies an unobserved component model consisting of three components: a stochastic trend component, a component that depends upon current and future forecasts of real economic activity, and a stationary component which is potentially serially correlated.
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Online Appendix to "Globalization and Inflation: Evidence from a Time Varying VAR"
Francesco Bianchi,Andrea Civelli +1 more
TL;DR: In this article, the authors investigate the empirical evidence in favor of this prediction by using a Time-varying VAR and conclude that integration in the global economy is in fact important, but globalization has not yet induced changes in openness large enough to justify significant brakes in inflation dynamics.
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Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions
James Morley,Benjamin Wong +1 more
TL;DR: In this paper, the authors make use of the Beveridge-Nelson decomposition to estimate the trend and cycle of a time series, such as real gross domestic product, given a large information set.
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The relationship between commodity prices and freight rates in the dry bulk shipping segment: A threshold regression approach
TL;DR: In this paper, the authors examine for the existence of threshold relationships in the commodity price and charter rate nexus, using the first lag of commodity price change as the threshold variable, and find that in the case of large drops in commodity prices, the magnitude of the relationship can strongly change.
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COVID-19 and the Energy Trade: Evidence from Tanker Trade Routes
TL;DR: This article explored route-specific off-equilibrium deviations related to COVID-19 that have affected clean (petroleum products) and dirty (crude oil) tanker freight rates, over and above the expected macroeconomic reactions.
References
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Time series analysis
TL;DR: A ordered sequence of events or observations having a time component is called as a time series, and some good examples are daily opening and closing stock prices, daily humidity, temperature, pressure, annual gross domestic product of a country and so on.
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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
TL;DR: In this paper, the authors consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is "trend-stationary" and show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit-root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time break.
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Tests for Parameter Instability and Structural Change with Unknown Change Point.
TL;DR: In this article, the authors considered tests for parameter instability and structural change with unknown change point, and the results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures.
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Macroeconomic Forecasting Using Diffusion Indexes
James H. Stock,Mark W. Watson +1 more
TL;DR: This paper used principal component analysis (PCA) to predict macroeconomic time series variable using a large number of predictors, and the predictors were summarized using a small number of indexes constructed by principal component analyzer.