Author: Lezheng Liu
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 188
Book Description
This dissertation collects three empirical essays on inflation and economic growth. The first essay examines the impact of inflation uncertainty on the level of inflation. Uncertainty is measured by the conditional variance of inflation, and inflation is modeled as a GARCH-in-mean process with a two-regime Markov-switching coefficient on uncertainty. Using a Bayesian estimator with the Markov Chain Monte Carlo approach, we find that the impacts of uncertainty on inflation are statistically significant and have different signs in different regimes for the U.S. postwar data. The regime switching nature of the inflation process can explain the contradictory theoretical predictions and empirical evidence shown in the existing literature. In the second essay, we develop a time-varying parameter model with survey information to forecast future inflation rates. To capture the inflation dynamics, we first specify quarterly U.S. inflation as an AR(2) process with time-varying unobservable parameters. The model is estimated by the Kalman filter algorithm. We then examine survey data information by combining Survey of Professional Forecasters (SPF) forecasts into the model. Compared to the survey data and the classical ARIMA models, the time-varying parameter models significantly reduce out-of-sample prediction errors. We find that the improvement lies over the time-varying feature of the models and that including survey data does not significantly improve predictive ability, indicating that the survey data do not contain too much information beyond realized inflation rates. The third essay re-examines the convergence hypothesis by revising a four-step procedure of the panel unit root test suggested by Evans and Karras (1996). We use data on output for 24 OECD countries over 40 years. We incorporate the spatial autoregressive error structure into a fixed-effect panel model to account for spatial dependence that may induce significant size distortion of the conventional panel unit root tests. Bootstrap procedures are employed to find related critical values. In contrast to the results obtained from the test that does not consider the spatial error structure, our results indicate that there is no output convergence among the OECD countries.
Empirical Essays on Inflation and Economic Growth
Author: Lezheng Liu
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 188
Book Description
This dissertation collects three empirical essays on inflation and economic growth. The first essay examines the impact of inflation uncertainty on the level of inflation. Uncertainty is measured by the conditional variance of inflation, and inflation is modeled as a GARCH-in-mean process with a two-regime Markov-switching coefficient on uncertainty. Using a Bayesian estimator with the Markov Chain Monte Carlo approach, we find that the impacts of uncertainty on inflation are statistically significant and have different signs in different regimes for the U.S. postwar data. The regime switching nature of the inflation process can explain the contradictory theoretical predictions and empirical evidence shown in the existing literature. In the second essay, we develop a time-varying parameter model with survey information to forecast future inflation rates. To capture the inflation dynamics, we first specify quarterly U.S. inflation as an AR(2) process with time-varying unobservable parameters. The model is estimated by the Kalman filter algorithm. We then examine survey data information by combining Survey of Professional Forecasters (SPF) forecasts into the model. Compared to the survey data and the classical ARIMA models, the time-varying parameter models significantly reduce out-of-sample prediction errors. We find that the improvement lies over the time-varying feature of the models and that including survey data does not significantly improve predictive ability, indicating that the survey data do not contain too much information beyond realized inflation rates. The third essay re-examines the convergence hypothesis by revising a four-step procedure of the panel unit root test suggested by Evans and Karras (1996). We use data on output for 24 OECD countries over 40 years. We incorporate the spatial autoregressive error structure into a fixed-effect panel model to account for spatial dependence that may induce significant size distortion of the conventional panel unit root tests. Bootstrap procedures are employed to find related critical values. In contrast to the results obtained from the test that does not consider the spatial error structure, our results indicate that there is no output convergence among the OECD countries.
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 188
Book Description
This dissertation collects three empirical essays on inflation and economic growth. The first essay examines the impact of inflation uncertainty on the level of inflation. Uncertainty is measured by the conditional variance of inflation, and inflation is modeled as a GARCH-in-mean process with a two-regime Markov-switching coefficient on uncertainty. Using a Bayesian estimator with the Markov Chain Monte Carlo approach, we find that the impacts of uncertainty on inflation are statistically significant and have different signs in different regimes for the U.S. postwar data. The regime switching nature of the inflation process can explain the contradictory theoretical predictions and empirical evidence shown in the existing literature. In the second essay, we develop a time-varying parameter model with survey information to forecast future inflation rates. To capture the inflation dynamics, we first specify quarterly U.S. inflation as an AR(2) process with time-varying unobservable parameters. The model is estimated by the Kalman filter algorithm. We then examine survey data information by combining Survey of Professional Forecasters (SPF) forecasts into the model. Compared to the survey data and the classical ARIMA models, the time-varying parameter models significantly reduce out-of-sample prediction errors. We find that the improvement lies over the time-varying feature of the models and that including survey data does not significantly improve predictive ability, indicating that the survey data do not contain too much information beyond realized inflation rates. The third essay re-examines the convergence hypothesis by revising a four-step procedure of the panel unit root test suggested by Evans and Karras (1996). We use data on output for 24 OECD countries over 40 years. We incorporate the spatial autoregressive error structure into a fixed-effect panel model to account for spatial dependence that may induce significant size distortion of the conventional panel unit root tests. Bootstrap procedures are employed to find related critical values. In contrast to the results obtained from the test that does not consider the spatial error structure, our results indicate that there is no output convergence among the OECD countries.
Essays in Empirical Macroeconomics
La Rapresentatione di santo Alexo, nuovamente ristampata
Three Empirical Essays on the Determinants of Economic Growth
Relationship between inflation and economic growth: a multi country empirical analysis
Essays in Monetary Economics (Collected Works of Harry Johnson)
Author: Harry Johnson
Publisher: Routledge
ISBN: 1134623569
Category : Business & Economics
Languages : en
Pages : 341
Book Description
Reprinting the second edition (which included a new introduction explaining developments which had emerged since first publication) this book discusses explorations in the fundamental theory of a monetary economy, a theoretical critique of the ‘Phillips Curve’ approach to the theory of inflation and the theory of the term structure of interest rates in terms of the theory of forward markets pioneered by David Meiselman.
Publisher: Routledge
ISBN: 1134623569
Category : Business & Economics
Languages : en
Pages : 341
Book Description
Reprinting the second edition (which included a new introduction explaining developments which had emerged since first publication) this book discusses explorations in the fundamental theory of a monetary economy, a theoretical critique of the ‘Phillips Curve’ approach to the theory of inflation and the theory of the term structure of interest rates in terms of the theory of forward markets pioneered by David Meiselman.
Determinants of Democracy
Author: Robert Joseph Barro
Publisher:
ISBN: 9789055390564
Category : Democracy
Languages : en
Pages : 0
Book Description
Publisher:
ISBN: 9789055390564
Category : Democracy
Languages : en
Pages : 0
Book Description
Selected Essays in Monetary Economics (Collected Works of Harry Johnson)
Author: Harry Johnson
Publisher: Routledge
ISBN: 1135052506
Category : Business & Economics
Languages : en
Pages : 277
Book Description
This volume consists of selected previously published key essays which have proved most useful for teaching advanced monetary economics. A short introduction was added which places the selection of essays and the issues they cover in the contemporaneous context of simultaneous high inflation and high unemployment. As relevant today as they were when they were first written, they enable the reader to anticipate intelligently what is likely to happen and why.
Publisher: Routledge
ISBN: 1135052506
Category : Business & Economics
Languages : en
Pages : 277
Book Description
This volume consists of selected previously published key essays which have proved most useful for teaching advanced monetary economics. A short introduction was added which places the selection of essays and the issues they cover in the contemporaneous context of simultaneous high inflation and high unemployment. As relevant today as they were when they were first written, they enable the reader to anticipate intelligently what is likely to happen and why.
The Relationship Between Inflation and Economic Growth
Author: Satya Paul
Publisher:
ISBN: 9781875760039
Category : Inflation (Finance)
Languages : en
Pages : 25
Book Description
Publisher:
ISBN: 9781875760039
Category : Inflation (Finance)
Languages : en
Pages : 25
Book Description
Macroeconomics, Finance and Money
Author: Giuseppe Fontana
Publisher: Springer
ISBN: 0230285589
Category : Business & Economics
Languages : en
Pages : 363
Book Description
This volume focuses on current issues of debate in the area of modern macroeconomics and money, written from (a broadly interpreted) post Keynesian perspective. The papers connect with Philip Arestis' contributions to macroeconomics and money, and pay tribute to his distinguished career.
Publisher: Springer
ISBN: 0230285589
Category : Business & Economics
Languages : en
Pages : 363
Book Description
This volume focuses on current issues of debate in the area of modern macroeconomics and money, written from (a broadly interpreted) post Keynesian perspective. The papers connect with Philip Arestis' contributions to macroeconomics and money, and pay tribute to his distinguished career.