Related papers: Relationship between inflation, unemployment and l…
The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we…
Structural vector autoregressive (SVAR) models are widely used to analyze the simultaneous relationships between multiple time-dependent data. Various statistical inference methods have been studied to overcome the identification problems…
This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e.g., unit-root and locally stationary processes) to interact with each other to co-exist. From practical perspectives, this…
We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between indices of different tenors observed in the market. Assuming the nominal…
We study how a central bank should dynamically set short-term nominal interest rates to stabilize inflation and unemployment when macroeconomic relationships are uncertain and time-varying. We model monetary policy as a sequential…
In a globalised world, inflation in a given country may be becoming less responsive to domestic economic activity, while being increasingly determined by international conditions. Consequently, understanding the international sources of…
Rising CO$_2$ emissions remain a critical global challenge, particularly in middle-income countries where economic growth drives environmental degradation. This study examines the long-run and short-run relationships between CO$_2$…
We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based on the Sorting…
In many longitudinal settings, time-varying covariates may not be measured at the same time as responses and are often prone to measurement error. Naive last-observation-carried-forward methods incur estimation biases, and existing…
In econometrics and finance, the vector error correction model (VECM) is an important time series model for cointegration analysis, which is used to estimate the long-run equilibrium variable relationships. The traditional analysis and…
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…
This paper investigates economic convergence in terms of real income per capita among the autonomous regions of Spain. In order to converge, the series should cointegrate. This necessary condition is checked using two testing strategies…
This paper examines the drivers of CPI inflation through the lens of a simple, but computationally intensive machine learning technique. More specifically, it predicts inflation across 20 advanced countries between 2000 and 2021, relying on…
Robust inflation measures gauge inflation behavior by excluding volatile expenditure categories from headline inflation. We evaluate the forecasting performance of a wide set of such measures between 1970 and 2024, including core, median,…
The disaggregated time-series for the Consumer Price Index (CPI) often exhibits exact zero price changes, stemming from structural features of the data collection process. However, the currently prominent stochastic volatility model of…
I examine changes in matching efficiency and elasticities in Japan's labor market via Hello Work for unemployed workers from January 1972 to April 2024 using a nonparametric identification approach by y Lange and Papageorgiou (2020). I find…
This study focuses on recurring unemployment, that is people with two or more spells of unemployment during the period of observation (July 1993 - August 1996). First, a classification is obtained which is then used to examine the specific…
We propose a method of analyzing multivariate time series data that investigates lead-lag relationships among economic indicators during the COVID-19 era with a weighted directed network of lagged variables. The analysis includes a stock…
Bahar (2025) argues that there is a long-term cointegrating relationship between US job vacancies and southwest border crossings. We show that this conclusion is based on a misspecified Engle-Granger test applied to first differences. Once…
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…