Related papers: Mixing it up: Inflation at risk

Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United…

Accuracy of economic theories and efficiency of economic policy strictly depend on the choice of the economic variables and processes mostly liable for description of economic reality. That states the general problem of assessment of any…

We present a new model for commodity pricing that enhances accuracy by integrating four distinct risk factors: spot price, stochastic volatility, convenience yield, and stochastic interest rates. While the influence of these four variables…

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…

Since the Great Financial Crisis (GFC), the use of stress tests as a tool for assessing the resilience of financial institutions to adverse financial and economic developments has increased significantly. One key part in such exercises is…

In this work we propose a statistical approach to handling sources of theoretical uncertainty in string theory models of inflation. By viewing a model of inflation as a probabilistic graph, we show that there is an inevitable information…

This paper proposes a structural multivariate unobserved components model with external instrument (SMUC-IV) to investigate the effects of monetary policy shocks on key U.S. macroeconomic "stars"-namely, the level of potential output, the…

Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across many time series. These models can be integrated into a…

We provide a theoretical framework to examine how carbon pricing policies influence inflation and to estimate the policy-driven impact on goods prices from achieving net-zero emissions. Firms control emissions by adjusting production,…

This article presents evidence based on a panel of 35 countries over the past 30 years that the Phillips curve relation holds for food inflation. That is, broader economic overheating does push up the food component of the CPI in a…

The paper discusses the role of monetary policy when potential output depends on the inflation rate. If the intention of the central bank is to maximize actual output growth, then it has to be credibly committed to a strict inflation…

We forecast the full conditional distribution of macroeconomic outcomes by systematically integrating three key principles: using high-dimensional data with appropriate regularization, adopting rigorous out-of-sample validation procedures,…

Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…

The viability of a given model for inflation is determined not only by the form of the inflaton potential, but also by the initial inflaton field configuration. In many models, field configurations which are otherwise well-motivated…

This paper addresses the structure and dynamics of an open market economy and its relations with the real interest rate. In this respect, the paper is situated within a broad conventional literature. However, it departs from the standard…

Measures of inflation uncertainty and directional risk derived from higher moments of forecast distributions are contaminated by the first moment, but in distinct ways. Using individual density forecasts from the ECB Survey of Professional…

Forecasting consumer price index (CPI) inflation is of paramount importance for both academics and policymakers at the central banks. This study introduces a filtered ensemble wavelet neural network (FEWNet) to forecast CPI inflation, which…

A major part of the balance sheets of the largest US banks consists of credit card portfolios. Hence, managing the charge-off rates is a vital task for the profitability of the credit card industry. Different macroeconomic conditions affect…

Empirical growth analysis has three major problems --- variable selection, parameter heterogeneity and cross-sectional dependence --- which are addressed independently from each other in most studies. The purpose of this study is to propose…

We develop a deep learning model of multi-period mortgage risk and use it to analyze an unprecedented dataset of origination and monthly performance records for over 120 million mortgages originated across the US between 1995 and 2014. Our…