Related papers: Forecasting short-term inflation in Argentina with…
The money supply is endogenous if the monetary policy strategy is the so called Inflation and Interest Rate Targeting, IRT. With that and perfect credibility, the theory of the price level and inflation only needs the Fisher equation, but…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
The economic crisis in Argentina around year 2002 provides a unique opportunity for Econophysics studies. The available data on individual income are analyzed to show that they correspond to non stationary states. However, the rather…
We study some aspects of fine tuning in inflationary scenarios within string theory flux compactifications and, in particular, in models of accidental inflation. We investigate the possibility that the apparent fine-tuning of the low energy…
We uncover a large and significant low-minus-high rank effect for commodities across two centuries. There is nothing anomalous about this anomaly, nor is it clear how it can be arbitraged away. Using nonparametric econometric methods, we…
The main aim of this paper is to inspect the properties of survey based on households inflation expectations, conducted by Reserve Bank of India. It is theorized that the respondents answers are exaggerated by extreme response bias. Latent…
We model the rate of inflation and unemployment in Austria since the early 1960s within the Phillips/Fisher framework. The change in labour force is the driving force representing economic activity in the Phillips curve. For Austria, this…
Availability of a validated, realistic fuel cost model is a prerequisite to the development and validation of new optimization methods and control tools. This paper uses an autoregressive integrated moving average (ARIMA) model with…
In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as…
A fully nonparametric approach for making probabilistic predictions in multi-response regression problems is introduced. Random forests are used as marginal models for each response variable and, as novel contribution of the present work,…
Wind speed forecasting models and their application to wind farm operations are attaining remarkable attention in the literature because of its benefits as a clean energy source. In this paper, we suggested the time series machine learning…
Accurate and precise crop yield prediction is invaluable for decision making at both farm levels and regional levels. To make yield prediction, crop models are widely used for their capability to simulate hypothetical scenarios. While…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
I develop and estimate a dynamic equilibrium model of risky entrepreneurs' borrowing and savings decisions incorporating both formal and local-informal credit markets. Households have access to an exogenous formal credit market and to an…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
Economic indicators such as Consumer Price Index (CPI) have frequently used in predicting future economic wealth for financial policy makers of respective country. Most central banks, on guidelines of research studies, have recently adopted…
Calculating the primordial bispectrum predicted by a model of inflation and comparing it to what we see in the sky is very computationally intensive, necessitating layers of approximations and limiting the models which can be constrained.…
In this paper, we analyze the long-term distributive impact of climate change through rising food prices. We use a standard incomplete markets model and account for non-linear Engel curves for food consumption. For the calibration of our…
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,…
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates…