scholarly journals Break-Even Inflation Rate and the Risk Premium: An Alternative Approach to the VAR Models in Forecasting the CPI

2011 ◽  
Author(s):  
João Caldeira ◽  
Luiz G. C. Furlani
Keyword(s):  
Risk Premium ◽  
Inflation Rate ◽  
Var Models ◽  
Alternative Approach

An alternative approach to simulating var models

1983 ◽  
Vol 12 (1) ◽  
pp. 23-29 ◽  
Author(s):  
Lewis Evans ◽  
Graeme Wells
Keyword(s):  
Var Models ◽  
Alternative Approach

scholarly journals Inflation targeting, disinflation, and debt traps in Argentina

2020 ◽  
Vol 17 (1) ◽  
pp. 78-105
Author(s):  
Emiliano Libman ◽  
Gabriel Palazzo
Keyword(s):  
Foreign Exchange ◽  
Current Account ◽  
Risk Premium ◽  
Inflation Targeting ◽  
Inflation Rate ◽  
Current Account Deficit ◽  
External Debt ◽  
Stabilization Process ◽  
Eventual Collapse

This paper highlights the role of external indebtedness and the presence of inflationary inertia in order to assess the effectiveness and sustainability of inflation targeting during disinflation episodes. As the recent Argentinian experience illustrates, a sluggish inflation rate and a significant current-account deficit may make the stabilization process difficult. To illustrate the point, we build a model that shows that, when inflation adjusts fast, the target may be achieved without building too much external debt. But if inflation adjusts slowly, an excessive build-up of external debt could lead to an increase in the risk premium, a sudden shortage of foreign exchange, and the eventual collapse of the inflation-targeting regime.

scholarly journals Econometric Analysis of the Developing Countries’ Trade Indicators

2018 ◽  
Vol 6 (2) ◽  
pp. 41-50
Author(s):  
Dr. Debesh Bhowmik
Keyword(s):  
Growth Rate ◽  
Developing Countries ◽  
Current Account ◽  
Concentration Index ◽  
Structural Breaks ◽  
Inflation Rate ◽  
Econometric Analysis ◽  
Current Account Balance ◽  
Var Models ◽  
Import Share

In this paper, the author attempted to study the patterns of the export and import shares of the developing countries and found out the relation of export and import share with its determinants like growth rate, inflation rate, FDI, current account balance, REER, concentration index, and diversification index respectively during 1980-2016 where FDI, REER, and diversification index significantly influenced the export and import shares respectively. Both the export and import shares have upward structural breaks and smooth cyclical trends. Their VAR models are unstable and non-stationary.

scholarly journals Determinan Kinerja Pasar Saham Dengan Risk Premium Sebagai Variabel Intervening Pada Bank Indonesia (BI)

2021 ◽  
pp. 66-80
Author(s):  
Silvia Sari ◽  
Lucy Aprelia D ◽  
Lusiana
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Money Supply ◽  
Risk Premium ◽  
Inflation Rate ◽  
Market Performance ◽  
Interest Rate Risk ◽  
Risk Premiums ◽  
Performance Risk ◽  
Stock Market Performance

The purpose of this study was to determine the effect of interest rate, money supply and inflation rate on stock market performance. This study consists of three independent variables, namely interest rate, money supply and inflation rate. The dependent variable is stock market performance. And one intervening variable risk premium. The analytical method used is multiple linear regression analysis and path analysis. Methods of data collection in this research is to use the internet research to obtain secondary data by accessing the website www.bi.go.id. he results obtained show that there is an effect of interest rate risk premiums. Money supply has no effect on risk premiums. Inflation rate affects the risk premium. And interest rate, money supply, inflation rate together has an effect on the risk premium. Interest rate affects stock market performance. Money supply has no effect on stock market performance. The inflation rate has no effect on stock market performance. Risk premium affects stock market performance. And interest rate, money supply, inflation rate and risk premium affect the stock market performance. Risk premium cannot mediate the effect of interest rates on stock market performance. Risk premium cannot mediate the effect of money supply on stock market performance. Risk premium can mediate the effect of inflation rate on stock market performance.

scholarly journals Kalman Filter or VAR Models to Predict Unemployment Rate in Romania?

2015 ◽  
Vol 61 (3) ◽  
pp. 3-21 ◽  
Author(s):  
Mihaela Simionescu
Keyword(s):  
Kalman Filter ◽  
Unemployment Rate ◽  
Quantitative Methods ◽  
Inflation Rate ◽  
Economic Problem ◽  
Stochastic Simulations ◽  
Var Model ◽  
Var Models ◽  
Causality Test ◽  
Dynamic Stochastic

Abstract This paper brings to light an economic problem that frequently appears in practice: For the same variable, more alternative forecasts are proposed, yet the decision-making process requires the use of a single prediction. Therefore, a forecast assessment is necessary to select the best prediction. The aim of this research is to propose some strategies for improving the unemployment rate forecast in Romania by conducting a comparative accuracy analysis of unemployment rate forecasts based on two quantitative methods: Kalman filter and vector-auto-regressive (VAR) models. The first method considers the evolution of unemployment components, while the VAR model takes into account the interdependencies between the unemployment rate and the inflation rate. According to the Granger causality test, the inflation rate in the first difference is a cause of the unemployment rate in the first difference, these data sets being stationary. For the unemployment rate forecasts for 2010-2012 in Romania, the VAR models (in all variants of VAR simulations) determined more accurate predictions than Kalman filter based on two state space models for all accuracy measures. According to mean absolute scaled error, the dynamic-stochastic simulations used in predicting unemployment based on the VAR model are the most accurate. Another strategy for improving the initial forecasts based on the Kalman filter used the adjusted unemployment data transformed by the application of the Hodrick-Prescott filter. However, the use of VAR models rather than different variants of the Kalman filter methods remains the best strategy in improving the quality of the unemployment rate forecast in Romania. The explanation of these results is related to the fact that the interaction of unemployment with inflation provides useful information for predictions of the evolution of unemployment related to its components (i.e., natural unemployment and cyclical component).

scholarly journals Consistency and Change in Idiographic Personality: A Longitudinal ESM Network Study

2018 ◽  
Author(s):  
Emorie D Beck ◽  
Joshua James Jackson
Keyword(s):  
Personality Assessment ◽  
Personality Development ◽  
Var Models ◽  
Individual Level ◽  
Alternative Approach ◽  
Idiographic Approach ◽  
Modeling Techniques ◽  
The Individual ◽  
Personality Models ◽  
Over Time

The study of personality development primarily focuses on between-person, nomothetic assessments of personality using assessments of personality traits. An alternative approach uses individual, idiographic personality assessment, defining personality in reference to one’s self rather than to others. Nomothetic approaches to personality development identify high levels of consistency in personality, even over decades. But the developmental pattern of idiographic personality is unclear, partially due to difficulties in assessing personality idiographically. We examine a number of traditional and novel idiographic modeling techniques using two years of ESM data from the Personality and Interpersonal Roles Study (PAIRS; N = 372 participants, total assessments N = 17,715). We computed idiographic lagged (lag 1 autoregressive) and contemporaneous (concurrent) graphical VAR models, as well as several other idiographic models, for each subject at the individual level at both waves, which are represented as networks. The utility and interpretation of these newer idiographic personality models at an individual level is demonstrated by using two example subjects. Across all participants, idiographic personality models were heterogeneous in structure, indicating the value of an idiographic approach. Contemporaneous, but not lagged, idiographic models were consistent over time. Despite normative levels of consistency, both types of idiographic models exhibited a great range of individual differences in consistency where some people were completely stable across two years whereas others were very unlike their former selves. In sum, we demonstrate that novel idiographic modeling techniques provide a useful tool to address questions of personality dynamics that were not possible with more traditional idiographic assessments.

scholarly journals Inflation targeting, disinflation, and debt traps in Argentina

2020 ◽  
Vol 17 (1) ◽  
pp. 78-105
Author(s):  
Emiliano Libman ◽  
Gabriel Palazzo
Keyword(s):  
Foreign Exchange ◽  
Current Account ◽  
Risk Premium ◽  
Inflation Targeting ◽  
Inflation Rate ◽  
Current Account Deficit ◽  
External Debt ◽  
Stabilization Process ◽  
Eventual Collapse

This paper highlights the role of external indebtedness and the presence of inflationary inertia in order to assess the effectiveness and sustainability of inflation targeting during disinflation episodes. As the recent Argentinian experience illustrates, a sluggish inflation rate and a significant current-account deficit may make the stabilization process difficult. To illustrate the point, we build a model that shows that, when inflation adjusts fast, the target may be achieved without building too much external debt. But if inflation adjusts slowly, an excessive build-up of external debt could lead to an increase in the risk premium, a sudden shortage of foreign exchange, and the eventual collapse of the inflation-targeting regime.

scholarly journals Estimação da Inflação Implícita de Curto Prazo

2018 ◽  
Vol 15 (2) ◽  
pp. 227
Author(s):  
Gustavo Silva Araujo ◽  
José Valentim Vicente
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
Inflation Rate ◽  
Predictive Ability ◽  
Short Term ◽  
Government Bonds ◽  
Inflation Risk ◽  
Short Run ◽  
The Difference ◽  
Better Than

Implicit inflation or break-even inflation rate (BEIR) is the difference between nominal and real interest rates. In the Brazilian market, we can obtain it from indexed government bonds. However, when dealing with short-term BEIR, this task presents two difficulties: a) inflation-indexed bonds have indexation lags; b) inflation seasonality implies real interest rate seasonality. The aim of this paper is to propose a methodology to estimate the short-term BEIR that addresses these two issues. Assuming a negligible inflation risk premium in the short run, we evaluate the predictive ability of the BEIR by confronting it with expectations based on the market analysts’ forecasts published on the Focus Survey. The results show that the BEIR is competitive when compared to the Focus Survey. An advantage of the BEIR is that it allows monitoring of expectations better than surveys, since it is continuously updated.

scholarly journals Investigation of Engel-West explanation of Meese-Rogoff puzzle on Serbia-Eurozone case: Lag augmented VAR approach

2018 ◽  
pp. 821-834
Author(s):  
Predrag Petrovic ◽  
Goran Nikolic
Keyword(s):  
Money Supply ◽  
Inflation Rate ◽  
Var Models ◽  
Present Value ◽  
Economic Fundamentals ◽  
Real Gdp ◽  
Prior Testing ◽  
Exchange Rate Models ◽  
Reliable Testing ◽  
Differential Inflation

The study is dedicated to research of Engel-West explanation of Meese-Rogoff puzzle on Serbia-Eurozone case (2004:q4 - 2015:q2). The analysis was conducted by applying lag augmented VAR procedure (LA-VAR), which enables quite reliable testing of Granger causality when (some or all) time series are non-stationary without mandatory prior testing of cointegration and differencing thereof. The following Engel et al. [2005] investigation was carried out on bivariate and multivariate VAR models, taking into account five macro?economic fundamentals (money supply differential, inflation rate differential, interest rate differential, real GDP differential and interaction of money supply differential and real GDP differential). The obtained results demonstrate quite unconvincing indications about empirical validity of present-value exchange rate models, and do not confirm findings of Engel et al. [2005].

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