8 datasets found
  1. J

    POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN...

    • journaldata.zbw.eu
    • jda-test.zbw.eu
    csv, pdf, txt, xlsx
    Updated Dec 7, 2022
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    Nalan Basturk; Cem Çakmaklı; S. Pinar Ceyhan; Herman K. van Dijk; Nalan Basturk; Cem Çakmaklı; S. Pinar Ceyhan; Herman K. van Dijk (2022). POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PHILLIPS CURVE MODELS WITH NON‐FILTERED DATA (replication data) [Dataset]. http://doi.org/10.15456/jae.2022321.0715879835
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    pdf(1258986), csv(3577), xlsx(21294), csv(3574), csv(2915), txt(1631)Available download formats
    Dataset updated
    Dec 7, 2022
    Dataset provided by
    ZBW - Leibniz Informationszentrum Wirtschaft
    Authors
    Nalan Basturk; Cem Çakmaklı; S. Pinar Ceyhan; Herman K. van Dijk; Nalan Basturk; Cem Çakmaklı; S. Pinar Ceyhan; Herman K. van Dijk
    License

    Attribution 4.0 (CC BY 4.0)https://creativecommons.org/licenses/by/4.0/
    License information was derived automatically

    Description

    Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended New Keynesian Phillips curve (NKPC) models. It is shown that mechanical removal or modeling of simple low-frequency movements in the data may yield poor predictive results which depend on the model specification used. Basic NKPC models are extended to include structural time series models that describe typical time-varying patterns in levels and volatilities. Forward? and backward-looking expectation components for inflation are incorporated and their relative importance is evaluated. Survey data on expected inflation are introduced to strengthen the information in the likelihood. Use is made of simulation-based Bayesian techniques for the empirical analysis. No credible evidence is found on endogeneity and long-run stability between inflation and marginal costs. Backward-looking inflation appears stronger than forward-looking inflation. Levels and volatilities of inflation are estimated more precisely using rich NKPC models. The extended NKPC structures compare favorably with existing basic Bayesian vector autoregressive and stochastic volatility models in terms of fit and prediction. Tails of the complete predictive distributions indicate an increase in the probability of deflation in recent years.

  2. f

    Marginal effects of the two regimes defined by the estimated threshold...

    • plos.figshare.com
    xls
    Updated May 30, 2023
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    Carmen Diaz-Roldan; María A. Prats; Maria del Carmen Ramos-Herrera (2023). Marginal effects of the two regimes defined by the estimated threshold values. [Dataset]. http://doi.org/10.1371/journal.pone.0252316.t004
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    xlsAvailable download formats
    Dataset updated
    May 30, 2023
    Dataset provided by
    PLOS ONE
    Authors
    Carmen Diaz-Roldan; María A. Prats; Maria del Carmen Ramos-Herrera
    License

    Attribution 4.0 (CC BY 4.0)https://creativecommons.org/licenses/by/4.0/
    License information was derived automatically

    Description

    Marginal effects of the two regimes defined by the estimated threshold values.

  3. Consumer price inflation in UAE 2000-2023

    • statista.com
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    Statista, Consumer price inflation in UAE 2000-2023 [Dataset]. https://www.statista.com/statistics/1396135/uae-consumer-price-inflation/
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    Dataset authored and provided by
    Statistahttp://statista.com/
    Area covered
    United Arab Emirates
    Description

    After recording negative consumer price inflation in 2019 and 2020, the UAE saw a marginal increase in consume price inflation in 2021. However, this figure is expected to significantly increase in the following two years. By 2023, the consumer price inflation is expected to rise by *** percent, roughly matching the average between 2000 and 2018. UAE consumer price inflation vs consumer price index Consumer price inflation, as opposed to the consumer price index, is the overall increase in the price of goods and services in a particular economy. The consumer price index can measure the inflation rate of specific goods or services. For example, the consumer price index amongst various categories in 2020 revealed that tobacco and beverages saw the most significant price increases. Consumer price inflation in the UAE Although the UAE average consumer price inflation between 2000 and 2018 was significantly higher than the GCC average, it performed remarkably better than other member states in the subsequent three years. Nevertheless, most countries in the GCC, like the UAE, often fare better when it comes to inflation rate change in the Middle East and North Africa.

  4. m

    Data from: Examining the behaviour of inflation to supply and demand shocks...

    • data.mendeley.com
    Updated Sep 24, 2024
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    Nektarios Michail (2024). Examining the behaviour of inflation to supply and demand shocks using an MS-VAR model [Dataset]. http://doi.org/10.17632/ynh8t43wxc.1
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    Dataset updated
    Sep 24, 2024
    Authors
    Nektarios Michail
    License

    Attribution 4.0 (CC BY 4.0)https://creativecommons.org/licenses/by/4.0/
    License information was derived automatically

    Description

    This code allows researchers to replicate the paper titled "Examining the behaviour of inflation to supply and demand shocks using an MS-VAR model", which is published in Economic Modelling.

    The paper examines how inflation reacts depending on whether a supply (cost) or demand (markup) shock occurs. Despite their importance, the behaviour of markups remains an open empirical question in the literature. We use data for the US over the 1948q1-2019q3 period, decompose the price index to markups and costs, and employ a small-scale DSGE model to extract identifying size conditions for the coefficient estimates. These are then used in a Markov-switching VAR (MS-VAR) with fixed transition probabilities using an updating step. The empirical exercise shows that three different regimes exist (expansionary, contractionary, supply shock), while the Generalized Impulse Response Functions document that markups appear to be countercyclical and marginal costs are procyclical across all regimes. As such, inflation’s reaction to a shock can be less volatile than expected depending on the regime. In addition, larger shocks have a lower and less persistent effect on inflation, because they are more easily identifiable which allows corrective action to be taken.

  5. f

    Behavioral Heterogeneity in U.S. Inflation Dynamics

    • tandf.figshare.com
    pdf
    Updated Jun 1, 2023
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    Adriana Cornea-Madeira; Cars Hommes; Domenico Massaro (2023). Behavioral Heterogeneity in U.S. Inflation Dynamics [Dataset]. http://doi.org/10.6084/m9.figshare.4928795.v1
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    pdfAvailable download formats
    Dataset updated
    Jun 1, 2023
    Dataset provided by
    Taylor & Francis
    Authors
    Adriana Cornea-Madeira; Cars Hommes; Domenico Massaro
    License

    Attribution 4.0 (CC BY 4.0)https://creativecommons.org/licenses/by/4.0/
    License information was derived automatically

    Description

    In this article we develop and estimate a behavioral model of inflation dynamics with heterogeneous firms. In our stylized framework there are two groups of price setters, fundamentalists and random walk believers. Fundamentalists are forward-looking in the sense that they believe in a present-value relationship between inflation and real marginal costs, while random walk believers are backward-looking, using the simplest rule of thumb, naive expectations, to forecast inflation. Agents are allowed to switch between these different forecasting strategies conditional on their recent relative forecasting performance. We estimate the switching model using aggregate and survey data. Our results support behavioral heterogeneity and the significance of evolutionary learning mechanism. We show that there is substantial time variation in the weights of forward-looking and backward-looking behavior. Although on average the majority of firms use the simple backward-looking rule, the market has phases in which it is dominated by either the fundamentalists or the random walk believers.

  6. Monetary Policy and the Redistribution Channel, Italy and U.S., 1999-2013,...

    • icpsr.umich.edu
    Updated Aug 26, 2021
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    Auclert, Adrien (2021). Monetary Policy and the Redistribution Channel, Italy and U.S., 1999-2013, 2001-2002, 2010 [Dataset]. http://doi.org/10.3886/ICPSR38144.v1
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    Dataset updated
    Aug 26, 2021
    Dataset provided by
    Inter-university Consortium for Political and Social Researchhttps://www.icpsr.umich.edu/web/pages/
    Authors
    Auclert, Adrien
    License

    https://www.icpsr.umich.edu/web/ICPSR/studies/38144/termshttps://www.icpsr.umich.edu/web/ICPSR/studies/38144/terms

    Area covered
    Italy, United States
    Description

    This study contains the top-level Panel Study of Income Dynamics (PSID) Stata dataset used for the analysis in "Monetary Policy in the Redistribution Channel", published by Adrien Auclert in the June 2019 issue of the American Economic Review. That article's abstract reads: "This paper evaluates the role of redistribution in the transmission mechanism of monetary policy to consumption. Three channels affect aggregate spending when winners and losers have different marginal propensities to consume: an earnings heterogeneity channel from unequal income gains, a Fisher channel from unexpected inflation, and an interest rate exposure channel from real interest rate changes. Sufficient statistics from Italian and US data suggest that all three channels are likely to amplify the effects of monetary policy."

  7. J

    Is euro area lowflation here to stay? Insights from a time‐varying parameter...

    • journaldata.zbw.eu
    csv, pdf, txt, xlsx
    Updated Feb 20, 2024
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    Arnoud Stevens; Joris Wauters; Arnoud Stevens; Joris Wauters (2024). Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data (replication data) [Dataset]. http://doi.org/10.15456/jae.2022327.0718200571
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    csv(9623), txt(9623), pdf(1167600), txt(2437), xlsx(21030)Available download formats
    Dataset updated
    Feb 20, 2024
    Dataset provided by
    ZBW - Leibniz Informationszentrum Wirtschaft
    Authors
    Arnoud Stevens; Joris Wauters; Arnoud Stevens; Joris Wauters
    License

    Attribution 4.0 (CC BY 4.0)https://creativecommons.org/licenses/by/4.0/
    License information was derived automatically

    Description

    We build a time-varying parameter model that jointly explains the dynamics of euro area inflation and inflation expectations. Our goal is to explain the weak inflation during the post-financial crisis economic recovery of 2013-2019. We find that the inclusion of survey data leads to a more muted decline of trend inflation in recent years and more economic slack. Moreover, the impact of economic slack and import prices on inflation has recently strengthened, and survey respondents updated their beliefs more actively over the financial crisis period. Our model compares well against restricted specifications in terms of forecast performance and marginal likelihood.

  8. f

    Average marginal effect estimates for total cost of care by race/ethnicity.

    • plos.figshare.com
    xls
    Updated Oct 14, 2024
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    Tricia J. Johnson; Joshua Longcoy; Sumihiro Suzuki; Zeynep Isgor; Elizabeth B. Lynch (2024). Average marginal effect estimates for total cost of care by race/ethnicity. [Dataset]. http://doi.org/10.1371/journal.pone.0309159.t003
    Explore at:
    xlsAvailable download formats
    Dataset updated
    Oct 14, 2024
    Dataset provided by
    PLOS ONE
    Authors
    Tricia J. Johnson; Joshua Longcoy; Sumihiro Suzuki; Zeynep Isgor; Elizabeth B. Lynch
    License

    Attribution 4.0 (CC BY 4.0)https://creativecommons.org/licenses/by/4.0/
    License information was derived automatically

    Description

    Average marginal effect estimates for total cost of care by race/ethnicity.

  9. Not seeing a result you expected?
    Learn how you can add new datasets to our index.

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Nalan Basturk; Cem Çakmaklı; S. Pinar Ceyhan; Herman K. van Dijk; Nalan Basturk; Cem Çakmaklı; S. Pinar Ceyhan; Herman K. van Dijk (2022). POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PHILLIPS CURVE MODELS WITH NON‐FILTERED DATA (replication data) [Dataset]. http://doi.org/10.15456/jae.2022321.0715879835

POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PHILLIPS CURVE MODELS WITH NON‐FILTERED DATA (replication data)

Explore at:
pdf(1258986), csv(3577), xlsx(21294), csv(3574), csv(2915), txt(1631)Available download formats
Dataset updated
Dec 7, 2022
Dataset provided by
ZBW - Leibniz Informationszentrum Wirtschaft
Authors
Nalan Basturk; Cem Çakmaklı; S. Pinar Ceyhan; Herman K. van Dijk; Nalan Basturk; Cem Çakmaklı; S. Pinar Ceyhan; Herman K. van Dijk
License

Attribution 4.0 (CC BY 4.0)https://creativecommons.org/licenses/by/4.0/
License information was derived automatically

Description

Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended New Keynesian Phillips curve (NKPC) models. It is shown that mechanical removal or modeling of simple low-frequency movements in the data may yield poor predictive results which depend on the model specification used. Basic NKPC models are extended to include structural time series models that describe typical time-varying patterns in levels and volatilities. Forward? and backward-looking expectation components for inflation are incorporated and their relative importance is evaluated. Survey data on expected inflation are introduced to strengthen the information in the likelihood. Use is made of simulation-based Bayesian techniques for the empirical analysis. No credible evidence is found on endogeneity and long-run stability between inflation and marginal costs. Backward-looking inflation appears stronger than forward-looking inflation. Levels and volatilities of inflation are estimated more precisely using rich NKPC models. The extended NKPC structures compare favorably with existing basic Bayesian vector autoregressive and stochastic volatility models in terms of fit and prediction. Tails of the complete predictive distributions indicate an increase in the probability of deflation in recent years.

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