Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/30574
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dc.contributor.authorCanepa, A-
dc.contributor.authorKaranasos, M-
dc.contributor.authorParaskevopoulos, A-
dc.contributor.authorZanetti Chini, E-
dc.date.accessioned2025-01-26T09:02:57Z-
dc.date.available2025-01-26T09:02:57Z-
dc.date.issued2022-04-11-
dc.identifierORCiD: Alessandra Canepa https://orcid.org/0000-0002-1287-3920-
dc.identifierORCiD: Menelaos Karanasos https://orcid.org/0000-0001-5442-3509-
dc.identifier.citationCanepa, A. et al. (2022) Forecasting inflation: A GARCH-in-mean-level Model with time varying predictability. Department of Economics Working Papers no. 11. Bergamo: Università degli Studi di Bergamo, pp. 1 - 44. Available at: https://aisberg.unibg.it/handle/10446/212692 (accessed: 24 January 2025).en_US
dc.identifier.urihttps://bura.brunel.ac.uk/handle/2438/30574-
dc.description.abstractIn this paper we employ an autoregressive GARCH-in-mean-level process with variable coefficients to forecast inflaation and investigate the behavior of its persistence in the United States. We propose new measures of time varying persistence, which not only distinguish between changes in the dynamicsof inflation and its volatility, but are also allow for feedback between the two variables. Since it is clear from our analysis that predictability is closely interlinked with (first-order) persistence we coin the term persistapredictability. Our empirical results suggest that the proposed model has good forecasting properties.en_US
dc.format.extent1 - 44-
dc.format.mediumElectronic-
dc.language.isoenen_US
dc.publisherUniversità degli Studi di Bergamoen_US
dc.relation.ispartofseriesDepartment of Economics Working Papers;no.. 11-
dc.relation.urihttps://aisberg.unibg.it/handle/10446/212692-
dc.relation.urihttps://aisberg.unibg.it/retrieve/7d216faf-0df4-4604-8b7a-814342d99579/WPEconomics_11.pdf-
dc.rightsAttribution-NonCommercial 4.0 International-
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/-
dc.subjectGARCH-in-meanen_US
dc.subjectInflation persistenceen_US
dc.subjectoptimal forecastsen_US
dc.subjectstructural breaksen_US
dc.titleForecasting inflation: A GARCH-in-mean-level Model with time varying predictabilityen_US
dc.typeWorking Paperen_US
pubs.confidentialfalse-
pubs.confidentialfalse-
pubs.publication-statusUnpublished-
dc.rights.licensehttps://creativecommons.org/licenses/by-nc-nd/4.0/legalcode.en-
dc.rights.holderThe Author(s)-
Appears in Collections:Dept of Economics and Finance Research Papers

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