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A state-dependent model for inflation forecasting
16 references·9 citing·41 second hop
A state-dependent model for inflation forecasting (2015)A state-dependent model for inflation for…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyTests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…Macroeconomics and Reality (1980)Macroeconomics and RealityAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Time Series Analysis Forecasting and Control. (1971)Time Series Analysis Forecast…The intermittent Phillips curve: finding a stable (but persistence-dependent) Phillips curve model specification (2023)The intermittent Phillips cur…A Unified Framework to Estimate Macroeconomic Stars (2022)A Unified Framework to Estima…Does the Phillips Curve Help to Forecast Euro Area Inflation? (2020)Does the Phillips Curve Help …Is the slope of the Phillips curve time-varying? Evidence from unobserved components models (2019)Is the slope of the Phillips …Determinants and Implications of Low Global Inflation Rates (2018)Determinants and Implications…Short-term inflation forecasting: The M.E.T.A. approach (2017)Short-term inflation forecast…Forecasting inflation: Phillips curve effects on services price measures (2017)Forecasting inflation: Philli…Flattening of the New Keynesian Phillips curve: Evidence for an emerging, small open economy (2017)Flattening of the New Keynesi…When Can Trend-Cycle Decompositions Be Trusted? (2016)When Can Trend-Cycle Decompos…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Some recent development in a concept of causality (1988)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1971Time Series Analysis Forecasting and Control.6,714 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

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2,308 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • Cited by

    • 2017Forecasting inflation: Phillips curve effects on services price measures42 cited
    • 2017Short-term inflation forecasting: The M.E.T.A. approach40 cited
    • 2017Flattening of the New Keynesian Phillips curve: Evidence for an emerging, small open economy37 cited
    • 2018Determinants and Implications of Low Global Inflation Rates35 cited
    • 2020Does the Phillips Curve Help to Forecast Euro Area Inflation?34 cited
    • 2023The intermittent Phillips curve: finding a stable (but persistence-dependent) Phillips curve model specification19 cited
    • 2016When Can Trend-Cycle Decompositions Be Trusted?16 cited
    • 2019Is the slope of the Phillips curve time-varying? Evidence from unobserved components models15 cited
    • 2022A Unified Framework to Estimate Macroeconomic Stars15 cited