The Role of Economic Policy Uncertainty in Forecasting US Inflation Using a VARFIMA Model
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- Mehmet Balcilar & Rangan Gupta & Charl Jooste, 2014. "The Role of Economic Policy Uncertainty in Forecasting US Inflation Using a VARFIMA Model," Working Papers 201460, University of Pretoria, Department of Economics.
References listed on IDEAS
- Jones, Paul M. & Olson, Eric, 2013. "The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model," Economics Letters, Elsevier, vol. 118(1), pages 33-37.
- Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "A fractionally integrated approach to monetary policy and inflation dynamics," Working Papers 2072/211795, Universitat Rovira i Virgili, Department of Economics.
- Colombo, Valentina, 2013.
"Economic policy uncertainty in the US: Does it matter for the Euro area?,"
Elsevier, vol. 121(1), pages 39-42.
- Valentina Colombo, 2013. "Economic policy uncertainty in the US: Does it matter for the Euro Area?," "Marco Fanno" Working Papers 0160, Dipartimento di Scienze Economiche "Marco Fanno".
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- Kazutaka Kurasawa, 2016. "Policy Uncertainty and Foreign Exchange Rates: The DCC-GARCH Model of the US / Japanese Foreign Exchange Rate," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 5(4), pages 1-19, December.
- repec:agr:journl:v:3(612):y:2017:i:3(612):p:29-38 is not listed on IDEAS
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KeywordsInflation; long-range dependency; economic policy uncertainty;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-08-30 (All new papers)
- NEP-CBA-2015-08-30 (Central Banking)
- NEP-FOR-2015-08-30 (Forecasting)
- NEP-GER-2015-08-30 (German Papers)
- NEP-MAC-2015-08-30 (Macroeconomics)
- NEP-MON-2015-08-30 (Monetary Economics)
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