Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Filippo Altissimo"'
Publikováno v:
The Review of Economics and Statistics. 92(4):1024-1034
Removal of short-run dynamics from a stationary time series to isolate the medium to long-run component, can be obtained by a band-pass filter. However, band pass filters are infinite moving averages and can therefore deteriorate at the end of the sa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b81bb414daf2b8708a7e3392b93e1290
http://www.mitpressjournals.org/doi/pdf/10.1162/REST_a_00045
http://www.mitpressjournals.org/doi/pdf/10.1162/REST_a_00045
Publikováno v:
Journal of Monetary Economics. 56:231-241
An aggregation exercise is proposed that aims at investigating whether the fast average adjustments of the disaggregate inflation series of the euro area CPI is coherent with the slow adjustment of euro area aggregate inflation. Estimating a dynamic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6e69e6dda8a66e03887a2dcf24037f22
https://doi.org/10.1016/j.jmoneco.2008.12.013
https://doi.org/10.1016/j.jmoneco.2008.12.013
Autor:
Filippo Altissimo, Antonio Mele
Publikováno v:
The Review of Economic Studies. 76(2):413-450
This paper introduces a new class of parameter estimators for dynamic models with possibly unobserved components, called simulated non-parametric estimators (hereafter SNEs). The SNE aims to minimize measures of distance between the finite-dimensiona
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::38aa0723af2a98c5a62dca4728089d70
http://hdl.handle.net/10.1111/j.1467-937X.2008.00527.x
http://hdl.handle.net/10.1111/j.1467-937X.2008.00527.x
Publikováno v:
Journal of the European Economic Association. 4:585-593
This paper synthesises the implications of recent statistical evidence regarding inflation persistence in the euro area. For aggregate data, the degree of inflation persistence appears to be very high for sample periods spanning multiple decades but
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b4c92b3a11c3a8e74e7af85cb5d7f7e1
https://doi.org/10.1162/jeea.2006.4.2-3.585
https://doi.org/10.1162/jeea.2006.4.2-3.585
Autor:
Filippo Altissimo, Valentina Corradi
Publikováno v:
Journal of Econometrics. 117:207-244
This paper proposes a new approach for detecting the number of structural breaks in a time series when estimation of the breaks is performedone at the time. We consid er the case of shifts in the mean of a possibly nonlinear process, allowing for dep
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c3e2e02f2859a43a56cc69905b99805e
https://doi.org/10.1016/s0304-4076(03)00147-7
https://doi.org/10.1016/s0304-4076(03)00147-7
Publikováno v:
Journal of Applied Econometrics. 16:461-486
This paper studies the joint dynamics of U.S. output and unemployment rate in a nonlinear VAR model. The nonlinearity is introduced through a feedback variable that endogenously augments the output lags of the VAR in recessionary phases. Sufficient c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::db4e3ec2db0296985cec5d619cc76f97
https://doi.org/10.1002/jae.599
https://doi.org/10.1002/jae.599
Publikováno v:
Altissimo, Filippo; Benigno, Pierpaolo; Rodriguez Palenzuela, Diego (2011). Inflation Differentials in a Currency Area: Facts, Explanations and Policy. Open economies review, 22(2), pp. 189-233. Dordrecht: Springer Science + Business Media B.V 10.1007/s11079-010-9189-6
The determinants of inflation differentials in a currency area are analyzed both from an empirical and a theoretical perspective. The empirical analysis shows that a sizeable dispersion of HICP inflation rates across euro-area countries arises mostly
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::964fb5fdeae9d8495acc8616223018af
https://boris.unibe.ch/9372/1/s11079-010-9189-6.pdf
https://boris.unibe.ch/9372/1/s11079-010-9189-6.pdf
An aggregation exercise is proposed that aims at in-vestigating whether the fast average adjustment of the disaggregate inflation series of the euro area CPI translates into the slow adjustment of euro area aggregate inflation. We first estimate a dy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::04b263ef701d6f16ba2bd8d7f6cee2b0
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp729.pdf
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp729.pdf
Publikováno v:
SSRN Electronic Journal.
This paper presents ideas and methods underlying the construction of a timely coincident index that tracks euro-area GDP growth, but, unlike GDP growth, (i) is updated monthly and almost in real time; (ii) is free from seasonal and shorter-run dynami
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d318f62959694edffe983b2a7c9d50a6
https://doi.org/10.2139/ssrn.1005171
https://doi.org/10.2139/ssrn.1005171
This paper provides a summary of current knowledge on inflation persistence and price stickiness in the euro area, based on research findings that have been produced in the context of the Inflation Persistence Network. The main findings are: i) Under
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::b53ac96cd9d5d04f71d761cd7abf878b
https://www.nbb.be/doc/oc/repec/reswpp/wp95.pdf
https://www.nbb.be/doc/oc/repec/reswpp/wp95.pdf