| 1. |
- Berger, Helge, et al.
(författare)
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A note of caution on the relation between money growth and inflation
- 2023
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Ingår i: Scottish Journal of Political Economy. - : John Wiley & Sons. - 0036-9292 .- 1467-9485. ; 70:5, s. 479-496
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Tidskriftsartikel (refereegranskat)abstract
- We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The effect of money growth on inflation weakened notably after the 1980s before strengthening after 2020. There is evidence that this time variation is related to the pace of price changes, as we find that the maximum impact of money growth on inflation is increasing in the trend level of inflation. These results caution against asserting a simple, time-invariant relationship when modeling the joint dynamics of monetary aggregates and consumer prices.
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| 2. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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A Hybrid Time-Varying Parameter Bayesian VAR Analysis of Okun’s Law in the United States
- 2020
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Ingår i: Economics Letters. - : Elsevier. - 0165-1765 .- 1873-7374. ; 197
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Tidskriftsartikel (refereegranskat)abstract
- Employing quarterly data on GDP growth and the unemployment rate ranging from 1948Q3 to 2019Q4, we study the stability of Okun’s law in the United States. This is done by estimating hybrid time-varying Bayesian VAR models that allow for time-variation in none, one or both of the equations. Model comparison based on marginal likelihoods suggests that the relationship has not been stable. However, the amount of change in the dynamic relationship between the two variables is quantitatively very modest.
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| 3. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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A Note on the Stability of the Swedish Phillips Curve
- 2020
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Ingår i: Empirical Economics. - : Springer. - 0377-7332 .- 1435-8921. ; 59:6, s. 2573-2612
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Tidskriftsartikel (refereegranskat)abstract
- We use Bayesian techniques to estimate bivariate VAR models for Swedish unem-ployment rate and inflation. Employing quarterly data from 1995Q1 to 2018Q3 and new tools for model selection, we compare models with time-varying parameters and/or stochastic volatility to specifications with constant parameters and/or covariance matrix. The evidence in favour of a stable dynamic relationship between the unemployment rate and inflation is mixed. Model selection based on marginal like-lihood calculations indicates that the relation is time varying, whereas the use of the deviance information criterion suggests that it is constant over time; we do, however, note consistent evidence in favour of stochastic volatility. An out-of-sample forecast exercise is also conducted, but similarly provides mixed evidence regarding which model to favour. Importantly though, even if time-varying parameters are allowed for, our results do not suggest that the Phillips curve has been flatter in more recent years. This finding thereby questions the explanation that a flatter Phillips curve is the cause of the low inflation that Sweden has experienced in recent year.
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| 4. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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Flexible Fat-tailed Vector Autoregression
- 2020
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Rapport (populärvet., debatt m.m.)abstract
- We propose a general class of multivariate fat-tailed distributions which includes the normal, t and Laplace distributions as special cases as well as their mixture. Full conditional posterior distributions for the Bayesian VAR-model are derived and used to construct a MCMC-sampler for the joint posterior distribution. The framework allows for selection of a specific special case as the distribution for the error terms in the VAR if the evidence in the data is strong while at the same time allowing for considerable flexibility and more general distributions than offered by any of the special cases. As fat tails can also be a sign of conditional heteroskedasticity we also extend the model to allow for stochastic volatility. The performance is evaluated using simulated data and the utility of the general model specification is demonstrated in applications to macroeconomics.
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| 5. |
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| 6. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
-
Flexible Fat-tailed Vector Autoregression
- 2021
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Konferensbidrag (refereegranskat)abstract
- We propose a general class of multivariate fat-tailed distributions which includes the normal, t and Laplace distributions as special cases as well as their mixture. Full conditional posterior distributions for the Bayesian VAR-model are derived and used to construct a MCMC-sampler for the joint posterior distribution. The framework allows for selection of a specific special case as the distribution for the error terms in the VAR if the evidence in the data is strong while at the same time allowing for considerable flexibility and more general distributions than offered by any of the special cases. As fat tails can also be a sign of conditional heteroskedasticity we also extend the model to allow for stochastic volatility. The performance is evaluated using simulated data and the utility of the general model specification is demonstrated in applications to macroeconomics and finance.
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| 7. |
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| 8. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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Is the US Phillips curve stable? Evidence from Bayesian vector autoregressions
- 2023
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Ingår i: Scandinavian Journal of Economics. - : John Wiley & Sons. - 0347-0520 .- 1467-9442. ; 125:1, s. 287-314
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Tidskriftsartikel (refereegranskat)abstract
- It has been claimed that the fall in US inflation during the Great Recession was surprisingly small. One possible explanation for this is that the Phillips curve is unstable and that its slope was lower around the Great Recession. We investigate the importance of time-varying parameters using Bayesian vector autoregressions for inflation and unemployment. We find support for time variation in the inflation equation and an unstable Phillips curve that was somewhat flatter between 2005 and 2013. However, conditional forecasts mostly suggest that inflation was not unexpectedly high around the Great Recession, which puts the claim of a "missing disinflation" into question.
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| 9. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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Okuns lag i Sverige – är sambandet stabilt?
- 2021
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Ingår i: Ekonomisk Debatt. - : Nationalekonomiska Föreningen. - 0345-2646. ; 49:8, s. 39-47
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- I denna artikel undersöks huruvida förhållandet mellan förändringen i arbetslöshetsgrad och BNP-tillväxt i Sverige har varit stabilt i Sverige mellan 1982och 2019. Analysen av sambandet, vilket ofta kallas Okuns lag, genomförs mednyutvecklade bayesianska metoder som möjliggör formella jämförelser mellanolika skattade modeller. Våra resultat tyder på att sambandet har varit stabiltöver tiden. De indikerar även att högre BNP-tillväxt än förväntat sänkerarbetslöshetsgraden på kort sikt
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| 10. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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Sambandet mellan arbetslöshet och inflation i Sverige
- 2020
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Ingår i: Ekonomisk Debatt. - : Nationalekonomiska Föreningen. - 0345-2646. ; 48:1, s. 7-19
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- I denna artikel analyseras sambandet mellan arbetslöshet och inflation i Sverige under en period där inflationsmålspolitiken kan ses som etablerad. Resultaten indikerar att sambandet mellan arbetslöshet och inflation – vilket ofta benämns phillipskurvan – inte nödvändigtvis har varit stabilt över tiden. Vi finner dock inget stöd för att inflationen under de senaste åren skulle ha blivit mindre känslig för förändringar i arbetslösheten. Analysen pekar också på vikten av att överväga huruvida makroekonomiska samband samt de störningar som drabbar ekonomin bör modelleras som tidsvarierande, såväl för att kunna besvara akademiska frågeställningar som att ha policymodeller med relevanta empiriska egenskaper.
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