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- 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. |
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| 3. |
- 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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| 4. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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Svensk ekonomi är inte normal (och oberoende) – fakta om makroekonomiska variablers tidsserieegenskaper
- 2023
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Ingår i: Ekonomisk Debatt. - Stockholm : Nationalekonomiska föreningen. - 0345-2646. ; 51:1, s. 42-54
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Tidskriftsartikel (refereegranskat)abstract
- Att de störningar som drabbar makroekonomin är normalfördelade och har konstant varians är två antaganden som allt oftare har övergivits i den inter-nationella forskningslitteraturen under de senaste två decennierna. I denna artikel undersöks om detta är relevant för ett antal nyckelvariabler i svensk mak-roekonomi. Sammantaget tyder våra resultat på att forskare och policyekonomer som modellerar svenska makroekonomiska variabler – t ex i syfte att beskriva riskbilden kring dem – har påtaglig anledning att åtminstone överge antagandet om konstant störningsvarians. Ett konkret problem som annars kan uppstå är att prognososäkerhet överskattas i lugna tider och underskattas i turbulenta tider.
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| 5. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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Vector autoregression models with skewness and heavy tails
- 2023
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Ingår i: Journal of Economic Dynamics and Control. - : Elsevier. - 0165-1889 .- 1879-1743. ; 146
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Tidskriftsartikel (refereegranskat)abstract
- With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed and heavy tailed. In this paper, we contribute to the literature by extending a vector autoregression (VAR) model to account for more realistic assumptions on the multivariate distribution of macroeconomic variables. We propose a general class of generalized hyperbolic skew Student’s distribution with stochastic volatility for the innovations in the VAR model that allows us to take into account both skewness and heavy tails. Tools for Bayesian inference and model selection using a Gibbs sampler are provided. In an empirical study, we present evidence of skewness and heavy tails for monthly macroeconomic variables. The analysis also gives a clear message that skewness is a value-added feature to VAR models with heavy tails.
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