Estimation and evaluation of core inflation measures

This article estimates and evaluates different measures of core inflation for India by employing statistical and econometric approaches. We estimate Wholesale Price Index (WPI) ex-food, WPI ex-food and energy, 20% asymmetric trimmed mean, 63rd percentile and Structural Vector Autoregression (SVAR) measures of core inflation. The trimmed mean, 63rd percentile and SVAR measures are unbiased, less volatile and highly correlated to headline inflation. The predictive accuracy of the different core inflation measures used in this article is assessed. The overall result suggests that a 20% asymmetric trimmed mean and SVAR measures of core inflation can be useful for the policy purposes.     

Monetary policy rules for a developing country: Evidence from Pakistan

This paper estimates forward-looking monetary policy rules to examine the interest rate setting behavior of the State Bank of Pakistan. Considering the external constraints on monetary policy, core inflation and a country-specific measure of the output gap, we demonstrate that the State Bank of Pakistan reacts to changes in inflation, the output gap and the federal funds rate.     

Long memory and structural breaks in modeling the return and volatility dynamics of precious metals

We investigate the potential of structural changes and long memory (LM) properties in returns and volatility of the four major precious metal commodities traded on the COMEX markets (gold, silver, platinum and palladium). Broadly speaking, a random variable is said to exhibit long memory behavior if its autocorrelation function is not integrable, while structural changes can induce sudden and significant shifts in the time-series behavior of that variable. The results from implementing several parametric and semiparametric methods indicate strong evidence of long range dependence in the daily conditional return and volatility processes for the precious metals. Moreover, for most of the precious metals considered, this dual long memory is found to be adequately captured by an ARFIMA–FIGARCH model, which also provides better out-of-sample forecast accuracy than several popular volatility models. Finally, evidence shows that conditional volatility of precious metals is better explained by long memory than by structural breaks.     

Volatility spillovers and macroeconomic announcements: evidence from crude oil markets

The paper applies an event study methodologyaims to investigate the macroeconomic announcements effects on Standard&Poor’s500 and oil prices. Our results provide evidence for a significant impact of the US macroeconomic news on oil prices. This impact is split into two components, namely the direct effect (common response) and indirect effect (volatility transmission). Altogether our results show that the volatility transmission is bidirectional. Not only a significant volatility transmission from the oil market to the US stock market is revealed, but also a high volatility transmission is recorded from the oil market to the stock market especially after the release of consumption indicators.     

New Evidence on the Relationship Between Crude Oil Consumption and Economic Growth in the US: A Quantile Causality and Cointegration Approach

Journal of Quantitative Economics - This paper investigates the long-run and short-run relationship between WTI crude oil consumption and economic growth, covering the US economy for the period...