New Evidence on the Ability of Asset Prices and Real Economic Activity Forecast Errors to Predict Inflation Forecast Errors |
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| Authors: | Nicholas Apergis |
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| Institution: | Department of Banking and Financial Management, University of Piraeus, Greece |
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| Abstract: | This paper investigates the impact of both asset and macroeconomic forecast errors on inflation forecast errors in the USA by making use of a two‐regime model. The findings document a significant contribution of both types of forecast errors to the explanation of inflation forecast errors, with the pass‐through being stronger when these errors move within the high‐volatility regime. Copyright © 2016 John Wiley & Sons, Ltd. |
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| Keywords: | inflation forecast errors asset and macroeconomic forecast errors two‐regime model USA |
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