Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/126720
題名: | Using the Hybrid Phillips Curve with Memory to Forecast U.S. Inflation | 作者: | 朱琇妍 Chu, Shiou-Yen Shane, Christopher |
貢獻者: | 財政系 | 關鍵詞: | autoregressive fractionally integrated moving average ; inflation persistence; out-of-sample forecasting ; quasi in-sample forecasting | 日期: | Jul-2017 | 上傳時間: | 4-Oct-2019 | 摘要: | This paper adopts the Caputo fractional derivative to re-specify the hybrid Phillips curve as a dynamic process of inflation with memory. The Caputo fractional derivative contains a non-integer differencing order, providing the same insight for persistence as emphasized in the Autoregressive Fractionally Integrated Moving Average (ARFIMA) time series models. We utilize the hybrid Phillips curve with memory to forecast US inflation during 1967–2014. The results indicate that our model performs well against a traditional hybrid Phillips curve, an integrated moving average model and a naive random walk model in quasi-in-sample forecasts. In out-of-sample forecasts based on Consumer Price Index (CPI) and Personal Consumption Expenditure (PCE) data, we find that the forecasting performance of Phillips curve models depends on the sample period. Our model with CPI data can outperform others in out-of-sample forecasts during and after the most recent financial crisis (2006–2014). | 關聯: | Studies in Nonlinear Dynamics and Econometrics, Vol.21, No.4, pp.117-133 | 資料類型: | article | DOI: | https://doi.org/10.1515/snde-2016-0088 |
Appears in Collections: | 期刊論文 |
Show full item record
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.