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Author: | Moosa, I.A. Kwiecien, J |
Title: | Cross-Country Evidence On The Ability Of The Nominal Interest Rate To Predict Inflation |
Journal: | Japanese Economic Review
2002 : DEC, VOL. 53:4, p.478-495 |
Index terms: | TIME SERIES ECONOMETRIC MODELS INFLATION |
Freeterms: | Fisher Hypothesis |
Language: | eng |
Abstract: | The authors argue that the ability of the interest rate to forecast inflation can be improved by estimating the relationship in a time-varying parametric framework and by allowing for seasonality in the interest rate. The authors present their case using quarterly data for four OECD countries. |
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