Forecasting inflation under uncertainty: The forgotten dog and the frisbee

Nasir, Muhammad

doi:10.1016/j.techfore.2020.120172

Cited by 26 publications

(8 citation statements)

References 48 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Nonetheless, Meland (2006) argued that exchange rate targeting can be superior (yields higher employment) than inflation targeting under wage-setting conditions. Given the fact that in the Post-GFC and globally low rate regime (see in Haldane (2015); Nasir (2017)), the questions are that do the oil price shocks and shocks from other determinants transmit differently in the inflation targeting and non-targeting economics? and does the net oil export position makes any difference!…”

Section: Inflation Targetingmentioning

confidence: 99%

“…Compared with Japan, the effects of exogenous prices on inflation and inflation expectations in the US are not only large but also long-lasting and shocks to expectations have self-fulfilling effects on inflation. On the contrary, Fuhrer (2011) reported that short-run inflation expectations play (see, Haldane (2015); Nasir (2017) for a survey of literature on this subject).…”

Section: Determinants Of Inflation and Inflation Expectationsmentioning

confidence: 99%

“…policy rates. One may argue that there is not such a thing as ZLB as the central banks for instance; the Bank of Japan, European Central Bank (ECB) and the Riksbank have defied the bounds on the nominal rates by adopting negative interest rates Nasir (2017). Yet, it is also obvious that they did not go very far below Zero.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Inflation targeting & implications of oil shocks for inflation expectations in oil-importing and exporting economies: Evidence from three Nordic Kingdoms

Nasir

Huynh

Yarovaya³

2020

International Review of Financial Analysis

Self Cite

View full text Add to dashboard Cite

Section: Inflation Targetingmentioning

confidence: 99%

Section: Determinants Of Inflation and Inflation Expectationsmentioning

confidence: 99%

See 1 more Smart Citation

Inflation targeting & implications of oil shocks for inflation expectations in oil-importing and exporting economies: Evidence from three Nordic Kingdoms

Nasir

Huynh

Yarovaya³

2020

International Review of Financial Analysis

Self Cite

View full text Add to dashboard Cite

“…While some research on determinants of FX focused on the macroeconomic fundamentals (Dornbusch, 2019; Fratzscher, 2009; Morana, 2009; Pericoli & Taboga, 2012), many studies have found an unstable relationship between exchange rates and macroeconomic fundamentals (Bacchetta & van Wincoop, 2013; Beckmann & Czudaj, 2017; Krol, 2014). Some other studies investigated the levels of exchange rates where uncertainty also plays a role, as in the case of Brexit (Bartsch, 2019; Nasir, 2020; Nasir & Morgan, 2018) or for emerging markets (Abid, 2020; Bush & Noria, 2021) as well as developed economies (Grossmann et al, 2014; Murad, 2022; Smales, 2022). When the path of FX returns exhibits significant discontinuities, jumps are said to be observed in the FX market.…”

Section: Introductionmentioning

confidence: 99%

Jump forecasting in foreign exchange markets: A high‐frequency analysis

Uzun

Şensoy

Nguyen

2023

Journal of Forecasting

View full text Add to dashboard Cite

Using tick data for 14 emerging and developed market currencies covering the period from January 2018 until April 2021, we first detect jumps by Lee and Mykland methodology then apply various machine learning algorithms to forecast out of sample jump occurrences and their direction. Our results show that the arrival and the direction of intraday jumps in the foreign exchange market can be predicted with these algorithms combined with liquidity metrics and technical indicators, even for the Covid pandemic period where volatility in the foreign exchange market is very high. Among all the methods considered, multilayer perceptron has the highest average accuracy for jump prediction overall, followed by support vector machine and random forest methodologies with slightly less average accuracy results. Results are robust to alternative sampling schemes. Accordingly, central bankers can adjust liquidity injection timing with these jump prediction models in the foreign exchange markets where they can try to minimize jump strength if not completely eliminate its occurrence. For investors, having information regarding jump occurrence timings gives an opportunity to hedge against foreign exchange risks more efficiently.

show abstract

“…Our work reaches a step closer to an understanding of how the FX market responds to the shocks originating from domestic and foreign economic uncertainties. First, unlike Kido (2016), Nasir and Morgan (2018), Huynh et al (2020), Nasir (2020), Chen et al (2020), among others, who center on the roles of uncertainty in the exchange rate dynamics, we attempt to explore the impact of uncertainty on China’s EMP. Since the RMB exchange rate remains under control, its fluctuations are less informative in revealing market pressures.…”

Section: Introductionmentioning

confidence: 99%

Economic Uncertainty and Exchange Market Pressure: Evidence From China

Lin

2022

Sage Open

View full text Add to dashboard Cite

This paper evaluates the impact of local and external economic uncertainty shocks on China’s exchange market pressure from a time-varying perspective. We first construct a simple behavioral model to provide some economic background for our empirical analysis. The model identifies two channels, namely market sentiment and market demand, through which economic uncertainty has a time-varying impact on exchange market pressure. Notably, we calculate a new exchange market pressure index for China by considering China’s practice. Using the economic policy uncertainty index as a proxy for economic uncertainty and our new estimates of China’s exchange market pressure, we employ a novel TVP-VAR model controlling for over-parameterization to a monthly dataset from January 2001 to October 2020 to analyze the impact of China’s and U.S. economic policy uncertainties on China’s exchange market pressure. Our empirical findings robustly show that an upsurge in U.S. EPU is followed by appreciation pressure of the RMB against the dollar, while a hike in China’s EPU triggers devaluation pressure on the RMB. In addition, the impact of economic policy uncertainty has considerable time variation in magnitude, especially after mid-2011, showing a trade-off mechanism between the effects of domestic and foreign economic uncertainties on China’s exchange market pressure. Moreover, we attribute the time-varying features to the changes in China’s dependence on the U.S. and in the exchange rate flexibility. Finally, China should further improve the exchange rate flexibility, reduce its dependence on the U.S. and develop a more diversified currency basket in the exchange rate formation mechanism. JEL: F31 C50 E70

show abstract

Forecasting inflation under uncertainty: The forgotten dog and the frisbee

Cited by 26 publications

References 48 publications

Inflation targeting & implications of oil shocks for inflation expectations in oil-importing and exporting economies: Evidence from three Nordic Kingdoms

Inflation targeting & implications of oil shocks for inflation expectations in oil-importing and exporting economies: Evidence from three Nordic Kingdoms

Jump forecasting in foreign exchange markets: A high‐frequency analysis

Economic Uncertainty and Exchange Market Pressure: Evidence From China

Contact Info

Product

Resources

About