Haku
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Forecasting inflation with the New Keynesian Phillips curve : Frequency matters
(21.04.2020)
Bank of Finland Research Discussion Papers 4/2020
Bank of Finland Research Discussion Papers 4/2020
We show that the New Keynesian Phillips Curve (NKPC) outperforms standard benchmarks in forecasting U.S. inflation once frequency-domain information is taken into account. We do so by decomposing the time series (of inflation ...
Time-frequency forecast of the equity premium
(27.04.2020)
Bank of Finland Research Discussion Papers 6/2020
Bank of Finland Research Discussion Papers 6/2020
Any time series can be decomposed into cyclical components fluctuating at different frequencies. Accordingly, in this paper we propose a method to forecast the stock market's equity premium which exploits the frequency ...
Yield curve momentum
(16.11.2021)
Bank of Finland Research Discussion Papers 15/2021
Bank of Finland Research Discussion Papers 15/2021
I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. ...