Greg Tkacz - Latest

• Fractional Cointegration and the Demand for M1

  Staff Working Paper 2000-13 Greg Tkacz

  Using wavelets, the author estimates the fractional order of integration of a common long-run money-demand relationship whose parameters are obtained from a full-information maximum-likelihood procedure.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Monetary aggregates JEL Code(s): C, C1, C13, E, E4, E41

• Non-Parametric and Neural Network Models of Inflation Changes

  Staff Working Paper 2000-7 Greg Tkacz

  Previous studies have shown that interest rate yield spreads contain useful information about future changes in inflation. However, such studies have for the most part focused on linear models, ignoring potential non-linearities between interest rates and inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices JEL Code(s): C, C5, C51, E, E3, E31

• Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator

  Staff Working Paper 2000-5 Greg Tkacz

  The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from 1948 to 1999.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43