227 research outputs found
Inflation and unemployment in Switzerland: from 1970 to 2050
An empirical model is presented linking inflation and unemployment rate to
the change in the level of labour force in Switzerland. The involved variables
are found to be cointegrated and we estimate lagged linear deterministic
relationships using the method of cumulative curves, a simplified version of
the 1D Boundary Elements Method. The model yields very accurate predictions of
the inflation rate on a three year horizon. The results are coherent with the
models estimated previously for the US, Japan, France and other developed
countries and provide additional validation of our quantitative framework based
solely on labour force. Finally, given the importance of inflation forecasts
for the Swiss monetary policy, we present a prediction extended into 2050 based
on official projections of the labour force level.Comment: 21 pages, 12 figure
Gender income disparity in the USA: analysis and dynamic modelling
We analyze and develop a quantitative model describing the evolution of
personal income distribution, PID, for males and females in the U.S. between
1930 and 2014. The overall microeconomic model, which we introduced ten years
ago, accurately predicts the change in mean income as a function of age as well
as the dependence on age of the portion of people distributed according to the
Pareto law. As a result, we have precisely described the change in Gini ratio
since the start of income measurements in 1947. The overall population consists
of two genders, however, which have different income distributions. The
difference between incomes earned by male and female population has been
experiencing dramatic changes over time. Here, we model the internal dynamics
of men and women PIDs separately and then describe their relative contribution
to the overall PID. Our original model is refined to match all principal
gender-dependent observations. We found that women in the U.S. are deprived of
higher job positions. This is the cause of the long term income inequality
between males and females in the U.S. It is unjust to women and has a negative
effect on real economic growth. Women have been catching up since the 1960s and
that improves the performance of the U.S. economy. It will take decades,
however, to full income equality between genders. There are no new defining
parameters included in the model except the critical age, when people start to
lose their incomes, was split into two critical ages for low-middle incomes and
the highest incomes, which obey a power law distribution. Such an extension
becomes necessary in order to match the observation that the female population
in the earlier 1960s was practically not represented in the highest incomes
Unemployment and inflation in Western Europe: solution by the boundary element method
Using an analog of the boundary element method in engineering and science, we
analyze and model unemployment rate in Austria, Italy, the Netherlands, Sweden,
Switzerland, and the United States as a function of inflation and the change in
labor force. Originally, the model linking unemployment to inflation and labor
force was developed and successfully tested for Austria, Canada, France,
Germany, Japan, and the United States. Autoregressive properties of neither of
these variables are used to predict their evolution. In this sense, the model
is a self-consistent and completely deterministic one without any stochastic
component (external shocks) except that associated with measurement errors and
changes in measurement units. Nevertheless, the model explains between 65% and
95% of the variability in unemployment and inflation. For Italy, the rate of
unemployment is predicted at a time horizon of nine years with pseudo
out-of-sample root-mean-square forecasting error of 0.55% for the period
between 1973 and 2006. One can expect that the u nemployment will be growing
since 2008 and will reach 11.4% near 2012. After 2012, unemployment in Italy
will start to descend.Comment: 27 pages, 22 figure
PPI of durable and nondurable goods: 1985-2016
It was demonstrated that the difference between the PPI of durable and nondurable goods can be predicted at a several year horizon. The prediction consists of three steps. First, we show that the difference between producer price index for durable and nondurable goods is characterized by the presence of sustainable mid-term trends. Second, the evolution of the difference is predicted at a five to ten-year horizon as an extrapolation of the previously observed behavior. Third, considering the overall PPI to be practically constant over the next decade one can expect an overall decline in nondurables price and equivalent increase in that for durables.durable goods, nondurable goods, prediction, PPI
Long-term linear trends in consumer price indices
Headline CPI, core CPI and indices for various expenditure categories were analyzed. Long-term linear trends have been found in the difference between the core CPI and the headline CPI in the USA. Duration of these periods is different for positive (18 years) and negative (8 years) trends, and the trends change to opposite during some shorter time intervals of 2 to 4 years. The difference between the core CPI and the index for energy is similar to that between the core CPI and headline CPI. The index for energy will reach the core CPI in 2008, however. Then, one should not expect further increase in energy price beyond that dictated by the CPI. It is likely that oil price will be falling in absolute terms. The difference between the core CPI and the index for food also has two linear branches after 1980, but the slope of the current trend is weak and the difference will intercept zero line only in 2014. The difference between the core CPI and the housing index is characterized by an almost constant duration of negative and positive branches – approximately 11 years. The current period of negative slope in the difference will approach its turning point in 2008 or 2009 and is characterized by very high volatility. The next trend has to be positive, i.e. the housing index will be growing at a lower rate than the headlining CPI. The difference for the transportation index had a longer period of positive slope – between 1980 and 2004. During this period the difference reached the level of 30 units of index. Currently, a turning period is observed and a negative slope is developing. The difference related to price indices allows to accurately predicting the evolution of relevant stock market indices.CPI, core CPI, expenditure categories, price index, stock market index
The Australian Phillips curve and more
A quantitative model is presented linking the rate of inflation and unemployment to the change in the level of labor force. The link between the involved variables is a linear one with all coefficients of individual and generalized models obtained empirically. To achieve the best fit between measured and predicted time series cumulative curves are used as a simplified version of the 1-D boundary elements method. All models for Australia are similar to those obtained for the US, France, Japan and other developed countries and thus validate the concept and related quantitative model.inflation, unemployment, labor force, modeling, Australia
S&P 500 returns revisited
The predictions of the S&P 500 returns made in 2007 have been tested and the underlying models amended. The period between 2003 and 2008 should be described by the dependence of the S&P 500 stock market index on real GDP because the population pyramid was highly inaccurate. The 2008 trough and 2009 rally are well predicted by the original model, however. The rally will end in March/April 2010 and the S&P 500 level will be decreasing into 2011. This prediction should validate the model.S&P 500, returns, prediction, population pyramid, GDP
Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources
We have studied statistical characteristics of five share price time series.
For each stock price, we estimated a best fit quantitative model for the
monthly closing price as based on the decomposition into two defining consumer
price indices selected from a large set of CPIs. It was found that there are
two pairs of similar models (Bank of America/Morgan Stanley and Goldman
Sachs/JPMorgan Chase) with a standalone model for Franklin Resources. From each
pair, one can choose the company with the highest return depending on the
future evolution of defining CPIsComment: 12 pages, 5 figure
Modelling and predicting labor force productivity
Labor productivity in Turkey, Spain, Belgium, Austria, Switzerland, and New Zealand has been analyzed and modeled. These counties extend the previously analyzed set of the US, UK, Japan, France, Italy, and Canada. Modelling is based on the link between the rate of labor participation and real GDP per capita. New results validate the link and allow predicting a drop in productivity by 2010 in almost all studied countries.productivity, labor force, real GDP, prediction, modelling
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