All Outputs (3)

Improving forecasting accuracy of the Phillips curve in OECD countries: The role of commodity prices (2020)
Journal Article
Salisu, A. A., Salisu, A. A., Swaray, R., & Sa'id, H. (in press). Improving forecasting accuracy of the Phillips curve in OECD countries: The role of commodity prices. International journal of finance & economics : IJFE, https://doi.org/10.1002/ijfe.1944

We investigate the power of commodity prices to improve inflation forecast performance in 21 OECD countries, within the framework of commodity prices-augmented Phillips curve model. Using monthly data spanning over 57 years, we use single and multi-f... Read More about Improving forecasting accuracy of the Phillips curve in OECD countries: The role of commodity prices.

Criminalizing price-fixing (2020)
Journal Article
Dnes, A. W., & Swaray, R. (in press). Criminalizing price-fixing. Managerial and decision economics : MDE, https://doi.org/10.1002/mde.3192

We assess whether recent US Department of Justice (DOJ) price‐fixing cases exhibit characteristics that are associated theoretically with optimal use of criminal law. We take our welfare standard from seminal work on optimal legal design. Optimal leg... Read More about Criminalizing price-fixing.

Forecasting the return volatility of energy prices: a GARCH-MIDAS approach (2020)
Book Chapter
Salisu, A. A., & Swaray, R. (2020). Forecasting the return volatility of energy prices: a GARCH-MIDAS approach. In S. Goutte, & D. K. Nguyen (Eds.), Handbook of energy finance: Theories, practices and simulations (47-71). World Scientific Publishing. https://doi.org/10.1142/11213

This chapter offers an extension to the literature on energy prices by forecasting the return volatility of these prices using the GARCH-MIDAS approach. In addition to the realized volatility, it also evaluates the predictability of relevant macroeco... Read More about Forecasting the return volatility of energy prices: a GARCH-MIDAS approach.