The global economies were caught up unawares with the sudden outbreak and rapid spread of coronavirus pandemic from Wuhan City of China to the rest of the world. A number of studies have been conducted to investigate the drivers of the spread of the viral infection. To differ with these studies...

I derive two valid forecasting models of the equity premium in monthly frequency, based on little more than no-arbitrage: A “predictability timing” version of partial least squares, given that predictability is theoretically time varying; and a least squares model with realized market...

In a highly interlinked global economy a key question is how foreign shocks transmit to the domestic economy, how domestic shocks affect the rest of the world, and how policy actions mitigate or amplify spillovers. For policy analysis in such a context global multi-country macroeconomic models...

Four estimators of econometric models are compared for predictive accuracy. Two estimators assume that the parameters of the equations are subject to variation over time. The first of these, the adaptive regression technique (ADR), assumes that the intercept varies overtime, while the other, a...

This paper considers a simple quantitative model of output, interest rate and inflation determination in the United States, and uses it to evaluate alternative rules by which the Fed may set interest rates. The model is derived from optimizing behavior under rational expectations, both on the...

The importance of the flow of workers’ remittances in the economies of developing countries during the last few decades or so cannot be ignored at the face changing global order where most of the economies in the world are transforming themselves to the call of globalization and transmuting...

This paper develops a model of endogenous exchange rate pass through within an open economy macroeconomic framework, where both pass-through and the exchange rate are simultaneously determined, and interact with one another. Pass-through is endogenous because firms choose the currency in which...

We show that adding countries as a panel dimension to macroeconomic data can statistically significantly improve the generalization ability of structural and reduced-form models, as well as allow machine learning methods to outperform these and other macroeconomic forecasting models. Using GDP...

In this article we are going to review the modelling of NMDs via replicating portfolios due to the revived interest in NMDs in the context of the interest rate risk of the banking book (IRRBB). The main goal is to provide a self contained presentation of the replicating portfolio approach from...