Wirtschaftsprognosen sollen die Unsicherheit bezüglich der zukünftigen wirtschaftlichen Entwicklung mindern und Planungsprozesse von Regierungen und Unternehmen unterstützen. Empirische Studien bescheinigen ihnen jedoch in aller Regel ein unbefriedigendes Qualitätsniveau. Auf der Suche nach...

Event studies represent an increasingly popular method to evaluate (future) welfare effects of economic policy decisions. The basic idea is to hire the stock market as a referee, i.e. that stock market reactions to the announcement of policy decision are interpreted to contain superior...

This study analyzes the accuracy of forecasted target prices within analysts’ reports. We compute a measurefor target price forecast accuracy that evaluates the ability of analysts to exactly forecast the ex-ante (unknown)12-month stock price. Furthermore, we determine factors that explain...

This dissertation is concerned with the forecasting performance of time series models for the price movements of high-frequency transaction data on the Frankfurt Stock Exchange. The availability of high quality data of this kind at an affordable cost makes it possible to investigate the...

Prediction markets have proven high forecasting performance in many areas such as politics, sportsand business-related fields compared to traditional instruments such as polls or expert opinions. Theadvantage of real-money prediction markets is to provide participants with a clear incentive to...

Macroeconomic risk assessments play an important role in the forecasts of manyinstitutions. However, to the best of our knowledge their performance has notbeen investigated yet. In this work, we study the Bank of England’s risk forecastsfor inflation. We find that these forecasts do not...

In this papaer, we put DSGE forecasts in competition with factor forecasts. We focus on these two models since they represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic background; the factor model on the other hand is mainly...

We systematically examine the comparative predictive performance of a number of alternativelinear and non-linear models for stock and bond returns in the G7 countries. Besides Markovswitching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regimeswitching...