We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures...

This paper examines the role of credit markets in the transmission of U.S. macro-financial shocks through the prism of a financial conditions index (FCI) based on a vector autoregression (VAR) methodology. It explores the relative predictive power of market variables compared to credit...

Financial conditions indexes are developed for the United States and euro area using a wide range of financial indicators and a dynamic factor model. The financial conditions indexes are shown to be useful for forecasting economic activity and have good revision properties.

The present study is an attempt to build a Univariate time series model to forecast the exports of industrial goods from Punjab for ensuing decade till 2020. The study employs Box-Jenkin’s methodology of building ARIMA (Autoregressive Integrated Moving Average) model to achieve various...

Abstract Davidson and MacKinnon’s J-test was developed to test non-nested model specification. In empirical applications, however, when the alternate specifications fit the data well the J test may fail to distinguish between the true and false models: the J test will either reject, or fail to...

In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their...