Search Results - subject:"fundamentals"

Exchange rate pass-through and inflation dynamics in Tunisia: A Markov-switching approach

Khemiri, Rim; Ali, Mohamed Sami Ben - In: Economics - The Open-Access, Open-Assessment E-Journal 7 (2013), pp. 1-30

This paper studies the effect of exchange rate pass-through on inflation in Tunisia for the period 2001 to 2009. The objective is to track inflation regimes for the Tunisian economy and to forecast its determinants. Using a Markov-switching approach, the authors identified two main regimes for...

Persistent link: https://www.econbiz.de/10010954754

Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals

Lutz, Benjamin Johannes; Pigorsch, Uta; Rotfuß, Waldemar - In: Energy Economics 40 (2013) C, pp. 222-232

In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices … the EUA price and its fundamentals varies over time. In particular, we are able to identify a low and a high volatility … regime, both showing a strong impact of the fundamentals on the EUA price. The most important EUA price drivers are changes …

Persistent link: https://www.econbiz.de/10011039535

Where to play and how to win – strategy fundamentals the Procter & Gamble way

Leavy, Brian - In: Strategy & Leadership 41 (2013) 5, pp. 7-16

Purpose – This masterclass offers a guide to the disciplined approach to getting strategy fundamentals right and the …

Persistent link: https://www.econbiz.de/10015017512

Fundamentals, forecast combinations and nominal exchange-rate predictability

Wu, Jyh-Lin; Wang, Yi-Chiuan - In: International Review of Economics & Finance 25 (2013) C, pp. 129-145

This paper investigates the out-predictability of fundamentals and forecast combinations. By adopting a panel … different fundamentals under consideration in out-of-sample contests. It provides strong evidence to out-predict the random walk … statistical significance of beating the random walk. Third, combining forecasts from different fundamentals that have relatively …

Persistent link: https://www.econbiz.de/10010588163

FORECASTING THE RAND-DOLLAR AND RAND-POUND EXCHANGE RATES USING DYNAMIC MODEL AVERAGING

Bruyn, Riane de; Gupta, Rangan; Eyden, Renee van - Department of Economics, Faculty of Economic and … - 2013

Traditionally, the literature on forecasting exchange rates with many potential predictors have primarily only accounted for parameter uncertainty using Bayesian Model Averaging (BMA). Though BMA-based models of exchange rates tend to outperform the random walk model, we show that when...

Persistent link: https://www.econbiz.de/10010640711

Forecasting China’s Foreign Exchange Reserves Using Dynamic Model Averaging: The Role of Macroeconomic Fundamentals, Financial Stress and Economic Uncertainty

Gupta, Rangan; Hammoudeh, Shawkat; Kim, Won Joong; … - Department of Economics, Faculty of Economic and … - 2013

We develop models for examining possible predictors of growth of China’s foreign exchange reserves that embrace Chinese and global trade, financial and risk (uncertainty) factors. Specifically, by comparing with other alternative models, we show that the dynamic model averaging (DMA) and...

Persistent link: https://www.econbiz.de/10010711932

Do firm characteristics matter for the dynamics of idiosyncratic risk?

Vozlyublennaia, Nadia - In: Journal of International Financial Markets, … 27 (2013) C, pp. 35-46

We investigate the effects of several firm characteristics utilized in the recent literature to account for puzzling dynamics of idiosyncratic risk. Our results suggest that these characteristics (book-to-market, leverage, size, institutional ownership, earnings-per-share, and turnover) are able...

Persistent link: https://www.econbiz.de/10010718959

Chapter 8. Forecasting the Price of Oil

Alquist, Ron; Kilian, Lutz; Vigfusson, Robert J. - In: Handbook of Economic Forecasting : volume 2, part A, (pp. 427-507). 2013

We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real and nominal oil prices predictable...

Persistent link: https://www.econbiz.de/10014025541

The Eurozone sovereign debt crisis and the Asian economies : facing the challenge

Das, Dilip K. - In: Human systems management : HSM 32 (2013) 4, pp. 231-242

Persistent link: https://www.econbiz.de/10010231561

Dynamic risk, accounting-based valuation and firm fundamentals

Lyle, Matthew R.; Callen, Jeffrey L.; Elliott, Robert J. - In: Review of accounting studies 18 (2013) 4, pp. 899-929

Persistent link: https://www.econbiz.de/10010234301