This dissertation consists of two essays on predictability of asset prices. "Benchmarking problems and long horizon …

Svensson (2006). First, the paper finds that the precision of communication is a key determinant of the predictability of both … market environment. Specifically, a given statement may enhance predictability in an environment of high market uncertainty …

evolution of the persistence and predictability of inflation relative to a trend component. Using a standard sticky-price model …, we show that a more aggressive policy stance towards inflation causes a decline in inflation predictability, providing a …

evolution of the persistence and predictability of inflation relative to a trend component. Using a standard sticky-price model …, we show that a more aggressive policy stance towards inflation causes a decline in inflation predictability, providing a …

whether these two features of the data may in fact be related. In particular, we ask whether the predictability of exchange …

approach only when evaluating the risk for currency crises. Key words: Currency crises, forecast, predictability, signals …- proach has advantages over the signals approach regarding the predictability of currency crises. In the course of their …-sample predictability of currency crises. The figure shows stronger signals prior the 1996 and 2001 crises. However, the crisis probability …

experiments. Artificial data are generated, characterized by low predictability, structural instability, and fat tails, which is … low predictability, structural instability, and fat tails, which is typical for many financial-economic time series. Sen …. Keywords: Stock return predictability, time varying weight combination, forecast combination, Bayesian model averaging JEL …

experiments. Artificial data are generated, characterized by low predictability, structural instability, and fat tails, which is …