Search Results - subject:"predictability"

Reconciling the Return Predictability Evidence

Lettau, Martin; Nieuwerburgh, Stijn Van - Society for Economic Dynamics - SED - 2006

Evidence of stock return predictability by financial ratios is still controversial, as documented by inconsistent …

Persistent link: https://www.econbiz.de/10005069286

Volatility of Development Aid; From the Frying Pan Into the Fire?

Hamann, A. Javier; Bulir, Ales - International Monetary Fund (IMF) - 2006

The positive impact of foreign aid is limited by the erratic behavior of aid flows. The introduction in 1999 of various initiatives anchored in Poverty Reduction Strategy Papers (PRSPs) which were aimed at strengthening coordination among donors, improving the design of financial support...

Persistent link: https://www.econbiz.de/10005769017

An Evaluation of the World Economic Outlook Forecasts

Timmermann, Allan - International Monetary Fund (IMF) - 2006

The World Economic Outlook (WEO) is a key source of forecasts of global economic conditions. It is therefore important to review the performance of these forecasts against both actual outcomes and alternative forecasts. This paper conducts a series of statistical tests to evaluate the quality of...

Persistent link: https://www.econbiz.de/10005769333

Dynamic asset allocation and latent variables

Sørensen, Carsten; Trolle, Anders Bjerre - Copenhagen Business School - 2006

implications of investment horizon and return predictability when real interest rates and expected excess returns on stock and …

Persistent link: https://www.econbiz.de/10005644730

Predicting GDP Components. Do Leading Indicators Increase Predictability?

Dovern, Jonas - Institut für Weltwirtschaft (IfW) - 2006

We use the concept of predictability as presented in Diebold and Kilian (2001) to assess how well the growth rates of … indicators can increase predictability of these time series. To this end, we propose an algorithm to select an optimal … predictability for all quarterly growth rates whereas yearly growth rates seem to be more predictable at short forecast horizons …

Persistent link: https://www.econbiz.de/10005818772

Money Market Integration

Bartolini, Leonardo; Hilton, R. Spence; Prati, Alessandro - International Monetary Fund (IMF) - 2006

We use transaction-level data and detailed modeling of the high-frequency behavior of federal funds and Eurodollar yield spreads to provide evidence of strong integration between the federal funds and Eurodollar markets, the two core components of the dollar money market. Our results contrast...

Persistent link: https://www.econbiz.de/10005599733

Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle

Valente, Giorgio; Leon, H. L.; Sarno, Lucio - International Monetary Fund (IMF) - 2006

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

Persistent link: https://www.econbiz.de/10005604790

Common Volatility Trends in the Central and Eastern European Currencies and the Euro

Pramor, Marcus; Tamirisa, Natalia T. - International Monetary Fund (IMF) - 2006

How much convergence has been achieved between Central and Eastern European (CEE) economies and the eurozone? We explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find that these trends are closely correlated, pointing to convergence in the economic...

Persistent link: https://www.econbiz.de/10005605079

Habit Formation and Persistence in Individual Asset Portfolio Holdings; The Case of Italy

Muñoz, Sònia - International Monetary Fund (IMF) - 2006

This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in a multinomial framework. I focus on a...

Persistent link: https://www.econbiz.de/10005605275

International Equity Flows and the Predictability of U.S. Stock Returns

Hartmann, Daniel; Pierdzioch, Christian - Volkswirtschaftliche Fakultät, … - 2006

-sample and out-of-sample predictability of stock returns, we found evidence of a strong positive (negative) link between …

Persistent link: https://www.econbiz.de/10005617004