Search Results - subject:"predictability"

Monetary policy predictability in the euro area: an international comparison

Wilhelmsen, Bjørn-Roger; Zaghini, Andrea - 2005

show that the days of policy meetings are special days for financial markets. Second, we find that the predictability of …

Persistent link: https://www.econbiz.de/10011604550

Stock Market Predictability in the MENA: Evidence from New Variance Ratio Tests and Technical Trade Analysis

Segot, Thomas Lagoarde; Lucey, Brian M - Institute for International Integration Studies (IIIS), … - 2005

The objective of this paper is to test for predictability in the Middle-Eastern North African (MENA) markets by … the hypothesis of stock market predictability. Both variable moving average (VMA) and trade range breaking (TRB) trade …

Persistent link: https://www.econbiz.de/10005518467

Direct Preference for Wealth in Aggregate Household Portfolio

St-Amour, Pascal - Départment d'économétrie et d'économie politique … - 2005

According to standard theory, wealth should have no intrinsic value. Yet, conventional wisdom, recent theories, and data suggest it might. We verify whether or not households have direct preferences over wealth in selecting assets. The fully structural econometric model focuses on a multivariate...

Persistent link: https://www.econbiz.de/10005518839

Monetary policy predictability in the euro area: An international comparison

Wilhelmsen, Bjørn-Roger; Zaghini, Andrea - Norges Bank - 2005

show that the days of policy meetings are special days for financial markets. Second, we find that the predictability of …

Persistent link: https://www.econbiz.de/10005481453

Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?

Selaive, Jorge; R, Vicente Tuesta - Banco Central de Reserva del Perú - 2005

It is well documented that macroeconomic fundamentals are little help in predicting changes in nominal exchange rates compared to the predictions made by a simple random walk. Lettau and Ludvigson (2001) find that fluctuations in the common long-term trend in consumption, asset wealth, and labor...

Persistent link: https://www.econbiz.de/10005443346

Risk, Return and Dividends

Ang, Andrew; Liu, Jun - Anderson Graduate School of Management, University of … - 2005

-off, as well as characterizing the predictability of stock returns. …

Persistent link: https://www.econbiz.de/10010535970

Monetary Policy and Long-term Interest Rates

Wu, Shu - Department of Economics, University of Kansas - 2005

1970s. This shift in the predictability of the monetary policy actions affects the policy¡¯s impact on long-term interest …

Persistent link: https://www.econbiz.de/10005106589

Consumption, wealth and business cycles: why is Germany different?

Hamburg, Britta; Hoffmann, Mathias; Keller, Joachim - Deutsche Bundesbank - 2005

This paper studies the long-run relationship between consumption, asset wealth and income – the consumption-wealth ratio – in Germany, based on data from 1980 to 2003. Earlier papers for the Anglo-Saxon economies have documented that departures of these three variables from their common...

Persistent link: https://www.econbiz.de/10005083144

On the Predictability of Global Stock Returns

Hjalmarsson, Erik - Nationalekonomiska institutionen, Handelshögskolan - 2005

Stock return predictability is a central issue in empirical finance. Yet no comprehensive study of international data … on U.S. stock-market data. In this paper, I test for stock return predictability in the largest and most comprehensive … predictability at one and 12-month horizons. In contrast to the interest rate variables, no strong or consistent evidence of …

Persistent link: https://www.econbiz.de/10005651655

Predictive regressions with panel data

Hjalmarsson, Erik - Nationalekonomiska institutionen, Handelshögskolan - 2005

This paper analyzes econometric inference in predictive regressions in a panel data setting. In a traditional time-series framework, estimation and testing are often made difficult by the endogeneity and near persistence of many forecasting variables; tests of whether the dividend-price ratio...

Persistent link: https://www.econbiz.de/10005651706