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Commodity prices, commodity currencies, and global economic developments

Groen, Jan J. J.; Pesenti, Paolo - C.E.P.R. Discussion Papers - 2010

statistical benchmarks, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of … least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten …

Persistent link: https://www.econbiz.de/10008530384

Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls

Gobillon, Laurent; Magnac, Thierry - C.E.P.R. Discussion Papers - 2014

In this paper, we investigate the use of interactive effect or linear factor models in regional policy evaluation. We contrast treatment effect estimates obtained by Bai (2009)'s least squares method with the popular difference in differences estimates as well as with estimates obtained using...

Persistent link: https://www.econbiz.de/10011084679

Cross-Country Growth Comparison: Theory to Empirics

Quah, Danny - C.E.P.R. Discussion Papers - 1999

This paper reviews the cross-country record of economic growth, using as organizing framework how economic theory has guided that empirical analysis. The paper argues that recent studies of economic growth - both empirical and theoretical - distinguish from previous work in three distinct ways:...

Persistent link: https://www.econbiz.de/10005792232

Empirics for Economic Growth and Convergence

Quah, Danny - C.E.P.R. Discussion Papers - 1995

The convergence hypothesis has generated a huge empirical literature: this paper critically reviews some of the earlier key findings, clarifies their implications, and relates them to more recent results. Particular attention is devoted to interpreting convergence empirics. The main findings...

Persistent link: https://www.econbiz.de/10005792413

Volatility, Financial Development and the Natural Resource Curse

Poelhekke, Steven; van der Ploeg, Frederick - C.E.P.R. Discussion Papers - 2007

Cross-country evidence is presented on resource dependence and the link between volatility and growth. First, growth depends negatively on volatility of unanticipated output growth independent of initial income per capita, the average investment share, initial human capital, trade openness, the...

Persistent link: https://www.econbiz.de/10005123919

Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices

Bofinger, Peter; Leitner, Johannes; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004

reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that topically-oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …

Persistent link: https://www.econbiz.de/10005504428

Data Revisions Are Not Well-Behaved

Aruoba, Boragan - C.E.P.R. Discussion Papers - 2005

We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial...

Persistent link: https://www.econbiz.de/10005504505

Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set

Favero, Carlo A.; Niu, Linlin; Sala, Luca - C.E.P.R. Discussion Papers - 2007

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework … forecasting performance of two crucial modelling choices, i.e. the imposition of no-arbitrage restrictions and the size of the … information set used to extract factors. Using US yield curve data, we find that: a. macro factors are very useful in forecasting …

Persistent link: https://www.econbiz.de/10005497801

Monetary Policy in Real Time

Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - C.E.P.R. Discussion Papers - 2005

, produces a degree of forecasting accuracy of the federal funds rate similar to that of the markets, and, for output and …

Persistent link: https://www.econbiz.de/10005497952

Common Drifting Volatility in Large Bayesian VARs

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012

The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...

Persistent link: https://www.econbiz.de/10011083279