Similar Search Results

Rose, Andrew K - C.E.P.R. Discussion Papers - 2013

fixes, a reasonably durable regime. However, most of the new stability is due to countries that float with an inflation … target. Though a few have left to join the Eurozone, no country has yet abandoned an inflation targeting regime under duress …. Inflation targeting now represents a serious alternative to a hard exchange rate fix for small economies seeking monetary …

Persistent link: https://www.econbiz.de/10011083734

Unemployment in Interwar Britain: New Evidence from London

Eichengreen, Barry - C.E.P.R. Discussion Papers - 1985

This paper reassesses the pattern of unemployment in interwar Britain from a microeconomic perspective. A 10 per cent sample of some 27,000 case record cards completed in 1929-31 as part of the New Survey of London Life and Labour is used as a basis for cross-section analysis of unemployment...

Persistent link: https://www.econbiz.de/10005497867

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 that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact on forecasting performance of two crucial modelling choices,...

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

Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models

Bams, Dennis; Schotman, Peter C - C.E.P.R. Discussion Papers - 1998

This paper proposes a panel data framework for tests of affine models of the term structure of interest rates which …

Persistent link: https://www.econbiz.de/10005498193

Can we use seasonally adjusted indicators in dynamic factor models?

Camacho, Maximo; Lovcha, Yuliya; Pérez-Quirós, Gabriel - C.E.P.R. Discussion Papers - 2012

We examine the short-term performance of two alternative approaches of forecasting from dynamic factor models. The first approach extracts the seasonal component of the individual indicators before estimating the dynamic factor model, while the alternative uses the non seasonally adjusted data...

Persistent link: https://www.econbiz.de/10011083553

The effects of global shocks on small commodity-exporting economies: New evidence from Canada

Charnavoki, Valery; Dolado, Juan J. - C.E.P.R. Discussion Papers - 2012

representative case study. Combining large panel data sets of the global and Canadian economies, we first identify those demand and …

Persistent link: https://www.econbiz.de/10011084371

Factor Forecasts for the UK

Artis, Michael J; Banerjee, Anindya; Marcellino, … - C.E.P.R. Discussion Papers - 2002

Time series models are often adopted for forecasting because of their simplicity and good performance. The number of parameters in these models increases quickly with the number of variables modelled, so that usually only univariate or small-scale multivariate models are considered. Yet, data...

Persistent link: https://www.econbiz.de/10005661430

How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2005

lowers the prediction mean-squared error of forecast models of US consumer price inflation. We study bagging methods for …-of-sample forecasts of inflation based on these bagging methods to that of alternative forecast methods, including factor model forecasts …

Persistent link: https://www.econbiz.de/10005661494

Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2008

We conduct a detailed simulation study of the forecasting performance of diffusion index-based methods in short samples with structural change. We consider several data generation processes, to mimic different types of structural change, and compare the relative forecasting performance of factor...

Persistent link: https://www.econbiz.de/10005666861

Factor Based Index Tracking

Corielli, Francesco; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2002

Index tracking requires building a portfolio of stocks (a replica) whose behaviour is as close as possible to that of a given stock index. Typically, much fewer stocks should appear in the replica than in the index, and there should be no low frequency (persistent) components in the tracking...

Persistent link: https://www.econbiz.de/10005666958