Similar Search Results

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

Clarida, Richard; Sarno, Lucio; Taylor, Mark P; … - C.E.P.R. Discussion Papers - 2002

premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display non …-linearities. This Paper proposes a term-structure forecasting model of exchange rates based on a regime-switching vector equilibrium …

Persistent link: https://www.econbiz.de/10005788911

The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates

Clarida, Richard; Sarno, Lucio; Taylor, Mark P; … - C.E.P.R. Discussion Papers - 2005

monetary policy decisions and have satisfactory out-of-sample forecasting properties. …

Persistent link: https://www.econbiz.de/10005124113

Model-based Clustering of Multiple Time Series

Frühwirth-Schnatter, Sylvia; Kaufmann, Sylvia - C.E.P.R. Discussion Papers - 2004

documents the efficiency gains in estimation and forecasting that are realized when appropriately grouping the time series of a …

Persistent link: https://www.econbiz.de/10005497905

Monetary-Fiscal Mix and Inflation Performance: Evidence from the US

Favero, Carlo A.; Monacelli, Tommaso - C.E.P.R. Discussion Papers - 2003

There has been a lot of interest recently in developing small-scale rule-based empirical macro models for the analysis of monetary policy. These models, based on the conventional view that inflation stabilization should be a concern of monetary policy only, have typically neglected the role of...

Persistent link: https://www.econbiz.de/10005662224

Optimal Forecast Combination Under Regime Switching

Elliott, Graham; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

This Paper proposes a new forecast combination method that lets the combination weights be driven by regime switching in a latent state variable. An empirical application that combines forecasts from survey data and time series models finds that the proposed regime switching combination scheme...

Persistent link: https://www.econbiz.de/10005662283

Stochastic Capital Depreciation and the Comovement of Hours and Productivity

Dittmar, Robert; Dueker, Michael; Fischer, Andreas M - C.E.P.R. Discussion Papers - 2002

In this article, we demonstrate that a small degree of stochastic variation in the depreciation rate of capital can greatly reduce the comovement between hours worked and labour productivity in a neoclassical growth model. The depreciation rate is modeled as a Markov process to place a strict...

Persistent link: https://www.econbiz.de/10005791621

Hot and Cold Housing Markets: International Evidence

Ceron, Jose A.; Suarez, Javier - C.E.P.R. Discussion Papers - 2006

This paper examines the experience of 14 developed countries for which there are about 30 years of quarterly inflation-adjusted housing price data. Price dynamics is modelled as a combination of a country-specific component and a cyclical component. The cyclical component is a two-state Markov...

Persistent link: https://www.econbiz.de/10005792537

Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model

Canova, Fabio; Ciccarelli, Matteo - C.E.P.R. Discussion Papers - 2001

We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a … point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of … predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided. …

Persistent link: https://www.econbiz.de/10005504253

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

1
2
3
4
5
6
7
8
Next
Last