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Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011
to these scenarios affect the upside and downside risks embodied in the baseline real-time oil price forecast. Such risk …
Persistent link: https://www.econbiz.de/10009385759
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Loss Functions in Option Valuation: A Framework for Model Selection
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2005
In this paper, we investigate the importance of different loss functions when estimating and evaluating option pricing models. Our analysis shows that it is important to take into account parameter uncertainty, since this leads to uncertainty in the predicted option price. We illustrate the...
Persistent link: https://www.econbiz.de/10005791774
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An Evaluation Framework for Alternative VaR Models
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2002
type of models often leads to too extreme VaR-estimates, whereas the latter type underestimates the risk in case of extreme …In this Paper we investigate the ability of different models to produce useful VaR-estimates for exchange rate … in the reported VaR. We make this uncertainty in the VaR explicit by means of simulation. Our empirical results suggest …
Persistent link: https://www.econbiz.de/10005123557
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Investigation of the Costly-Arbitrage Model of Price Formation Around the Ex-Dividend Day
Dai, Qinglei; Rydqvist, Kristian - C.E.P.R. Discussion Papers - 2007
We estimate the costly-arbitrage model of Boyd and Jagannathan (1994) using Norwegian stock market data. Taxable distributions take place at two separate dates, one that entails the distribution of an imputation-tax credit and another the distribution of the cash dividend. We find that the...
Persistent link: https://www.econbiz.de/10005123615
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Dividends and Bank Capital in the Financial Crisis of 2007-2009
Acharya, Viral V; Gujral, Irvind; Kulkarni, Nirupama; … - C.E.P.R. Discussion Papers - 2012
The headline numbers appear to show that even as banks and financial intermediaries suffered large credit losses in the financial crisis of 2007-09, they raised substantial amounts of new capital, both from private investors and through government-funded capital injections. However, on closer...
Persistent link: https://www.econbiz.de/10011083440
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Market-Based Bank Capital Regulation
Bulow, Jeremy I.; Klemperer, Paul - C.E.P.R. Discussion Papers - 2013
Today’s regulatory rules, especially the easily-manipulated measures of regulatory capital, have led to costly bank failures. We design a robust regulatory system such that (i) bank losses are credibly borne by the private sector (ii) systemically important institutions cannot collapse...
Persistent link: https://www.econbiz.de/10011083692
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Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 2009
there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR …
Persistent link: https://www.econbiz.de/10004973965
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Methods for Measuring Expectations and Uncertainty in Markov-Switching Models
Bianchi, Francesco - C.E.P.R. Discussion Papers - 2013
generalize Campbell's VAR implementation of Campbell and Shiller's present value decomposition to allow for parameter instability … suitable for structural estimation. …
Persistent link: https://www.econbiz.de/10011083330
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What Central Bankers Need to Know about Forecasting Oil Prices
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2012
Recent research has shown that recursive real-time VAR forecasts of the real price of oil tend to be more accurate than … benefits of allowing for time variation in VAR model parameters and of constructing forecast combinations. We conclude that … quarterly forecasts of the real price of oil from suitably designed VAR models estimated on monthly data generate the most …
Persistent link: https://www.econbiz.de/10011083683
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Money, Interest Rates and Prices in Ireland, 1933-2012
Gerlach, Stefan; Stuart, Rebecca - C.E.P.R. Discussion Papers - 2014
and what assumptions we have made in doing so. Furthermore, we perform a VAR analysis to provide some simple empirical …
Persistent link: https://www.econbiz.de/10011083948