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Comparing and evaluating Bayesian predictive distributions of assets returns
Geweke, John; Amisano, Gianni - European Central Bank - 2008
Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...
Persistent link: https://www.econbiz.de/10005530935
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Optimal Prediction Pools
Geweke, John; Amisano, Gianni - European Central Bank - 2009
A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...
Persistent link: https://www.econbiz.de/10005002781
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Sensitivity analysis of volatility: a new tool for risk management
Manganelli, Simone; Ceci, Vladimiro; Vecchiato, Walter - European Central Bank - 2002
The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest … to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation … derive the sensitivity of the univariate portfolio GARCH variance to the portfolio weights, by analytically computing the …
Persistent link: https://www.econbiz.de/10005222359
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Competitiveness and external imbalances within the euro area
Banks, A team of the Working Group on Econometric … - European Central Bank - 2012
The onset of the financial crisis in 2008 has highlighted the problems of diverging external imbalances within Economic and Monetary Union (EMU) and the role of persistent losses in competitiveness. This paper starts by investigating some of the competitiveness factors which contributed to...
Persistent link: https://www.econbiz.de/10010688312
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Competitiveness and external imbalances within the euro area
Banks, A team of the Working Group on Econometric … - European Central Bank - 2012
The onset of the financial crisis in 2008 has highlighted the problems of diverging external imbalances within Economic and Monetary Union (EMU) and the role of persistent losses in competitiveness. This paper starts by investigating some of the competitiveness factors which contributed to...
Persistent link: https://www.econbiz.de/10010693503
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Fiscal policy in a monetary economy with capital and finite lifetime
Annicchiarico, Barbara; Giammarioli, Nicola; … - European Central Bank - 2006
This paper develops a dynamic stochastic general equilibrium model with nominal rigidities, capital accumulation and finite lifetimes. The framework exhibits intergenerational wealth effects and is intended to investigate the macroeconomic implications of fiscal policy, which is specified by...
Persistent link: https://www.econbiz.de/10005344905
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The disappearing tax base: is foreign direct investment eroding corporate income taxes?
Gropp, Reint; Kostial, Kristina - European Central Bank - 2000
turn affect the corporate tax base. Simulations of EU harmonization (isolating the revenue effect of FDI on the tax base …
Persistent link: https://www.econbiz.de/10005816177
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The Euro bloc, the Dollar bloc and the Yen bloc: how much monetary policy independence can exchange rate flexibility buy in an interdependent world?
Fratzscher, Marcel - European Central Bank - 2002
The paper analyses the trade-off between exchange rate flexibility and monetary policy autonomy. It tests empirically the 'Possible Duality' hypothesis, i.e. whether countries with more flexible currency regimes are indeed able to exert more monetary policy autonomy than those with less flexible...
Persistent link: https://www.econbiz.de/10005530688
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric; Schnabl, Gunther - European Central Bank - 2006
intervention. Based on a GARCH framework and change point detection, we test for a structural break in the effectiveness of …
Persistent link: https://www.econbiz.de/10005530723
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Do options-implied RND functions on G3 currencies move around the times of interventions on the JPY/USD exchange rate?
Castrén, Olli - European Central Bank - 2004
This paper focuses on changes in the currency options market’s assessment of likely future exchange rate developments around the times of official interventions in the JPY/USD exchange rate. We estimate the options-implied risk-neutral density functions (RNDs) using daily OTC quotes for...
Persistent link: https://www.econbiz.de/10005530892