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Testable implications of forecast optimality

Patton, Andrew J.; Timmermann, Allan - London School of Economics (LSE) - 2005

Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single period horizon with increasing variance as the forecast...

Persistent link: https://www.econbiz.de/10010744999

Greece in recession: economic predictions, mispredictions and policy implications

Petralias, Athanassios; Petros, Sotirios; Prodromídis, … - London School of Economics (LSE) - 2013

We look into the available macroeconomic figures and the predictions made about the recession in Greece by international organizations, Greek research centers, and the Greek government; and suggest that the predictions regarding the decline in real GDP in recent years were overly optimistic. The...

Persistent link: https://www.econbiz.de/10011071440

Exploiting the monthly data-flow in structural forecasting

Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - London School of Economics (LSE) - 2014

This paper shows how and when it is possible to obtain a mapping from a quarterly DSGE model to amonthly specification thatmaintains the same economic restrictions and has real coefficients. We use this technique to derive the monthly counterpart of the Gali et al (2011) model. We then augment...

Persistent link: https://www.econbiz.de/10011126615

Modelling and forecasting UK mortgage arrears and possessions

Aron, Janine; Muellbauer, John - London School of Economics (LSE) - 2010

This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears … scenarios for forecasts to 2013 reveals the sensitivity of mortgage possessions and arrears to different economic conditions …, highlighting potential risks faced by the UK and its mortgage lenders. A comprehensive review of data on arrears and possessions …

Persistent link: https://www.econbiz.de/10011126430

House prices and credit constraints: making sense of the U.S. experience

Duca, John V.; Muellbauer, John; Murphy, Anthony - London School of Economics (LSE) - 2011

Most US house price models break down in the mid-2000's, due to the omission of exogenous changes in mortgage credit … supply (associated with the sub-prime mortgage boom) from house price-to-rent ratio and inverted housing demand models …

Persistent link: https://www.econbiz.de/10011125991

Shifting credit standards and the boom and bust in U.S. house prices

Duca, John V.; Muellbauer, John; Murphy, Anthony - London School of Economics (LSE) - 2011

The U.S. house price boom has been linked to an unsustainable easing of mortgage credit standards. However, standard …

Persistent link: https://www.econbiz.de/10011126625

The impact of wealth on consumption and retirement behaviour in the UK

Blake, David - London School of Economics (LSE) - 2002

Housing and pension wealth are shown to be important determinants of personal sector consumption and retirement behaviour in the UK. Housing and state pension wealth have a positive effect on consumption, while private pension wealth promotes greater savings. Greater private defined benefit...

Persistent link: https://www.econbiz.de/10011071212

Estimation and testing of dynamic models with generalised hyperbolic innovations

Mencia, Javier F.; Sentana, Enrique - London School of Economics (LSE) - 2004

We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...

Persistent link: https://www.econbiz.de/10010884659

Prediction and signal extraction of strong dependent processess in the frequency domain

Hidalgo, Javier; Yajima, Y. - London School of Economics (LSE) - 2001

We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties are well documented and exhaustively examined. However, if the model was...

Persistent link: https://www.econbiz.de/10010745059

Tracking unemployment in Wales through recession and into recovery

Artis, Michael; Sensier, Marianne - London School of Economics (LSE) - 2011

This paper assesses turning points in the economic cycle of Welsh unitary authorities by applying a mathematical algorithm to the claimant count unemployment data. All but one unitary authority has now emerged from recession (Anglesey being the exception). We also date the business cycle for the...

Persistent link: https://www.econbiz.de/10011126513

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