Similar Search Results

Interpolation and Backdating with A Large Information Set

Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2004

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series … develop an interpolation method that exploits the estimated factors as an efficient summary of all the available information … interpolation but again be reduced with multivariate approaches, including factor-based ones. …

Persistent link: https://www.econbiz.de/10005791783

Pooling-based data interpolation and backdating

Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2005

Pooling forecasts obtained from different procedures typically reduces the mean square forecast error and more generally improves the quality of the forecast. In this paper we evaluate whether pooling interpolated or backdated time series obtained from different procedures can also improve the...

Persistent link: https://www.econbiz.de/10005124455

Risk Matters: The Real Effects of Volatility Shocks

Fernández-Villaverde, Jesús; Guerron-Quintana, Pablo A.; … - C.E.P.R. Discussion Papers - 2009

This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow have a quantitatively important effect on real variables like output, consumption, investment, and hours worked. To motivate our investigation, we document the strong evidence...

Persistent link: https://www.econbiz.de/10005666783

When Anti-Dumping Measures Lead to Increased Market Power: A Case Study of the European Salmon Market

Asche, Frank; Steen, Frode - C.E.P.R. Discussion Papers - 2006

In this paper we apply the Bresnahan-Lau (1982) model to test for market power in the European distribution of salmon. In this particular setting, the model also incorporates a test of whether dumping takes place over time. Utilising data at the import level, derived demand equations are...

Persistent link: https://www.econbiz.de/10005791849

On the Distribution of Exchange Rate Regime Treatment Effects on International Trade

Dorn, Sabrina; Egger, Peter - C.E.P.R. Discussion Papers - 2011

This paper provides evidence of heterogeneous treatment effects on trade from switching among three types of de-facto exchange rate regimes: freely floating, currency bands, and pegs or currency unions. A cottage literature at the interface of macroeconomics and international economics focuses...

Persistent link: https://www.econbiz.de/10009365643

Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010

Inflation is a far from homogeneous phenomenon, a fact often neglected in modelling consumer price inflation. This study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by aggregating weighted forecasts of the sub-component price indices,...

Persistent link: https://www.econbiz.de/10008553067

Exchange Rate Pass-through and Monetary Policy in South Africa

Aron, Janine; Farrell, Greg; Muellbauer, John; … - C.E.P.R. Discussion Papers - 2010

Understanding how import prices adjust to exchange rates helps anticipate inflation effects and monetary policy responses. This paper examines exchange rate passthrough to the monthly import price index in South Africa during 1980-2009. A methodological innovation allows various short-run...

Persistent link: https://www.econbiz.de/10008784768

Residual-based Rank Specification Tests for AR-GARCH type models

Andreou, Elena; Werker, Bas J M - C.E.P.R. Discussion Papers - 2013

This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. For...

Persistent link: https://www.econbiz.de/10011084012

Nonparametric Predictive Regression

Andreou, Elena; Kasparis, Ioannis; Phillips, Peter C. B. - C.E.P.R. Discussion Papers - 2013

A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The test statistics are related to those of Kasparis and Phillips...

Persistent link: https://www.econbiz.de/10011084643

Assessing the Accuracy of the Aggregate Law of Motion in Models with Heterogeneous Agents

Den Haan, Wouter - C.E.P.R. Discussion Papers - 2008

This paper shows that the R² and the standard error have fatal flaws and are inadequate as accuracy tests for models with heterogeneous agents and aggregate risk. Using data from a Krusell-Smith economy, I show that approximations for the law of motion of aggregate capital for which the true...

Persistent link: https://www.econbiz.de/10005791220