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Enke, Benjamin - 2013

-connected information sources, implying a pattern of “overshooting” beliefs. Additionally, in an experimental asset market, correlation …

Persistent link: https://www.econbiz.de/10013072106

Willingness-to-Pay and Willingness-to-Accept Are Probably Less Correlated Than You Think

Chapman, Jonathan - 2017

are, at best, weakly correlated. Across all respondents, the correlation is slightly negative. For the subgroups that we … examine, the correlation is almost always small, typically statistically insignificant, and often negative. The exception is … respondents who score highly on a within-study IQ test, where the correlation is around 0.2. A meta-study of similar lab …

Persistent link: https://www.econbiz.de/10012953937

A Multiple Testing Approach to the Regularisation of Large Sample Correlation Markets

Bailey, Natalia - 2014

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...

Persistent link: https://www.econbiz.de/10013051612

Weak and Strong Cross Section Dependence and Estimation of Large Panels

Chudik, Alexander - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

Persistent link: https://www.econbiz.de/10013158328

The Misspecification of Expectations in New Keynesian Models : A DSGE-VAR Approach

Cole, Stephen J. - 2016

This paper tests the ability of popular New Keynesian models, which are traditionally used to study monetary policy and business cycles, to match the data regarding a key channel for monetary transmission: the dynamic interactions between macroeconomic variables and their corresponding...

Persistent link: https://www.econbiz.de/10012979607

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10013141185

Policy Experimentation, Political Competition, and Heterogeneous Beliefs

Millner, Antony - 2014

We consider a two period model in which an incumbent political party chooses the level of a current policy variable unilaterally, but faces competition from a political opponent in the future. Both parties care about voters payoffs, but they have different beliefs about how policy choices will...

Persistent link: https://www.econbiz.de/10013051379

Monetary Policy with Diverse Private Expectations

Kurz, Mordecai - 2015

high serial correlation in policy shocks contributes greatly to market volatility and we show that a reduction in …

Persistent link: https://www.econbiz.de/10013024741

A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Baumeister, Christiane - 2016

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....

Persistent link: https://www.econbiz.de/10012996209

Inside the Crystal Ball : New Approaches to Predicting the Gasoline Price at the Pump

Baumeister, Christiane - 2016

Although there is much interest in the future retail price of gasoline among consumers, industry analysts, and policymakers, it is widely believed that changes in the price of gasoline are essentially unforecastable given publicly available information. We explore several new forecasting...

Persistent link: https://www.econbiz.de/10012996647