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Energy markets and global economic conditions

Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas - 2020

usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of …

Persistent link: https://www.econbiz.de/10012213172

Forecasting with panel data : estimation uncertainty versus parameter heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive …

Persistent link: https://www.econbiz.de/10013176894

Point and density forecasts for the euro area using Bayesian VARs

Berg, Tim Oliver; Henzel, Steffen - 2014

Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when …), and large BVARs, which differ in the way information is condensed and shrinkage is implemented. We find that: (a) large … shows the opposite pattern; (c) BFAVARs perform well under both evaluation criteria; (d) choosing the degree of shrinkage …

Persistent link: https://www.econbiz.de/10010257225

Optimal price targeting

Smith, Adam N.; Seiler, Stephan; Aggarwal, Ishant - 2021

We examine the proﬁtability of personalized pricing policies that are derived using diﬀerent speciﬁcations of demand in a typical retail setting with consumer-level panel data. We generate pricing policies from a variety of models, including Bayesian hierarchical choice models, regularized...

Persistent link: https://www.econbiz.de/10012692296

Restrictions on risk prices in dynamic term structure models

Bauer, Michael D. - 2015

Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by creating a tighter link between cross-sectional and time-series variation of interest rates. This paper presents a new econometric framework for estimation of affine Gaussian DTSMs...

Persistent link: https://www.econbiz.de/10010491726

Are we fragmented yet? : measuring geopolitical fragmentation and its causal effects

Fernández-Villaverde, Jesús; Mineyama, Tomohide; … - 2024

After decades of rising global economic integration, the world economy is now fragmenting. To measure this phenomenon, we introduce an index of geopolitical fragmentation derived from various empirical indicators. This index is developed using a flexible dynamic factor model with time-varying...

Persistent link: https://www.econbiz.de/10014576951

Robust growth determinants

Doppelhofer, Gernot; Weeks, Melvyn - 2011

This paper investigates the robustness of determinants of economic growth in the presence of model uncertainty, parameter heterogeneity and outliers. The robust model averaging approach introduced in the paper uses a flexible and parsimonious mixture modeling that allows for fat-tailed errors...

Persistent link: https://www.econbiz.de/10009010519

Productivity shocks and aggregate fluctuations in an estimated endogenous growth model with human capital

Malley, James R.; Woitek, Ulrich - 2011

Employing an endogenous growth model with human capital, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate fluctuations in output, consumption, investment and hours. Given the importance of accounting for both the...

Persistent link: https://www.econbiz.de/10009295333

Technology shocks and aggregate fluctuations in an estimated hybrid RBC model

Malley, James R.; Woitek, Ulrich - 2009

This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...

Persistent link: https://www.econbiz.de/10003833344

Productivity shocks and aggregate cycles in an estimated endogenous growth model

Malley, James R.; Woitek, Ulrich - 2009

Using a two-sector endogenous growth model, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate cycles in output, consumption, investment and hours. To contextualize our findings, we also assess whether the human capital...

Persistent link: https://www.econbiz.de/10003850283