In this paper, we evaluate the role of using consumer price index (CPI) disaggregated data to improve the accuracy of inflation forecasts. Our forecasting approach is based on extracting the factors from the subcomponents of the CPI at the highest degree of disaggregation. The data set contains...

Macroeconometric models are often criticised for being too complex and difficult to read in theoretical terms. To overcome these difficulties, Hickman suggested the calculation of a model's implicit aggregate demand/supply (AD/AS) structure. The method helps to understand models and their main...

Macroeconomic policy decisions in real-time are based on the assessment of current and future economic conditions. Crucially, these assessments are made difficult by the presence of incomplete and noisy data. The problem is more acute for emerging market economies, where most economic data are...

Although many studies on the directional accuracy of forecasts by international organizations and professional forecasters have been scrutinized, little attention has been paid to forecasts by business leaders. In order to address this gap, we use directional tests to investigate whether...

This article assesses the transmission of international shocks to EUA spot, EUA futures, and CER futures carbon prices using a broad dataset that includes 115 macroeconomic, financial and commodities indicators with daily frequency from April 4, 2008 to January 25, 2010 totalling 463...

Governments and central banks need to have an accurate and timely assessment of indicators for the current month, as this is essential for providing a reliable and early analysis of the current economic situation. The index of industrial production (IIP) is probably the most important and widely...

Intraday data of 26 German stocks are used to investigate whether the information contained in trading volume and number of trades as well as in various specifications of overnight returns can improve one-step-ahead volatility forecasts. For this purpose, a HAR model of the realized range...

This paper investigates the empirical relevance of structural breaks in forecasting stock return volatility using both in-sample and out-of-sample tests applied to daily returns of the Johannesburg Stock Exchange (JSE) All Share Index from 07/02/1995 to 08/25/2010. We find evidence of structural...

In this paper, we examine the predictive ability, both in-sample and the out-of-sample, for South African stock returns using a number of financial variables, based on monthly data with an in-sample period covering 1990:01 to 1996:12 and the out-of-sample period of 1997:01 to 2010:04. We use the...

We examine both in-sample and out-of-sample predictability of South African stock return using macroeconomic variables. We base our analysis on a predictive regression framework, using monthly data covering the in-sample period between 1990:01 and 1996:12, and the out-of sample period commencing...