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Factor Model Forecasts of Exchange Rates

Engel, Charles; Mark, Nelson; West, Kenneth D. - National Bureau of Economic Research (NBER) - 2012

forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no … rates against 17 OECD countries. We forecast using factors, and using factors combined with any of fundamentals suggested by … improve on the forecast of a "no change" benchmark in the late (1999-2007) but not early (1987-1998) parts of our sample. …

Persistent link: https://www.econbiz.de/10011103524

Predictive Regressions: A Present-value Approach

Binsbergen, Jules H. van; Koijen, Ralph S.J. - National Bureau of Economic Research (NBER) - 2010

We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict...

Persistent link: https://www.econbiz.de/10008532140

What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio

Wachter, Jessica A.; Warusawitharana, Missaka - National Bureau of Economic Research (NBER) - 2011

We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces uncertainty about both the existence and strength of predictability. When we apply our methods to the dividend-price ratio, we find that even investors who are quite skeptical about...

Persistent link: https://www.econbiz.de/10009251492

Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties

Gorodnichenko, Yuriy; Ng, Serena; Mikusheva, Anna - National Bureau of Economic Research (NBER) - 2011

This paper considers a moments based non-linear estimator that is root-T consistent and uniformly asymptotically normal irrespective of the degree of persistence of the forcing process. These properties hold for linear autoregressive models, linear predictive regressions, as well as certain...

Persistent link: https://www.econbiz.de/10009294897

Austerity in 2009-2013

Alesina, Alberto; Favero, Carlo; Giavazzi, Francesco; … - National Bureau of Economic Research (NBER) - 2015

The conventional wisdom is (i) that fiscal austerity was the main culprit for the recessions experienced by many countries, especially in Europe, since 2010 and (ii) that this round of fiscal consolidation was much more costly than past ones. The contribution of this paper is a clarification of...

Persistent link: https://www.econbiz.de/10011119804

Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price

Taylor, Alan M. - National Bureau of Economic Research (NBER) - 2000

The PPP puzzle is based on empirical evidence that international price differences for individual goods (LOOP) or baskets of goods (PPP) appear highly persistent or even non-stationary. The present consensus is these price differences have a half-life that is of the order of five years at best,...

Persistent link: https://www.econbiz.de/10005580056

Measuring Uncertainty about Long-Run Prediction

Watson, Mark W.; Mueller, Ulrich - National Bureau of Economic Research (NBER) - 2013

Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We consider long-horizon forecasts of average growth of a scalar variable, assuming that first differences are second-order stationary. The main contribution is the construction of...

Persistent link: https://www.econbiz.de/10010796670

Can Oil Prices Forecast Exchange Rates?

Rogoff, Kenneth S; Rossi, Barbara; Ferraro, Domenico - National Bureau of Economic Research (NBER) - 2012

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...

Persistent link: https://www.econbiz.de/10011227945

Efficient Prediction of Excess Returns

Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2008

not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing parameter … of forecasting excess bond and equity returns. We find substantial improvements in out-of-sample forecast accuracy for …

Persistent link: https://www.econbiz.de/10005720382

Four Centuries of Return Predictability

Golez, Benjamin; Koudijs, Peter - National Bureau of Economic Research (NBER) - 2014

. “Excess volatility” is thus a pervasive feature of financial markets. The dividend-to-price ratio also predicts dividend …

Persistent link: https://www.econbiz.de/10011114867