In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data...

Microfoundations of the euro´s effect on euro area trade hinge on the timing, thespeed and the size of adjustment in trade costs. We estimate timing, speed and sizeof adjustment in trade costs for sectoral trade data. Our approach allows for sectorspecific impacts of trade costs on sectoral...

The paper proposes a data driven adaptive model selection strategy. The selection criterionmeasures economic ex-ante forecasting content by means of trading implied cash flows.Empirical evidence suggests that the proposed strategy is neither exposed to selection biasnor to the risk of choosing...