Similar Search Results

Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile

Pincheira, Pablo; Neumann, Federico - 2018

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

Persistent link: https://www.econbiz.de/10015262273

The Mean Squared Prediction Error Paradox

Pincheira, Pablo; Hardy, Nicolas - 2021

In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...

Persistent link: https://www.econbiz.de/10015241474

The predictive relationship between exchange rate expectations and base metal prices

Pincheira, Pablo; Hardy, Nicolas - 2018

In this paper we show that survey-based-expectations about the future evolution of the Chilean exchange rate have the ability to predict the returns of the six primary non-ferrous metals: aluminum, copper, lead, nickel, tin and zinc. Predictability is also found for returns of the London Metal...

Persistent link: https://www.econbiz.de/10015261799

Forecasting Aluminum Prices with Commodity Currencies

Pincheira, Pablo; Hardy, Nicolás - 2019

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

Persistent link: https://www.econbiz.de/10015265738

Forecasting Base Metal Prices with an International Stock Index

Pincheira, Pablo; Hardy, Nicolas; Bentancor, Andrea; … - 2021

In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...

Persistent link: https://www.econbiz.de/10015243686

Fiscal Reform in the Republic of Moldova. Stochastic Dynamic General Equilibrium (SDGE) simulation

Vîntu, Denis - 2021

The article describes a dynamic general equilibrium for the Republic of Moldova, in the context of declining oil prices and COVID-19. We try to introduce an intergenerational model with the stochastic component, where we describe each self-employed agent, rather we try to adapt the model in a...

Persistent link: https://www.econbiz.de/10015256846

Fiscal Reform in the Republic of Moldova. Stochastic Dynamic General Equilibrium (SDGE) simulation

Vîntu, Denis - 2021

Persistent link: https://www.econbiz.de/10015256847

The Federal Reserve’s Response to the Global Financial Crisis and Its Long-Term Impact: An Interrupted Time-Series Natural Experimental Analysis

KAMKOUM, Arnaud Cedric - 2023

interrupted time-series (ITS) analysis of the long-term causal effects of the QE programs on U.S. inflation and real GDP. The … GDP but did not significantly impact U.S. inflation. Specifically, it is found that, for the 2011Q2-2018Q4 post-QE period ….S. real GDP. The results suggest that the current U.S. and worldwide high inflation rates are likely not because of the QE …

Persistent link: https://www.econbiz.de/10015270094

Shades of inflation targeting: insights from fractional integration

Dąbrowski, Marek A.; Janus, Jakub; Mucha, Krystian - 2025

In this paper, we propose a novel approach to classifying inflation-targeting (IT) economies based on fractionally … of inflation rate series to identify four de facto IT strategies, or ‘shades’ of IT. Moving from negative orders of …

Persistent link: https://www.econbiz.de/10015214867

Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?

Manzan, Sebastiano; Zerom, Dawit - 2009

Much of the US inflation forecasting literature deals with examining the ability of macroeconomic indicators to predict … the mean of future inflation, and the overwhelming evidence suggests that the macroeconomic indicators provide little or … no predictability. In this paper, we expand the scope of inflation predictability and explore whether macroeconomic …

Persistent link: https://www.econbiz.de/10015216359