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Incorporating Market Regimes into Large-Scale Stock Portfolios: A Hidden Markov Model Approach

Ibanez, Francisco; Urga, Giovanni - 2024

We propose a portfolio construction method that accounts for the regime-dependent behavior of stocks, thereby impacting their expected returns. Using a hidden Markov model (HMM) and a regime-weighted least-squares approach, we estimate forward-looking regime-conditional factors. These factors...

Persistent link: https://www.econbiz.de/10015213786

Shocks and rigidities as determinants of CEE labor markets' performance. A panel SVECM approach

Bukowski, Maciej; Koloch, Grzegorz; Lewandowski, Piotr - 2008

shocks temporarily increase unemployment. Positive labor demand shocks increase employment, depress unemployment, rise real … average wages, and were found to be the main determinant of variability of employment and unemployment in the short-run. In … employment and unemployment. The retrospective simulations of the model show that Baltic states and Poland were significantly …

Persistent link: https://www.econbiz.de/10015214993

News on Stock Market Returns and Conditional Volatility in Nigeria: An EGARCH-in-Mean Approach.

Okpara, Godwin Chigozie - 2020

This paper aims at exploring the relationship between news on the stock market returns and conditional volatility in Nigeria. To determine this relationship, the researcher employed the exponential generalized conditional Heteroscedasticity (EGARCH) in mean model since the model accommodates...

Persistent link: https://www.econbiz.de/10015215127

Real time estimation of potential output and output gap for theeuro-area: comparing production function with unobserved componentsand SVAR approaches

Lemoine, Matthieu; Mazzi, Gian Luigi; Monperrus-Veroni, … - 2008

We develop a new version of the production function (PF) approach usually used for estimating the output gap of the euro area. Our version does not call for any (often imprecise) measure of the capital stock and improves the estimation of the trend total factor productivity. We asses this...

Persistent link: https://www.econbiz.de/10015215475

Bayesian Analysis of DSGE Models with Regime Switching

Eo, Yunjong - 2008

I estimate DSGE models with recurring regime changes in monetary policy (inflation target and reaction coefficients), technology (growth rate and volatility), and/or nominal price rigidities. In the models, agents are assumed to know deep parameter values but make probabilistic inference about...

Persistent link: https://www.econbiz.de/10015215980

Trend agnostic one step estimation of DSGE models

Ferroni, Filippo - 2009

DSGE models are currently estimated with a two step approach: data is first filtered and then DSGE structural parameters are estimated. Two step procedures have problems, ranging from trend misspecification to wrong assumption about the correlation between trend and cycles. In this paper, I...

Persistent link: https://www.econbiz.de/10015216460

A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles

Chauvet, Marcelle; Senyuz, Zeynep - 2008

This paper proposes an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast both future economic growth as well as the beginning and end of economic recessions at the...

Persistent link: https://www.econbiz.de/10015216774

Hyper-spherical and Elliptical Stochastic Cycles

Luati, Alessandra; Proietti, Tommaso - 2009

A univariate first order stochastic cycle can be represented as an element of a bivariate first order vector autoregressive process, or VAR(1), where the transition matrix is associated with a Givens rotation. From the geometrical viewpoint, the kernel of the cyclical dynamics is described by a...

Persistent link: https://www.econbiz.de/10015216835

Good Luck or Good Policy? An Analysis of the Effects of Oil Revenue and Fiscal Policy Shocks: The Case of Ecuador

García-Albán, Freddy; Gonzalez-Astudillo, Manuel; … - 2020

This paper proposes a framework to estimate the effects of exogenous fiscal policy and oil revenue shocks on the macroeconomic activity of price-taking oil producers. We apply the methodology to Ecuador, using a structural vector autoregressive model estimated with Bayesian methods....

Persistent link: https://www.econbiz.de/10015217252

A Streamlined Procedure to Construct a Macroeconomic Uncertainty Index with an Application to the Ecuadorian Economy

Avellán, Guillermo; González-Astudillo, Manuel; … - 2020

activity, finding that the responses of non-oil GDP, the unemployment rate, and consumer prices to macro uncertainty shocks are …

Persistent link: https://www.econbiz.de/10015217253