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This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that 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...
Persistent link: https://www.econbiz.de/10015229363
This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...
Persistent link: https://www.econbiz.de/10015229382
In this paper we study international linkages when forecasting unemployment rates in a sample of 24 OECD economies. We propose a Global Unemployment Factor (GUF) and test its predictive ability considering in-sample and out-of-sample exercises. Our main results indicate that the predictive...
Persistent link: https://www.econbiz.de/10015266130
Since the mid-1990s, we observe a global increase of current account imbalances. In 2007, before the climax of the financial crisis, they reached 2% of world GDP in absolute value. At the global level, the persistence of large current account imbalances is a threat to the macroeconomic and...
Persistent link: https://www.econbiz.de/10015239599
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
This paper tests for PPP in a group of seventeen Latin American (LA) countries by applying fractional integration techniques to real exchange rate series. Compared to earlier studies on these economies, this approach has the advantage of allowing for non-integer values for the degree of...
Persistent link: https://www.econbiz.de/10009481424
We checked against the law of one price between urban and rural consumer price indices of goods and services in Nigeria, using data that span January 1995 to April 2024. By first testing for persistence in price indices, we found a similar pattern of persistence that is non-mean reverting in all...
Persistent link: https://www.econbiz.de/10015213541
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
This paper makes a significant contribution to the literature on the policy trilemma by evaluating potential policy combinations that are relevant for the BRICS grouping within the context of the Impossible Trinity. Additionally, the paper introduces a new modeling approach for assessing the...
Persistent link: https://www.econbiz.de/10015214039
This paper uses a tax revenues reallocation scheme as the payment vehicle in a choice experiment to value marine restoration in the Black Sea. Two reallocation treatments are administered; one proposing to reduce current public expenditures on renewable energy projects and the other, the training...
Persistent link: https://www.econbiz.de/10015214339