I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

The 2007 sub-prime crisis and the adoption of Millennium trading platform represent two of the most important recent structural developments for the Johannesburg Stock Exchange (JSE). Under an environment of flexible and volatile exchange rates, this study seeks to examine the effects of these...

We provide necessary and sufficient conditions for the identification of Structural Vector Autoregressions (SVARs) with external instruments, considering the case in which r instruments are used to identify g structural shocks of interest, r=g=1. Novel frequentist estimation methods are...

In this work we have found a relevant increase in the systematic risk of the American real estate securities in the year 2007 which go to the initial values in the year 2009. With the aim to evaluate the systematic risk we have used the Fama-French three factor model and we have studied the...

In this paper we present compelling evidence from a detailed analysis of historical prepayment data to demonstrate that a mortgage cohort remembers the level of the previous mortgage rate troughs experienced by the cohort. This is a general property, observed ubiquitously, that inescapably leads...

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...

This paper studies the dynamic relationship between public and private commercial real estate market in the U.S. To do so, we propose a correlatedcunobserved component model with a common trend and Markov-Switching heteroscedasticity. This model addresses the dichotomy in the relationship...

يهدف هذا البحث إلى نمذجة أسعار أسهم الإغلاق اليومية لشركة اتحاد اتصالات السعودية المدرجة ضمن قطاع الاتصالات في سوق المال السعودي خلال الفترة الممتدة من 01 جانفي...

The purpose of this study is twofold. First, to construct short-term prediction models for bank deposit flows in the Euro area peripheral countries, employing machine learning techniques. Second, to examine whether textual features enhance the predictive ability of our models. We find that...

The paper examines the long run and short run relationships between inflation and financial sector development in Nigeria over the period between 1970 and 2012. Three variables, namely; broad definition of money as ratio of GDP, quasi money as share of GDP and credit to private sector as share...