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...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

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...

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...

The global financial crisis has induced a series of failures of most conventional banks. This study investigates the main sources of banking fragility. We use a sample of 49 banks operating in the Tunisian over the period 2006-2015 to analyze the relationship between credit risk and liquidity...

The evolution of the banking regulatory environment in recent years raises many questions about the effectiveness of prudential measures and the relevance of the legal system in this new landscape. The Cooke ratio, replaced in 2003 by the Mc Donough ratio, has since become an international...

The evolution of the banking regulatory environment in recent years raises many questions about the effectiveness of prudential measures and the relevance of the legal system in this new landscape. The Cooke ratio, replaced in 2003 by the Mc Donough ratio, has since become an international...