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Jansen, Eilev S. - 2004

encompasses a general unrestricted model and it forecast encompasses the competitors when tested on 20 quarters of one step ahead …

Persistent link: https://www.econbiz.de/10009636545

Non-fundamental exchange rate volatility and welfare

Straub, Roland; Tchakarov, Ivan - 2004

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …

Persistent link: https://www.econbiz.de/10009636551

International equity flows and returns

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10009636533

does aggregating forecasts by HICP component improve forecast accuracy?

Hubrich, Kirstin - 2003

series models and distinguishes between different forecast horizons, HICP components and inﬂation measures. Various … indicate that aggregating forecasts by component does not necessarily help forecast year-on-year inﬂation twelve months …

Persistent link: https://www.econbiz.de/10009635954

On the selection of forecasting models

Inoue, Atsushi; Kilian, Lutz - 2003

error (PMSE) in simulated ou-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information … the true out-of-sample PMSE, allowing for possible misspecification of the forecast models under consideration. We first …

Persistent link: https://www.econbiz.de/10009639853

Forecasting inflation with gradual regime shifts and exogenous information

González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011

quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …

Persistent link: https://www.econbiz.de/10009640913

A markup model of inflation for the euro area

Bowdler, Christopher; Jansen, Eilev S. - 2004

Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long-run markup of prices over costs is fixed, but this may not be true for the Euro area economy, which has undergone major structural reforms over the last 25 years. We allow for...

Persistent link: https://www.econbiz.de/10009636529

Fiscal policy and inflation volatility

Rother, Philipp C. - 2004

Among the harmful effects of inflation, the negative consequences of inflation volatility are of particular concern … inflation volatility. Major results are robust for unconditional and conditional inflation volatility, the latter derived from …

Persistent link: https://www.econbiz.de/10009636540

Budgetary forecasts in Europe - the track record of stability and convergence programmes

Strauch, Rolf; Hallerberg, Mark; Hagen, Jürgen von - 2004

that the cyclical position and the form of fiscal governance are major determinants of forecast biases. Projected changes …

Persistent link: https://www.econbiz.de/10009636530

Aggregation and euro area Phillips curves

Fabiani, Silvia; Morgan, Julian - 2003

This paper examines the issue of the impact of aggregation in the empirical analysis of euro area labour markets. A Phillips Curve describing the adjustment of unit labour costs is estimated at the national and aggregate level for the 5 largest euro area countries. Potential sources of...

Persistent link: https://www.econbiz.de/10009639854