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noncausal VAR model instead of its conventional causal counterpart. In an empirical application, a noncausal VAR model comprised … of U.S. inflation and marginal cost turns out superior to the best-fitting conventional causal VAR model in forecasting …
Persistent link: https://www.econbiz.de/10013098167
We propose a new information criterion for impulse response function matching estimators (IRFMEs) of the structural parameters of dynamic stochastic general equilibrium (DSGE) macroeconomic models. An advantage of our procedure is that it allows researchers to select the impulse responses that...
Persistent link: https://www.econbiz.de/10010292348
The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function", which maps candidate scenarios into a scalar severity...
Persistent link: https://www.econbiz.de/10011757675
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the bench-mark to all the alternative models simultaneously rather than sequentially, and do...
Persistent link: https://www.econbiz.de/10011605076
Simulated test marketing (STM) is a quantitative technique used to forecast new product sales, one of the most validated tools in all marketing research. Forecasting awareness is an important stage in that process, one critical to STM performance. Awareness models incorporated into popular STMs...
Persistent link: https://www.econbiz.de/10014176688
Poor identification of individual impulse response coefficients does not necessarily mean that an impulse response is imprecisely estimated. This paper introduces a three-pronged approach on how to communicate uncertainty of impulse response estimates: (1) with Wald tests of joint significance;...
Persistent link: https://www.econbiz.de/10014225369
Our research project analyses the suitability of social responsible investments (SRI) and alternative asset classes (in particular commodities, hedge fund in-vestments, high-yield bonds) for the portfolio management of German Pension Insurance Funds (Pensionskassen), the largest external...
Persistent link: https://www.econbiz.de/10013120648
The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...
Persistent link: https://www.econbiz.de/10013105185
This paper studies revision under Basel III for market risk which allows conservative combination of weighted and un-weighted VaRs. This is the first study that examines this issue. The performance of the conservative combination of filtered historical simulation and historical simulation...
Persistent link: https://www.econbiz.de/10013105980
We propose new information criteria for impulse response function matching estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of dynamic stochastic general equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse...
Persistent link: https://www.econbiz.de/10013070607