Monthly dis-aggregated US data from 1978 to 2016 reveals that exposure to news on inflation and monetary policy helps to explain inflation expectations. This remains true when control- ling for household personal characteristics, perceptions of government policy effectiveness, future interest...

We investigate the forecasting performance of popular dynamic factor models of the yield curve after the global financial crisis (GFC). This time period is characterized by an unprecedented low and non-volatile interest rate environment in most major economies. We focus on the dynamic...

In this paper we investigate the use of forecast averaging for electricity spot prices. While there is an increasing body of literature on the use of forecast combinations, there is only a small number of applications of these techniques in the area of electricity markets. In this comprehensive...

This paper provides a novel approach for the pricing of electricity derivatives, in particular so-called ‘cap' contracts, where the payoff is determined by the sum of all half-hourly spot prices exceeding a specified strike level. Given the highly volatile nature of electricity prices, these...

In the last decade, the Australian market for Real Estate Investment Trusts (REITS) has shown substantial growth rates. Australian Real Estate Investment Trusts (AREITS) are a unitized portfolio of property assets which allows investors to purchase a share in a diversified and professionally...

We estimate an unobservable domestic business conditions index for Australia using a variety of observable macroeconomic and financial variables, relating it to an unobservable external index involving external variables relevant to Australia. Our small open economy, dynamic factor model uses...