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Measuring uncertainty and its effects in a small open economy

Cabello, Miguel; Nivin, Rafael - 2022

In the aftermath of the 2008 Global Financial Crisis (GFC), scholars and policymakers turned their attention to the role of uncertainty in amplifying the effects of economic or financial shocks on economic activity. A growing literature has focused on addressing this question. Most works find...

Persistent link: https://www.econbiz.de/10013540621

Global food prices and inflation

Anderl, Christina; Caporale, Guglielmo Maria - 2024

This paper uses the endogenous regime switching model with dynamic feedback and interactions developed by Chang et al. (2023) to estimate global food price mean and volatility indicators, the latter measuring uncertainty and risk in the global food market. Both are then included in structural...

Persistent link: https://www.econbiz.de/10014490903

Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices

Casoli, Chiara; Lucchetti, Riccardo - 2021

In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a common and an idiosyncratic component. The common...

Persistent link: https://www.econbiz.de/10012596987

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Macroeconomics, nonlinearities, and the business cycle

Reif, Magnus - 2019

Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...

Persistent link: https://www.econbiz.de/10012154125

The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa

Jumah, Adusei; Kunst, Robert M. - Department of Economics and Finance Research and … - 1999

shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that …

Persistent link: https://www.econbiz.de/10005764254

Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data

Matei, Marius - In: Journal for Economic Forecasting (2011) 2, pp. 116-141

The current work undertakes an overview of the forecasting volatility with high frequency data topic, attempting to … explains why forecasting of volatility is more effective when the model contains a measure of intraday data. A discrete and a … is considered. Details on procedures employed in the literature with respect to modeling and forecasting using realized …

Persistent link: https://www.econbiz.de/10009151358

The contribution of realized covariance models to the economic value of volatility timing

Bauwens, Luc; Xu, Yongdeng - 2023

realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in …

Persistent link: https://www.econbiz.de/10014434629

Financial returns, sentiment and market volatility : a dynamic assessment

Borgioli, Stefano; Gallo, Giampiero M.; Ongari, Chiara - 2024

In 1936, John Maynard Keynes proposed that emotions and instincts are pivotal in decision-making, particularly for investors. Both positive and negative moods can influence judgments and decisions, extending to economic and financial choices. Intuitions, emotional states, and biases...

Persistent link: https://www.econbiz.de/10015179749