Similar Search Results

Do expectations matter? The Great Moderation revisited

Canova, Fabio; Gambetti, Luca - Department of Economics and Business, Universitat … - 2007

We examine the role of expectations in the Great Moderation episode. We derive theoretical restrictions in a New …-Keynesian model and test them using measures of expectations obtained from survey data, the Greenbook and bond markets. Expectations … without expectations display similar reduced form characteristics. Including or excluding expectations hardly changes the …

Persistent link: https://www.econbiz.de/10005827517

Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models

Giacomini, Raffaella; Rossi, Barbara - Department of Economics and Business, Universitat … - 2014

This review provides an overview of forecasting methods that can help researchers forecast in the presence of non …

Persistent link: https://www.econbiz.de/10011250937

Exchange rate predictability

Rossi, Barbara - Department of Economics and Business, Universitat … - 2013

article provides a critical review of the recent literature on exchange rate forecasting and illustrates the new methodologies …

Persistent link: https://www.econbiz.de/10010849598

The changing relationship between commodity prices and equity prices in commodity exporting

Rossi, Barbara - Department of Economics and Business, Universitat … - 2012

We explore the linkage between equity and commodity markets, focusing in particular on its evolution over time. We document that a country's equity market value has significant out-of-sample predictive ability for the future global commodity price index for several primary commodity-exporting...

Persistent link: https://www.econbiz.de/10010718621

Can oil prices forecast exchange rates?

Ferraro, Domenico; Rogoff, Ken; Rossi, Barbara - Department of Economics and Business, Universitat … - 2011

We show the existence of a very short-term relationship at the daily frequency between changes in the price of a country's major commodity export price and changes in its nominal exchange rate. The relationship appears to be robust and to hold when we use contemporaneous (realized) commodity...

Persistent link: https://www.econbiz.de/10011122324

Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts

Rossi, Barbara; Sekhposyan, Tatevik - Department of Economics and Business, Universitat … - 2014

This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and efficiency tests, commonly referred to as tests of forecast rationality. Our framework is general: it can be applied to...

Persistent link: https://www.econbiz.de/10011099197

Forecasting and turning point predictions in a Bayesian panel VAR model

Canova, Fabio; Ciccarelli, Matteo - Department of Economics and Business, Universitat … - 1999

We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a …. Formulas for multistep, multiunit point and average forecasts are provided. An application to the problem of forecasting the … forecasting methods is also provided. …

Persistent link: https://www.econbiz.de/10005772432

On ignoring scientific evidence: The bumpy road to enlightenment

Hogarth, Robin - Department of Economics and Business, Universitat … - 2006

forecasting; equal weighting of variables is often more accurate than using differential weights; and decisions can sometimes be …

Persistent link: https://www.econbiz.de/10005772583

Choice by sequential procedures

Apesteguia, Jose; Ballester, Miguel A. - Department of Economics and Business, Universitat … - 2012

We propose a rule of decision-making, the sequential procedure guided by routes, and show that three influential boundedly rational choice models can be equivalently understood as special cases of this rule. In addition, the sequential procedure guided by routes is instrumental in showing that...

Persistent link: https://www.econbiz.de/10010849621

A characterization of sequential rationalizability

Apesteguia, Jose; Ballester, Miguel A. - Department of Economics and Business, Universitat … - 2008

A choice function is sequentially rationalizable if there is an ordered collection of asymmetric binary relations that identifies the selected alternative in every choice problem. We propose a property, F-consistency, and show that it characterizes the notion of sequential rationalizability....

Persistent link: https://www.econbiz.de/10005707995