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Disagreement and Biases in Inflation Expectations
Capistrán, Carlos - 2008
Disagreement in inflation expectations observed from survey data varies systematically over time in a way that reflects … the level and variance of current inflation. This paper offers a simple explanation for these facts based on asymmetries … in the forecasters' costs of over- and under-predicting inflation. Our model implies (i) biased forecasts; (ii) positive …
Persistent link: https://www.econbiz.de/10012723113
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Breaks in the Phillips curve : evidence from panel data
Smith, Simon C.; Timmermann, Allan; Wright, Jonathan H. - 2023 - Draft: March 25, 2023
Persistent link: https://www.econbiz.de/10014284088
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Disagreement and Biases in Inflation Expectations
Capistrán, Carlos; Timmermann, Allan - Banco de México - 2006
Recent empirical work documents substantial disagreement in inflation expectations obtained from survey data … current inflation. This paper offers a simple explanation for these facts based on asymmetries in the forecaster's costs of … over- and under-predicting inflation. Our model implies biased forecasts with positive serial correlation in forecast …
Persistent link: https://www.econbiz.de/10004974506
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Forecasting Macroeconomic Variables Under Model Instability
Pettenuzzo, Davide - 2015
out-of-sample forecasting exercise for U.S. GDP growth and inflation suggests that models that allow for parameter …
Persistent link: https://www.econbiz.de/10013023063
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Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks : Evidence Using Daily Surveys from Brazil
Burjack, Rafael - 2019
economic uncertainty, term premia, inflation expectations, and bond yields in Brazil. We find strong evidence that inflation …
Persistent link: https://www.econbiz.de/10012860102
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Disagreement and Biases in Inflation Expectations
Capistrán, Carlos; Timmermann, Allan - School of Economics and Management, University of Aarhus - 2008
Disagreement in inflation expectations observed from survey data varies systematically over time in a way that reflects … the level and variance of current inflation. This paper offers a simple explanation for these facts based on asymmetries … in the forecasters’ costs of over- and under-predicting inflation. Our model implies (i) biased forecasts; (ii) positive …
Persistent link: https://www.econbiz.de/10005114129
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Asset Allocation under Multivariate Regime Switching
Guidolin, Massimo; Timmermann, Allan - Manchester Business School - 2006
This paper studies asset allocation decisions in the presence of regime switching in asset returns. Wefind evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states- are required to capture the joint distribution of stock and bond returns. Optimal asset...
Persistent link: https://www.econbiz.de/10005870161
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Forecasts of Us Short-Term Interest Rates : A Flexible Forecast Combination Approach
Guidolin, Massimo - 2007
This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that accounting for both regimes in interest rate dynamics and combining forecasts from different models helps improve...
Persistent link: https://www.econbiz.de/10012732061
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Size and Value Anomalies under Regime Shifts
Guidolin, Massimo - 2007
This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size- and value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that...
Persistent link: https://www.econbiz.de/10012732150
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International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences
Timmermann, Allan - 2007
This paper proposes a new tractable approach to solving asset allocation problems in situations with a large number of risky assets which pose problems for standard approaches. Investor preferences are assumed to be defined over moments of the wealth distribution such as its mean, variance, skew...
Persistent link: https://www.econbiz.de/10012732152