In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among...

In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among...

We investigate whether long-term co-movements among the prices of precious metals commodity futures contracts can be observed. The past literature on agricultural commodity futures prices obtains the mixed results. We find that there is no long-term interdependence among the prices of the four...

The Purchasing Managers' Index (PMI) is one of the key variables to which economists pay considerable attention for assessing US economic activities, particularly, business conditions in the manufacturing sector. Although the PMI has been used to assess the US economy, there is hardly any...

We evaluate the directional accuracy of the Institute for Supply Management indices to predict the US economy direction with a method developed by Pesaran and Timmermann (2009). By illustrating an application of the new market-timing test, we show that the Non-Manufacturing Index is a useful...

The Purchasing Managers' Index (PMI) is one of the key variables to which economists pay considerable attention for assessing US economic activities, particularly, business conditions in the manufacturing sector. Although the PMI has been used to assess the US economy, there is hardly any...

Although most research on directional analysis focused on either increase/decrease or acceleration/deceleration of variables of interest, we jointly evaluate the two directional changes in the real Gross Domestic Product (GDP) predicted by corporate executives. We apply an approach recently...

We examine asymmetry in the loss function of corporate executives in their exchange rate forecasts and test for rationality of the forecast under the assumption of a possibly asymmetric loss function. We find evidence that the loss function of the forecast with a 1-year horizon is symmetric and...

We investigate the directional accuracy of GDP and price forecasts by the Japanese government and the IMF with a new method developed by Pesaran and Timmermann [Pesaran, M.H., Timmermann, A., 2009. Testing dependence among serially correlated multi-category variables. Journal of the American...

Although many studies on the directional accuracy of forecasts by international organizations and professional forecasters have been scrutinized, little attention has been paid to forecasts by business leaders. In order to address this gap, we use directional tests to investigate whether...