Showing 1 - 10 of 88
We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns. The model has several advantages: it is parsimonious; it does not require imposing parameter restrictions; and, it...
Persistent link: https://www.econbiz.de/10005536896
The authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of … growth. An array of multivariate forecasting models are considered for five Canadian regions, and single-equation models are … considered for direct forecasting of Canadian GDP. The authors focus on forecasts at 1-, 2-, 4-, and 8-quarter horizons, which …
Persistent link: https://www.econbiz.de/10005162434
A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of...
Persistent link: https://www.econbiz.de/10005162517
activity or inflation. This is of particular interest in the context of an inflation-targeting regime, where the monetary … policy stance is set according to inflation forecasts. While most empirical studies on causality have examined this issue … criteria. The causality pattern inferred by the authors' procedure is consistent with the Phillips curve (for the inflation …
Persistent link: https://www.econbiz.de/10005162529
The authors describe the key features of a new large-scale Canadian macroeconomic forecasting model developed over the …
Persistent link: https://www.econbiz.de/10011265714
Inflation targeting (IT) had originally been introduced as a device to bring inflation down and stabilize it at low … levels. Given the current environment of persistently weak inflation in many advanced economies, IT central banks must now … bring inflation up to target. In this paper, the author tests to what extent inflation expectations are anchored in such …
Persistent link: https://www.econbiz.de/10011094224
obvious advantage of financial and energy market data in forecasting oil prices is their availability in real time on a daily … monthly inventories. We conclude that typically not much is lost by ignoring high-frequency financial data in forecasting the …
Persistent link: https://www.econbiz.de/10010762047
Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market. The veracity of the data identified, however, is not well established. Using permutation methods,...
Persistent link: https://www.econbiz.de/10010783634
This paper studies the formation of consumers’ inflation expectations using micro-level data from the Michigan Survey …. It shows that beyond the well-established socio-economic determinants of inflation expectations such as gender, income or … the average household in response to increasing media reporting about inflation. …
Persistent link: https://www.econbiz.de/10010783636
In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area …
Persistent link: https://www.econbiz.de/10010783640