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Optimal Forecast Combination Under Regime Switching

Elliott, Graham; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

This Paper proposes a new forecast combination method that lets the combination weights be driven by regime switching in a latent state variable. An empirical application that combines forecasts from survey data and time series models finds that the proposed regime switching combination scheme...

Persistent link: https://www.econbiz.de/10005662283

Inflation Forecast Uncertainty

Söderlind, Paul - C.E.P.R. Discussion Papers - 2000

We study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-1999. Three popular methods of estimating uncertainty from survey data are analysed in the context of models for forecasting and asset pricing. We find that inflation uncertainty...

Persistent link: https://www.econbiz.de/10005789160

Price, Wage and Employment Response to Shocks: Evidence from the WDN Survey

Bertola, Giuseppe; Dabusinskas, Aurelijus; Hoeberichts, … - C.E.P.R. Discussion Papers - 2010

This paper analyses information from survey data collected in the framework of the Eurosystem’s Wage Dynamics Network (WDN) on patterns of firm-level adjustment to shocks. We document that the relative intensity and the character of price vs. cost and wage vs. employment adjustments in...

Persistent link: https://www.econbiz.de/10008468574

A Transaction Data Study of the Forward Bias Puzzle

Breedon, Francis; Rime, Dagfinn; Vitale, Paolo - C.E.P.R. Discussion Papers - 2010

Using a market microstructure analytical framework we decompose the FX forward discount bias into elements due to time-varying risk premia (related to EBS order flow) and forecast errors derived using the Reuters survey of FX market participants. We find that both elements are significant...

Persistent link: https://www.econbiz.de/10008468647

Taylor Rules and the Predictability of Interest Rates

Söderlind, Paul; Söderström, Ulf; Vredin, Anders - C.E.P.R. Discussion Papers - 2003

Recent research suggests that commonly estimated dynamic Taylor rules augmented with a lagged interest rate imply too much predictability of interest rate changes compared with yield curve evidence. We show that this is not sufficient proof against the Taylor rule: the result could be driven by...

Persistent link: https://www.econbiz.de/10005123552

Dispersion of Beliefs in the Foreign Exchange Market

Jongen, Ron; Verschoor, Willem F C; Wolff, Christian C; … - C.E.P.R. Discussion Papers - 2008

This paper analyzes the sources of the differential beliefs of market participants in the foreign exchange market and their relative role in forming exchange rate expectations. We find that there are distinct periods of high and low dispersion and document that dispersion arises because of a...

Persistent link: https://www.econbiz.de/10005136619

Labour Mobility During Transition: Evidence from the Czech Republic

Fidrmuc, Jan - C.E.P.R. Discussion Papers - 2005

In this paper, I analyse the development of inter-regional mobility in the Czech Republic during the transition from central planning to a market economy. I show that while the intensity of migration is low and has even fallen during the transition, regional disparities in unemployment rates and...

Persistent link: https://www.econbiz.de/10005136748

Term Structure Estimation with Survey Data on Interest Rate Forecasts

Kim, Don H.; Orphanides, Athanasios - C.E.P.R. Discussion Papers - 2005

The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as an...

Persistent link: https://www.econbiz.de/10005067482

How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?

Cheung, Yin-Wong; Chinn, Menzie David; Marsh, Ian W - C.E.P.R. Discussion Papers - 1999

This paper summarises the results of a survey of UK based foreign exchange dealers conducted in 1998. It addresses topics in three main areas: The microeconomic operation of the foreign exchange market; the beliefs of dealers regarding the importance, or otherwise, of macroeconomic fundamental...

Persistent link: https://www.econbiz.de/10005067624

Modelling Energy Demand and Household Welfare Using Micro-Data

Baker, Paul; Blundell, Richard William; Micklewright, John - C.E.P.R. Discussion Papers - 1987

The paper is concerned with the empirical modelling of domestic demand for energy in the United Kingdom at the level of …-stage budgeting model of the household's demand for energy conditional on its ownership of durables. Preferences at both stages of the … data has not been fully exploited in the analysis of energy demand to date. Unrestricted reduced-form estimates are …

Persistent link: https://www.econbiz.de/10005497752

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