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Commodity prices, commodity currencies, and global economic developments
Groen, Jan J. J.; Pesenti, Paolo - C.E.P.R. Discussion Papers - 2010
statistical benchmarks, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of … least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten …
Persistent link: https://www.econbiz.de/10008530384
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Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices
Bofinger, Peter; Leitner, Johannes; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004
reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that topically-oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …
Persistent link: https://www.econbiz.de/10005504428
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Leading Indicators: What Have We Learned?
Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2005
the most relevant recent developments in this field of economic forecasting. To begin with, we analyse the problem of … leading indicator based forecasts, and review the recent literature on the forecasting performance of leading indicators. …
Persistent link: https://www.econbiz.de/10005666459
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The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy
Wieland, Volker; Wolters, Maik H - C.E.P.R. Discussion Papers - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...
Persistent link: https://www.econbiz.de/10008530347
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The Term Structure of Forward Exchange Premia and the Forecastability of Spot Exchange Rates: Correcting the Errors
Clarida, Richard; Taylor, Mark P - C.E.P.R. Discussion Papers - 1993
This paper challenges the widespread view that forward exchange premia contain little information regarding subsequent spot rate movements. Using weekly dollar/Deutschmark and dollar/sterling data, we show that spot and forward exchange rates are well represented by a vector error correction...
Persistent link: https://www.econbiz.de/10005662140
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Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?
Kilian, Lutz; Taylor, Mark P - C.E.P.R. Discussion Papers - 2001
We propose an exchange rate model that can explain both the observed volatility and the persistence of real and nominal exchange rate movements and thus in some measure resolves Rogoff’s (1996) purchasing power parity puzzle. Our analysis reconciles the well-known difficulties in beating the...
Persistent link: https://www.econbiz.de/10005124271
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The European Business Cycle
Artis, Michael J; Krolzig, Hans-Martin; Toro, Juan - C.E.P.R. Discussion Papers - 1999
This paper deals with the existence and identification of a common European Growth Cycle. It has recently been argued that the formation of a monetary union creates in itself a tendency for business cycle symmetry to emerge. If this holds for the European monetary Union and the quasi-union of...
Persistent link: https://www.econbiz.de/10005114243
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Forecasting the Price of Oil
Alquist, Ron; Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2011
We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need … in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil …
Persistent link: https://www.econbiz.de/10009643504
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The role of central bank transparency for guiding private sector forecasts
Ehrmann, Michael; Eijffinger, Sylvester C W; … - C.E.P.R. Discussion Papers - 2009
There is a broad consensus in the literature that costs of information processing and acquisition may generate costly disagreements in expectations among economic agents, and that central banks may play a central role in reducing such dispersion in expectations. This paper analyses empirically...
Persistent link: https://www.econbiz.de/10008458290
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Prediction Markets in Theory and Practice
Wolfers, Justin; Zitzewitz, Eric - C.E.P.R. Discussion Papers - 2006
Prediction Markets, sometimes referred to as 'information markets', 'idea futures' or 'event futures', are markets where participants trade contracts whose payoffs are tied to a future event, thereby yielding prices that can be interpreted as market-aggregated forecasts. This article summarizes...
Persistent link: https://www.econbiz.de/10005662203