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Illusive Persistence in German Unemployment
Tschernig, Rolf J.V.; Zimmermann, Klaus F - C.E.P.R. Discussion Papers - 1992
persistence. This view is questioned in the paper using German data on unemployment. A new class of time-series models, the …
Persistent link: https://www.econbiz.de/10005666959
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Forecasting Stock Returns under Economic Constraints
Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2013
We propose a new approach to imposing economic constraints on time-series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We...
Persistent link: https://www.econbiz.de/10011083895
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Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors
Kilian, Lutz; Zha, Tao - C.E.P.R. Discussion Papers - 1999
The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behaviour of the real exchange rate. The main contribution of this paper is a general framework in which alternative...
Persistent link: https://www.econbiz.de/10005792458
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Endogenous Growth and Stochastic Trends
Fatás, Antonio - C.E.P.R. Discussion Papers - 1996
This paper shows that there exists a strong positive correlation between long-term growth rates and the persistence of … output fluctuations in a cross section of countries. We argue that the traditional explanation of persistence, a real …, output fluctuations are persistent and the degree of persistence is an increasing function of long-term growth rates. Growth …
Persistent link: https://www.econbiz.de/10005124049
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Performance and Characteristics of Swedish Mutual Funds 1993-97
Dahlquist, Magnus; Engström, Stefan; Söderlind, Paul - C.E.P.R. Discussion Papers - 1999
The performance, and its characteristics, of Swedish-based equity and bond mutual funds are studied in detail. Accounting for survivorship biases, regular equity funds have a slight overperformance, equity funds with certain tax advantages have a negative performance (before tax), and bond funds...
Persistent link: https://www.econbiz.de/10005136548
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Can Oil Prices Forecast Exchange Rates?
Ferraro, Domenico; Rogoff, Kenneth; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011
This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...
Persistent link: https://www.econbiz.de/10009359490
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On the Distribution of Exchange Rate Regime Treatment Effects on International Trade
Dorn, Sabrina; Egger, Peter - C.E.P.R. Discussion Papers - 2011
This paper provides evidence of heterogeneous treatment effects on trade from switching among three types of de-facto exchange rate regimes: freely floating, currency bands, and pegs or currency unions. A cottage literature at the interface of macroeconomics and international economics focuses...
Persistent link: https://www.econbiz.de/10009365643
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Out-of-Sample Forecast Tests Robust to the Choice of Window Size
Inoue, Atsushi; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011
This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. We show that the tests...
Persistent link: https://www.econbiz.de/10009275962
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On the High-Frequency Dynamics of Hedge Fund Risk Exposures
Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2011
We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important...
Persistent link: https://www.econbiz.de/10009205059
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Aggregating Phillips Curves
Imbs, Jean; Jondeau, Eric; Pelgrin, Florian - C.E.P.R. Discussion Papers - 2007
looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in …
Persistent link: https://www.econbiz.de/10005662190