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Hot and Cold Housing Markets: International Evidence
Ceron, Jose A.; Suarez, Javier - C.E.P.R. Discussion Papers - 2006
cyclical variable captures previously undocumented changes in the volatility of real housing price increases. These volatility …
Persistent link: https://www.econbiz.de/10005792537
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An Evaluation Framework for Alternative VaR Models
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2002
case of the GARCH(1,1)-Student-t model the average VaR may be adjusted for parameter uncertainty to arrive at levels which …
Persistent link: https://www.econbiz.de/10005123557
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Extreme Correlation of International Equity Markets
Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000
volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise …
Persistent link: https://www.econbiz.de/10005504611
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Monetary-Fiscal Mix and Inflation Performance: Evidence from the US
Favero, Carlo A.; Monacelli, Tommaso - C.E.P.R. Discussion Papers - 2003
There has been a lot of interest recently in developing small-scale rule-based empirical macro models for the analysis of monetary policy. These models, based on the conventional view that inflation stabilization should be a concern of monetary policy only, have typically neglected the role of...
Persistent link: https://www.econbiz.de/10005662224
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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
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The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond
Clarida, Richard; Sarno, Lucio; Taylor, Mark P; … - C.E.P.R. Discussion Papers - 2002
A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. There is evidence, however, that the term structure of forward premia contains valuable information for forecasting...
Persistent link: https://www.econbiz.de/10005788911
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Stochastic Capital Depreciation and the Comovement of Hours and Productivity
Dittmar, Robert; Dueker, Michael; Fischer, Andreas M - C.E.P.R. Discussion Papers - 2002
In this article, we demonstrate that a small degree of stochastic variation in the depreciation rate of capital can greatly reduce the comovement between hours worked and labour productivity in a neoclassical growth model. The depreciation rate is modeled as a Markov process to place a strict...
Persistent link: https://www.econbiz.de/10005791621
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The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
Clarida, Richard; Sarno, Lucio; Taylor, Mark P; … - C.E.P.R. Discussion Papers - 2005
We examine the relationship between interest rates of different maturities for the US, Germany and Japan over the period 1982-2000, using a general, multivariate vector equilibrium correction modelling framework capable of simultaneously allowing for asymmetric adjustment and regime shifts. This...
Persistent link: https://www.econbiz.de/10005124113
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Model-based Clustering of Multiple Time Series
Frühwirth-Schnatter, Sylvia; Kaufmann, Sylvia - C.E.P.R. Discussion Papers - 2004
the group-specific model parameters. We cast estimation into the Bayesian framework and use Markov chain Monte Carlo … documents the efficiency gains in estimation and forecasting that are realized when appropriately grouping the time series of a …
Persistent link: https://www.econbiz.de/10005497905
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Loss Functions in Option Valuation: A Framework for Model Selection
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2005
In this paper, we investigate the importance of different loss functions when estimating and evaluating option pricing models. Our analysis shows that it is important to take into account parameter uncertainty, since this leads to uncertainty in the predicted option price. We illustrate the...
Persistent link: https://www.econbiz.de/10005791774