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Forecasting Exchange Rates: An Investor Perspective

Melvin, Michael; Prins, John; Shand, Duncan - CESifo - 2013

The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....

Persistent link: https://www.econbiz.de/10010659187

The Economics of Bitcoins - Market Characteristics and Price Jumps

Gronwald, Marc - CESifo - 2014

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10011099050

Credit Shocks and Macroeconomic Fluctuations in Emerging Markets

Romain, Houssa; Mohimont, Jolan; Otrok, Chris - CESifo - 2013

In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...

Persistent link: https://www.econbiz.de/10010668472

Forecasting Euro Area Real GDP: Optimal Pooling of Information

Hülsewig, Oliver; Mayr, Johannes; Wollmershäuser, Timo - CESifo - 2008

This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by...

Persistent link: https://www.econbiz.de/10005181446

Forecasting Economic and Financial Variables with Global VARs

Pesaran, M. Hashem; Schuermann, Til; Smith, L. Vanessa - CESifo - 2008

forecast combination literature, the effects of model and estimation uncertainty on forecast outcomes are examined by pooling …

Persistent link: https://www.econbiz.de/10005406358

Did US Consumers 'Save for a Rainy Day' Before the Great Recession?

Anundsen, André Kallåk; Nymoen, Ragnar - CESifo - 2015

The ‘saving for a rainy day’ hypothesis implies that households’ saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...

Persistent link: https://www.econbiz.de/10011278934

Renewed Momentum in the German Housing Market: Boom or Bubble?

Chen, Xi; Funke, Michael - CESifo - 2013

The renewed momentum in the German housing market has led to concerns that Germany is vulnerable to asset price shocks. In this paper, we apply recently developed recursive unit root tests to detect the beginning and the end of potential speculative bubbles in Germany over the sample period...

Persistent link: https://www.econbiz.de/10010877826

Nowcasting Regional GDP: The Case of the Free State of Saxony

Henzel, Steffen; Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2015

We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and international) for the years 1998 to 2013. We explicitly use the ragged-edge data structure and consider the different information sets faced by a regional forecaster within each...

Persistent link: https://www.econbiz.de/10011273092

How Informative are the Subjective Density Forecasts of Macroeconomists?

Kenny, Geoff; Kostka, Thomas; Masera, Federico - CESifo - 2011

In this paper, we propose a framework to evaluate the information content of subjective expert density forecasts using micro data from the ECB’s Survey of Professional Forecasters (SPF). A key aspect of our analysis is the use of scoring functions which evaluate the entire predictive...

Persistent link: https://www.econbiz.de/10009386355

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem; Pick, Andreas - CESifo - 2008

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10005094212

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