Showing 1 - 10 of 104
the least reliable, whereas real GDP and real private consumption data are the most reliable. In addition, early forecasts … forecasts of all the variables seem to be no more accurate than naïve forecasts based on the historical mean of the final data. …
Persistent link: https://www.econbiz.de/10005068776
We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980.s and slightly...
Persistent link: https://www.econbiz.de/10010632795
expected shortfall forecasts that exploits the predictive content of uncorrelated, yet dependent model innovations. The …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models. …
Persistent link: https://www.econbiz.de/10010632797
not entirely representative) sample of the general public. These data can be used to improve the short-term forecasts or …
Persistent link: https://www.econbiz.de/10008549317
of monthly US private consumption using a real-time data set. The Google-based forecasts are compared to those based on a …-Mariano test of equal predictive ability, the null hypothesis can be rejected suggesting that Google-based forecasts are … benchmark model is not inferior to any alternative model forecasts. Furthermore, the results of the model confidence set (MCS …
Persistent link: https://www.econbiz.de/10008565836
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10010896189
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10010783955
Despite the fact that Argentina has been suffering from a recession for years, the timing and severity of the recent currency crisis surprised most observers. This paper analyzes the role of fundamentals and self-fulfilling speculation in the Argentinean crisis. Arguing within a theoretical...
Persistent link: https://www.econbiz.de/10005068706
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10005069074
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10010661278