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A note on the coefficient of determination in regression models with infinite-variance variables
Loretan, Michael Stanislaus; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2007
Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on...
Persistent link: https://www.econbiz.de/10005083093
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003
financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial …
Persistent link: https://www.econbiz.de/10005083101
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Tail Wags Dog? Time-Varying Information Shares in the Bund Market
Upper, Christian; Werner, Thomas - Deutsche Bundesbank - 2002
The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...
Persistent link: https://www.econbiz.de/10005059035
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Evaluating the calibration of multi-step-ahead density forecasts using raw moments
Knüppel, Malte - Deutsche Bundesbank - 2011
The evaluation of multi-step-ahead density forecasts is complicated by the serial correlation of the corresponding probability integral transforms. In the literature, three testing approaches can be found which take this problem into account. However, these approaches can be computationally...
Persistent link: https://www.econbiz.de/10009646497
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Evaluating macroeconomic risk forecasts
Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank - 2011
Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk forecasts can be tested. We find that the Pearson mode skewness...
Persistent link: https://www.econbiz.de/10009151246
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How informative are central bank assessments of macroeconomic risks?
Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank - 2011
Surveying the forecasting practice of several central banks, we find that all these banks issue statements about risks to their macroeconomic forecasts. Often the balance of these risks is assessed as well. Upward [downward] risks to the forecast commonly imply that the outturn is expected to...
Persistent link: https://www.econbiz.de/10009151247
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A single composite financial stress indicator and its real impact in the euro area
Islami, Mevlud; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2013
In this paper, we construct a single composite financial stress indicator (FSI) which aims to predict developments in the real economy in the euro area. Our FSI was shown to perform better than the Euro STOXX 50 volatility index for the recent banking crisis and the euro-area sovereign debt...
Persistent link: https://www.econbiz.de/10010957158
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The empirical (ir)relevance of the interest rate assumption for central bank forecasts
Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank - 2013
The interest rate assumptions for macroeconomic forecasts differ considerably among central banks. Common approaches are given by the assumption of constant interest rates, interest rates expected by market participants, or the central bank's own interest rate expectations. From a theoretical...
Persistent link: https://www.econbiz.de/10010984733
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The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity
Kim, Jeong-Ryeol - Deutsche Bundesbank - 2003
Korrelation zwischen Aktienrenditen und Inflationsrate zu untersuchen, das in der Literatur als Rätsel der Aktienrendite …-Inflation- Relation (bzw. Proxy-Hypothese) bekannt ist. Es zeigt sich auf der Grundlage deutscher Quartalsdaten für Aktienrendite … asymmetrische Beziehung anzusehen ist. Darüber hinaus ist die führende Rolle der Aktienrendite für die Wachstumsrate der …
Persistent link: https://www.econbiz.de/10005083121
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Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept
Knüppel, Malte - Deutsche Bundesbank - 2004
In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and steepness - for first-order autoregressive processes with a Markov-switching intercept. In order to do so, we derive the two required formulas determining the coefficient of...
Persistent link: https://www.econbiz.de/10005083167