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STOCK MARKET VALUATION IN THE UNITED STATES

BISCIARI, Patrick; DURRE, Alain; NYSSENS, Alain - EconWPA - 2003

This paper gives an overview of some issues related to market aluation, focusing on the developments on the New York equity markets. The 42.4 p.c. fall in the S&P 500 price index between 24 March 2000 - when it reached its all-time high - and 31 December 2002 is situated in a very long term...

Persistent link: https://www.econbiz.de/10005125064

(Un)Predictability and Macroeconomic Stability

D'Agostino, Antonello; Giannone, Domenico; Surico, Paolo - EconWPA - 2005

This paper documents a new stylized fact of the U.S. greater macroeconomic stability of the last two decades or so. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve's Green book and the Survey of Professional Forecasters, we show that the...

Persistent link: https://www.econbiz.de/10005076800

Policy Makers Priors and Inflation Density Forecasts

Vega, Marco - EconWPA - 2004

This paper models an inflation forecast density framework that closely resembles actual policy makers behaviour … performing the forecast exercise. …

Persistent link: https://www.econbiz.de/10005556367

Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models

DUFRENOT, Gilles; Val=E9rie MIGNON; PEGUIN-FEISSOLE, Anne - EconWPA - 2003

This paper investigates the asymmetric effects of monetary shocks when the=20 impact of monetary policy on real activity works through state-dependent=20 variables. We use a nonlinear model, the multiple regime smooth transition=20 autoregressive model, that allows the effects of shocks to vary...

Persistent link: https://www.econbiz.de/10005126142

APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES

Guida, Tony; Matringe, Olivier - EconWPA - 2005

that no real “model leader” was found in this sample of commodities. Finally increased forecast performance is not solely …

Persistent link: https://www.econbiz.de/10005134650

A Framework for Forecasting the Components of the Consumer Price

Aron, Janine; Muellbauer, John; Pretorius, Coen - EconWPA - 2004

interest rates, or CPIX) for South Africa are modeled separately and forecast, four quarters ahead. The method combines …

Persistent link: https://www.econbiz.de/10005062419

Assessing Forecast Performance in a VEC Model: An Empirical Examination

Bragoudakis, Zacharias - EconWPA - 2005

ability of the model to forecast not only one-period ahead but also many periods into the future. …

Persistent link: https://www.econbiz.de/10005556281

Forecasting Industrial Production and the Early Detection of Turning Points

Bruno, Giancarlo; Lupi, Claudio - EconWPA - 2001

In this paper we propose a simple model to forecast industrial production in Italy. We show that the forecasts produced …

Persistent link: https://www.econbiz.de/10005556310

VAR Priors: Success or lack of a decent macroeconomic theory?

Ramos, Francisco F. R. - EconWPA - 1996

the realism of the prior, but rather because the prior conveniently reduces forecast error variance in common cases of … misspecification. Specifically, it is shown that the imposition of a random walk prior reduces forecast error variance in …

Persistent link: https://www.econbiz.de/10005556380

The P* model as a general identity to analyze and forecast the behavior of the inflation rate in the economy of Puerto Rico

Ramos, Carlos A. Rodríguez - EconWPA - 2003

In this work the P* model is used to analyze and forecast the inflation rate in the economy of Puerto Rico. This model … price level will be adjust, in the long run, to the forecast of the model. Given the way in which the monetary sector in … forecast the inflation. The results indicate a long run relationship between the monetary supply of United States (M1) and the …

Persistent link: https://www.econbiz.de/10005556397

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