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Bovi, Maurizio - EconWPA - 2004

This paper investigates the usefulness of Italian consumer surveys as estimation and forecasting tool over the period 1982-2003. To this end, standard consumption equations are estimated and then compared, in terms of in-sample and out-of-sample predictive ability, with corresponding models...

Persistent link: https://www.econbiz.de/10005412574

Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited

Hill, Jonathan B. - EconWPA - 2004

forecast) output, when causation occurs, and how (through which causal chains). Our tests are based on new recursive parametric …

Persistent link: https://www.econbiz.de/10005119144

System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets

Los, Cornelis A - EconWPA - 2004

This paper analyzes the systematic relationship between the stock market valuations, the nominal GDPs and the interest rates of six Asian countries, using not 'single equation regression,' but an alternative methodology based on complete, multidirectional, least squares projections. We compare...

Persistent link: https://www.econbiz.de/10005408169

Early Locking to the Euro: Some Estimates for the New EU Countries based on Equilibrium Exchange Rates

Melecky, Martin - EconWPA - 2005

The ECB recommends to prospective euro-area members that they choose the central parities, for fixing their currencies against the euro, consistent with a broad range of economic indicators while taking account of the market rate as well. In this paper, we estimate a behavioral model of the real...

Persistent link: https://www.econbiz.de/10005408207

Information, Alternative Markets, and Security Price Processes: A Survey of Literature

Bhuyan, Rafiqul - EconWPA - 2002

In this paper, we survey a wide range of theoretical and empirical papers on derivatives markets to address the information contents of trading activities in derivatives markets. Both theoretical and empirical research on options market and futures market indicate that the presence of...

Persistent link: https://www.econbiz.de/10005413117

Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability

Rossi, Barbara - EconWPA - 2005

because the relationship is unstable over time and, thus, difficult to capture by Granger Causality tests or by forecast …

Persistent link: https://www.econbiz.de/10005062396

A Framework for Forecasting the Components of the Consumer Price

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

. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage …Inflation is a far from homogeneous phenomenon, but this fact is ignored in most work on consumer price inflation … 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

Is it really long memory we see in financial returns?

Mikosch, Thomas - EconWPA - 2004

characteristic and the IGARCH phenomena carry meaningful information about the price generating process, these so-called stylized …

Persistent link: https://www.econbiz.de/10005119085

Non-stationarities in stock returns

Starica, Catalin; Granger, Clive - EconWPA - 2004

The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach...

Persistent link: https://www.econbiz.de/10005119176

The Behavioral Equilibrium Exchange Rate of the Czech Koruna

Melecky, Martin; Komarek, Lubos - EconWPA - 2005

The behavioural equilibrium exchange rate (BEER) model of the Czech koruna is derived in this paper and estimated by three methods suitable for non-stationary time series. The considered potential determinants of the real equilibrium exchange rate are the productivity differential, the interest...

Persistent link: https://www.econbiz.de/10005119429