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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

From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices

Denzler, Stefan; Dacorogna, Michel M.; Mueller, Ulrich A.; … - EconWPA - 2005

Credit risk models like Moody’s KMV are now well established in the market and give bond managers reliable estimates of default probabilities for individual firms. Until now it has been hard to relate those probabilities to the actual credit spreads observed on the market for corporate bonds....

Persistent link: https://www.econbiz.de/10005077017

Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate

Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005

This paper identifies the Multifractal Models of Asset Return (MMARs) from the eight nodal term structure series of US Treasury rates as well as the Fed Funds rate and, after proper synthesis, simulates those MMARs. We show that there is an inverse persistence term structure in the sense that...

Persistent link: https://www.econbiz.de/10005077018

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

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

Tests of Conditional Predictive Ability

Giacomini, Raffaella; White, Halbert - EconWPA - 2003

real-time forecast selection, i.e., for assessing which of two competing forecasting methods will perform better in the … practically relevant conclusions. Our approach is based on inference about conditional expectations of forecasts and forecast …

Persistent link: https://www.econbiz.de/10005556276

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