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Jorda, Oscar - EconWPA - 2004

This paper introduces methods for computing impulse response functions that do not require specification and estimation of the unknown dynamic multivariate system itself. The central idea behind these methods is to estimate flexible local projections at each period of interest rather than...

Persistent link: https://www.econbiz.de/10005561317

Foreign Banks and Credit Stability in Central and Eastern Europe: friends or foes? A panel data analysis

Haas, Ralph de; Lelyveld, Iman van - EconWPA - 2003

credit and deposit bases, whereas foreign banks did not. Also, home country conditions matter for foreign bank growth, as …-2000, with detailed information on bank ownership. Our analysis shows that during crisis periods domestic banks contracted their … there is a significant and negative relationship between home country economic growth and host country credit by foreign …

Persistent link: https://www.econbiz.de/10005125544

ON THE FORECASTABILITY OF ASEAN-5 STOCK MARKETS RETURNS USING TIME SERIES MODELS

Liew, Khim-Sen; Lim, Kian-Ping; Choong, Chee-Keong - EconWPA - 2003

This study examines the forecastability of ASEAN-5 stock market returns using linear and non-linear time series models. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the behaviour of these returns do not follow random walk...

Persistent link: https://www.econbiz.de/10005076958

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

Forecasting Regional Employment in Germany by Means of Neural Networks and Genetic Algorithms

Patuelli, Roberto; Longhi, Simonetta; Reggiani, Aura; … - EconWPA - 2005

The aim of this paper is to develop and apply Neural Network (NN) models in order to forecast regional employment patterns in Germany. NNs are statistical tools based on learning algorithms with a distribution over a large amount of quantitative data. NNs are increasingly deployed in the social...

Persistent link: https://www.econbiz.de/10005134566

APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES

Guida, Tony; Matringe, Olivier - EconWPA - 2005

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare … different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to …

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

Proxying for Expected Returns with Price Earnings Ratios

Hansen, Charlotte S.; Tuypens, Bjorn E. - EconWPA - 2004

ratio when forecasting long-run returns. The empirical results for the S&P 500 show the superiority of our approach to …

Persistent link: https://www.econbiz.de/10005134659

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

Rossi, Barbara - EconWPA - 2005

Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper applies newly developed tests for nested model that are robust to the...

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

Forecasting the Manhattan office market with a simultaneous equation model

Fuerst, Franz - EconWPA - 2004

In order to explore the predictability of the Manhattan office market, a three-stage simultaneous equation model is applied in this paper. The first stage incorporates the office space market in terms of occupied space and absorption of new space. The second stage captures the adjustment of...

Persistent link: https://www.econbiz.de/10005062516

Review of Steven J. Rosenstone, Forecasting Presidential Elections (published by Yale University Press, New Haven, CT, 1983))

Armstrong, J. S. - EconWPA - 2005

Rosenstone develops a causal model to forecast political voting. The model seems reasonable; for example, it includes information about party, key issues, the economy, war, incumbency, region, and trends over time. Standard econometric methods are then used to determine how much weight should be...

Persistent link: https://www.econbiz.de/10005062661

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