new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …

Current best practice in central banking views a high level of monetary policy predictability as desirable. A clear … distinction, however, has to be made between short-term and longer-term predictability. While short-term predictability can be … broader, ultimately more meaningful concept of longerterm predictability also encompasses the ability of the private sector to …

show that the days of policy meetings are special days for financial markets. Second, we find that the predictability of …

include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the … in forecasting the aggregate. We show theoretically that the first method of forecasting the aggregate should outperform … the alternative methods in population. We investigate whether this theoretical prediction can explain our empirical …

striking negative correlation between the evolution of the long-run coefficient on inflation in the monetary rule and the … evolution of the persistence and predictability of inflation relative to a trend component. Using a standard sticky-price model …, we show that a more aggressive policy stance towards inflation causes a decline in inflation predictability, providing a …

Svensson (2006). First, the paper finds that the precision of communication is a key determinant of the predictability of both … market environment. Specifically, a given statement may enhance predictability in an environment of high market uncertainty …

I analyze output growth, volatility, and skewness as the joint outcomes of financial openness. Using an industry panel … skewness of the growth process. The increase in output skewness appears to come from a more negatively skewed distribution of … associated with higher probability of rare large contractions are mitigated by deep credit markets and by strong institutions …

econometric biases associated with the single-equation models used to test it; however, none account for it. This paper analyzes … the EH by focusing on its fundamental tenet - the predictability of the short-term rate. This is done by comparing h …

naïve random walk model, the URP for the EUR/USD performs better in terms of forecasts for a set of alternative statistics …