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Head and shoulders: not just a flaky pattern

Osler, C.L.; Chang, P.H. Kevin - Federal Reserve Bank of New York - 1995

This paper evaluates rigorously the predictive power of the head-and-shoulders pattern as applied to daily exchange rates. Though such visual, nonlinear chart patterns are applied frequently by technical analysts, our paper is one of the first to evaluate the predictive power of such patterns....

Persistent link: https://www.econbiz.de/10005526287

Regulatory evaluation of value-at-risk models

Lopez, Jose A. - Federal Reserve Bank of New York - 1997

Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently, regulators have available three hypothesis-testing...

Persistent link: https://www.econbiz.de/10005526313

Monetary cycles, financial cycles, and the business cycle

Adrian, Tobias; Estrella, Arturo; Shin, Hyun Song - Federal Reserve Bank of New York - 2010

One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real … activity. The economic rationale for this forecasting power usually appeals to expectations of future interest rates, which … affect the slope of the term structure. In this paper, we propose a possible causal mechanism for the forecasting power of …

Persistent link: https://www.econbiz.de/10008636190

Financial intermediation, asset prices, and macroeconomic dynamics

Adrian, Tobias; Moench, Emanuel; Shin, Hyun Song - Federal Reserve Bank of New York - 2010

Fluctuations in the aggregate balance sheets of financial intermediaries provide a window on the joint determination of asset prices and macroeconomic aggregates. We document that financial intermediary balance sheets contain strong predictive power for future excess returns on a broad set of...

Persistent link: https://www.econbiz.de/10008636199

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2015

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … for forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10011274348

How do college students form expectations?

Zafar, Basit - Federal Reserve Bank of New York - 2009

Because students rely on their subjective expectations when choosing a college major, understanding this process of expectations formation is crucial for education policy recommendations. This paper focuses on how college students form expectations about various major-specific outcomes. I...

Persistent link: https://www.econbiz.de/10004973933

Rational bias in macroeconomic forecasts

Laster, David; Bennett, Paul; Geoum, In Sun - Federal Reserve Bank of New York - 1996

This paper develops a model of macroeconomic forecasting in which a forecaster's wage is a function of his accuracy as …

Persistent link: https://www.econbiz.de/10005512210

Are the preliminary announcements of some macroeconomic variables rational?

Chan, Anthony - Federal Reserve Bank of New York - 1990

Persistent link: https://www.econbiz.de/10005512217

Determinants of current risk premiums

Carlson, John A.; Osler, C. L. - Federal Reserve Bank of New York - 1999

This paper presents a theoretical model of exchange-rate determination intended to address the forward premium puzzle. It also explains the empirical observation that risk premiums depend on interest differentials. The model's closed-form solution indicates that currency risk premiums depend on...

Persistent link: https://www.econbiz.de/10005420480

Model selection criteria for factor-augmented regressions

Groen, Jan J. J.; Kapetanios, George - Federal Reserve Bank of New York - 2009

In a factor-augmented regression, the forecast of a variable depends on a few factors estimated from a large number of predictors. But how does one determine the appropriate number of factors relevant for such a regression? Existing work has focused on criteria that can consistently estimate the...

Persistent link: https://www.econbiz.de/10005420506