Showing 1 - 10 of 39
This paper argues that inferring long-horizon asset-return predictability from the properties of vector autoregressive (VAR) models on relatively short spans of data is potentially unreliable. We illustrate the problems that can arise by re-examining the findings of Bekaert and Hodrick (1992),...
Persistent link: https://www.econbiz.de/10005490919
As part of the Fed's daily operating procedure, the Federal Reserve Bank of New York, the Board of Governors, and the Treasury make a forecast of that day's Treasury balance at the Fed. These forecasts are an integral part of the Fed's daily operating procedure. Errors in these forecasts can...
Persistent link: https://www.econbiz.de/10005490925
We construct a parsimonious model of the U.S. macro economy using a state space representation and recursive estimation. At the core of the estimation procedure is a prediction/correction algorithm based on a recursive least squares estimation with exponential forgetting. The algorithm is a...
Persistent link: https://www.econbiz.de/10005490934
We distinguish between three different ways of using real-time data to estimate forecasting equations and argue that …, its out-of-sample forecasting performance is superior to that obtained using conventional estimation and compares …
Persistent link: https://www.econbiz.de/10005490964
combining forecasts from different models helps improve the out-of-sample forecasting performance for US short-term rates …. Imposing restrictions from the expectations hypothesis on the forecasting model are found to help at long forecasting horizons. …
Persistent link: https://www.econbiz.de/10005490995
Address before the Charlotte Economics Club, Charlotte, N.C., Feb. 25, 2004
Persistent link: https://www.econbiz.de/10005420412
Presentation to the Arkansas Business and Economic Society and The Central Arkansas Chapter of the Risk Management Association, Little Rock -Feb. 15, 2001
Persistent link: https://www.econbiz.de/10005420429
for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money …, including different methods of aggregation and different collections of included monetary assets. In our forecasting experiment … forecasting models and are then compared to forecasts from a naive random walk model. The best models were non …
Persistent link: https://www.econbiz.de/10004973888
We jointly test the rationality of the Federal Reserve’s Greenbook forecasts of infiation, unemployment, and output growth using a multivariate nonseparable asymmetric loss function. We find that the forecasts are rationalizable and exhibit directional asymmetry. The degree of asymmetry...
Persistent link: https://www.econbiz.de/10011184288
Presentation to the Arkansas Business and Economic Society and The Central Arkansas Chapter of the Risk Management Association, Little Rock -Feb. 15, 2001
Persistent link: https://www.econbiz.de/10011185094