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Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - Federal Reserve Bank of St. Louis - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10008690986

A state space forecasting model with fiscal and monetary control

Allen, Donald S.; Pasupathy, Meenakshi - Federal Reserve Bank of St. Louis - 1997

In this paper we model the U.S. economy parsimoniously in an a theoretic state space representation. We use monthly data for thirteen macroeconomic variables. We treat the federal deficit as a proxy for fiscal policy and the fed funds rate as a proxy for monetary policy and use each of them as...

Persistent link: https://www.econbiz.de/10005352818

A vector error correction forecasting model of the U.S. economy

Anderson, Richard G.; Hoffman, Dennis L.; Rasche, Robert H. - Federal Reserve Bank of St. Louis - 2001

stochastic structure. This paper discusses in detail the speciation of a vector error correction forecasting model that is …

Persistent link: https://www.econbiz.de/10005360642

Predictability in international asset returns: a reexamination

Neely, Christopher; Weller, Paul - Federal Reserve Bank of St. Louis - 1999

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

Multi-step ahead forecasting of vector time series

McElroy, Tucker; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2012

This paper develops the theory of multi-step ahead forecasting for vector time series that exhibit temporal … filters explicitly, and also provide formulas for forecasting from a finite-sample of data. This latter application can be … flexibility and generality of these formulas: forecasting Euro Area macroeconomic aggregates; backcasting fertility rates by …

Persistent link: https://www.econbiz.de/10010599271

The low-frequency impact of daily monetary policy shocks

Francis, Neville; Ghysels, Eric; Owyang, Michael T. - Federal Reserve Bank of St. Louis - 2011

With rare exception, studies of monetary policy tend to neglect the timing of the innovations to the monetary policy instrument. Models which do take timing seriously are often difficult to compare to standard VAR models of monetary policy because of the differences in the frequency that they...

Persistent link: https://www.econbiz.de/10008872024

Interpreting life-cycle inequality patterns as an efficient allocation: mission impossible?

Badel, Alejandro; Huggett, Mark - Federal Reserve Bank of St. Louis - 2010

Data on consumption, earnings, wages and hours dispersion over the life cycle is commonly viewed as incompatible with a Pareto efficient allocation. We show that a model with preference and wage shocks and full insurance produces the rise in consumption, wages and hours dispersion over the life...

Persistent link: https://www.econbiz.de/10008690979

Regime shifts in mean-variance efficient frontiers: some international evidence

Guidolin, Massimo; Ria, Federica - Federal Reserve Bank of St. Louis - 2010

Regime switching models have been assuming an increasingly central role in financial applications because of their well-known ability to capture the presence of rich non-linear patterns in the joint distribution of asset returns. After reviewing key concepts and technical issues related to...

Persistent link: https://www.econbiz.de/10008690982

Roundtable discussion on model uncertainty

Bullard, James - Federal Reserve Bank of St. Louis - 2008

Presented at the Conference on Recognizing and Coping with Macroeconomic Model Uncertainty in Designing Monetary Policy. Sponsored by the Bank of Korea. Seoul, Korea.

Persistent link: https://www.econbiz.de/10010727354

An approximate dual-self model and paradoxes of choice under risk

Fudenberg, Drew; Levine, David K.; Maniadis, Zacharias - Federal Reserve Bank of St. Louis - 2012

We derive a simplified version of the model of Fudenberg and Levine [2006, 2011] and show how this approximate model is useful in explaining choice under risk. We show that in the simple case of three outcomes, the model can generate indifference curves that “fan out” in the Marshack-Machina...

Persistent link: https://www.econbiz.de/10011027334

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