Showing 1 - 10 of 68
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...
Persistent link: https://www.econbiz.de/10010886225
We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state-dependent volatility in the state equation. We implement on...
Persistent link: https://www.econbiz.de/10011273702
I revisit the Great Inflation and the Great Moderation. I document an immoderation in corporate balance sheet variables so that the Great Moderation is best described as a period of divergent patterns in volatilities for real, nominal and financial variables. A model with time-varying financial...
Persistent link: https://www.econbiz.de/10011075129
GDP and other variables. The aim of this article is to evaluate the forecasting performance of the Central Bank of Brazil …
Persistent link: https://www.econbiz.de/10011075127
We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogeneous affine function of the state...
Persistent link: https://www.econbiz.de/10011095294
pattern that is consistent with Hicks' composite-good theorem and that may be used for forecasting. To determine whether one …
Persistent link: https://www.econbiz.de/10005368144
from other aspects of the forecasting process, resulting in inefficient forecasting techniques and seemingly puzzling … forecasting process. …
Persistent link: https://www.econbiz.de/10005368254
Exchange rate forecasting is hard and the seminal result of Meese and Rogoff (1983) that the exchange rate is well … constructing other forecasting models. However, in several other macro and financial forecasting applications, researchers in … recent years have considered methods for forecasting that combine the information in a large number of time series. One …
Persistent link: https://www.econbiz.de/10005368310
This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of both predictable and unpredictable forecast uncertainty are categorized. Key features of predictable forecast uncertainty are illustrated by several analytical models,...
Persistent link: https://www.econbiz.de/10005368311
If forecasts of economic activity are to rely on preliminary data, the predictable component of the data revisions should be taken into account. This paper applies the Kalman filter to improve the forecast accuracy of published preliminary estimates of retail sales. Successive estimates of...
Persistent link: https://www.econbiz.de/10005368331