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Berkowitz, Jeremy - Federal Reserve Board (Board of Governors of the … - 1999

context of risk models, interest centers on more than just a single point of the forecast distribution. For example, value-at-risk … approach to evaluating such forecasts. It requires evaluation of the entire forecast distribution, rather than a value-at-risk …

Persistent link: https://www.econbiz.de/10005721172

Evaluating "correlation breakdowns" during periods of market volatility

Loretan, Mico; English, William B. - Federal Reserve Board (Board of Governors of the … - 2000

the implications of this link between measures of volatility and correlation for risk management, bank supervision, and …Financial market observers have noted that during periods of high market volatility, correlations between asset prices …-varying sampling volatility. As noted by Boyer, Gibson and Loretan (1999), increases in the volatility of returns are generally …

Persistent link: https://www.econbiz.de/10005712696

Bank equity values, bank risk, and the implied market values of banks' assets and liabilities

Kuester, Kathleen A.; O'Brien, James M. - Federal Reserve Board (Board of Governors of the … - 1989

Persistent link: https://www.econbiz.de/10005514181

On risk, rational expectations, and efficient asset markets

Stevens, Guy V.G.; Akbarian, Dara - Federal Reserve Board (Board of Governors of the … - 1994

portfolio size and degree of risk aversion of potential investors, the ability to borrow, and the hedging opportunities provided …

Persistent link: https://www.econbiz.de/10005368265

Forecast uncertainty in economic modeling

Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 2001

This paper provides an introduction to forecast uncertainty in empirical economic modeling. Forecast uncertainty is defined, various measures of forecast uncertainty are examined, and some sources and consequences of forecast uncertainty are analyzed. Empirical illustrations with the U.S. trade...

Persistent link: https://www.econbiz.de/10005712694

Exact and approximate multi-period mean-square forecast errors for dynamic econometric models

Ericsson, Neil R.; Marquez, Jaime R. - Federal Reserve Board (Board of Governors of the … - 1989

Both future disturbances and estimated coefficients contribute to the uncertainty in model-based ex ante forecasts, but only the first source is usually taken into account when calculating confidence intervals for practical applications. Schmidt (1974) and Baillie (1979) provide an easily...

Persistent link: https://www.econbiz.de/10005712707

Should fixed coefficients be reestimated every period for extrapolation?

Swamy, P.A.V.B.; Schinasi, Garry J. - Federal Reserve Board (Board of Governors of the … - 1986

This paper demonstrates that forecast accuracy is not necessarily improved when fixed coefficient models are sequentially reestimated, and used for prediction, after updating the database with the latest observation(s). This is at variance with the now popular method (see Meese and Rogoff (1983,...

Persistent link: https://www.econbiz.de/10005712749

Predicting global stock returns

Hjalmarsson, Erik - Federal Reserve Board (Board of Governors of the … - 2008

common forecasting variables: the dividend- and earnings-price ratios, the short interest rate, and the term spread. The data …

Persistent link: https://www.econbiz.de/10005712760

Are foreign exchange forecasts rational? New evidence from survey data

Dominguez, Kathryn M. - Federal Reserve Board (Board of Governors of the … - 1986

Tests of rational expectations in foreign exchange markets have been inconclusive because of disagreement over the underlying asset pricing model. This paper uses a newly available set of data on foreign exchange forecasts to examine directly expectations formation in four foreign currency...

Persistent link: https://www.econbiz.de/10005712778

Evaluating the predictive performance of trade-account models

Marquez, Jaime; Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 1990

This paper evaluates the distributional properties of forecasts from six econometric models of the U.S. trade account. Using stochastic (Monte Carlo) simulation, we derive confidence intervals and forecast-based test statistics which account for uncertainty from future disturbances and from...

Persistent link: https://www.econbiz.de/10005712804