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Equilibrium on International Assets and Goods Markets
Fontaine, Patrice; Van, Cuong Le - HAL - 2010
Most of the international asset pricing models are developed in the situation where purchasing power parity (PPP) is not respected. Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but...
Persistent link: https://www.econbiz.de/10010603675
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Forecasting exchange rates better than the random walk thanks to machine learning techniques
Amat, Christophe; Michalski, Tomasz; Stoltz, Gilles - HAL - 2014
Using methods from machine learning - adaptive sequential ridge regression with discount factors - that prevent overfitting in-sample for better and more stable forecasting performance out-of-sample we show that fundamentals from the PPP, UIRP and monetary models consistently improve the...
Persistent link: https://www.econbiz.de/10010899931
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Do Overseas investments create or replace trade? New insights from a macro-sectoral study on Japan
Chiappini, Raphaël - HAL - 2013
This paper investigates the relationship between outward foreign direct investment (FDI) and both exports and imports … overseas investments substitute for exports in chemicals products and for both exports and imports in general machinery. … between FDI and exports is overestimated when using the Ordinary Least Square (OLS) estimator. The PPML method also allows …
Persistent link: https://www.econbiz.de/10010899357
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A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques
Guegan, Dominique; Rakotomarolahy, Patrick - HAL - 2010
Domestic Product (GDP) modelling in order to improve the forecasting accuracy. Our approach is based on multivariate k … compute the quarter GDP on the Euro-zone, comparing our approach, with GDP obtained when we estimate the monthly indicators …
Persistent link: https://www.econbiz.de/10010549081
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A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques
Guegan, Dominique; Rakotomarolahy, Patrick - HAL - 2010
Domestic Product (GDP) modelling in order to improve the forecasting accuracy. Our approach is based on multivariate k … compute the quarter GDP on the Euro-zone, comparing our approach, with GDP obtained when we estimate the monthly indicators …
Persistent link: https://www.econbiz.de/10010603648
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Alternative methods for forecasting GDP
Guegan, Dominique; Rakotomarolahy, Patrick - HAL - 2010
, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP …, through the estimation of economic indicators plugged in the bridge equations, we get more accurate forecasts when using …
Persistent link: https://www.econbiz.de/10010603668
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Alternative methods for forecasting GDP
Guegan, Dominique; Rakotomarolahy, Patrick - HAL - 2010
, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP …, through the estimation of economic indicators plugged in the bridge equations, we get more accurate forecasts when using …
Persistent link: https://www.econbiz.de/10010603674
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What drives Health Care Expenditure in France since 1950?
Barnay, Thomas; Damette, Olivier - HAL - 2012
Using the French annual database (1950-2009), we conducted a time-series analysis to explain the role of GDP per capita …-term economic relationship between HCE and GDP, controlling for price effect, population ageing, innovation proxy and medical … density. We show that the non-linearity of the long-run relationship between HCE and GDP comes from both the presence of a …
Persistent link: https://www.econbiz.de/10010899827
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Home Sweet Home? Macroeconomic Conditions in Home Countries and the Well-Being of Migrants
Akay, Alpaslan; Bargain, Olivier; Zimmermann, Klaus F. - HAL - 2014
conditions in their country of origin. Using the German Socio-Economic Panel for the years 1984 to 2009 and macroeconomic … variables for 24 countries of origin, we exploit country-year variation for identification of the effect and panel data to …-being responds negatively (positively) to an increase in the GDP (unemployment rate) of their home country. That is, we originally …
Persistent link: https://www.econbiz.de/10010933917
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The impact of monetary policy signals on the intradaily euro-dollar volatility
Mokhtar, Darmoul - HAL - 2006
In this paper, we investigate the impact of monetary policy signals stemming from the ECB Council and the FOMC on the intradaily Euro-dollar volatility, using high-frequency data (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure...
Persistent link: https://www.econbiz.de/10010750789