producer distress indices that signal the build-up of upside and downside price risk, and by conducting a risk scenario …

and autocorrelation of error. The marginal forecast errors tend to increase, and the correlations between predictions and …

the "vicious circle" hypothesis, showing how an explosive cycle of exchange-rate depreciation and wage-price inflation may …

forecasting movements in short-term interest rates. For brief forecast intervals, however, ex ante changes in long-term rates are …

price movements around macroeconomic news announcements. These "surprises" cannot be used directly in forecasting--they are … not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing parameter … of forecasting excess bond and equity returns. We find substantial improvements in out-of-sample forecast accuracy for …

premium. We use this simple observation to forecast the equity-premium time series with the cross-sectional price of risk. We … cross section. The slope of the relation is the cross-sectional price of risk, which should equal the expected equity … are potentially correlated with return shocks. Our empirical tests show that the cross-sectional price of risk (1) is …

and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically …

incorporates both sluggish price adjustment and shocks to aggregate demand and aggregate supply, we show that strict targeting of … approximating strict inflation-forecast targeting are likely to have undesirable properties. We also show that economies with more … general forecast-based policy rules are particularly susceptible to indeterminacy of rational expectations equilibria. We …