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Financial Market Conditions, Real Time, Nonlinearity and European Central Bank Monetary Policy: In-Sample and Out-of-Sample Assessment

Milas, Costas; Naraidoo, Ruthira - Rimini Centre for Economic Analysis (RCEA) - 2009

We explore how the ECB sets interest rates in the context of policy reaction functions. Using both real-time and revised information, we consider linear and nonlinear policy functions in inflation, output and a measure of financial conditions. We find that amongst Taylor rule models, linear and...

Persistent link: https://www.econbiz.de/10008511775

An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application

Panagiotidis, Theodore - Rimini Centre for Economic Analysis (RCEA) - 2010

This paper employs a local information, nearest neighbour forecasting methodology to test for evidence of nonlinearity … in-sample nonlinearity in the series. …

Persistent link: https://www.econbiz.de/10008523821

The Complex Response of Monetary Policy to the Exchange Rate

Milas, Costas; Martin, Christopher; Kharel, Ram Sharan - Rimini Centre for Economic Analysis (RCEA) - 2007

We estimate a flexible non-linear monetary policy rule for the UK to examine the response of policymakers to the real exchange rate. We have three main findings. First, policymakers respond to real exchange rate misalignment rather than to the real exchange rate itself. Second, policymakers...

Persistent link: https://www.econbiz.de/10005001512

Large Time-Varying Parameter VARs

Koop, Gary; Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2012

In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …

Persistent link: https://www.econbiz.de/10010540685

Factor Analysis of a Large DSGE Model

Onatski, Alexei; Ruge-Murcia, Francisco J. - Rimini Centre for Economic Analysis (RCEA) - 2010

We study the workings of the factor analysis of high-dimensional data using articial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allow us to shed some light on the practical...

Persistent link: https://www.econbiz.de/10008751298

The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies

Papailias, Fotis; Thomakos, Dimitrios D. - Rimini Centre for Economic Analysis (RCEA) - 2013

-to-medium term forecasting performance are investigated. We show that the BDI has a cyclical pattern which has been stable except for … a period after the 2007 crisis. This pattern has implications for improved forecasting and strategic management on the …

Persistent link: https://www.econbiz.de/10010728023

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - Rimini Centre for Economic Analysis (RCEA) - 2008

A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...

Persistent link: https://www.econbiz.de/10005091090

Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration

Thomakos, Dimitrios D. - Rimini Centre for Economic Analysis (RCEA) - 2008

In this paper I propose a novel optimal linear ølter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is di¨erent from other linear filters...

Persistent link: https://www.econbiz.de/10005091110

Spatial Panel Data Forecasting over Different Horizons, Cross-Sectional and Temporal Dimensions

Mayor, Matías; Patuelli, Roberto - Rimini Centre for Economic Analysis (RCEA) - 2013

Empirical assessments of the forecasting power of spatial panel data econometric models are still scarcely available … test different forecasting horizons, in order to investigate the speed of deterioration of forecasting quality. We compare … appears to diminish as the forecasting horizon widens, eventually leading the SF model to being preferred for more distant …

Persistent link: https://www.econbiz.de/10010734921

Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model

Bekiros, Stelios D.; Paccagnini, Alessia - Rimini Centre for Economic Analysis (RCEA) - 2013

monetary policy analysis and macro-forecasting with the use of advanced Bayesian methods. …

Persistent link: https://www.econbiz.de/10010656010