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Evaluating the forecasting performance of linear and nonlinear monetary policy rules for South Africa
Kasai, Ndahiriwe; Naraidoo, Ruthira - Volkswirtschaftliche Fakultät, … - 2011
This paper compares forecast performance of linear and nonlinear monetary policy rules using South African data. Recursive forecasts values are computed for 1- to 12-steps ahead for the out-of-sample period 2006:01 to 2010:12. For the nonlinear models we use bootstrap method for multi-step ahead...
Persistent link: https://www.econbiz.de/10011110796
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Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2009
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...
Persistent link: https://www.econbiz.de/10011113585
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Modelling and forecasting volatility of East Asian Newly Industrialized Countries and Japan stock markets with non-linear models
Guidi, Francesco - Volkswirtschaftliche Fakultät, … - 2010
This paper explores the forecasting performances of several non-linear models, namely GARCH, EGARCH, APARCH used with three distributions, namely the Gaussian normal, the Student-t and Generalized Error Distribution (GED). In order to evaluate the performance of the competing models we used the...
Persistent link: https://www.econbiz.de/10008567638
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A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)
Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2008
We show that long horizon forecasts from the nonlinear models that are considered in the study by Rapach andWohar (2006) cannot generate any forecast gains over a simple AR(1) specification. This is contrary to the findings reported in Rapach and Wohar (2006). Moreover, we illustrate graphically...
Persistent link: https://www.econbiz.de/10005621893
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Understanding forecast failure in ESTAR models of real exchange rates
Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2009
The forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are evaluated relative to a simple AR(1) specification, considering...
Persistent link: https://www.econbiz.de/10005103385
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A Comparative Study of Test Procedures uses in Assessing the Forecasting Ability of Linear Models with Applications to Crop Yield Data
Linardis, Apostolis; Panaretos, John - Volkswirtschaftliche Fakultät, … - 1998
candidate models. In the present paper an evaluation scheme of the predictability of a linear model based on a function of the … function, the predictability of a linear model is tested. Considering the ratio of such functions for two linear models, the … predictability of these models is compared. Applications on real and simulated data are also presented …
Persistent link: https://www.econbiz.de/10005835399
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Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?
Manzan, Sebastiano; Zerom, Dawit - Volkswirtschaftliche Fakultät, … - 2009
no predictability. In this paper, we expand the scope of inflation predictability and explore whether macroeconomic …, housing starts, and the term spread provide significant out-of-sample predictability for the distribution of core inflation … research shows that macroeconomic indicators do not add much to the predictability of the future mean inflation. This paper …
Persistent link: https://www.econbiz.de/10005836192
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Friedman’s Methodology: A Puzzle and A Proposal for Generating Useful Debates through Causal Comparisons (with a postscript on positive vs. normative theories)
Khan, Haider A. - Volkswirtschaftliche Fakultät, … - 2008
Milton Friedman’s “The Methodology of Positive Economies” is still one of the most widely read pieces on economic methodology. One reason for this might be Friedman’s attractive proposal that economists use theories and hypotheses as pragmatic devices to summarize data and make...
Persistent link: https://www.econbiz.de/10005837057
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The Variance Profile
Luati, Alessandra; Proietti, Tommaso; Reale, Marco - Volkswirtschaftliche Fakultät, … - 2011
The variance profile is defined as the power mean of the spectral density function of a stationary stochastic process. It is a continuous and non-decreasing function of the power parameter, p, which returns the minimum of the spectrum (p → −∞), the interpolation error variance (harmonic...
Persistent link: https://www.econbiz.de/10009001193
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Expectations-Based Reference-Dependent Preferences and Asset Pricing
Pagel, Michaela - Volkswirtschaftliche Fakultät, … - 2012
returns, and predictability. The level and variation in the equity premium and the predictability in returns match historical … moments, but the associated variation in intertemporal substitution motives results in excessive variation in the risk … growth, or time-variant disaster risk. As a key contribution, I show that the preferences resolve the equity-premium puzzle …
Persistent link: https://www.econbiz.de/10011107734