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Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2008

We extend the VAR based intertemporal asset allocation approach from Campbell et al. (2003) to the case where the VAR parameter estimates are adjusted for small-sample bias. We apply the analytical bias formula from Pope (1990) using both Campbell et al.'s dataset, and an extended dataset with...

Persistent link: https://www.econbiz.de/10005440049

The impact of foreign capital shifts on economic activities and asset prices : a threshold VAR approach

Baba, Boubekeur; Sevil, Güven - In: Asian journal of economics and banking : AJEB 4 (2020) 3, pp. 87-104

Purpose - The purpose of this paper is to investigate the impact of foreign capital shifts on economic activities and asset prices in South Korea. Design/methodology/approach - The authors in this paper apply the Bayesian threshold vector autoregressive (TVAR) model to estimate the regimes of...

Persistent link: https://www.econbiz.de/10012515007

Housing market volatility in the OECD area: Evidence from VAR based return decompositions

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2013

Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ?ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return...

Persistent link: https://www.econbiz.de/10010851224

Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2012

We investigate the predictive power of the rent-to-price ratio for future real estate returns and rent growth in 18 OECD countries over the period 1970 to 2011. First, we document that in most countries returns are signi?cantly predictable by the rent-price ratio. An increase (decrease) in the...

Persistent link: https://www.econbiz.de/10010851254

The dividend-price ratio does predict dividend growth: International evidence

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2009

Unpredictable dividend growth by the dividend-price ratio is considered a 'stylized fact' in post war US data. Using long-term data, covering more than 80 years from the US and three European countries, we revisit this stylized fact, and we also report results on return predictability. We find...

Persistent link: https://www.econbiz.de/10005037431

Pitfalls in VAR based return decompositions: A clarification

Engsted, Tom; Pedersen, Thomas Q.; Tanggaard, Carsten - School of Economics and Management, University of Aarhus - 2010

Based on Chen and Zhao's (2009) criticism of VAR based return decompositions, we explain in detail the various limitations and pitfalls involved in such decompositions. First, we show that Chen and Zhao's interpretation of their excess bond return decomposition is wrong: the residual component...

Persistent link: https://www.econbiz.de/10008602580

The Influence of Housing Price Development on the Household Consumption: Empirical Analysis for the Czech Republic

Dvořáková, Sylvie; Seidler, Jakub - In: Bulletin of the Czech Econometric Society 20 (2013)

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Persistent link: https://www.econbiz.de/10011152549