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The asymptotic distributions of the recursive out-of-sample forecast accuracy test statistics depend on stochastic integrals of Brownian motion when the models under comparison are nested. This often complicates their implementation in practice because the computation of their asymptotic...
Persistent link: https://www.econbiz.de/10014101174
Do illegal drugs foster public corruption? To estimate the causal effect of drugs on public corruption in California, we adopt the synthetic control method and exploit the fact that crack cocaine markets emerged asynchronously across the United States. We focus on California because crack...
Persistent link: https://www.econbiz.de/10014111722
This paper investigates the existence of speculative bubbles in the US national and 21 regional housing markets over three decades (1978-2015). A new method for real-time monitoring exuberance in housing markets is proposed. By taking changes in the macroeconomic conditions (such as interest...
Persistent link: https://www.econbiz.de/10012968629
We test the predictive accuracy of forecasts of the number of COVID-19 fatalities produced by several forecasting teams and collected by the United States Centers for Disease Control and Prevention during the first and second waves of the epidemic in the United States. We find three main...
Persistent link: https://www.econbiz.de/10013216474
Housing fever is a popular term to describe an overheated housing market or housing price bubble. Like other financial asset bubbles, housing fever can inflict harm on the real economy, as indeed the US housing bubble did in the period following 2006 leading up to the general financial crisis...
Persistent link: https://www.econbiz.de/10012835004
A general procedure is proposed to identify changes in asset return interdependence over time using entropy theory. The approach provides a decomposition of interdependence in terms of comoments including coskewness, cokurtosis and covolatility as well as more traditional measures based on...
Persistent link: https://www.econbiz.de/10012930115
A new test for financial market contagion based on changes in extremal dependence defined as co-kurtosis and co-volatility is developed to identify the propagation mechanism of shocks across international financial markets. The proposed approach captures changes in various aspects of the asset...
Persistent link: https://www.econbiz.de/10013033633
For the first time, we apply the wavelet coherence methodology on biofuels (ethanol and biodiesel) and a wide range of related commodities (gasoline, diesel, crude oil, corn, wheat, soybeans, sugarcane and rapeseed oil). This way, we are able to investigate dynamics of correlations in time and...
Persistent link: https://www.econbiz.de/10014157443
This paper proposes a new approach to estimating high dimensional time varying parameter structural vector autoregressive models (TVP-SVARs) by taking advantage of an empirical feature of TVP-(S)VARs. TVP-(S)VAR models are rarely used with more than 4-5 variables. However recent work has shown...
Persistent link: https://www.econbiz.de/10014110872
Economists typically use seasonally adjusted data in which the assumption is imposed that seasonality is uncorrelated with trend and cycle. The importance of this assumption has been highlighted by the Great Recession. The paper examines an unobserved components model that permits non-zero...
Persistent link: https://www.econbiz.de/10012948265