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Ferraro, Domenico; Rogoff, Kenneth; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...

Persistent link: https://www.econbiz.de/10009359490

On the Distribution of Exchange Rate Regime Treatment Effects on International Trade

Dorn, Sabrina; Egger, Peter - C.E.P.R. Discussion Papers - 2011

This paper provides evidence of heterogeneous treatment effects on trade from switching among three types of de … rate regimes is random, the treatment effect of adopting a currency union is independent of the underlying regime … rate regimes conditional on observable characteristics and a given regime state prior to a transition and provides evidence …

Persistent link: https://www.econbiz.de/10009365643

Out-of-Sample Forecast Tests Robust to the Choice of Window Size

Inoue, Atsushi; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011

This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. We show that the tests...

Persistent link: https://www.econbiz.de/10009275962

On the High-Frequency Dynamics of Hedge Fund Risk Exposures

Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2011

large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that …

Persistent link: https://www.econbiz.de/10009205059

Aggregating Phillips Curves

Imbs, Jean; Jondeau, Eric; Pelgrin, Florian - C.E.P.R. Discussion Papers - 2007

The New Keynesian Phillips Curve is at the centre of two raging empirical debates. First, how can purely forward looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in marginal costs, which should therefore be the driving force...

Persistent link: https://www.econbiz.de/10005662190

Forecast Combinations

Timmermann, Allan G - C.E.P.R. Discussion Papers - 2005

Forecast combinations have frequently been found in empirical studies to produce better forecasts on average than methods based on the ex-ante best individual forecasting model. Moreover, simple combinations that ignore correlations between forecast errors often dominate more refined combination...

Persistent link: https://www.econbiz.de/10005662254

Money at Low Frequencies

Assenmacher-Wesche, Katrin; Gerlach, Stefan - C.E.P.R. Discussion Papers - 2006

Many central banks have abandoned monetary targeting because the link between money growth and inflation seemed to disappear in the 1980s. Using spectral regression techniques, we show that for the euro area, Japan, the UK and the US there is a unit relationship between money growth and...

Persistent link: https://www.econbiz.de/10005666437

Computing Abuse Related Damages in the Case of New Entry: An Illustration for the Directory Enquiry Services Market

Martinez Granado, Maite; Siotis, Georges - C.E.P.R. Discussion Papers - 2006

. We illustrate how it is possible to quantify the effect of abuse in situation were the entrant has no previous history in …

Persistent link: https://www.econbiz.de/10005666507

Inflation Dynamics and Trade Openness

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2007

and surcharges, are included in a model of wholesale price inflation in South Africa. The evidence suggests that increased …

Persistent link: https://www.econbiz.de/10005666569

Understanding the Link between Money Growth and Inflation in the Euro Area

Assenmacher-Wesche, Katrin; Gerlach, Stefan - C.E.P.R. Discussion Papers - 2006

Announced in the autumn of 1998, the monetary policy strategy of the European Central Bank (ECB) quickly became controversial, arguably because the ECB provided neither an explicit representation of the inflation process nor an explanation for why it necessitated the adoption of a two-pillar...

Persistent link: https://www.econbiz.de/10005666593

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