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Modeling and Forecasting Realized Volatility
Andersen, Torben G. - 2002
This paper provides a general framework for integration of high-frequency intraday data into the measurement forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and...
Persistent link: https://www.econbiz.de/10012787458
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Stock Return Predictability : Is it There?
Bekaert, Geert - 2010
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …
Persistent link: https://www.econbiz.de/10012763174
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The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors
Clarida, Richard - 2010
We present theory and evidence that challenges the view that forward premia contain little information regarding subsequent spot rate movements. Using weekly dollar-mark and dollar sterling data, we find that spot and forward exchange rates together are well represented by a vector error...
Persistent link: https://www.econbiz.de/10012763403
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Central Bank Credibility, Reputation and Inflation Targeting in Historical Perspective
Bordo, Michael D. - 2014
This paper examines the historical evolution of central bank credibility using both historical narrative and empirics for a group of 16 countries, both advanced and emerging. It shows how the evolution of credibility has gone through a pendulum where credibility was high under the classical gold...
Persistent link: https://www.econbiz.de/10013043621
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Were Trade and Factor Mobility Substitutes in History?
Collins, William J.; O'Rourke, Kevin H.; Williamson, … - 2021
Trade theorists have come to understand that their theory is ambiguous on the question: Are trade and factor flows substitutes? While this sounds like an open invitation for empirical research, hardly any serious econometric work has appeared in the literature. This paper uses history to fill...
Persistent link: https://www.econbiz.de/10013218517
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Real-Time Multivariate Density Forecast Evaluation and Calibration : Monitoring the Risk of High-Frequency Returns on Foreign Exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 2021
We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...
Persistent link: https://www.econbiz.de/10013239958
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Monetary Policy in Japan, Germany and the United States : Does One Size Fit All?
Chinn, Menzie David; Dooley, Michael P. - 2021
We study the post-war evidence for Japan to see if the same specification for both the economy and the monetary policy … rule is useful for understanding Japan's economy and monetary policy. A recurrent theme in the literature on Japanese … that, with minor adjustments, the same specification provides a useful framework for understanding monetary policy in Japan …
Persistent link: https://www.econbiz.de/10013245712
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Central Bank Credibility : An Historical and Quantitative Exploration
Bordo, Michael D. - 2015
In this paper we provide empirical measures of central bank credibility and augment these with historical narratives from eleven countries. To the extent we are able to apply reliable institutional information we can also indirectly assess their role in influencing the credibility of the...
Persistent link: https://www.econbiz.de/10013030622
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Survival of the Fittest or the Fattest? Exit and Financing in the Trucking Industry
Zingales, Luigi - 2021
This paper studies the impact that capital market imperfections have on the natural" selection of the most efficient firms by estimating the effect of the pre-deregulation level of" leverage on the survival of trucking firms after the Carter deregulation. Highly leveraged" carriers are less...
Persistent link: https://www.econbiz.de/10013215356
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Dialects, cultural Identity, and economic exchange
Falck, Oliver; Heblich, Stephan; Lameli, Alfred; … - 2010
We investigate whether time-persistent cultural borders impede economic exchange across regions of the same country. To measure cultural differences we evaluate, for the first time in economics, linguistic micro-data about phonological and grammatical features of German dialects. These data are...
Persistent link: https://www.econbiz.de/10010266077