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Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us

Haase, Felix; Neuenkirch, Matthias - 2021

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …

Persistent link: https://www.econbiz.de/10013250734

Should Faustmann Forecast Climate Change?

Gars, Johan - 2019

decisions. While climate-change uncertainty makes it theoretically impossible to calculate expected profit losses of not … approximate optimal management. If changes are observed without too much delay, profit losses and errors in harvesting are …

Persistent link: https://www.econbiz.de/10012866409

Selective Attention in Exchange Rate Forecasting

Kapounek, Svatopluk; Kučerová, Zuzana; Kočenda, Evžen - 2021

We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market participants process only a limited amount of information. Our analysis includes more than 100,000...

Persistent link: https://www.econbiz.de/10013245625

Inefficiency in Social Security Trust Funds Forecasts

Lahiri, Kajal; Zhang, Junyan; Zhao, Yongchen - 2021

We examine forecast accuracy and efficiency of the Social Security Administration’s projections for cost rate, trust …

Persistent link: https://www.econbiz.de/10013313449

Sales and Markup Dispersion : Theory and Empirics

Mrazova, Monika - 2019

We derive exact conditions relating the distributions of firm productivity, sales, output, and markups to the form of demand in monopolistic competition. Applications include a new “CREMR” demand function (Constant Revenue Elasticity of Marginal Revenue): it is necessary and sufficient for...

Persistent link: https://www.econbiz.de/10012892151

Yield Curve and Financial Uncertainty : Evidence Based on Us Data

Castelnuovo, Efrem - 2019

How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found...

Persistent link: https://www.econbiz.de/10012867014

Real-Time Forecasting Using Mixed-Frequency Vars with Time-Varying Parameters

Heinrich, Markus - 2020

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive …

Persistent link: https://www.econbiz.de/10012842676

Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates : Evidence from Point and Density Forecasts

Anderl, Christina; Caporale, Guglielmo Maria - 2022

This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower bound (the US, the UK and Canada) and in those with negative rates (Japan, the Euro Area and Switzerland). Using shadow rates obtained from two different models (the Wu-Xia...

Persistent link: https://www.econbiz.de/10013292499

Witching Days and Abnormal Profits in the US Stock Market

Caporale, Guglielmo Maria; Plastun, Alex - 2021

anomalies give rise to profit opportunities by applying a trading simulation approach. The results suggest the presence of the …

Persistent link: https://www.econbiz.de/10013323081

Tax Revenue Forecast Errors : Wrong Predictions of the Tax Base or the Elasticity?

Göttert, Marcell; Lehmann, Robert - 2021

In this paper, we disentangle tax revenue forecast errors into influences stemming from wrong macroeconomic assumptions … macroeconomic assumptions matter most for profit-related taxes and the wage tax, false predictions of the elasticities mainly drive … the forecast errors of the energy tax and the sales taxes. For the overall tax sum, more than two-third of the error can …

Persistent link: https://www.econbiz.de/10013222194

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