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The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank
Kirchgässner, Gebhard - 2013
Using Swiss data from 1983 to 2008, this paper investigates whether growth rates of the different measures of the quantity of money and or excess money can be used to forecast inflation. After a preliminary data analysis, money demand relations are specified, estimated and tested. Then,...
Persistent link: https://www.econbiz.de/10013095154
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The Role of the Log Transformation in Forecasting Economic Variables
Luetkepohl, Helmut - 2009
For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...
Persistent link: https://www.econbiz.de/10012764276
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …
Persistent link: https://www.econbiz.de/10012756639
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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Baumeister, Christiane - 2016
has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …
Persistent link: https://www.econbiz.de/10012996209
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Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns
Hoffmann, Mathias - 2021
Small businesses tend to be owned by wealthy households. Such entrepreneur households also own a large share of U.S. stock market wealth. Fluctuations in entrepreneurs' hunger for risk could therefore help explain time variation in the equity premium. The paper suggests an entrepreneurial...
Persistent link: https://www.econbiz.de/10013317587
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Cointegration Analysis with Mixed-Frequency Data
Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2021
maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …
Persistent link: https://www.econbiz.de/10013317180
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Should Transportation Output Be Included as Part of the Coincident Indicators System?
Lahiri, Kajal - 2011
With the increasing importance of the service-providing sectors, information from these sectors has become essential to the understanding of contemporary business cycles. This paper explores the usefulness of the transportation services output index (TSI) as an additional coincident indicator in...
Persistent link: https://www.econbiz.de/10013124177
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Predictive Ability of Business Cycle Indicators Under Test : A Case Study for the Euro Area Industrial Production
Carstensen, Kai; Wohlrabe, Klaus; Ziegler, Christina - 2021
In this paper we assess the information content of seven widely cited early indicators for the euro area with respect to forecasting area-wide industrial production. To this end, we use various tests that are designed to compare competing forecast models. In addition to the standard...
Persistent link: https://www.econbiz.de/10013316171
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Banking Crises and Crisis Dating : Theory and Evidence
Boyd, John H.; De Nicolo, Gianni; Loukoianova, Elena - 2021
We formulate a simple theoretical model of a banking industry that we use to identify and construct theory …
Persistent link: https://www.econbiz.de/10013316186
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Economic Growth and Judicial Independence, a Dozen Years on : Cross-Country Evidence Using an Updated Set of Indicators
Voigt, Stefan - 2014
Over 10 years ago, Feld and Voigt (2003) introduced the first indicator for objectively measuring the actual independence of the judiciary and demonstrated its utility in a large cross-section of countries. The indicator has been widely used, but also criticized. This paper presents more recent...
Persistent link: https://www.econbiz.de/10013045337