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Exchange Rate Forecasters' Performance : Evidence of Skill?
MacDonald, Ronald - 2013
This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show...
Persistent link: https://www.econbiz.de/10013095998
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Forecasting Exchange Rates : An Investor Perspective
Melvin, Michael - 2013
rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …
Persistent link: https://www.econbiz.de/10013081705
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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 leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …
Persistent link: https://www.econbiz.de/10012756639
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Manipulating Fiscal Forecasts : Evidence from the German States
Kauder, Bjoern - 2017
We examine whether German state governments manipulated fiscal forecasts before elections. Our data set includes three fiscal measures over the period 1980-2014. The results do not show that electoral motives influenced fiscal forecasts in West German states. By contrast, East German state...
Persistent link: https://www.econbiz.de/10012962666
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Forecasting Tail Risks
De Nicolo, Gianni - 2015
Reliable early warning signals are essential for timely implementation of macroeconomic and macro-prudential policies. This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial (systemic) risks. Forecasts are obtained from: (a)...
Persistent link: https://www.econbiz.de/10013024363
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Tariffs, Trade and Productivity : A Quantitative Evaluation of Heterogeneous Firm Models
Breinlich, Holger - 2013
We examine the quantitative predictions of heterogeneous firm models à la Melitz (2003) in the context of the Canada - US Free Trade Agreement (CUSFTA) of 1989. We compute predicted increases in trade flows and measured productivity across a range of standard models and compare them to the...
Persistent link: https://www.econbiz.de/10013077449
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Point and Density Forecasts for the Euro Area Using Bayesian VARs
Berg, Tim Oliver - 2014
Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when … the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast … optimally does not improve forecast accuracy; (e) all variants except the large BVAR tend to be well calibrated for inflation …
Persistent link: https://www.econbiz.de/10013055383
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Fiscal Federalism, Taxation and Grants
Gonzalez-Eiras, Martin - 2016
We propose a theory of tax centralization and inter governmental grants in politico-economic equilibrium. The cost of …
Persistent link: https://www.econbiz.de/10012981295
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International Financial Market Integration, Asset Compositions, and the Falling Exchange Rate Pass-Through
Enders, Almira - 2018
This paper provides an explanation for the observed decline of the exchange rate pass-through into import prices by modeling the effects of financial market integration on the optimal choice of the pricing currency in the context of rigid nominal goods prices. Contrary to previous literature, we...
Persistent link: https://www.econbiz.de/10012933708
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Short-Term and Long-Term Growth Effects of Exchange Rate Adjustment
Kočenda, Evžen - 2013
The European sovereign debt crisis revived the discussion concerning the pros and cons of exchange rate adjustment in the face of asymmetric shocks. Exit from the euro area is to regain rapidly international competitiveness. Exchange rate stability with structural reforms could be beneficial for...
Persistent link: https://www.econbiz.de/10013089423