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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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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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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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Assets Returns Volatility and Investment Horizon : The French Case
Bec, Frederique - 2009
This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The...
Persistent link: https://www.econbiz.de/10013160520
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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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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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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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Demographic Change and Public Sector Budgets in a Federal System
Hofmann, Michael; Kempkes, Gerhard; Seitz, Helmut - 2021
This paper examines the effects of demographic change on public finances in a federal system. We develop a simple methodical procedure to measure the effect of demographic changes on public revenues and expenditures. We apply our method to the local, state and federal government sector as well...
Persistent link: https://www.econbiz.de/10013316520