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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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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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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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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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Carbon Leakage, the Green Paradox and Perfect Future Markets
Eichner, Thomas - 2014
Policies of lowering carbon demand may aggravate rather than alleviate climate change (green paradox). In a two-period three-country general equilibrium model with finite endowment of fossil fuel one country enforces an emissions cap in the first or second period. When that cap is tightened the...
Persistent link: https://www.econbiz.de/10012750992
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Credit Derivates and the Default Risk of Large Complex Financial Institutions
Calice, Giovanni - 2013
This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which utilizes a multi-equation framework to model...
Persistent link: https://www.econbiz.de/10013092380
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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