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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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Transparency is Overrated : Communicating in a Coordination Game with Private Information
Cabrales, Antonio - 2018
We consider an experiment with a version of the Battle of the Sexes game with two-sided private information, allowing a possible round of either one-way or two-way cheap talk before the game is played. We compare different treatments to study truthful revelation of information and subsequent...
Persistent link: https://www.econbiz.de/10012928248
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Long Persuasion Games
Koessler, Frédéric - 2007
This paper characterizes geometrically the set of all Nash equilibrium payoffs achievable with unmediated communication in persuasion games, i.e., games with an informed expert and an uninformed decisionmaker in which the expert's information is certifiable. The first equilibrium...
Persistent link: https://www.econbiz.de/10012778541
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Bayesian Repeated Games and Reputation
Forges, Francoise - 2014
Under appropriate assumptions (private values and uniform punishments), the Nash equilibria of a Bayesian repeated game without discounting are payoff-equivalent to tractable, completely revealing, equilibria and can be achieved as interim cooperative solutions of the initial Bayesian game. This...
Persistent link: https://www.econbiz.de/10013055418
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A Game-Theoretic Foundation for the Wilson Equilibrium in Competitive Insurance Markets with Adverse Selection
Mimra, Wanda; Wambach, Achim - 2021
We extend the seminal Rothschild and Stiglitz (1976) model on competitive insurance markets with asymmetric information in the spirit of Wilson (1977)’s ‘anticipatory equilibrium’ by introducing an additional stage in which initial contracts can be withdrawn after observation of...
Persistent link: https://www.econbiz.de/10013316023
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Endogenous Public Information and Welfare in Market Games
Vives, Xavier - 2016
This paper performs a welfare analysis of economies with private information when public information is endogenously generated and agents can condition on noisy public statistics in the rational expectations tradition. We find that equilibrium is not (restricted) efficient even when feasible...
Persistent link: https://www.econbiz.de/10013008600
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Public and Private Learning from Prices, Strategic Substitutability and Complementarity, and Equilibrium Multiplicity
Manzano Tovar, Carolina; Vives, Xavier - 2021
We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...
Persistent link: https://www.econbiz.de/10013316183
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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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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