Narrow search
Showing 1 - 10 of 723
Cover Image
Is Economic Recovery a Myth? Robust Estimation of Impulse Responses
Teulings, Coen N. - 2013
There is a lively debate on the persistence of the current banking crisis' impact on GDP. Impulse Response Functions (IRF) estimated by Cerra and Saxena (2008) suggest that the effects of earlier crises were long-lasting. We show that standard estimates of IRFs are highly sensitive to...
Persistent link: https://www.econbiz.de/10013094806
Cover Image
Understanding the Decline in the Price of Oil Since June 2014
Baumeister, Christiane - 2016
Some observers have conjectured that the steep decline in the price of oil between June and December 2014 resulted from positive oil supply shocks in the second half of 2014. Others have suggested that a major shock to oil price expectations occurred when in late November 2014 OPEC announced...
Persistent link: https://www.econbiz.de/10012996804
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
A Multi-Country Approach to Forecasting Output Growth Using PMIS
Chudik, Alexander - 2014
quite rapidly with the forecast horizon, and (b) AugGVAR forecasts do as well as other data-rich forecasting techniques for … short horizons, and tend to do better for longer forecast horizons …
Persistent link: https://www.econbiz.de/10013040008
Cover Image
An Empirical Growth Model for Major Oil Exporters
Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - 2021
This paper develops a long-run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the 'Dutch disease' and the 'resource curse', which primarily focuses on...
Persistent link: https://www.econbiz.de/10013315924
Cover Image
Hybrid Historical Simulation VaR and ES : Performance in Developed and Emerging Markets
Zikovic, Sasa - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10013155427
Cover Image
The Impact of Economic Globalization on the Shadow Economy in Egypt
Farzanegan, Mohammad Reza - 2017
This study examines the economic globalization and the shadow economy nexus in Egypt. Using time series data from 1976 to 2013, the impulse response analysis shows that the response of the shadow economy in Egypt to positive shocks in economic globalization is negative and statistically...
Persistent link: https://www.econbiz.de/10012956723
Cover Image
Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...
Persistent link: https://www.econbiz.de/10013316571