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Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators

Kurz-Kim, Jeong-Ryeol - 2016

Since the influential paper of Stock and Watson (2002), the dynamic factor model (DFM) has been widely used for forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor model is modified by using the mixed data sampling...

Persistent link: https://www.econbiz.de/10011566828

Connectedness between G10 currencies : searching for the causal structure

Bettendorf, Timo; Heinlein, Reinhold - 2019

This paper presents a new approach for modelling the connectedness between asset returns. We adapt the measure of Diebold and Yılmaz (2014), which is based on the forecast error variance decomposition of a VAR model. However, their connectedness measure hinges on critical assumptions with...

Persistent link: https://www.econbiz.de/10011968850

Monetary policy regimes in Brazil

Lima, Elcyon Caiado Rocha; Maka, Alexis; Mendonça, … - 2015

This article estimates the monetary policy rule followed by the Brazilian Central Bank for setting its main policy instrument, the SELIC rate, for the period after the Real Plan. In order to overcome the uncertainty over the dates at which changes in parameters occurred, this paper uses...

Persistent link: https://www.econbiz.de/10012053320

Nowcasting GDP with a large factor model space

Eraslan, Sercan; Schröder, Maximilian - 2019

We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and...

Persistent link: https://www.econbiz.de/10012119825

Testing for Granger causality in large mixed-frequency VARs

Götz, Thomas B.; Hecq, Alain W. J.; Smeekes, Stephan - 2015

We analyze Granger causality testing in a mixed-frequency VAR, where the difference in sampling frequencies of the variables is large. Given a realistic sample size, the number of high-frequency observations per low-frequency period leads to parameter proliferation problems in case we attempt to...

Persistent link: https://www.econbiz.de/10011415576

Consumption Over the Life Cycle: A Selected Literature Review

Kankaanranta, Päivi - 2006

Simple life cycle and permanent income hypotheses imply that changes in consumption should be unforecastable. Rational … forward-looking agents ought to smooth consumption over the life cycle and exhaust the asset stock accumulated during the … review of literature focuses particularly on the life cycle issues of consumption behaviour. …

Persistent link: https://www.econbiz.de/10012502961

Do tax cuts increase consumption? : an experimental test of Ricardian Equivalence

Meissner, Thomas; Rostam-Afschar, Davud - 2014

This paper tests whether the Ricardian Equivalence proposition holds in a life cycle consumption laboratory experiment … not hold in general. Our results suggest that taxation has a significant and strong impact on consumption choice. Over the … life cycle, a tax relief increases consumption on average by about 22% of the tax rebate. A tax increase causes consumption …

Persistent link: https://www.econbiz.de/10010384031

Updating the option implied probability of default methodology

Vilsmeier, Johannes - 2014

In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...

Persistent link: https://www.econbiz.de/10010471968

Short-term impacts of carbon offsetting on emissions trading schemes : empirical insights from the EU experience

Gavard, Claire; Kirat, Djamel - 2020 - This version: 22 September 2020

The Paris Agreement established a new mechanism by which a country can offset some of its emissions reductions in other countries. Its design is still under negotiation. While taking advantage of cheaper abatement opportunities enables efficiency gains, the impact on the price volatility in the...

Persistent link: https://www.econbiz.de/10012304834

Testing Brazilians' imports and exports co-integration with monthly data for 1996-2005

Hollauer, Gilberto; Mendonça, Marco Aurélio Alves de - 2015

constraints (IBC) condition via unit root test with structural break and co-integration through Gregory-Hansen test in a 117 long … does not hold for the Brazilian economy. However, there is co-integration among the series used in this work and the …

Persistent link: https://www.econbiz.de/10012038482

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