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Assessing the uncertainty in central banks' inflation outlooks
Knüppel, Malte; Schultefrankenfeld, Guido - 2019
Recent research has found that macroeconomic survey forecasts of uncertainty exhibit several deficiencies, such as horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation uncertainty forecasts from the Bank of England, the Banco...
Persistent link: https://www.econbiz.de/10011962843
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Heterogeneous expectations among professional forecasters
Conrad, Christian; Lahiri, Kajal - 2023
Macroeconomic expectations of various economic agents are characterized by substantial cross-sectional heterogeneity. In this paper, we focus on expectations heterogeneity among professional forecasters. We first present stylized facts and discuss theoretical explanations for heterogeneous...
Persistent link: https://www.econbiz.de/10014472058
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Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Knüppel, Malte - 2014
Recently, several institutions have increased their forecast horizons, and many institutions rely on their past … forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be … accomplished if there are only very few errors available for the new forecast horizons. It extends upon the results of Knüppel …
Persistent link: https://www.econbiz.de/10010465566
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Asset allocation with recursive parameter updating and macroeconomic regime identifiers
Goodarzi, Milad; Meinerding, Christoph - 2023 - December 12, 2022
This article studies long-horizon dynamic asset allocation strategies with recursive parameter updating. The parameter estimates for the regime-switching dynamics vary as more and more datapoints are observed and the sample size increases. In such a setting, the globally optimal portfolio...
Persistent link: https://www.econbiz.de/10014227601
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How much are exchange rate forecasts worth?
Manzur, Meher - 1987
Persistent link: https://www.econbiz.de/10003528130
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The predictability of excess returns on UK bonds : a non-linear approach
Lekkos, Ilias; Milas, Costas - 2001
Persistent link: https://www.econbiz.de/10001664563
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Comparing models for forecasting the yield curve
Matsumura, Marco Shinobu; Moreira, Ajax - 2015
The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages...
Persistent link: https://www.econbiz.de/10012053243
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A severity function approach to scenario selection
Mokinski, Frieder - 2017
The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function", which maps candidate scenarios into a scalar severity...
Persistent link: https://www.econbiz.de/10011755965
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Evaluation of minimum capital requirements for bank loans to SMEs
Düllmann, Klaus; Koziol, Philipp - 2013
Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to the size dependence of regulatory capital requirements....
Persistent link: https://www.econbiz.de/10009751062
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Banks' concentration versus diversification in the loan portfolio : new evidence from Germany
Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013
Using a unique data set on German banks' sector specific loan exposures to the real economy and the corresponding write-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common risk factors, we separate the bank-specific...
Persistent link: https://www.econbiz.de/10010233376