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Backtesting value-at-risk using forecasts for multiple horizons, a comment on the forecast rationality tests of A. J. Patton A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - 2011
Persistent link: https://www.econbiz.de/10009720750
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Bubbles, crashes and information contagion in large-group asset market experiments
Hommes, Cars H.; Kopányi-Peuker, Anita; Sonnemans, Joep - 2019
We experimentally investigate how price expectations are formed in a large asset market where subjects' only task is to forecast the future price of a risky asset. The realized prices depend on these expectations. We observe small (6 participants) and large markets (about 100 participants). In...
Persistent link: https://www.econbiz.de/10011979625
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Interest rate rules and macroeconomic stability under heterogeneous expectations
Anufriev, Mikhail; Assenza, Tiziana; Hommes, Cars H.; … - 2009
of monetary policy. We use a stylized macro model of Howitt (1992) to investigate inflation dynamics under alternative … interest rate in response to inflation. In particular, if the monetary authority only responds weakly to inflation, a … cumulative process with rising inflation is likely. On the other hand, a Taylor interest rate rule that sets the interest rate …
Persistent link: https://www.econbiz.de/10011378358
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Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
Koopman, Siem Jan; Wel, Michel van der - 2011
Persistent link: https://www.econbiz.de/10009008686
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Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
Koopman, Siem Jan; Wel, Michel van der - 2011
We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model....
Persistent link: https://www.econbiz.de/10011386428
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Kernel-based multistep-ahead predictions of the US short-term interest rate
Gooijer, Jan G. de; Zerom, Dawit - 1999
Persistent link: https://www.econbiz.de/10001363400
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Examing the Nelson-Siegel class of term structure models : in-sample fit versus out-of-sample forecasting performance
Pooter, Michiel de - 2007
Persistent link: https://www.econbiz.de/10003482682
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Examining the Nelson-Siegel class of term structure models
Pooter, Michiel de - 2007
In this paper I examine various extensions of the Nelson and Siegel (1987) model with the purpose of fitting and forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in-sample fit of the term structure. However, I show that the...
Persistent link: https://www.econbiz.de/10011372504
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Predicting the term structure of interest rates : incorporating parameter uncertainty, model uncertainty and macroeconomic information
Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - 2007 - This version: March 3, 2007
We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...
Persistent link: https://www.econbiz.de/10011372519
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Money supply and the implementation of interest rate targets
Schabert, Andreas - 2005
rate sequences that satisfy interest rate target rules. An interest rate target with a positive inflation feedback in … general corresponds to money growth rates rising with inflation. When prices are not completely flexible, this implies that a … target can be implemented by a non-destabilizing money supply, even if the inflation feedback exceeds one, which is often …
Persistent link: https://www.econbiz.de/10011343954