The Google Insights data are a collection of recorded Internet searches for a huge number of the keywords, which are available since January 2004. These searches represent a kind of revealed perceptions of Internet users, which are a (possibly not entirely representative) sample of the general...

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980.s and slightly...

This paper contributes to the debate of whether central banks can \lean against the wind" of emerging stock or house price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought forward by Phillips et al. (2011), can timely detect bubble...

In this paper, we investigate whether the Google search activity can help in nowcasting the year-on-year growth rates of monthly US private consumption using a real-time data set. The Google-based forecasts are compared to those based on a benchmark AR(1) model and the models including the...

In this paper, we examine the effects of an airport expansion on the prices of houses and flats located under the planned flight corridors. We focus on the role of expectations about the exposure to noise and find that proximity to the planned corridors significantly reduces real estate prices...

Empirical work on price-cost margins often treats costs as exogenous. Allowing for endogenous costs when estimating price-cost margins is the topic of this paper. Methodologically, the endogenous cost model we propose leads to an additional equation that allows for the simultaneity in price...

In this paper, we make multi-step forecasts of the annual growth rates of the real GRP for each of the 31 Chinese provinces simultaneously. Beside the usual panel data models, we use panel models that explicitly account for spatial dependence between the GRP growth rates. In addition, the...

This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...

In this paper, we evaluate the forecasting ability of 115 indicators to predict the housing prices and rents in 71 German cities. Above all, we are interested in whether the local business confidence indicators can allow substantially improving the forecasts, given the local nature of the...