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Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …
Persistent link: https://www.econbiz.de/10012842441
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Below the Zero Lower Bound : A Shadow-Rate Term Structure Model for the Euro Area
Lemke, Wolfgang - 2017
We propose a shadow-rate term structure model for the euro area yield curve from 1999 to mid-2015, when bond yields had turned negative at various maturities. Yields in the model are constrained by a lower bound, but - as a special feature of our specification - the bound is allowed to change...
Persistent link: https://www.econbiz.de/10012963943
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Predicting Risk Premia in Short-Term Interest Rates and Exchange Rates
Gräb, Johannes - 2018
We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...
Persistent link: https://www.econbiz.de/10012926459
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Yield curve prediction for the strategic investor
Bernadell, Carlos; Coche, Joachim; Nyholm, Ken - 2005
This paper presents a new framework allowing strategic investors to generate yield curve projections contingent on expectations about future macroeconomic scenarios. By consistently linking the shape and location of yield curves to the state of the economy our method generates predictions for...
Persistent link: https://www.econbiz.de/10011604518
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Efficiency, Inefficiency and the MENA Frontier
Christopoulos, Dimitris - 2015
In a stochastic frontier setting, we examine technical efficiency in the Middle East and North Africa (MENA). Evidence suggests that in addition to economic indicators, political and social ones play a key role in development and frontier technical efficiency profiles. The MENA have been...
Persistent link: https://www.econbiz.de/10013030868
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Dynamic Nonparametric Clustering of Multivariate Panel Data
Custodio João, Igor; Lucas, Andre; Schwaab, Bernd; … - 2023
We introduce a new dynamic clustering method for multivariate panel data char-acterized by time-variation in cluster … current center of their previous cluster as-signment. This links consecutive cross-sections in the panel together … settings. The method is illustrated using a multivariate panel of four accounting ratios for 28 large European insurance firms …
Persistent link: https://www.econbiz.de/10014257567
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Density Forecasts of Inflation : A Quantile Regression Forest Approach
Lenza, Michele; Moutachaker, Inès; Paredes, Joan - 2023
Density forecasts of euro area inflation are a fundamental input for a medium-term oriented central bank, such as the European Central Bank (ECB). We show that a quantile regression forest, capturing a general non-linear relationship between euro area (headline and core) inflation and a large...
Persistent link: https://www.econbiz.de/10014353294
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The Time-Varying Evolution of Inflation Risks
Korobilis, Dimitris; Landau, Bettina; Musso, Alberto; … - 2021
This paper develops a Bayesian quantile regression model with time-varying parameters (TVPs) for forecasting inflation risks. The proposed parametric methodology bridges the empirically established benefits of TVP regressions for forecasting inflation with the ability of quantile regression to...
Persistent link: https://www.econbiz.de/10013324581
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Economic Predictions with Big Data : The Illusion of Sparsity
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2021
We compare sparse and dense representations of predictive models in macroeconomics, microeconomics and finance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate...
Persistent link: https://www.econbiz.de/10013231185
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Spillovers in Space and Time : Where Spatial Econometrics and Global VAR Models Meet
Elhorst, J. Paul - 2018
detailed methodological review of where they meet in terms of structure, interpretation, and estimation methods. We discuss the … structure of cross-section connectivity (weight) matrices used by these models and its implications for estimation. Primarily … modeling and estimation method and of choices that represent empirical spillovers in a clear and interpretable form …
Persistent link: https://www.econbiz.de/10012925869