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Measuring stress in money markets: A dynamic factor approach
Carpenter, Seth; Demiralp, Selva; Schlusche, Bernd; … - In: Economics Letters 125 (2014) 1, pp. 101-106
We extract an index of interest rate spreads from various money market segments to assess the level of funding stress in real time. We find that during the 2007–2009 financial crisis, money markets switched between low and high stress regimes except for brief periods of extreme stress....
Persistent link: https://www.econbiz.de/10010939492
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Generalized impulse response analysis in a fractionally integrated vector autoregressive model
Do, Hung Xuan; Brooks, Robert Darren; Treepongkaruna, … - In: Economics Letters 118 (2013) 3, pp. 462-465
We develop a generalized impulse response function for the fractionally integrated vector autoregressive (FIVAR) model using the Pesaran and Shin (1998) approach. Our method is different from the methodology shown in Chung (2001) since it does not require us to orthogonalize the error vector...
Persistent link: https://www.econbiz.de/10010688085
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The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics
Allen, David; Ng, K.H.; Peiris, Shelton - In: Economics Letters 120 (2013) 1, pp. 117-122
This paper investigates the Estimating Function method in the context of ACD modelling and appraises the properties of these estimates. A simulation study is conducted to demonstrate that these estimates are more efficient than the corresponding ML and QML estimates.
Persistent link: https://www.econbiz.de/10010665682
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Inflation-regime dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions
Mandler, Martin - In: Economics Letters 116 (2012) 3, pp. 422-425
We use a threshold vector autoregression to study the effects of monetary policy shocks on the US. Depending on the level of inflation we note important regime dependence in the inflation response to monetary policy shocks.
Persistent link: https://www.econbiz.de/10010594197
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A dynamic factor model with time-varying loadings for euro area bond markets during the debt crisis
Boysen-Hogrefe, Jens - In: Economics Letters 118 (2013) 1, pp. 50-54
The debt crisis in the euro area led to obvious changes in the structure of euro area bond markets. To model the process of disintegration that has taken place as a result of this crisis, this analysis uses a dynamic factor model with time-varying loadings and two factors. While some core...
Persistent link: https://www.econbiz.de/10010603116
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Forecasting regional GDP with factor models: How useful are national and international data?
Kopoin, Alexandre; Moran, Kevin; Paré, Jean-Pierre - In: Economics Letters 121 (2013) 2, pp. 267-270
We assess the contribution of national (country-wide) and international data to the task of forecasting the real GDP of … Canadian provinces. Using the targeting predictors approach of Bai and Ng (2008) [Bai, J., Ng, S., 2008. Forecasting economic … regional, national and international data help improve forecasting accuracy for horizons below the one-year-ahead mark, but …
Persistent link: https://www.econbiz.de/10010709087
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Forecasting the yield curve for the Euro region
Tabak, B.M.; Sollaci, A.B.; Gomes, G.M.; Cajueiro, D.O. - In: Economics Letters 117 (2012) 2, pp. 513-516
-month) and that the FSN model outperforms the DL at the one- and three-months forecasting horizon. The conclusions provided in …
Persistent link: https://www.econbiz.de/10010580530
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Forecasting stock prices: Do forecasters herd?
Pierdzioch, Christian; Rülke, Jan-Christoph - In: Economics Letters 116 (2012) 3, pp. 326-329
We use the Livingston survey data to study whether forecasters of the S&P 500 stock price index herd. Our results imply that forecasters do not herd. Rather, we find that forecasters anti-herd. Anti-herding is less prevalent among academics and Federal Reserve economists. Forecaster anti-herding...
Persistent link: https://www.econbiz.de/10011041557
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Do FOMC members herd?
Rülke, Jan-Christoph; Tillmann, Peter - In: Economics Letters 113 (2011) 2, pp. 176-179
We show that growth and unemployment forecasts submitted by individual FOMC members do not exhibit herding behavior, while the inflation forecasts show strong evidence of anti-herding. Interestingly, anti-herding is more important for non-voting members than for voters.
Persistent link: https://www.econbiz.de/10011041670
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On the loss function of the Bank of Canada: A note
Pierdzioch, Christian; Rülke, Jan-Christoph; … - In: Economics Letters 115 (2012) 2, pp. 155-159
Based on the approach advanced by Elliott et al. [Elliott, G., Komunjer, I., Timmermann, A., 2005. Estimation and testing of forecast rationality under flexible loss. Review of Economic Studies 72, 1107–1125], we studied whether the inflation and output growth projections published by the...
Persistent link: https://www.econbiz.de/10011041692