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Forecasting Swiss exports using Bayesian forecast reconciliation

Eckert, Florian; Hyndman, Rob J.; Panagiotelis, Anastasios - 2019

This paper conducts an extensive forecasting study on 13,118 time series measuring Swiss goods exports, grouped …

Persistent link: https://www.econbiz.de/10012058388

Recessions as breadwinner for forecasters state-dependent evaluation of predictive ability : evidence from big macroeconomic US data

Siliverstovs, Boriss; Wochner, Daniel - 2019

forecasting experiment is based on a novel big macroeconomic dataset (FRED-QD) comprising over 200 quarterly indicators for almost …

Persistent link: https://www.econbiz.de/10012117679

Bank crises and investor confidence

Osili, Una Okonkwo; Paulson, Anna - 2008

In addition to their direct effects, episodes of financial instability may decrease investor confidence. Measuring the impact of a crisis on investor confidence is complicated by the fact that it is difficult to disentangle the effect of investor confidence from coincident direct effects of the...

Persistent link: https://www.econbiz.de/10010292170

Why did so many people make so many ex post bad decisions? The causes of the foreclosure crisis

Foote, Christopher L.; Gerardi, Kristopher S.; Willen, … - 2012

We present 12 facts about the mortgage crisis. We argue that the facts refute the popular story that the crisis resulted from finance industry insiders deceiving uninformed mortgage borrowers and investors. Instead, we argue that borrowers and investors made decisions that were rational and...

Persistent link: https://www.econbiz.de/10010292274

Contagion effects of the Silicon Valley Bank run

Choi, Dong Beom; Goldsmith-Pinkham, Paul; Yorulmazer, Tanju - 2023

This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank-specific vulnerabilities contributing to the subsequent declines in banks' stock returns. We find that uninsured deposits, unrealized losses in held-to-maturity securities, bank...

Persistent link: https://www.econbiz.de/10014540982

Racial disparities in mortgage lending: New evidence based on processing time

Wei, Bin; Zhao, Feng - 2022

This paper examines racial disparities in mortgage processing time prior to the global financial crisis. We find that Black borrowers are underrepresented and experience a longer processing time than White borrowers among the mortgages securitized by government-sponsored enterprises. At the same...

Persistent link: https://www.econbiz.de/10014278262

The increased importance of asset price misalignments for business cycle dynamics

Bask, Mikael; Madeira, João - 2011

We outline a dynamic stochastic general equilibrium (DSGE) model with trend extrapo-lation in asset pricing that we fit to quarterly U.S. macroeconomic time series with Baye-sian techniques. To be more precise, we modify the DSGE model in Smets and Wouters (2007) by incorporating asset traders...

Persistent link: https://www.econbiz.de/10010321374

Simulation-based valuation of project finance: does model complexity really matter?

Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010

forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …

Persistent link: https://www.econbiz.de/10010305715

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

forecasting model for another variable, and hence our use of terminology such as ?out-of-sample Granger causality? (see e …

Persistent link: https://www.econbiz.de/10010263216

Cointegrated VARMA models and forecasting US interest rates

Kascha, Christian; Trenkler, Carsten - 2011

We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...

Persistent link: https://www.econbiz.de/10010316827