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Crude Oil Prices : Trends and Forecast
Krichene, Noureddine - 2008
Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of...
Persistent link: https://www.econbiz.de/10014409032
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Developing a Structured Forecasting and Policy Analysis System to Support Inflation-Forecast Targeting (IFT)
Laxton, Douglas - 2009
This paper presents a basic plan for developing a Forecast and Policy Analysis System designed to support an inflation-forecast … creation of a forecast team and the development of human capital; the implementation of a simple model, plus possible …
Persistent link: https://www.econbiz.de/10012677476
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Monetary Policy Analysis and Forecasting in the World Economy
Vitek, Francis - 2009
This paper develops a panel unobserved components model of the monetary transmission mechanism in the world economy, disaggregated into its fifteen largest national economies. This structural macroeconometric model features extensive linkages between the real and financial sectors, both within...
Persistent link: https://www.econbiz.de/10012677496
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The Information Content of Money in Forecasting Euro Area Inflation
Stavrev, Emil - 2008
This paper contributes to the debate on the role of money in monetary policy by analyzing the information content of money in forecasting euro-area inflation. We compare the predictive performance within and among various classes of structural and empirical models in a consistent framework using...
Persistent link: https://www.econbiz.de/10012677626
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Financial Spillovers to Emerging Markets during the Global Financial Crisis
Frank, Nathaniel - 2009
In this paper potential financial linkages between liquidity and bank solvency measures in advanced economies and emerging market (EM) bond and stock markets are analyzedduring the latest crisis. A multivariate GARCH model is estimated in order to gauge the extent of co-movements of these...
Persistent link: https://www.econbiz.de/10012677776
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Constructing Forecast Confidence Bands During the Financial Crisis
Clinton, Kevin - 2009
We derive forecast confidence bands using a Global Projection Model covering the United States, the euro area, and …
Persistent link: https://www.econbiz.de/10012677886
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Are Asset Price Guarantees Useful for Preventing Sudden Stops? A Quantitative Investigation of the Globalization Hazard-Moral Hazard Tradeoff.
Durdu, Ceyhun Bora - 2006
Intro -- Contents -- I. INTRODUCTION -- II. A MODEL OF GLOBALIZATION HAZARD AND PRICE GUARANTEES -- III. CHARACTERIZING THE GLOBALIZATION HAZARD-MORAL HAZARD TRADEOFF -- IV. QUANTITATIVE ANALYSIS -- V. NORMATIVE IMPLICATIONS AND SENSITIVITY ANALYSIS -- VI. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691021
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Asset Bubbles
Jones, Bradley - 2015
In distilling a vast literature spanning the rational- irrational divide, this paper offers reflections on why asset bubbles continue to threaten economic stability despite financial markets becoming more informationally-efficient, more complete, and more heavily influenced by sophisticated...
Persistent link: https://www.econbiz.de/10012686794
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Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR
Zhang, Xiaojing - 2009
China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds … that China's stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from … the United States than China's returns, and past volatility shocks in the United States have a more persistent effec …
Persistent link: https://www.econbiz.de/10012677827
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Fiscal foresight and information flows
Leeper, Eric M.; Walker, Todd B.; Yang, Shu-Chun S. - 2012
News - or foresight - about future economic fundamentals can create rational expectations equilibria with non-fundamental representations that pose substantial challenges to econometric efforts to recover the structural shocks to which economic agents react. Using tax policies as a leading...
Persistent link: https://www.econbiz.de/10009618558