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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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Smooth Forecast Reconciliation
Ando, Sakai - 2024
method can reproduce the smoothness of professional forecasts subject to various constraints and slightly improve forecast …
Persistent link: https://www.econbiz.de/10015058568
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Predicting IMF-Supported Programs: A Machine Learning Approach
Batsuuri, Tsendsuren - 2024
This study applies state-of-the-art machine learning (ML) techniques to forecast IMF-supported programs, analyzes the …
Persistent link: https://www.econbiz.de/10015058608
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Do Household Expectations Help Predict Inflation?
Brandão-Marques, Luis - 2023
We examine whether changes in the distribution of household inflation expectations contain information on future inflation. We first discuss recent shifts in micro data from the US, UK, Germany, and Canada. We then zoom in on the US to explore econometrically whether distributional...
Persistent link: https://www.econbiz.de/10015058986
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Identifying News Shocks from Forecasts
Adams, Jonathan - 2023
forecast data from the SPF, CBO, Federal Reserve, and asset prices. Unanticipated fiscal stimulus and interest rate shocks we …
Persistent link: https://www.econbiz.de/10015059043
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How We Missed the Inflation Surge: An Anatomy of Post-2020 Inflation Forecast Errors
Koch, Christoffer - 2023
This paper analyzes the inflation forecast errors over the period 2021Q1-2022Q3 using forecasts of core and headline … economies. The findings reveal evidence of forecast bias that worsened initially then subsided towards the end of the sample …. There is also evidence of forecast oversmoothing indicating rigidity in forecast revision in the face of incoming …
Persistent link: https://www.econbiz.de/10015059444
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Predicting Financial Crises: The Role of Asset Prices
Hennig, Tristan - 2023
We explore the early warning properties of a composite indicator which summarizes signals from a range of asset price growth and asset price volatility indicators to capture mispricing of risk in asset markets. Using a quarterly panel of 108 advanced and emerging economies over 1995-2017, we...
Persistent link: https://www.econbiz.de/10015059236
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Currency Risk Premia in Global Stock Markets.
Roache, Shaun K - 2006
Intro -- Contents -- I. INTRODUCTION -- II. PREVIOUS LITERATURE -- III. MODEL SPECIFICATION -- IV. ESTIMATION -- V. DATA AND PRELIMINARY STATISTICS -- VI. MAIN RESULTS -- VII. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691179
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Decomposing Climate Risks in Stock Markets
Yang, Yuanchen - 2023
Climate change poses an unprecedented challenge to the world economy and the global financial system. This paper sets out to understand and quantify the impact of climate mitigation, with a focus on climate-related news, which represents an important information source that investors use to...
Persistent link: https://www.econbiz.de/10015059379