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Bifurcation Analysis of an Endogenous Growth Model

Barnett, William; Ghosh, Taniya - Volkswirtschaftliche Fakultät, … - 2013

This paper analyzes the dynamics of a variant of Jones (2002) semi-endogenous growth model within the feasible …. Bifurcation boundaries can separate one kind of unstable dynamics domain from another kind of unstable dynamics domain, or one … kind of stable dynamics domain from another kind (called soft bifurcation), such as bifurcation from monotonic stability to …

Persistent link: https://www.econbiz.de/10011257703

Modeling and forecasting foreign exchange daily closing prices with normal inverse Gaussian

Teneng, Dean - Volkswirtschaftliche Fakultät, … - 2012

We fit the normal inverse Gaussian(NIG) distribution to foreign exchange closing prices using the open software package R and select best models by Kaarik and Umbleja (2011) proposed strategy. We observe that daily closing prices(12/04/2008 - 07/08/2012) of CHF/JPY, AUD/JPY, GBP/JPY, NZD/USD,...

Persistent link: https://www.econbiz.de/10011108989

Does the Box-Cox transformation help in forecasting macroeconomic time series?

Tommaso, Proietti; Helmut, Luetkepohl - Volkswirtschaftliche Fakultät, … - 2011

The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured on a ratio scale. We propose a nonparametric approach for estimating...

Persistent link: https://www.econbiz.de/10009207092

A P* Model of Inflation in Puerto Rico

Rodríguez, Carlos A. - Volkswirtschaftliche Fakultät, … - 2004

One can analyze and forecast the inflationary potential in the Puerto Rican economy using the “P* model.” Given the nature of the monetary sector in Puerto Rico (PR), the model is put into the context of variables from the mainland United States (US). The results indicate a long-run...

Persistent link: https://www.econbiz.de/10011259136

The Elasticities Approach to Egypt’s Balance of Payments and Equilibrium Exchange Rate

Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 1999

The study aims to calculate Egypt’s real effective exchange rate at both the bilateral and multilateral levels, estimates the effect of real cross-rate movements on trade in goods and services and on foreign direct investment, and determines the fundamental equilibrium exchange rate for...

Persistent link: https://www.econbiz.de/10011259979

The case for higher frequency inflation expectations

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2011

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

Persistent link: https://www.econbiz.de/10009650037

Forecasting in vector autoregressions with many predictors

Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2008

This paper addresses the issue of improving the forecasting performance of vector autoregressions (VARs) when the set of available predictors is inconveniently large to handle with methods and diagnostics used in traditional small scale models. First, available information from a large dataset...

Persistent link: https://www.econbiz.de/10008592950

VAR forecasting using Bayesian variable selection

Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2009

This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally efficient algorithms for stochastic variable selection in generic (linear and nonlinear) VARs. The performance...

Persistent link: https://www.econbiz.de/10008593003

Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia

Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2010

The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not. The results show that single-equation MS models tend to perform...

Persistent link: https://www.econbiz.de/10008541474

A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle

Buss, Ginters - Volkswirtschaftliche Fakultät, … - 2010

superiority of dynamic factor models if the factor-forming set of variables and factor dynamics are carefully selected. …

Persistent link: https://www.econbiz.de/10008470462

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