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This paper has a twofold purpose; the first is to present a small macroeconomic model in state space form, the second is to demonstrate that it produces accurate forecasts. The first of these objectives is achieved by fitting two forms of a structural state space macroeconomic model to Australian...
Persistent link: https://www.econbiz.de/10005622122
Sornette et al. (1996), Sornette and Johansen (1997), Johansen et al. (2000) and Sornette (2003a) proposed that, prior to crashes, the mean function of a stock index price time series is characterized by a power law decorated with log-periodic oscillations, leading to a critical point that...
Persistent link: https://www.econbiz.de/10011113835
We provide clear-cut evidence for economically and statistically significant multivariate jumps (multi-jumps) occurring simultaneously in stock prices by using a novel nonparametric test based on smoothed estimators of integrated variances. Detecting multi-jumps in a panel of liquid stocks is...
Persistent link: https://www.econbiz.de/10011114447
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011108998
macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10011110289
macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10011156962
disaggregate data is at least as good as the aggregate data in forecast accuracy. The disaggregate model allows to differentiate …
Persistent link: https://www.econbiz.de/10011114384
A well known macroeconometric model of the Italian economy is updated to produce forecasts at 1974.
Persistent link: https://www.econbiz.de/10008595619
Provides analysis for a practical action planto implement pro-poor policies through macroeconomic initiatives. The study covers sequencing and implementation issues and provides estimates of both macro and significant microeconomic impacts. The major components of the study are (a) a general...
Persistent link: https://www.econbiz.de/10011107517
The present macroeconomic model aims to provide a theory-consistent representation of the general structure of the Viet Nam economy and, as such, it offers real and financial sector forecasting and policy simulation capabilities targeted to the needs of the State Bank of Viet Nam. The model...
Persistent link: https://www.econbiz.de/10011109153