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Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver J.; Herwartz, Helmut - 2008

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....

Persistent link: https://www.econbiz.de/10010271838

When, how fast and by how much do trade costs change in the Euro area?

Herwartz, Helmut; Weber, Henning - 2008

Microfoundations of the euro's effect on euro area trade hinge on the timing, the speed and the size of adjustment in … at the sector level. We find that, due to falling trade costs, trade within the euro area increases between the years … 2000 and 2003 by 10 to 20 percent compared with trade between European countries that are not members of the euro area …

Persistent link: https://www.econbiz.de/10010331062

On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven

Herwartz, Helmut - 2003

In this paper bilateral models formalizing monthly growth of US imports and exports are employed to investigate the potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well as semiparametric time series models are evaluated...

Persistent link: https://www.econbiz.de/10010296439

Forecasting sectoral trade growth under flexible exchange rates

Herwartz, Helmut; Weber, Henning - 2003

A huge body of empirical and theoretical literature has emerged on the relationship between exchange rate uncertainty and international trade. In empirical studies the estimated impacts of exchange rate uncertainty on trade figures are at most weak and often ambiguous with respect to their...

Persistent link: https://www.econbiz.de/10010296440

Exchange rate uncertainty and trade growth: A comparison of linear and nonlinear (forecasting) models

Herwartz, Helmut; Weber, Henning - 2007

A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost...

Persistent link: https://www.econbiz.de/10010263693

Modeling the FIBOR/EURIBOR swap term structure: An empirical approach

Blaskowitz, Oliver J.; Herwartz, Helmut; Cadenas … - 2005

In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive (VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term structure. To evaluate ex-ante forecasting performance for...

Persistent link: https://www.econbiz.de/10010271835

On economic evaluation of directional forecasts

Blaskowitz, Oliver J.; Herwartz, Helmut - 2009

It is commonly accepted that information is helpful if it can be exploited to improve a decision making process. In economics, decisions are often based on forecasts of up- or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...

Persistent link: https://www.econbiz.de/10010271901