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Depression econometrics: A FAVAR model of monetary policy during the Great Depression
Ahmadi, Pooyan Amir; Ritschl, Albrecht - 2009
The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...
Persistent link: https://www.econbiz.de/10010270715
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Forecasting euro-area variables with German pre-EMU data
Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - 2006
period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of … different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some … forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest …
Persistent link: https://www.econbiz.de/10010263654
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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012
modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …
Persistent link: https://www.econbiz.de/10010330969
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Multivariate volatility modeling of electricity futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - 2011
new model achieves higher forecasting performance compared to a standard DCC model. …
Persistent link: https://www.econbiz.de/10010330971
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Adaptive order flow forecasting with multiplicative error models
Härdle, Wolfgang Karl; Mihoci, Andrija; Ting, … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010427064
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Crisis? What crisis? Currency vs. banking in the Financial Crisis of 1931
Ritschl, Albrecht; Sarferaz, Samad - 2010
This paper examines the role of currency and banking in the German financial crisis of 1931 for both Germany and the U.S. We specify a structural dynamic factor model to identify financial and monetary factors separately for each of the two economies. We find that monetary transmission through...
Persistent link: https://www.econbiz.de/10010270717
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Bayesian demographic modeling and forecasting: An application to U.S. mortality
Reichmuth, Wolfgang H.; Sarferaz, Samad - 2008
particular parameter uncertainty is important for long-run forecasts. This implies that hitherto existing forecasting methods …
Persistent link: https://www.econbiz.de/10010276366
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Modeling and forecasting age-specific mortality: A Bayesian approach
Reichmuth, Wolfgang H.; Sarferaz, Samad - 2008
in particular parameter uncertainty is important for long-run forecasts. This implies that existing forecasting methods …
Persistent link: https://www.econbiz.de/10010276367
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Exchange rate uncertainty and trade growth: A comparison of linear and nonlinear (forecasting) models
Herwartz, Helmut; Weber, Henning - 2007
addition, widely used regression models have not been evaluated in terms of ex-ante forecasting. In this paper we analyze the … particularly provide a comparison of linear and nonlinear models with respect to ex-ante forecasting. In terms of average ranks of …
Persistent link: https://www.econbiz.de/10010263693
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Predicting bid-ask spreads using long memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011
We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...
Persistent link: https://www.econbiz.de/10010281578