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Asset prices and macroeconomic outcomes: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...

Persistent link: https://www.econbiz.de/10012060200

Macroeconomic implications of financial imperfections: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...

Persistent link: https://www.econbiz.de/10012060201

Understanding Financial Crises: Causes, Consequences, and Policy Responses

Claessens, Stijn; Kose, M. Ayhan; Laeven, Luc; … - 2013

The global financial crisis of 2007-09 has led to an intensive research program analyzing a wide range of issues related to financial crises. This paper presents a summary of a forthcoming book, Financial Crises: Causes, Consequences, and Policy Responses, that includes 19 contributions...

Persistent link: https://www.econbiz.de/10010500233

Improving forecasts of the federal funds rate in a policy model

Robertson, John C.; Tallman, Ellis W. - 1999

Vector autoregression (VAR) models are widely used for policy analysis. Some authors caution, however, that the forecast errors of the federal funds rate from such a VAR are large compared to those from the federal funds futures market. From these findings, it is argued that the inaccurate...

Persistent link: https://www.econbiz.de/10010397474

Forecasting using relative entropy

Robertson, John C.; Tallman, Ellis W.; Whiteman, Charles H. - 2002

The paper describes a relative entropy procedure for imposing moment restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for some variables of interest, the technique generates a new empirical distribution that satisfies a...

Persistent link: https://www.econbiz.de/10010397521

Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models

Robertson, John C.; Tallman, Ellis W. - 1999

. In this paper, we examine how the treatment of prior uncertainty about parameter values can affect forecasting accuracy …

Persistent link: https://www.econbiz.de/10010397583

Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting

Jovanovic, Branimir; Petrovska, Magdalena - 2010

We evaluate the forecasting performance of six different models for short-term forecasting of Macedonian GDP: 1) ARIMA …

Persistent link: https://www.econbiz.de/10011785343

Forecasting Macedonian business cycle turning points using Qual VAR model

Petrovska, Magdalena; Krstevska, Aneta; Naumovski, Nikola - 2016

indicators performs in forecasting turning points of the Macedonian business cycle by employing the Qual VAR approach of Dueker …

Persistent link: https://www.econbiz.de/10011785363

Forecasting Macedonian Inflation: Evaluation of different models for short-term forecasting

Petrovska, Magdalena; Ramadani, Gani; Naumovski, Nikola; … - 2017

Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models … models' out-of-sample forecasting performance for the period 2012 q3 to 2016 q2 by using a number of forecast evaluation … to individual models' forecasts. Our results point to three important conclusions. First, the forecasting accuracy of the …

Persistent link: https://www.econbiz.de/10011785369