Showing 1 - 10 of 1,618
Even if there is a fairly large evidence against the Expectations Hypothesis (EH) of the term structure of interest rates, there still seems to be an element of truth in the theory which may be exploited for forecasting and simulation. This paper formalizes this idea by proposing a way to use...
Persistent link: https://www.econbiz.de/10010284131
A long tradition in macro finance studies the joint dynamics of aggregate stock returns and dividends using vector autoregressions (VARs), imposing the cross-equation restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We take a Bayesian perspective and develop...
Persistent link: https://www.econbiz.de/10012819002
In this paper, we empirically assess the extent to which early release inefficiency and definitional change affect prediction precision. In particular, we carry out a series of ex-ante prediction experiments in order to examine: the marginal predictive content of the revision process, the...
Persistent link: https://www.econbiz.de/10010282871
The paper deals with the challenges stemming from the phenomenon of unofficial euroization in the Republic of North Macedonia. It tries to identify the main drivers of the households' deposit euroization in the Republic of North Macedonia and contributes to the literature by providing an...
Persistent link: https://www.econbiz.de/10014327933
The purpose of this report is to derive lessons from inflation targeting in Sweden for the choice of the future monetary policy regime of Iceland. Swedish inflation targeting has been a success in terms of reducing inflation and inflation volatility, but real economic volatility is not lower...
Persistent link: https://www.econbiz.de/10013208816
This paper introduces methods for computing impulse response functions that do not require specification and estimation of the unknown dynamic multivariate system itself. The central idea behind these methods is to estimate flexible local projections at each period of interest rather than...
Persistent link: https://www.econbiz.de/10010274322
We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...
Persistent link: https://www.econbiz.de/10010316827
To evaluate measures of expectations I examine and compare some of the most common methods for capturing expectations: the futures method which utilizes financial market prices, the VAR forecast method, and the survey method. I study average expectations on the Federal funds rate target, and the...
Persistent link: https://www.econbiz.de/10010321584
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
Persistent link: https://www.econbiz.de/10014551600
In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal...
Persistent link: https://www.econbiz.de/10012654449