Showing 1 - 10 of 22
The 2006 sudden and immense downturn in U.S. House Prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting methodology that combines the Ensemble Empirical Mode...
Persistent link: https://www.econbiz.de/10010891125
This paper develops and estimates an open economy dynamic stochastic general equilibrium model of South Africa. We devote special attention to the impact of stock price wealth effects on output and the interest rate. For this reason we adopt a perpetual youth approach, which allows for a limited...
Persistent link: https://www.econbiz.de/10010929398
Given the existence of non-normality and nonlinearity in the data generating process of real house price returns over the period of 1831-2013, this paper compares the ability of various univariate copula models, relative to standard benchmarks (naive and autoregressive models) in forecasting...
Persistent link: https://www.econbiz.de/10010929406
This paper sets out to date-stamp periods of historic oil price explosivity (or bubbles) us- ing the Generalized sup ADF (GSADF) test procedure suggested by Phillips et al. (2013). The date-stamping strategy used in this paper is effective at identifying periodically col- lapsing bubbles; a...
Persistent link: https://www.econbiz.de/10010929424
This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...
Persistent link: https://www.econbiz.de/10010754801
This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive
Persistent link: https://www.econbiz.de/10010799075
The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...
Persistent link: https://www.econbiz.de/10010764034
The conduct of in ation targeting is heavily dependent on accurate in ation forecasts. Non-linear models have increasingly featured, along with linear counterparts, in the forecasting literature. In this study, we focus on forecasting South African in ation by means of non-linear models and...
Persistent link: https://www.econbiz.de/10011161635
This study applies bootstrap panel causality, proposed by Kónya (2006), to investigate causal link between political uncertainty and stock price for seven OECD countries over the monthly period of 2001.01 to 2013.04. This modeling approach allows us to examine both the cross-sectional...
Persistent link: https://www.econbiz.de/10011161637
This paper develops a monetary endogenous growth overlapping generations model characterized by production lags - specically lagged capital inputs - and an in ation targeting monetary authority, and analyses the growth dynamics that emerge from this framework. The growth process is endogenized...
Persistent link: https://www.econbiz.de/10011161641