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Heteroeneous forecasters and nonlinear expectation formation in US stock market

Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - Institut für Volkswirtschaftslehre, … - 2015

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectationformation process in the US stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time as...

Persistent link: https://www.econbiz.de/10011170367

Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment

Pierdzioch, Christian - In: Review of Economics & Finance 2 (2012) May, pp. 87-96

Based on a recursive forecasting approach, this research studies whether macro- economic factors help to forecast excess returns on a real-estate-based German stock market index. Key findings are that macroeconomic factors are often included in the optimal forecasting model, that their relative...

Persistent link: https://www.econbiz.de/10010927776

Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market

Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - Institut für Volkswirtschaftslehre, … - 2014

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time...

Persistent link: https://www.econbiz.de/10010958899

Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market

Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - Institut für Weltwirtschaft (IfW) - 2014

Persistent link: https://www.econbiz.de/10011208177

Business Cycle Volatility in Germany

Buch, Claudia M.; Doepke, Joerg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2002

Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and … structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …

Persistent link: https://www.econbiz.de/10005755211