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Breaks, bubbles, booms, and busts: the evolution of primary commodity price fundamentals

Enders, Walter; Holt, Matthew T. - Volkswirtschaftliche Fakultät, … - 2011

This paper explores the behavior of real commodity prices over a 50–year period. Attention is given to how the fundamentals for various commodity prices have changed with a special emphasis on behavior since the mid 2000s. To identify changing commodity price fundamentals we estimate...

Persistent link: https://www.econbiz.de/10009644780

Super-cycles of commodity prices since the mid-ninteenth century

Erten, Bilge - Department of Economic and Social Affairs, United Nations - 2012

Decomposition of real commodity prices suggests four super-cycles during 1865-2009 ranging between 30-40 years with amplitudes 20-40 percent higher or lower than the long-run trend. Non-oil price super-cycles follow world GDP, indicating they are essentially demand-determined; causality runs in...

Persistent link: https://www.econbiz.de/10010852177

EMU and the Stability and Volatility of Foreign Exchange: Some Empirical Evidence

Bask, Mikael; de Luna, Xavier - Institutionen för Nationalekonomi, Umeå Universitet - 2001

How has the European monetary integration, with the creation of the EMU, affected the stability and volatility of … foreign exchange? In order to answer this question, stability and volatility measures are defined and calculated. We then use … these to investigate the changes in the stability and volatility of 16 European currencies, and in the volatility of the …

Persistent link: https://www.econbiz.de/10005652009

Currency Area and Non-synchronized Business Cycles between the US and Puerto Rico

Sobrino, Cesar; Heath, Ellis - In: Economics Bulletin 33 (2013) 3, pp. 1948-1958

Frankel and Rose (1997, 1998) state that greater intensity of trading leads to more highly correlated business cycles across countries. Since 2005 Puerto Rico, which belongs to the US currency area, has suffered from economic stagnation. This raises the issue of whether currency areas lead to...

Persistent link: https://www.econbiz.de/10010681099

Predicting unemployment in short samples with internet job search query data

Francesco, D'Amuri - Volkswirtschaftliche Fakultät, … - 2009

This article tests the power of a novel indicator based on job search related web queries in predicting quarterly unemployment rates in short samples. Augmenting standard time series specifications with this indicator definitely improves out-of-sample forecasting performance at nearly all...

Persistent link: https://www.econbiz.de/10008527375

Trend Estimation

Proietti, Tommaso - Volkswirtschaftliche Fakultät, … - 2010

Trend estimation deals with the characterization of the underlying, or long–run, evolution of a time series. Despite being a very pervasive theme in time series analysis since its inception, it still raises a lot of controversies. The difficulties, or better, the challenges, lie in the...

Persistent link: https://www.econbiz.de/10008529313

"Google it!" Forecasting the US unemployment rate with a Google job search index

D'Amuri, Francesco; FD; Marcucci, Juri; JM - Volkswirtschaftliche Fakultät, … - 2009

In this paper we suggest the use of an internet job-search indicator (Google Index, GI) as the best leading indicator to predict the US unemployment rate. We perform a deep out-of-sample comparison of many forecasting models. With respect to the previous literature we concentrate on the monthly...

Persistent link: https://www.econbiz.de/10008472252

Are Securitized Real Estate Returns more Predictable than Stock Returns?

Serrano, Camilo; Hoesli, Martin

This paper examines whether the predictability of securitized real estate returns differs from that of stock returns. It also provides a cross-country comparison of securitized real estate return predictability. In contrast to most of the literature on this issue, the analysis is not based on a...

Persistent link: https://www.econbiz.de/10005534184

Revisiting the Price Elasticity of Gasoline Demand

Romero, Alfredo A. - Department of Economics, College of William & Mary - 2007

In this document, we investigate the evolution of the income elasticity and the price elasticity of the demand for gasoline over the period 1975-2006. By using the Probabilistic Reduction Approach, we were able to model changes in mean heterogeneity and variance heterogeneity directly into the...

Persistent link: https://www.econbiz.de/10005168605

On robust ESACF identification of mixed ARIMA models

Hella, Heikki - Suomen Pankki - 2004

Statistical data sets often contain observations that differ markedly from the bulk of the data. These outlying observations, ‘outliers’, have given rise to notable risks for statistical analysis and inference. Unfortunately, many of the classical statistical methods, such as ordinary least...

Persistent link: https://www.econbiz.de/10008774223