A probabilistic forecast is the estimated probability with which a future event will occur. One interesting feature of such forecasts is their calibration, or the match between the predicted probabilities and the actual outcome probabilities. Calibration has been evaluated in the past by...

The authors document a robust and interesting relationship between the real domestic price of oil and real effective exchange rates for Germany, Japan and the United States. They explain why they think the real oil price captures exogenous terms-of-trade shocks and why such shocks could be the...

This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of quot;manias and panics.quot; Its key features are that...

Several recent papers have presented evidence from foreign exchange and other markets suggesting that the log of excess returns can be characterized as first-order integrated processes (I(1)). This contrasts sharply with the quot;conventionalquot; wisdom that log prices are integrated of order...

This paper tests between fads and bubbles using a new empirical strategy (based on switching-regression econometrics) for distinguishing between competing asset-pricing models. By extending the Blanchard and Watson (1982) model, we show how stochastic bubbles can lead to regime-switching in...