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Forecasting the US CPI: Does Nonlinearity Matter?

Álvarez-Díaz, Marcos; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

forecasting gains are not significant relative to higher-order AR and nonlinear models, though simple benchmarks like the RW and … AR(1) models are statistically outperformed. Overall, we show that in terms of forecasting the US CPI, accounting for …

Persistent link: https://www.econbiz.de/10011196639

The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate : A Nonlinear Approach

Gogas, Periklis - 2017

inflation is expressed in an ample literature regarding inflation forecasting. In this paper we evaluate nonlinear machine … learning and econometric methodologies in forecasting the U.S. inflation based on autoregressive and structural models of the … forecasting considering the term–spread as a regressor. In doing so, we use a long monthly dataset spanning the period 1871 …

Persistent link: https://www.econbiz.de/10012953784

Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting

Boubaker, Heni - 2020

This paper proposes a hybrid modelling approach for forecasting returns and volatilities of the stock market. The model …). The model develops through a two-phase approach. In phase one, a wavelet decomposition improves the forecasting accuracy …

Persistent link: https://www.econbiz.de/10012827248

Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data

de Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary Economics 7 (2013) 1, pp. 19-32

walk model suggests that the forecasting performance of the monetary model is superior. …

Persistent link: https://www.econbiz.de/10010436043

On the Directional Accuracy of Inflation Forecasts: Evidence from South African Survey Data

Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

We study the directional accuracy of South African survey data of short-term and longer-term inflation forecasts. Upon applying techniques developed for the study of relative operating characteristic (ROC) curves, we find evidence that forecasts contain information with respect to the subsequent...

Persistent link: https://www.econbiz.de/10011096977

Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality

Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - Department of Economics, Fakulteit Ekonomiese en … - 2014

Using forecasts of the inflation rate in South Africa, we study the rationality of forecasts and the shape of forecasters’ loss function. When we study micro-level data of individual forecasts, we find mixed evidence of an asymmetric loss function, suggesting that inflation forecasters are...

Persistent link: https://www.econbiz.de/10011093334

Inflation Forecasts and Forecaster Herding: Evidence from South African Survey Data

Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

We use South African survey data to study whether short-term inflation forecasts are unbiased. Depending on how we model a forecaster’s information set, we find that forecasts are biased due to forecaster herding. Evidence of forecaster herding is strong when we assume that the information set...

Persistent link: https://www.econbiz.de/10011095435

Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality

Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

Persistent link: https://www.econbiz.de/10011196001

Oil Price Forecastability and Economic Uncertainty

Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia - Dipartimento di Economia, Metodi Quantitativi e … - 2015

Information on economic policy uncertainty (EPU) does matter in predicting oil returns especially when accounting for omitted nonlinearities in the relationship between these two variables via a time-varying coe¢ cient approach. In this work, we compare the forecastability of standard, Bayesian...

Persistent link: https://www.econbiz.de/10011234990

Forecasting China's foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty

Gupta, Rangan; Hammoudeh, Shawkat; Kim, Won Joong; … - In: The North American Journal of Economics and Finance 28 (2014) C, pp. 170-189

We develop models for examining possible predictors of growth of China's foreign exchange reserves that embrace Chinese and global trade, financial and risk (uncertainty) factors. Specifically, by comparing with other alternative models, we show that the dynamic model averaging (DMA) and dynamic...

Persistent link: https://www.econbiz.de/10010777014