Showing 1 - 10 of 57
In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...
Persistent link: https://www.econbiz.de/10011519115
We investigate whether the KOF Barometer - a leading indicator regularly released by the KOF Swiss Economic Institute - can be useful for short-term out-of-sample prediction of year-on-year quarterly real GDP growth rates in Switzerland. We find that the KOF Barometer appears to be useful for...
Persistent link: https://www.econbiz.de/10010285792
In this paper, we address the issue of spurious correlation in the production of health in a systematic way. Spurious correlation entails the risk of linking health status to medical (and nonmedical) inputs when no links exist. This note first presents the bounds testing procedure as a method to...
Persistent link: https://www.econbiz.de/10014046543
We investigate whether the KOF Barometer–a leading indicator regularly released by the KOF Swiss Economic Institute–can be useful for short-term out-of-sample prediction of year-on-year quarterly real GDP growth rates in Switzerland. We find that the KOF Barometer appears to be useful for...
Persistent link: https://www.econbiz.de/10014198695
The paper addresses the question on what is the typical time horizon over which a full transmission of movements in the real exchange rate into real economy takes place. To this end, we base our analysis on the mixed-frequency small-scale dynamic factor model of Siliverstovs (2012) fitted to the...
Persistent link: https://www.econbiz.de/10010482019
In this paper we suggest an approach to comparison of models' forecasting performance in unstable environments. Our approach is based on combination of the Cumulated Sum of Squared Forecast Error Differential (CSSFED) suggested earlier in Welch and Goyal (2008) and the Bayesian change point...
Persistent link: https://www.econbiz.de/10011382631
they share a common theme, the Swiss business cycle. With this set of indicators, we conduct the different imputations. On …
Persistent link: https://www.econbiz.de/10013472865
Swiss business cycle. With this set of indicators, we conduct the different imputations. On this basis, we then run standard …
Persistent link: https://www.econbiz.de/10013482570
Swiss business cycle. With this set of indicators, we conduct the different imputations. On this basis, we then run standard …
Persistent link: https://www.econbiz.de/10014262560
become available we observe a steady increase in forecast accuracy. -- Leading indicators ; forecasting ; Bayesian model …
Persistent link: https://www.econbiz.de/10008728700