In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...

A monetary-production model of financial firms is employed to investigate supply-side monetary aggregation, augmented to include credit card transaction services. Financial firms are conceived to produce monetary and credit card transaction services as outputs through financial intermediation....

Monetary policy approaches in India has changed from simple monetary targeting framework in the mid-1980s to multiple indicator approach in the late 1990s and to the current flexible inflation targeting framework. The aim of this study is to investigate the relationship among selected...

We define a parameter representing the relative forecast performance to compare forecasting results of different methods. By using this parameter, we analyze the performance of the dynamic Nelson-Siegel model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of...

The objective of our work is to analyze the forecast performance of the dynamic Nelson-Siegel yield curve model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of US bond yield data that covers a large timespan from November 1971 to December 2008. As a...

The concept of formation of the equilibrium exchange rate on the conversion market was developed, taking into account foreign trade, capital flows and other components of the balance of payments. As the main determinants of theoretical-structural model of the dynamics of the exchange rate equal...

The objective of our work is to analyze the forecast performance of the dynamic Nelson-Siegel yield curve model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of US bond yield data that covers a large timespan from November 1971 to December 2008. As a...

We study the relationship between efficient markets, value neutrality and symmetric maximum entropy principle. We find that the efficient market is in the state of maximum information entropy, which means that market prices fluctuate randomly, that value neutrality is in the state of maximum...

This paper considers price volatility as the reason for description of the second-degree economic variables, trades and expectations aggregated during certain time interval Δ. We call it - the second-order economic theory. The n-th degree products of costs and volumes of trades, performed by...

Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demonstrated the presence of an equilibrium long-term relation between observed and predicted time...