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power for both GDP growth and excess stock returns, and that the results are robust to the inclusion of information …
Persistent link: https://www.econbiz.de/10015230635
I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...
Persistent link: https://www.econbiz.de/10015230637
We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...
Persistent link: https://www.econbiz.de/10015262273
In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...
Persistent link: https://www.econbiz.de/10015241474
show that ours performs significantly better in nowcasting the Spanish GDP. In addition, our indicator proves to be helpful …
Persistent link: https://www.econbiz.de/10012525028
. The analysis considers only the short-term effects on activity, which is very useful for preparing the projections on GDP …
Persistent link: https://www.econbiz.de/10012525918
. The analysis considers only the short-term effects on activity, which is very useful for preparing the projections on GDP …
Persistent link: https://www.econbiz.de/10012525953
This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of...
Persistent link: https://www.econbiz.de/10015229363
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities...
Persistent link: https://www.econbiz.de/10015213603
The argument made in this manuscript is that the two traditional macroeconomic tools, fiscal policy and monetary policy, are insufficient to bring back efficiently into equilibrium an economy that has had a major crisis. Both traditional macro-tools only work through the demand side, and there...
Persistent link: https://www.econbiz.de/10015214329