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Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment
Wang, Mu-Chun - 2008
In this paper, we put DSGE forecasts in competition with factor forecasts. We focus on these two models since they represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic background; the factor model on the other hand is mainly...
Persistent link: https://www.econbiz.de/10010295876
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The "Employment Intensity" of Growth in Europe
Döpke, Jörg - 2001
sector, and labor market flexibility. A clear-cut importance of exchange rate volatility cannot be found. Some conclusions …
Persistent link: https://www.econbiz.de/10010260482
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Classical and Bayesian estimation of volatility in the Black-Scholes model
Cangrejo Esquivel, Alvaro Javier; Tovar Cuevas, José Rafael - In: Revista de Métodos Cuantitativos para la Economía y … 34 (2022), pp. 237-262
volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation … of the volatility parameter for an asset using methods of the Bayesian approach to statistics. As prior distributions for … volatility parameter, models of the Gamma family and the Standard Levy are assumed. The results obtained using the proposed …
Persistent link: https://www.econbiz.de/10014494469
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A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...
Persistent link: https://www.econbiz.de/10010293743
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The long-run Fisher effect: Can it be tested?
Jensen, Mark J. - 2006
Empirical support for the long-run Fisher effect, a hypothesis that a permanent change in inflation leads to an equal change in the nominal interest rate, has been hard to come by. This paper provides a plausible explanation of why past studies have been unable to find support for the long-run...
Persistent link: https://www.econbiz.de/10010292360
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The Maastricht criteria and the euro: Has the convergence continued?
Polasek, Wolfgang; Amplatz, Christian - 2003
We analyze the performance of the Maastricht convergence criteria (inflation, long-term interest rate, annual and overall public debt) of the European Monetary Union (EMU) that led to the introduction of the Euro on Jan. 1st 1999 as book currency. Defining 3 regimes, 1992-97, 1997-1999 and...
Persistent link: https://www.econbiz.de/10010292736
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Cross sections are history
Easterlin, Richard A. - 2013
Although cross section relationships are often taken to indicate causation, and especially the important impact of economic growth on many social phenomena, they may, in fact, merely reflect historical experience, that is, similar leader-follower country patterns for variables that are causally...
Persistent link: https://www.econbiz.de/10010293135
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How good are dynamic factor models at forecasting output and inflation? A meta-analytic approach
Ziegler, Christina; Eickmeier, Sandra - 2006
This paper surveys existing factor forecast applications for real economic activity and inflation by means of a meta-analysis and contributes to the current debate on the determinants of the forecast performance of large-scale dynamic factor models relative to other models. We find that, on...
Persistent link: https://www.econbiz.de/10010295831
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The East German Cement Cartel : An Inquiry into Comparable Markets, Industry Structure, and Antitrust Policy
Veltins, Michael A.; Schaller, Armin; Blum, Ulrich - 2004
Maintaining sufficient levels of competition ranks among the core interests of any national – and increasingly international – antitrust policy; however, the formal proof that a cartel really functioned economically and did not only exist in a legal sense is hard to deliver: market power is...
Persistent link: https://www.econbiz.de/10010296779
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Do gasoline prices converge in a unified Europe with non-harmonized tax rates?
Dreher, Axel; Krieger, Tim - 2004
The paper presents univariate and panel unit root tests for gasoline and oil price convergence over the last decade. We test for the absolute versus relative version of the LOOP and estimate the speed of convergence as well as its development over time. Our results show that the absolute version...
Persistent link: https://www.econbiz.de/10010297097