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Stock return predictability in Iranian stock market: The application of multifactor and autoregressive models
RAHIMI, Mohammad; SHAHABADI, Aboulfazl - In: Theoretical and Applied Economics XVIII(2014) (2014) 2(591), pp. 77-86
:01 to 2011:12. We find evidence that the predictability of Iranian stock market is at high level. The results shows that the …
Persistent link: https://www.econbiz.de/10010751390
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Habit Formation and Persistence in Individual Asset Portfolio Holdings; The Case of Italy
Muñoz, Sònia - International Monetary Fund (IMF) - 2006
This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in a multinomial framework. I focus on a...
Persistent link: https://www.econbiz.de/10005605275
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PPP Strikes Back; Aggregation and the Real Exchange Rate
Mumtaz, Haroon; Imbs, Jean; Ravn, Morten O.; Rey, Helene - International Monetary Fund (IMF) - 2003
We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When...
Persistent link: https://www.econbiz.de/10005248142
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The Monetary Model Strikes Back; Evidence From the World
Cerra, Valerie; Saxena, Sweta Chaman - International Monetary Fund (IMF) - 2008
We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentalsbased models very successful in...
Persistent link: https://www.econbiz.de/10005263651
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Empirical Exchange Rate Models of the Nineties; Are Any Fit to Survive?
Cheung, Yin-Wong; Pascual, Antonio Garcia; Chinn, … - International Monetary Fund (IMF) - 2004
We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity and the sticky-price monetary model. The models are estimated in first-difference...
Persistent link: https://www.econbiz.de/10005263978
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Dynamic return predictability in the Russian stock market
Kinnunen, Jyri - In: Emerging Markets Review 15 (2013) C, pp. 107-121
information flow. In general, predictability of the Russian stock market return is at a high level. Autocorrelation increases …This paper explores whether the relevance of a conditional multifactor model and autocorrelation in predicting the … Russian aggregate stock return fluctuates over time. The source of return predictability is shown to vary considerably with …
Persistent link: https://www.econbiz.de/10010666220
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Fiscal Policy Implementation in Sub-Saharan Africa
Lledo, Victor Duarte; Poplawski-Ribeiro, Marcos - International Monetary Fund (IMF) - 2011
This paper investigates economic, political, and institutional constraints to fiscal policy implementation in sub-saharan Africa. We find that planned fiscal adjustments or expansions are less likely to be implemented the larger they are, the more inaccurate the growth forecasts they are based...
Persistent link: https://www.econbiz.de/10009203550
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Medium-Term Exchange Rate Forecasting; What Can We Expect?
Meredith, Guy - International Monetary Fund (IMF) - 2003
The medium-term predictability of exchange rate movements is examined using three models of fundamentals: purchasing … predictability, consistent with the lack of systematic improvement in out-of-sample forecasting performance relative to a random walk … predictability. …
Persistent link: https://www.econbiz.de/10005826261
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Ghostbusting; Which Output Gap Measure Really Matters?
Billmeier, Andreas - International Monetary Fund (IMF) - 2004
This paper investigates various output gap measures in a simple inflation forecasting framework. Reflecting the cyclical position of an economy, an (unobservable) output gap has important implications for economic analysis. I construct and compare common output gap measures for five European...
Persistent link: https://www.econbiz.de/10005826587
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An Evaluation of the World Economic Outlook Forecasts
Timmermann, Allan - International Monetary Fund (IMF) - 2006
The World Economic Outlook (WEO) is a key source of forecasts of global economic conditions. It is therefore important to review the performance of these forecasts against both actual outcomes and alternative forecasts. This paper conducts a series of statistical tests to evaluate the quality of...
Persistent link: https://www.econbiz.de/10005769333