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Nowcasting finnish GDP growth using financial variables : a MIDAS approach
Laine, Olli-Matti; Lindblad, Annika - In: Journal of the Finnish Economic Association : JFEA 2 (2021) 1, pp. 74-108
We analyse the performance of financial market variables in nowcasting Finnish quarterly GDP growth. In particular, we … parsimonious way. We find that financial market data nowcasts Finnish GDP growth relatively well: nowcasting performance is similar … assess if prediction accuracy is affected by the sampling frequency of the financial variables. Therefore, we apply MIDAS …
Persistent link: https://www.econbiz.de/10013286502
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Nowcasting Finnish GDP growth using financial variables : a MIDAS approach
Laine, Olli-Matti; Lindblad, Annika - 2020
We analyse the performance of financial market variables in nowcasting Finnish quarterly GDP growth. Especially, we … assess if prediction accuracy is affected by the sampling frequency of the financial variables. Therefore, we apply MIDAS … models that allow us to forecast quarterly GDP growth using monthly or daily data without temporal aggregation in a …
Persistent link: https://www.econbiz.de/10012214415
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Financial variables, market transactions, and expectations as functions of risk
Olkhov, Victor - In: International Journal of Financial Studies : open … 7 (2019) 4/66, pp. 1-27
This paper develops methods and a framework of financial market theory. We model financial markets as a system of agents which perform market transactions with other agents under the action of numerous expectations. Agents’ expectations are formed of economic and financial variables, market...
Persistent link: https://www.econbiz.de/10012150388
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Sexonomics : Gender, Wealth, and Expectations in Financial Markets
Guzman, Giselle - 2013
I present evidence of systematically heterogeneous expectations, a violation of the Rational Expectations Hypothesis. I demonstrate that the expectations of different gender and wealth cohorts have different relative abilities to predict inflation, interest rates, unemployment, income, stock...
Persistent link: https://www.econbiz.de/10013076284
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A cost-benefit analysis of capital requirements for the Danish economy
Mikkelsen, Jakob Guldbæk; Pedersen, Jesper - 2017
crises have persistent effects on GDP. We find the present value of output losses to be around 84 percent. A reduction in the … GDP. Based on Danish data and using models for the Danish economy, we thus confirm findings in studies for other economies …
Persistent link: https://www.econbiz.de/10011778734
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Doubly multiplicative error models with long- and short-run components
Amendola, Adalgiso; Candila, V.; Cipollini, F.; Gallo, … - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014528556
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Forecasting recovery from COVID-19 using financial data : an application to Viet Nam
Lastunen, Jesse; Richiardi, Matteo - 2021
We develop a new methodology to nowcast the effects of the COVID-19 crisis and forecast its evolution in small, export-oriented countries. To this aim, we exploit variation in financial indexes at the industry level and relate them to the expected duration of the crisis for each industry, under...
Persistent link: https://www.econbiz.de/10012545677
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Learning, equilibrium trend, cycle, and spread in bond yields
Zhao, Guihai - 2020 - Last updated: April 7, 2020
from the stable components in GDP growth and inflation, which share similar patterns to the neutral rate of interest (R … learning from the transitory components in GDP growth and inflation. The less-frequent inverted yield curves observed after the …
Persistent link: https://www.econbiz.de/10012201422
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Ambiguity, nominal bond yields and real bond yields
Zhao, Guihai - 2018
Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth. Ambiguity can help resolve...
Persistent link: https://www.econbiz.de/10011864574
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EU taxonomy increasing transparency of sustainable investments
Schütze, Franziska; Stede, Jan; Blauert, Marc; … - In: DIW weekly report : economy, politics, science : a … 10 (2020) 51, pp. 485-492
By developing a taxonomy for sustainable investments, the EU Commission has created the first standardized criteria for climate-friendly economic activities.To achieve the goal of climate neutrality by 2050, firms and investors must be well informed of which investments avoid greenhouse gas...
Persistent link: https://www.econbiz.de/10012390069