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Long-term interest rate predictability : exploring the usefulness of survey forecasts of growth and inflation

Baghestani, Hamid - In: Cogent economics & finance 7 (2019) 1, pp. 1-12

This study focuses on the consensus forecasts from the Survey of Professional Forecasters (SPF) for 1993-2017. These include the SPF forecasts of US 10-year Treasury rate (TBR), Moody's Aaa corporate bond rate (Aaa), CPI inflation, and real GDP growth. We show that both SPF and random walk...

Persistent link: https://www.econbiz.de/10012023359

Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?

Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...

Persistent link: https://www.econbiz.de/10003727414

Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy : conference paper

Pierdzioch, Christian; Rohloff, Sebastian; Risse, Marian - 2014

Economic theory predicts that, in a small open economy, the dynamics of the real price of gold should be linked to real interest rates and the rate of change of the real exchange rate. Using data for Australia, we use a real-time forecasting approach to analyze whether real interest rates and...

Persistent link: https://www.econbiz.de/10010485282

Predicting Corporate Bond Illiquidity via Machine Learning

Cabrol, Axel; Drobetz, Wolfgang; Otto, Tizian; Puhan, … - 2023

This paper examines the predictive performance of machine learning methods in estimating the illiquidity of U.S. corporate bonds. We compare the predictive performance of machine learning-based estimators (linear regressions, tree-based models, and neural networks) to that of the most commonly...

Persistent link: https://www.econbiz.de/10014349917

Evaporating Liquidity

Nagel, Stefan - 2011

liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time … Ratios during times of high VIX. The results point to withdrawal of liquidity supply, and an associated increase in the … expected returns from liquidity provision, as a main driver behind the evaporation of liquidity during times of financial …

Persistent link: https://www.econbiz.de/10013133779

Comparing Models of Corporate Bankruptcy Prediction : Distance to Default vs. Z-Score

Miller, Warren - 2009

This paper examines the performance of two commonly applied bankruptcy prediction models, the accounting ratio-based Altman Z-Score model, and the structural Distance to Default model which currently underlies Morningstar's Financial Health Grade for public companies (Morningstar 2008)....

Persistent link: https://www.econbiz.de/10013156771

Aggregate Analyst Forecast Errors, Stock Market Liquidity, and the Economy

Lin, Ji-Chai - 2018

(enter) the market. As the number of uninformed investors decreases (increases), stock market liquidity deteriorates … (improves). Based on this reasoning, we show that – predictable AAFE is a driving force of time-varying stock market liquidity … – and also an important channel through which stock market liquidity incorporates macroeconomic information …

Persistent link: https://www.econbiz.de/10012928237

Climate-related default probabilities

Blanc-Blocquel, Augusto; Ortiz-Gracia, Luis; Sanfelici, … - In: Risks : open access journal 12 (2024) 11, pp. 1-19

Climate risk refers to the risks associated with climate change and has already started to impact various sectors of the economy. In this work, we focus on the impact of physical risk on the probability of default for a firm in the agribusiness sector. The probability of default is estimated...

Persistent link: https://www.econbiz.de/10015137901

Discount Factor in Analyst’s Notes in Russian Capital Market (37 Analytical Teams) : Testing Predicted Beta with Liquidity Adjustment

Teplova, Tamara - 2012

(measured by market capitalization) and liquidity (measured by the free-float coefficient), the values of the beta coefficients …

Persistent link: https://www.econbiz.de/10013113257

Economic valuation of liquidity timing

Karstanje, Dennis; Sojli, Elvira; Tham, Wing Wah; Wel, … - 2013

Persistent link: https://www.econbiz.de/10010191204