This paper revisits the relationships among macroeconomic variables and asset returns. Based on recent developments in econometrics, we categorize competing models of asset returns into different "Equivalence Predictive Power Classes" (EPPC). During the pre-crisis period (1975-2005), some models...

This paper attempts to contribute in several ways. Theoretically, it proposes simple models of house price dynamics and construction dynamics, all based on forward-looking agents' maximization problems, which may carry independent interests. Simplified version of the model implications are...

This paper introduces "Terraced" Vector Autoregressive (VAR) models, an innovative twist on traditional VAR modeling which allows the econometrician to simultaneously forecast both exogenous and endogenous variables and the confidence intervals around those forecasts.In an application of our...

Civil unrest is a powerful form of collective human dynamics, which has led to major transitions of societies in modern history. The study of collective human dynamics, including collective aggression, has been the focus of much discussion in the context of modeling and identification of...

We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and international) for the years 1998 to 2013. We explicitly use the ragged-edge data structure and consider the different information sets faced by a regional forecaster within each...

In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a large data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden- Württemberg) and Eastern Germany. We overcome the problem of a...

This paper applies component-wise boosting to the topic of regional economic forecasting. Component-wise boosting is a pre-selection algorithm of indicators for forecasting. By using unique quarterly real gross domestic product data for two German states (the Free State of Saxony and...

In this paper we evaluate the forecasting power of employment expectations for total employment in 15 European states. Our data cover the period from 1998Q1 to 2012Q4. With in-sample and pseudo out-of-sample exercises we find that for most of the European states considered, the survey–based...

We use a large data set of over 12 million residential mortgages observed over time to investigate the loan default behavior in several European countries. We model the occurrence of default as a function of borrower characteristics, loan-specific variables, and a set of local economic...