It is commonly accepted that information is helpful if it can be exploited to improve a decision making process. In economics, decisions are often based on forecasts of up- or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...

Standard models of international risk sharing with complete asset markets predict a positive association between relative consumption growth and real exchange-rate depreciations across countries. The striking lack of evidence for this link - the consumption/real-exchange-rate anomaly or...

Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and...

It is commonly accepted that information is helpful if it can be exploited to improve a decision making process. In economics, decisions are often based on forecasts of up- or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...

Life in modern society is increasingly connected by networks that link the world around us and create many new opportunities, services and benefits for humanity. But at the same time, the underlying networks have created pathways through which potentially hazardous and damaging incidents can...

This paper looks at the term-structure literature to identify early signs predicting recessionary patterns in the U.S. and other developed economies. Based on the NBER and ECRI recession dates, we define the probability of recession as a function of the traditional yield spread plus a...

Carry trade refers to a risky arbitrage in interest rate differentials between two currencies. Persistent excess carry trade returns pose a challenge to foreign exchange market efficiency. Using a data set of ten currencies between 1990 and 2017, we find: (i) a machine learning model, long...

This study aims to forecast oil prices using evolutionary techniques such as gene expression programming (GEP) and artificial neural network (NN) models to predict oil prices over the period from January 2, 1986 to June 12, 2012. Autoregressive integrated moving average (ARIMA) models are...

This study uses publicly available information for European firms and recent machine learning algorithms to predict future revenues in an IFRS context, examining the benefits of predictive analytics for both preparers and users of these financial projections. For this purpose, the study...

The quantity theory of money predicts a positive relationship between monetary growth and inflation over long-run horizons. However, in the short-run, transitory shocks to either money or inflation can obscure the inflationary signal stemming from money. The spectral analysis of time series...