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The Remarkable Long-Run Conditional Predictability of US Real M1

Greene, Clinton A - 2011

This paper presents a useful approach to modeling US M1. Given the many failures in money modeling, the case for a meaningful relationship is made by forcing the model down two paths most fear to tread. First, a static cointegrating model is used to forecast over horizons well past the terminal...

Persistent link: https://www.econbiz.de/10014187399

Predicting Inflation Without Running Predictive Regressions

Hua, Jian - 2014

Inflation rates are highly persistent and extremely difficult to predict. Most statistical predictions based on predictive regressions fail to outperform the simple assumption of random walk in out-of-sample testing. The poor out-of-sample performance is a common feature of predictive...

Persistent link: https://www.econbiz.de/10013057346

Stock Market Bubbles and the Forecastability of Goldreturns (and Volatility)

Gabauer, David; Gupta, Rangan; Karmakar, Sayar; … - 2023

Firstly, we use the Multi-Scale LPPLS Confidence Indicator approach to detectboth positive and negative bubbles at … forecast gold returns and its volatility, usinga method involving block means of residuals obtained from the popular … that, our bubbles indicators,particularly when both positive and negative bubbles are considered simultaneously …

Persistent link: https://www.econbiz.de/10014353907

Estimating nonlinear heterogeneous agents models with neural networks

Kase, Hanno; Melosi, Leonardo; Rottner, Matthias - 2022

Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models feasible. These simplifications include approximating the true nonlinear dynamics of the model, disregarding aggregate uncertainty or assuming that all agents are identical. While...

Persistent link: https://www.econbiz.de/10013257224

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Learning to forecast, risk aversion, and microstructural aspects of financial stability

Biondo, Alessio Emanuele - 2018

This paper presents a simulative model of a financial market, based on a fully operating order book with limit and market orders. The heterogeneity of traders is characterized not only with regards to their trading rules, but also by introducing a behavioral individual risk aversion and a...

Persistent link: https://www.econbiz.de/10011824135

Disciplining expectations and the forward guidance puzzle

Müller, Tobias; Christoffel, Kai; Mazelis, Falk; … - 2020

argue that the reduced volatility of the agents' expectations dampens the model reactions to forward guidance shocks and …

Persistent link: https://www.econbiz.de/10012241110

Stock market bubbles and the forecastability of gold returns (and volatility)

Gabauer, David; Gupta, Rangan; Karmakar, Sayar; … - 2022

Persistent link: https://www.econbiz.de/10013253753

The effectiveness of central bank purchases of long-term treasury securities : a neural network approach

Tänzer, Alina - 2024

Central bank intervention in the form of quantitative easing (QE) during times of low interest rates is a controversial topic. This paper introduces a novel approach to study the effectiveness of such unconventional measures. Using U.S. data on six key financial and macroeconomic variables...

Persistent link: https://www.econbiz.de/10014532350

Risk of Bitcoin Market : Volatility, Jumps, and Forecasts

Hu, Junjie - 2020

as futures and options. Those will depend on the dynamics, volatility, or even the jumps of cryptos. In this paper, the … risk characteristics for Bitcoin are analyzed from a realized volatility dynamics view. The realized variance RV is …

Persistent link: https://www.econbiz.de/10012827656