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The Taylor rule and interest rate uncertainty in the US 1970-2006
Mandler, Martin - 2009
This paper shows how to estimate forecast uncertainty about future short-term interest rates by combining a time-varying Taylor rule with an unobserved components model of economic fundamentals. Using this model I separate interest rate uncertainty into economically meaningful components that...
Persistent link: https://www.econbiz.de/10003908161
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Decomposing Federal Funds Rate forecast uncertainty using real-time data
Mandler, Martin - 2009
Using real-time data I estimate out-of-sample forecast uncertainty about the Federal Funds Rate. Combining a Taylor rule with a model of economic fundamentals I disentangle economically interpretable components of forecast uncertainty: uncertainty about future economic conditions and uncertainty...
Persistent link: https://www.econbiz.de/10003908184
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Estimating disaggregate time-varying macroeconomic uncertainty using a Dynamic Model Selection procedure
Zahran, Mohamed Samir - 2022
This paper introduces novel estimates of a time-varying firm and household economic uncertainty in a data-rich environment. Using forecasting models such as a dynamic factor model with time varying parameters instead of constant parameters would change the prediction errors and, in turn,...
Persistent link: https://www.econbiz.de/10013322091
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A Forest Full of Risk Forecasts for Managing Volatility
Kleen, Onno; Tetereva, Anastasija - 2022
, the building blocks of our forest are HAR panel models. The local HAR panel models cover the established linear …
Persistent link: https://www.econbiz.de/10013404288
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A dynamic affine factor model for the pricing of collateralized debt obligations
Eksi, Zehra; Filipović, Damir - 2013
-senior tranches. To appraise the actual performance of the model we run an estimation analysis based on the quasi-maximum likelihood …
Persistent link: https://www.econbiz.de/10009750706
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Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models
van Vlodrop, Andries - 2019
We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental … about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …
Persistent link: https://www.econbiz.de/10012896346
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Factorisable sparse tail event curves with expectiles
Härdle, Wolfgang; Huang, Chen; Chao, Shih-Kang - 2016
Persistent link: https://www.econbiz.de/10011452923
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Bank Portfolio Risk and Interest Rate Spread of Risky Loans : Methodological Analysis
Yu, Hua - 2016
Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and portfolio lending with an attempt to fill the gap...
Persistent link: https://www.econbiz.de/10012993888
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Dynamic Implied Correlation Modeling and Forecasting in Structured Finance
Löhr, Sebastian - 2015
derivatives such as synthetic single-tranche collateralized debt obligation swaps. This paper suggests a dynamic panel regression …
Persistent link: https://www.econbiz.de/10013034784
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Financial conditions, business cycle fluctuations and growth at risk
Falconio, Andrea; Manganelli, Simone - 2020
We study the macroeconomic consequences of financial shocks and increase in economic risk using a quantile vector autoregression. Financial shocks have a negative, but asymmetric impact on the real economy: they substantially increase growth at risk, but have limited impact on upside potential....
Persistent link: https://www.econbiz.de/10012295559