Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...

In a panel of West African countries, we investigate whether data on immigrant remittance flows can be used to improve on predictive accuracy of aggregate demand in a systematic way. The results of the prediction experiments are compared to traditional significance tests of asymmetric error...

This paper examines the relevance of incorporating seasonality in agricultural supply models. Former studies have eliminated the problem of seasonality by using seasonally adjusted data. Recent developments in cointegration techniques allow the comprehensive modelling of error-correcting...

In a panel of West African countries, we investigate whether data on immigrant remittance flows can be used to improve on predictive accuracy of aggregate demand in a systematic way. The results of the prediction experiments are compared to traditional significance tests of asymmetric error...

This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis...