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Forecasting the volatilities of the Nigeria stock market prices
Ibrahim, Sikiru O. - In: CBN journal of applied statistics 8 (2017) 2, pp. 23-45
the Nigeria stock market. The EGARCH model is found to be the most efficient for forecasting volatilities and has the … years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the next four …
Persistent link: https://www.econbiz.de/10011843540
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Financial instability and economic activity
Fortin, Ines; Hlouskova, Jaroslava; Sögner, Leopold - 2021
negative impact on the economic variables for the euro area. We also perform a forecasting analysis, where we assess the merits … of uncertainty indicators for forecasting industrial production, employment and the stock market, using different … models including the original financial uncertainty index in terms of forecasting. …
Persistent link: https://www.econbiz.de/10012792745
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Turkish Lira – A Fiat Currency that Resembles the Volatility of Cryptocurrencies : The Effects of Exchange Rate Volatility on Turkish Economy
Taskinsoy, John - 2019
The dollar's dominance as the world's reserve currency was inaugurated at the 1944 Bretton Woods conference where the agreement was signed by the 44 wartime allies, but the dollar's hegemony was solidified in 1971 when US President Nixon cut the dollar's link to gold. True, the fixed exchange...
Persistent link: https://www.econbiz.de/10012892702
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The Macroeconomic Effects of Uncertainty Shocks : The Role of the Financial Channel
Popp, Aaron - 2016
This paper studies the macroeconomic effects of uncertainty shocks with an emphasis on the interaction between elevated uncertainty and credit market conditions when the economy is in different regimes (recessions vs. non-recessions). We use a smooth-transition factor-augmented vector...
Persistent link: https://www.econbiz.de/10013003975
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Central Bank Communication Choices : Adverse Selection, Volatility and Liquidity in a Market With Fast and Slow Traders
Benamar, Hedi; Chaboud, Alain; Vega, Clara - 2021
We study the impact of different central bank communication practices on the trading behavior and profitability of fast and slow traders in the foreign exchange market. We focus, in particular, on how the Bank of Japan's practice of introducing some randomness to the time at which it releases...
Persistent link: https://www.econbiz.de/10013247078
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Forecasting the real price of oil under alternative specifications of constant and time-varying volatility
Zhu, Beili - 2017
Persistent link: https://www.econbiz.de/10011746620
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Do high-frequency financial data help forecast oil prices? : the MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - 2013
obvious advantage of financial data in forecasting oil prices is their availability in real time on a daily or weekly basis … lost by ignoring high-frequency financial data in forecasting the monthly real price of oil. …
Persistent link: https://www.econbiz.de/10010203447
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Macroeconomic forecasting and structural change
Gambetti, Luca; D’Agostino, Antonello; Giannone, Domenico - 2010
The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic...
Persistent link: https://www.econbiz.de/10011605213
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Explaining the Great Moderation: it is not the shocks
Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia - 2008
This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the decline in the volatility of exogenous shocks but rather a change in their propagation mechanism.
Persistent link: https://www.econbiz.de/10011604911
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Inflation uncertainty revisited: A proposal for robust measurement
Grimme, Christian; Henzel, Steffen; Wieland, Elisabeth - 2011
Any measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled completely. This calls into question whether an individual measure delivers a reliable signal. To reduce idiosyncratic measurement error, we propose using common information...
Persistent link: https://www.econbiz.de/10010312179