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Using Sentiment Surveys to Predict GDP Growth and Stock Returns

Guzman, Giselle - 2012

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10013110732

Predicting Inflation with Commodity Prices

Von zur Mühlen, Peter - 2022

This paper present a variety of approaches to estimating error-correction relationships between CPI inflation and … selected commodity price indices, based on their ability to to forecast out-of-sample predictions of CPI inflation. Depending … on specification, commodity prices have marginal value as predictors of inflation …

Persistent link: https://www.econbiz.de/10013403836

Implied Market Expectations on Interest Rate Derivatives Market

Almeida, Thiago; Arismendi-Zambrano, Juan; Reboredo, Juan C. - 2021

This paper examines the forecast power of subsets of the option-implied interest rate derivatives’ expectations. We use a string market model with three factors to extract the implied risk-neutral volatility of the short-end interest rate term structure. Using data from the Brazil derivatives...

Persistent link: https://www.econbiz.de/10013211364

Central bank forecasts and private expectations : an empirical assessment from three emerging economies

Mendonça, Helder Ferreira de; Deus, Joseph David … - In: Economic modelling 83 (2019), pp. 234-244

Persistent link: https://www.econbiz.de/10012205625

Measuring uncertainty based on rounding : new method and application to inflation expectations

Binder, Carola Conces - In: Journal of monetary economics 90 (2017), pp. 1-12

Persistent link: https://www.econbiz.de/10011799215

Real exchange rates and economic fundamentals : an investigation based on a Markov-STAR model

Bertram, Philip; Ma, Jun; Sibbertsen, Philipp - 2015

gap, inflation rate, and economic uncertainty to the smoothed probabilities through logit regressions. We find that …

Persistent link: https://www.econbiz.de/10011429933

Bioenergy and global land use change

Ciaian, Pavel; Kancsz, d'Artis; Rajcaniova, Miroslava - 2013

This is the first paper that estimates the global land use change impact of growth of the bioenergy sector. Applying time-series analytical mechanisms to fuel, biofuel and agricultural commodity prices and production, we estimate the long-rung relationship between energy prices, bioenergy...

Persistent link: https://www.econbiz.de/10009784736

From rise in B to fall in C? : environmental impact of biofuels

Piroli, Giuseppe; Rajcaniova, Miroslava; Ciaian, Pavel; … - 2014

This is the first paper that econometrically estimates the impact of the rising Bioenergy production on the global CO2 emissions. We apply a structural vector autoregression (SVAR) approach to time series with annual observation for the world biofuel production and global CO2 emissions from 1961...

Persistent link: https://www.econbiz.de/10011527194

Assessing Alternative Global Equity Investment Frameworks

Li, Xi - 2011

In establishing the foundation of their investment process, global equity investors typically adopt a framework along geographic and/or industry dimensions. The chosen framework is then applied to the whole investment process including alpha generation, portfolio construction, and risk...

Persistent link: https://www.econbiz.de/10013131001

Fundamentals or Fads? Pipes, Not Punting, Explain Commodity Prices and Volatility

Fenton, Colin P. - 2011

In assessing drivers of commodity prices and volatility at this stage of the current super-cycle in commodities (year 12 of a projected 25), it is vital to understand that production cost is a fundamental. Moreover, marginal production costs are among the most powerful drivers of commodity...

Persistent link: https://www.econbiz.de/10013120803

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