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Fiscal policy, trigger points and interest rates: Additional evidence from the U.S.
Reitschuler, Gerhard; Sendlhofer, Rupert - 2011
We empirically investigate whether the relationship between interest rates and public deficits/debt may be nonlinear for the U.S. Using threshold estimation, we find evidence of level-dependent effects on interest rates, implying a significant effect of projected deficits and debt in the U.S....
Persistent link: https://www.econbiz.de/10010294827
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Can a Taylor rule better explain the Fed's monetary policy through the 1920s and 1930s? : a nonlinear cliometric analysis
Damette, Olivier; Jawadi, Fredj; Parent, Antoine - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-18
Persistent link: https://www.econbiz.de/10011966097
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Modeling and Predicting the EUR/USD Exchange Rate: The Role of Nonlinear Adjustments to Purchasing Power Parity
Cuaresma, Jesús Crespo; Orthofer, Anna - In: Monetary Policy & the Economy (2010) 2, pp. 64-76
alternative nonlinear formulations outperform them for forecasting purposes. We find that the theory of nonlinear adjustment to …
Persistent link: https://www.econbiz.de/10008527035
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Some million thresholds: Nonlinearity and cross-country growth regressions
Cuaresma, Jesus Crespo - Royal Economic Society - RES - 2003
nonlinearity in the specification of the data generating process. The nonlinearity is modelled as regime-dependent parameter … generalization of the procedure in Sala-i-Martin (American Economic Review, 1997), strong evidence of nonlinearity is found for …
Persistent link: https://www.econbiz.de/10005577116
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Fiscal policy, trigger points and interest rates: Additional evidence from the U.S.
Reitschuler, Gerhard; Sendlhofer, Rupert - Institut für Finanzwissenschaft, Fakultät für … - 2011
We empirically investigate whether the relationship between interest rates and public deficits/debt may be nonlinear for the U.S. Using threshold estimation, we find evidence of level-dependent effects on interest rates, implying a significant effect of projected deficits and debt in the U.S....
Persistent link: https://www.econbiz.de/10010617819
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Forecast Accuracy of a BVAR under Alternative Specifications of the Zero Lower Bound
Berg, Tim Oliver - 2015
, estimatedshrinkage, and no nonlinearity. Then I entertain alternative specifications of the zerolower bound: replace the federal funds … dealwith the nonlinearity in the policy rate. Since the policy rate will remain low for sometime, these findings could prove …
Persistent link: https://www.econbiz.de/10011388143
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Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates
Reif, Magnus - 2018
Can information on macroeconomic uncertainty improve the forecast accuracy for key macroeconomic time series for the US? Since previous studies have demonstrated that the link between the real economy and uncertainty is subject to nonlinearities, I assess the predictive power of macroeconomic...
Persistent link: https://www.econbiz.de/10011956668
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The Current Depth-of-Recession and Unemployment-Rate Forecasts
Parker, Randall E.; Rothman, Philip - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4
Building upon Beaudry and Koop's (1993) analysis, we consider a "current depth of the recession" (CDR) variable in modeling the time-series behavior of the postwar quarterly U.S. unemployment rate. The CDR approach is consistent with the state-dependent behavior in the unemployment rate...
Persistent link: https://www.econbiz.de/10014620807
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Studies in time series analysis of consumption, asset prices and forecasting
Takala, Kari - 2001
Sisällysluettelo: Kari Takala Studies in time series analysis of consumption, asset prices and forecasting 11 Kari … seven papers deals with three different areas of econometric applications: consumption, asset prices, and forecasting … consumption theories and formulates an error-correction forecasting model for consumption.A single cointegration relationship is …
Persistent link: https://www.econbiz.de/10012148886
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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …
Persistent link: https://www.econbiz.de/10011303289