The paper describes a relative entropy procedure for imposing moment restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for some variables of interest, the technique generates a new empirical distribution that satisfies a...

The paper investigates the common dynamic properties of business cycle fluctuations across countries, regions and the world. We employ a Bayesian dynamic latent factor model to estimate common components in main macroeconomic aggregates (output, consumption and investment) in a sixty-country...

This paper designs and implements a Baynesian dynamic latent factor model for a vector of data describing the Iowa economy. Posterior distributions of parameters and the latentfactor are analyzed by Markov Chain Monte Carlo methods, and coincident and leading indicators are given by posterior...

Recent studies have documented the existence of a quot;predictability smilequot; in the term structure of interest rates: spreads between long maturity rates and short rates predict subsequent movements in interest rates provided the long horizon is three months or less or if the long horizon is...

Using a unique database of daily transactions from Australian equity managers, we investigate the relation between institutional trading and share returns. The 34 institutional investors included in our sample exhibit a statistically and economically significant ability to predict large...