The Queen of England famously asked her economic advisers why none of them had seen it (the global financial crisis) coming. Obviously, the answer is complex, but it must include reference to the evolution of macroeconomic theory over the postwar period - from the Age of Keynes, through the...

The study aims at simulating and forecasting a company's stock returns and prices by a fundamentalist analysis process based on a Vector Error Correction with Exogenous Variables (VECX) econometric model. To achieve this, we selected relevant fundamentalist indicators and specified a model...

This paper considers methods for forecasting macroeconomic time series in a framework where the number of predictors, N, is too large to apply traditional regression models but not sufficiently large to resort to statistical inference based on double asymptotics. Our interest is motivated by a...

The DSGE models are based on hypotheses that have the effect of excluding the possibility of severe financial and economic crises with the consequent policy implications going in the laissez-faire direction. The hypothesized unique and stable equilibrium in combination with rational expectations...

This paper proposes a generalized arbitrage-free macro finance term structure model with both Nelson-Siegel latent yield factors and observable macro factors. Two subclasses are derived: spanned and unspanned models. In the spanned model, the yields are determined by both the Nelson-Siegel yield...

The IS-ML model is a basic tool in teaching short-term macroeconomics. Teaching is essentially done through the use of graphs. However, the way these graphs are traditionally taught does not allow the learner to easily visualise changes in the curves. The IS-LM simulation program overcomes the...

In this paper we discuss the role of the cross-sectional heterogeneity of beliefs in the context of understanding and assessing macroeconomic vulnerability. Emphasis lies on the potential of changing levels of disagreement in expectations to influence the propensity of the economy to switch...

This paper shows that dynamic inefficiency can occur in dynamic general equilibrium models with fully optimizing, infinitely-lived households even in a situation with underinvestment. We identify necessary conditions for such a possibility and illustrate it in a standard R&D-based growth model....