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On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven

Herwartz, Helmut - 2003

as semiparametric time series models are evaluated in terms of fitting and ex ante forecasting. The overall impact of …

Persistent link: https://www.econbiz.de/10010296439

Forecasting sectoral trade growth under flexible exchange rates

Herwartz, Helmut; Weber, Henning - 2003

-ante forecasting. In this paper we analyze the impact of exchange rate uncertainty on specific categories of exports and imports for 13 …. Parametric threshold models are found to outperform linear regression models in terms of fitting and ex-ante forecasting. In …

Persistent link: https://www.econbiz.de/10010296440

A systematic comparison of professional exchange rate forecasts with judgmental forecasts of novices: Are there substantial differences?

Schmidt, Robert; Leitner, Johannes - 2004

markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences …

Persistent link: https://www.econbiz.de/10010296526

What Determines the ZEW Indicator?

Hüfner, Felix P.; Lahl, David - 2003

This paper analyzes which factors are driving the ZEW Indicator of Economic Sentiment. Using the results of a poll among survey participants as well as Granger causality tests we identify three groups of influence factors: other sentiment indicators, financial variables and real economy data. In...

Persistent link: https://www.econbiz.de/10010297299

Real-time price discovery in stock, bond and foreign exchange markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

Persistent link: https://www.econbiz.de/10010298290

Can Markov-regime switching models improve power price forecasts? Evidence for German daily power prices

Kosater, Peter; Mosler, Karl - 2005

Nonlinear autoregressive Markov regime-switching models are intuitive and frequently proposed time series approaches for the modelling of electricity spot prices. In this paper such models are compared to an ordinary linear autoregressive model with regard to their forecast performance. The...

Persistent link: https://www.econbiz.de/10010298427

Factor forecasting using international targeted predictors: the case of German GDP

Schumacher, Christian - 2009

This paper considers factor forecasting with national versus factor forecasting withinternational data. We forecast … estimation using targeted predictors following Bai and Ng [Forecasting economic time series using targeted predictors, Journal of … Econometrics 146 (2008), 304-317]. The results are as follows: Forecasting without data preselection favours the use of German data …

Persistent link: https://www.econbiz.de/10010298757

Forecasting national activity using lots of international predictors: an application to New Zealand

Eickmeier, Sandra; Ng, Tim - 2009

in the international data. The largest forecasting accuracy gains from including international predictors are at longer … forecast horizons. The forecasting performance achievable with the data-rich methods differs widely, with shrinkage methods and …

Persistent link: https://www.econbiz.de/10010298758

Does the financial market believe in the Phillips Curve? Evidence from the G7 countries

Fendel, Ralf; Lis, Eliza M.; Rülke, Jan-Christoph - 2008

This paper uses monthly survey data for the G7 countries for the time period 1989 - 2007 to explore the link between expectations on nominal wages, prices and unemployment rate as suggested by the traditional and Samuelson-and-Solow-type Phillips curve. Three major findings stand out: First, we...

Persistent link: https://www.econbiz.de/10010300140

Using wavelets for time series forecasting: Does it pay off?

Schlüter, Stephan; Deuschle, Carola - 2010

incorporating the wavelet transform in existing forecasting methods can improve their quality. The article aims to verify this by … characteristics. We find that wavelets do improve the forecasting quality. Depending on the data's characteristics and on the … forecasting horizon we either favour a denoising step plus an ARIMA forecast or an multiscale wavelet decomposition plus an ARIMA …

Persistent link: https://www.econbiz.de/10010300727