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An Investigation of the Effects of Data Transformation on Nonlinearity

Marrocu, Emanuela - In: Empirical Economics 31 (2006) 4, pp. 801-820

Persistent link: https://www.econbiz.de/10005758364

Regime-dependent commodity price dynamics: A predictive analysis

Crespo Cuaresma, Jesús; Fortin, Ines; Hlouskova, Jaroslava - 2021

We develop an econometric modelling framework to forecast commodity prices taking into account potentially different dynamics and linkages existing at different states of the world and using different performance measures to validate the predictions. We assess the extent to which the quality of...

Persistent link: https://www.econbiz.de/10012416126

The role of the threshold effect for the dynamics of futures and spot prices of energy commodities

Rubaszek, Michal; Karolak, Zuzanna; Kwas, Marek; Uddin, … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 5, pp. 1-20

Persistent link: https://www.econbiz.de/10012406037

Regime-dependent commodity price dynamics : a predictive analysis

Crespo Cuaresma, Jesús; Fortin, Ines; Hlouskova, Jaroslava - 2021

Persistent link: https://www.econbiz.de/10012415910

Financial interval time series modelling and forecasting using threshold autoregressive models

Maciel, Leandro - In: International journal of business innovation and research 19 (2019) 3, pp. 285-303

Persistent link: https://www.econbiz.de/10012108746

On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland

Sznajderska, Anna - Narodowy Bank Polski - 2012

This paper empirically examines the potential asymmetries in the interest rate pass-through in Poland. We investigate the chosen retail interest rates in commercial banks on deposits and loans denominated in the Polish currency. It is considered whether their adjustment to changes in interbank...

Persistent link: https://www.econbiz.de/10010543159

Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models

Ascari, G.; Marrocu, E. - Centro Ricerche Nord Sud (CRENoS) - 2003

The aim of this paper is to analyze the forecasting performance of alternative model for the US inflation rate over the … the series, although in terms of MSFE the Phillips curve specification can yield noticeable forecasting gains for medium … and long term horizons. Previous finding on the forecasting superiority of the simple naïve model are confuted. …

Persistent link: https://www.econbiz.de/10005037589

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

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

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