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Forecasting monetary policy rules in South Africa

Naraidoo, Ruthira; Paya, Ivan - In: International Journal of Forecasting 28 (2012) 2, pp. 446-455

that there are gains from semiparametric models in forecasting the interest rates as the forecasting horizon lengthens. …

Persistent link: https://www.econbiz.de/10010577328

The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production

Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2001

we examine the forecasting performance of various models for seasonality and nonlinearity using quarterly industrial …. In addition, business cycle nonlinearity is a prominent feature of many such series too. A forecaster can nowadays … production series for 17 OECD countries. We find that forecasting performance varies widely across series, across forecast …

Persistent link: https://www.econbiz.de/10008570605

Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy

Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2003

found to perform better in out-of-sample forecasting than a benchmark linear model. An empirical illustration for US GDP …

Persistent link: https://www.econbiz.de/10008584688

Studies in Time Series Analysis of Consumption, Asset Prices and Forecasting

Takala, Kari - Suomen Pankki - 2001

, and forecasting. The papers apply techniques related to the analysis of unit roots and cointegration methods. <p> The … first paper deals with consumption theories and formulates an error-correction forecasting model for consumption. A single … variables can be in forecasting variables such as consumption and inflation. <p> The first paper on asset prices, is based on …

Persistent link: https://www.econbiz.de/10008774212

Forecasting Monetary Policy Rules in South Africa

Naraidoo, Ruthira; Paya, Ivan - Economic Research Southern Africa (ERSA) - 2010

rule specifications as well as nonparametric and semiparametric models in forecasting the nominal interest rate setting … semiparametric models in forecasting the interest rates as the forecasting horizon lengthens. …

Persistent link: https://www.econbiz.de/10008643862

A Perspectiveon Predicting Currency Crises

Flood, Robert P.; Yepez, Juan; Marion, Nancy P. - International Monetary Fund (IMF) - 2010

Currency crises are difficult to predict. It could be that we are choosing the wrong variables or using the wrong models or adopting measurement techniques not up to the task. We set up a Monte Carlo experiment designed to evaluate the measurement techniques. In our study, the methods are given...

Persistent link: https://www.econbiz.de/10008680277

Reviving the Competitive Storage Model; A Holistic Approach to Food Commodity Prices

Funke, Norbert; Wu, Weifeng; Miao, Yanliang - International Monetary Fund (IMF) - 2011

We revive in this paper the empirical relevance of the competitive storage model by taking a holistic approach to food commodity prices. We augment the seminal Deaton and Laroque (1992, 1996) model by incorporating more comprehensive and realistic supply and demand factors: output and demand...

Persistent link: https://www.econbiz.de/10008876584

An exponential FISTAR model applied to the US real effective exchange rate

Boutahar, Mohamed; Mootamri, Imene; Peguin-Feissolle, Anne - HAL - 2007

The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and …

Persistent link: https://www.econbiz.de/10008794103

A fractionally integrated exponential STAR model applied to the US real effective exchange rate

Boutahar, Mohamed; Mootamri, Imene; Peguin-Feissolle, Anne - HAL - 2008

The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and …

Persistent link: https://www.econbiz.de/10008794371

Forecasting Monetary Policy Rules in South Africa

Naraidoo, R; Paya, I - Department of Economics, Management School - 2010

rule speci.cations as well as nonparametric and semiparametric models in forecasting the nominal interest rate setting that … forecasting the interest rates as the forecasting horizon lengthens. …

Persistent link: https://www.econbiz.de/10011165906