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The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...
Persistent link: https://www.econbiz.de/10010907568
The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market...
Persistent link: https://www.econbiz.de/10010958584
values and the forecasts provided by the European Commission, the National Commission for Prognosis and Dobrescu’s model over … predictions of these models and naive forecasts brought a statistically significant improvement for projections made by Romanian …
Persistent link: https://www.econbiz.de/10010959958
The main objective of this study is to make a comparative analysis of inflation convergence in Central-Eastern European countries (CEE countries) during the economic crisis over 2008-2013. For Bulgaria, Czech Republic, Hungary, Poland, Romania and Slovakia the inflation convergence has decreased...
Persistent link: https://www.econbiz.de/10010929269
explicitly in literature as a source of forecasts uncertainty. In this study based on data on U.S. GDP and its components in 1995 …-2010, we found that GDP one-step-ahead forecasts made by aggregating the components with variable weights, modeled using ARMA … procedure, have a higher accuracy than those with constant weights or the direct forecasts. Excepting the GDP forecasts obtained …
Persistent link: https://www.econbiz.de/10010934754
calculation at the individual level. This document describes the implementation method and the results of the forecasts. First, on …
Persistent link: https://www.econbiz.de/10010575229
Macroeconomic expectations of various economic agents are characterized by substantial crosssectional heterogeneity. This chapter focuses on heterogeneity in the expectations among professional forecasters, first presenting stylized facts and discussing theoretical explanations for heterogeneous...
Persistent link: https://www.econbiz.de/10015117571
-based forecasts would have had prior and during the crisis period. Given that forecasts of the mean of interest rates or financial … a rolling window analysis, both the model’s forecasts and joint prediction bands are calculated making use of recently …
Persistent link: https://www.econbiz.de/10010837046
The specialists paid a special attention to credit growth in the transitions countries due to its sharp increase during the last years. However, once the financial crisis started in 2008, the credit activity evolution reversed. Consequently, forecasting the credit trend has become a subject of...
Persistent link: https://www.econbiz.de/10005037748
content of a large number of financial variables for Canada's output growth. The forecasts are evaluated over two identified …
Persistent link: https://www.econbiz.de/10005040609