Similar Search Results

The predictive ability of accounting operating cash flows: a moving window spectral analysis

Ridley, Dennis; Gist, Willie; Duke, Dennis; Flagg, James C. - In: American Journal of Finance and Accounting 1 (2008) 2, pp. 167-193

domain analysis. The implications of this and other findings for accounting and auditing are discussed. … study, Moving Window Spectral (MWS) analysis, a frequency domain approach, is applied to accounting time series data for the … aggregate data on a firm-by-firm basis. In addition, our results outperform the results previously reported in the accounting …

Persistent link: https://www.econbiz.de/10005751908

The Monetary Model Strikes Back; Evidence From the World

Cerra, Valerie; Saxena, Sweta Chaman - International Monetary Fund (IMF) - 2008

also find fundamentalsbased models very successful in beating a random walk in out-of-sample prediction. …

Persistent link: https://www.econbiz.de/10005263651

Systemic Real and Financial Risks; Measurement, Forecasting, and Stress Testing

Lucchetta, Marcella; Nicoló, Gianni De - International Monetary Fund (IMF) - 2012

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as measures of the dynamics of responses of systemic risk...

Persistent link: https://www.econbiz.de/10009654174

Do Commodity Futures Help Forecast Spot Prices?

Reichsfeld, David A; Roache, Shaun K. - International Monetary Fund (IMF) - 2011

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures...

Persistent link: https://www.econbiz.de/10009369445

Modeling Aggregate Use of Fund Resources; Analytical Approaches and Medium-Term Projections

Ghosh, Atish R.; Zalduendo, Juan; Goretti, Manuela; … - International Monetary Fund (IMF) - 2007

This paper presents two approaches to modeling the use of IMF resources in order to gauge whether the recent decline in credit outstanding is a temporary or a permanent phenomenon. The two approaches-the time series behavior of credit outstanding and a two-stage program selection and access...

Persistent link: https://www.econbiz.de/10005825617

Nonlinear Exchange Rate Models; A Selective Overview

Sarno, Lucio - International Monetary Fund (IMF) - 2003

This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...

Persistent link: https://www.econbiz.de/10005825647

Exchange Rates, Country Preferences, and Gold

Isard, Peter; Taylor, Mark P.; Dooley, Michael P. - International Monetary Fund (IMF) - 1992

This paper provides indirect tests of the hypothesis that exchange rate movements may be largely coterminus with changes in preferences for holding claims on different countries. It is argued that changes in country preferences will be reflected systematically in the price of gold and, hence,...

Persistent link: https://www.econbiz.de/10005826213

Medium-Term Exchange Rate Forecasting; What Can We Expect?

Meredith, Guy - International Monetary Fund (IMF) - 2003

The medium-term predictability of exchange rate movements is examined using three models of fundamentals: purchasing power parity, the monetary model, and uncovered interest parity. While the first two approaches yield favorable in-sample results, these largely reflect finite-sample estimation...

Persistent link: https://www.econbiz.de/10005826261

The Use of Encompassing Tests for Forecast Combinations

Kisinbay, Turgut - International Monetary Fund (IMF) - 2007

The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S....

Persistent link: https://www.econbiz.de/10005769228

Forecasting Commodity Prices; Futures Versus Judgment

Husain, Aasim M.; Bowman, Chakriya - International Monetary Fund (IMF) - 2004

This paper assesses the performance of three types of commodity price forecasts—those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear...

Persistent link: https://www.econbiz.de/10005599405

1
2
3
4
5
6
7
8
9
10
Next
Last