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Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia

Söderberg, Jonas - Centrum för arbetsmarknadspolitisk forkskning (CAFO), … - 2008

This paper evaluates 14 macroeconomic variables’ ability to forecast changes in monthly liquidity on the Scandinavian order-driven stock exchanges. Every macroeconomic variable is evaluated both out-of-sample and in-sample and against three different benchmark models of market variables and...

Persistent link: https://www.econbiz.de/10004991062

Measuring monetary policy expectations from financial market instruments

Joyce, Michael; Relleen, Jonathan; Sorensen, Steffen - Bank of England - 2008

This paper reviews the main instruments and associated yield curves that can be used to measure financial market participants' expectations of future UK monetary policy rates. We attempt to evaluate these instruments and curves in terms of their ability to forecast policy rates over the period...

Persistent link: https://www.econbiz.de/10004992448

FUZZY LOGIC APPROACH TO IDENTIFICATION AND FORECASTING OF FINANCIAL TIME SERIES USING ELLIOTT WAVE THEORY

Matviychuk, Andriy - In: Fuzzy Economic Review XI (2006) 2, pp. 51-68

There are developed the approach and the model of identification and forecasting of financial indexes using methods of … carried out analysis of forecasting results on real data con-firms the reliability and high effective-ness of the developed …

Persistent link: https://www.econbiz.de/10004992711

The Composite Index of Leading Economic Indicators: How to Make it More Timely

McGuckin, Robert H.; Ozyildirim, Ataman; Zarnowitz, Victor - The Conference Board - 2000

, across a variety of simple forecasting models, the new approach offers substantial improvements. …

Persistent link: https://www.econbiz.de/10004992994

A More Timely and Useful Index of Leading Indicators

McGuckin, Robert H.; Ozyildirim, Ataman; Zarnowitz, Victor - The Conference Board - 2003

forecasting, the U.S. leading index has long been used to analyze and predict economic fluctuations. We describe and test a new …

Persistent link: https://www.econbiz.de/10004992995

Ansätze einer Algorithmischen Anwendung Quantititiver Verfahren zur Effizienten Bedarfsprognose von Vorprodukten. Erste Ergebnisse Einer Empirischen Untersuchung

Cleff, Thomas; Wust, Kirsten - In: Scientific Symposium Pforzheim 29 (2008), pp. 95-113

Zufällig schwankende Nachfragen nach Vorprodukten bzw. Teilen und Komponenten machen die Verwendung von stochastischen Modellen der Lagerhaltung notwendig. Das vorliegende Papier beschreibt einen standardisierten algorithmischen Ansatz, mit dem der Verbrauch von Vorprodukten für die Zeiträume...

Persistent link: https://www.econbiz.de/10004993560

The Taylor rule and forecast intervals for exchange rates

Wang, Jian; Wu, Jason J. - Federal Reserve Bank of Dallas - 2008

-of-sample interval forecasting. Most studies in the literature focus on point forecasts. In this paper, we apply Robust Semi …-parametric (RS) interval forecasting to a group of Taylor rule models. Forecast intervals for twelve OECD exchange rates are … fundamentals: economic variables contain information useful in forecasting the distributions of exchange rates. The benchmark …

Persistent link: https://www.econbiz.de/10004993850

Forecasts of inflation for VAR models

Webb, Roy H. - Federal Reserve Bank of Richmond - 1994

Why are forecasts of inflation from VAR models so much worse then their forecasts of real variables? This paper documents that relatively poor performance, and finds that the price equation of a VAR model fitted to U.S. postwar data is poorly specified. Statistical work by other authors has...

Persistent link: https://www.econbiz.de/10004993993

Interest rates, expectations, and the Wicksellian policy rule

Humphrey, Thomas M. - Federal Reserve Bank of Richmond - 1975

Prominent among older theories of inflation is the view that a rising price level stems from a divergence between two rates of interest.

Persistent link: https://www.econbiz.de/10004994068

Forecasting Unemployment Rate Using a Neural Network with Fuzzy Inference System

Atsalakis, George; Ucenic, Camelia Ioana; Skiadas, Christos - Department of Economics, University of Crete - 2008

Greece is a low-productivity economy with an ineffective welfare state, relying almost exclusively on low wages and social transfers. Failure to come to terms with this reality hampers both the appropriateness of EU recommendations and the Greek government's capacity to deal with unemployment....

Persistent link: https://www.econbiz.de/10004994314