This paper investigates how biases in macroeconomic forecasts are associated with economic surprises and market responses across asset classes around US data announcements. We find that the skewness of the distribution of economic forecasts is a strong predictor of economic surprises, suggesting...

Komplexe Aktien- und Wechselkurstrajektorien werden im Rahmen eines nichtlinearen dynamischen makroökonomischen Modells mit träger Outputanpassung am Gütermarkt und heterogener Erwartungsbildung auf den Assetmärkten abgeleitet. Die Implikationen des Aufeinandertreffens von Chartisten und...

Komplexe Aktien- und Wechselkurstrajektoren werden im Rahmen eines nichtlinearen dynamischen makroökonomischen Modells mit träger Outputanpassung am Gütermarkt und heterogener Erwartungsbildung auf den Assetmärkten abgeleitet. Die Implikationen des Aufeinandertreffens von Chartisten und...

An important puzzle in international finance is the failure of the forward exchange rate to be a rational forecast of the future spot rate. It has often been suggested that this puzzle may be resolved by using better statistical procedures that correct for both non-stationarity and nonnormality...

The main intention of this paper is to investigate, with new daily data, whether prices in the two Chinese stock exchanges (Shanghai and Shenzhen) follow a random-walk process as required by market efficiency. We use two different approaches, the standard variance-ratio test of Lo and MacKinlay...

It has been suggested that prior studies that have puzzlingly found forward rates to be inefficient and biased forecasts of future spot rates may be limited by inadequate statistical methodologies. Using an improved statistical methodology that accounts for both non-stationarity and...

Even though the forward-spot relationship in currency markets is very important for policy makers and for corporate and investment managers, it remains a theoretical and empirical puzzle. In theory the forward rate should be an unbiased forecast of the future spot rate, but this hypothesis has...

This study focuses on the impact of model estimation methods on earnings forecast accuracy. Compared with an ordinary least squares (OLS) regression combined with winsorization, robust regression MM-estimation improves the earnings forecast accuracy of all the models examined, especially for...

This paper uses simple monetary economic theory in order to extract implied BTC interest rates from exchange rates, interest rates and monetary supply data. Uncovered interest rate parity permits to derive a theoretical risk free BTC interest rate that is supposed to apply in a no arbitrage...

In this paper we estimate behavioural factors -- Keynes' 'animal spirits' -- in the property market. An enhanced Hidden Markov Model is used, for both the Shiller Home Price Index and a consumer confidence index. We conclude that both house prices and consumer confidence are driven by another...