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Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.

Amisano, Gianni; Savona, Roberto - 2008

Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...

Persistent link: https://www.econbiz.de/10011604927

Forecasting world trade: direct versus “bottom-up” approaches

Burgert, Matthias; Dées, Stéphane - 2008

In a globalised world economy, global factors have become increasingly important to explain trade flows at the expense of country-specific determinants. This paper shows empirically the superiority of direct forecasting methods, in which world trade is directly forecasted at the aggregate...

Persistent link: https://www.econbiz.de/10011604928

The role of country-specific trade and survey data in forecasting euro area manufacturing production: perspective from large panel factor models

Darracq Pariès, Matthieu; Maurin, Laurent - 2008

(2002a, 2002b) and Forni et al. (2005). Third, a rolling out of sample forecast comparison exercise is carried out on nine … that incorporating survey and external trade information improves the forecast of manufacturing production. They also …

Persistent link: https://www.econbiz.de/10011604940

Flow of conjunctural information and forecast of euro area economic activity

Drechsel, Katja; Maurin, Laurent - 2008

Euro area GDP and components are nowcast and forecast one quarter ahead. Based on a dataset of 163 series comprising … Giannone, Reichlin and Small (2006) and Banbura and Rünstler (2007). An out-of-sample forecast comparison exercise is also … carried out for each component and GDP directly. The forecast performance is found to vary widely across components. Two …

Persistent link: https://www.econbiz.de/10011604971

Should quarterly government finance statistics be used for fiscal surveillane in Europe?

Pedregal, Diego J.; Pérez, Javier J. - 2008

We use a newly available dataset of euro area quarterly national accounts fiscal data and construct multi-variate, state-space mixed-frequencies models for the government deficit, revenue and expenditure in order to assess its information content and its potential use for fiscal forecasting and...

Persistent link: https://www.econbiz.de/10011604983

Short-term forecasts of euro area GDP growth

Angelini, Elena; Camba-Méndez, Gonzalo; Giannone, Domenico - 2008

Global financial integration unlocks a huge potential for international risk sharing. We examine the degree to which international equity holdings act as a risk sharing device in industrial and emerging economies. We split equity returns into investment income (dividend distribution) and capital...

Persistent link: https://www.econbiz.de/10011604995

Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts

Mestre, Ricardo; McAdam, Peter - 2008

-for breaks in forecast accuracy and off-model judgment. Conclusions reached are that simple mechanical residual adjustments have …

Persistent link: https://www.econbiz.de/10011604996

Large Bayesian VARs

Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - 2008

This paper shows that Vector Autoregression with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results by De Mol, Giannone, and Reichlin (2008) and show that, when the degree of shrinkage is set in relation to the cross-sectional dimension, the forecasting...

Persistent link: https://www.econbiz.de/10011605012

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - 2008

Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

Persistent link: https://www.econbiz.de/10011605015

Risk-adjusted forecasts of oil prices

Pagano, Patrizio; Pisani, Massimiliano - 2009

This paper documents the existence of a significant forecast error on crude oil futures. We interpret it as a risk … for the average forecast error and of the random walk, particularly at horizons of more than 6 months. …

Persistent link: https://www.econbiz.de/10011605045