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Macroeconomic Factors and Equity Premium Predictability

Buncic, Daniel - 2017

Neely et al. (2014) have recently demonstrated how to efficiently combine information from a set of popular technical indicators together with the standard Goyal and Welch (2008) predictor variables widely used in the equity premium forecasting literature to improve out-of-sample forecasts of...

Persistent link: https://www.econbiz.de/10012969634

The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts

Beckers, Benjamin - 2015

price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought … to account for the uncertainty around start and end dates of asset price bubbles. Additionally, the paper then … common stock and house price bubbles in the U.S. and shows that this indicator improves output forecasts …

Persistent link: https://www.econbiz.de/10013018260

Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time

Döpke, Jörg - 2016

Persistent link: https://www.econbiz.de/10012989311

Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2014

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover...

Persistent link: https://www.econbiz.de/10013040410

Economic Networks and Corporate Default Prediction

Constantin, Andreea - 2018

This paper investigates the role of industry-specific effects and structural properties of intersectoral customer-supplier relations on the corporate default prediction of individual firms. We focus on a large sample of US exchange-listed companies over the period 1997- 2015 and show that...

Persistent link: https://www.econbiz.de/10012929351

Financial Variables and Macroeconomic Forecast Errors

Barnes, Michelle L. - 2018

errors for real Gross Domestic Product (GDP) growth, the unemployment rate, and Consumer Price Index (CPI) inflation for …

Persistent link: https://www.econbiz.de/10012930591

Monetary policy interdependency in fisher effect : a comparative evidence

Shobande, Olatunji Abdul; Shodipe, Oladimeji Tomiwa - In: Journal of central banking theory and practice 10 (2021) 1, pp. 203-226

In this paper, we examine the ability of Fisher effect to describe the subjective behaviour of monetary policy responses for nations constrained by global factors. We developed and estimated a simple DSGE model for appraising the consequence of an integrated financial market predictor on...

Persistent link: https://www.econbiz.de/10012549169

Credit growth, the yield curve and financial crisis prediction : evidence from a machine learning approach

Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2021

We develop early warning models for financial crisis prediction by applying machine learning techniques to macrofinancial data for 17 countries over 1870–2016. Most nonlin-ear machine learning models outperform logistic regression in out-of-sample predictions and forecasting. We identify...

Persistent link: https://www.econbiz.de/10012705396

Constructing Density Forecasts from Quantile Regressions : Multimodality in Macro-Financial Dynamics

Mitchell, James; Zhu, Dan; Poon, Aubrey - 2022

Quantile regression methods are increasingly used to forecast tail risks and uncertainties in macroeconomic outcomes. This paper reconsiders how to construct predictive densities from quantile regressions. We compare a popular two-step approach that fits a specific parametric density to the...

Persistent link: https://www.econbiz.de/10013289685

The Accuracy of a Forecast Targeting Central Bank

Falch, Nina Skrove - 2011

This paper evaluates inflation forecasts made by Norges Bank which is a successful forecast targeting central bank. It is expected that Norges Bank produces inflation forecasts that are on average better than other forecasts, both naive forecasts, and forecasts from econometric models outside...

Persistent link: https://www.econbiz.de/10013210321