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Which Factors for Corporate Bond Returns?

Dang, Thuy Duong; Hollstein, Fabian; Prokopczuk, Marcel - 2022

market, term risk, credit risk, short-term reversal, and volatility risk jointly explains the cross-section of corporate bond … returns best. Default risk, downside risk, liquidity risk, and momentum, among others, appear to be redundant factors. The … bond market and credit risk contribute the most to explaining cross-sectional and time-series variation in test asset …

Persistent link: https://www.econbiz.de/10013298272

Modeling and estimation of synchronization in size-sorted portfolio returns

Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 4, pp. 129-140

This paper examines the lead/lag relations between size-sorted portfolio returns through the lens of financial cycles governing these returns using a novel econometric methodology. Specifically, we develop a Markov-switching vector autoregressive model that allows for imperfect synchronization...

Persistent link: https://www.econbiz.de/10013471198

Nowcasting GDP with a large factor model space

Eraslan, Sercan; Schröder, Maximilian - 2019

We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and...

Persistent link: https://www.econbiz.de/10012119825

Forecast combination and model averaging using predictive measures

Eklund, Jana; Karlsson, Sune - 2005

We extend the standard approach to Bayesian forecast combination by forming the weights for the model averaged forecast from the predictive likelihood rather than the standard marginal likelihood. The use of predictive measures of fit offers greater protection against in-sample overfitting and...

Persistent link: https://www.econbiz.de/10011584029

Finding good predictors for inflation : a Bayesian model averaging approach

Jacobson, Tor; Karlsson, Sune - 2002

We consider a Bayesian Model Averaging approach for the purpose of forecasting Swedish consumer price index inflation using a large set of potential indicators, comprising some 80 quarterly time series covering a wide spectrum of Swedish economic activity. The paper demonstrates how to...

Persistent link: https://www.econbiz.de/10011584482

Forecast accuracy of a BVAR under alternative specifications of the zero lower bound

Berg, Tim Oliver - 2015

This paper discusses how the forecast accuracy of a Bayesian vector autoregression (BVAR) is affected by introducing the zero lower bound on the federal funds rate. As a benchmark I adopt a common BVAR specification, including 18 variables, estimated shrinkage, and no nonlinearity. Then I...

Persistent link: https://www.econbiz.de/10011306293

Forecasting industrial production in Germany : the predictive power of leading indicators

Schlösser, Alexander - 2020

We investigate the predictive power of several leading indicators in order to forecast industrial production in Germany. In addition, we compare their predictive performance with variables from two competing categories, namely macroeconomic and financial variables. The predictive power within...

Persistent link: https://www.econbiz.de/10012149544

Density forecast combinations : the real-time dimension

McAdam, Peter; Warne, Anders - 2020

Density forecast combinations are examined in real-time using the log score to compare five methods: fixed weights, static and dynamic prediction pools, as well as Bayesian and dynamic model averaging. Since real-time data involves one vintage per time period and are subject to revisions, the...

Persistent link: https://www.econbiz.de/10012172228

Euro area real-time density forecasting with financial or labor market frictions

McAdam, Peter; Warne, Anders - 2018

We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...

Persistent link: https://www.econbiz.de/10011813503

DSGE-based priors for BVARs & quasi-Bayesian DSGE estimation

Filippeli, Thomai; Harrison, Richard; Theodoridis, … - 2018

We present a new method for estimating Bayesian vector autoregression (VAR) models using priors from a dynamic stochastic general equilibrium (DSGE) model. We use the DSGE model priors to determine the moments of an independent Normal-Wishart prior for the VAR parameters. Two hyper-parameters...

Persistent link: https://www.econbiz.de/10011886093