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  • 1
    Online Resource
    Online Resource
    Chapter 1. Forecasting Inflation (2013)
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    UID:
    gbv_1831652838
    ISBN: 9780444536839
    Content: This chapter discusses recent developments in inflation forecasting. We perform a horse-race among a large set of traditional and recently developed forecasting methods, and discuss a number of principles that emerge from this exercise. We find that judgmental survey forecasts outperform model-based ones, often by a wide margin. A very simple forecast that is just a glide path between the survey assessment of inflation in the current-quarter and the long-run survey forecast value turns out to be competitive with the actual survey forecast and thereby does about as well or better than model-based forecasts. We explore the strengths and weaknesses of some specific prediction methods, including forecasts based on the Phillips curve and based on dynamic stochastic general equilibrium models, in greater detail. We also consider measures of inflation expectations taken from financial markets and the tradeoff between forecasting aggregates and disaggregates.
    In: Elliott, Graham, 1965 -, Handbook of Economic Forecasting, Burlington : Elsevier Science, 2013, (2013), Seite 2-56, 9780444536839
    In: 9780444536846
    In: year:2013
    In: pages:2-56
    Language: English
    DOI: 10.1016/B978-0-444-53683-9.00001-3
    URL: Volltext  (Deutschlandweit zugänglich)
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    Stabi Berlin
    UB Potsdam
  • 2
    Book
    Book
    Identifying the effects of monetary policy shocks on exchange rates using high frequency data (2003)
    Cambridge, Mass. : National Bureau of Economic Research
    Details
    UID:
    b3kat_BV017450874
    Format: 36, [9] S. , graph. Darst.
    Series Statement: National Bureau of Economic Research 〈Cambridge, Mass.〉: NBER working paper series 9660
    Additional Edition: Erscheint auch als Online-Ausgabe
    Language: English
    Subjects: Economics
    RVK:
    QB 910
    Keywords: Geldpolitik ; Wechselkurs
    URL: Volltext  (kostenfrei)
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  • 3
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    Efficient prediction of excess returns (2008)
    Cambridge, Mass. : National Bureau of Economic Research
    Details
    UID:
    b3kat_BV023594046
    Format: 32, [16] S. , graph. Darst. , 22 cm
    Series Statement: Working paper series / National Bureau of Economic Research 14169
    Content: "It is well known that augmenting a standard linear regression model with variables that are correlated with the error term but uncorrelated with the original regressors will increase asymptotic efficiency of the original coefficients. We argue that in the context of predicting excess returns, valid augmenting variables exist and are likely to yield substantial gains in estimation efficiency and, hence, predictive accuracy. The proposed augmenting variables are ex post measures of an unforecastable component of excess returns: ex post errors from macroeconomic survey forecasts and the surprise components of asset price movements around macroeconomic news announcements. These "surprises" cannot be used directly in forecasting--they are not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing parameter estimation uncertainty. We derive formal results about the benefits and limits of this approach and apply it to standard examples of forecasting excess bond and equity returns. We find substantial improvements in out-of-sample forecast accuracy for standard excess bond return regressions; gains for forecasting excess stock returns are much smaller"--National Bureau of Economic Research web site
    Additional Edition: Erscheint auch als Online-Ausgabe
    Language: English
    URL: Volltext  (kostenfrei)
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  • 4
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    Comparing Greenbook and reduced form forecasts using a large realtime dataset (2007)
    Cambridge, Mass. : National Bureau of Economic Research
    Details
    UID:
    b3kat_BV023593298
    Format: 46, [3] S. , graph. Darst. , 22 cm
    Series Statement: Working paper series / National Bureau of Economic Research 13397
    Note: Literaturverz. S. 24 - 27
    Additional Edition: Erscheint auch als Online-Ausgabe
    Language: English
    URL: Volltext  (kostenfrei)
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  • 5
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    Cracking the conundrum (2007)
    Cambridge, Mass. : National Bureau of Economic Research
    Details
    UID:
    b3kat_BV023593320
    Format: 34 S. , graph. Darst. , 22 cm
    Series Statement: Working paper series / National Bureau of Economic Research 13419
    Note: Literaturverz. S. 21 - 22
    Language: English
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  • 6
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    Research handbook of financial markets / (2023)
    Northampton :Edward Elgar Publishing,
    Details
    UID:
    almahu_9949501708702882
    Format: 1 online resource (532 pages).
    ISBN: 9781800375321 (e-book)
    Series Statement: Research handbooks in money and finance series
    Content: "The Research Handbook of Financial Markets carefully discusses the histories and current states of the most important financial markets and institutions, as well as explicitly underscoring open questions that need study. By describing the institutional structure of different markets and highlighting recent changes within them, it accurately highlights their evolving nature. Taking the perspective that finance and macroeconomics are intertwined, this illuminating Research Handbook brings together prominent experts to investigate key market interactions. Chapters act as self-contained case studies of particular markets, allowing for a thorough individual examination of each. Ultimately, they offer a holistic understanding of financial markets and the current state of research. Academics and researchers in economics and finance curious about developments within financial regulation and banking will find this comprehensive Research Handbook to be hugely valuable. Market participants will additionally find it to be a useful reference, along with regulators seeking to mitigate financial instability"--
    Note: Contents: Introduction to the research handbook of financial markets / Refet S. Gurkaynak and Jonathan H. Wright -- Part I. Central banking -- 1. The federal reserve balance sheet / Kristopher Dawsey, William B. English and Brian Sack -- 2. The balance sheet of the eurosystem / Oreste Tristani -- 3. The bank of Japan's balance sheet / Kosuke Aoki -- 4. Central bank lending / Brian Madigan and William Nelson -- 5. The workings of liquidity lines between central banks / Saleem Bahaj and Ricardo Reis -- Part II. Intermediaries -- 6. Banks / Refet S. Gurkaynak, Jonathan H. Wright and Egon Zakrajsek -- 7. Non-bank financial intermediaries and financial stability / Sirio Aramonte, Andreas Schrimpf and Hyun Song Shin -- 8. Government agencies: Fannie mae and freddie mac / Gillian Burgess, Wayne Passmore and Shane M. Sherlund -- 9. Money market funds / Antoine Bouveret, Antoine Martin and Patrick E. McCabe -- Part III. Money markets -- 10. The federal funds market, pre- and post-2008 / Eric T. Swanson -- 11. The repo market / Benjamin Munyan -- 12. The foreign exchange market / Alain Chaboud, Dagfinn Rime and Vladyslav Sushko -- Part IV. Capital markets -- 13. The treasury and when-issued markets / J. Benson Durham and Roberto Perli -- 14. The municipal bond market / Daniel Bergstresser -- 15. Mortgage-backed securities / Andreas Fuster, David Lucca and James Vickery -- 16. Equity trading / Caroline Fohlin -- 17. Sovereign debt / Leonardo Martinez, Francisco Roch, Francisco Roldan and Jeromin Zettelmeyer -- Part V. Derivative markets -- 18. Interest rate swaps / Bin Wei and Vivian Z. Yue -- 19. Credit default swaps / Antulio N. Bomfim -- 20. Foreign exchange swaps and cross-currency swaps / Angelo Ranaldo -- 21. Inflation hedging products / Stefania D'Amico and Thomas B. King -- 22. Futures and options / Refet S. Gurkaynak and Jonathan H. Wright -- Index.
    Additional Edition: ISBN 9781800375314 (hardback)
    Language: English
    Keywords: Electronic books.
    URL: https://www.elgaronline.com/view/book/9781800375321/9781800375321.xml
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    HU Berlin
  • 7
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    Book
    Research handbook of financial markets / (2023)
    Cheltenham, UK ; Northampton, MA, USA :Edward Elgar Publishing,
    Details
    UID:
    almahu_BV049058219
    Format: viii, 524 Seiten : , Illustrationen, Diagramme.
    ISBN: 978-1-80037-531-4
    Series Statement: Research handbooks in money and finance
    Note: Includes bibliographical references and index
    Additional Edition: Erscheint auch als Online-Ausgabe ISBN 978-1-80037-532-1
    Language: English
    Subjects: Economics
    RVK:
    QK 600
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  • 8
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    Credit Spreads as Predictors of Real-Time Economic Activity : A Bayesian Model-Averaging Approach (2011)
    Cambridge, Mass. : National Bureau of Economic Research
    Details
    UID:
    almafu_9958115229102883
    Format: 1 online resource: , illustrations (black and white);
    Series Statement: NBER working paper series no. w16725
    Content: Employing a large number of real and financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. Importantly, the predictor set includes option-adjusted credit spread indexes based on bond portfolios sorted by maturity and credit risk as measured by the issuer's "distance-to-default." The portfolios are constructed directly from the secondary market prices of outstanding senior unsecured bonds issued by a large number of U.S. corporations. Our results indicate that relative to an autoregressive benchmark, BMA yields consistent improvements in the prediction of the growth rates of real GDP, business fixed investment, industrial production, and employment, as well as of the changes in the unemployment rate, at horizons from the current quarter (i.e., "nowcasting") out to four quarters hence. The gains in forecast accuracy are statistically significant and economically important and owe exclusively to the inclusion of our portfolio credit spreads in the set of predictors--BMA consistently assigns a high posterior weight to models that include these financial indicators.
    Note: January 2011.
    Language: English
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    FU Berlin
  • 9
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    Online Resource
    What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound? / (2011)
    Cambridge, Mass. : National Bureau of Economic Research
    Details
    UID:
    almafu_9958101419102883
    Format: 1 online resource: , illustrations (black and white);
    Series Statement: NBER working paper series no. w17154
    Content: The federal funds rate has been stuck at the zero bound for over two years and the Fed has turned to unconventional monetary policies, such as large scale asset purchases to provide stimulus to the economy. This paper uses a structural VAR with daily data to identify the effects of monetary policy shocks on various longer-term interest rates during this period. The VAR is identified using the assumption that monetary policy shocks are heteroskedastic: monetary policy shocks have especially high variance on days of FOMC meetings and certain speeches, while there is nothing unusual about these days from the perspective of any other shocks to the economy. A complementary high-frequency event-study approach is also used. I find that stimulative monetary policy shocks lower Treasury and corporate bond yields, but the effects die off fairly fast, with an estimated half-life of about two months.
    Note: June 2011.
    Language: English
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    FU Berlin
  • 10
    Online Resource
    Online Resource
    Research handbook of financial markets / (2023)
    Cheltenham, UK ; Northampton, MA :Edward Elgar Publishing,
    Details
    UID:
    almafu_BV048969370
    Format: 1 Online-Ressource (viii, 524 Seiten).
    ISBN: 978-1-80037-532-1
    Series Statement: Research handbooks in money and finance series
    Note: Titel und Verantwortlichkeitsangabe der Landingpage (Elgaronline) entnommen, da kein Titelblatt vorhanden
    Additional Edition: Erscheint auch als Druck-Ausgabe, Hardcover ISBN 978-1-80037-531-4
    Language: English
    Subjects: Economics
    RVK:
    QK 600
    Keywords: Kreditmarkt ; Kapitalmarkt ; Finanzwirtschaft
    DOI: 10.4337/9781800375321
    URL: Volltext  (URL des Erstveröffentlichers)
    URL: Volltext  (URL des Erstveröffentlichers)
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