Results 11 to 20 of about 74,665 (42)
The Quanto Theory of Exchange Rates
The American Economic Review, 2017 We present a new identity that relates expected exchange rate appreciation to a risk-neutral covariance term, and use it to motivate a currency forecasting variable based on the prices of quanto index contracts.
Lukas Kremens, Ian J. Martin
semanticscholar +1 more source
CESifo Economic Studies, 2020 We employ hourly electricity load data for Switzerland as a real-time indicator of the economic effects of the lockdown following the spread of SARS-CoV-2. Our findings reveal that following the drastic lockdown, overall electricity use decreased by 4.6%,
Benedikt Janzen, Doina Radulescu
semanticscholar +1 more source
On the Macroeconomic Consequences of Over-Optimism
Social Science Research Network, 2018 Analyzing International Monetary Fund (IMF) data, we find that overly optimistic growth expectations for a country induce economic contractions a few years later.
P. Beaudry, T. Willems
semanticscholar +1 more source
Fan Charts 2.0: Flexible Forecast Distributions with Expert Judgement
Social Science Research NetworkI propose a new model, conditional quantile regression (CQR), that generates density forecasts consistent with a specific view of the future evolution of some variables.
Andrej Sokol
semanticscholar +1 more source
A Macro Stress Testing Framework for Assessing Systemic Risks in the Banking Sector
Social Science Research Network, 2013 The use of macro stress tests to assess bank solvency has developed rapidly over the past few years. This development was reinforced by the financial crisis, which resulted in substantial losses for banks and created general uncertainty about the banking
J. Henry +14 more
semanticscholar +1 more source
European Journal of Economic and Financial ResearchThis work aimed to investigate the causal relationship between money and inflation (proxy by CPI) in the Philippines using Vector Autoregressive (VAR) Analysis and the Granger Causality Test.
Jesson Rey F. Sabado +3 more
semanticscholar +1 more source
Trends and Cycles in the Euro Area: How Much Heterogeneity and Should We Worry About it?
Social Science Research Network, 2006 Not so much and we should not, at least not yet.
D. Giannone, L. Reichlin
semanticscholar +1 more source
Evaluating Strategic Forecasters
The American Economic Review, 2018 Motivated by the question of how one should evaluate professional election forecasters, we study a novel dynamic mechanism design problem without transfers.
R. Deb, Mallesh M. Pai, Maher Said
semanticscholar +1 more source
Short-Term Estimates of Euro Area Real GDP by Means of Monthly Data
Social Science Research Network, 2003 The first official data releases of quarterly real GDP for the euro area are published about eight weeks after the end of the reference quarters. Meanwhile, ongoing economic developments must be assessed from various, more readily available, monthly ...
Franck Sédillot, Gerhard Rünstler
semanticscholar +1 more source
Uncertainty Through the Lenses of a Mixed-Frequency Bayesian Panel Markov Switching Model
Annals of Applied Statistics, 2017 We propose a Bayesian panel model for mixed frequency data whose parameters can change over time according to a Markov process. Our model allows for both structural instability and random effects.
R. Casarin +3 more
semanticscholar +1 more source