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Franco Modigliani and the life-cycle theory of consumption
PSL Quarterly Review, 2005 This paper reviews and discusses the contribution by Franco Modigliani to macroeconomic model building for economist forecasting and policy making. As Paul Samuelson observed, Modigliani's theoretical work was fundamental in the development of the basic ...
Angus Deaton
doaj
Decomposing the Returns on European Debt [PDF]
Common variation in the prices of European corporate debt may not always be associated with a rational response to an increase in the relative importance of a macroeconomic risk factor.
Antje Berndt, Iulian Obreja
core
A Fuzzy Framework for Realized Volatility Prediction: Empirical Evidence From Equity Markets
Journal of Forecasting, EarlyView.ABSTRACT This study introduces a realized volatility fuzzy time series (RV‐FTS) model that applies a fuzzy c‐means clustering algorithm to estimate time‐varying c$$ c $$ latent volatility states and their corresponding membership degrees. These memberships are used to construct a fuzzified volatility estimate as a weighted average of cluster centroids.
Shafqat Iqbal, Štefan Lyócsa
wiley +1 more source
Comparing constraints to economic stabilization in Macedonia and Slovakia: macro estimates with micro narratives [PDF]
This paper re-emphasizes the link from structural policies to enhanced macroeconomic stabilization using a small structural model estimated on quarterly data for Macedonia and Slovakia over 1995-2007. The success of macroeconomic stabilization, typically
Melecky, Martin, Najdov, Evgenij
core
Journal of Forecasting, EarlyView.ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann +2 more
wiley +1 more source
What macroeconomic policies are"sound?" [PDF]
Most people agree that the soundness of macroeconomic policies should be judged by their efficacy in meeting the objectives of steady growth, full employment, stable prices, and a viable external payments situation. What people debate about are the links
Dailami, Mansoor, Ul Haque, Nadeem
core
Machine Learning Approaches to Forecast the Realized Volatility of Crude Oil Prices
Journal of Forecasting, EarlyView.ABSTRACT This paper presents an evaluation of the accuracy of machine learning (ML) techniques in forecasting the realized volatility of West Texas Intermediate (WTI) crude oil prices. We compare several ML algorithms, including regularization, regression trees, random forests, and neural networks, to several heterogeneous autoregressive (HAR) models ...
Talha Omer +3 more
wiley +1 more source
Macroeconomic effects of the geography of knowledge production: EcoRET, a macroeconometric model with regionally endogenized technological change for Hungary [PDF]
Mainstream economic thinking is still characterized by a predominantly a-spatial theoretical structure. Though economists are able to model the impacts of capital, labor or technology on output, employment or prices at both macro and micro levels, our ...
Attila Varga, Hans Joachim Schalk
core
A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
Why do markets react badly to good news? Evidence from Fed Funds Futures [PDF]
It is well known that U.S. monetary policy is well-approximated by a Taylor rule. This suggests a reason why good macroeconomic news sometimes depresses equity returns: good news about the real side of the economy implies tighter future monetary policy ...
Ghent, Andra
core +1 more source