Results 91 to 100 of about 306,458 (204)
VARMA versus VAR for Macroeconomic Forecasting [PDF]
In this paper, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to VARs given the recent advances in VARMA modelling methodology and improvements in computing power.
Farshid Vahid, George Athanasopoulos
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Executive Compensation and Macroeconomic Fluctuations [PDF]
Macroeconomic fluctuations affect corporations’ performance through demand and cost conditions. Incentive effects of performance-based compensation schemes for management may be weakened or biased by macroeconomic influences if management is unable to ...
Oxelheim, Lars +2 more
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Capital Account Liberalisation: Empirical Evidence and Policy Capital Account Liberalisation: Empirical Evidence and Policy Issues - I [PDF]
This paper documents trends in capital flows into India in a comparative perspective,examines the impact of these flows on key macroeconomic variables and discusses the implications for economic policy........capital flows; capital account liberalisation;
Renu Kohli
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Are Business Cycles All Alike? A Bandpass Filter Analysis of Italian and US Cycles [PDF]
In this paper, we apply the bandpass filter to the main Italian and US macroeconomic variables, we estimate cross-correlations with respect to a benchmark indicator of the business cycle, and we compare results with previous empirical analyses.
Andrea Roventini +2 more
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Composite GDP nowcasting using macroeconomic variables and electricity data. [PDF]
PLoS OneLan Z, Liu Z, Wu G.
europepmc +1 more source
The relationship between default and economic cycles for retail portfolios across countries
, 2008 In this paper, we collect consumer delinquency data from several economic shocks in order to study the creation of stress-testing models. We leverage the dual-time dynamics modeling technique to better isolate macroeconomic impacts whenever vintage-level
Breeden, J.L., Thomas, Lyn C.
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Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics [PDF]
This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time varying jump intensity, which is allowed to respond to such information.
José Gonzalo Rangel
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Do macroeconomic announcements move inflation forecasts? [PDF]
This paper presents an empirical strategy that bridges the gap between event studies and macroeconomic forecasts based on common-factor models. Event studies examine the response of financial variables to a market-sensitive "surprise" component using a ...
Andreas M. Fischer, Marlene Amstad
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