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Desgranges, Gabriel; Rochon, Céline - 2011

Persistent link: https://www.econbiz.de/10009487106

Rochon, Céline - 2011

We study a model where investment decisions are based on investors’ information about the unknown and endogenous return of the investment. The information of investors consists of endogenously determined messages sold by financial analysts who have access to both public and private information...

Persistent link: https://www.econbiz.de/10014402493

Do Forecasters Believe in Okun’s Law? : An Assessment of Unemployment and Output Forecasts

Ball, Laurence M. - 2014

This paper provides an assessment of the consistency of unemployment and output forecasts. We show that, consistent with Okun’s Law, forecasts of real GDP growth and the change in unemployment are negatively correlated. The Okun coefficient—the responsiveness of unemployment to growth—from...

Persistent link: https://www.econbiz.de/10014394299

Forecasting Accuracy of Crude Oil Futures Prices

Kumar, Manmohan S. - 1991

This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared...

Persistent link: https://www.econbiz.de/10014395895

A Perspectiveon Predicting Currency Crises

Flood, Robert P. - 2010

Currency crises are difficult to predict. It could be that we are choosing the wrong variables or using the wrong models or adopting measurement techniques not up to the task. We set up a Monte Carlo experiment designed to evaluate the measurement techniques. In our study, the methods are given...

Persistent link: https://www.econbiz.de/10014397444

In Which Exchange Rate Models Do Forecasters Trust?

Lee, Jaewoo - 2011

Using survey data of market expectations, we ask which popular exchange rate models appear to be consistent with expectation formation of market forecasters. Exchange rate expectations are found to be correlated with inflation differentials and productivity differentials, indicating that the...

Persistent link: https://www.econbiz.de/10014399410

Forecasts in times of crises

Eicher, Theo S.; Kuenzel, David J.; Papageorgiou, Chris; … - 2018

Financial crises pose unique challenges for forecast accuracy. Using the IMF's Monitoring of Fund Arrangement (MONA … informational value as they consistently outperform naive forecast approaches. However, we also document that there is room for … improvement: two thirds of the key macroeconomic variables that we examine are forecast inefficiently and 6 variables (growth of …

Persistent link: https://www.econbiz.de/10011932572

Predicting fiscal crises

Cerovic, Svetlana; Gerling, Kerstin; Hodge, Andrew; … - 2018

This paper identifies leading indicators of fiscal crises based on a large sample of countries at different stages of development over 1970-2015. Our results are robust to different methodologies and sample periods. Previous literature on early warning sistems (EWS) for fiscal crises is scarce...

Persistent link: https://www.econbiz.de/10011905898

Optimism bias in growth forecasts : the role of planned policy adjustments

Ismail, Kareem; Perrelli, Roberto; Yang, Jessie - 2020

Are IMF growth forecasts systematically optimistic? And if so, what is the role of planned policy adjustments on this outcome? Are program forecasts as biased as surveillance forecasts? We try to answer these questions using a comprehensive database on IMF forecasts of economic growth in...

Persistent link: https://www.econbiz.de/10012392484

Improving the short-term forecast of world trade during the Covid-19 pandemic using SWIFT data on letters of credit

Carton, Benjamin; Hu, Nan; Mongardini, Joannes; Moriya, Kei - 2020

An essential element of the work of the Fund is to monitor and forecast international trade. This paper uses SWIFT … (PMI), to improve the short-term forecast of international trade. A horse race between linear regressions and machine …

Persistent link: https://www.econbiz.de/10012392595