1,721,164 research outputs found
Evaluating non-linear models on point and interval forecasts: an application with exchange rates
No full textThe aim of this paper is to compare the forecasting performance of SETAR and GARCH models against a
linear benchmark using historical data for two bilateral dollar exchange rates, namely the Japanese Yen and
the British Pound. The analysis is carried out with series sampled at weekly and daily frequencies. The
relative performance of the models is evaluated on point forecasts and on interval forecasts. Point forecasts
evaluation tends to favour on average the linear models, though the analysis produces some evidence of
forecasting gains from nonlinear models in sub-samples characterised by stronger non-linearities. When we
evaluate the validity of interval forecasts, the results clearly favour the GARCH model and show that the AR
and SETAR forecasts are not correctly conditionally calibrated
The Expectations Hypothesis of the Term Structure of Interest Rates: Evidence for Germany
Full text linkModelli non lineari per i tassi di cambio: un confronto previsivo con dati a diversa frequenza
No full textIn recent years there has been a considerable development in modelling nonlinearities and asymmetries in economic and financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some of the most traded exchange rates in terms of the US dollar, namely the French Franc (FF/) and the Japanese Yen (Y/$). We compare the relative performance of some nonlinear models and contrast them with their linear counterparts. Although we find evidence of some forecasting gains from nonlinear models, the results are sensitive to the forecast horizon and to the metric adopted to measure the forecasting accuracy.
The use of data at different frequencies allows us to evaluate the possible effects of temporal aggregation
The information in the term structure of German interest rates
No full textThis paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using new data for Germany. The German term structure appears to forecast future short-term interest rates surprisingly well, compared with previous studies with US data, while it has lower predictive power for long-term interest rates. However, the direction suggested by the coefficient estimates is consistent with that implied by the EH, that is when the term spread widens, long rates increase. The use of instrumental variables to deal with possible measurement errors in the data significantly improves regressions for the long rates. Moreover, re-estimation with proxy variables to account for the possibility of time-varying term premia confirms that the evolution of both short and long rates corresponds to the predictions of the EH and that most of the information is in the term spread. These results are important as they suggest that monetary policy in Germany could be guided by the slope of the term structure. © 2002, Taylor & Francis Group, LLC
The information content in the term structure of German interest rates
No full textThis paper tes ts the Expectations Hypothesis (EH) of the term structure of interest rates using new data for Germany. The German term structure appears to forecast future short-term interes t rates surprisingly well, compared with previous studies with US data,while it has lower predictive power for long-term interes t rates . However, the directionvsuggested by the coefficient estimates is consistent with that implied by the EH, that is when the term spread widens , long rates increase. The use of ins trument al variables to deal with pos sible measurement errors in the data significantly improves regressions for the long rates . Moreover, re-estimation with proxy variables to account for the possibility of time-varying term premia confirms that the evolut ion of both short andlong rates corresponds to the predictions of the EH and that mos t of the information is in the term spread. These results are important as they sugge s t that monetar y policy in Germany could be guided by the slope of the term structure
The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts
No full textThe aim of this paper is to analyse the out-of-sample performance of SETAR models relative to a linear AR and a GARCH
model using daily data for the euro effective exchange rate (euro-EER). The evaluation is conducted on point, interval and
density forecasts, unconditionally, over the whole forecast period, and conditional on specific regimes. The results show that
overall the GARCH model is better able to capture the distributional features of the series and to predict higher-order moments
than the SETAR models. However, from the results there is also a clear indication that the performance of the SETAR models
improves significantly conditional on being on specific regimes
The performance of nonlinear exchange rate models: a forecasting comparison
No full textIn recent years there has been a considerable development in modelling nonlinearities
and asymmetries in economic and financial variables. The aim of
the current paper is to compare the forecasting performance of different
models for the returns of three of the most traded exchange rates in terms
of the US dollar, namely the French franc (FF/)
and the Japanese yen (Y/$). The relative performance of non-linear models
of the SETAR, STAR and GARCH types is contrasted with their linear
counterparts. The results show that if attention is restricted to mean square
forecast errors, the performance of the models, when distinguishable, tends
to favour the linear models. The forecast performance of the models is
evaluated also conditional on the regime at the forecast origin and on density
forecasts. This analysis produces more evidence of forecasting gains from
non-linear models
Realization of P.M. stepping motors driven with optimal static commutation using a realistic current generator
No full textThe influence of short rate predictability and monetary policy on tests of the expectations hypothesis: some comparative evidence
Full text linkThe market price of greenness. A factor pricing approach for Green Bonds
Full text linkFostered by an empirical literature providing disparate evidence on the green premium, we propose
a two-factor model to explain returns on green bonds not only as a function of market risk but also of
the bond greenness. The second factor can be interpreted as a greenness premium, which can be either
positive or negative depending on the product of the price given by the market to greenness and the
sensitivity of the specific green bond to the latter. Based on the model proposed and its Fama-Mac
Beth estimation on a sample of Euro-denominated bonds over the period 08.10-2014-31.12.2019, we
are able to conclude that the market does price greenness, but the price is very small: including
Government green bonds is 0.7 bps, and focusing on corporate green bonds only is – 1.3 bps. In all
cases the dynamics of the price for greenness has a positive drift as the market reaches a more mature
phase, landing to a positive average value (2 bps), which implies greenness being viewed as a small
penalty. However, differences emerge when we look at the issuer sector level and at single bonds,
thus our model is able to explain the disparate empirical evidence provided by the literature on the
greenium. On the whole, results hint to a market where the difference in pricing between conventional
and green bonds is, ceteris paribus, shrinking, which is consistent with greenness becoming a new
normal. These results are of interest for many economic agents, including market participants and
financial intermediaries, whereby the latter are also called by the regulator to manage their portfolio
in consideration of climate risk
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