1,721,234 research outputs found
Hodges-Lehmann Detection of Structural Shocks - An Analysis of Macroeconomic Dynamics in the Euro Area
No full textStock return prediction under GARCH — An empirical assessment
No full textThe GARCH model and its numerous variants have been applied widely both in the financial literature and in practice. For purposes of quasi maximum likelihood estimation, innovations to GARCH processes are typically assumed to be identically and independently distributed, with mean zero and unit variance (strong GARCH). Under less restrictive assumptions (the absence of unconditional correlation, weak GARCH), higher order dependency patterns might be exploited for the ex ante forecasting of GARCH innovations, and hence, stock returns. In this paper, rolling windows of empirical stock returns are used to test the independence of consecutive GARCH innovations. Rolling p-values from independence testing reflect the time variation of serial dependence, and provide useful information for signaling one-step-ahead directions of stock price changes. Ex ante forecasting gains are documented for nonparametric innovation predictions, especially if the sign of the innovation predictors is combined with independence diagnostics (p-values) and/or the sign of linear return forecasts. (C) 2017 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.German Research Foundation [HE 2188/8-1
Long‐run neutrality of demand shocks: Revisiting Blanchard and Quah (1989) with independent structural shocks
No full textToo many cooks could spoil the broth: choice overload and the provision of ambulatory health care
No full textAbstract Patient empowerment calls for an intensified participation of (informed) patients with more treatment opportunities to choose from. A growing body of literature argues that confronting consumers with too many opportunities can lead to a choice overload (CO) resulting in uncertainty that the selected alternative dominates all other options in the choice set. We examine whether there is a CO effect in the demand for ambulatory health care in Germany by analyzing the association of medical specialists supply on so-called patients’ health uncertainty. Further, we investigate if the CO effect is smaller in areas with a higher density of general practitioners (GPs). We find that patients who live in an area with a large supply of specialists are subject to a CO effect that is expressed by an increased health uncertainty. The coordinating role of GPs seems to be effective to reduce the CO effect, while preserving free consumer choice.Funder:
Deutsche Forschungsgemeinschaft
http://dx.doi.org/10.13039/501100001659Funder:
Universität zu Lübeck
http://dx.doi.org/10.13039/50110000416
Testing the value of directional forecasts in the presence of serial correlation
No full textCommon approaches to testing the economic value of directional forecasts are based on the classical chi(2)-test for independence, Fisher's exact test or the Pesaran and Timmermann test for market timing. These tests are asymptotically valid for serially independent observations, but in the presence of serial correlation they are markedly oversized, as has been confirmed in a simulation study. We therefore summarize robust test procedures for serial correlation and propose a bootstrap approach, the relative merits of which we illustrate by means of a Monte Carlo study. Our evaluations of directional predictions of stock returns and changes in Euribor rates demonstrate the importance of accounting for serial correlation in economic time series when making such predictions. (C) 2013 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved
Neo-Fisherism and fiscal solvency: Reinterpreting the determination of inflation, yields, and the debt ratio
No full textDID THE INTRODUCTION OF THE EURO HAVE AN IMPACT ON INFLATION UNCERTAINTY?-AN EMPIRICAL ASSESSMENT
No full textWe compare inflation uncertainty in distinguished groups of economies. Results indicate that during the recent financial crisis the global inflation climate has become markedly more uncertain than previously. We document that in comparison to other economies, member states of the European Monetary Union are less exposed to inflation uncertainty. Three European Union members that are not part of the monetary union and five other OECD member economies serve as control groups. With regard to the quantification of inflation uncertainty, results are robust over a set of alternative estimates of the latent inflation risk processes
Statistical identification in panel structural vector autoregressive models based on independence criteria
No full textSummary
This paper introduces a novel panel approach to structural vector autoregressive analysis. For identification, we impose independence of structural innovations at the pooled level. We demonstrate robustness of the method under cross‐sectional correlation and heterogeneity through simulation experiments. In an empirical application on monetary policy transmission in the Euro area, we find that bond spreads rise significantly after an unexpected monetary tightening. Furthermore, the central bank responds to offset effects of adverse financial shocks. Additionally, we document sizable heterogeneity in country‐specific output responses.Deutsche Forschungsgemeinschaft https://doi.org/10.13039/50110000165
Nonparametric tests for independence: a review and comparative simulation study with an application to malnutrition data in India
No full textSimulation Evidence on Theory-based and Statistical Identification under Volatility Breaks
No full textBeside a priori theoretical assumptions on instantaneous or long-run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, changes in second order moments of systems of time series can be fruitfully exploited for identification purposes in SVARs. By means of Monte Carlo studies, we examine to what degree theory-based and statistical identification approaches offer an accurate quantification of the true structural relations in a standard model for monetary policy analysis. Subsequently, we discuss how identifying information from theory-based and statistical approaches can be combined on the basis of a low-dimensional empirical model of US monetary policy.Deutsche Forschungsgemeinschaft [He 2188/3-2
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