发布求助
文献互助 智能选刊 最新文献

ERN: Forecasting & Simulation (Monetary) (Topic)最新文献

筛选
英文 中文
Exploiting Payments to Track Italian Economic Activity: The Experience at Banca D’Italia 利用支付跟踪意大利经济活动:意大利银行的经验
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2021-03-18 DOI: 10.2139/ssrn.3852157
Valentina Aprigliano, Guerino Ardizzi, Alessia Cassetta, Alessandro Cavallero, Simone Emiliozzi, Alessandro Gambini, R. Zizza, Nazzareno Renzi
{"title":"Exploiting Payments to Track Italian Economic Activity: The Experience at Banca D’Italia","authors":"Valentina Aprigliano, Guerino Ardizzi, Alessia Cassetta, Alessandro Cavallero, Simone Emiliozzi, Alessandro Gambini, R. Zizza, Nazzareno Renzi","doi":"10.2139/ssrn.3852157","DOIUrl":"https://doi.org/10.2139/ssrn.3852157","url":null,"abstract":"This paper provides an overview of how information on payments has been recently exploited by Banca d’Italia staff for the purposes of tracking economic activity and forecasting. In particular, the payment data used for this work are drawn from the payment systems managed by Banca d’Italia (BI-COMP and TARGET2) and from the Anti-Money Laundering Aggregate Reports submitted by banks and by Poste Italiane to the Banca d’Italia’s Financial Intelligence Unit (Unità di Informazione Finanziaria, UIF). We show that indicators drawn from these sources can improve forecasting accuracy; in particular, those available at a higher frequency have proved crucial to properly assessing the state of the economy during the pandemic. Moreover, these indicators make it possible to assess changes in agents’ behaviour, notably with reference to payment habits, and, thanks to their granularity, to delve deeper into the macroeconomic trends, exploring heterogeneity by sector and geography.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115702454","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Imperfect Credibility versus No Credibility of Optimal Monetary Policy 最优货币政策的不完全可信度与无可信度
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2020-12-04 DOI: 10.2139/ssrn.3220239
Jean-Bernard Chatelain, K. Ralf
{"title":"Imperfect Credibility versus No Credibility of Optimal Monetary Policy","authors":"Jean-Bernard Chatelain, K. Ralf","doi":"10.2139/ssrn.3220239","DOIUrl":"https://doi.org/10.2139/ssrn.3220239","url":null,"abstract":"A minimal central bank credibility, with a non-zero probability of not renegning his commitment (\"quasi-commitment\"), is a necessary condition for anchoring inflation expectations and stabilizing inflation dynamics. By contrast, a complete lack of credibility, with the certainty that the policy maker will renege his commitment (\"optimal discretion\"), leads to the local instability of inflation dynamics. In the textbook example of the new-Keynesian Phillips curve, the response of the policy instrument to inflation gaps for optimal policy under quasi-commitment has an opposite sign than in optimal discretion, which explains this bifurcation.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130047133","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Interest Rate Differentials Under an Exchange Rate Convertibility Zone: A Carry Trade Perspective 汇率可兑换区下的利差:一个套息交易的视角
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2019-12-10 DOI: 10.2139/ssrn.4246410
J. Fung, F. Lam
{"title":"Interest Rate Differentials Under an Exchange Rate Convertibility Zone: A Carry Trade Perspective","authors":"J. Fung, F. Lam","doi":"10.2139/ssrn.4246410","DOIUrl":"https://doi.org/10.2139/ssrn.4246410","url":null,"abstract":"This study is motivated by the negative HKD-USD interest rate differentials observed after the US interest rate hike on December 17, 2015. We first analyze two practical concerns that are typical from the perspective of a carry trader: (1) the difference in borrowing rate and lending rate of a currency, and (2) the exchange rate loss perceived from prevailing HKD/USD market condition using a truncated distribution that reflects full confidence in the HKD/USD Convertibility Zone under the Linked Exchange Rate System (LERS). We find that these considerations largely rationalize the observed interest rate differentials. We then perform robust Bayesian statistical inference on the negatively skewed effective carry-to-risk ratios. We find that the most probable and the typical effective carry-to-risk ratios are economically small. Our results are consistent with the Hong Kong Currency Board’s intrinsic stabilising mechanism functioning efficiently.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123209533","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Uncertainty in a Disaggregate Model: A Data Rich Approach Using Google Search Queries 分解模型中的不确定性:使用Google搜索查询的数据丰富方法
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2019-11-25 DOI: 10.2139/ssrn.3492817
Kalvinder K. Shields, T. Tran
{"title":"Uncertainty in a Disaggregate Model: A Data Rich Approach Using Google Search Queries","authors":"Kalvinder K. Shields, T. Tran","doi":"10.2139/ssrn.3492817","DOIUrl":"https://doi.org/10.2139/ssrn.3492817","url":null,"abstract":"This paper estimates the impact of uncertainty shocks in a disaggregate model featuring state-level unemployment and uncertainty, which is measured using Google search data. We show that the disaggregate model captures important spillover effects which a model using aggregate data would overlook resulting in significantly different peak responses and time dynamic effects. We find the effect of uncertainty shocks on state-level unemployment is recessionary and heterogeneous. The importance of national factors in propagating the effect of uncertainty is also heterogeneous across states, and overall less relevant than state-level factors. These heterogeneous effects are found to be related to state-specific industry compositions and the fiscal position.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126175889","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
The Effects of Conventional and Unconventional Monetary Policy on Forecasting the Yield Curve 常规与非常规货币政策对收益率曲线预测的影响
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2019-11-13 DOI: 10.2139/ssrn.3369352
Yunjong Eo, K. Kang
{"title":"The Effects of Conventional and Unconventional Monetary Policy on Forecasting the Yield Curve","authors":"Yunjong Eo, K. Kang","doi":"10.2139/ssrn.3369352","DOIUrl":"https://doi.org/10.2139/ssrn.3369352","url":null,"abstract":"We investigate how conventional and unconventional monetary policies affect the dynamics of the yield curve by assessing the performance of individual yield curve models and their mixtures. Out-of-sample forecasts for U.S. bond yields show that the arbitrage-free Nelson-Siegel model and its mixtures with other models perform well in the period of conventional monetary policy, whereas the random walk model outperforms all the other models in the period of unconventional monetary policy. The diminished role of the no-arbitrage restriction in forecasting the yield curve since 2009 can be attributed to unconventional monetary policy, which resulted in low correlations between short- and long-term bond yields and little variation in the short-term rates. During the period of the maturity extension program in 2011--2012, the superiority of the random walk forecasts is more pronounced, reinforcing our finding that the monetary policy framework affects yield curve forecast accuracy.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129871801","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Using the Federal Reserve’s Balance Sheet to Predict Macroeconomic Outcomes 利用美联储的资产负债表预测宏观经济结果
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2018-12-22 DOI: 10.2139/ssrn.3319505
Michael J. Crawley
{"title":"Using the Federal Reserve’s Balance Sheet to Predict Macroeconomic Outcomes","authors":"Michael J. Crawley","doi":"10.2139/ssrn.3319505","DOIUrl":"https://doi.org/10.2139/ssrn.3319505","url":null,"abstract":"This study investigates whether the U.S. Federal Reserve’s balance sheet can be used to predict macroeconomic outcomes. The Federal Reserve writes its own accounting standards, and I recast portions of the Federal Reserve’s weekly balance sheet as if it more closely followed Generally Accepted Accounting Principles. Specifically, I estimate the fair value of the Federal Reserve’s U.S. Treasury notes and bonds and calculate the associated unrealized gains and losses. I demonstrate that unrealized gains (losses) on the Federal Reserve’s U.S. Treasury notes and bonds are associated with lower (higher) one-quarter ahead inflation and real gross domestic product growth. Additionally, I show that modifying proxies for macroeconomic news to incorporate the predictive value of unrealized gains and losses on the Federal Reserve’s U.S. Treasury notes and bonds helps explain equity returns around the release of macroeconomic data.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122053360","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies 动态模型与数据驱动投资组合策略的预测密度组合
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2018-10-06 DOI: 10.2139/ssrn.3265977
N. Basturk, A. Borowska, S. Grassi, Lennart F. Hoogerheide, H. K. van Dijk
{"title":"Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies","authors":"N. Basturk, A. Borowska, S. Grassi, Lennart F. Hoogerheide, H. K. van Dijk","doi":"10.2139/ssrn.3265977","DOIUrl":"https://doi.org/10.2139/ssrn.3265977","url":null,"abstract":"A dynamic asset-allocation model is specified in probabilistic terms as a combination of return distributions resulting from multiple pairs of dynamic models and portfolio strategies based on momentum patterns in US industry returns. The nonlinear state space representation of the model allows efficient and robust simulation-based Bayesian inference using a novel non-linear filter. Combination weights can be cross-correlated and correlated over time using feedback mechanisms. Diagnostic analysis gives insight into model and strategy misspecification. Empirical results show that a smaller flexible model-strategy combination performs better in terms of expected return and risk than a larger basic model-strategy combination. Dynamic patterns in combination weights and diagnostic learning provide useful signals for improved modeling and policy, in particular, from a risk-management perspective.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"178 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126763641","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 21
Financial Equilibrium in the Presence of Technological Change 技术变革下的金融均衡
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2017-05-26 DOI: 10.2139/ssrn.2975683
Krzysztof Waśniewski
{"title":"Financial Equilibrium in the Presence of Technological Change","authors":"Krzysztof Waśniewski","doi":"10.2139/ssrn.2975683","DOIUrl":"https://doi.org/10.2139/ssrn.2975683","url":null,"abstract":"This article explores the issue of observable instability in financial markets interpreted as a long-term process of adaptation to demand for money, which, in turn, is based on the expected depreciation of fixed assets. Exploration is based on verifying empirically the hypothesis that the velocity of money is significantly, negatively correlated with the pace of technological change. The purpose of exploration is to assess the well-founded of policies, which use financial and monetary tools, rather than the straightforwardly fiscal ones, to stimulate technological change. Empirical research suggests that aggregate depreciation of fixed assets is a significant factor inducing slower a circulation of money.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114736262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach 提高金融脆弱性预测精度:偏最小二乘因子模型方法
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2017-05-02 DOI: 10.2139/ssrn.2962775
Hyeongwoo Kim, Kyunghwan Ko
{"title":"Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach","authors":"Hyeongwoo Kim, Kyunghwan Ko","doi":"10.2139/ssrn.2962775","DOIUrl":"https://doi.org/10.2139/ssrn.2962775","url":null,"abstract":"We present a factor augmented forecasting model for assessing the financial vulnerability in Korea. Dynamic factor models often extract latent common factors from a large panel of time series data via the method of the principal components (PC). Instead, we employ the partial least squares (PLS) method that estimates target specific common factors, utilizing covariances between predictors and the target variable. Applying PLS to 198 monthly frequency macroeconomic time series variables and the Bank of Korea's Financial Stress Index (KFSTI), our PLS factor augmented forecasting models consistently outperformed the random walk benchmark model in out-of-sample prediction exercises in all forecast horizons we considered. Our models also outperformed the autoregressive benchmark model in short-term forecast horizons. We expect our models would provide useful early warning signs of the emergence of systemic risks in Korea's financial markets.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127139827","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Price Discovery within Foreign Exchange Markets and the Severity of Information Risk 外汇市场的价格发现与信息风险的严重性
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2017-05-01 DOI: 10.2139/ssrn.2588555
Oghenovo A. Obrimah
{"title":"Price Discovery within Foreign Exchange Markets and the Severity of Information Risk","authors":"Oghenovo A. Obrimah","doi":"10.2139/ssrn.2588555","DOIUrl":"https://doi.org/10.2139/ssrn.2588555","url":null,"abstract":"Using incidences of negative bid-ask spreads as evidence of information events, I find the same population of dealers manages information risk differentially, depending on the probability of informed trading within foreign exchange markets. In markets with a positive probability of negative bid-ask spreads, dealers are willing to trade-off a longer duration to information revelation for higher bid-ask spreads and predictability in bid-ask spreads. In markets with a zero probability of negative bid-ask spreads, dealers arrive at information revelation faster but at the expense of relatively lower bid-ask spreads and significantly higher volatility in bid-ask spreads. These findings provide evidence that conditional on the information structure within foreign exchange markets, dealers can generate information either by attracting informed investors or discretionary liquidity traders into foreign exchange markets.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"602 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116335751","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信