MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR


 Roderick Lane
 2 years ago
 Views:
Transcription
1 MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR The firs experimenal publicaion, which summarised pas and expeced fuure developmen of basic economic indicaors, was published by he Minisry of Finance of he Czech Republic in November The foundaion of his radiional publicaion was hus laid, and i has gradually become a knowledge source for he general Czech and foreign economic public. Sources of ables and graphs: Minisry of Finance of he Czech Republic, European Commission, OECD, IMF, MoF esimaes. The already 16 year hisory of hese regular quarerly forecass provides qualiy source maerial for evaluaing heir success. Such assessmen can help users comprehend how precisely i is possible o idenify fuure developmen of basic macroeconomic indicaors over various ime horizons. A he same ime, i is necessary o realise ha fundamenal changes in he Czech economy occurred during he evaluaed period, as i shifed from a volaile ransiion economy o a more or less sable marke economy wihin he EU. A similar shif occurred in he saisical characerisaion of he economic realiy, and even in he prognosic mehods and procedures used. Thus we have divided he period from 1995 o 010 ino wo periods of equal lengh ( and ) in order also o be able o evaluae how successfully he forecass have developed over ime. Basic erms All macroeconomic forecass are by heir naure condiioned upon he assumpions adoped regarding he developmen of exogenous facors. Some of hese canno be prediced naural disasers, developmen of financial markes including commodiy prices, or changes of poliical environmen boh wihin and ouside he Czech Republic. Ohers, e.g. impac of srucural policy measures, are very difficul o quanify. Revisions o he underlying daa for pas periods, which especially concern he mos imporan indicaors of he naional sysem of accouns, represen anoher significan source of uncerainy. Idenifying he impacs of hese facors which arise exernally and are enirely beyond he forecas eam s conrol, however, is difficul, if no impossible. In accordance wih he lieraure (see lis), we herefore exclude hese facors from he analysis. The success of macroeconomic forecass is usually evaluaed using several basic saisics average forecasing error, mean absolue error, and Theil s inequaliy coefficien. Average forecasing error (AFE) indicaes forecass deviaion. Posiive AFE values indicae sysemaic or prevalen over esimaion in he forecass, while negaive values indicae under esimaion. AFE is defined by he following relaionship: T F A AFE 1 T, where A is he acual value a ime, number of observaions. F is he forecas for he period and T is he Mean absolue error (MAE) expresses he average absolue error of he forecas as compared o realiy. MAE is deermined as follows: MAE T 1 F A T Theil s inequaliy coefficien (TIE) serves for assessing he success of forecass. The coefficien is defined as he raio of he mean squared errors of analysed forecass and naive forecass: TIE T 1 T A 1 A 1 F A
2 If Theil s coefficien equals 0, hen he forecas maches he acual siuaion. Coefficien values greaer han 1 indicae ha he resuls of forecas aciviies are worse han hose of he naive forecas. In inerpreing resuls, i is necessary o ake ino consideraion he fac ha his indicaor considerably penalises an isolaed, markedly worse resul as compared o he naive forecas and, by conras, yields a subsanial bonus for well esimaed sudden shifs in he developmen of prediced quaniies. A naive forecas is a mechanically creaed forecas whereby he value of a given indicaor for he year +1 equals he measured, esimaed or forecas value of his indicaor for he year. The forecas horizon is undersood o be he ime from publishing he forecas o he end of he forecas period. All saisics were calculaed in comparison wih he firs esimaes published by he CZSO or CNB, as i is no possible o esimae he scope of changes in pas developmen hrough subsequen revisions of ime series, which for he mos par canno be divided ino componens maerially specifying he given indicaor and mehodological change. Real GDP Growh While forecass from he years significanly overvalued real GDP growh, in he subsequen period he deviaion oward overvaluing growh was already much lower and in a shor ime horizon real GDP growh was insead slighly undervalued. The high mean absolue error in a horizon of over 15 monhs, amouning o 3 p.p. for he enire moniored period, was caused by inaccurae esimaes of real GDP growh in he years 1998 and 009, when he onse of recession was no deeced sufficienly in advance. In connecion wih he recen recession, i is necessary, however, o emphasise ha i was caused exclusively by an unfavourable developmen in he exernal environmen. The difficuly in predicing fuure Graph 1: Average Forecasing Error developmen in his period is evidenced, for example, by comparisons wih he forecass of oher insiuions from his period (see Macroeconomic Forecas, July 008, Chaper D, hp://www.mfcr.cz/cps/rde/xbcr/ mfcr/makropre_008q3_komple_pdf.pdf) or gradual adjusmen of he forecass of inernaional insiuions (see Macroeconomic Forecas, April 009, Chaper A1, able A.1.1, hp://www.mfcr.cz/cps/rde/xbcr/mfcr/ MakroPre_009Q_komple_pdf.pdf). The same explanaion can be offered for Theil s coefficien values, which in a horizon of longer han 4 monhs exceed. The marked decrease in he Theil s coefficien in he second moniored period in he horizon of 6 18 monhs indicaes improvemen in he qualiy of he forecass of real GDP growh. Graph : Theil s Inequaliy Coefficien Revision
3 Nominal GDP Growh From he viewpoin of he budgeary process, nominal GDP is he mos imporan macroeconomic indicaor. I is used as he denominaor in raio indicaors, and forecass of budge income are derived from he magniude of is componens. Nominal GDP growh in boh moniored periods was slighly overvalued in longer horizons, bu he average forecasing error was significanly lower in he second period and almos zero in a horizon of up o 9 monhs. Graph 3: Average Forecasing Error The mean absolue error, which was lower by an average 35% in he second moniored period, also confirms he increase in he qualiy of forecass. In an 18 monh horizon, which represens he saring poin for preparing he sae budge, absolue error shows a decreasing characer. High values in he years 1997 and 009 fall wihin periods of economic recessions, while ha in 1999 falls wihin a period of disinflaion. The esimae for 010, on he oher hand, was enirely accurae. Graph 4: MAE in he 18 monh horizon Revision Absolue error Linear rend Forecas for year GDP Deflaor Growh Growh in he GDP deflaor was overvalued in boh moniored periods, bu he average forecasing error did no exceed p.p. hroughou he horizon. As wih nominal GDP growh, he significan decrease in mean absolue error during , which fell by more han wo fifhs on average as compared wih he firs period, was eviden here as well. The graph depicing he absolue error in an 18 monh horizon also confirms his decreasing rend. The error Graph 5: Mean Absolue Error for 1999 falls in a period of disinflaion, when growh of he GDP deflaor fell from 10.8% in 1998 o.7% in Alhough he decline was expeced and properly idenified in ime, is scope exceeded all expecaions. The Theil s coefficien for he enire 16 year period did no exceed 0.85 a any poin in he horizon, alhough is average values were slighly higher in he second period. Graph 6: MAE in he 18 monh horizon Absolue error Linear rend Revision Forecas for year
4 Real Household Consumpion Growh Whereas in he firs period he growh of household consumpion was mainly overesimaed, in he second period he forecass were almos unbiased and he average forecasing error did no exceed p.p. in a horizon less han 4 monhs. Mean absolue error is sysemaically lower han forecass of real GDP. Average value of he mean absolue error reaches abou.5 p.p. in he horizon of 3 years, hen i gradually decreases and i is below 1 p.p. in a shor ime horizon of 0 9 monhs. This downward rend is also confirmed by anoher graph showing he mean absolue error in he 18 Graph 7: Average Forecasing Error monh horizon. The errors for 1997 and 1998 fall in a period of recession, when he household consumpion growh slowed from 8.4% in 1996 o.% in 1997 and hen i fell by 0,8% in Alhough he decline was prediced, is scope exceeded all expecaions. The error for 009 falls also in a period of recession. An ineresing resul is almos accurae predicion for 010, which was publish in 009 wihou he knowledge of Janoa's package o sabilise public finances. The Theil s inequaliy coefficien is roughly a he level of 1 in a horizon more han 1 monhs, hen from he 18 monh budge horizon i is coninuously decreasing. Graph 8: MAE in he 18 monh horizon Absolue error Linear rend Revision Forecas for year Average Inflaion Rae Price developmen predicions in he Macroeconomic Forecas were surprisingly accurae in he majoriy of cases. In he main, he forecass slighly overvalued he average inflaion rae. In a horizon of up o 30 monhs, he average forecasing error did no exceed 1 p.p. in eiher moniored period. Similar o he average forecasing error, he mean absolue error in he second period is also significanly lower and has a decreasing characer over he 18 monh budge horizon. The error for 1999 falls ino a period of fierce disinflaion, as he average inflaion rae fell from 10.7% in 1998 o.1% in Alhough his rend was properly idenified, is scope exceeded all expecaions. On he oher hand, he absolue error did no exceed p.p. during he 18 monh budge horizon in 8 of he 14 years moniored. This can be seen as very posiive. The Theil s inequaliy coefficien never exceeded 0.75 in eiher moniored period over he enire ime horizon.
5 Graph 9: Mean Absolue Error Graph 10: MAE in he 18 monh horizon Absolue error Linear rend Forecas for year Average Unemploymen Rae (LFS) The unemploymen rae according o LFS has been forecased only since 000, and hus i was no possible o compare he qualiy of forecass over ime. Forecass sysemaically overvalued he unemploymen rae, bu he average forecasing error did no exceed 0.6 p.p. over any ime horizon. The unemploymen rae was undervalued only in 009, when i grew by.3 p.p. in comparison wih he previous year as a resul of economic recession. Graph 11: Mean Absolue Error Mean absolue error shows a coninuously decreasing rend and does no exceed p.p. in a horizon less han 15 monhs. High Theil s inequaliy coefficien values in he horizon over 18 monhs are due primarily o inaccurae esimaes in he years 007 and 009. The drop in he unemploymen rae in 007 as a resul of rapid economic growh surpassed our expecaions, while in 009 we were unable o deec he onse of he recession sufficienly in advance. Graph 1: Theil s Inequaliy Coefficien Curren Accoun o GDP Raio Alhough forecass overvalued he raio of he curren accoun o GDP during he moniored period, he average forecasing error did no exceed p.p. on average in eiher period. The mean absolue error ranged, wih a few excepions, beween 1 p.p. and p.p. and ypically was lower in he second moniored period. Absolue error in he 18 monh horizon shows a decreasing characer. Apar from he 4 monh horizon, he Theil s coefficien is lower in he firs moniored period. In he second period, i even surpassed 1 in he 9 18 monhs range. This can be blamed largely upon a change o he revision sysem which occurred in he second moniored period. While previously revisions were made almos consanly, now his is done only once per year. As a resul, he period in which he forecas is esablished on pas developmen, which, as is laer shown, does no correspond o realiy, hus is exended.
6 Graph 13: Mean Absolue Error Graph 14: Theil s Inequaliy Coefficien Revision Comparing he Success of Minisry of Finance Forecass wih Prognoses of Inernaional Insiuions We have compared forecass of he Czech Minisry of Finance wih he macroeconomic prognoses of OECD, he European Commission and he Inernaional Moneary Fund. In his case as well, we made use of he average forecasing error, mean absolue error and Theil s inequaliy coefficien o evaluae he success of Table 1: Forecass of Real GDP Growh forecass, hough we conduced he comparison only for he period The resuls indicae ha he success of all insiuions forecass basically do no much differ. Neverheless, he forecass of he Czech Minisry of Finance and of OECD achieve he bes resuls in he majoriy of cases. Theil s Inequaliy Coefficien MoF EC OECD IMF MoF EC OECD IMF MoF EC OECD IMF 7 monhs monhs monhs monhs monhs Table : Forecass of Nominal GDP Growh Theil s Inequaliy Coefficien MoF EC OECD MoF EC OECD MoF EC OECD 7 monhs monhs monhs monhs monhs Table 3: Forecass of GDP Deflaor Growh Theil s Inequaliy Coefficien MoF EC OECD MoF EC OECD MoF EC OECD 7 monhs monhs monhs monhs monhs
7 Table 4: Forecass of Real Household Consumpion Growh Theil s Inequaliy Coefficien MoF EC OECD MoF EC OECD MoF EC OECD 7 monhs monhs monhs monhs monhs Table 5: Forecass of Average Inflaion Rae Theil s Inequaliy Coefficien MoF OECD IMF MoF OECD IMF MoF OECD IMF 7 monhs monhs monhs monhs monhs Table 6: Forecass of Average Unemploymen Rae (LFS) Theil s Inequaliy Coefficien MoF EC OECD MoF EC OECD MoF EC OECD 7 monhs monhs monhs monhs monhs Table 7: Forecass of Curren Accoun o GDP Raio Theil s Inequaliy Coefficien MoF OECD IMF MoF OECD IMF MoF OECD IMF 7 monhs monhs monhs monhs monhs Noe : As for consumer prices, EC produces only forecass of HICP which is no quaniaively comparable wih naional CPI. IMF Oulook consiss only of forecass of real GDP growh, inflaion and curren accoun/gdp raio.
8 Conclusion An evaluaion of he hisorical values of Minisry of Finance Macroeconomic forecass showed ha heir qualiy is improving over ime. The Minisry s forecass are fully comparable wih hose of renowned inernaional insiuions, and in several cases are even beer. A he same ime, he Minisry of Finance of he Czech Republic usually publishes is forecass before he oher insiuions included in his comparison do so. Based on he conduced analyses, i can also be saed ha for he majoriy of macroeconomic indicaors he forecass have informaive value on a horizon of up o approximaely 18 monhs. On a longer ime horizon, forecass raher esablish expecaions for he rend of economic developmen. Lieraure: Kousogeorgopoulou, V.: A Pos Morem on Economic Oulook Projecions, OECD Economic Deparmen Working Papers No. 74. Paris, OECD Economic Deparmen, 000. Melander, A., Sismanidis, G., Grenouilleau, D.: The rack record of he Commission's forecass an updae. Brussels, European Commission, 007. Novoný, F., Raková, M.: Assessmen of Consensus Forecass Accuracy: The Czech Naional Bank Perspecive. Prague, Czech Naional Bank, 010.
9 Table annex Table 8: Forecass of Real GDP Growh 36 monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs Revisions x Table 9: Forecass of Nominal GDP Growh 36 monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs Revisions x
10 Table 10: Forecass of GDP Deflaor Growh 36 monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs Revisions x Table 11: Forecass of Real Household Consumpion Growh 36 monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs Revisions x
11 Table 1: Forecass of Average Inflaion Rae 33 monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs Table 13: Forecass of Average Unemploymen Rae (LFS) 33 monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs monhs Table 14: Forecass of Curren Accoun o GDP Raio 4 monhs monhs monhs monhs monhs monhs monhs monhs monhs Revisions x
SPECIAL REPORT May 4, Shifting Drivers of Inflation Canada versus the U.S.
Paul Ferley Assisan Chief Economis 4169747231 paul.ferley@rbc.com Nahan Janzen Economis 4169740579 nahan.janzen@rbc.com SPECIAL REPORT May 4, 2010 Shifing Drivers of Inflaion Canada versus he U.S.
More informationThe Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas
The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he
More informationChapter 8 Student Lecture Notes 81
Chaper Suden Lecure Noes  Chaper Goals QM: Business Saisics Chaper Analyzing and Forecasing Series Daa Afer compleing his chaper, you should be able o: Idenify he componens presen in a ime series Develop
More informationINTRODUCTION TO FORECASTING
INTRODUCTION TO FORECASTING INTRODUCTION: Wha is a forecas? Why do managers need o forecas? A forecas is an esimae of uncerain fuure evens (lierally, o "cas forward" by exrapolaing from pas and curren
More informationWhy Do Real and Nominal. InventorySales Ratios Have Different Trends?
Why Do Real and Nominal InvenorySales Raios Have Differen Trends? By Valerie A. Ramey Professor of Economics Deparmen of Economics Universiy of California, San Diego and Research Associae Naional Bureau
More information11/6/2013. Chapter 14: Dynamic ADAS. Introduction. Introduction. Keeping track of time. The model s elements
Inroducion Chaper 14: Dynamic DS dynamic model of aggregae and aggregae supply gives us more insigh ino how he economy works in he shor run. I is a simplified version of a DSGE model, used in cuingedge
More informationINVESTIGATION OF THE INFLUENCE OF UNEMPLOYMENT ON ECONOMIC INDICATORS
INVESTIGATION OF THE INFLUENCE OF UNEMPLOYMENT ON ECONOMIC INDICATORS Ilona Tregub, Olga Filina, Irina Kondakova Financial Universiy under he Governmen of he Russian Federaion 1. Phillips curve In economics,
More informationVector Autoregressions (VARs): Operational Perspectives
Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101115. Macroeconomericians
More informationUSE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES
USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES Mehme Nuri GÖMLEKSİZ Absrac Using educaion echnology in classes helps eachers realize a beer and more effecive learning. In his sudy 150 English eachers were
More informationPrincipal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.
Principal componens of sock marke dynamics Mehodology and applicaions in brief o be updaed Andrei Bouzaev, bouzaev@ya.ru Why principal componens are needed Objecives undersand he evidence of more han one
More informationAppendix D Flexibility Factor/Margin of Choice Desktop Research
Appendix D Flexibiliy Facor/Margin of Choice Deskop Research Cheshire Eas Council Cheshire Eas Employmen Land Review Conens D1 Flexibiliy Facor/Margin of Choice Deskop Research 2 Final Ocober 2012 \\GLOBAL.ARUP.COM\EUROPE\MANCHESTER\JOBS\200000\22348900\4
More informationPrice elasticity of demand for crude oil: estimates for 23 countries
Price elasiciy of demand for crude oil: esimaes for 23 counries John C.B. Cooper Absrac This paper uses a muliple regression model derived from an adapaion of Nerlove s parial adjusmen model o esimae boh
More informationBALANCE OF PAYMENTS. First quarter 2008. Balance of payments
BALANCE OF PAYMENTS DATE: 20080530 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se
More informationDuration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.
Graduae School of Business Adminisraion Universiy of Virginia UVAF38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised
More informationA Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation
A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion
More informationChapter 8: Regression with Lagged Explanatory Variables
Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One
More informationII.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal
Quarerly Repor on he Euro Area 3/202 II.. Deb reducion and fiscal mulipliers The deerioraion of public finances in he firs years of he crisis has led mos Member Saes o adop sizeable consolidaion packages.
More informationMorningstar Investor Return
Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion
More informationImpact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences
S.R. No. 002 10/2015/CEFT Impac of Deb on Primary Defici and GSDP Gap in Odisha: Empirical Evidences 1. Inroducion The excessive pressure of public expendiure over is revenue receip is financed hrough
More informationPerformance Center Overview. Performance Center Overview 1
Performance Cener Overview Performance Cener Overview 1 ODJFS Performance Cener ce Cener New Performance Cener Model Performance Cener Projec Meeings Performance Cener Execuive Meeings Performance Cener
More informationChapter 6: Business Valuation (Income Approach)
Chaper 6: Business Valuaion (Income Approach) Cash flow deerminaion is one of he mos criical elemens o a business valuaion. Everyhing may be secondary. If cash flow is high, hen he value is high; if he
More informationThe Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of
Prof. Harris Dellas Advanced Macroeconomics Winer 2001/01 The Real Business Cycle paradigm The RBC model emphasizes supply (echnology) disurbances as he main source of macroeconomic flucuaions in a world
More informationInternational Trade and the Connection Between Excess Demand and Inflation by. Albert S. Dexter Maurice D. Levi and Barrie R. Nault* October 10, 2002
Inernaional Trade and he Connecion Beween Excess Demand and Inflaion by Alber S. Dexer Maurice D. Levi and Barrie R. Naul* Ocober 10, 2002 * Dexer and Levi: Professors of Commerce and Business Adminisraion,
More informationMarket Analysis and Models of Investment. Product Development and Whole Life Cycle Costing
The Universiy of Liverpool School of Archiecure and Building Engineering WINDS PROJECT COURSE SYNTHESIS SECTION 3 UNIT 11 Marke Analysis and Models of Invesmen. Produc Developmen and Whole Life Cycle Cosing
More informationDEMAND FORECASTING MODELS
DEMAND FORECASTING MODELS Conens E2. ELECTRIC BILLED SALES AND CUSTOMER COUNTS Sysemlevel Model Counylevel Model Easside King Counylevel Model E6. ELECTRIC PEAK HOUR LOAD FORECASTING Sysemlevel Forecas
More informationThe naive method discussed in Lecture 1 uses the most recent observations to forecast future values. That is, Y ˆ t + 1
Business Condiions & Forecasing Exponenial Smoohing LECTURE 2 MOVING AVERAGES AND EXPONENTIAL SMOOTHING OVERVIEW This lecure inroduces imeseries smoohing forecasing mehods. Various models are discussed,
More informationContrarian insider trading and earnings management around seasoned equity offerings; SEOs
Journal of Finance and Accounancy Conrarian insider rading and earnings managemen around seasoned equiy offerings; SEOs ABSTRACT Lorea Baryeh Towson Universiy This sudy aemps o resolve he differences in
More informationRelationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith**
Relaionships beween Sock Prices and Accouning Informaion: A Review of he Residual Income and Ohlson Models Sco Pirie* and Malcolm Smih** * Inernaional Graduae School of Managemen, Universiy of Souh Ausralia
More informationChapter 4: Exponential and Logarithmic Functions
Chaper 4: Eponenial and Logarihmic Funcions Secion 4.1 Eponenial Funcions... 15 Secion 4. Graphs of Eponenial Funcions... 3 Secion 4.3 Logarihmic Funcions... 4 Secion 4.4 Logarihmic Properies... 53 Secion
More informationForecasting. Including an Introduction to Forecasting using the SAP R/3 System
Forecasing Including an Inroducion o Forecasing using he SAP R/3 Sysem by James D. Blocher Vincen A. Maber Ashok K. Soni Munirpallam A. Venkaaramanan Indiana Universiy Kelley School of Business February
More informationPart 1: White Noise and Moving Average Models
Chaper 3: Forecasing From Time Series Models Par 1: Whie Noise and Moving Average Models Saionariy In his chaper, we sudy models for saionary ime series. A ime series is saionary if is underlying saisical
More informationRevisions to Nonfarm Payroll Employment: 1964 to 2011
Revisions o Nonfarm Payroll Employmen: 1964 o 2011 Tom Sark December 2011 Summary Over recen monhs, he Bureau of Labor Saisics (BLS) has revised upward is iniial esimaes of he monhly change in nonfarm
More informationCan Individual Investors Use Technical Trading Rules to Beat the Asian Markets?
Can Individual Invesors Use Technical Trading Rules o Bea he Asian Markes? INTRODUCTION In radiional ess of he weakform of he Efficien Markes Hypohesis, price reurn differences are found o be insufficien
More informationChapter 1.6 Financial Management
Chaper 1.6 Financial Managemen Par I: Objecive ype quesions and answers 1. Simple pay back period is equal o: a) Raio of Firs cos/ne yearly savings b) Raio of Annual gross cash flow/capial cos n c) = (1
More informationSetting Accuracy Targets for. ShortTerm Judgemental Sales Forecasting
Seing Accuracy Targes for ShorTerm Judgemenal Sales Forecasing Derek W. Bunn London Business School Sussex Place, Regen s Park London NW1 4SA, UK Tel: +44 (0)171 262 5050 Fax: +44(0)171 724 7875 Email:
More informationMeasuring macroeconomic volatility Applications to export revenue data, 19702005
FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a
More informationSPEC model selection algorithm for ARCH models: an options pricing evaluation framework
Applied Financial Economics Leers, 2008, 4, 419 423 SEC model selecion algorihm for ARCH models: an opions pricing evaluaion framework Savros Degiannakis a, * and Evdokia Xekalaki a,b a Deparmen of Saisics,
More informationIndividual Health Insurance April 30, 2008 Pages 167170
Individual Healh Insurance April 30, 2008 Pages 167170 We have received feedback ha his secion of he e is confusing because some of he defined noaion is inconsisen wih comparable life insurance reserve
More informationANALYSIS FOR FINDING AN EFFICIENT SALES FORECASTING METHOD IN THE PROCESS OF PRODUCTION PLANNING, OPERATION AND OTHER AREAS OF DECISION MAKING
Inernaional Journal of Mechanical and Producion Engineering Research and Developmen (IJMPERD ) Vol.1, Issue 2 Dec 2011 136 TJPRC Pv. Ld., ANALYSIS FOR FINDING AN EFFICIENT SALES FORECASTING METHOD IN
More informationRisk Modelling of Collateralised Lending
Risk Modelling of Collaeralised Lending Dae: 4112008 Number: 8/18 Inroducion This noe explains how i is possible o handle collaeralised lending wihin Risk Conroller. The approach draws on he faciliies
More informationNikkei Stock Average Volatility Index Realtime Version Index Guidebook
Nikkei Sock Average Volailiy Index Realime Version Index Guidebook Nikkei Inc. Wih he modificaion of he mehodology of he Nikkei Sock Average Volailiy Index as Nikkei Inc. (Nikkei) sars calculaing and
More informationTEMPORAL PATTERN IDENTIFICATION OF TIME SERIES DATA USING PATTERN WAVELETS AND GENETIC ALGORITHMS
TEMPORAL PATTERN IDENTIFICATION OF TIME SERIES DATA USING PATTERN WAVELETS AND GENETIC ALGORITHMS RICHARD J. POVINELLI AND XIN FENG Deparmen of Elecrical and Compuer Engineering Marquee Universiy, P.O.
More informationMathematics in Pharmacokinetics What and Why (A second attempt to make it clearer)
Mahemaics in Pharmacokineics Wha and Why (A second aemp o make i clearer) We have used equaions for concenraion () as a funcion of ime (). We will coninue o use hese equaions since he plasma concenraions
More informationDiane K. Michelson, SAS Institute Inc, Cary, NC Annie Dudley Zangi, SAS Institute Inc, Cary, NC
ABSTRACT Paper DK02 SPC Daa Visualizaion of Seasonal and Financial Daa Using JMP Diane K. Michelson, SAS Insiue Inc, Cary, NC Annie Dudley Zangi, SAS Insiue Inc, Cary, NC JMP Sofware offers many ypes
More informationWorking paper No.3 Cyclically adjusting the public finances
Working paper No.3 Cyclically adjusing he public finances Thora Helgadoir, Graeme Chamberlin, Pavandeep Dhami, Sephen Farringon and Joe Robins June 2012 Crown copyrigh 2012 You may reuse his informaion
More informationPROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE
Profi Tes Modelling in Life Assurance Using Spreadshees PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Erik Alm Peer Millingon 2004 Profi Tes Modelling in Life Assurance Using Spreadshees
More informationSmall and Large Trades Around Earnings Announcements: Does Trading Behavior Explain PostEarningsAnnouncement Drift?
Small and Large Trades Around Earnings Announcemens: Does Trading Behavior Explain PosEarningsAnnouncemen Drif? Devin Shanhikumar * Firs Draf: Ocober, 2002 This Version: Augus 19, 2004 Absrac This paper
More informationNew Classical Economics. Graduate Macroeconomics I ECON 309 Cunningham
New Classical Economics Graduae Macroeconomics I ECON 309 Cunningham New Classical Economics 1. Acceps model of GE wih no imperfecions. 2. Prices are perfecly flexible, and all markes are permanenly cleared
More informationGraphing the Von Bertalanffy Growth Equation
file: d:\b1732013\von_beralanffy.wpd dae: Sepember 23, 2013 Inroducion Graphing he Von Beralanffy Growh Equaion Previously, we calculaed regressions of TL on SL for fish size daa and ploed he daa and
More informationJCER DISCUSSION PAPER No.136
JCER DISCUSSION PAPER No.136 Belief changes and expecaion heerogeneiy in buy and sellside professionals in he Japanese sock marke Ryuichi Yamamoo and Hideaki Hiraa February 2012 公 益 社 団 法 人 日 本 経 済 研
More informationChapter 7. Response of FirstOrder RL and RC Circuits
Chaper 7. esponse of FirsOrder L and C Circuis 7.1. The Naural esponse of an L Circui 7.2. The Naural esponse of an C Circui 7.3. The ep esponse of L and C Circuis 7.4. A General oluion for ep and Naural
More informationFinance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.
Finance and Economics Discussion Series Divisions of Research & Saisics and Moneary Affairs Federal Reserve Board, Washingon, D.C. The Effecs of Unemploymen Benefis on Unemploymen and Labor Force Paricipaion:
More informationYale ICF Working Paper No. 0044 March 2002
Yale ICF Working Paper No. 0044 March 2002 STOCK MARKET RETURNS IN THE LONG RUN: PARTICIPATING IN THE REAL ECONOMY Roger G. Ibboson Yale School of Managemen Peng Chen Ibboson Associaes, Inc. This paper
More informationDOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR
Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios
More information1. The graph shows the variation with time t of the velocity v of an object.
1. he graph shows he variaion wih ime of he velociy v of an objec. v Which one of he following graphs bes represens he variaion wih ime of he acceleraion a of he objec? A. a B. a C. a D. a 2. A ball, iniially
More informationA Brief Introduction to the Consumption Based Asset Pricing Model (CCAPM)
A Brief Inroducion o he Consumpion Based Asse Pricing Model (CCAPM We have seen ha CAPM idenifies he risk of any securiy as he covariance beween he securiy's rae of reurn and he rae of reurn on he marke
More information4.8 Exponential Growth and Decay; Newton s Law; Logistic Growth and Decay
324 CHAPTER 4 Exponenial and Logarihmic Funcions 4.8 Exponenial Growh and Decay; Newon s Law; Logisic Growh and Decay OBJECTIVES 1 Find Equaions of Populaions Tha Obey he Law of Uninhibied Growh 2 Find
More informationPredicting Stock Market Index Trading Signals Using Neural Networks
Predicing Sock Marke Index Trading Using Neural Neworks C. D. Tilakarane, S. A. Morris, M. A. Mammadov, C. P. Hurs Cenre for Informaics and Applied Opimizaion School of Informaion Technology and Mahemaical
More informationUsefulness of the Forward Curve in Forecasting Oil Prices
Usefulness of he Forward Curve in Forecasing Oil Prices Akira Yanagisawa Leader Energy Demand, Supply and Forecas Analysis Group The Energy Daa and Modelling Cener Summary When people analyse oil prices,
More informationCURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH. José Manuel Campa Angel Gavilán
CIIF Working Paper WP no 651 Sepember, 2006 CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH José Manuel Campa Angel Gavilán IESE Business School Universiy of Navarra Avda. Pearson, 21 08034
More informationis a random vector with zero mean and Var(e
Economics Leers 73 (2001) 147 153 www.elsevier.com/ locae/ econbase Esimaion of direc and indirec impac of oil price on growh Tilak Abeysinghe* Deparmen of Economics, Naional Universiy of Singapore, 10Ken
More informationForeign Exchange Market Microstructure
Foreign Exchange Marke Microsrucure Marin.. Evans 1 Georgeown Universiy and NBER Absrac This paper provides an overview of he recen lieraure on Foreign Exchange Marke Microsrucure. Is aim is no o survey
More informationEconomics 140A Hypothesis Testing in Regression Models
Economics 140A Hypohesis Tesing in Regression Models While i is algebraically simple o work wih a populaion model wih a single varying regressor, mos populaion models have muliple varying regressors 1
More informationForecasting Malaysian Gold Using. GARCH Model
Applied Mahemaical Sciences, Vol. 7, 2013, no. 58, 28792884 HIKARI Ld, www.mhikari.com Forecasing Malaysian Gold Using GARCH Model Pung Yean Ping 1, Nor Hamizah Miswan 2 and Maizah Hura Ahmad 3 Deparmen
More informationSEASONAL ADJUSTMENT. 1 Introduction. 2 Methodology. 3 X11ARIMA and X12ARIMA Methods
SEASONAL ADJUSTMENT 1 Inroducion 2 Mehodology 2.1 Time Series and Is Componens 2.1.1 Seasonaliy 2.1.2 TrendCycle 2.1.3 Irregulariy 2.1.4 Trading Day and Fesival Effecs 3 X11ARIMA and X12ARIMA Mehods
More informationUPDATE OF QUARTERLY NATIONAL ACCOUNTS MANUAL: CONCEPTS, DATA SOURCES AND COMPILATION 1 CHAPTER 7. SEASONAL ADJUSTMENT 2
UPDATE OF QUARTERLY NATIONAL ACCOUNTS MANUAL: CONCEPTS, DATA SOURCES AND COMPILATION 1 CHAPTER 7. SEASONAL ADJUSTMENT 2 Table of Conens 1. Inroducion... 3 2. Main Principles of Seasonal Adjusmen... 6 3.
More informationLongRun Stock Returns: Participating in the Real Economy
LongRun Sock Reurns: Paricipaing in he Real Economy Roger G. Ibboson and Peng Chen In he sudy repored here, we esimaed he forwardlooking longerm equiy risk premium by exrapolaing he way i has paricipaed
More informationInternal and External Factors for Credit Growth in Macao
Inernal and Exernal Facors for Credi Growh in Macao Nicholas Cheang Research and Saisics Deparmen, Moneary Auhoriy of Macao Absrac Commercial banks are dominan eniies in he Macao financial secor. They
More informationThe impact of Federal Reserve asset purchase programmes: another twist 1
Jack Meaning jm583@ken.ac.uk eng Zhu feng.zhu@bis.org The impac of ederal Reserve asse purchase programmes: anoher wis 1 This aricle examines he effeciveness of recen ederal Reserve asse purchase programmes.
More informationMarket Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand
36 Invesmen Managemen and Financial Innovaions, 4/4 Marke Liquidiy and he Impacs of he Compuerized Trading Sysem: Evidence from he Sock Exchange of Thailand Sorasar Sukcharoensin 1, Pariyada Srisopisawa,
More informationSegmentation, Probability of Default and Basel II Capital Measures. for Credit Card Portfolios
Segmenaion, Probabiliy of Defaul and Basel II Capial Measures for Credi Card Porfolios Draf: Aug 3, 2007 *Work compleed while a Federal Reserve Bank of Philadelphia Dennis Ash Federal Reserve Bank of Philadelphia
More informationAn Analysis of Tax Revenue Forecast Errors
An Analysis of Tax Revenue Forecas Errors Marin Keene and Peer Thomson N EW Z EALAND T REASURY W ORKING P APER 07/02 M ARCH 2007 NZ TREASURY WORKING PAPER 07/02 An Analysis of Tax Revenue Forecas Errors
More informationCURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH. José Manuel Campa and Ángel Gavilán an. Documentos de Trabajo N.
CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH 2006 José Manuel Campa and Ángel Gavilán an Documenos de Trabajo N.º 0638 CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH CURRENT
More information1. Explain why the theory of purchasing power parity is often referred to as the law of one price.
Chaper Review Quesions. xplain why he heory of purchasing power pariy is ofen referred o as he law of one price. urchasing ower ariy () is referred o as he law of one price because he deerminaion of he
More informationExplaining the NZAustralian exchange rate occasional paper
Wespac $ Insiuional Bank April 2002 Explaining he NZAusralian exchange rae occasional paper Paul Conway and Richard Franulovich Wespac Insiuional Bank PO Box 691 Wellingon New Zealand Phone (644) 3811414
More informationPavel Trunin. nestabilnosti v razvivayuschikhsya ekonomikakh (na primere Rossii). Nauchnye trudy IEPP. M., 2007, 111
Pavel Trunin The Use of he Signal Approach o Developmen of Early Warning Indicaors of Financial Turmoil in Russia 1 A number of serious imbalances have emerged in he global economy o dae. These are, primarily:
More informationChabot College Physics Lab RC Circuits Scott Hildreth
Chabo College Physics Lab Circuis Sco Hildreh Goals: Coninue o advance your undersanding of circuis, measuring resisances, currens, and volages across muliple componens. Exend your skills in making breadboard
More informationCALCULATION OF OMX TALLINN
CALCULATION OF OMX TALLINN CALCULATION OF OMX TALLINN 1. OMX Tallinn index...3 2. Terms in use...3 3. Comuaion rules of OMX Tallinn...3 3.1. Oening, realime and closing value of he Index...3 3.2. Index
More informationHotel Room Demand Forecasting via Observed Reservation Information
Proceedings of he Asia Pacific Indusrial Engineering & Managemen Sysems Conference 0 V. Kachivichyanuul, H.T. Luong, and R. Piaaso Eds. Hoel Room Demand Forecasing via Observed Reservaion Informaion aragain
More informationYEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSSCURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR
YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSSCURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR THE FIRST ANNUAL PACIFICBASIN FINANCE CONFERENCE The
More informationYTM is positively related to default risk. YTM is positively related to liquidity risk. YTM is negatively related to special tax treatment.
. Two quesions for oday. A. Why do bonds wih he same ime o mauriy have differen YTM s? B. Why do bonds wih differen imes o mauriy have differen YTM s? 2. To answer he firs quesion les look a he risk srucure
More informationINTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES
INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES OPENGAMMA QUANTITATIVE RESEARCH Absrac. Exchangeraded ineres rae fuures and heir opions are described. The fuure opions include hose paying
More informationJournal of Business & Economics Research Volume 1, Number 10
Annualized Invenory/Sales Journal of Business & Economics Research Volume 1, Number 1 A Macroeconomic Analysis Of Invenory/Sales Raios William M. Bassin, Shippensburg Universiy Michael T. Marsh (Email:
More informationForecasting Sales: A Model and Some Evidence from the Retail Industry. Russell Lundholm Sarah McVay Taylor Randall
Forecasing Sales: A odel and Some Evidence from he eail Indusry ussell Lundholm Sarah cvay aylor andall Why forecas financial saemens? Seems obvious, bu wo common criicisms: Who cares, can we can look
More informationInformation technology and economic growth in Canada and the U.S.
Canada U.S. Economic Growh Informaion echnology and economic growh in Canada and he U.S. Informaion and communicaion echnology was he larges conribuor o growh wihin capial services for boh Canada and he
More informationNONPARAMETRIC AND PARAMETRIC APPROACHES TO THE CZECH BUSINESS CYCLE DATING
NONPARAMETRIC AND PARAMETRIC APPROACHES TO THE CZECH BUSINESS CYCLE DATING LENKA VRANÁ Universiy of Economics, Prague, Faculy of Informaics and Saisics, Deparmen of Saisics and Probabiliy W. Churchill
More informationForecasting the dynamics of financial markets. Empirical evidence in the long term
Leonardo Franci (Ialy), Andi Duqi (Ialy), Giuseppe Torluccio (Ialy) Forecasing he dynamics of financial markes. Empirical evidence in he long erm Absrac This sudy aims o verify wheher here are any macroeconomic
More informationHedging with Forwards and Futures
Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buyside of a forward/fuures
More informationNewton's second law in action
Newon's second law in acion In many cases, he naure of he force acing on a body is known I migh depend on ime, posiion, velociy, or some combinaion of hese, bu is dependence is known from experimen In
More informationCannibalization and Product Life Cycle Management
MiddleEas Journal of Scienific Research 19 (8): 10801084, 2014 ISSN 19909233 IDOSI Publicaions, 2014 DOI: 10.5829/idosi.mejsr.2014.19.8.11868 Cannibalizaion and Produc Life Cycle Managemen Ali Farrukh
More informationAn empirical analysis about forecasting Tmall airconditioning sales using time series model Yan Xia
An empirical analysis abou forecasing Tmall aircondiioning sales using ime series model Yan Xia Deparmen of Mahemaics, Ocean Universiy of China, China Absrac Time series model is a hospo in he research
More informationCan Austerity Be Selfdefeating?
DOI: 0.007/s07007 Auseriy Can Auseriy Be Selfdefeaing? Wih European governmens cuing back on spending, many are asking wheher his could make maers worse. In he UK for insance, recen OECD esimaes sugges
More informationWorking Paper No. 482. Net Intergenerational Transfers from an Increase in Social Security Benefits
Working Paper No. 482 Ne Inergeneraional Transfers from an Increase in Social Securiy Benefis By Li Gan Texas A&M and NBER Guan Gong Shanghai Universiy of Finance and Economics Michael Hurd RAND Corporaion
More informationEstimating TimeVarying Equity Risk Premium The Japanese Stock Market 19802012
Norhfield Asia Research Seminar Hong Kong, November 19, 2013 Esimaing TimeVarying Equiy Risk Premium The Japanese Sock Marke 19802012 Ibboson Associaes Japan Presiden Kasunari Yamaguchi, PhD/CFA/CMA
More informationESTIMATE OF POTENTIAL GROSS DOMESTIC PRODUCT USING THE PRODUCTION FUNCTION METHOD
Economeric Modelling Deparmen Igea Vrbanc June 2006 ESTIMATE OF POTENTIAL GROSS DOMESTIC PRODUCT USING THE PRODUCTION FUNCTION METHOD CONTENTS SUMMARY 1. INTRODUCTION 2. ESTIMATE OF THE PRODUCTION FUNCTION
More informationTaylor Rules and the Euro
Taylor Rules and he Euro Tanya Molodsova * Emory Universiy Alex NikolskoRzhevskyy ** Universiy of Memphis David H. Papell *** Universiy of Houson Sepember 9, 008 Absrac This paper uses realime daa o
More informationOption PutCall Parity Relations When the Underlying Security Pays Dividends
Inernaional Journal of Business and conomics, 26, Vol. 5, No. 3, 22523 Opion Puall Pariy Relaions When he Underlying Securiy Pays Dividends Weiyu Guo Deparmen of Finance, Universiy of Nebraska Omaha,
More informationThe forward premium puzzle is closely related to the failure of uncovered interest parity
World Economy  Forward Premium Puzzle 1 Forward Premium Puzzle Definiions and Relaed Conceps The forward premium puzzle is closely relaed o he failure of uncovered ineres pariy o hold, and he phenomenon
More informationChapter 4. Properties of the Least Squares Estimators. Assumptions of the Simple Linear Regression Model. SR3. var(e t ) = σ 2 = var(y t )
Chaper 4 Properies of he Leas Squares Esimaors Assumpions of he Simple Linear Regression Model SR1. SR. y = β 1 + β x + e E(e ) = 0 E[y ] = β 1 + β x SR3. var(e ) = σ = var(y ) SR4. cov(e i, e j ) = cov(y
More informationBALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015. All officiell statistik finns på: www.scb.se Statistikservice: tfn 08506 948 01
RKET BALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015 All officiell saisik finns på: www.scb.se Saisikservice: fn 08506 948 01 All official saisics can be found a: www.scb.se Saisics service, phone +46
More information