|
on Forecasting |
| By: | Ivan Paya (Universidad de Alicante); David A. Peel (University Management School); Ioannis A. Venetis (Centre of Planning and Economic Research (KEPE)) |
| Abstract: | We analyze the nonlinear behavior of the information content in the spread for future real economic activity. The spread linearly predicts one year ahead real growth in nine industrial production sectors of the US and four of the UK over the last forty years. However, recent investigations on the spread-real activity relation have questioned both its linear nature and its time-invariant framework. Our, in-sample, empirical evidence suggests that the spread real activity relationship exhibits asymmetries that allow for different predictive power of the spread when past spread values were above or below some threshold value. We then measure the out-of-sample forecast performance of the nonlinear model using predictive accuracy tests. The results show that significant improvement in forecasting accuracy, at least for one-step ahead forecasts, can be obtained over the linear model. |
| Keywords: | industrial production; yield spread; threshold model; forecasting; predictive accuracy |
| Date: | 2004–10 |
| URL: | http://d.repec.org/n?u=RePEc:ivi:wpasad:2004-41&r=for |
| By: | Ivan Paya (Universidad de Alicante); Agustín Duarte (Universidad de Alicante); Ioannis A. Venetis (Centre of Planning and Economic Research (KEPE)) |
| Abstract: | Although the spread has been established as a leading indicator of economic activity, recent studies on US and EU countries have documented, theoretically and empirically, that the term spread-output growth relationship may not be stable over time and it may be subjected to nonlinearities. Using aggregate data for the Euro area over the period 1970:1 - 2000:4, we applied linear regression as well as nonlinear models to examine the predictive accuracy of the term spread-output growth relationship. Our results confirm the ability of the yield curve as a leading indicator. Moreover, significant nonlinearity with respect to time and past annual growth is detected outperforming the linear model in out-of-sample forecasts of one-year-ahead annual growth. Furthermore probit models that use the EMU and US yield spreads are successful in predicting EMU recessions. |
| Keywords: | Term Spread and Real Growth; Threshold Models; Recession; Forecasting Accuracy |
| Date: | 2004–07 |
| URL: | http://d.repec.org/n?u=RePEc:ivi:wpasad:2004-31&r=for |
| By: | Aldy, Joseph (Resources For the Future) |
| Abstract: | Decisionmakers considering policies to mitigate climate change will benefit from information about current and future distributions of carbon dioxide (CO2) emissions. Examining the emissions dynamics of advanced economies that have experienced income convergence could provide insights about how distributions of country-level emissions may evolve over time if country-level incomes eventually undergo some convergence. This paper addresses the question of whether income convergence is sufficient for per capita CO2 emissions convergence by focusing on a set of advanced economies, the U.S. states. I undertake a variety of cross-sectional and stochastic convergence tests with two novel measures of 1960–1999 state-level CO2 emissions per capita—production (pre-electricity trade) CO2 and consumption (post-electricity trade) CO2—and with income per capita. Although incomes continue to converge, I find stark divergence in production CO2 per capita and no evidence of convergence for consumption CO2 per capita. Forecasts of future distributions show little convergence in emissions. |
| Keywords: | Markov chain transition matrix, sigma convergence, stochastic convergence, emissions distributions |
| JEL: | O40 Q54 Q56 |
| URL: | http://d.repec.org/n?u=RePEc:rff:dpaper:dp-06-07&r=for |
| By: | Cazavan-Jeny , Anne (ESSEC Business School); Jeanjean, Thomas (HEC School of Management) |
| Abstract: | This paper focuses on how forecasts information is disclosed in IPO prospectuses. In France, managers report either detailed forecasts or only a brief summary. We investigate the determinants and consequences of the varying levels of detail provided in these forecasts. Based on a sample of 82 IPOs on the Euronext Paris market (2000-2002), we show that only two variables are associated with highly detailed forecast disclosures: forecast horizon and firm age. We also find that the forecast error decreases as the level of detail in the forecast disclosures increases. This finding is robust to our reverse causality test (Heckman two-stage self-selection procedure) and suggests that the level of detail in forecast disclosures enhances the reliability of earnings forecasts. |
| Keywords: | IPO; Forecast disclosure; forecast error |
| JEL: | G14 G34 M41 |
| Date: | 2006–01 |
| URL: | http://d.repec.org/n?u=RePEc:ebg:essewp:dr-06001&r=for |
| By: | Copeland, Laurence (Cardiff Business School); Zhu, Yanhui |
| Abstract: | This paper addresses the question of how far hedging effectiveness can be improved by the use of more sophisticated models of the relationship between futures and spot prices. Working with daily data from six major index futures markets, we show that, when the cost of carry is incorporated in to the model, the two series are cointegrated, as anticipated. Fitting an ECM with a GJR-GARCH model of the variance process, we derive the implied optimal hedge ratios and compare their out-of-sample hedging effectiveness with OLS-based hedges. The results suggest little or no improvement over OLS. |
| Date: | 2006–02 |
| URL: | http://d.repec.org/n?u=RePEc:cdf:wpaper:2006/10&r=for |
| By: | Carl Bonham (Department of Economics, University of Hawaii at Manoa); Christopher Edmunds (Department of Economics, University of Hawaii at Manoa; Research Department, East-West Center, Honolulu, HI); James Mak (Department of Economics, University of Hawaii at Manoa) |
| Abstract: | This paper reviews recent trends in travel and tourism in the U.S. and Hawaii to ascertain how the terrorist attacks of 9/11 and subsequent terrible global events affected their tourism flows and the manner and pace of their recovery. We note that tourism in the U.S. has not fully recovered from 9/11 and other international shocks; indeed recovery of international travel to the U.S. may be a long way off. By contrast, Hawaii tourism is enjoying robust growth in the aftermath of 9/11 as growth in tourist arrivals from the U.S. mainland has more than offset declines in Japanese and other international visitors. We suggest that Hawaiis current tourism boom is in part explained by the diversion of U.S. travel from foreign travel. The paper demonstrates the usefulness of vector error correction models to generate dynamic visitor forecasts which we use to ascertain whether tourism in Hawaii has fully recovered from 9/11 and other terrible international events. The paper considers policy options for facilitating the recovery of international tourism to the U.S. |
| Keywords: | Tourism, Terrorism, Impact, Recovery |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:hai:wpaper:200602&r=for |