|
on Forecasting |
| By: | Peter F. Christoffersen (McGill University and CIRANO); Francis X. Diebold (Department of Economics, University of Pennsylvania); Roberto S. Mariano (Singapore Management University); Anthony S. Tay (Singapore Management University); Yiu Kuen Tse (Singapore Management University) |
| Abstract: | Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. |
| Keywords: | Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management |
| JEL: | G10 G12 |
| Date: | 2006–02–01 |
| URL: | http://d.repec.org/n?u=RePEc:pen:papers:06-016&r=for |
| By: | Roger Gordon; Martin Dietz |
| Abstract: | How do dividend taxes affect firm behavior and what are their distributional and efficiency effects? To answer these questions, the first problem is coming up with an explanation for why firms pay dividends, in spite of their tax penalty. This paper surveys three different models for why firms pay dividends, and then uses each model to examine the behavioral and efficiency effects of dividend taxes. The three models examined are: the “new view,” an agency cost explanation, and a signaling model. While all three models forecast dividends, their forecasts regarding other firm behavior, and their forecasts for the efficiency and distributional effects of a dividend tax, often differ. Given the evidence to date, we find the agency model is the one most consistent with the data. |
| JEL: | H25 G35 |
| Date: | 2006–06 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:12292&r=for |
| By: | Ard den Reijer |
| Abstract: | In this study we construct a business cycle indicator for the Netherlands. The Christiano-Fitzgerald band-pass .lter is employed to isolate the cycle using the de.nition of business cycle frequencies as waves with lengths longer than 3 years and shorter than 11 years. The main advantage of band-pass .ltering is the unambiguous concept of a business cycle, to which the .ltered approximation will eventually converge as more and more observations become available. The coincident business cycle index is based on industrial production, household consumption and sta¢ ng employment. These three variables represent key macroeconomic developments, which are also analysed by both the CEPR and NBER dating committees. For the indicator to be useful in practice, a timely update and therefore a limited publication delay is a crucial constraint. The composite leading index consists of eleven indicators representing di¤erent sectors in the economy: three .nancial series, four business and consumer surveys and four real activity variables, of which two supply- and two demand-related. |
| Keywords: | business cycles; leading indicators; band-pass .lter; forecasting. |
| JEL: | C82 E32 E37 |
| Date: | 2006–05 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:100&r=for |
| By: | Ángel León (Universidad de Alicante); Francis Benito (Universidad de Alicante); Juan Nave (Universidad de Castilla-La Mancha) |
| Abstract: | This paper describes the evolution of the daily Euro overnight interestrate (EONIA) by using several models containing the jump component such asa single regime ARCH-Poisson-Gaussian process, with either a piecewisefunction or an autoregressive conditional specification (ARJI) for the jumpintensity, and a two regime-switching process with jumps and time varyingtransition probabilities. To model the jump intensity, we include the followingeffects which are significant for the occurrence of jumps such as: (1) the end ofmaintenance period effect because of reserve requirements, (2) the end ofmonth effect, also known as the calendar day effect, caused mainly by theaccounting adjustments and finally, (3) the meeting effect caused by thefortnightly meetings of the Governing Council of the European Central Bank(ECB). These effects lead to a better performance and several of them are alsoincluded for the behavior of the transition probabilities. Since the target of theECB is keeping the EONIA rate close to the official rate, we have modeled theconditional mean of the overnight rate series as a reversion process to theofficial rate distinguishing two alternative speeds of reversion, in concrete, adifferent speed if EONIA is higher or lower than the official rate. We also studythe jumps of the EONIA rate around the ECB’s meetings by using the ex-postprobabilities of the ARJI model. Finally, we develop an out-of-sampleforecasting analysis to measure the performance of the different candidatemodels. |
| Keywords: | ARCH-Poisson-Gaussian; Regime switching; mean reversion; Autoregressive conditional jump intensity; Maintenance period; Calendar day effect; ECB’s meeting. |
| JEL: | C13 C22 E43 E52 |
| Date: | 2006–06 |
| URL: | http://d.repec.org/n?u=RePEc:ivi:wpasad:2006-11&r=for |
| By: | Carl Bonham (Department of Economics, University of Hawaii at Manoa); Christopher Edmonds (East-West Center and Department of Economics at the University of Hawaii at Manoa); 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 Hawaii's 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. |
| URL: | http://d.repec.org/n?u=RePEc:ewc:wpaper:wp87&r=for |