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on Forecasting |
| By: | Fabia A. de Carvalho; André Minella |
| Abstract: | This paper assesses a wide set of aspects of market forecasts in Brazil: rationality, predictive power, joint performance, epidemiology and determinants. Using the survey conducted by the Central Bank of Brazil (CBB) among professional forecasters during the inflation targeting period, the main results are as follows: i) credibility in Brazilian monetary policy has increased over time, since inflation targets are important to explain inflation expectations, and private agents perceive the CBB as following a Taylor-type rule that is consistent with the inflation targeting framework; ii) market inflation forecasts had similar or better forecast performance than ARMA-, VAR- and BVAR-based forecasts with standard information sets; iii) the joint performance of market forecasts has improved over the past years; iv) in the decomposition of forecast errors for inflation, interest rate and exchange rate, the common forecast error component prevails over the idiosyncratic component across survey respondents; v) top-five forecasters published by the CBB are influential in other respondents’ forecasts; vi) inflation forecasts are unbiased but not fully efficient; and vii) inflation forecast uncertainty is positively related to increasing inflation and to country-risk premium. |
| Date: | 2009–04 |
| URL: | http://d.repec.org/n?u=RePEc:bcb:wpaper:185&r=for |
| By: | Jose Angelo Divino (Department of Economics, Catholic University of Brasilia); Michael McAleer (Econometric Institute, Erasmus School of Economics Erasmus University Rotterdam and Tinbergen Institute and Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics, University of Tokyo) |
| Abstract: | The Amazon rainforest is one of the world's greatest natural wonders and holds great importance and significance for the world's environmental balance. Around 60% of the Amazon rainforest is located in the Brazilian territory. The two biggest states of the Amazon region are Amazonas (the upper Amazon) and Para (the lower Amazon), which together account for around 73% of the Brazilian Legal Amazon, and are the only states that are serviced by international airports in Brazil's North region. The purpose of this paper is to model and forecast sustainable international tourism demand for the states of Amazonas, Para, and the aggregate of the two states. By sustainable tourism is meant a distinctive type of tourism that has relatively low environmental and cultural impacts. Economic progress brought about by illegal wood extraction and commercial agriculture has destroyed large areas of the Amazon rainforest. The sustainable tourism industry has the potential to contribute to the economic development of the Amazon region without destroying the rainforest. The paper presents unit root tests for monthly and annual data, estimates alternative time series models and conditional volatility models of the shocks to international tourist arrivals, and provides forecasts for 2006 and 2007. |
| Date: | 2009–08 |
| URL: | http://d.repec.org/n?u=RePEc:tky:fseres:2009cf650&r=for |
| By: | Lopez, Jose A.; Malaga, Jaime E. |
| Abstract: | This is the poster presentation. Please refer to the full paper for details. |
| Keywords: | forecast of Mexican meat consumption, forecast of Mexican imports, U.S. meat exports to Mexico, Mexican meat demand elasticities, meat analysis at the table cut level, censored demand system, two-step estimation procedure, stratified sampling, Agribusiness, Agricultural and Food Policy, Consumer/Household Economics, Demand and Price Analysis, Food Consumption/Nutrition/Food Safety, International Relations/Trade, Q11, |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaea09:52382&r=for |
| By: | Jose Angelo Divino (Department of Economics, Catholic University of Brasilia); Michael McAleer (Econometric Institute, Erasmus School of Economics Erasmus University Rotterdam and Tinbergen Institute and Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics, University of Tokyo) |
| Abstract: | Peru is a South American country that is divided into two parts by the Andes Mountains. The rich historical, cultural and geographic diversity has led to the inclusion of ten Peruvian sites on UNESCO's World Heritage List. For the potentially negative impacts of mass tourism on the environment, and hence on future international tourism demand, to be managed appropriately require modelling growth rates and volatility adequately. The paper models the growth rate and volatility (or the variability in the growth rate) in daily international tourist arrivals to Peru from 1997 to 2007. The empirical results show that international tourist arrivals and their growth rates are stationary, and that the estimated symmetric and asymmetric conditional volatility models all fit the data extremely well. Moreover, the estimates resemble those arising from financial time series data, with both short and long run persistence of shocks to the growth rate in international tourist arrivals. |
| Date: | 2009–08 |
| URL: | http://d.repec.org/n?u=RePEc:tky:fseres:2009cf651&r=for |