Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity index and two foreign exchange returns, we show that asymmetric models provide statistically significant forecast improvements upon the GARCH model for two of the datasets and improve forecasts for all datasets by means of forecasts combinations. These results extend to about 10 days in the future, beyond which the forecasts are statistically inseparable from each other.

Finance: General --- Foreign Exchange --- Investments: Stocks --- Macroeconomics --- Forecasting --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- Forecasting and Other Model Applications --- International Financial Markets --- Price Level --- Inflation --- Deflation --- General Financial Markets: General (includes Measurement and Data) --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Economic Forecasting --- Currency --- Foreign exchange --- Finance --- Investment & securities --- Economic forecasting --- Asset prices --- Stock markets --- Stocks --- Prices --- Financial markets --- Financial institutions --- Stock exchanges --- United States

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data shows that forecasts obtained from the algorithm are consistently among the best in a large comparative forecasting exercise at various forecasting horizons. In addition, the selected indicators are reasonable and consistent with the standard leading indicators followed by many observers of business cycles. The suggested algorithm has several advantages, including wide applicability and objective variable selection.

Economic forecasting --- Financial crises --- Crashes, Financial --- Crises, Financial --- Financial crashes --- Financial panics --- Panics (Finance) --- Stock exchange crashes --- Stock market panics --- Crises --- Econometric models. --- Infrastructure --- Labor --- Macroeconomics --- Production and Operations Management --- Multiple or Simultaneous Equation Models --- Multiple Variables: General --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- State Space Models --- Model Evaluation and Selection --- Forecasting and Other Model Applications --- Business Fluctuations --- Cycles --- Prices, Business Fluctuations, and Cycles: Forecasting and Simulation --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Economic Development: Urban, Rural, Regional, and Transportation Analysis --- Housing --- Demand and Supply of Labor: General --- Macroeconomics: Production --- Economic growth --- Labour --- income economics --- Cyclical indicators --- Business cycles --- Labor markets --- Capacity utilization --- National accounts --- Production --- Saving and investment --- Labor market --- Industrial capacity --- United States --- Income economics

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This paper explores the role of exchange rates in emerging economies with inflation-targeting regimes, an issue that has become especially germane during the current episode of financial turmoil and volatile capital flows. Under inflation targeting, the interest rate is the main monetary policy tool for influencing activity and inflation, and there is little agreement about the appropriate role of the exchange rate.The exchange rate is a more important monetary policy tool for emerging economies that have adopted inflation targeting than it is for inflation-targeting advanced economies. Inflation-targeting emerging economies generally have less flexible exchange rate arrangements and intervene more frequently in the foreign exchange market than their advanced economy counterparts. The enhanced role of the exchange rate reflects these economies' greater vulnerability to exchange rate shocks and their less developed financial markets. However, their sharper focus on the exchange rate may cause some confusion about the commitment of their central banks to achieve the inflation target and may also complicate policy implementation. Global inflation pressures, greater exchange rate volatility, and the financial stresses from the global financial turmoil that began in mid-2007 are heightening these tensions.

Foreign exchange rates --- Inflation targeting --- Targeting, Inflation --- Monetary policy --- Banks and Banking --- Finance: General --- Foreign Exchange --- Inflation --- Money and Monetary Policy --- International Financial Markets --- Monetary Policy --- Price Level --- Deflation --- Development Planning and Policy: Trade Policy --- Factor Movement --- Foreign Exchange Policy --- Currency --- Foreign exchange --- Finance --- Monetary economics --- Macroeconomics --- Banking --- Foreign exchange market --- Prices --- Interest rates --- New Zealand