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The Predictive Power Of Interest Rate Volatility On Economic Sentiment
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Book Synopsis The Predictive Power of Interest Rate Volatility on Economic Sentiment by : María Isabel Martínez Serna
Download or read book The Predictive Power of Interest Rate Volatility on Economic Sentiment written by María Isabel Martínez Serna and published by . This book was released on 2008 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we examine the explanatory and predictive power of interest rate volatility on the economic agent expectations measured by the Economic Sentiment Indicator (ESI), which is elaborated by the European Commission as a leading indicator of business cycle. In particular, we use implicit volatilities from the UK and German cap markets as explanatory variables, together with the yield spread and the short rate, obtaining that it is possible to explain nearly an overwhelming 70% of the variability of the ESI in contrast with historical or conditional volatility estimates which can hardly add any additional explanatory power.
Book Synopsis Forecasting Future Economic Growth by : Maria Khait
Download or read book Forecasting Future Economic Growth written by Maria Khait and published by . This book was released on 2012 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: The broad literature documents the empirical regularity that slope of the term structure of interest rates is a reliable predictor of future real economic activity. Steeper slopes presage increasing growth, and downward sloping term structures presage declining growth or even recession. Some instances of slope's misleading signals were recorded in 2006 (the term structure was flat, indicating decline in economic activity when high growth continued) and 2008 (the term structure was very steep, predicting economic growth when recession continued and took a deep dive). Moreover, Breeden (2012a) showed that the term structure of interest rates has had less predictive power over the past fifty years than has been found in earlier researches over shorter periods of time. The key idea underlying this paper was to test whether the term structure of volatility and the term structure of inflation combined with the term spread could improve predictions of future economic growth compared to interest rate based forecasts with only one variable. This study finds that while the term structure spread and volatility appear to be statistically significant variables there is little evidence of improved performance compare to interest rate based forecasts with only one variable.
Book Synopsis Interest Rate Volatility and Expectations about the Business Cycle by : María Isabel Martínez Serna
Download or read book Interest Rate Volatility and Expectations about the Business Cycle written by María Isabel Martínez Serna and published by . This book was released on 2014 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: One explanation for the usefulness of financial variables as tools for economic forecasting is that they embody the expectations of economic agents about the future state of the economy. In this paper, we test whether interest rate volatility contains information on the expectations of agents which are directly measured by confidence indicators. For the sake of robustness, we use several different expectation indicators for the two countries we analyze, the US and Germany: the Conference Board Consumer Confidence Index, the Philadelphia Fed's Business Outlook Survey and the Purchase Management Index for the US and the Economic Sentiment Indicator, the IFO Business Climate and ZEW Indicator of Economic Sentiment for Germany. We propose using a forward-looking measure of volatility: the implied volatility of one year cap options. We find that implied volatility adds explanatory power to the yield spread and to changes in the short rate, which are typical predictors of the business cycle, and outperforms realized volatility.
Book Synopsis On the Predictive Power of Interest Rates and Interest Rate Spreads by : Ben Bernanke
Download or read book On the Predictive Power of Interest Rates and Interest Rate Spreads written by Ben Bernanke and published by . This book was released on 1990 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of interest rates and interest rate spreads have been found to be useful in prediction the course of the economy. We compare the predictive power of some of these suggested interest rate variables for nine indicators of real activity and the inflation rate. Our results are consistent with those of Stock and Watson (1989) and Friedman and Kuttner (1989), who found that the spread between the commercial paper rate and the Treasury bill rate has been a particularly good predictor. We present evidence that this spread is informative not so much because it is a measure of default risk (which has been the usual presumption), but because it is an indicator of the stance of monetary policy; for example, during the "credit crunches" of the l960s aid the 1970s, the commercial paper -- Treasury bill spread typically rose significantly. We also show that, possibly because of charges in monetary policy operating procedures aid in financial markets, this spread appears r to be a less reliable predictor than it used to be
Book Synopsis On the Predictive Power of Interest Rates and Interest Rate Spreads by :
Download or read book On the Predictive Power of Interest Rates and Interest Rate Spreads written by and published by . This book was released on 1990 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Inflation Expectations by : Peter J. N. Sinclair
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Book Synopsis The Economics of World War I by : Stephen Broadberry
Download or read book The Economics of World War I written by Stephen Broadberry and published by Cambridge University Press. This book was released on 2005-09-29 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: This unique volume offers a definitive new history of European economies at war from 1914 to 1918. It studies how European economies mobilised for war, how existing economic institutions stood up under the strain, how economic development influenced outcomes and how wartime experience influenced post-war economic growth. Leading international experts provide the first systematic comparison of economies at war between 1914 and 1918 based on the best available data for Britain, Germany, France, Russia, the USA, Italy, Turkey, Austria-Hungary and the Netherlands. The editors' overview draws some stark lessons about the role of economic development, the importance of markets and the damage done by nationalism and protectionism. A companion volume to the acclaimed The Economics of World War II, this is a major contribution to our understanding of total war.
Book Synopsis Uncertainty and Challenges in Contemporary Economic Behaviour by : Ercan Özen
Download or read book Uncertainty and Challenges in Contemporary Economic Behaviour written by Ercan Özen and published by Emerald Group Publishing. This book was released on 2020-09-25 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Every day presents new challenges as the face of global economics changes. In this first book in the Emerald Studies in Finance, Insurance, and Risk Management, expert editors and contributors come together to discuss global response to new uncertainty and challenges.
Book Synopsis Business Cycles, Indicators, and Forecasting by : James H. Stock
Download or read book Business Cycles, Indicators, and Forecasting written by James H. Stock and published by University of Chicago Press. This book was released on 2008-04-15 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: The inability of forecasters to predict accurately the 1990-1991 recession emphasizes the need for better ways for charting the course of the economy. In this volume, leading economists examine forecasting techniques developed over the past ten years, compare their performance to traditional econometric models, and discuss new methods for forecasting and time series analysis.
Book Synopsis International Capital Flows by : Martin Feldstein
Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Book Synopsis Data Science for Economics and Finance by : Sergio Consoli
Download or read book Data Science for Economics and Finance written by Sergio Consoli and published by Springer Nature. This book was released on 2021 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book covers the use of data science, including advanced machine learning, big data analytics, Semantic Web technologies, natural language processing, social media analysis, time series analysis, among others, for applications in economics and finance. In addition, it shows some successful applications of advanced data science solutions used to extract new knowledge from data in order to improve economic forecasting models. The book starts with an introduction on the use of data science technologies in economics and finance and is followed by thirteen chapters showing success stories of the application of specific data science methodologies, touching on particular topics related to novel big data sources and technologies for economic analysis (e.g. social media and news); big data models leveraging on supervised/unsupervised (deep) machine learning; natural language processing to build economic and financial indicators; and forecasting and nowcasting of economic variables through time series analysis. This book is relevant to all stakeholders involved in digital and data-intensive research in economics and finance, helping them to understand the main opportunities and challenges, become familiar with the latest methodological findings, and learn how to use and evaluate the performances of novel tools and frameworks. It primarily targets data scientists and business analysts exploiting data science technologies, and it will also be a useful resource to research students in disciplines and courses related to these topics. Overall, readers will learn modern and effective data science solutions to create tangible innovations for economic and financial applications.
Download or read book Southern Economic Journal written by and published by . This book was released on 1927 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Economic Forecasting by : Graham Elliott
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis Mining Data for Financial Applications by : Valerio Bitetta
Download or read book Mining Data for Financial Applications written by Valerio Bitetta and published by Springer Nature. This book was released on 2021-01-14 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes revised selected papers from the 5th Workshop on Mining Data for Financial Applications, MIDAS 2020, held in conjunction with ECML PKDD 2020, in Ghent, Belgium, in September 2020.* The 8 full and 3 short papers presented in this volume were carefully reviewed and selected from 15 submissions. They deal with challenges, potentialities, and applications of leveraging data-mining tasks regarding problems in the financial domain. *The workshop was held virtually due to the COVID-19 pandemic. “Information Extraction from the GDELT Database to Analyse EU Sovereign Bond Markets” and “Exploring the Predictive Power of News and Neural Machine Learning Models for Economic Forecasting” are available open access under a Creative Commons Attribution 4.0 International License via link.springer.com.
Book Synopsis Retail Investor Sentiment and Behavior by : Matthias Burghardt
Download or read book Retail Investor Sentiment and Behavior written by Matthias Burghardt and published by Springer Science & Business Media. This book was released on 2011-03-16 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of five years, Matthias Burghardt constructs an innovative retail investor sentiment index. He shows that retail investors’ trading decisions are correlated, that retail investors are contrarians, and that a profitable trading strategy can be based on these aggregated sentiment measures.
