Jackknifing Stock Return Predictions
Jackknifing Stock Return Predictions

Author: Benjamin Chiquoine

Publisher:

Published: 2008

Total Pages: 34

ISBN-13:

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We show that the general bias reducing technique of jackknifing can be successfully applied to stock return predictability regressions. Compared to standard OLS estimation, the jackknifing procedure delivers virtually unbiased estimates with mean squared errors that generally dominate those of the OLS estimates. The jackknifing method is very general, as well as simple to implement, and can be applied to models with multiple predictors and overlapping observations. Unlike most previous work on inference in predictive regressions, no specific assumptions regarding the data generating process for the predictors are required. A set of Monte Carlo experiments show that the method works well in finite samples and the empirical section finds that out-of-sample forecasts based on the jackknifed estimates tend to outperform those based on the plain OLS estimates. The improved forecast ability also translates into economically relevant welfare gains for an investor who uses the predictive regression, with jackknifed estimates, to time the market.

Predicting Global Stock Returns
Predicting Global Stock Returns

Author: Erik Hjalmarsson

Publisher:

Published: 2008

Total Pages: 60

ISBN-13:

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I test for stock return predictability in the largest and most comprehensive data set analyzed so far, using four common forecasting variables: the dividend- and earnings-price ratios, the short interest rate, and the term spread. The data contain over 20,000 monthly observations from 40 international markets, including 24 developed and 16 emerging economies. In addition, I develop new methods for predictive regressions with panel data. Inference based on the standard fixed effects estimator is shown to suffer from severe size distortions in the typical stock return regression, and an alternative robust estimator is proposed. The empirical results indicate that the short interest rate and the term spread are fairly robust predictors of stock returns in developed markets. In contrast, no strong or consistent evidence of predictability is found when considering the earnings- and dividend-price ratios as predictors.

Expected Consumption Growth from Cross-country Surveys
Expected Consumption Growth from Cross-country Surveys

Author: Charles Engel

Publisher:

Published: 2008

Total Pages: 58

ISBN-13:

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Survey data show that the expected growth rates of consumption across countries vary widely and are not highly correlated. This data contradicts the simplest of open-economy models in which there is a freely traded non- state-contingent bond and purchasing power parity holds. We explore two alternative explanations for the finding: that households in each country in effect face different ex ante real interest rates or that there are significant credit constraints, so that expected consumption growth rates are driven largely by expected income growth. The empirical evidence strongly supports the latter hypothesis. These findings challenge the modeling of consumption that is at the heart of many, if not most, macroeconomic models.

Just-in-Time Elements and Benefits
Just-in-Time Elements and Benefits

Author: Jorge Luis García Alcaraz

Publisher: Springer

Published: 2015-10-31

Total Pages: 317

ISBN-13: 3319259199

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This book reports the elements required for implementing Just in Time (JIT) technique in companies. The main reasons for low implementation processes and the main benefits from the successful implementation of them are highlighted in this book. Structural equation models are presented to help identify the essential elements in JIT.

Interdisciplinary Applications of Electronic Collaboration Approaches and Technologies
Interdisciplinary Applications of Electronic Collaboration Approaches and Technologies

Author: Kock, Ned

Publisher: IGI Global

Published: 2012-08-31

Total Pages: 300

ISBN-13: 1466620218

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With the advent and advancement of E-Collaboration tools, our way of social interaction and online social behavior has altered drastically. With new ways of communicating and working together, we must understand how this affects human behavior. Interdisciplinary Applications of Electronic Collaboration Approaches and Technologies addresses the design and implementation of e-collaboration technologies, assesses its behavioral impact on individuals and groups, and presents theoretical considerations on links between the use of e-collaboration technologies and behavioral patterns. An innovative collection of the latest research findings, this book covers significant topics such as Web-based chat tools, Web-based asynchronous conferencing tools, e-mail, listservs and many others, perfect for academics, researchers, and professionals alike.

Simple Monetary Rules Under Fiscal Dominance
Simple Monetary Rules Under Fiscal Dominance

Author: Michael Kumhof

Publisher:

Published: 2008

Total Pages: 40

ISBN-13:

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This paper asks whether an aggressive monetary policy response to inflation is feasible in countries that suffer from fiscal dominance, as long as monetary policy also responds to fiscal variables. We find that if nominal interest rates are allowed to respond to government debt, even aggressive rules that satisfy the Taylor principle can produce unique equilibria. But following such rules results in extremely volatile inflation. This leads to very frequent violations of the zero lower bound on nominal interest rates that make such rules infeasible. Even within the set of feasible rules the optimal response to inflation is highly negative, and more aggressive inflation fighting is inferior from a welfare point of view. The welfare gain from responding to fiscal variables is minimal compared to the gain from eliminating fiscal dominance.

The Macroeconomic Effects of External Pressures on Monetary Policy
The Macroeconomic Effects of External Pressures on Monetary Policy

Author: Davide Debortoli

Publisher:

Published: 2008

Total Pages: 50

ISBN-13:

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Central banks, whether independent or not, may occasionally be subject to external pressures to change policy objectives. We analyze the optimal response of central banks to such pressures and the resulting macroeconomic consequences. We consider several alternative scenarios regarding policy objectives, the degree of commitment and the timing of external pressures. The possibility to adopt " more liberal" objectives in the future increases current inflation through an accommodation effect. Simultaneously, the central bank tries to anchor inflation by promising to be even " more conservative" in the future. The immediate effect is an output contraction, the opposite of what the pressures to adopt " more liberal" objectives may be aiming. We also discuss the opposite case, where objectives may become " more conservative" in the future, which may be the relevant case for countries considering the adoption of inflation targeting.

Testing the Expectations Hypothesis when Interest Rates are Near Integrated
Testing the Expectations Hypothesis when Interest Rates are Near Integrated

Author: Meredith J. Beechey

Publisher:

Published: 2008

Total Pages: 42

ISBN-13:

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"Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia"--Federal Reserve Board web site.

Emerging Market Business Cycles with Remittance Fluctuations
Emerging Market Business Cycles with Remittance Fluctuations

Author: Ceyhun Bora Durdu

Publisher:

Published: 2008

Total Pages: 36

ISBN-13:

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This paper analyzes the implications of remittance fluctuations for various macroeconomic variables and Sudden Stops. The paper employs a quantitative two-sector model of a small open economy with financial frictions calibrated to Mexican and Turkish economies, two major recipients, whose remittance receipts feature opposite cyclical characteristics. We find that remittances dampen the business cycles in Mexico, whereas they amplify the cycles in Turkey. Their quantitative effects in the long run, approximated by the stochastic steady state are mild. In the short run, however, remittances have quantitatively large impacts on the economy, when the economy is borrowing constrained. This is because agents in the economy cannot adjust their precautionary wealth to sudden tightening in credit, hence, fluctuations in remittances get magnified through an endogenous debt-deflation mechanism. Our findings suggest that procyclical (or countercyclical) remittances can play a significant deepening (or mitigating) role for Sudden Stops.