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The Impact of Climate Change on Regional Government Expenditures : Evidence from Russia
(05.05.2017)
Environmental and Resource Economics May 2017
Environmental and Resource Economics May 2017
This paper explores an almost untouched topic in the fast-growing climate econometrics literature—the implications of climate change for government expenditures. Using a rich sub-national dataset for Russia covering ...
Forecasting stock market returns by summing the frequency-decomposed parts
(15.01.2018)
Journal of Empirical Finance January 2018
Journal of Empirical Finance January 2018
We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The ...
Predicting Relative Forecasting Performance : an Empirical Investigation
(15.10.2019)
International Journal of Forecasting 4 ; October-December
International Journal of Forecasting 4 ; October-December
The relative performances of forecasting models change over time. This empirical observation raises two questions. First, is the relative performance itself predictable? Second, if so, can it be exploited in order to improve ...
Predicting Banking Crises with Artificial Neural Networks: The Role of Nonlinearity and Heterogeneity
(28.12.2017)
Scandinavian Journal of Economics 1; January 2018
Scandinavian Journal of Economics 1; January 2018
Studies of the early warning systems (EWSs) for banking crises usually rely on linear classifiers, estimated with international datasets. I construct an EWS based on an artificial neural network (ANN) model, and I also ...
Real-time uncertainty in budget planning : evidence from euro area countries
(15.10.2018)
Journal of Economic Policy Reform 4
Journal of Economic Policy Reform 4
Using rich panel data including potential output for euro area countries, we analyse budget balance forecasts and their errors. We find that budget balance forecasts are systematically biased and subject to mean reversion ...
Can bubble theory foresee banking crises?
(21.02.2018)
Journal of Financial Stability June 2018
Journal of Financial Stability June 2018
We consider the effectiveness of unit root exuberance tests in predicting banking crises. Using a sample of 15 EU countries over the past three decades, our crisis dating follows the scheme of the European Systemic Risk ...
Aikasarjamallit apuna Suomen talouden seurannassa
(14.10.2019)
Kansantaloudellinen aikakauskirja 3/2019
Kansantaloudellinen aikakauskirja 3/2019
Viimeisten vuosikymmenien aikana kansainvälisessä ekonometrisessa tutkimuskirjallisuudessa on esitetty useita makrotaloudellista tilaa kuvaavien muuttujien informaatiota yhdistäviä lyhyen aikavälin mallinnus- ja ...
Banking Crisis Prediction with Differenced Relative Credit
(02.12.2019)
Applied Economics Quarterly 4
Applied Economics Quarterly 4
Indicators based on the ratio of credit to GDP have been found to be highly useful predictors of banking crises. Differences in this ratio seem a highly promising early warning indicator. We test a large number of slightly ...