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Business and Economics > Investments: Stocks

You are looking at 1 - 5 of 5 items for :

  • Type: Journal Issue x
  • Forecasting and Other Model Applications x
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Cover IMF Working Papers
News and Monetary Shocks at a High Frequency: A Simple Approach
Mr. Troy D Matheson
and
Mr. Emil Stavrev
We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve’s May 22, 2013 taper talk suggesting that it would begin winding down its quantitative easing program. Our findings show that the sharp rise in 10-year Treasury bond yields immediately after the taper talk was largely due to monetary shocks, with positive economic news becoming increasingly important in subsequent months.
Keywords:
WP; equity price; bond yield; Monetary Policy; Economic News; Fed portfolio; reaction function; market volatility; variance of bond yields; Bond yields; Stocks; Asset prices
Cover IMF Working Papers
How Can Burundi Raise its Growth Rate? the Impact of Civil Conflicts and State Interventionon Burundi'S Growth Performance
Olivier Basdevant
Over the last thirty years Burundi's low economic growth has led to a significant decline in per capita GDP. The purpose of this paper is to shed light on supply-side constraints that prevented Burundi's economy from growing faster. Lack of investment, civil conflict, economic inefficiencies, state intervention in the economy, and regulatory restrictions explain a large part of the weak growth performance for the last thirty years.
Keywords:
WP; Burundi; depreciation rate; growth performance; Growth; Investment; Capital Stock; Kalman Filter; Burundi ICOR; growth prospect; accumulation function; Burundi's economy; investment inefficiency; Depreciation; Stocks; Agricultural commodities; Income; Capital accumulation; Sub-Saharan Africa
Cover IMF Working Papers
The Use of Encompassing Tests for Forecast Combinations
Turgut Kisinbay
The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S. macroecoomic data set. The results are encouraging as the algorithm forecasts outperform benchmark model forecasts, in a mean square error (MSE) sense, in a majority of cases.
Keywords:
WP; data set; simple average; algorithm forecast; null hypothesis; RMSE gain
Cover IMF Working Papers
Estimation of Economic Growth in France Using Business Survey Data
Alain N. Kabundi
This paper proposes a new way of computing a coincident indicator for economic activity in France using data from business surveys. We use the generalized dynamic factor model à la Forni and others (2000) to extract common components from a large number of survey observations. The results obtained show that the resulting indicator forecasts economic activity with a relatively high degree of accuracy before the release of actual data.
Keywords:
WP; random walk; Dynamic factor models; survey data; economic forecasting; RW model; economic growth rate; generalized dynamic factor model; economic indicator index; time series; negative correlation correlation coefficient; Cyclical indicators; Business cycles; Stocks; Europe
Cover IMF Working Papers
Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons
Turgut Kisinbay
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.
Keywords:
WP; EGARCH model; high frequency; TARCH model; null hypothesis; GARCH; high-frequency data; realized volatility; integrated volatility; and asymmetric volatility; GARCH model; benchmark model; APARCH model; JPY dataset; standard deviation; volatility model; Asset prices; Stock markets; Stocks