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Predictive Content (predictive + content)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

SHOULD OIL PRICES RECEIVE SO MUCH ATTENTION?

ECONOMIC INQUIRY, Issue 4 2008
AN EVALUATION OF THE PREDICTIVE POWER OF OIL PRICES FOR THE U.S. ECONOMY
This paper evaluates the potential gains from using oil prices to forecast a variety of measures of inflation, economic activity, and monetary policy,related variables. With a few exceptions, oil prices do not have any predictive content for these variables. This finding is robust to the use of rolling forecast windows, the use of industry-level data, changes in the forecast horizon, and allowing for nonlinearities. (JEL Q43, E37, C32) [source]

Short-run Returns around the Trades of Corporate Insiders on the London Stock Exchange

EUROPEAN FINANCIAL MANAGEMENT, Issue 1 2002
Sylvain Friederich
Previous work examined the long-run profitability of strategies mimicking the trades company directors in the shares of their own company, as a way of testing for market efficiency. The current paper examines patterns in abnormal returns in the days around these trades on the London Stock Exchange. We find movements in returns that are consistent with directors engaging in short-term market timing. We also report that some types of trades have superior predictive content over future returns. In particular, medium-sized trades are more informative for short-term returns than large ones, consistent with Barclay and Warner's (1993) ,stealth trading' hypothesis whereby informed traders avoid trading in blocks. Another contribution of this study is to properly adjust the abnormal return estimates for microstructure (spread) transactions costs using daily bid-ask spread data. On a net basis, we find that abnormal returns all but disappear. [source]

NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES,

INTERNATIONAL ECONOMIC REVIEW, Issue 1 2007
Valentina Corradi
We introduce block bootstrap techniques that are (first order) valid in recursive estimation frameworks. Thereafter, we present two examples where predictive accuracy tests are made operational using our new bootstrap procedures. In one application, we outline a consistent test for out-of-sample nonlinear Granger causality, and in the other we outline a test for selecting among multiple alternative forecasting models, all of which are possibly misspecified. In a Monte Carlo investigation, we compare the finite sample properties of our block bootstrap procedures with the parametric bootstrap due to Kilian (Journal of Applied Econometrics 14 (1999), 491,510), within the context of encompassing and predictive accuracy tests. In the empirical illustration, it is found that unemployment has nonlinear marginal predictive content for inflation. [source]

Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach

JOURNAL OF MONEY, CREDIT AND BANKING, Issue 1 2009
MICHELLE T. ARMESTO
data sampling frequency; textual analysis; DICTION; Beige Book Studies of the predictive ability of the Federal Reserve's Beige Book for aggregate output and employment have proven inconclusive. This might be attributed, in part, to its irregular release schedule. We use a model that allows for data sampling at mixed frequencies to analyze the predictive power of the Beige Book. We find that the Beige Book's national summary and District reports predict GDP and aggregate employment and that most District reports provide information content for regional employment. In addition, there appears to be an asymmetry in the predictive content of the Beige Book language. [source]

USE OF THE MONEY SUPPLY IN THE CONDUCT OF JAPAN'S MONETARY POLICY: RE-EXAMINING THE TIME-SERIES EVIDENCE,

THE JAPANESE ECONOMIC REVIEW, Issue 2 2005
RYUZO MIYAO
This paper re-examines whether the money supply (M2 + CDs) can predict future economic activity in Japan, using recent data to the end of 2003. I find that the linkage between M2 and income or prices has largely disappeared since the late 1990s. Evidence suggests that (i) time deposit behaviour is primarily responsible for the breakdown in the M2,income relationship; (ii) bank loans also lost their predictive content in the late 1990s; and (iii) there has been a close link between time deposits and bank loans. Non-performing loans problems and ongoing restructuring may be root causes of these findings. [source]