Download or read book Model Disagreement and Economic Outlook written by Daniel Andrei and published by . This book was released on 2014 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the impact of model disagreement on the dynamics of asset prices, return volatility, and trade in the market. In our continuous-time framework, two investors have homogeneous preferences and equal access to information, but disagree about the length of the business cycle. We show that model disagreement amplifies return volatility and trading volume by inducing agents to have different economic outlooks, which generates a term structure of disagreement. Different economic outlooks imply that investors will trade even if they do not disagree about the current value of fundamentals. Also, we find that while the absolute level of return volatility is driven by long-run risk, the variation and persistence of volatility (i.e., volatility clustering) is driven by disagreement. Compared to previous studies that consider model uncertainty with a representative agent or those that study heterogeneous beliefs with no model disagreement, our paper offers a theoretical foundation for the GARCH-like behavior of stock returns.

Download or read book Machine Forecast Disagreement written by Turan G. Bali and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a statistical model of differences in beliefs in which heterogeneous investors are represented as different machine learning model specifications. Each investor forms return forecasts from their own specific model using data inputs that are available to all investors. We measure disagreement as dispersion in forecasts across investor-models. Our measure aligns with extant measures of disagreement (e.g., analyst forecast dispersion), but is a significantly stronger predictor of future returns. We document a large, significant, and highly robust negative cross-sectional relation between belief disagreement and future returns. A decile spread portfolio that is short stocks with high forecast disagreement and long stocks with low disagreement earns a value-weighted alpha of 15% per year. A range of analyses suggest the alpha is mispricing induced by short-sale costs and limits-to-arbitrage.

Download or read book Uncertainty and Disagreement in Economic Forecasting written by Stefania D'Amico and published by . This book was released on 2008 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Political Economy written by Thomas Oatley and published by Routledge. This book was released on 2015-10-05 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Broadly viewing the global economy as a political competition that produces winners and losers, International Political Economy holistically and accessibly introduces the field of IPE to students with limited background in political theory, history, and economics.This text surveys major interests and institutions and examines how state and non-state actors pursue wealth and power. Emphasizing fundamental economic concepts as well as the interplay between domestic and international politics, International Political Economy not only explains how the global economy works; it also encourages students to think critically about how economic policy is made in the context of globalization.

Download or read book Essays in Honor of M Hashem Pesaran written by Alexander Chudik and published by Emerald Group Publishing. This book was released on 2022-01-18 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collection of chapters in Volume 43 Part A of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.

Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by Oxford University Press. This book was released on 2011-06-29 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Handbook provides up-to-date coverage of both new and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible accounts of the key concepts, subject matter, and techniques in a number of diverse but related areas. It covers the ways in which the availability of ever more plentiful data and computational power have been used in forecasting, in terms of the frequency of observations, the number of variables, and the use of multiple data vintages. Greater data availability has been coupled with developments in statistical theory and economic analysis to allow more elaborate and complicated models to be entertained; the volume provides explanations and critiques of these developments. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models, as well as models for handling data observed at mixed frequencies, high-frequency data, multiple data vintages, methods for forecasting when there are structural breaks, and how breaks might be forecast. Also covered are areas which are less commonly associated with economic forecasting, such as climate change, health economics, long-horizon growth forecasting, and political elections. Econometric forecasting has important contributions to make in these areas along with how their developments inform the mainstream.

Download or read book LINK Proceedings 1991 1992 written by Bert G. Hickman and published by World Scientific. This book was released on 1998 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers two years of research activities associated with Project LINK, which is based on a model of the world economy, covering 79 countries or regional groupings of countries. Papers dealing with interesting thematic issues were carefully selected and expanded into full articles. The subjects studied by various LINK participants for reporting at annual meetings include exchange rate systems, international investment, environmental protection, international economic institutions, LINK system improvements, and international economic policy. As always, there are contributions dealing with methodological advances for world modeling.

Download or read book Capital Controversy Post Keynesian Economics and the History of Economic Thought written by Philip Arestis and published by Routledge. This book was released on 1996 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Economic Growth Controversy written by Andrew Weintraub and published by Taylor & Francis. This book was released on 2017-07-05 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cover -- Title -- Copyright -- Original Title -- Original Copyright -- Preface -- Contributors -- Contents -- Introduction -- 1. Growth and Antigrowth: What Are the Issues? -- 2. Is the End of the World at Hand? -- 3. Can Technological Progress Continue to Provide for the Future? -- 4. Energy Supply as a Factor in Economic Growth -- 5. Growth and Environmental Problems of Noncapitalist Nations -- 6. Social Consequences of Zero Economic Growth -- 7. Zero Economic Growth and the Distribution of Income -- 8. Is There an Optimum Level of Population? -- 9. Discussion of the Papers -- 10. A Dialogue on the Issues -- 11. The Club of Rome Model.

Download or read book The Oxford Handbook of the Economics of Central Banking written by David G. Mayes and published by Oxford University Press. This book was released on 2019-02-15 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt: The economic influence of central banks has received ever more attention given their centrality during the financial crises that led to the Great Recession, strains in the European Union, and the challenges to the Euro. The Oxford Handbook of the Economics of Central Banking reflects the state of the art in the theory and practice and covers a wide range of topics that will provide insight to students, scholars, and practitioners. As an up to date reference of the current and potential challenges faced by central banks in the conduct of monetary policy and in the search for the maintenance of financial system stability, this Oxford Handbook covers a wide range of essential issues. The first section provides insights into central bank governance, the differing degrees of central bank independence, and the internal dynamics of their decision making. The next section focuses on questions of whether central banks can ameliorate fiscal burdens, various strategies to affect monetary policy, and how the global financial crisis affected the relationship between the traditional focus on inflation targeting and unconventional policy instruments such as quantitative easing (QE), foreign exchange market interventions, negative interest rates, and forward guidance. The next two sections turn to central bank communications and management of expectations and then mechanisms of policy transmission. The fifth part explores the challenges of recent developments in the economy and debates about the roles central banks should play, focusing on micro- and macro-prudential arguments. The implications of recent developments for policy modeling are covered in the last section. The breadth and depth enhances understanding of the challenges and opportunities facing central banks.

Download or read book OECD Economic Outlook Interim Report March 2013 written by OECD and published by OECD Publishing. This book was released on 2013-04-08 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Interim Report updates projections made in the November 2012 issue of OECD Economic Outlook (Number 92).

Download or read book International Macroeconomics in the Wake of the Global Financial Crisis written by Laurent Ferrara and published by Springer. This book was released on 2018-06-13 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.

Download or read book OECD Economic Outlook Interim Report March 2012 written by OECD and published by OECD Publishing. This book was released on 2012-04-03 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Interim Report updates projections made in the November 2011 issue of OECD Economic Outlook (Number 90).

Download or read book The New Society written by Peter F. Drucker and published by Routledge. This book was released on 2017-07-28 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: In The New Society, Peter Drucker extended his previous works The Future of Industrial Man and The Concept of the Corporation into a systematic, organized analysis of the industrial society that emerged out of World War II. He analyzes large business enterprises, governments, labor unions, and the place of the individual within the social context of these institutions. Although written when the industrial society he describes was at its peak of productivity, Drucker's basic conceptual frame has well stood the test of time.Following publication of the first printing of The New Society, George G. Higgins wrote in Commonweal that Drucker has analyzed, as brilliantly as any modem writer, the problems of industrial relations in the individual company or 'enterprise.' He is thoroughly at home in economics, political science, industrial psychology, and industrial sociology, and has succeeded admirably in harmonizing the findings of all four disciplines and applying them meaningfully to the practical problems of the 'enterprise.' This well expresses contemporary critical opinion.Peter Drucker's new introduction places The New Society in a contemporary perspective and affirms its continual relevance to industry in the mid-1990s. Economists, political scientists, psychologists, and professionals in management and industry will find this seminal work a useful tool for understanding industry and society at large.

Download or read book Regional Economic Outlook October 2015 Western Hemisphere Department written by International Monetary Fund. Western Hemisphere Dept. and published by International Monetary Fund. This book was released on 2015-10-07 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economies in the Western Hemisphere are generally seeing a slowdown in growth. The U.S. economy regained momentum after a slow start at the beginning of the year, while in Latin America and the Caribbean economic activity continues to decelerate. Stronger U.S. growth should benefit countries in the region, especially those with tighter links through trade, remittances, and tourism (Mexico, Central America, and the Caribbean). Weaker commodity prices for the foreseeable future, however, will continue to hurt South America's net commodity exporters, lowering national incomes, reducing investment, and worsening fiscal balances. These developments could, in turn, impede progress made in recent years in poverty reduction. These developments could, in turn, impede progress made in recent years in poverty reduction. Key risks, including an abrupt tightening of U.S. interest rates or a further slowdown in China, may disproportionately affect Latin America. Chapters in this report examine monetary policy in Latin America, including the region’s exposure to global financial shocks; the role of value chains and regional trade agreements in fostering trade integration; and financial market development in the region.

Download or read book Uncertainty Information and Disagreement of Economic Forecasters written by Mehdi Shoja and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: An information framework is proposed for the systematic application, unification, and generalizations of the measures used in the uncertainty and disagreement of economic forecasters literature. The framework uses the mixture model of density forecasts and applies an uncertainty function and an information divergence to individual forecast distributions generated in a random environment and to their mixture distribution. The focal measure is the Jensen-Shannon divergence of the mixture which admits Kullback-Leibler and mutual information representations. Illustrations include exploring the dynamics of the individual and aggregate uncertainty about the US inflation rate using the Survey of Professional Forecasters (SPF). Each quarter the SPF solicits forecast distributions on a set of intervals and the survey design has been changed over time. We show that the normalized entropy index corrects the distortion caused by the changes made in the number of intervals. Bayesian hierarchical models are used to examine the association of the inflation uncertainty with the anticipated inflation and the dispersion of point forecasts. Implementation of the information framework based on variance and Dirichlet model for capturing uncertainty about the probability distribution of the economic variable are briefly discussed.

Download or read book Uncertainty and Public Investment Multipliers The Role of Economic Confidence written by William Gbohoui and published by International Monetary Fund. This book was released on 2021-11-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates how macroeconomic uncertainty affects the fiscal multiplier of public investment. In theory, uncertainty can reduce the multiplier if the private sector becomes more cautious and does not respond to the fiscal stimulus. Conversely, it can increase the fiscal multiplier if public investment shocks improve private agents’ expectations about future economic outlook, and lead to larger private spending. Using the disagreement about GDP forecasts as a proxy for uncertainty, we find that unexpected increases in public investment have larger and longer-lasting effects on output, investment, and employment during periods of high uncertainty, with multipliers above 2, and the larger multipliers are not driven by economic slack. Public investment shocks are also found to boost private sector confidence during heightened uncertainty, driving-up expectations about future economic development which in turn magnify private sector response to the initial stimulus.