Economic forecasts and sovereign yields

Sovereign Debt and Domestic Economic Fragility

Recent sovereign default episodes have been associated with substantial output costs. In this paper, we construct a parsimonious …nite horizon model which captures two key market imperfections: (i) the government’s inability to commit to repay debt; (ii) liquidity constraints in the domestic …nancial sector. We use the model to answer two sets of questions. First, we characterize the optimal so...

Combining Economic Forecasts

Are Economic Forecasts Rational?

Long-run Behaviour of Long-term Sovereign Bond Yields

This study assesses the long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach, to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of cross-country dependence regarding the sovereign bond segment of the financial markets and its determinants, ...

Economic Criteria for Evaluating Commodity Price Forecasts

Forecasts of economic time series are often evaluated according to their accuracy as measured by either quantitativeprecision or qualitative reliability. We argue that consumers purchase forecasts for the potentialutility gains from utilizing them, not for theiraccuracy. Using Monte Carlo techniques to incorporate the temporal heteroskedasticity inherent in asset returns,the expected utility of...