In this paper, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to VARs given the recent advances in VARMA modelling methodology and improvements in computing power. To support this claim, we use real macroeconomic data and show that VARMA models forecast macroeconomic variables more accurately than VAR models.

Economic environments have a profound effect on the growth of the insurance industry. History has shown that, although the performance of the insurance industry is closely linked to economic conditions, the life business has been able to survive in different economic environments. In Malaysia, the performance of the insurance industry in 1998 was affected by an economic downturn. The insurance ...

Using annual data from 1997–2014 of 30 provinces, municipalities, and autonomous regions, subdividing trended and cyclical volatility of macroeconomics and inflation, considering different indicators of financial development and financial structure, this paper investigated the impact of financial development and financial structure on macroeconomic volatility. The empirical results found that (...

This paper investigates the effects of macroeconomic volatility on non–financial firms’ cash holding behavior. Using an augmented cash buffer–stock model, we demonstrate that an increase in macroeconomic volatility will cause the cross–sectional distribution of firms’ cash–to–asset ratios to narrow. We test this prediction on a panel of non–financial firms drawn from the annual COMPUSTAT databa...

Follow the real estate market to elevate temperature, government to real estate market macroeconomic regulation and control into social economy hot topic. In order to enable the macroeconomic regulation and control policy to achieve the expectation effect, this article proposed the real estate macroeconomic regulation and control should pay attention several questions.

This paper presents an overview of the development of macroeconomic conditions in Ukrainian agriculture from 1990 to the present, and highlights the main features of land privatization & farm reorganization that have strong impact on the environment. In this regard, the review describes the major agri-environmental issues drawn from national Ukrainian datasets accompanied by a discussion of the...

In this paper we investigate the link between optimal level of leverage and macroeconomic uncertainty. Using the model of firm’s value maximization, we show that as macroeconomic uncertainty increases, captured by an increase in the variability of industrial production or inflation, firms decrease their optimal levels of borrowing. We test this prediction on a panel of non–financial US firms dr...

Initial announcements of macroeconomic indicators are based on imprecise and incomplete information. Government statistical agencies routinely restate the initial estimates over the course of several subsequent years as more information becomes available. We find that simple accounting-based aggregates, such as earnings dispersion, can predict future restatements in macroeconomic estimates, inc...

this paper investigates the relationship between macroeconomic instability and private investment of the iranian economy. the study uses a trivariate var(2)-garch(1,1)-in-mean with diagonal bekk approach to proxied inflation and exchange rate uncertainties as the main indicators of macroeconomic instability. moreover, bounds testing approach to level relationship applied to investigate the long...