Econometric analysis of convergence processes across countries or regions usually refers to a transition period between an arbitrary chosen starting year and a fictitious steady state. Panel unit root tests and panel cointegration techniques have proved to belong to powerful econometric tools if the conditions are met. When referring to economically defined regions, though, it is rather an exce...

In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based day-ahead wholesale auction curves data forecasts. The shifts supply to calculate apply our German EPEX SPOT SE data. Our outperforms both linear non-linear benchmarks. allows us conclude that renewable energy exert demonstrate additio...

What is the impact of surprise and anticipated policy changes when agents form expectations using adaptive learning rather than rational expectations? We examine this issue using the standard stochastic real business cycle model with lump-sum taxes. Agents combine knowledge about future policy with econometric forecasts of future wages and interest rates. Both permanent and temporary policy cha...

We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor’s 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 1995. Implied volatilities for the Nasdaq 100 (VXN) appear to provide even higher quality forecasts ...

This paper examines the forward pricing efficiency of the local crude palm oil (CPO) futures market. In an efficient market, the relevant signal to be used by -the producers, traders and processors is simply the futures price. The forward pricing efficiency is measured in terms of the forecasting ability of Malaysian crude palm oil futures price on physical price. The relative predictive power ...

This paper evaluates different strategies to forecast Spanish inflation using information of price series for 57 products and 18 regions in Spain. We consider vector equilibrium correction (VeqC) models that include cointegration relationships between Spanish prices and prices in the regions of Valencia, Andalusia, Madrid, Catalonia and the Basque Country. This approach is consistent with econo...

The level-k model is often implemented with an assumption that individuals employ a fixed depth of reasoning across different games. To study the validity of this assumption, we have subjects make choices in a series of games designed to identify inconsistent depth of reasoning without relying on the results of an econometric model. Most subjects’ choices are not consistent with them having a f...

What is the impact of surprise and anticipated policy changes when agents form expectations using adaptive learning rather than rational expectations? We examine this issue using the standard stochastic real business cycle model with lump-sum taxes. Agents combine knowledge about future policy with econometric forecasts of future wages and interest rates. Dynamics under learning can have large ...

We present a structural econometric framework of supply chain information flows. The framework analyzes supply chain black boxes by measuring how input demand signals transform into output order signals. It characterizes inventory policies with impulse response functions (IRFs). We develop an algorithm to estimate these IRFs, and the structural parameters underlying them, with single firm sales...

Financial Econometrics is simply the application of econometric tools to financial data. For many years, least squares techniques provided satisfactory tools. Stock market forecasts, efficient market tests, and even tests of portfolio models such as the CAPM and APT were essentially implemented with least squares on cleverly manipulated data sets. More recently, however, the field has developed...