We study the joint dynamics of bond yields and macroeconomic variables in a New-Keynesian small open economy model complemented with a no-arbitrage term structure model. With Canadian data, we are able to study the impact of domestic and foreign (US) shocks on the yield curve. The unconditional variance decomposition of the yield level show that the movement of expected short rates is mainly dr...

Over the past twenty years, macroeconomic performance has improved in industrialized and developing countries alike. In a broad cross-section of countries inflation volatility has fallen markedly while output variability has either fallen or risen only slightly. This increased stability can be attributed to either: 1) more efficient policymaking by the monetary authority, 2) a reduction in the ...

Macroeconomic forecasts are used extensively in industry and government The historical accuracy of US and UK forecasts are examined in the light of different approaches to evaluating macro forecasts. Issues discussed include the comparative accuracy of macroeconometric models compared to their time series alternatives, whether the forecasting record has improved over time, the rationality of ma...

Establishing the relationship between stock prices and macroeconomic variables is very important for formulating current economic stabilisation policies. This paper investigates the causal relationship between four macroeconomic variables and Dhaka Stock Exchange (DSE) stock prices using cointegration and Granger causality test. The results suggest that cointegration exists between stock prices...

The validity of previous findings that dynamic factor models are useful for macroeconomic forecasting is of great importance for subsequent studies which use these models not only as a starting point for further developments but also as a benchmark for the evaluation of the forecasting performance of these further developments. Reanalyzing a standard macroeconomic dataset, we do not find any ev...

1. Macroeconomic conditions, health and mortality Although health is conventionally believed to deteriorate during macroeconomic downturns, the empirical evidence supporting this view is quite weak and comes from studies containing methodological shortcomings that are difficult to remedy. Recent research that better controls for many sources of omitted variables bias instead suggests that morta...

We analyse the impact of news on five financial markets in the Czech Republic, Hungary and Poland using a newly constructed data set in a GARCH framework. Macroeconomic shocks (on GDP, inflation rate, current account and trade balance) are constructed as deviations from expected values. EMU-related political and fiscal news is captured as news dummies. Macroeconomic shocks significantly affect ...

The CLASS model is a top-down capital stress testing framework that uses public data, simple econometric models, and auxiliary assumptions to project the effect of macroeconomic scenarios on U.S. banking firms. Through the lens of the model, we find that the total banking system capital shortfall under stressful macroeconomic conditions began to rise four years before the financial crisis, peak...

In the reduced-form approach to credit modeling, default intensity has been found to depend on several firm-specific factors, most notably credit rating. But aggregate default rates also vary substantially over time, presumably reflecting changes in general economic conditions. In this paper, we fit Cox intensity models for major credit events, including defaults as well as major upgrades and d...

This paper studies how the interplay between technological shocks and financial variables shapes the properties of macroeconomic dynamics. Most of the existing literature has based the analysis of aggregate macroeconomic regularities on the representative agent hypothesis (RAH). However, recent empirical research on longitudinal micro data sets has revealed a picture of business cycles and grow...