The performance of active portfolio methods critically depends on the forecasting ability of the security analyst. The Treynor-Black model provides an efficient way of implementing active investment strategy. Despite its potential benefits, the Treynor-Black model appears to have had little impact on the financial community, mainly because it has been believed that the precision threshold of al...

This paper provides the most complete evidence to date on the importance of monetary aggregates as a policy tool in an inflation forecasting experiment. Every possible definition of ‘money’ in the USA is being considered for the full data period (1960 – 2006), in addition to two different approaches to constructing the benchmark asset, using the most sophisticated non-linear artificial intellig...

abstract on 6 december 2006, australia and korea announced a joint study on a possible australia-korea free trade agreement (akfta) to promote trade and economic relations between the two countries. the paper provides empirical evidence on the possible gains and their transmission mechanism from this agreement. significantly, it uses a new economic policy modelling approach, the endogenous grav...

Focussing on the prime example of CO2 emissions, we discuss several important theoretical and econometric problems that arise when studying environmental Kuznets curves (EKCs). The dominant theoretical approach is given by integrated assessment modelling, which consists of economic models that are combined with environmental impactmodels. We critically evaluate the aggregation, model dynamics a...

Recent models of monetary policy have analyzed the desirability of different optimal and ad hoc interest rules under the restrictive assumption that forecasts of the private sector and the central bank are homogenous. This paper studies the implications of heterogeneity in forecasting by the central bank and private agents for the performance of interest rules in a framework of econometric lear...

First-reported monthly and quarterly time-series data on nine macroeconomic variables from 1960–1993 are given. Features of this so-called “unrevised” or “first-reported data” are discussed, and the data is compared with standard “fully revised” data using Granger causality tests. For the purposes of real-time forecasting, as well as comparing professional forecasts with traditional econometric...

Research has consistently found that implied volatility is a conditionally biased predictor of realized volatility across asset markets. This paper evaluates explanations for this bias in the market for options on foreign exchange futures. No solution considered—including a model of priced volatility risk—explains the conditional bias found in implied volatility. Further, while implied volatili...

Path forecasts, defined as sequences of individual forecasts, generated by vector autoregressions are widely used in applied work. It has been recognized that a profound econometric analysis often requires, besides the path forecast, a joint prediction region that contains the whole future path with a prespecified coverage probability. The forecasting literature offers several different methods...

The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several alternative econometric specifications proposed in the literature to capture the dynamics of oil prices. Sec...