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1.
Forecasting inflation with an uncertain output gap   总被引:1,自引:0,他引:1  
The output gap is a crucial concept in the monetary policy framework, indicating demand pressure that generates inflation. However, its definition and estimation raise a number of theoretical and empirical questions. This paper evaluates a series of univariate and multivariate methods for extracting the output gap in Norway, and compares their value added in predicting inflation. We find that models including the output gap have better predictive power than models based on alternative indicators, and they forecast significantly better than simple benchmark models. Furthermore multivariate measures of the output gap perform better than the univariate gaps. Comments from two anonymous referees, Q. Farooq Akram, Tommy Sveen, Ken West, Fredrik Wulfsberg and seminar participants in Norges Bank are gratefully acknowledged. All mistakes remain our own. The views expressed are those of the authors and do not necessarily represent those of Norges Bank.  相似文献   

2.
I examine why the performance of an organization is often subject to gradual erosion. I assume that players are motivated partly by psychological factors, norms and morale, and that they are willing to exert extra efforts if others do so. I show that repeated random shocks induce the erosion of the extra efforts supported by norms and morale, but they do not completely decay; in the long run a certain range of efforts are sustainable. Hence different organizations typically enjoy diverse norms and morale, which persist for a long time, in the vicinity of the equilibrium determined by material incentives.  相似文献   

3.
This paper proposes a novel nonlinear model for calculating Value-at-Risk (VaR) when the market risk factors of an option portfolio are heavy-tailed. A multivariate mixture of normal distributions is used to depict the heavy-tailed market risk factors and accordingly a closed form expression for the moment generating function that can reflect the change in option portfolio value can be derived. Moreover, in order to make use of the correlation between the characteristic function and the moment generating function, Fourier-Inversion method and adaptive Simpson rule with iterative algorithm of numerical integration into the nonlinear VaR model for option portfolio are applied for calculation of VaR values of option portfolio. VaR values of option portfolio obtained from different methods are compared. Numerical results of Fourier-Inversion method and Monte Carlo simulation method show that high accuracy VaR values can be obtained when risk factors have multivariate mixture of normal distributions than when they have normal distributions. Moreover, VaR values obtained by using the Fourier-Inversion method are not obviously different from VaR values obtained by using Monte Carlo simulation when market risk factors have normal distributions or multivariate mixture of normal distributions. However, the speed of computation is obviously faster when using Fourier-Inversion method, than when using Monte Carlo simulation method. Besides, Cornish Fisher method is faster and simpler than Monte Carlo simulation method or Fourier-Inversion method. However, this method does not offer high accuracy and cannot be used to calculate VaR values of option portfolio when market risk factors have heavy-tailed distributions.  相似文献   

4.
The evaluation of scientific output has a key role in the allocation of research funds and academic positions. Decisions are often based on quality indicators for academic journals, and over the years, a handful of scoring methods have been proposed for this purpose. Discussing the most prominent methods (de facto standards) we show that they do not distinguish quality from quantity at article level. The systematic bias we find is analytically tractable and implies that the methods are manipulable. We introduce modified methods that correct for this bias, and use them to provide rankings of economic journals. Our methodology is transparent; our results are replicable.  相似文献   

5.
Standard VAR and Bayesian VAR models are proven to be reliable tools for modeling and forecasting, yet they are still linear and they do not consider time-variation in parameters. VAR modeling is subject to the Lucas critique and fails to take into account the inherent nonlinearities of the economy, while it can only be utilized in the analysis of stationary series and in many cases stationarity assumptions are too restrictive. A novel time-varying multivariate state-space estimation method for vector autoregression models is introduced. For the time-varying parameter model (TVP-VAR), the parameters are estimated using a multivariate specification of the standard Kalman filter (Harvey, 1990) combined with a suitable extension of the univariate methodology framework of Kim and Nelson (1999). The TVP-VAR model as well as standard VARs and Bayesian VARs, are used in a comparative investigation of their predicting performance for the monthly IP, CPI and Euribor rate of the EU economy. The total period covers 1999:1–2011:2 with an out-of-sample testing period of 2007:2 to 2011:2, which included the US sub-prime and the EU debt crisis sub-periods. The results varied across the investigated time series and indicated that the TVP-VAR model consistently outperforms the other models in case of the EU monthly CPI, while different specifications of the VAR and BVAR models for the IP and Euribor series provide with better forecasting performance. Interestingly, the robustness analysis showed that the TVP-VAR model provided with enhanced predictability in particular during “crisis times”.  相似文献   

6.
Nominal Interest Rates as Indicators of Inflation Expectations   总被引:1,自引:0,他引:1  
The properties of nominal interest rates as indicators of inflation expectations are evaluated. Are they unbiased? How precise are they? To arrive at robust results, a range of different methods are applied on several US and UK data sets. The results show that the interest rate level is a reasonably good indicator of the level of inflation expectations. However, changes in interest rates are poor indicators of changes inflation expectations.  相似文献   

7.
Statistical indicators used to analyze international specialization are manifold. However, most of them do not measure exactly the intensity of revealed comparative advantages and do not distinguish it from other aspects such as trade performance. This paper surveys the available indicators, discriminating between trade specialization and productive specialization (the gap between domestic supply and demand). It is asserted that in order to describe the international specialization pattern of a country, it is enough to consider the product distribution of the elementary trade balances, normalized with respect to trade (trade specialization) or to internal demand (production specialization). Indeed, while the individual, normalized trade balances are only performance indicators, deviations from their average correctly measure the intensity of specialization.  相似文献   

8.
Do cultural attitudes affect institutions and economic performance? This paper suggests they do. To measure the impact of cultural attitudes we use prevalence rates of the common parasite Toxoplasma gondii which is known to affect individual attitudes and societal values in predictable ways. By using prevalence rates of Toxoplasma as instrument for cultural variation, we are able to isolate the effects of cultural attitudes on institutions, distinguishing them from effects of institutions and economic outcomes on culture. We find that our indicators of cultural attitudes are significant determinants of institutional quality, and strong predictors of long-run economic performance.  相似文献   

9.
Inter-municipal cooperation is an important public service delivery reform, whose drivers move beyond simple concerns with costs and economic efficiency, to policy issues related to governance structure and spatial context. We conduct a meta-regression analysis based on the existing multivariate empirical literature to explore what factors explain divergence in results in the existing empirical studies. We find strong evidence that fiscal constraints, spatial, and organizational factors are significant drivers of cooperation. Our meta-regressions do not yield results to explain divergence in results on community wealth, economies of scale, or racial homogeneity. More studies on these factors are needed to understand how these factors might affect cooperation. Future theoretical and empirical research should give more attention to spatial and organizational factors to develop a better understanding of factors driving cooperation, and how they differ across local government structures and regions.  相似文献   

10.
It is common practice to summarize the macroeconomic performance of countries in terms of the four well-known dimensions captured by the magic diamond of the OECD. This study provides a comparison of several synthetic indicators that merge the four separate indicators into one single statistic. These indicators are inspired by Data Envelopment Analysis (DEA)-based models, which allow for unequal weighting of the different economic objectives. The calculated weights then act as proxies for the true policy priorities. Comparison of the models focuses on the underlying assumptions as well as on the empirical results they generate.  相似文献   

11.
A widespread method for forecasting economic macro level parameters such as GDP growth rates is survey-based indicators that contain early information in contrast to official data. But surveys are commonly affected by nonresponding units, which can cause biased results. Many papers have examined the effect of nonresponse in individual or household surveys, but less is known in the case of business surveys. For this reason, we analyse and impute the missing observations in the Ifo Business Survey, a large business survey in Germany. The most prominent result of this survey is the Ifo Business Climate Index, a leading indicator for the German business cycle. To reflect the underlying latent data generating process, we compare different imputation approaches for longitudinal data. After this, the microdata are aggregated and the results are compared with the original indicators to evaluate their implications at the macro level. Finally, we show that the differences between the original and imputed indicators do not lead to substantial changes in the interpretation and the forecasting performance of the indicators.  相似文献   

12.
In the past decade, numerous indicators and indicator sets for sustainable agriculture and sustainable land management have been proposed. In addition to their interest in comparing different management systems on an indicator by indicator basis, land managers are often interested in comparing individual indicators against a threshold, or, in order to study trade-offs, against each other. To this end it is necessary to (1) transform the original indicators into a comparable format, and (2) score these transformed indicators against a sustainability function.This paper introduces an evaluation method for land-use-related impact indicators, which was designed to accomplish these tasks. It is the second of a series of two papers, and as such it links into a larger framework for sustainability assessment of land use systems.The evaluation scheme introduced here comprises (1) a standardisation procedure, which aims at making different indicators comparable. In this procedure indicators are first normalised, by referencing them to the total impact they contribute towards, and then they are corrected by a factor describing the severity of this total impact in terms of exceeding a threshold. The procedure borrows conceptually from Life Cycle Assessment (LCA) Impact Analysis methodology; (2) a valuation procedure, which judges the individual standardised indicators with regard to sustainability.This methodology is then tested on an indicator set for the environmental impact of a spinach production system in Northwest Germany. The method highlights mineral resource consumption, greenhouse gas emission, eutrophication and impacts on soil quality as the most important environmental effects of the studied system.We then explore the effect of introducing weighting factors, reflecting the differing societal perception of diverse environmental issues. Two different sets of weighting factors are used. The influence of weighting is, however, small compared to that of the standardisation procedure introduced earlier.Finally, we explore the propagation of uncertainty (defined as a variable's 95% confidence limits) throughout the standardisation procedure using a stochastic simulation approach. The uncertainty of the analysed standardised indicator was higher than that of the non-standardised indicators by a factor of 2.0 to 2.5.  相似文献   

13.
This paper links cross‐country variation in trade facilitation policies to prominent indicators of national customs and logistics performance. We test the hypotheses that the policy data explain variation in the performance indicators, independent of other country characteristics that are plausibly exogenous to changes in trade facilitation policies. We use a LASSO procedure to choose among the many potential explanatory variables in the model. In general we find that country characteristics related to geography, income, and the general quality of governance better explain cross‐country variation in customs and logistics performance than do the measures of trade facilitation policy.  相似文献   

14.
经济增长方式的多指标判别方法   总被引:1,自引:0,他引:1  
本文就经济增长方式的类型及相关指标以及如何对经济增长方式进行判别作了讨论,提出了多指标判别方法。  相似文献   

15.
随着信息经济时代的来临,中国饭店面临的环境发生了巨大变化,以财务指标为主要手段的传统评价方法已不能全面评价饭店的业绩。平衡计分卡作为一种以信息为基础、将企业战略目标与企业业绩驱动因素相结合的战略管理系统,在中国饭店实施平衡计分卡,不仅须对饭店现行的目标战略、内部经营过程、目标顾客等进行重新确定,还必须排除在实施中可能遭遇的饭店经营及内部文化等产生的冲突和阻力,获取饭店全体人员对实施平衡计分卡的支持,确保平衡计分卡相关知识及技能完整地转移至组织平台,这样平衡计分卡才能发挥真正的作用。  相似文献   

16.
In this paper we explore the motivation for the introduction of environmental management systems, and their certification. A distinction is drawn between their role in bringing about better compliance or improved performance, and as external indicators of good environmental practices to both other market participants and regulatory authorities. Drawing upon a database of approximately 4000 facilities in seven OECD countries, empirical evidence is found for the role that both factors play in encouraging the adoption and certification of EMS's, but that the relative importance of different factors varies according to facility size.  相似文献   

17.
美国国际贸易委员会的关于反倾销产业损害的调查和裁决有相对稳定的程序和方法,因此基于产业损害调查的反倾销预警是可能的。本文将主要用于金融危机预警领域的KLR信号分析法引入美国对华反倾销预警研究,并通过引入显著性强的否决性指标,解决KLR分析法过多考虑系统稳健性,对突发因素不敏感的问题。通过对2003—2009年美国国际贸易委员会发起反倾销产业损害调查的大量案例进行分析,结合其他文献的研究结果,得到了8种预警指标,并计算得到了相应的阈值。从而形成了一套实用的预警方法。通过对2009年的三个案例进行验证性计算,结果表明这套预警方法具有良好的效果。  相似文献   

18.
A new classification scheme for the impact analysis based on an impact matrix is presented. In contrast to the state-of-the-art methods the impact factors of a social system are not grouped into 4 or 5 groups but ranked according to different criteria. The criteria include for instance the driving impact factors as keys for improvements to the system and the driven impact factors that may be indicators for the improvement success. The ranking for each criterion is on a scale from 0 to 100, independent of the number of impact factors.  相似文献   

19.
Numerous indices help us to compare country and local performance in the field of human development, globalization and sustainable development. Obvious problems arise, such as data availability and data quality. A less obvious issue is that such sets and indices do not permit the inclusion of specific characteristics or discourses that are important in a country or region. This paper investigates the possibility of comparing regional sustainability assessments in four case studies, where the indicators vary from region to region, but the method of making the assessment is similar. The concepts of weak and strong comparability were used in this analysis. Comparability of sustainable development between different regions is not an issue of rigid comparison of indicator by indicator. It should take into account regional specifics. The resulting shift from strong to weak comparability should not be seen as a lessening of the quality of the assessment and decreasing comparability. Rather than focusing on individual indicators within frameworks that do not permit inclusion of regional developments, this approach allows to look at the broader picture of regional dynamics. It reveals specific regional weaknesses that need attention, and possible areas for building alliances between regions, thus creating a more sustainable Europe.  相似文献   

20.
We estimate banks' conduct for Italian regions, then regress the behavioural parameters on selected indicators of local banking market structure and macroeconomic performance. This allows to identify some factors explaining why banks exhibit different patterns of conduct across regions.  相似文献   

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