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Intereconomics - First, we need to recall the initial objectives set for the euro and how these have changed over time, notably due to the weaknesses that came to the fore throughout the recent... 相似文献
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We study the properties of a GEI model with nominal assets, outside money (injected into the economy as in Magill and Quinzii (J Math Econ 21:301–342, 1992)), and multiple currencies. We analyze the existence of monetary equilibria and the structure of the equilibrium set under two different assumptions on the determination of the exchange rates. If currencies are perfect substitutes, equilibrium allocations are indeterminate and, generically, sunspot equilibria exist. Generically, given a nonsunspot equilibrium, there are Pareto improving (and Pareto worsening) sunspot equilibria associated with an increase in the volatility of the future exchange rates. We interpret this property as showing that, in general, there is no clear-cut effect on welfare of the excess volatility of exchange rates, even when due to purely extrinsic phenomena. 相似文献
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We analyze the drivers of nonperforming loans in the Turkish banking system after the 2000–01 Turkish banking crisis. By constructing a vector autoregression model, we perform dynamic out-of-sample forecasts, which yield quite accurate results compared to the actual data. Since forecasting is a very crucial tool for both policy makers and market players, these results are some of the main strengths and contributions of this study. This article shows various patterns between the economic and financial indicators and the nonperforming loans. One important message obtained from the results is that policy makers should be concerned about the status of the economy and the market expectations to maintain stability in the banking system. 相似文献
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Burak Saltoğlu 《Empirical Economics》2000,25(1):93-109
An empirical assessment of a continuous time portfolio selection model is studied for the UK economy between 1970 and 1996.
The estimates obtained from this study are both statistically significant and consistent with the model's predictions. The
estimate of risk aversion parameter refers to low risk aversion which is consistent with the optimal risky asset holding parameter.
Furthermore, the estimated parameters of the asset pricing relationship are also found to be consistent with the historical
values of the stock prices.
First version received: February 1998/final version received: March 1999 相似文献
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In a world economy of overlapping generations with multiple countries, a competitive equilibrium need not satisfy the condition that the balance of payments be in equilibrium. The requirement that, in addition to market clearing, a balance–of–payments equilibrium condition be satisfied selects Pareto–optimal allocations and guarantees the determinacy of equilibrium. 相似文献
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In this paper we compare the forecasting performance of different models of interest rates using parametric and nonparametric estimation methods. In particular, we use three popular nonparametric methods, namely, artificial neural networks (ANN), k-nearest neighbour (k-NN), and local linear regression (LL). These are compared with forecasts obtained from two-factor continuous time interest rate models, namely, Chan, Karolyi, Longstaff, and Sanders [CKLS, J. Finance 47 (1992) 1209]; Cos, Ingersoll, and Ross [CIR, Econometrica 53 (1985) 385]; Brennan and Schwartz [BR-SC, J. Financ. Quant. Anal. 15 (1980) 907]; and Vasicek [J. Financ. Econ. 5 (1977) 177]. We find that while the parametric continuous time method, specifically Vasicek, produces the most successful forecasts, the nonparametric k-NN performed well. 相似文献
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Andrea Silvestrini Matteo Salto Laurent Moulin David Veredas 《Empirical Economics》2008,34(3):493-524
In this paper we forecast annual budget deficits using monthly information. Using French monthly data on central government
revenues and expenditures, the method we propose consists of: (1) estimating monthly
ARIMA models for all items of central government revenues and expenditures; (2) inferring the annual
ARIMA models from the monthly models; (3) using the inferred annual ARIMA models to perform one-step-ahead forecasts for each item; (4) compounding the annual forecasts of all revenues and expenditures
to obtain an annual budget deficit forecast. The major empirical benefit of this technique is that as soon as new monthly
data become available, annual deficit forecasts are updated. This allows us to detect in advance possible slippages in central
government finances. For years 2002–2004, forecasts obtained following the proposed approach are compared with a benchmark
method and with official predictions published by the French government. An evaluation of their relative performance is provided.
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