Forecasting financial markets and understanding the role of monetary policy:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2010
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XX, 131 S. graph. Darst. 21 cm |
Internformat
MARC
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| 245 | 1 | 0 | |a Forecasting financial markets and understanding the role of monetary policy |c vorgelegt von Marco Willner |
| 264 | 1 | |c 2010 | |
| 300 | |a XX, 131 S. |b graph. Darst. |c 21 cm | ||
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| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Frankfurt (Main), Univ., Diss., 2010 | ||
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-021158922 | ||
Datensatz im Suchindex
| _version_ | 1804143857804247040 |
|---|---|
| adam_text | Contents
Acknowledgments V
List of Figures XI
List of Tables
XIII
Zusammenfassung
XV
Preface
1
1
The Effects of Monetary Policy on the Variability of Bond and
Equity Markets
13
1.1
Introduction
................................ 13
1.2
New Keynesian i Iodel
.......................... 15
1.2.1
Stochastic Discount Factor and Dividends
........... 16
1.2.2
Solution
.............................. 17
1.3
Asset Returns
............................... 18
1.3.1
Bond Returns and the Term Structure
............. 18
1.3.2
Equity Returns
.......................... 19
1.4
Results
................................... 20
1.4.1
Data
................................ 20
1.4.2
Maximum Likelihood Estimation
................ 21
1.4.3
Effects from Changes in the Monetary Policy
.......... 24
1.4.4
The Role of Adjustment Costs
.................. 26
1.5
Conclusions
................................ 29
1.6
Appendix
................................. 30
1.6.1
Details on the .Macroeconomic Model
.............. 30
1.6.2
Derivation of the Asset Prices
.................. 32
1.7
References
................................. 36
2
Revisiting the Nelson-Siege! Approach to Forecasting International
Bond Yields
39
2.1
Introduction
................................ 39
2.2
Literature
................................. 40
2.3
Models and Estimation
.......................... 43
2.3.1
Diebold-Li (DL) Approach
.................... 43
2.3.2
Dynamic
Nelson-Siegel (DNS)
Model
.............. 45
2.3.3
DNS Model with Macroeconomic Factors (DNS-Macro)
.... 46
2.4
Forecasting Exercise
........................... 47
2.4.1
Data
................................ 47
2.4.2
Forecasting Statistics
....................... 51
2.4.3
Forecasting Results
........................ 53
2.5
Financial Returns
............................. 56
2.6
Conclusions
................................ 61
2.7
Appendix
................................. 63
2.7.1
Transforming Quarterly Series to a Monthly Frequency
.... 63
2.8
References
................................. 64
3
Forecasting Equity
Premia
Using Structural Breaks and Restric¬
tions
69
3.1
Introduction
................................ 69
3.2
Connection to the Literature
....................... 71
3.3
Data and Model Specifications
...................... 73
3.3.1
Univariate Models
........................ 74
3.3.2
Multivariate Models
....................... 74
3.3.3
Predictor Choice
......................... 75
3.3.4
Structural Breaks
......................... 77
3.3.5
Theory-Induced Restrictions
................... 78
3.4
Forecasting Exercise
........................... 79
3.4.1
Measures of Forecasting Accuracy
................ 80
3.4.2
Forecasting Results
........................ 80
3.4.3
Financial Returns
......................... 89
3.5
Conclusions
................................ 90
3.6
Appendix
................................. 91
3.6.1
Algebra behind the ROC Procedure
............... 91
3.6.2
Definitions of the Test Statistics
................. 92
3.7
References
................................. 94
4
Forecasting Stock Market Returns along Financial Cycles
99
4.1
Introduction
................................ 99
4.2
Literature
................................. 100
4.2.1
Xotion of Financial Cycles
.................... 100
4.2.2
Literature on Forecasting Models
................ 102
4.3
Dating the Financial Cycle
........................ 104
4.3.1
Time-Varying
λ
-Olatility
and the Dating Scheme
........ 106
4.4
Forecasting Setup and Models
......................107
4.5
Results
...................................108
4.5.1
Data
................................110
4.5.2
Choice of State Variables
.....................
Ill
4.5.3
Forecasting Exercise
.......................113
4.6
Conclusions
................................119
4.7
Appendix
.................................121
4.7.1
Kalman
Filter
...........................121
4.7.2
Pesaran-
Timmermann Test....................122
4.8
References
.................................124
|
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| indexdate | 2024-07-09T22:54:20Z |
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| language | English |
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| spelling | Willner, Marco 1976- Verfasser (DE-588)143124110 aut Forecasting financial markets and understanding the role of monetary policy vorgelegt von Marco Willner 2010 XX, 131 S. graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier Frankfurt (Main), Univ., Diss., 2010 Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditmarkt (DE-588)4073788-3 s Geldpolitik (DE-588)4019902-2 s DE-604 Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021158922&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Willner, Marco 1976- Forecasting financial markets and understanding the role of monetary policy Kreditmarkt (DE-588)4073788-3 gnd Geldpolitik (DE-588)4019902-2 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4019902-2 (DE-588)4113937-9 |
| title | Forecasting financial markets and understanding the role of monetary policy |
| title_auth | Forecasting financial markets and understanding the role of monetary policy |
| title_exact_search | Forecasting financial markets and understanding the role of monetary policy |
| title_full | Forecasting financial markets and understanding the role of monetary policy vorgelegt von Marco Willner |
| title_fullStr | Forecasting financial markets and understanding the role of monetary policy vorgelegt von Marco Willner |
| title_full_unstemmed | Forecasting financial markets and understanding the role of monetary policy vorgelegt von Marco Willner |
| title_short | Forecasting financial markets and understanding the role of monetary policy |
| title_sort | forecasting financial markets and understanding the role of monetary policy |
| topic | Kreditmarkt (DE-588)4073788-3 gnd Geldpolitik (DE-588)4019902-2 gnd |
| topic_facet | Kreditmarkt Geldpolitik Hochschulschrift |
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