Handbook of Economic Forecasting - 1st Edition - ISBN: 9780444536839, 9780444536846

Handbook of Economic Forecasting, Volume 2A

1st Edition

Editors: Graham Elliott Allan Timmermann
eBook ISBN: 9780444536846
Hardcover ISBN: 9780444536839
Imprint: North Holland
Published Date: 15th July 2013
Page Count: 720
Tax/VAT will be calculated at check-out Price includes VAT (GST)
30% off
30% off
30% off
30% off
30% off
20% off
20% off
30% off
30% off
30% off
30% off
30% off
20% off
20% off
30% off
30% off
30% off
30% off
30% off
20% off
20% off
149.95
104.97
104.97
104.97
104.97
104.97
119.96
119.96
94.99
66.49
66.49
66.49
66.49
66.49
75.99
75.99
118.00
82.60
82.60
82.60
82.60
82.60
94.40
94.40
Unavailable
Price includes VAT (GST)
DRM-Free

Easy - Download and start reading immediately. There’s no activation process to access eBooks; all eBooks are fully searchable, and enabled for copying, pasting, and printing.

Flexible - Read on multiple operating systems and devices. Easily read eBooks on smart phones, computers, or any eBook readers, including Kindle.

Open - Buy once, receive and download all available eBook formats, including PDF, EPUB, and Mobi (for Kindle).

Institutional Access

Secure Checkout

Personal information is secured with SSL technology.

Free Shipping

Free global shipping
No minimum order.

Table of Contents

Dedication

Introduction to the Series

Contributors

Section I: Macro Forecasting

Chapter 1. Forecasting Inflation

Abstract

1 Introduction

2 Approach for Our General Review

3 Market-Based Measures of the Inflation Outlook

4 Other Topics

5 International Inflation Forecasts

6 Conclusions

Acknowledgments

References

Chapter 2. DSGE Model-Based Forecasting

Abstract

1 Introduction

2 The DSGE Models

3 Generating Forecasts with DSGE Models

4 Accuracy of Point Forecasts

5 DSGE Model Forecasts Using External Information

6 Forecasts Conditional on Interest Rate Paths

7 Moving Beyond Point Forecasts

8 Outlook

Acknowledgments

Appendix A Details for Figure 2.5

References

Chapter 3. Forecasting Output

Abstract

1 Introduction

2 Forecasting Models

3 Forecast Comparison: Real-time Performance

4 Conclusion

Acknowledgments

References

Chapter 4. Now-Casting and the Real-Time Data Flow

Abstract

1 Introduction

2 Now-Casting: Problem and Overview of Approaches

3 Empirical Application

4 Conclusions and Discussion on Further Developments

Acknowledgments

Appendix A Appendix: Details on the State Space Representation and Estimation

References

Chapter 5. Forecasting and Policy Making

Abstract

1 Introduction

2 The Role of Forecasts in Policy Making: A Practical Example and a Theoretical Framework

3 Examples of Forecasts Produced at Fiscal Authorities and Central Banks

4 Empirical Evidence that Policymakers’ Decisions Respond to Forecasts

5 Computing Forecasts that Account for the Interaction with Policy Decisions

6 Evaluating the Performance of Policy Rules that Respond to Forecasts

7 Outlook

Acknowledgments

Appendix A A medium-scale DSGE model

References

Section II: Forecasting Financial Variables

Chapter 6. Forecasting Stock Returns

Abstract

1 Introduction

2 What Level of Predictability Should We Expect?

3 U.S. Aggregate Stock Market Return Forecastability

4 Stock Return Forecastability Along Other Dimensions

5 Conclusion

Acknowledgments

References

Chapter 7. Forecasting Interest Rates

Abstract

1 Introduction

2 Forecasting Methods from a Finance Perspective

3 Regression Approaches to Forecasting Treasury Yields

4 A Dynamic Term Structure Framework

5 Macro-Finance Models

6 Economic Fundamentals and Risk Premia

7 A Robustness Check

8 Concluding Comments

Acknowledgments

References

Chapter 8. Forecasting the Price of Oil

Abstract

1 Introduction

2 Alternative Oil Price Measures

3 Alternative Oil Price Specifications

4 Granger Causality Tests

5 Short-Horizon Forecasts of the Nominal Price of Oil

6 Long-Horizon Forecasts of the Nominal Price of Oil Based on Oil Futures Prices

7 Survey Forecasts of the Nominal Price of Oil

8 What Have We Learned about Forecasting the Nominal Price of Oil?

9 Short-Horizon Forecasts of the Real Price of Oil

10 What Have We Learned about Forecasting the Real Price of Oil?

11 Structural VAR Forecasts of the Real Price of Oil

12 The Ability of Oil Prices to Forecast U.S. Real GDP

13 The Role of Oil Price Volatility

14 Avenues for Future Research

15 Conclusions

Acknowledgments

References

Chapter 9. Forecasting Real Estate Prices

Abstract

1 Introduction

2 The Real Estate Data

3 Forecasting Real Estate Returns

4 REITs

5 Real Estate, Leverage, and Monetary Policy

6 Concluding Remarks

Appendix A Data sources

References

Chapter 10. Forecasting with Option-Implied Information

Abstract

1 Introduction

2 Extracting Volatility and Correlation from Option Prices

3 Extracting Skewness and Kurtosis from Option Prices

4 Extracting Densities from Option Prices

5 Allowing for Risk Premia

6 Summary and Discussion

Acknowledgment

References

Chapter 11. Prediction Markets for Economic Forecasting

Abstract

1 Introduction

2 Types of Prediction Markets

3 Why Prediction Markets Work

4 Forecast Accuracy

5 Discovering Economic Models

6 Conclusion

Acknowledgment

References

Index


Description

The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics.  In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects.  Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables.  Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies.  Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals.  The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues.

Key Features

  • Focuses on innovation in economic forecasting via industry applications
  • Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications
  • Makes details about economic forecasting accessible to scholars in fields outside economics

Readership

Graduate students and professors worldwide working in all subdisciplines of economics and finance


Details

No. of pages:
720
Language:
English
Copyright:
© North Holland 2013
Published:
Imprint:
North Holland
eBook ISBN:
9780444536846
Hardcover ISBN:
9780444536839

Reviews

"…the eleven papers in this collection survey recent literature on forecasting stock returns, interest rates, the price of oil, real estate prices, inflation, national output, business cycles, and the GDP impact of a fiscal stimulus package...The contributors agree most economic models  failed to predict the Great Recession."--ProtoView.com, April 2014

"Forecasting is one of the most challenging and competitive activities undertaken by economists. Volume 2 of the Handbook of Economic Forecasting and the companion Volume 1 are essential references for keeping abreast of recent improvements in forecasting methodology and its application in demanding circumstances."--John Geweke, University of Technology Sydney, Australia

"This is a highly recommended volume on forecasting that covers a wide-range of applications in economic and financial forecasting, as well as providing comprehensive and up-to-date overviews of forecasting theory by the leading scholars in the field."--Hashem Pesaran, University of Southern California

"An excellent resource for any economist interested in forecasting."--Kenneth D. West, University of Wisconsin

"These articles have been written by the most important players in the areas, by the people who have provided important contributions to their fields.  I have no doubt about the very high quality of these chapters and the impact they will have on people doing applied work."--Valentina Corradi, University of Warwick


About the Editors

Graham Elliott Editor

Co-Editor of the International Journal of Forecasting, Graham Elliott is a Fellow at the Center for Applied Macroeconomic Analysis.

Affiliations and Expertise

University of California, San Diego, USA

Allan Timmermann Editor

Allan Timmerman has served as an associate editor on the editorial boards of forecasting, economics, and finance journals. A member of the UCSD faculty since 1994, he obtained his Ph.D. from Cambridge University.

Affiliations and Expertise

Rady School of Management, University of California, San Diego, USA