scholarly journals New Evidence on the Ability of Asset Prices and Real Economic Activity Forecast Errors to Predict Inflation Forecast Errors

2016 ◽  
Vol 36 (5) ◽  
pp. 557-565 ◽  
Author(s):  
Nicholas Apergis
Keyword(s):  
Economic Activity ◽  
Asset Prices ◽  
Forecast Errors ◽  
New Evidence ◽  
Activity Forecast

Macroeconomic Factors in Oil Futures Markets

2019 ◽  
Vol 65 (9) ◽  
pp. 4407-4421 ◽  
Author(s):  
Davidson Heath
Keyword(s):  
Economic Activity ◽  
Futures Markets ◽  
Price Shocks ◽  
Productivity Shocks ◽  
Macroeconomic Factors ◽  
Oil Futures ◽  
Risk Premiums ◽  
Crude Oil Futures ◽  
Future Consumption ◽  
New Evidence

This paper documents new evidence against perfect risk spanning in crude oil futures, and develops an affine futures pricing model that allows for unspanned macroeconomic factors. Compared to previous estimates, the oil spot premium is more volatile and strongly procyclical, which suggests that previous models miss the majority of variation in oil risk premiums. The estimates reveal a dynamic two-way relationship between oil futures and economic activity: productivity shocks are associated with higher oil prices, while oil price shocks affect economic activity by lowering future consumption spending. Unspanned macro factors also affect the valuation of real options. This paper was accepted by Karl Diether, finance.

Bank net worth, asset prices and economic activity

2001 ◽  
Vol 48 (2) ◽  
pp. 415-436 ◽  
Author(s):  
Nan-Kuang Chen
Keyword(s):  
Economic Activity ◽  
Asset Prices ◽  
Net Worth

scholarly journals Are Banks Really Special? New Evidence from the FDIC-Induced Failure of Healthy Banks

2005 ◽  
Vol 95 (5) ◽  
pp. 1712-1730 ◽  
Author(s):  
Adam B Ashcraft
Keyword(s):  
Economic Activity ◽  
Bank Failures ◽  
Negative Effects ◽  
New Evidence

Recent bank failures are followed by significant and permanent negative declines in real county income. These declines are larger for small failures than for large failures per dollar of assets, are larger for bank failures than thrift failures, and are larger for bank closures than assisted mergers. More interestingly, the failure of even healthy banks has significant and permanent negative effects on economic activity.

New Evidence on Serial Correlation in Analyst Forecast Errors

1999 ◽  
Vol 28 (4) ◽  
pp. 106 ◽  
Author(s):  
Stacey R. Nutt ◽  
John C. Easterwood ◽  
Cintia M. Easterwood
Keyword(s):  
Serial Correlation ◽  
Analyst Forecast ◽  
Forecast Errors ◽  
New Evidence

scholarly journals Economic activity forecast in emerging markets

2014 ◽  
Vol 12 (1) ◽  
pp. 325-329 ◽  
Author(s):  
Andre Carvalhal ◽  
Miguel Murillo
Keyword(s):  
Economic Growth ◽  
Emerging Markets ◽  
Emerging Economies ◽  
Economic Activity ◽  
Predictive Power ◽  
Forecasting Model ◽  
Yield Spread ◽  
Fixed Income ◽  
Time Horizons ◽  
Activity Forecast

This paper uses a forecasting model for real economic activity for a group of emerging economies (Brazil, India, Mexico and Russia) based on the information contained in their capital markets. We forecast the industrial production in emerging markets throughout different time horizons using information contained in stock and fixed-income markets. Our results suggest that fixed-income and stock markets do not reveal information regarding future economic growth in Brazil, Mexico and Russia. In the case of India, the yield spread explain part of the variation of the economic activity, but the stock market does not have predictive power.

A Review of Textual Analysis in Economics and Finance

2014 ◽  
pp. 122-139 ◽  
Author(s):  
Carissa L. Tudor ◽  
Clara Vega
Keyword(s):  
Economic Activity ◽  
Asset Prices ◽  
Textual Analysis ◽  
Asset Price ◽  
Price Volatility ◽  
Informational Content ◽  
Message Board ◽  
Firm Level ◽  
Message Boards ◽  
Cash Flow Volatility

This chapter provides an overview of studies in finance and economics that use automated textual analysis algorithms to analyze the informational content of a wide variety of texts, including journalist’s coverage of news events, management-issued statements, and Internet stock message boards. In these studies, researchers quantify qualitative information with one or more of the following textual tone variables: textual negativity, positivity, and uncertainty. The studies show that textual negativity and positivity conveyed by managers and journalists helps predict future firm level and aggregate economic activity. Textual negativity and positivity, in turn, affect asset prices, although the information is sometimes incorporated with some delay. Textual uncertainty of management-issued information is associated with future cash flow volatility and asset price volatility. In contrast, the textual tone of stock market message board postings is, on average, not very informative in explaining asset prices. The use of automated textual analysis algorithms in finance and economics is a relatively new phenomenon and research in this area is expected to continue to grow.

scholarly journals Economic Activity and Credit Market Linkages: New Evidence From Italy

2017 ◽  
Vol 46 (3) ◽  
pp. 491-526
Author(s):  
Vincenzo Chiorazzo ◽  
Vincenzo D'Apice ◽  
Pierluigi Morelli ◽  
Giovanni Walter Puopolo
Keyword(s):  
Economic Activity ◽  
Credit Market ◽  
Market Linkages ◽  
New Evidence

scholarly journals Do Asset Prices in Transition Countries Contain Information about Future Economic Activity?

2001 ◽  
Author(s):  
Peter F. Christoffersen ◽  
Torsten Mikkel Sløk
Keyword(s):  
Economic Activity ◽  
Asset Prices ◽  
Transition Countries

scholarly journals Measuring the Effects of Firm Uncertainty on Economic Activity: New Evidence from One Million Documents

2020 ◽  
Author(s):  
Kyle Handley ◽  
J. Frank Li
Keyword(s):  
Economic Activity ◽  
New Evidence
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