scholarly journals The communication effects on inflation forecast errors: Empirical evidence from Colombia

2020 ◽  
pp. 16-16
Author(s):  
Juan Zapata ◽  
Juan Ciro
Keyword(s):  
Central Bank ◽  
Empirical Evidence ◽  
Forecast Error ◽  
Decomposition Analysis ◽  
Error Variance ◽  
Forecast Errors ◽  
Central Bank Communication ◽  
Egarch Model ◽  
Forecast Error Variance ◽  
Variance Decomposition Analysis

The purpose of this article is to explore the central bank's ability to management inflation forecast errors in Colombia. We present empirical evidence based on the Colombian experience with data from the period of 2008 to 2020. The communication channel selected for analysis is the press releases. The empirical evidence is divided into three steps: (i) regression analysis using an EGARCH model, (ii) use of VAR models, and (iii) variance decomposition analysis. The communications effects are significant for several months and that close to half of the forecast error variance can be explained by innovations in central bank communication. The results obtained allow monetary policymakers to develop more efficient strategies for anchoring expectations and strengthening the central bank credibility.

scholarly journals Oil Prices and the U.S. Dollar Exchange Rate: Evidence from the Monetary Model

2018 ◽  
Vol 10 (4) ◽  
pp. 17
Author(s):  
Moayad H. Al Rasasi
Keyword(s):  
Exchange Rate ◽  
Forecast Error ◽  
Negative Relationship ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Oil Prices ◽  
Error Variance ◽  
Monetary Model ◽  
Forecast Error Variance ◽  
Positive Shock

This paper analyzes how changes in global oil prices affect the US dollar (USD) exchange rate based on the monetary model of exchange rate. We find evidence indicating a negative relationship between oil prices and the USD exchange rate against 12 currencies. Specifically, the analysis of the impulse response function shows that the depreciation rate of the USD exchange rate ranges between 0.002 and 0.018 percentage points as a result of a one-standard deviation positive shock to the real price of crude oil. In the same vein, the forecast error variance decomposition analysis reveals that variation in the USD exchange rate is largely attributable to changes in the price of oil rather than monetary fundamentals. In last, the out-of-sample forecast exercise indicates that oil prices enhance the predictability power of the monetary model of exchange rate.

scholarly journals Eurozone or national inflation projections: Which has greater impact on consumer expectations?

2020 ◽  
pp. 14-14
Author(s):  
Magdalena Szyszko ◽  
Karolina Tura-Gawron
Keyword(s):  
Central Bank ◽  
Forecast Error ◽  
Probabilistic Method ◽  
Error Variance ◽  
Response Analysis ◽  
Inflation Expectations ◽  
Causality Test ◽  
Consumer Expectations ◽  
Forecast Error Variance ◽  
The Impact

We compare the dependence of consumer inflation expectations on European Central Bank (ECB) inflation projections with that on national central bank (NCB) projections in four economies: Austria, Belgium, Finland, and Germany. We aim to assess whether the information published by central banks affects consumers, and whether inflation projections published by NCBs are more relevant to consumers than those published for the entire Eurozone. Inflation expectations were obtained from the Business and Consumer Surveys conducted by the Directorate General for Economic and Financial Affairs of the European Commission and quantified using the probabilistic method. The methodology covers: (1) forecast encompassing tests, (2) the Granger causality test, and (3) impulse response analysis complemented by (4) forecast error variance decomposition. The results suggest that the ECB outlook constitutes a more important factor in expectation formation. This article adds to the existing literature by comparing the impact of common and national projections on consumer expectations.

scholarly journals SPILLOVER EFFECTS OF EXCHANGE RATE RETURNS IN SELECTED ASIAN COUNTRIES

2021 ◽  
Vol 24 (1) ◽  
pp. 35-52
Author(s):  
Neluka Devpura
Keyword(s):  
Exchange Rate ◽  
Empirical Evidence ◽  
Forecast Error ◽  
Error Variance ◽  
Spillover Effects ◽  
Rate Data ◽  
Asian Countries ◽  
Forecast Error Variance

We analyze the nature of exchange rate return spillovers for 16 currencies. We use 10 years of daily exchange rate data, covering January 01, 2010 to December 31, 2019. By using the spillover index proposed by Diebold and Yilmaz (2009, 2012), we provide empirical evidence on the spillover of exchange rate returns among the Asian countries. The largest spillover flows from the Singapore dollar to other currencies (16.49%). Overall, our results confirm the presence of exchange rate return spillovers within the Asian countries and about 22% of the forecast error variance is due to spillovers.

scholarly journals Monetary Policy And Stock Returns: The Case Of Turkey

2011 ◽  
Vol 19 (4) ◽  
Author(s):  
Ramazan Sari ◽  
Farooq Malik
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Stock Returns ◽  
Forecast Error ◽  
Error Variance ◽  
Forecast Errors ◽  
Stock Market Volatility ◽  
Font Size ◽  
Significant Information ◽  
Forecast Error Variance

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-size: 10pt; mso-bidi-font-size: 11.0pt; mso-ansi-language: EN-US;"><span style="font-family: Times New Roman;">This paper <span style="color: black;">investigates how much of the variance in stock returns can be explained by monetary policy for the case of Turkey. </span>We extend the work of Ewing (2001a) for the case of Turkey by using the newly developed generalized forecast error variance decomposition technique [Koop et al. (1996), Pesaran and Shin (1998)]. Results suggest that the growth rate of money supply contain significant information <span style="color: black;">for predicting</span> variance of future forecast errors of stock returns. The results provide information which is important for building accurate asset pricing models, forecasting future stock market volatility and furthers our understanding of stock market behavior in Turkey.<span style="color: black;"></span></span></span></p>

The influence of economic policy uncertainty and geopolitical risk on US citizens overseas air passenger travel by regional destination

2020 ◽  
pp. 135481662098119
Author(s):  
James E Payne ◽  
Nicholas Apergis
Keyword(s):  
Economic Policy ◽  
Forecast Error ◽  
Error Variance ◽  
Variance Decomposition ◽  
Air Travel ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Passenger Travel ◽  
Forecast Error Variance

This research note extends the literature on the role of economic policy uncertainty and geopolitical risk on US citizens overseas air travel through the examination of the forecast error variance decomposition of total overseas air travel and by regional destination. Our empirical findings indicate that across regional destinations, US economic policy uncertainty explains more of the forecast error variance of US overseas air travel, followed by geopolitical risk with global economic policy uncertainty explaining a much smaller percentage of the forecast error variance.

scholarly journals Predicting Water Availability in Water Bodies under the Influence of Precipitation and Water Management Actions Using VAR/VECM/LSTM

Climate ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 144
Author(s):  
Harleen Kaur ◽  
Mohammad Afshar Alam ◽  
Saleha Mariyam ◽  
Bhavya Alankar ◽  
Ritu Chauhan ◽  
...  
Keyword(s):  
Water Management ◽  
Short Term Memory ◽  
Forecast Error ◽  
Error Variance ◽  
Water Levels ◽  
Water Bodies ◽  
Economic Activities ◽  
Management Actions ◽  
Forecast Error Variance ◽  
Water Treatments

Recently, awareness about the significance of water management has risen as population growth and global warming increase, and economic activities and land use continue to stress our water resources. In addition, global water sustenance efforts are crippled by capital-intensive water treatments and water reclamation projects. In this paper, a study of water bodies to predict the amount of water in each water body using identifiable unique features and to assess the behavior of these features on others in the event of shock was undertaken. A comparative study, using a parametric model, was conducted among Vector Autoregression (VAR), the Vector Error Correction Model (VECM), and the Long Short-Term Memory (LSTM) model for determining the change in water level and water flow of water bodies. Besides, orthogonalized impulse responses (OIR) and forecast error variance decompositions (FEVD) explaining the evolution of water levels and flow rates, the study shows the significance of VAR/VECM models over LSTM. It was found that on some water bodies, the VAR model gave reliable results. In contrast, water bodies such as water springs gave mixed results of VAR/VECM.

scholarly journals KAJIAN AKTIVITAS EKONOMI LUAR NEGERI INDONESIA TERHADAP PERTUMBUHAN EKONOMI INDONESIA PERIODE 1998-2014

2017 ◽  
Vol 9 (2) ◽  
pp. 119
Author(s):  
Ryan Hawari ◽  
Fitri Kartiasih
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Direct Investment ◽  
Forecast Error ◽  
Foreign Debt ◽  
Trade Openness ◽  
Impulse Response Function ◽  
Error Variance ◽  
Forecast Error Variance

Indonesia is a developing country which adopts an “open economic”. That caused Indonesia economic is strongly influenced by factors that come from outside of Indonesia. External factors in this research is referred to foreign debt, foreign direct investment, trade openness and exchange rate of rupiah with USD. The analytical method in this research used Vector Error Correction Model (VECM) which will focused on Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD). Based on result of IRF, exchange rate had a positive effect to economic growth, while foreign debt, foreign direct investment and trade openness had a negative effect to economic growth. Based on result of FEVD, shock on economic growth in Indonesia affected by economic growth itself (43.21%), followed by foreign debt (26.30%), trade openness (14.16%), foreign direct investment (8.29%) and exchange rate (8.04%) Keywords: economic growth, trade openness, VECM, IRF, FEVD

THE PRICE OF COCAINE AND THE COLOMBIAN PESO: AN EMPIRICAL INVESTIGATION

2019 ◽  
Vol 19 (03) ◽  
pp. 1950015
Author(s):  
ALEXI THOMPSON ◽  
YAYA SISSOKO
Keyword(s):  
Forecast Error ◽  
Control Policy ◽  
Error Variance ◽  
Decomposition Methods ◽  
Nominal Exchange Rate ◽  
Policy Implications ◽  
Vector Error Correction ◽  
National Drug ◽  
Forecast Error Variance ◽  
National Drug Control Policy

While the underground economy is not explicitly included in the measure of (GDP), the cocaine trade has been a major source of revenue for Colombia. Using quarterly cocaine prices from 1982 to 2007 published by the Office of National Drug Control Policy, this paper uses vector error correction and forecast error variance decomposition methods to look at the relationship between cocaine prices and the peso/$ nominal exchange rate. Our results indicate cocaine prices affect the value of the Colombian peso, which leads to some interesting policy implications.

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