Forecasting with Macro-Finance Models: Applications to United States and New Zealand

<p>In this thesis, I use macro-finance models to explore the inter-relationships between the macroeconomy and the yield curve in a forecasting setting. Using the arbitrage-free Nelson-Siegel approach to model the yield curve combined with Vector Autoregression (VAR), I jointly model macroeconomic variables and the yield curve factors to produce forecasts of inflation, activity, and interest rates. In line with earlier literature I compare whether the macro-finance model is able to better capture the dynamics of the macro variables and the yield curve factors compared with a macro-only model and a yields-only model respectively. However, a key difference is I use a full real-time forecasting setting, whereas the recent literature focuses on quasi real-time forecasting. I find there is benefit from using macro-finance models for forecasting macroeconomic variables in real-time but the gain is more significant at longer-term horizons. Indeed, the macro-finance models do not outperform traditional macroeconomic models for forecasting activity at short-term horizons. The forecasting gain is more robust for inflation and the policy rate. The theoretically motivated restrictions on the yield curve dynamics improve the forecast performance of yield curve components and generally macroeconomic variables. Using a quasi real-time environment to assess the forecast performance can overstate the usefulness of macro-finance models and understate the usefulness of placing restrictions on the yield curve dynamics.</p>

Forecasting with Macro-Finance Models: Applications to United States and New Zealand

<p>In this thesis, I use macro-finance models to explore the inter-relationships between the macroeconomy and the yield curve in a forecasting setting. Using the arbitrage-free Nelson-Siegel approach to model the yield curve combined with Vector Autoregression (VAR), I jointly model macroeconomic variables and the yield curve factors to produce forecasts of inflation, activity, and interest rates. In line with earlier literature I compare whether the macro-finance model is able to better capture the dynamics of the macro variables and the yield curve factors compared with a macro-only model and a yields-only model respectively. However, a key difference is I use a full real-time forecasting setting, whereas the recent literature focuses on quasi real-time forecasting. I find there is benefit from using macro-finance models for forecasting macroeconomic variables in real-time but the gain is more significant at longer-term horizons. Indeed, the macro-finance models do not outperform traditional macroeconomic models for forecasting activity at short-term horizons. The forecasting gain is more robust for inflation and the policy rate. The theoretically motivated restrictions on the yield curve dynamics improve the forecast performance of yield curve components and generally macroeconomic variables. Using a quasi real-time environment to assess the forecast performance can overstate the usefulness of macro-finance models and understate the usefulness of placing restrictions on the yield curve dynamics.</p>

A Study on Awareness and Attitude Towards Islamic Banking in Tirupattur District

The banking system in every country is based on the interest system. Interest-bearing money is almost like the law of nature where money generates money but alternative banking system called Islamic banking. Islamic banking follows Islamic ethical principle which appears very different from those of the conventional western banking finance model. In this study, the data has been obtained through both primary and secondary sources. The secondary data were collected from journals, magazines, and the Holy Quran. The fresh data were collected through questionnaires from Tirupattur District. The research design used for this study is descriptive type. The Sampling design used for the study was the convenience sampling technique. The percentage analysis was used for the study. The Islamic banking system in India was introduced for both Muslim and Non-Muslim customers. Few of the Muslim customers have an account in Islamic banking. Most of the customers do not have awareness about the Islamic bank. This study aims to discover awareness and attitude about Islamic banks, both Muslims and non-Muslim in Tirupattur District. The main objective of Islamic Banking is to retain their existing customers and attract new customers by creating awareness about their banking system. This banking system follows the interest-free principles under Islamic Law.