Sökning: "forecasting stockholm"

Visar resultat 1 - 5 av 118 uppsatser innehållade orden forecasting stockholm.

1. 1. Are Distributional Variables Useful for Forecasting With the Phillips Curve?

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Elsa Rosengren; Pippa Johns; [2024]
   Nyckelord :Distributional Variables; Heterogeneous Agents; Inflation; Phillips Curve; Inequality;

   Sammanfattning : Does information on the distribution of wealth and income help us forecast aggregate macroeconomic variables? In this thesis, we study how adding such distributional variables to a standard forecasting model affects the forecast accuracy, in the context of inflation forecasting. Using the simulated inflation forecasting approach of Atkeson and Ohanian (2001), we perform a horse race between a textbook NAIRU Phillips curve to an extension augmented with variables from the wealth and income distributions. LÄS MER

3. 2. Extracting Growth Expectations from Financial Markets: An Investigation into the Dividend Market Dynamics

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Gösta Lycke; [2023]
   Nyckelord :Dividend futures; GDP growth forecasting; Economic shocks; Market expectations; Financial market derivatives;

   Sammanfattning : Dividend futures, reflecting the economic surplus, can be used as a forecasting tool for dividend and GDP growth. Building on prior research, I broaden the scope of analysis by encompassing a range of countries and evaluate the impact of shocks such as a military conflict on dividend and GDP growth expectations. LÄS MER

4. 3. In the Core of the Storm: Revisiting Inflation Hedging Properties Within and Across Asset Classes

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Jakub Kacperczyk; Moritz Kornherr; [2023]
   Nyckelord :Inflation hedging; Inflation risk premium; Inflation forecasting; Bond-Stock Correlation;

   Sammanfattning : The recent surge in inflation has reignited discussions on hedging inflation risks, forming the focal point of this study. In our paper we consider conventional asset classes from 1968 to 2023 as well as alternative assets from 2020 to 2023 and find that no asset class provides a statistically significant hedge against core inflation shocks, while commodities and currencies can hedge headline and energy inflation risk. LÄS MER

5. 4. Do Inflation Expectations Granger Cause Inflation? A VEC Model Approach

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Alice Hindersson; Siri Jäderberg; [2023]
   Nyckelord :Forecasting; Inflation; Inflation Expectations; VEC Model; Granger Causality;

   Sammanfattning : Being able to accurately predict future inflation is of great importance for a wide range of actors in the economy, as well as for the effectiveness of monetary policy decisions. In this thesis, we examine whether survey measures of inflation expectations contribute to more accurate inflation forecasts in Sweden. LÄS MER

7. 5. Forecasting Swedish Inflation and Policy Rates Using Random Forests and Bullard's Modernized Taylor Rule

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Vladimir Bondarenko; [2023]
   Nyckelord :Inflation Forecasting; Interest Rate Forecasting; Modernized Taylor Rule; Random Forest;

   Sammanfattning : This paper examines whether the Riksbank could have predicted the historic inflationary surge in Sweden in the aftermath of the Covid-19 pandemic and warned the Swedish public prior to embarking on the most aggressive policy rate-hike cycle since the global financial crisis. I study the matter in two steps. LÄS MER