Výsledky vyhledávání - "James M. Nason"

UK inflation forecasts since the thirteenth century

Publikováno v: SSRN Electronic Journal.

Historians have suggested there were waves of inflation or price revolutions in the UK (and earlier England) in the 13th, 16th, and 18th centuries, prior to the ongoing inflation since 1914. We study retail price inflation since 1251 and model its fo

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::f89efb38598fc972d732b0937627745c
https://doi.org/10.2139/ssrn.3811941

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The Model Confidence Set

Autor: Peter Reinhard Hansen, James M. Nason, Asger Lunde

Publikováno v: Hansen, P R, Lunde, A & Nason, J M 2011, ' The Model Confidence Set ', Econometrica, vol. 79, no. 2, pp. 453-497 . https://doi.org/10.3982/ECTA5771

This paper introduces the model confidence set (MCS) and applies it to the selection of models. A MCS is a set of models that is constructed such that it will contain the best model with a given level of confidence. The MCS is in this sense analogous

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e5df59661c6b98da7d25b0c7e678ea9c
https://doi.org/10.3982/ecta5771

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Exchange Rates and Fundamentals: A Generalization

Autor: James M. Nason, John H. Rogers

Publikováno v: International Finance Discussion Paper. 2008:1-47

Working Paper 2008-16 June 2008 Abstract: Exchange rates have raised the ire of economists for more than twenty years. The problem is that few, if any, exchange rate models are known to systematically beat a naive random walk in out-of-sample forecas

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::34a228341519a6cccd44e27c7c41d633
https://doi.org/10.17016/ifdp.2008.948

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The McKenna Rule and UK World War I Finance

Autor: James M. Nason, Shaun P. Vahey

Publikováno v: American Economic Review. 97:290-294

This paper argues that UK WWI ﬁscal policy followed the ‘English method’identiﬁed by Sprague (1917) and his discussants, and revived by the US toﬁnance the Korean War (see Ohanian 1997). During WWI, UK ﬁscal policyadopted the “McKenna r

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::968dbb3554e88dbbc8eb1a5957f78a00
https://doi.org/10.1257/aer.97.2.290

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Long-run monetary neutrality and long-horizon regressions

Autor: James M. Nason, Patrick J. Coe

Publikováno v: Journal of Applied Econometrics. 19:355-373

A prominent test of long-run monetary neutrality (LRMN) involves regressing long-horizon output growth on long-horizon money growth. We obtain limited support for LRMN with this test in long-annual Australian, Canadian, UK and US samples. Although em

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::f7af20ef7f6eb82b15a496dcbb0634c9
https://doi.org/10.1002/jae.749

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Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility

Autor: Elmar Mertens, James M. Nason

Publikováno v: SSRN Electronic Journal.

This paper studies the joint dynamics of U.S. inflation and the average inflation predictions of the Survey of Professional Forecasters (SPF) on a sample running from 1968Q4 to 2014Q2. The joint data generating process (DGP) of these data consists of

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7edd28c9ea274c37a89aecba6a593648
https://doi.org/10.2139/ssrn.2578763

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Investment and the Current Account in the Short Run and the Long Run

Autor: James M. Nason, John H. Rogers

Publikováno v: Journal of Money, Credit, and Banking. 34:967-986

Theoretical models of the relationship between investment and the current account impose restrictions on the joint dynamic behavior of these variables. These restrictions come in two forms. One imposes causal orderings on investment and the current a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::39d3bf199c1922221d27e91fd83f6091
https://doi.org/10.1353/mcb.2002.0057

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