Special Issue "New Frontiers in Forecasting the Business Cycle and Financial Markets"

A special issue of Forecasting (ISSN 2571-9394). This special issue belongs to the section "Forecasting in Economics and Management".

Deadline for manuscript submissions: 31 December 2020.

Special Issue Editor

Dr. Alessia Paccagnini
Website
Guest Editor
Michael Smurfit Graduate Business School and Centre for Applied Macroeconomic Analysis, University College Dublin, Dublin 94568, Ireland
Interests: time series econometrics and forecasting; DSGE model estimation and forecasting; factor model forecasting; empirical macroeconomics; Bayesian econometrics

Special Issue Information

Dear Colleagues,

The Great Recession in 2007–2009 and the recent Pandemic Crisis in 2020 due to Covid-19 have increased the uncertainty in financial markets and the business cycle.

Researchers in economics and policy-makers have been called upon to provide an empirical analysis of the determinants of the crises and scrutinize the role of both macroeconomic and financial variables. This empirical evidence relies on advanced models in econometrics, in particular in time series analysis, which allow researchers to contribute technically to forecasting the behavior of macroeconomic and financial variables.

This Special Issue will publish high-quality papers that discuss “New Frontiers in Forecasting the Business Cycle and Financial Markets” and propose new contributions from both a methodological and an empirical point of view.

The scope of this Special Issue includes, but is not limited to, the following topics: forecasting economics; forecasting business cycles; forecasting with macroeconometric models; DSGE models; point forecasts; density forecasts; and forecasting horse races.

Dr. Alessia Paccagnini
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Forecasting is an international peer-reviewed open access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1000 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • business cycle
  • macroeconomic variables
  • financial variables
  • financial markets
  • forecasting economics
  • time series analysis
  • Bayesian econometrics
  • point forecast
  • density forecast
  • DSGE models

Published Papers (2 papers)

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Research

Open AccessArticle
Are Issuer Margins Fairly Stated? Evidence from the Issuer Estimated Value for Retail Structured Products
Forecasting 2020, 2(4), 387-409; https://doi.org/10.3390/forecast2040021 - 29 Sep 2020
Abstract
From 2014 to 2018, issuers of retail structured products in Germany established and calculated the Issuer Estimated Value (IEV), a fair value designed to offer more transparency for retail investors. By reporting the IEV in the product information sheet, banks implicitly make a [...] Read more.
From 2014 to 2018, issuers of retail structured products in Germany established and calculated the Issuer Estimated Value (IEV), a fair value designed to offer more transparency for retail investors. By reporting the IEV in the product information sheet, banks implicitly make a statement on their expected gross margin and, as one of the first papers, we provide an empirical study of the fairness of these disclosed figures. On a sample of discount and capped bonus certificates, we find that reported issuer margins can be verified using standard option pricing models and we illustrate that hedging costs take on an important role for structured product valuation. Consequently, the answer to the raised question in the title seems to be an (initial) ‘yes’ for our chosen product sample. Even though in 2018 the IEV calculations have been replaced by similar margin and cost statements due to the newly introduced Packaged Retail and Insurance-based Investment Products Regulation, this finding might still be a good guide for future research. Full article
(This article belongs to the Special Issue New Frontiers in Forecasting the Business Cycle and Financial Markets)
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Open AccessArticle
Revisiting the Dynamic Linkages of Treasury Bond Yields for the BRICS: A Forecasting Analysis
Forecasting 2020, 2(2), 102-129; https://doi.org/10.3390/forecast2020006 - 16 May 2020
Abstract
We examined the dynamic linkages among money market interest rates in the so-called “BRICS” countries (Brazil, Russia, India, China, and South Africa) by using weekly data of the overnight, one-, three-, and six- months, as well as of one year, Treasury bills rates [...] Read more.
We examined the dynamic linkages among money market interest rates in the so-called “BRICS” countries (Brazil, Russia, India, China, and South Africa) by using weekly data of the overnight, one-, three-, and six- months, as well as of one year, Treasury bills rates covering the period from January 2005 to August 2019. A long-run relationship among interest rates was established by employing the Vector Error Correction modeling (VECM), which revealed the validation of the Expectation Hypothesis Theory (EH) of the term structure of interest rates, taking into account long-run deviations from equilibrium and inherent nonlinearities. We unveiled short-run dynamic adjustments for the term structure of the BRICS, subject to regime switches. We then used Markov Switching Vector Error Correction models (MS-VECM) to forecast them dynamically during an out-of-sample period of May 2016 through August 2019. The MSIH-VECM forecasts were found to be superior to the VECM approaches. The novelty of our paper is mainly due to the exploration of the possibility of parameter instability as a crucial factor, which might explain the rejection of the restricted version of the cointegration space, and on the dynamic out-of-sample forecasts of the term structure over a more recent time span in order to assess further the usefulness of our nonlinear MS-VECM characterization of the term structure, capturing the effects of the global and domestic financial crisis. Full article
(This article belongs to the Special Issue New Frontiers in Forecasting the Business Cycle and Financial Markets)
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