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Forecasting in Macroeconomics and Finance
Zusammenfassung
The recently witnessed financial turmoil has called for a deeper search of models that can anticipate macroeconomic fluctuations. The need for more accurate models to predict volatility in financial markets has also become more evident than ever since they would allow for the implementation of better risk management practices.
Interestingly, a large amount of research in economics has focused on building models that can explain economic fluctuations ex-post while relatively less attention has been given to formulating and testing models that can predict them ex-ante. It is also now more apparent that traditional macro models have to be expanded by factors such as sentiment, interaction and heterogeneity of agents. Moreover, from a technical perspective, macroeconomic data can often be characterized by complex dynamics and, thus, models that can account for such issues have to be developed.
The purpose of this research area is to tackle the latter ‘gaps’ in economic knowledge by conducting high quality research in models for forecasting in macroeconomics and finance. Some of the issues, amongst others, covered in this research area are: (i) forecasting volatility in financial markets with a hierarchical structure of volatility components and their applications to risk management, (ii) macroeconomic forecasting with survey, real-time and/or panel data and (iii) controlled laboratory experiments with human subjects on expectation formation and their behavioral explanation. The results of this project are expected to broaden the knowledge and understanding of ex-ante macroeconomic fluctuation and of best risk management practices.
Recent Publications
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Forthcoming
- Aßmann, C., Boysen-Hogrefe, J. (Forthcoming). Determinants of Government Bond Spreads in the Euro: In Good Times as in Bad. Empirica.
- Reitz, S., Rülke, J., Taylor, M. (Forthcoming). On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates. The Economic Record
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2011
- Aßmann, C., Boysen-Hogrefe, J. (2011). A Bayesian Approach to Model-Based Clustering for Binary Panel Probit Models. Computational Statistics and Data Analysis, 55(1), 261-279.
- Lux, T., Morales-Arias, L., Sattarhoff, C. (2011). A Markov-switching Multifractal Approach to Forecasting Realized Volatility. Kiel Working Paper, 1737, Institut für Weltwirtschaft, Kiel, 48 pp.
- Reitz, S., Rülke, J., Stadtmann, G. (2011). Nonlinear Expectations in Speculative Markets - Evidence from the ECB Survey of Professional Forecasters. Kiel Working Paper, 1706, Institut für Weltwirtschaft, Kiel, 39 pp.
- van Roye, B. (2011). Financial stress and economic activity in Germany and the Euro Area. Kiel Working Paper, 1743, The Kiel Institute for the World Economy, Kiel, 37 pp .
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2010
- Alfarano, S., Lux, T. (2010). Extreme Value Theory as a Theoretical Background for Power Law Behavior. Kiel Working Paper, 1648, Kiel Institute for the World Economy, Kiel, 10 pp.
- Lux, T., Morales-Arias, L. (2010). Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations. Computational Statistics & Data Analysis, 54 (11), 2676-2692.
- Morales-Arias, L., Dross, A. (2010). Adaptive Forecasting of Exchange Rates with Panel Data. Kiel Working Paper, 1656, Institut für Weltwirtschaft, Kiel, 48 pp.
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2009
- Aßmann, C., Boysen-Hogrefe, J. (2009). Determinants of government bond spreads in the Euro area – in good times as in bad. Kiel Working Papers, 1548, 16 pp.
- Colander, D., Foellmer, H., Haas, A., Kirman, A., Juselius, K., Sloth, B., Lux, T., , (2009). Mathematics, Methods, and Modern Economics. real-world economics review, 50, 118-121.
- Colander, D., Föllmer, H., Haas, A., Goldberg, M., Juselius, K., Kirman, A., Lux, T., Sloth, B. (2009). The Financial Crisis and the Systemic Failure of Academic Economics. Kiel Working Paper, 1489, Institut für Weltwirtschaft, Kiel, 17 pp.
- Colander, D., Föllmer, H., Haas, A., Goldberg, M., Juselius, K., Kirman, A., Lux, T., Sloth, B. (2009). The Financial Crisis and the Systemic Failure of Academic Economics . Critical Review, 21 (2-3), 249-267.
- Herwartz, H., Morales-Arias, L. (2009). In-Sample and Out-of-Sample Properties of International Stock Return Dynamics Conditional on Equilibrium Pricing Factors. European Journal of Finance, 15 (1), 1-28.
- Lux, T., (2009). Applications of Statistical Physics in Finance and Economics. Handbook of Research on Complexity, 213-258.
- Lux, T., Westerhoff, F. (2009). Economics Crisis. Nature Physics, 5, 2-3.
- Lux, T., (2009). Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey. Journal of Economic Behavior and Organization, 72 (2), 638-655.
- Lux, T., (2009). Stochastic Behavioral Asset Pricing Models and the Stylized Facts. Handbook on Financial Markets, 161-215.
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2008
- Alfarano, S., Lux, T., Wagner, F. (2008). Time Variation of Higher Moments in Financial Markets with Heterogeneous Agents: An Analytical Approach. Journal of Economic Dynamics and Control, 32 (1), 101-136.
- Cincotti, S., Gardini, L., Lux, T. (2008). Special issue on "New Advances in Financial Economics: Heterogeneity and Simulation". Computational Economics, 32 (1-2)
- Faggini, M., Lux, T. (2008). Coping with the Complexity of Economics.. Springer, Berlin.
- Farmer, J., Lux, T. (2008). Introduction to special issue on "Applications of Statistical Physics in Economics and Finance". Journal of Economic Dynamics and Control, 32 (1), 1-6.
- Liu, R., Di Matteo, T., Lux, T. (2008). Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components. Kiel Working Papers, 1427, Kiel Institute for the World Economy , Kiel, 15 pp.
- Liu, R., Di Matteo, T., Lux, T. (2008). Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components . Advances in Complex Systems, 11(5), 669-685.
- Lux, T., (2008). Applications of Statistical Physics in Finance and Economics. Kiel Working Papers, 1425, Kiel Institute for the World Economy , Kiel, 69 pp.
- Lux, T., (2008). Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey. Kiel Working Papers, 1424, Kiel Institute for the World Economy , Kiel, 40 pp.
- Lux, T., (2008). Stochastic Behavioral Asset Pricing Models and the Stylized Facts. Kiel Working Papers, 1426, Kiel Institute for the World Economy , Kiel, 79 pp.
- Lux, T., (2008). The Markov-Switching Multifractal Model of Asset Returns: Estimation via GMM and Linear Forecasting of Volatility. Journal of Business and Economic Statistics, 26 (2), 194-210.
- Prelle, C., Irle, A. (2008). A Note on Arbitrage under Transaction Costs. Kiel Working Paper, 1450, Kiel Institute for the World Economy, Kiel, 7 pp.
- Prelle, C., Irle, A. (2008). A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets. Kiel Working Paper, 1449, Kiel Institute for the World Economy, Kiel, 28 pp.
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2006
- Gallegati, M., Keen, S., Lux, T., Ormerod, P. (2006). Worrying Trends in Econophysics. Physica A, 370, 1-6.
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- Reitz, S., Rülke, J., Stadtmann, G. Nonlinear Expectations in Speculative Markets - Evidence from the ECB Survey of Professional Forecasters.