In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Forecasting, Structural Time Series Models and the Kalman Filter

This paper examines old and new evidence on the predictive performance of asset prices for inflation and real output growth. We first review the large literature on this topic, focusing on the past dozen years. We then undertake an empirical analysis of quarterly data on up to 38 candidate indicators (mainly asset prices) for seven OECD countries for a span of up to 41 years (1959 1999). The conclusions from the literature review and the empirical analysis are the same. Some asset prices predict either inflation or output growth in some countries in some periods. Which series predicts what, when and where is, however, itself difficult to predict: good forecasting performance by an indicator in one period seems to be unrelated to whether it is a useful predictor in a later period. Intriguingly, forecasts produced by combining these unstable individual forecasts appear to improve reliably upon univariate benchmarks.

https://papers.ssrn.com/sol3/Delivery.cfm/nber_w8180.pdf?abstractid=264434&mirid=1

Forecasting Output and Inflation: The Role of Asset Prices

Over the last two decades, communication has become an increasingly important aspect of monetary policy. These real-world developments have spawned a huge new scholarly literature on central bank communication-mostly empirical, and almost all of it written in this decade. We survey this ever-growing literature. The evidence suggests that communication, can be an important and powerful part of the central bank's toolkit since it has the ability to move financial markets, to enhance the predictability of monetary policy decisions, and potentially to help achieve central banks' macroeconomic objectives. However, the large variation in communication, strategies across central banks suggests that a. consensus has yet to emerge, on what constitutes an optimal communication strategy.

/pdf/central-bank-communication-and-monetary-policy-a-survey-of-qnyqvbkzrj.pdf

Central bank communication and monetary policy: A survey of theory and evidence

Because asset prices are forward-looking, they constitute a class of potentially useful predictors of inflation and output growth.

/pdf/forecasting-output-and-inflation-the-role-of-asset-prices-3as8q4c9hh.pdf

We investigate the market for news under two assumptions: that readers hold beliefs which they like to see confirmed, and that newspapers can slant stories toward these beliefs. We show that, on the topics where readers share common beliefs, one should not expect accuracy even from competitive media: competition results in lower prices, but common slanting toward reader biases. On topics where reader beliefs diverge (such as politically divisive issues), however, newspapers segment the market and slant toward extreme positions. Yet in the aggregate, a reader with access to all news sources could get an unbiased perspective. Generally speaking, reader heterogeneity is more important for accuracy in media than competition per se.

The Market for News

http://directory.umm.ac.id/Data%20Elmu/jurnal/E/Economics%20Letters/Vol66.Issue2.Feb2000/1670.pdf

German monetary unification and the stability of the German M3 money demand function

In this paper, we contribute to the literature on institutional herding and feedback trading by analysing the investment behavior of pension funds on the Polish stock market Pension funds entered into the stock market due to the national pension system reform in 1999, providing a unique opportunity to receive deeper insight into the behavior of institutional investors in an emerging capital market Our results show that Polish pension fund investors are to a greater extent involved in herd-like behavior and pursue feedback trading strategies more often than their counterparts in mature markets This finding is primarily attributed to a stringent investment regulation and high market concentration We do not detect, however, that trading by the pension funds exerts significant influence on the future stock prices

Institutional Traders’ Behavior in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors

https://isiarticles.com/bundles/Article/pre/pdf/19519.pdf

Trading volume and stock market volatility: The Polish case

From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks

Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time-varying spot-futures linkages studied within a VECM-DCC-GARCH framework to changes in the investor structure of the futures market over time. Empirical results suggest that during the dominance of presumably uninformed private investors, the futures market does not contribute to price discovery. By contrast, there is evidence of information flows from futures to spot markets and a significant increase in conditional correlation between both markets as institutional investors' share in trading volume increases. We derive implications for the design of emerging futures markets. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark31:282–306, 2011

Martin T. Bohl

Papers

German monetary unification and the stability of the German M3 money demand function

Institutional Traders’ Behavior in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors

Trading volume and stock market volatility: The Polish case

From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks

Price discovery and investor structure in stock index futures