کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
998605 | 1481477 | 2006 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A framework for decomposing shocks and measuring volatilities derived from multi-dimensional panel data of survey forecasts
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کلمات کلیدی
Evaluating forecasts - ارزیابی پیش بینی هاError measures - اقدامات خطاSurvey of Professional Forecasters - بررسی پیشگامان حرفه ایInflation - تورمPanel data - دادههای پانلیShocks - شوک هاRationality - عقلانیت، خردورزیVolatility - نوسانInflation forecasting - پیش بینی تورمVolatility forecasting - پیش بینی نوساناتMultidimensional - چند بعدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This work applies previously published frameworks developed for analyzing multi-dimensional panel data of survey forecasts to IPD forecasts from the Survey of Professional Forecasters. The paper expands on these frameworks, demonstrates that the frameworks imply the existence of new and richer measures of shocks and volatilities, and shows how these measures can be extracted from multi-dimensional forecast panels. Three distinct types of economic shocks (cumulative shocks, cross-sectional shocks, and discrete shocks) and implied volatility measures based on these shocks are calculated for IPD inflation over the period 1969 through 2004. GMM tests for forecaster biases are conducted using the expanded framework.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 22, Issue 2, April–June 2006, Pages 373–393
Journal: International Journal of Forecasting - Volume 22, Issue 2, April–June 2006, Pages 373–393
نویسندگان
Antony Davies,