Do Federal Reserve policy surprises affect the risk perception in the emerging markets?

Employing an event study approach, the present authors analyse whether the Federal Reserve’s policy surprises affect the risk perceptions in the emerging markets. Only weak evidence is found when the Federal Reserve follows a more expansionary policy than expected. For all other cases, the policy surprises of the Federal Reserve are ineffective

Forecasting Exchange Rates Out-Of-Sample With Panel Methods And Real-Time Data

This paper evaluates out-of-sample exchange rate forecasting with Purchasing Power Parity (PPP) and Taylor rule fundamentals for 9 OECD countries vis-à-vis the U.S. dollar over the period from 1973:Q1 to 2009:Q1 at short and long horizons. In contrast with previous work, which reports “forecasts” using revised data, I construct a quarterly real-time dataset that incorporates only the information available to market participants when the forecasts are made. Using bootstrapped out-of-sample test statistics, the exchange rate model with Taylor rule fundamentals performs better at the one-quarter horizon and panel specifications are not able to improve its performance. The PPP model, however, forecasts better at the 16-quarter horizon and its performance increases with the panel framework. The results are in accord with previous research on long-run PPP and estimation of Taylor rule models

Taylor Rule Deviations And Out-Of-Sample Exchange Rate Predictability

The Taylor rule has become the dominant model for academic evaluation of out-of-sample exchange rate predictability. Two versions of the Taylor rule model are the Taylor rule fundamentals model, where the variables that enter the Taylor rule are used to forecast exchange rate changes, and the Taylor rule differentials model, where a Taylor rule with postulated coefficients is used in the forecasting regression. We use data from 1973 to 2014 to evaluate short-run out-of- sample predictability for eight exchange rates vis-à-vis the U.S. dollar, and find strong evidence in favor of the Taylor rule fundamentals model alternative against the random walk null. The evidence of predictability is weaker with the Taylor rule differentials model, and still weaker with the traditional interest rate differential, purchasing power parity, and monetary models. The evidence of predictability for the fundamentals model is not related to deviations from the original Taylor rule for the U.S., but is related to deviations from a modified Taylor rule for the U.S. with a higher coefficient on the output gap. The evidence of predictability is also unrelated to deviations from Taylor rules for the foreign countries and adherence to the Taylor principle for the U.S

The (Un)Reliability Of Real-Time Output Gap Estimates With Revised Data

This paper investigates the differences between real-time and ex-post output gap estimates using a newly-constructed international real-time data set over the period from 1973:Q1 to 2012:Q3. We extend the findings in Orphanides and van Norden (2002) for the United States that the use of ex-post information in calculating potential output, not the data revisions themselves, is the major cause of the difference between real-time and ex-post output gap estimates to nine additional OECD countries. The results are robust to the use of linear, quadratic, Hodrick-Prescott, Baxter-King, and Christiano-Fitzgerald detrending methods. By using quasi real-time methods, reliable real-time output gap estimates can be constructed with revised data

Effect of S&P500'S return on emerging markets: Turkish experience

This study assesses the effect of S&P500 return on the Istanbul Stock Exchange within a dynamic framework. In order lo capture The effect, a block recursive VAR model is built. allowing that S&P500 affects the ISE returns with its current and lag values but not vice versa. The estimates from daily data suggest that returns on S&P500 affect ISE return positively up to four days

Success In Soccer And Economic Performance: Evidence From Besiktas-Turkey

This paper investigates the connection between Turkish industrial production growth and the success of Besiktas, which is a popular Turkish soccer team. The empirical evidence provided in the paper suggests that industrial production growth tends to increase with the success of Besiktas in European cups. Moreover, if the winnings are in displacement, the increase in industrial production is higher than if the winnings are in the home field. On the other hand, findings on the effects of domestic games on industrial performance are not statistically significant

Out-Of-Sample Exchange Rate Predictability With Real-Time Data

This paper evaluates short-run out-of-sample exchange rate predictability with real-time data for 15 OECD countries from 1973 to 2013. We consider the Taylor rule fundamentals model, where the variables that enter the Taylor rule are used to forecast exchange rate changes, and the Taylor rule differentials model, where a Taylor rule with postulated coefficients is used in the forecasting regression. We find evidence of predictability with the Taylor rule fundamentals model for 9 out of 15 countries. The Taylor rule differentials model performs worse, and the evidence of predictability is the weakest with the conventional monetary and PPP models

Rationality And Forecasting Accuracy Of Exchange Rate Expectations: Evidence From Survey-Based Forecasts

We examine rationality, forecasting accuracy, and economic value of the survey-based exchange rate forecasts for 10 developed and 23 developing countries at the 3-, 12-, and 24-month horizons. Using the data from two surveys for the period from 2004 to 2012, we find strong evidence that the forecasts for developing countries are biased at all forecast horizons. For developed countries, forecasts are strongly biased at the 3-month horizon, the bias decreases at the 12- month horizon, and increases again at the 24-month horizon. Based on the magnitude of the forecast errors and the direction of change, long-term forecasts are more accurate than short-term forecasts. Economic evaluation of the forecasts indicates that the forecasters are successful at generating positive economic profits, and economic gains of the forecasts for developed countries improve with the forecast horizon

Stock Return Predictability And Taylor Rules

This paper evaluates stock return predictability with inflation and output gap, the variables that typically enter the Federal Reserve Bank’s interest rate setting rule. We introduce Taylor rule fundamentals into the Fed model that relates stock returns to earnings and long-term yields. Using real-time data from 1970 to 2008, we find evidence that the Fed model with Taylor rule fundamentals performs better in-sample and out-of-sample than the constant return and original Fed models. We evaluate economic significance of the stock return models and find that the models with Taylor rule fundamentals consistently produce higher utility gains than the benchmark models

Internet-based, culturally sensitive, problem-solving therapy for turkish migrants with depression: Randomized controlled trial

Background: Turkish migrants living in the Netherlands have a high prevalence of depressive disorders, but experience considerable obstacles to accessing professional help. Providing easily accessible Internet treatments may help to overcome these barriers. Objective: The aim of this study was to evaluate the effectiveness of a culturally sensitive, guided, self-help, problem-solving intervention through the Internet for reducing depressive symptoms in Turkish migrants. Methods: A two-armed randomized controlled trial was conducted. The primary outcome measure was the severity of depressive symptoms; secondary outcome measures were somatic symptoms, anxiety, quality of life, and satisfaction with the treatment. Participants were assessed online at baseline, posttest (6 weeks after baseline), and 4 months after baseline. Posttest results were analyzed on the intention-to-treat sample. Missing values were estimated by means of multiple imputation. Differences in clinical outcome between groups were analyzed with a t test. Cohen's d was used to determine the between-groups effect size at posttreatment and follow-up. Results: Turkish adults (N=96) with depressive symptoms were randomized to the experimental group (n=49) or to a waitlist control group (n=47). High attrition rates were found among the 96 participants of which 42% (40/96) did not complete the posttest (6 weeks) and 62% (59/96) participants did not complete the follow-up assessment at 4 months. No significant difference between the experimental group and the control group was found for depression at posttest. Recovery occurred significantly more often in the experimental group (33%, 16/49) than in the control group (9%, 4/47) at posttest (P=.02). Because of the high attrition rate, a completers-only analysis was conducted at follow-up. The experimental group showed significant improvement in depression compared to the control group both at posttest (P=.01) and follow-up (P=.01). Conclusions: The results of this study did not show a significant effect on the reduction of depressive symptoms. However, the effect size at posttest was high, which might be an indicator of the possible effectiveness of the intervention when assessed in a larger sample and robust trial. Future research should replicate our study with adequately powered samples. © Burçin Ünlü Ince, Pim Cuijpers, Edith van 't Hof, Wouter van Ballegooijen, Helen Christensen, Heleen Riper