Multi-Target Prediction: A Unifying View on Problems and Methods

Multi-target prediction (MTP) is concerned with the simultaneous prediction of multiple target variables of diverse type. Due to its enormous application potential, it has developed into an active and rapidly expanding research field that combines several subfields of machine learning, including multivariate regression, multi-label classification, multi-task learning, dyadic prediction, zero-shot learning, network inference, and matrix completion. In this paper, we present a unifying view on MTP problems and methods. First, we formally discuss commonalities and differences between existing MTP problems. To this end, we introduce a general framework that covers the above subfields as special cases. As a second contribution, we provide a structured overview of MTP methods. This is accomplished by identifying a number of key properties, which distinguish such methods and determine their suitability for different types of problems. Finally, we also discuss a few challenges for future research

Optimism-pessimism effects on money demand: theory and evidence

Purpose: The purpose of this paper is to investigate, both theoretically and empirically, the relationship between optimism (pessimism) – as reflected by animal spirits – and money demand by taking into account transaction costs. Design/methodology/approach: Inspired by the theoretical model of money demand by Teles et al. (2016) the authors incorporate the optimism (pessimism) effects in the money demand. Then, using the consumers’ confidence indicator as a proxy indicator of optimism/pessimism, they estimate the money demand in a panel data framework. Findings: The theoretical framework suggests that the optimism (pessimism) effects on money demand are positive (negative). Empirical evidence for 11 Eurozone countries divided in two groups (i.e. core and periphery) confirms the theoretical considerations. Practical implications: It appears that periphery countries with a higher sensitivity to the recent financial crisis present lower real money demand sensitivity to consumption expenditures and higher real money demand sensitivity to consumer confidence index. Moreover, in such countries, money demand changes present higher persistence over time. Thus, the authors observe differing attitudes concerning money demand across Eurozone citizens that should be taken into account by monetary policymakers (i.e. the ECB). Originality/value: The authors introduce, in the vast literature on money demand, both theoretically and empirically the role of optimism (pessimism). Differences across core and periphery Eurozone countries identified. © 2019, Emerald Publishing Limited

Does central bank independence affect stock market volatility?

This paper addresses the issue of impacts of central banks’ independence on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a positive link between stock prices volatility and central bank independence. By applying panel data analysis on a set of 29 countries from 1998 to 2005, sufficient evidence for this positive relationship is provided using two different measures of stock market volatility. © 2017 Elsevier B.V

Quantitative easing effects on commercial bank liability and government yields in UK: A threshold cointegration approach

During the recent financial crisis, the Bank of England has taken quantitative easing (QE) measures by buying public as well as private assets in order to strengthen the economy via liquidity injections. This paper investigates the dynamic relationship between unconventional policy measures reflected in central bank’s assets, and government versus commercial bank liability curves in a non-linear framework. By adopting a threshold cointegration methodology we provide evidence against linearity in gilt and commercial banks’ yield responses to asset purchase facility (APF) activity with policy rate being near the zero lower bound (ZLB). By estimating a momentum-TART model, evidence for a uni-directional long run causality from the Bank of England’s assets to both curves are present. © 2017, Springer-Verlag GmbH Germany, part of Springer Nature

Public investment, inflation persistence and central bank independence

Purpose: The purpose of this paper is to investigate, both theoretically and empirically, the institutional setting of monetary policy making that mitigates the effects of productive public investment on inflation persistence. Design/methodology/approach: In the theoretical approach, the authors consider a simple monetary game model à la Barro-Gordon introducing, apart from stochastic output shocks, indexed wage contracts and public investment effects. Then, the authors empirically produce inflation persistence and public investment persistence by estimating a first-order autoregressive model in a fixed rolling window of 36 months for the UK and also use a dummy in order to incorporate the regime switch in monetary policy since 1997, giving a clear increase in the level of central bank independence. Findings: The theoretical framework suggests that an independent central banker could better manage inflation expectations and therefore inflation persistence despite the occurrence of persistent public investment shocks. From the perspective of fiscal policy, the appointment of a conservative and independent central banker could absorb adverse effects on inflation dynamics resulting from persistent expansionary fiscal policies. Empirical evidence in the UK indicates that the creation of an independent monetary policy committee reduces the positive link between public investment and inflation persistence. Practical implications: From a monetary policy perspective view, the best response to public investment policies is to increase the degree of independence to alleviate effects on inflation dynamics. From the perspective of fiscal policy, an independent central banker can provide the necessary conditions to undertake a long-run public investment plan, since long-run growth will not be undermined by adverse inflation inertia. Originality/value: The authors introduce, in the debate of inflation persistence, both theoretically and empirically, the role of public investment and monetary policy design. © 2017, © Emerald Publishing Limited

Asymmetric price responses to stock addition to and deletion from the Athens Stock Exchange Index

Purpose: The purpose of this paper is to investigate the response of investors to the announcements on the inclusion and exclusion of companies from the FTSE-ASE 20 index. Design/methodology/approach: Data on the inclusion and exclusion of companies from the FTSE-ASE 20 index in the period 2000-2012 were used. The authors performed an event study analysis using a constant return model and a market model. Two different measures of aggregated abnormal returns, namely the cumulating abnormal returns and the buy-and-hold abnormal return, were used in this investigation. Findings: The results suggest that the exclusion of a company from the index has a significant negative effect on stock returns. Specifically, such a stock takes more than 15 days to recover. However, for a company’s inclusion in the index, the authors observe short-lived positive reactions on stock returns. Practical implications: Capital market regulators and investors should find the policy implications of this paper meaningful. Investment strategies can be implemented on the basis of the news of exclusion from the index, which can lead to higher performance for investors. As far as authorities are concerned, the decision of inclusion and exclusion to the most significant stock index in the Greek market should be carefully considered because it creates financial instability for a significant time period. Originality/value: By using a battery of parametric and non-parametric econometric tests, the existence of abnormal returns of the FTSE-ASE 20 index is explored over a long time period, including the recent financial crisis. © 2018, Emerald Publishing Limited

The effect of central bank transparency on inflation persistence

In this paper, we examine the effect of central bank transparency on inflation persistence, using panel data analysis. The existing literature has shown a significant impact of central bank transparency on macroeconomic variables, such as inflation, but not many efforts have been made about its effect on inflation persistence. We use yearly data for 14 countries and the Eurozone (EU19). We find that monetary policy transparency has a negative statistically significant impact on inflation persistence, while controlling also for important variables such as GDP growth, interest rates, economic openness and unit labor cost. © 2021, Oviedo University Press. All rights reserved

Does central bank transparency affect stock market volatility?

This paper addresses the issue of impacts of central banks' transparency on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a negative link between stock prices volatility and central bank transparency. By applying panel data analysis on a set of 40 countries from 1998 to 2005, sufficient evidence for this negative relationship is provided, using three different measures of stock market volatility. Therefore, moving towards monetary policy transparency is recommended as stock market volatility can be reduced considerably, implying significant benefits for financial stability. (C) 2014 Elsevier B.V. All rights reserved