Do high-frequency financial data help forecast oil prices? The MIDAS touch at work : [version november 20, 2013]

The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market information helps forecast the real price of oil in physical markets. An obvious advantage of financial data in forecasting oil prices is their availability in real time on a daily or weekly basis. We investigate whether mixed-frequency models may be used to take advantage of these rich data sets. We show that, among a range of alternative high-frequency predictors, especially changes in U.S. crude oil inventories produce substantial and statistically significant real-time improvements in forecast accuracy. The preferred MIDAS model reduces the MSPE by as much as 16 percent compared with the no-change forecast and has statistically significant directional accuracy as high as 82 percent. This MIDAS forecast also is more accurate than a mixed-frequency realtime VAR forecast, but not systematically more accurate than the corresponding forecast based on monthly inventories. We conclude that typically not much is lost by ignoring high-frequency financial data in forecasting the monthly real price of oil

Ruth Marks v. Continental Casualty Co. : Brief of Appellant

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E. Halvorson, Inc., and The State Insurance Fund v. Theodore L. Williams and The Industrial Commission of Utah : Plaintiffs\u27 Brief

Guérin Pierre. Ch. Nicolle, La destinée humaine, 1936. In: Revue d'histoire et de philosophie religieuses, 17e année n°5-6, Septembre-décembre 1937. pp. 581-583

Trade Commission of Utah, State of Utah v. Skaggs Drug Centers, Inc., Grand Central Stores, Inc., D/B/A Warshaw\u27s Giant Food and Grand Central Drugs, Inc. : Brief of Appellant

Guérin Pierre. Louis Vialle, Défense de la vie, Alcan, 1938. In: Revue d'histoire et de philosophie religieuses, 18e année n°4, Septembre-octobre 1938. pp. 373-375

What are the macroeconomic effects of high-frequency uncertainty shocks

This paper evaluates the effects of high-frequency uncertainty shocks on a set of lowfrequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies. We find that credit and labor market variables react the most to uncertainty shocks in that they exhibit a prolonged negative response to such shocks. When examining detailed investment sub-categories, our estimates suggest that the most irreversible investment projects are the most affected by uncertainty shocks. We also find that the responses of macroeconomic variables to uncertainty shocks are relatively similar across single- and mixed-frequency data models, suggesting that the temporal aggregation bias is not acute in this context

The dynamics of capital flow episodes

This paper proposes a novel methodology for identifying episodes of strong capital flows based on a regime-switching model. In comparison with the existing literature, a key advantage of our methodology is to estimate capital flow regimes without the need for context- and sample-specific assumptions. We implement this approach using weekly fund flows data for a large set of advanced and emerging economies. As an application of our methodology to the global financial cycle literature, we use a time-varying structural vector-autoregressive (VAR) model to assess the impact of U.S. stock market volatility (VIX) shocks and U.S. monetary policy shocks on aggregated measures of equity outflow and equity inflow episodes. Our results indicate that both VIX and U.S. monetary policy shocks had substantially time-varying effects on episodes of strong capital flows over our sample period

Review: Role of tubal environment in preimplantation embryogenesis: application to co-culture assays

The culture of early preimplantation stage embryo is still delicate and the metabolic pathways of embryos are not completely understood. Embryo needs are evolutionary during the preimplantation development, consequently it is difficult to meet embryo needs in vitro. Culture conditions have to respect several physical and chemical equilibria: such as redox potential, pH, osmotic pressure, metabolic flux of energetic compounds, endogenous pools of amino acids and transcripts, etc. Embryo culture media are generally supplemented with amino acids, glucose, other energetic metabolites and antioxidant compounds, vitamin, and growth factors etc. Furthermore autocrine and paracrine regulation of embryo development probably exist. In fact embryo culture conditions have to be as non-toxic as possible. Various types of co-culture systems have been devised to overcome these problems. Complex interrelations exist between embryos and co-cultured cells. The beneficial effects of co-cultured cells may be due to continuous modifications of the culture medium, i.e. the elimination of toxic compounds and/or the supply of embryotrophic factor

Characterizing very high uncertainty episodes

This paper uses a two-step approach to characterize the evolution of US macroeconomic and financial variables during episodes of very high uncertainty. First, we identify episodes of very high uncertainty using a regime-switching model. Second, we assess the behaviour of macroeconomic and financial variables during these episodes of very high uncertainty. This methodology is analogous to the approach followed by Baele et al. (2013), who study episodes of flights to safety in financial markets. We find that very high uncertainty episodes are associated with a weaker growth performance and sharp declines in stock prices. However, we find that this relation is non-linear in that uncertainty does not seem to matter during periods characterized by medium or low uncertainty

Monetary policy, stock market and sectoral comovement

En este artículo se evalúa el papel que desempeña el movimiento conjunto sectorial en la propagación de choques de política monetaria hacia el mercado de valores. En particular, se propone un modelo de vectores autorregresivos aumentado con factores, el cual permite cambios heterogéneos de régimen en la carga de los factores. El modelo, denominado MS2-FAVAR, permite evaluar de manera conjunta dos aspectos. Primero, los cambios potenciales en el grado de movimiento común entre los retornos asociados a un sector económico específico y los retornos asociados a la bolsa de valores, de manera agregada. Segundo, la propagación de choques de política monetaria, una vez que se han tomado en cuenta dichos cambios en el grado de movimiento común. Los resultados muestran que el efecto de choques de política monetaria sobre los retornos de la bolsa de valores es amplificado sustancialmente cuando los sectores experimentan un mayor grado de movimiento común entre ellos. Esto sugiere que un mercado de valores en el cual los sectores económicos se encuentran altamente interconectados es más sensitivo a la propagación de choques de política monetariaThis paper evaluates the role that sectoral comovement plays in the propagation of monetary policy shocks on the stock market. In doing so, we introduce a factor-augmented vector autoregressive model with heterogeneous regime-switching factor loadings, denoted as MS2-FAVAR, that allows us to jointly assess (i) potential changes in the degree of comovement between each sector-specifi c stock return and the aggregate stock market as well as (ii) the propagation of monetary policy shocks taking into account such changes in comovement. We find that the efects of monetary policy shocks on stock returns are substantially amplied when industries experience a stronger degree of comovement, suggesting that a more interconnected stock market is more prone to the propagation of monetary policy shocks. The MS2-FAVAR model is also well-suited to perform a network analysis to characterize linkages in large dataset