The ICMA Centre is dedicated to high quality academic research in all financial markets, broadly defined. Well over 100 discussion papers are available to download (see menu on left).¬†
All discussion papers are downloadable on the SSRN website.
Authors: Michael P Clements
We consider whether imposing long-run restrictions on survey respondents’ long-horizon forecasts will enhance their accuracy. The restrictions are motivated by the belief that the macro-variables consumption, investment and output move together in the long run, and that this should be evident in long-horizon forecasts. The restrictions are imposed by exponential-tilting of simple auxiliary forecast densities. We find a modest overallContinue reading
Authors: Adrian R. Bell, Chris Brooks and Tony K Moore
This paper employs a unique, hand-collected dataset of exchange rates for five major¬†currencies (the lira of Barcelona, the pound sterling of England, the pond groot of¬†Flanders, the florin of Florence and the livre tournois of France) to consider whether the¬†law of one price and purchasing power parity held in Europe during the late fourteenth¬†and early fifteenth centuries. Using single seriesContinue reading