University of Helsinki 3-year research grant
Forecasting and Structural Analysis of Macroeconomic and Financial Time Series with Nonlinear Models
Funding granted for the years 2015 - 2017 (150 000 €)
Project description
This research project aims to explore new nonlinear econometric methods for the analysis of financial and macroeconomic time series, and their linkages, where nonlinearities are present and linking them to (theoretical) economic and asset pricing models. The planned new nonlinear methods and their applications can be split into two topics which support and have close interconnections to each other:
Advances in the forecasting methods of nonlinear models
Structural econometric methods for nonlinear time series models
Equally important to the development of new econometric techniques are the empirical applications to macroeconomics and finance that will be facilitated by the introduction of the new methods. The expected research results are related to the above-mentioned new nonlinear econometric methods and their applications, which will shed light on the behavior of macroeconomy and financial markets.
People
Henri Nyberg (Principal investigator)
Harri Pönkä (PhD student (graduated 2016))
Markku Karhunen (PhD student (other funding since 2016))
Olli Palmén (PhD student)
Bernd Funovits (Post-doc)
Juho Nyholm (PhD student)
Publications
Henri Nyberg (2018). Forecasting U.S. Interest Rates and Business Cycle with a Nonlinear Regime Switching VAR Model. Journal of Forecasting 37, 1 - 15.
Matthijs Lof & Henri Nyberg (2017). Noncausality and the Commodity Currency Hypothesis. Energy Economics 65, 424 - 433.
Bernd Funovits (2017). Analysis of Indeterminate Equilibria in Linear Rational Expectations Models. Economics Letters 161, 47 - 51.
Harri Pönkä (2017) . Predicting the direction of US stock markets using industry returns. Empirical Economics 52, 1451 - 1480.
Harri Pönkä (2017). The Role of Credit in Predicting US Recessions. Journal of Forecasting 36, 469 - 482.
Karolin Kirschenmann & Tuomas Malinen & Henri Nyberg (2016). The Risk of Financial Crises: Is There a Role for Income Inequality? Journal of International Money and Finance 68, 161 - 180,
Markku Lanne & Henri Nyberg (2016). Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models. Oxford Bulletin of Economics and Statistics 78, 595-603.
Henri Nyberg & Harri Pönkä (2016). International Sign Predictability of Stock Returns: The Role of the United States. Economic Modelling 58, 323 - 338.
Harri Pönkä (2016). Real oil prices and the international sign predictability of stock returns. Finance Research Letters 17, 79 - 87
Doctoral Dissertations
Harri Pönkä (2016). Essays on Directional Predictability of Financial and Economic Time Series. Publications of the Helsinki Center of Economic Research.
Working papers
Markku Lanne & Henri Nyberg (2015). Nonlinear dynamic interrelationships between real activity and stock returns. CREATES Research Paper 2015 - 36.
Matthijs Lof & Henri Nyberg (2015). Noncausality and the Commodity Currency Hypothesis. SSRN working paper.
Henri Nyberg & Harri Pönkä (2015). International Sign Predictability of Stock Returns: The Role of the United States. CREATES Research Paper 2015-20.
Harri Pönkä (2015). The Role of Credit in Predicting US Recessions. CREATES Research Paper 2015 - 48
Harri Pönkä (2015). Real oil prices and the international sign predictability of stock returns. MPRA working paper 68330.
Conference and seminar presentations
Taking zero lower bound seriously: A structural vector autoregression containing positive-valued components
Henri Nyberg (presenter):
Forecasting U.S. Interest Rates and Business Cycle with a Nonlinear Regime Switching VAR Model.
Henri Nyberg:
8th conference on Growth and Business Cycle in Theory and Practice, Manchester, July 2016
Nonlinear Dynamic Interrelationships between Real Activity and Stock Returns.
Henri Nyberg (presenter):
9th International Conference on Computational and Financial Econometrics, London, December 2015
ACE workshop 2015, Turku, November 2015.
23rd Symposium of the Society for Nonlinear Dynamics and Econometrics, Oslo, March 2015.
Finnish Economic Association XXXVII Annual Meeting, Helsinki, February 2015.
Noncausality and the Commodity Currency Hypothesis
Henri Nyberg:
10th International Conference on Computational and Financial Econometrics, University of Seville, Seville, December 2016.
Financial Econometrics and Empirical Asset Pricing Conference, Lancaster University, Lancaster, June-July 2016.
Energy Finance Conference 2015, Cass Business School London, London, September 2015
9th International Conference on Computational and Financial Econometrics, London, December 2015
The Center for Research in Economics and Statistics (CREST), Paris, October 2015
Aalto University, Brown Bag seminar, Helsinki, June 2015
8th Nordic Econometric Meeting, Helsinki, May 2015
23rd Symposium of the Society for Nonlinear Dynamics and Econometrics, Oslo, March 2015
Finnish Economic Association XXXVII Annual Meeting, Helsinki, February 2015
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation?
Henri Nyberg:
Royal Economic Society Meeting 2015, Manchester, March 2015
International Sign Predictability of Stock Returns: The Role of the United States
Henri Nyberg:
Nottingham University Business School, Nottingham, April 2015
Harri Pönkä:
Conference on Applied Financial Modelling, Melbourne, February 2016
Singapore Economic Review Conference, Singapore, August 2015
3rd Rimini Center of Economic Analysis (RCEA) Time Series Econometrics Workshop, Rimini, June 2015
2nd International Workshop on Financial Markets and Nonlinear Dynamics (FMND), Paris, June 2015
8th Nordic Econometric Meeting, Helsinki, May 2015
Inaugural Royal Economic Society Symposium of Junior Researchers, Manchester, April 2015
CREATES Lunch Seminar, Aarhus, March 2015
Suomen kansantalouden suhdanneindeksi 2009 - 2014
Henri Nyberg:
Ministry of Finance, May 2015