| 1. |
- Dahlquist, Magnus, et al.
(författare)
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Individual Forecasts of Exchange Rates
- 2022
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Ingår i: SSRN Electronic Journal. - : SSRN. - 1556-5068 .- 1556-5068.
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We study the expectations of individual forecasters in the foreign exchange market. We find that the survey risk premium is less countercyclical than the rational risk premium, primarily because it is not related to the forward premium. We also find that forecasters learn from their own forecast errors (rather than from consensus forecast errors) and that they overreact when forming expectations (as indicated by their forecast revisions). Finally, while forecasters have worse forecasting performance relative to a simple benchmark, the forecasters who emphasize the real exchange rate and do not overreact have better out-of-sample forecasting performance. Overall, our results highlight the information contained in individual (rather than consensus) forecasts
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| 2. |
- Dahlquist, Magnus, et al.
(författare)
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Individual investor activity and performance
- 2017
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Ingår i: Review of Financial Studies. - : Oxford University Press (OUP): Policy F - Oxford Open Option D. - 0893-9454 .- 1465-7368. ; 30:3, s. 866-899
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Tidskriftsartikel (refereegranskat)abstract
- We examine the daily activity and performance of a large panel of individual investors from Sweden's Premium Pension System. We find that active investors earn higher returns and risk-adjusted returns than do inactive investors. A performance decomposition analysis reveals that most outperformance by active investors is the result of active investors successfully timing mutual funds and asset classes. While activity is beneficial for some investors, extreme flows out of mutual funds affect funds' net asset values negatively for all investors. Financial advisors, by contributing to coordinate investments and redemptions, exacerbate these negative effects.
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| 3. |
- Karlsson, Anders, 1973-
(författare)
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Investment Decisions and Risk Preferences among Non-Professional Investors
- 2007
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- I analyze a large number of investment decisions based on theories that have been developed and formalized over the past 50 years. Previous work in this field unveils a number of biases which affect ones choices when the outcome is uncertain. In my thesis I find evidence of these already known biases and focus on finding rational explanations for their existence. I also introduce two unexplored biases; the homeboy bias and the menu bias.The results clearly indicate that sophisticated investors are generally less subject to these biases. Since pension schemes in many nations are shifting towards defined contribution schemes, investment decisions and risk preferences will be of great consequence to investors’ personal economy and ability to consume, affecting the economy in general. It is therefore of great importance that policy makers do all that they can to increase investors sophistication and create a playing field which facilitates economically sound investing.
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| 4. |
- Palme, Mårten, et al.
(författare)
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How Do Individual Accounts Work in the Swedish Pension System?
- 2007
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Ingår i: Journal of the European Economic Association. - : Oxford University Press (OUP). - 1542-4766 .- 1542-4774. ; 5:2-3, s. 636-646
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Tidskriftsartikel (refereegranskat)abstract
- In 1998, Sweden introduced a second tier of mandatory individual accounts in the public pension system. This paper examines investment choice in the Swedish individual account scheme focusing on two aspects of the investment decision: Do workers with high risk in their human capital diversify their overall portfolio by investing their pension funds in low-risk funds? And to what extent do participants exhibit “home bias” and invest in Swedish assets? Two pieces of evidence support rational investment decisions. First, we establish a positive relationship between income and the level of risk. Second, married participants appear to pool their risks. On the other hand, the results show that participants at the bottom of the income distribution take on as much risk as those at the top, indicating that they are not diversifying their overall portfolio. Finally, participants employed in sectors that are affected by foreign competition are less likely to diversify their portfolios and invest in foreign assets compared to the public sector. Instead, these workers exhibit “home bias” in their investments. (JEL: G11, H55)
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| 5. |
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| 6. |
- Welz, Peter, 1971-
(författare)
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Quantitative New Keynesian Macroeconomics and Monetary Policy
- 2005
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of four self-contained essays.Essay 1 compares the dynamic behaviour of an estimated New Keynesian sticky-price model with one-period delayed effects of monetary policy shocks to the dynamics of a structural vector autoregression model. The model is estimated with Bayesian techniques on German pre-EMU data. The dynamics of the sticky-price model following either a demand shock or monetary policy shock are qualitatively and quantitatively comparable to those of the estimated structural VAR. When compared to the delayed-effects model, an alternative model with contemporaneous effects of monetary policy is rejected according to the posterior-odds ratio criterion.Essay 2 addresses the transmission of exchange-rate variations in an estimated, small open-economy model. In contrast to the standard New Open Economy Macroeconomics framework, imported goods are treated here as material inputs to production. The resulting model structure is transparent and tractable while also able to account for imperfect pass through of exchange-rate shocks. The model is estimated with Bayesian methods on German data and the key finding is that a substantial depreciation of the nominal exchange rate leads to only modest effects on CPI inflation. An extended version of the model reveals that relatively small weight is placed on foreign consumption.Essay 3 (with Annika Alexius) analyses the strong responses of long-term interest rates to shocks that are difficult to explain with standard macroeconomic models. Augmenting the standard model to include a time-varying equilibrium real interest rate generates forward rates that exhibit considerable movement at long horizons in response to movements of the policy-controlled short rate. In terms of coefficients from regressions of long-rate changes on short-rate movements, incorporating a time-varying natural rate explains a significant fraction of the excess sensitivity puzzle.Essay 4 (with Pär Österholm) argues that the common finding of a large and significant coefficient on the lagged interest rate in Taylor rules may be the consequence of misspecification, specifically an omitted variables problem. Our Monte Carlo study shows that omitting relevant variables from the estimated Taylor rule can generate significant partial-adjustment coefficients, despite the data generating process containing no interest-rate smoothing. We further show that misspecification leads to considerable size distortions in two recently proposed tests to distinguish between interest-rate.
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| 7. |
- Giordani, Paolo, et al.
(författare)
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Inflation forecast uncertainty
- 2003
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Ingår i: European Economic Review. - 0014-2921. ; 47:6, s. 1037-1059
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- We study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-2001. Three popular measures of uncertainty built from survey data are analyzed in the context of models for forecasting and asset pricing, and improved estimation methods are suggested. Popular time series models are evaluated for their ability to reproduce survey measures of uncertainty. The results show that disagreement is a better proxy of inflation uncertainty than what previous literature has indicated, and that forecasters underestimate inflation uncertainty. We obtain similar results for output growth uncertainty. (C) 2002 Elsevier B.V. All rights reserved.
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| 8. |
- Söderlind, Paul
(författare)
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Monetary policy and the Fisher effect
- 2001
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Ingår i: Journal of policy modeling. - : Elsevier Inc. - 1873-8060 .- 0161-8938. ; 23:5, s. 491-495
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Tidskriftsartikel (refereegranskat)abstract
- Historical estimates of the informational content in the yield curve may not be relevant after a change in monetary policy. This study uses a small dynamic rational expectations model with staggered price setting to study how monetary policy affects the relation between nominal interest rates, inflation expectations, and real interest rates. The benchmark parameters, including the Fed's loss function parameters, are estimated by maximum likelihood on quarterly US data. The policy experiments include stronger inflation targeting and more active monetary policy.
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| 9. |
- Engström, Stefan, et al.
(författare)
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Performance and characteristics of Swedish mutual funds
- 2000
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Ingår i: Journal of Financial and Quantitative Analysis. - : Cambridge University Press (CUP). - 0022-1090. ; 35:3, s. 409-423
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- This paper studies the relation between fund performance and fund attributes in the: Swedish market. Performance is measured as the alpha in a linear regression of fund returns on several benchmark assets, allowing for time-varying betas. The estimated performance is then used in a cross-sectional analysis of the relation between performance and fund attributes such as past performance, flows, size, turnover, and proxies for expenses and trading activity. The results show that good performance occurs among small equity funds, low fee funds, funds whose trading activity is high and, in some cases, funds with good past performance.
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| 10. |
- Hallsten, Kerstin, 1963-
(författare)
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Essays on the effects of monetary policy
- 1999
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This dissertation consists of three essays, each of which addresses issues that are relevant to the implementation of monetary policy.The first essay, "Bank Loans and the Transmission Mechanism of Monetary Policy," considers one of the transmission mechanisms of monetary policy, the bank lending channel. This mechanism is analysed and estimated. The theory emphasises the role of banks. Banks are important because of asymmetric information in the financial market and because banks are assumed to handle this problem better than other lenders. Banks therefore give loans to borrowers that, because they are subject to asymmetric information problems, find it costly or perhaps impossible to issue bonds in the private bond market. Loans from an intermediary and bonds issued at the bond market can therefore not be seen as perfect substitutes, which is often assumed in the macro economic literature. Further also banks find loans and bonds to be imperfect substitutes since it is assumed that it is costly for a bank to change the relation between the possession of bonds and loans in its portfolio.By changing the amount of deposits and thereby the availability of loans in the bank sector the central bank influences aggregate demand in the economy through a bank lending channel, assuming prices are temporarily sticky. Under certain conditions it follows that the bank lending channel works in line with the ordinary money channel and the effect of monetary policy on aggregate income is hence enhanced.It is then tested for the importance of this channel using Swedish data. As predicted by the bank lending channel the mix between bank loans and other sources of financing and the spread between the loan rate and the bond rate are significantly altered after a change in the stance of monetary policy. Real effects are tested for simultaneously. It follows that both the mix and the spread have real effects on the economy and that the effects of monetary policy is enhanced. A number of countries have adopted inflation targeting in various forms as the framework for monetary policy. Even if the arguments for inflation targeting have been widely accepted, many problems of how to implement such a policy in practice remain to be solved. The second essay, "Implications of Inflation Targeting," contains an analysis of how the central bank should set its operating instruments in order to control its target(s). It is also analysed for how long the actual and the targeted inflation rate can be accepted to deviate under different policy regimes and how different stabilisation goals affect the variability in inflation, output and the short term interest rate. For that purpose a simple model for the Swedish economy is estimated.The third essay is entitled "An Expectations-Augmented Phillips Curve in an Open Economy." Here an expectations-augmented Phillips curve relation in an open economy is derived and estimated. As in Rotemberg's (1982) model firms are assumed to face quadratic price adjustment costs. In addition, second-order costs of changing prices are included. Consequently the derived inflation equation incorporates not only a forward-looking component but also a backward-looking element. The model is then estimated on Swedish data. The results from this estimation shed light on the importance of inflation expectations, in comparison to past inflation rates, for the development of current inflation. This is, for example, of great importance to a central bank trying to achieve an inflation target. A common characteristic of inflation targeting models is that with a lower degree of persistence in inflation, a credible central bank can achieve its inflation target with relatively little loss in output.
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