Investment dynamics and forecast: Mind the frequency
Author
Abstract
Suggested Citation
DOI: 10.1016/j.frl.2022.103075
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Faria, Gonçalo & Verona, Fabio, 2018.
"Forecasting stock market returns by summing the frequency-decomposed parts,"
Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
- Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
- Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Bank of Finland Research Discussion Papers 29/2016, Bank of Finland.
- Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
- Mumtaz, Haroon & Zanetti, Francesco, 2015.
"Factor adjustment costs: A structural investigation,"
Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 341-355.
- Mumtaz, Haroon & Zanetti, Francesco, 2012. "Factor adjustment costs: a structural investigation," Bank of England working papers 467, Bank of England.
- Monika Merz & Eran Yashiv, 2007.
"Labor and the Market Value of the Firm,"
American Economic Review, American Economic Association, vol. 97(4), pages 1419-1431, September.
- Merz, Monika & Yashiv, Eran, 2003. "Labor and the Market Value of the Firm," IZA Discussion Papers 965, Institute of Labor Economics (IZA).
- Monika Merz & Eran Yashiv, 2005. "Labor and the Market Value of the Firm," CEP Discussion Papers dp0690, Centre for Economic Performance, LSE.
- Merz, Monika & Yashiv, Eran, 2005. "Labor and the market value of the firm," LSE Research Online Documents on Economics 19891, London School of Economics and Political Science, LSE Library.
- Yashiv, Eran & Merz, Monika, 2004. "Labour and the Market Value of the Firm," CEPR Discussion Papers 4184, C.E.P.R. Discussion Papers.
- Andrew B. Abel & Janice C. Eberly, 2012. "Investment, Valuation, and Growth Options," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-32.
- Thomas Philippon, 2009.
"The Bond Market's q,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 124(3), pages 1011-1056.
- Thomas Philippon, 2006. "The Bond Market's q," NBER Working Papers 12462, National Bureau of Economic Research, Inc.
- Engle, Robert F & Foley, Duncan K, 1975. "An Asset Price Model of Aggregate Investment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(3), pages 625-647, October.
- Mumtaz, Haroon & Zanetti, Francesco, 2016.
"The Effect Of Labor And Financial Frictions On Aggregate Fluctuations,"
Macroeconomic Dynamics, Cambridge University Press, vol. 20(1), pages 313-341, January.
- Francesco Zanetti & Haroon Mumtaz, 2013. "The Effect of Labor and Financial Frictions on Aggregate Fluctuations," Economics Series Working Papers 690, University of Oxford, Department of Economics.
- repec:bla:jfinan:v:59:y:2004:i:4:p:1777-1804 is not listed on IDEAS
- Bandi, F.M. & Perron, B. & Tamoni, A. & Tebaldi, C., 2019.
"The scale of predictability,"
Journal of Econometrics, Elsevier, vol. 208(1), pages 120-140.
- Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Bandi, F.M & Perron, B & Tamoni, Andrea & Tebaldi, C., 2018. "The scale of predictability," LSE Research Online Documents on Economics 85646, London School of Economics and Political Science, LSE Library.
- Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015. "The scale of predictability," CIRANO Working Papers 2015s-21, CIRANO.
- Peters, Ryan H. & Taylor, Lucian A., 2017. "Intangible capital and the investment-q relation," Journal of Financial Economics, Elsevier, vol. 123(2), pages 251-272.
- Clark, Todd E. & West, Kenneth D., 2007.
"Approximately normal tests for equal predictive accuracy in nested models,"
Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May.
- Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper RWP 05-05, Federal Reserve Bank of Kansas City.
- Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers 0326, National Bureau of Economic Research, Inc.
- Thomas A. Lubik & Christian Matthes & Fabio Verona, 2019.
"Assessing U.S. Aggregate Fluctuations Across Time and Frequencies,"
Working Paper
19-6, Federal Reserve Bank of Richmond.
- Lubik, Thomas A. & Matthes, Christian & Verona, Fabio, 2019. "Assessing U.S. aggregate fluctuations across time and frequencies," Bank of Finland Research Discussion Papers 5/2019, Bank of Finland.
- Bond, Stephen & Van Reenen, John, 2007. "Microeconometric Models of Investment and Employment," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 65, Elsevier.
- Fabio Verona, 2020. "Investment, Tobin's Q, and Cash Flow Across Time and Frequencies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(2), pages 331-346, April.
- Andrei, Daniel & Mann, William & Moyen, Nathalie, 2019. "Why did the q theory of investment start working?," Journal of Financial Economics, Elsevier, vol. 133(2), pages 251-272.
- Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
- Frank Smets & Raf Wouters, 2003.
"An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area,"
Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1123-1175, September.
- Frank Smets & Raf Wouters, 2002. "An estimated dynamic stochastic general equilibrium model of the euro area," Working Paper Research 35, National Bank of Belgium.
- repec:zbw:bofrdp:2019_005 is not listed on IDEAS
- Gallegati, Marco & Ramsey, James B., 2013. "Bond vs stock market's Q: Testing for stability across frequencies and over time," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 138-150.
- Grullon, Gustavo & Hund, John & Weston, James P., 2018. "Concentrating on q and cash flow," Journal of Financial Intermediation, Elsevier, vol. 33(C), pages 1-15.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Dück, Alexander & Verona, Fabio, 2023. "Robust frequency-based monetary policy rules," IMFS Working Paper Series 180, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Dück, Alexander & Verona, Fabio, 2023. "Monetary policy rules: model uncertainty meets design limits," Bank of Finland Research Discussion Papers 12/2023, Bank of Finland.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kilponen, Juha & Verona, Fabio, 2016.
"Testing the Q theory of investment in the frequency domain,"
Bank of Finland Research Discussion Papers
32/2016, Bank of Finland.
- Juha Kilponen & Fabio Verona, 2017. "Testing the Q theory of investment in the frequency domain," CEF.UP Working Papers 1701, Universidade do Porto, Faculdade de Economia do Porto.
- Kilponen, Juha & Verona, Fabio, 2016.
"Testing the Q theory of investment in the frequency domain,"
Research Discussion Papers
32/2016, Bank of Finland.
- Juha Kilponen & Fabio Verona, 2017. "Testing the Q theory of investment in the frequency domain," CEF.UP Working Papers 1701, Universidade do Porto, Faculdade de Economia do Porto.
- repec:zbw:bofrdp:2020_006 is not listed on IDEAS
- Nippala, Veera & Sinivuori, Taina, 2023. "Forecasting private investment in Finland using Q-theory and frequency decomposition," BoF Economics Review 3/2023, Bank of Finland.
- Gonçalo Faria & Fabio Verona, 2021.
"Time-frequency forecast of the equity premium,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
- Faria, Gonçalo & Verona, Fabio, 2020. "Time-frequency forecast of the equity premium," Bank of Finland Research Discussion Papers 6/2020, Bank of Finland.
- Gonçalo Faria & Fabio Verona, 2021.
"Time-frequency forecast of the equity premium,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
- Faria, Gonçalo & Verona, Fabio, 2020. "Time-frequency forecast of the equity premium," Research Discussion Papers 6/2020, Bank of Finland.
- repec:zbw:bofrdp:2016_032 is not listed on IDEAS
- Faria, Gonçalo & Verona, Fabio, 2023. "Forecast combination in the frequency domain," Bank of Finland Research Discussion Papers 1/2023, Bank of Finland.
- Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
- Gonçalo Faria & Fabio Verona, 2016.
"Forecasting the equity risk premium with frequency-decomposed predictors,"
Working Papers de Economia (Economics Working Papers)
06, Católica Porto Business School, Universidade Católica Portuguesa.
- Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Bank of Finland Research Discussion Papers 1/2017, Bank of Finland.
- repec:zbw:bofrdp:2018_007 is not listed on IDEAS
- Mumtaz, Haroon & Zanetti, Francesco, 2015.
"Factor adjustment costs: A structural investigation,"
Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 341-355.
- Mumtaz, Haroon & Zanetti, Francesco, 2012. "Factor adjustment costs: a structural investigation," Bank of England working papers 467, Bank of England.
- Faria, Gonçalo & Verona, Fabio, 2020. "Frequency-domain information for active portfolio management," Bank of Finland Research Discussion Papers 2/2020, Bank of Finland.
- Belo, Frederico & Gala, Vito D. & Salomao, Juliana & Vitorino, Maria Ana, 2022. "Decomposing firm value," Journal of Financial Economics, Elsevier, vol. 143(2), pages 619-639.
- Gonçalo Faria & Fabio Verona, 2016.
"Forecasting the equity risk premium with frequency-decomposed predictors,"
Working Papers de Economia (Economics Working Papers)
06, Católica Porto Business School, Universidade Católica Portuguesa.
- Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Research Discussion Papers 1/2017, Bank of Finland.
- Dück, Alexander & Verona, Fabio, 2023. "Monetary policy rules: model uncertainty meets design limits," Bank of Finland Research Discussion Papers 12/2023, Bank of Finland.
- Stein, Tobias, 2024. "Forecasting the equity premium with frequency-decomposed technical indicators," International Journal of Forecasting, Elsevier, vol. 40(1), pages 6-28.
- Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
- repec:zbw:bofrdp:2017_001 is not listed on IDEAS
- Sakawa, Hideaki & Watanabel, Naoki & Yamauchi, Shohei & Liu, Runxi, 2023. "The effect of Tobin's q on investment in a bank-based financial system: Evidence from Japan," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
- Manish Jha & Jialin Qian & Michael Weber & Baozhong Yang, 2024.
"ChatGPT and Corporate Policies,"
NBER Working Papers
32161, National Bureau of Economic Research, Inc.
- Manish Jha & Jialin Qian & Michael Weber & Baozhong Yang, 2024. "ChatGPT and Corporate Policies," Papers 2409.17933, arXiv.org.
- Gross, Marco, 2011. "Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession," Working Paper Series 1286, European Central Bank.
- Federico Di Pace & Matthias Hertweck, 2019.
"Labor Market Frictions, Monetary Policy, and Durable Goods,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 32, pages 274-304, April.
- Di Pace, Federico & Hertweck, Matthias S., 2012. "Labour Market Frictions, Monetary Policy, and Durable Goods," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62052, Verein für Socialpolitik / German Economic Association.
- Federico Di Pace & Matthias S. Hertweck, 2012. "Labour Market Frictions, Monetary Policy and Durable Goods," Working Paper Series of the Department of Economics, University of Konstanz 2012-09, Department of Economics, University of Konstanz.
- Di Pace, Federico & Hertweck, Matthias S., 2012. "Labour Market Frictions, Monetary Policy and Durable Goods," Dynare Working Papers 20, CEPREMAP.
- Di Pace, Frederico & Hertweck, Matthias, 2016. "Labour market frictions, monetary policy and durable goods," Bank of England working papers 623, Bank of England.
- Gareis, Johannes & Mayer, Eric, 2020. "Financial shocks and the relative dynamics of tangible and intangible investment: Evidence from the euro area," Discussion Papers 39/2020, Deutsche Bundesbank.
More about this item
Keywords
Investment; Equity Q; Cash flow; Bond Q; Frequency domain; Out-of-sample forecast;All these keywords.
JEL classification:
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003051. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.