Yield curve forecast combinations based on bond portfolio performance

We propose an economically motivated forecast combination strategy in which model weights are related to portfolio returns obtained by a given forecast model. An empirical application based on an optimal mean–variance bond portfolio problem is used to highlight the advantages of the proposed approach with respect to combination methods based on statistical measures of forecast accuracy. We compute average net excess returns, standard deviation, and the Sharpe ratio of bond portfolios obtained with nine alternative yield curve specifications, as well as with 12 different forecast combination strategies. Return‐based forecast combination schemes clearly outperformed approaches based on statistical measures of forecast accuracy in terms of economic criteria. Moreover, return‐based approaches that dynamically select only the model with highest weight each period and discard all other models delivered even better results, evidencing not only the advantages of trimming forecast combinations but also the ability of the proposed approach to detect best‐performing models. To analyze the robustness of our results, different levels of risk aversion and a different dataset are considered.     

Do IMF fiscal forecasts add value?

We used a panel of 29 advanced and emerging market countries to investigate whether the IMF's World Economic Outlook (WEO) fiscal forecasts add value in terms of forecast accuracy and information content, relative to private sector forecasts (from Consensus Economics). We find that: (i) WEO forecasts are not significantly less accurate than Consensus forecasts; (ii) WEO and Consensus forecasts tend to mutually encompass one another; and (iii) each source of forecasts appears to contain some information that is not embedded in the other source.     

Berthelot's anti-atomism: A ‘matter of taste’?

The influential French chemist Marcelin Berthelot spoke against the use of Dalton's atomic theory and Avogadro's hypothesis in the second half of the nineteenth century. This paper argues that Berthelot conceded that atomism might be acceptable as a system of conventions, but he feared the power of such conventions in constructing a realistic picture of atoms which was not warranted empirically. Equally, Berthelot's anti-atomism was a last-ditch effort to assert the place of chemistry within the tradition of natural history and to deny the possible reduction of chemical science to the laws of nineteenth-century physics.     

Changes of the phosphatidylcholine content and the number of synaptic vesicles in relation to the neurohumoral transmission in sympathetic ganglia.

In sympathetic ganglia stimulated in the presence of HC-3, the reduction in number of synaptic vesicles was observed to be accompanied by a significant decrease of the ganglionic phosphatidylcholine content.     

Nonparametric density forecast based on time‐ and state‐domain

We propose a new nonparametric density forecast based on time‐ and state‐domain smoothing. We analyze some of its asymptotic properties and provide an empirical illustration. Copyright © 2010 John Wiley & Sons, Ltd.