Browsing by Author "Nyberg, Henri"

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  • The development of an object-oriented graphical viewing application
    (1994) Nyberg, Henri
     Helsinki University of Technology | Master's thesis
  • Discount rates and cash flows: A local projection approach
    (2024-05) Lof, Matthijs; Nyberg, Henri
     A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
    We develop flexible local projections to quantify the relative contributions of expected discount rates and cash flows to the variation of dividend yields. Local projections enable the incorporation of large information sets, the use of monthly data along with annual data, and the consideration of time variation in the dividend yield decomposition. By expanding the set of state variables and allowing for time-varying parameters, our results show that the variation of expected discount rates remains the primary contributor to market volatility, whereas the contribution of expected cash flows is considerably smaller.
  • Noncausality and the commodity currency hypothesis
    (2017-06) Lof, Matthijs; Nyberg, Henri
     A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
    This paper provides new evidence on the role of exchange rates in forecasting commodity prices. Consistent with previous studies, we find that commodity currencies hold out-of-sample predictive power for commodity prices when using standard linear predictive regressions. After we reconsider the evidence using noncausal autoregressions, which provide a better fit to the data and are able to accommodate the effects of nonlinearities and omitted variables, the predictive power of exchange rates disappears. (C) 2017 Elsevier B.V. All rights reserved.