2014 Summer Course School of Business, Nanjing University. State-Space Modelling and Its Applications in Economics and Finance
|
|
- Kelley Dennis
- 5 years ago
- Views:
Transcription
1 2014 Summer Course School of Business, Nanjing University State-Space Modelling and Its Applications in Economics and Finance Instructor: Jun Ma This version: May 14, 2014 Primary Textbooks: Kim, Chang-Jin and Charles R. Nelson, State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications, MIT Press, Hamilton, James D. Time Series Analysis, Princeton University Press, Course Description: This course is an advanced applied time series class. The aim is to introduce the cuttingedge time series modelling techniques that have been frequently applied in economics and finance. Knowledge of econometrics and macroeconomics in the first year graduate courses are assumed. We will first review basic univariate and multivariate time series models and their estimation methods. We will then introduce the state-space modelling technique and Kalman filter through various examples. The applications include various topics in the areas of business cycle analysis, asset prices fluctuations, and exchange rate determinations among many others. We will study the estimation algorithms and illustrate the applications using GAUSS or/and MATLAB codes. Although our focus in this course is primarily the econometric tools, through applications we will also discuss some important models in macroeconomics, asset pricing, and international finance. Course Requirement: There will be a mid-term exam and a take-home project that involves replicating some empirical results in the designated papers. List of Topics (Subject to Changes): 1. Time Series: Motivation and Introduction (1) Implications of the time series properties of the data: An example for illustrations: a stylized current account model (2) Basic time series models AR, MA, ARMA, impulse response and variance decomposition stationary versus nonstationary 2. More on Basic Time Series Models (1) The MLE estimation and numerical optimization (2) VAR, SVAR, and VECM An example for illustrations: test of the present value model of the current account 1
2 3. State space models: motivations and notations (1) Motivations and Notations through examples Trend and cycle decomposition Clark and Harvey Its connection with the ARMA model Morley, Nelson, and Zivot Dynamic factor model (DFM) global, regional and local business cycles Time varying parameter model (TVP) CAPM, Taylor rule, TVP-VAR (2) Any model that involves rational expectations: Stock returns decomposition Campbell and Shiller Exchange rate decomposition Engel and West Term structure of interest rates Dynamic Nelson-Siegel model No arbitrage Affine Term Structure Model A stylized Gaussian model 4. State Space Model Estimations (1) Kalman filter and the estimation algorithm (2) An example: UC output decomposition Clark model, Morley, Nelson, and Zivot 5. More Applications (1) Multivariate UC output decomposition - Sinclair, Ma and Wohar Phillips curve estimation - Lee and Nelson TVP model - Kim and Nelson (2) Stock price decomposition - Su, Ma and Wohar Inflation and stock returns - Levant, Ma and Wohar Exchange rate decomposition - Balke, Ma and Wohar House price decomposition - Fairchild, Ma and Wu Dynamic factor model - Stock and Watson coincidental index 6. Markov Regime-Switching Model (1) A brief introduction of the nonlinear models: Markov switching - Hamilton model (2) Estimation algorithm and illustrations Hamilton model, Volatility switching 7. State Space Model with Markov Regime-Switching (1) Kim s filter and estimation algorithm (2) Applications Kim and Nelson plucking model Levant and Ma DNS with MS 8. More Advanced Topics (1) Introduction to Bayesian MCMC estimation Why MCMC motivations Some popular algorithms: Gibbs-Sampling, Metropolis-Hasting Applications: TVP-VAR (2) The second moment and its importance: GARCH, Markov regime-switching Stochastic volatility model 2
3 TVP-VAR-SV: Primeciri or Cogley and Sargent Reading List (by topics) 1. Trend and Cycle Decomposition and Business Cycles Analysis Basistha, A. and C.R. Nelson (2007): New Measures of the Output Gap Based on the Forward-looking New Keynesian Phillips Curve, Journal of Monetary Economics, 54, Beveridge, S. and C.R. Nelson (1981): A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the Business Cycle, Journal of Monetary Economics, 7, Clark, P.K. (1987): The Cyclical Component of U.S. Economic Activity, The Quarterly Journal of Economics, 102, Cogley, T. and T.J. Sargent (2005): Drift and Volatilities: Monetary Policies and Outcomes in the post WWII US, Review of Economic Dynamics, 8, Hamilton, J. (1989): A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, Econometrica, 57, Kim, C.-J. and C.R. Nelson (1999): Friedman s Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components, Journal of Money, Credit and Banking, 31, Kim, C.-J. and C.R. Nelson (2006): Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model using Ex Post Data, Journal of Monetary Economics, 53, Lee, J., and C. R. Nelson (2007): Expectation Horizon and the Phillips Curve: The Solution to an Empirical Puzzle, Journal of Applied Econometrics, 22, Ma, J. and M. E. Wohar (2013): An Unobserved Components Model That Yields Business and Medium-Run Cycles, Journal of Money, Credit, and Banking, Vol.45, No.7, October, Morley, J., C.R. Nelson and E. Zivot (2003): Why Are Beveridge-Nelson and Unobserved Component Decomposition of GDP So Different? Review of Economics and Statistics, 85, Primiceri, G.E. (2005): Time Varying Structural Vector Autoregressions and Monetary Policy, The Review of Economic Studies, 72,
4 Sinclair, T. (2009): The Relationship between Permanent and Transitory Movements in U.S. Output and the Unemployment Rate, Journal of Money, Credit and Banking, 41, Stock, J.H. and M.W. Watson (2007): Why Has U.S. Inflation Become Harder to Forecast? Journal of Money, Credit and Banking, 39, Current Account Determination and Exchange Rate Dynamics Balke, N., J. Ma, and M. Wohar (2013): The Contribution of Economic Fundamentals to Movements in Exchange Rates, Journal of International Economics, 90, Corsetti, G. and P. Konstantinou (2012): What Drives US Foreign Borrowing? Evidence on the External Adjustment to Transitory and Permanent Shocks, American Economic Review, 102, Engel, C. and J. Hamilton (1990): Long Swings in the Dollar: Are They in the Data and Do Markets Know It? American Economic Review, 1990, 80, Engel, C. and C.-J. Kim (1999): The Long-Run U.S./U.K. Real Exchange Rate, Journal of Money, Credit and Banking, 31, Engel, C. and K.D. West (2005): Exchange Rate and Fundamentals, The Journal of Political Economy, 113, Engel, C. and K.D. West (2006): Taylor Rules and the Deutschmark-Dollar Real Exchange Rate, Journal of Money, Credit, and Banking, 38, Engel, C., N. Mark, and K. West (2012), Factor Model Forecasts of Exchange Rates, Econometric Reviews, forthcoming. Gourinchas, P. and H. Rey (2007): International Financial Adjustment, Journal of Political Economy, 115, Nason, J.M. and J.H. Rogers (2006): The Present-Value Model of the Current Account Has Been Rejected: Round up the Usual Suspects, Journal of International Economics, 68, Nason, J.M. and J.H. Rogers (2008): Exchange Rates and Fundamentals: A Generalization, International Finance Discussion Papers Number 948, Board of Governors of the Federal Reserve System. Sheffrin, S.M. and W.T.Woo (1990): Present Value Tests of an Intertemporal Model of the Current Account, Journal of International Economics, 29, Empirical Asset Pricing 4
5 Ang, A. and M. Piazzesi (2003): A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables, Journal of Monetary Economics, 50, Bansal, R. and A. Yaron (2004): Risks for The Long Run: A Potential Resolution of Asset Pricing Puzzles, Journal of Finance, 59, Binsbergen, J. H. van, and R. S. J. Koijen (2010): Predictive regressions: A Presentvalue Approach, Journal of Finance, 65, Campbell, J., and R. Shiller (1988): The Dividend-price Ratio and Expectations of Future Dividends and Discount Factors, Review of Financial Studies, 1, Cochrane, J. (2011): Discount Rates: American Finance Association Presidential Address, Journal of Finance, 66, Diebold, F.X., G.D. Rudebusch, and B.S. Aruoba (2006): The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach, Journal of Econometrics, 131, Duffee, G.R. (2002): Term Premia and Interest Rate Forecasts in Affine Models, Journal of Finance, 57, Fairchild, J., J. Ma, and S. Wu (2014): Understanding Housing Market Volatility, working paper, University of Alabama and University of Kansas. Joslin, S., K.J. Singleton, and H. Zhu (2011): A New Perspective on Gaussian Dynamic Term Structure Models, Review of Financial Studies, 24, Ma, J. (2013): Long-Run Risks and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework, Journal of Money, Credit, and Banking, 45, Ma, J. and M.E. Wohar (2014): Expected Returns and Expected Dividend Growth: Time to Rethink an Established Empirical Literature, Applied Economics, forthcoming. Nelson, C.R. and A. Siegel (1987): Parsimonious Modeling of Yield Curves, Journal of Business, 60, Su, Z., J. Ma, and M.E. Wohar (2012): Sources of the Stock Price Fluctuations in Chinese Equity Market, European Journal of Finance, forthcoming. 5
Time Series Methods in Financial Econometrics Econ 509 B1 - Winter 2017
Time Series Methods in Financial Econometrics Econ 509 B1 - Winter 2017 Instructor: Sebastian Fossati Office: Tory 7-11 Email: sfossati@ualberta.ca Website: http://www.ualberta.ca/~sfossati/ Office Hours:
More informationCHANG-JIN KIM March, 2016
CHANG-JIN KIM March, 2016 Address: Department of Economics, University of Washington, Seattle, WA 98195 changjin@u.washington.edu 206-685-1382 (Phone) 206-685-7477 (Fax) Degrees: 1983 Korea University,
More informationEconometrics 3 (Topics in Time Series Analysis) Spring 2015
Econometrics 3 (Topics in Time Series Analysis) Spring 2015 Massimiliano Marcellino This course reviews classical methods and some recent developments for the analysis of time series data in economics,
More informationSeminar Master Major Financial Economics : Quantitative Methods in Finance
M. Sc. Theoplasti Kolaiti Leibniz University Hannover Seminar Master Major Financial Economics : Quantitative Methods in Finance Winter Term 2018/2019 Please note: The seminar paper should be 15 pages
More informationChapter 3. Introduction to Quantitative Macroeconomics. Measuring Business Cycles. Yann Algan Master EPP M1, 2010
Chapter 3 Introduction to Quantitative Macroeconomics Measuring Business Cycles Yann Algan Master EPP M1, 2010 1. Traditional framework for Fluctuations Undergraduate textbook model Divide markets into
More informationECON 690: Topics in Applied Time Series Analysis Professor Mohitosh Kejriwal Spring Lectures: Tuesdays and Thursdays, 2:50-4:20pm in Rawls 2079
ECON 690: Topics in Applied Time Series Analysis Professor Mohitosh Kejriwal Spring 2011 Lectures: Tuesdays and Thursdays, 2:50-4:20pm in Rawls 2079 Offi ce: KRAN 410 Telephone: (765)-494-4503 Offi ce
More informationAdv. Time Series and Panel Data
Overview and Objectives PART 1 (by Marek Jarocinski) Bayesian Vector autoregressions (VARs) are becoming a standard tool both in the academia and in policy institutions. They are useful for forecasting
More informationMacroeconomic Modeling and Forecasting
Macroeconomic Modeling and Forecasting ECO 7380 - Spring 2001 - David Papell The text for the course is Walter Enders, Applied Econometric Time Series (Wiley, 1995). It should be available in the bookstore.
More informationFACTOR-AUGMENTED VAR MODEL FOR IMPULSE RESPONSE ANALYSIS
Nicolae DĂNILĂ, PhD The Bucharest Academy of Economic Studies E-mail: nicolae.danila@fin.ase.ro Andreea ROŞOIU, PhD Student The Bucharest Academy of Economic Studies E-mail: andreea.rosoiu@yahoo.com FACTOR-AUGMENTED
More informationTopics in Econometrics: Forecasting
University of Pennsylvania Economics 221, Spring 2005 Topics in Econometrics: Forecasting Instructor: Frank Schorfheide, Room 525, McNeil Building Email: schorf@ssc.upenn.edu URL: http://www.econ.upenn.edu/
More informationCentral European University Department of Economics. 2. Lecturer Attila Ratfai (Part 2 of the course is taught by Alessia Campolmi)
Central European University Department of Economics 1. Name of Course: ADVANCED MACROECONOMICS II, Part I 2. Lecturer Attila Ratfai (Part 2 of the course is taught by Alessia Campolmi) 3. No. of Credits
More informationGeorge Mason University Department of Economics Economics Time Series Econometrics. Instructor: Carlos D. Ramirez. Syllabus and Reading List
George Mason University Department of Economics Economics 895-006 Time Series Econometrics Instructor: Carlos D. Ramirez Syllabus and Reading List The purpose of this course is to help you develop basic
More informationUniversity of Pretoria Department of Economics Working Paper Series
University of Pretoria Department of Economics Working Paper Series The Term Premium as a Leading Macroeconomic Indicator Vasilios Plakandaras Democritus University of Thrace Periklis Gogas Democritus
More informationAARHUS UNIVERSITY. PhD course. Fractional Time Series Models. Aarhus University. Department of Economics and Business
AARHUS UNIVERSITY BUSINESS AND SOCIAL SCIENCES DEPARTMENT OF ECONOMICS AND BUSINESS PhD course Fractional Time Series Models Aarhus University Department of Economics and Business Fuglesangs Allé 4 DK-8210
More informationAPPLIED TIME SERIES ECONOMETRICS (ECON 797W: Spring 2011, UMass Amherst)
APPLIED TIME SERIES ECONOMETRICS (ECON 797W: Spring 2011, UMass Amherst) Instructor Deepankar Basu Office: 1012 Thompson E-mail: dbasu@econs.umass.edu TA Charalampos Konstantinidis Office: 804 Thompson
More informationECONOMICS 797W APPLIED TIME SERIES ECONOMETRICS SPRING 2017, UMASS AMHERST. Instructor: Deepankar Basu Phone:
ECONOMICS 797W APPLIED TIME SERIES ECONOMETRICS SPRING 2017, UMASS AMHERST Instructor: Deepankar Basu Phone: 545-6359 Office: 310 Crotty Hall E-mail: dbasu@econs.umass.edu Classes: Monday, Wednesday 11:15-12:30pm
More informationTHE UNIVERSITY OF HONG KONG FACULTY OF BUSINESS AND ECONOMICS. FINA6052 Empirical Asset Pricing
THE UNIVERSITY OF HONG KONG FACULTY OF BUSINESS AND ECONOMICS BE58/518 FINA6052 Empirical Asset Pricing GENERAL INFORMATION Instructor: Yan Xu Email: yanxuj@hku.hk Office: KKL 929 Phone: 2859-7037 Consultation
More informationMethods and Applications of Statistics in Business, Finance, and Management Science
Methods and Applications of Statistics in Business, Finance, and Management Science N. Balakrishnan McMaster University Department ofstatistics Hamilton, Ontario, Canada 4 WILEY A JOHN WILEY & SONS, INC.,
More informationOn Robust Monetary Policy with Structural Uncertainty
Diebold, F.X. (2005), "On Robust Monetary Policy with Structural Uncertainty," in J. Faust, A. Orphanedes and D. Reifschneider (eds.), Models and Monetary Policy: Research in the Tradition of Dale Henderson,
More informationInternational Macroeconomics
Economics 246 Spring 2008 International Macroeconomics March 31, 2008 Instructor: Marc-Andreas Muendler Office: Economics 312 Office hours: Mon and Tue 10:15a - 11:15a (or by appointment) Phone: (858)
More informationThe Effects of Permanent and Temporary Shocks to Permanent and Temporary Employment:
The Effects of Permanent and Temporary Shocks to Permanent and Temporary Employment: Time Series Evidence from the Korean Economy November 2008 Sunoong Hwang and Youngmin Park School of Economics Yonsei
More informationSpring Macroeconomics, sixth edition, Andrew B. Abel and Ben S. Bernanke, Pearson/Addison- Wesley 2005.
Macroeconomic Theory ECO 701 Section 1 MW 5:30 to 6:45 PM CBC C114 Stephen M. Miller BEH 508 (Office) (702) 895-3969 (Office) (702) 895-1354 (Fax) stephen.miller@unlv.edu (E-Mail) http://www.unlv.edu/faculty/smiller/
More informationFluctuations. Organization of the course, and facts
Fluctuations. Organization of the course, and facts Olivier Blanchard March 2002 14.452. Spring 2002. Topic 1. 14.452. Spring, 2002 2 Housekeeping. Meet on tuesday, thursday, 10.30am. No explicit o±ce
More information16. Wrap Up John B. Taylor, May 22, 2013
16. Wrap Up John B. Taylor, May 22, 2013 From course syllabus: the goal is to learn how to Document the facts that monetary theory must explain using empirical impulse response functions and their associated
More informationAdvanced Macroeconomic Techniques
Advanced Macroeconomic Techniques Chris Edmond hcpedmond@unimelb.edu.aui July 2004 Prerequisites 316-403 Advanced Macroeconomics Contact Three hours of lectures and seminars per week Formal subject description
More informationEconomics 676: Macroeconometrics
Lutz Kilian Winter 2018 Economics 676: Macroeconometrics Lecture: Monday/Wednesday 10:00AM-11:30AM in Lorch 173 Office hours: Monday 6:00PM First Day of Class: Wednesday, January 3. Last Day of Class:
More informationEcon 304a: Spring 2015: preliminary
Econ 304a: Spring 2015: preliminary Instructor Times: TA TBA Blake LeBaron blebaron@brandeis.edu Sachar 204, 736-2258 www.brandeis.edu/~blebaron Class Times: Monday/Wednesday 2-3:30 Office hours: Monday
More informationVector Space Modeling for Aggregate and Industry Sectors in Kuwait
Vector Space Modeling for Aggregate and Industry Sectors in Kuwait Kevin Lawler 1 1 Central Statistical Bureau: State of Kuwait/ U.N.D.P Abstract. Trend growth in total factor productivity (TFP) is unobserved;
More informationAdvanced Techniques in Macroeconomics II. Name of The Course Academic Year Master of Research in Economics, Finance and Management
Name of The Course 2016 2017 Academic Year Master of Research in Economics, Finance and Management 1. Description of the subject Advanced Techniques in Macroeconomics II Code: 31805 Total credits: 6 ECTS
More informationInventory Shocks and the Great Moderation
JAMES MORLEY AARTI SINGH Inventory Shocks and the Great Moderation Why did the volatility of U.S. real GDP decline by more than the volatility of final sales with the Great Moderation in the mid-1980s?
More informationTHE CYCLICAL BEHAVIOR OF PRICES: EVIDENCE FROM SEVEN DEVELOPING COUNTRIES
The Developing Economies, XXXIV-2 (June 1996) THE CYCLICAL BEHAVIOR OF PRICES: EVIDENCE FROM SEVEN DEVELOPING COUNTRIES NICHOLAS APERGIS O I. INTRODUCTION NE of the stylized facts that characterize an
More informationINTERNATIONAL MONETARY FUND. Joint Vienna Institute / IMF Institute. Course on Macroeconomic Forecasting (JV10.14) Vienna, Austria
INTERNATIONAL MONETARY FUND Joint Vienna Institute / IMF Institute Course on Macroeconomic Forecasting (JV10.14) Vienna, Austria April 21 May 2, 2014 Reading List Session L 1 Overview of Macroeconomic
More informationRemarks on Central banker s modeling toolbox: one-for-all or all-for-one
Remarks on Central banker s modeling toolbox: one-for-all or all-for-one Raf Wouters (NBB) Workshop on Central Bank Models: The Next Generation, Bank of Canada, November 17, 2016 National Bank of Belgium
More informationStylised monetary facts
Chapter 1 Stylised monetary facts 1.1 Motivation In this lecture we outline some simple summary statistics regarding the cyclical behaviour of real and nominal variables and their interactions. It provides
More informationOsaka University of Economics Working Paper Series. No Reexamination of Dornbusch s Overshooting Model: Empirical Evidence on the Saddle Path
Osaka University of Economics Working Paper Series No. 2007-7 Reexamination of Dornbusch s Overshooting Model: Empirical Evidence on the Saddle Path Yukio Fukumoto December 2007 Reexamination of Dornbusch
More informationTesting the Predictability of Consumption Growth: Evidence from China
Auburn University Department of Economics Working Paper Series Testing the Predictability of Consumption Growth: Evidence from China Liping Gao and Hyeongwoo Kim Georgia Southern University; Auburn University
More informationReconstructing Macroeconomics: A Perspective from Statistical Physics and Combinatorial Stochastic Processes
Reconstructing Macroeconomics: A Perspective from Statistical Physics and Combinatorial Stochastic Processes M.Aoki and H.Yoshikawa December 9, 2005 1. Chapter 1 Introduction A New Approach to Macroeconomics
More informationEcon 210C: Macroeconomic Theory
Econ 210C: Macroeconomic Theory Prof. Davide Debortoli (Part I) and Prof. Giacomo Rondina (Part II) MW, 10:30am-11:50am, Econ 300 This course is divided into two parts. Both parts count equally (50%) towards
More informationECON 269A. Winter Time and Location: Tu-Th PM Course Webpage:
ECON 269A MONETARY POLICY I Winter 2006 Professor: Fabio Milani, fmilani@uci.edu Office Hours: SSPA 3145, Tue 3.30-5.00 PM Time and Location: Tu-Th 2.00-3.20 PM Course Webpage: http://www.socsci.uci.edu/~fmilani/econ269a.html
More informationTime Series Models for Business and Economic Forecasting
Time Series Models for Business and Economic Forecasting With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook
More informationInternational College of Economics and Finance
International College of Economics and Finance Financial Econometrics Fall 2017 Lecturers: Svetlana Bryzgalova, Oksana Kabakova Class teacher (TA): Oksana Kabakova COURSE DESCRRIPTION This course covers
More informationFluctuations. Organization of the course, and facts
Fluctuations. Organization of the course, and facts Olivier Blanchard March 2005 14.452. Spring 2005. Topic 1. 1 1 Fluctuations. Overview Intermediate textbooks have it right (it is essential that you
More informationhabit persistence Habit persistence and the equity premium puzzle
H000004 This article reviews the concept of and its application in macroeconomics and finance. Special attention is given to the role of habit persistence in explaining the equity premium puzzle, observed
More informationChapter 5 Testing for a Markov-Switching Mean in Serially Correlated Data
Chapter 5 Testing for a Markov-Switching Mean in Serially Correlated Data James Morley and Zohra Rabah Abstract When testing for Markov switching in mean or intercept of an autoregressive process, it is
More informationMacroeconomic Forecasting with Independent Component Analysis ABSTRACT
Macroeconomic Forecasting with Independent Component Analysis Ruey Yau Department of Economics Fu-Jen Catholic University Taipei 242, Taiwan ABSTRACT This paper considers a factor model in which independent
More informationAre the Responses of the U.S. Economy Asymmetric to Positive and Negative Money Supply Shocks?
Are the Responses of the U.S. Economy Asymmetric to Positive and Negative Money Supply Shocks? Apostolos Serletis Department of Economics University of Calgary Calgary, Alberta TN 1N and Khandokar Istiak
More informationDiscussion of Jeremy J. Nalewaik: The Income and Product Side Estimates of U.S. Output Growth
Discussion of Jeremy J. Nalewaik: The Income and Product Side Estimates of U.S. Output Growth Francis X. Diebold University of Pennsylvania and NBER fdiebold@sas.upenn.edu April 23, 2010 Acknowledgments:
More informationThe Asymmetric Effects of Monetary Policy in General Equilibrium
28 JCC Journal of CENTRUM Cathedra The Asymmetric Effects of Monetary Policy in General Equilibrium by Paul G. Castillo Ph.D. in Economics, London School of Economics and Political Science Senior Economist,
More informationMaster 2 Economic Analysis
UFR d économie et gestion Master 2 Economic Analysis Content of courses Academic year 2019-2020 1 st term, September to December Choice and Decision Theory Microeconomic theory of individual decision making
More informationThe Transmission of Monetary Policy Shocks by Silvia Miranda Agrippino and Giovanni Ricco. Discussion by. Valerie A. Ramey
The Transmission of Monetary Policy Shocks by Silvia Miranda Agrippino and Giovanni Ricco Discussion by Valerie A. Ramey University of California, San Diego and NBER ASSA Meetings, Philadelphia 2018 1
More informationPass-Through Effects of Global Food Prices on Consumer Prices in Iran
Iran. Econ. Rev. Vol. 21, No.1, 2017. pp. 169-180 Pass-Through Effects of Global Food Prices on Consumer Prices in Iran Ebrahim Javdan* 1, Jafar Haghighat 2, Esmaeil Pishbahar 3, Phillip Kostov 4, Rassul
More informationStockholm Doctoral Program in Economics 2016 Behavioural Macroeconomics. Preliminary Syllabus. Kathrin Schlafmann & Tobias Broer
Stockholm Doctoral Program in Economics 2016 Behavioural Macroeconomics Preliminary Syllabus Kathrin Schlafmann & Tobias Broer Contact: kathrin.schlafmann@iies.su.se; tobias.broer@iies.su.se Aim of the
More informationTESTING ROBERT HALL S RANDOM WALK HYPOTHESIS OF PRIVATE CONSUMPTION FOR THE CASE OF ROMANIA
International Journal of Economics, Commerce and Management United Kingdom Vol. III, Issue 5, May 2015 http://ijecm.co.uk/ ISSN 2348 0386 TESTING ROBERT HALL S RANDOM WALK HYPOTHESIS OF PRIVATE CONSUMPTION
More informationBuilding Confidence intervals for the Band-Pass and. Hodrick-Prescott Filters: An Application using Bootstrapping *
Building Confidence intervals for the Band-Pass and Hodrick-Prescott Filters: An Application using Bootstrapping * Francisco A. Gallego Christian A. Johnson December Abstract This article generates innovative
More informationADVANCED ECONOMETRICS (EC312)
ADVANCED ECONOMETRICS (EC312) Course duration: 54 hours lecture and class time (Over three weeks) LSE Teaching Department: Department of Economics Lead Faculty: Dr Marcia Schafgans and Dr Tatiana Komarova
More informationCourse Syllabus. International Macro. September January Professor Harald Hau, PhD
Course Syllabus International Macro September 2011 - January 2012 Professor Harald Hau, PhD Assistant: Nicolay Markov room M 5287 e-mail: Nicolay.Markov@unige.ch 1. Course Objectives This graduate level
More informationExchange Rate Determination of Bangladesh: A Cointegration Approach. Syed Imran Ali Meerza 1
Journal of Economic Cooperation and Development, 33, 3 (2012), 81-96 Exchange Rate Determination of Bangladesh: A Cointegration Approach Syed Imran Ali Meerza 1 In this paper, I propose and estimate a
More informationSensitivity Of Stock Prices To Money Supply Dynamics
MPRA Munich Personal RePEc Archive Sensitivity Of Stock Prices To Money Supply Dynamics Mpho Bosupeng University of Botswana 2014 Online at https://mpra.ub.uni-muenchen.de/77924/ MPRA Paper No. 77924,
More informationThird Edition. Gregory C. Chow
China's Economic Transformation Third Edition Gregory C. Chow WlLEY Blackwell Contents Preface to the Third Edition Part I: Historical Background and General Survey 1 Economic Lessons from History 1.1
More informationEconometría 2: Análisis de series de Tiempo
Econometría 2: Análisis de series de Tiempo Karoll GOMEZ kgomezp@unal.edu.co http://karollgomez.wordpress.com Primer semestre 2016 I. Introduction Content: 1. General overview 2. Times-Series vs Cross-section
More informationMethods and estimation techniques of euro area GDP flash at T+30 days: preliminary reflections
Methods and estimation techniques of euro area GDP flash at T+30 days: preliminary reflections (preliminary and incomplete) Filippo Moauro ISTAT - Direzione centrale di Contabilità Nazionale, Via A. Depretis
More informationBayesian forecasting in economics
International Journal of Forecasting 26 (2010) 211 215 www.elsevier.com/locate/ijforecast Editorial Bayesian forecasting in economics The Bayesian paradigm uses probabilities to express uncertainty about
More informationEC5101 Microeconomic Theory ECA5101 Microeconomics EC5102 Macroeconomic Theory ECA5102 Macroeconomics
EC5101 Microeconomic Theory Prerequisite(s): Nil The purpose of this course is to provide students with a sound understanding of modern microeconomic theory. Microeconomic theory is concerned with the
More informationSyllabus and Reading list Graduate Macro 3 - (Macro Finance) Xavier Ragot
Syllabus and Reading list Graduate Macro 3 - (Macro Finance) Xavier Ragot xavier.ragot@sciencespo.fr Teaching Assistant: Thomas Bourany thomas.bourany@sciencespo.fr This course aims at introducing the
More informationATINER's Conference Paper Series ECO
Athens Institute for Education and Research ATINER ATINER's Conference Paper Series ECO2013-0791 A BVAR-DSGE Model for Forecasting the Spanish Economy Manuel Sánchez Sánchez Associate Professor National
More informationECON GR6808: Macro Finance
ECON GR6808: Macro Finance Matthieu Gomez Fall 2017 Overview This course introduces students to the theoretical and empirical literature on macro finance. The course covers general equilibrium models of
More informationDiscussion Paper No. 36 Did output gap measurement improve over time?
External MPC Unit Discussion Paper No. 36 Did output gap measurement improve over time? Adrian Chiu and Tomasz Wieladek July 22 This document is written by the External MPC Unit of the Bank of England
More informationESTIMATING POTENTIAL OUTPUT FOR NIGERIA: A STRUCTURAL VAR APPROACH
ESTIMATING POTENTIAL OUTPUT FOR NIGERIA: A STRUCTURAL VAR APPROACH By Dr Patricia Adamu Senior Program Manager, WAIFEM, Lagos, Nigeria Prof Milton Iyoha Research Department, CBN, Abuja, Nigeria Prof Eugene
More informationForecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data * Rangan Gupta a and MarkWohar b,c,*
Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data * Rangan Gupta a and MarkWohar b,c,* a University of Pretoria, South Africa b University of Nebraska at Omaha, USA c Loughborough
More informationPART I. Textbook in this class is Olivier Blanchard, Macroeconomics, Prentice Hall 2003 (or 2006).
Central European University, Budapest Department of Economics Macroeconomic Theory I - First Section 2007 Fall Instructor: Professor Julius Horvath, Ph.D. E-mails: horvathj@ceu.hu PART I In this class
More informationThe Common-Trend and Transitory Dynamics in Real Exchange Rate Fluctuations*
The Common-Trend and Transitory Dynamics in Real Exchange Rate Fluctuations* U. Michael Bergman University of Copenhagen, DK-1455 Copenhagen K, Denmark Yin-Wong Cheung University of California, Santa Cruz,
More informationTechnical Appendix. Resolution of the canonical RBC Model. Master EPP, 2010
Technical Appendix Resolution of the canonical RBC Model Master EPP, 2010 Questions What are the causes of macroeconomic fluctuations? To what extent optimal intertemporal behavior of households in a walrasssian
More informationBoard of Governors of the Federal Reserve System
K.7 Board of Governors of the Federal Reserve System IFDP Notes June 2018 Monitoring the World Economy: A Global Conditions Index Cuba-Borda, Pablo, Alexander Mechanick, and Andrea Raffo Please cite this
More informationLONG RUN RELATIONSHIPS BETWEEN STOCK MARKET RETURNS AND MACROECONOMIC PERFORMANCE: Evidence from Turkey
LONG RUN RELATIONSHIPS BETWEEN STOCK MARKET RETURNS AND MACROECONOMIC PERFORMANCE: Evidence from Turkey Osman KARAMUSTAFA Assistant Professor Department of Business Management Faculty of Economics and
More information13 EMPIRICAL EVIDENCE ON AGGREGATE SUPPLY MODELS AND BUSINESS CYCLES
Economics 314 Coursebook, 2012 Jeffrey Parker 13 EMPIRICAL EVIDENCE ON AGGREGATE SUPPLY MODELS AND BUSINESS CYCLES Chapter 13 Contents A. Topics and Tools... 2 B. Basic Empirical Facts of Business Cycles...
More informationEFFECTIVE USE OF SURVEY INFORMATION IN ESTIMATING THE EVOLUTION OF EXPECTED INFLATION. Sharon Kozicki and P. A. Tinsley
EFFECTIVE USE OF SURVEY INFORMATION IN ESTIMATING THE EVOLUTION OF EXPECTED INFLATION Sharon Kozicki and P. A. Tinsley Abstract: The evolution of the term structure of expected US in ation is modeled using
More informationSOME TESTS FOR SPECULATIVE EXCHANGE RATE BUBBLES BASED ON UNIT ROOT TESTS*
«ΣΠΟΥΔΑΙ», Τόμος 44, Τεύχος 1ο-2ο, Πανεπιστήμιο Πειραιώς / «SPOUDAI», Vol. 44, No 1-2, University of Piraeus SOME TESTS FOR SPECULATIVE EXCHANGE RATE BUBBLES BASED ON UNIT ROOT TESTS* By «' - /. i f, «i>
More informationMATLAB Seminar for South African Reserve Bank
MATLAB Seminar for South African Reserve Bank Nicole Beevers Application Engineer nicole.beevers@mathworks.com 2017 The MathWorks, Inc. 1 Agenda Introduction: Welcome from Opti-Num Solutions (15 mins)
More informationAsian Economic and Financial Review ISSN(e): /ISSN(p): OIL PRICE SHOCKS-MACRO ECONOMY RELATIONSHIP IN TURKEY
Asian Economic and Financial Review ISSN(e): 2222-6737 /ISSN(p): 2305-2147 journal homepage: http://www.aessweb.com/journals/5002 OIL PRICE SHOCKS-MACRO ECONOMY RELATIONSHIP IN TURKEY Feride Ozturk 1 1
More informationModelling and forecasting the UK tourism growth cycle in Algarve
Tourism Economics, 2009, 15 (2), 323 338 Andraz, Jorge Miguel Lopo Gonçalves; Gouveia, Pedro; Rodrigues, Paulo M. M.Modelling and Forecasting the UK Tourism Growth Cycle in Algarve, Tourism Economics,
More informationThe Relationship between Stock Returns, Crude Oil Prices, Interest Rates, and Output: Evidence from a Developing Economy
The Empirical Economics Letters, 5(4): (July 2006) ISSN 1681 8997 The Relationship between Stock Returns, Crude Oil Prices, Interest Rates, and Output: Evidence from a Developing Economy Ramazan Sari Department
More informationSTRUCTURAL BREAKS IN LABOR PRODUCTIVITY GROWTH: THE UNITED STATES VS. THE EUROPEAN UNION. Documentos de Trabajo N.º 0625
STRUCTURAL BREAKS IN LABOR PRODUCTIVITY GROWTH: THE UNITED STATES VS. THE EUROPEAN UNION 2006 Juan F. Jimeno, Esther Moral and Lorena Saiz Documentos de Trabajo N.º 0625 STRUCTURAL BREAKS IN LABOR PRODUCTIVITY
More informationCredit, Money and Banking: Syllabus
Credit, Money and Banking: Syllabus CERGE-EI, Fall 2003 Credit, Money and Banking Radim Boháček This course is the first part of the Credit and Money sequence. In the first year you learnt how to understand
More informationThe Effect of the Real Effective Exchange Rate Fluctuations on Macro-Economic Indicators (Gross Domestic Product (GDP), Inflation and Money Supply)
The Effect of the Real Effective Exchange Rate Fluctuations on Macro-Economic Indicators (Gross Domestic Product (GDP), Inflation and Money Supply) Havva Mohammdparast Tabas 1, Mohammad Reza Mirzaeenezhad
More informationTHE ROLE OF NESTED DATA ON GDP FORECASTING ACCURACY USING FACTOR MODELS *
Andrejs Bessonovs University of Latvia, Latvia THE ROLE OF NESTED DATA ON GDP FORECASTING ACCURACY USING FACTOR MODELS * Abstract The paper studies an impact of nested macroeconomic data on Latvian GDP
More informationGovernment Debt and Demand for Money: A Cointegration Approach
World Review of Business Research Vol. 3. No. 1. January 2013 Issue. pp. 52 58 Government Debt and Demand for Money: A Cointegration Approach JEL Codes: E41 1. Introduction Meng Li * Conventionally, the
More informationComment on Modeling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model by M.H. Pesaran, T. Schuermann and S.M.
Journal of Business and Economic Statistics, 22 (2004), 172-175 Comment on Modeling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model by M.H. Pesaran, T. Schuermann and
More informationChoosing the Right Type of Forecasting Model: Introduction Statistics, Econometrics, and Forecasting Concept of Forecast Accuracy: Compared to What?
Choosing the Right Type of Forecasting Model: Statistics, Econometrics, and Forecasting Concept of Forecast Accuracy: Compared to What? Structural Shifts in Parameters Model Misspecification Missing, Smoothed,
More informationAre Prices Procyclical? : A Disaggregate Level Analysis *
Are Prices Procyclical? : A Disaggregate Level Analysis * Hemant Patil Department of Economics East Carolina University M. S. Research Paper Abstract This paper is an empirical investigation of the comovement
More informationDo Confidence Indicators Help Predict Economic Activity? The Case of the Czech Republic
Do Confidence Indicators Help Predict Economic Activity? The Case of the Czech Republic Roman Horvath Charles University, Prague February 23, 2012 Abstract We examine whether confidence indicators and
More informationEconomic Dynamics in Discrete Time. Jianjun Mia o/ The MIT Press Cambridge, Massachusetts London, England
Economic Dynamics in Discrete Time Jianjun Mia o/ The MIT Press Cambridge, Massachusetts London, England Contents Preface Acknowledgments xvii xxiii I Dynamical Systems 1 1 Deterministic Difference Equations
More informationMoney Stock Control and Inflation Targeting in Gennany
Money Stock Control and Inflation Targeting in Gennany Contributions to Economics Further volumes of this series can be found at our homepage hnp://www.springer.de/cgi-binlsearch_book.pl?series=1262 Frank
More informationIs Monthly US Natural Gas Consumption Stationary? New Evidence from a GARCH Unit Root Test with Structural Breaks
DEPARTMENT OF ECONOMICS ISSN 1441-5429 DISCUSSION PAPER 09/14 Is Monthly US Natural Gas Consumption Stationary? New Evidence from a GARCH Unit Root Test with Structural Breaks Vinod Mishra and Russell
More informationEstimation of a DSGE Model Lawrence J. Christiano
Estimation of a DSGE Model Lawrence J. Christiano Based on: Christiano, Eichenbaum, Evans, `Nominal Rigidities and the Dynamic Effects of a Shocks to Monetary Policy, JPE, 2005 Altig, Christiano, Eichenbaum
More informationby Harald Uhlig Humboldt University Berlin, CentER, Bundesbank and CEPR
Discussion of "Monetary Policy in Real Time" by D. Giannone, L. Reichlin and L. Sala, presented at the NBER Macroeconomics Annual Meeting 24, Boston, MA. by Harald Uhlig Humboldt University Berlin, CentER,
More informationOil Price Rise and the Great Recession of 2008
Expert Journal of Economics. Volume 5, Issue 1, pp. 14-19, 2017 2017 The Author. Published by Sprint Investify. ISSN 2359-7704 Economics.ExpertJournals.com Oil Price Rise and the Great Recession of 2008
More informationA Comparison of the Real-Time Performance of Business Cycle Dating Methods
A Comparison of the Real-Time Performance of Business Cycle Dating Methods Marcelle Chauvet * University of California, Riverside Jeremy Piger University of Oregon First Draft: March 14, 2005 This Draft:
More informationTHE RESPONSE OF FINANCIAL AND GOODS MARKETS TO VELOCITY INNOVATIONS: AN EMPIRICAL INVESTIGATION FOR THE US*
THE RESPONSE OF FINANCIAL AND GOODS MARKETS TO VELOCITY INNOVATIONS: AN EMPIRICAL INVESTIGATION FOR THE US* by Flavio Padrini Ministry of the Treasury, Italy ABSTRACT It is commonly thought that interest
More informationBusiness Cycles and International Trade
Business Cycles and International Trade Harald Uhlig University of Chicago My essay will examine two rather separate topics, though there is a bit of a connection. One concerns business cycles. The other
More informationMANAGERIAL ECONOMICS WILEY A JOHN WILEY & SONS, INC., PUBLICATION. A Mathematical Approach
MANAGERIAL ECONOMICS A Mathematical Approach M. J. ALHABEEB L. JOE MOFFITT Isenberg School of Management University of Massachusetts Amherst, MA, USA WILEY A JOHN WILEY & SONS, INC., PUBLICATION PREFACE
More information