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Author : Sandra Eickmeier
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (731 download)
Download or read book Classical Time-varying FAVAR Models written by Sandra Eickmeier and published by . This book was released on 2011 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Siem Jan Koopman
Publisher : Emerald Group Publishing
ISBN 13 : 1785603523
Total Pages : 685 pages
Book Rating : 4.7/5 (856 download)
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Author : John B. Taylor
Publisher : Elsevier
ISBN 13 : 0444594787
Total Pages : 1376 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Macroeconomics written by John B. Taylor and published by Elsevier. This book was released on 2016-12-01 with total page 1376 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. - Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research - Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade
Author : Peter Fuleky
Publisher : Springer Nature
ISBN 13 : 3030311503
Total Pages : 716 pages
Book Rating : 4.0/5 (33 download)
Download or read book Macroeconomic Forecasting in the Era of Big Data written by Peter Fuleky and published by Springer Nature. This book was released on 2019-11-28 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Author : Sandra Eickmeier
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (13 download)
Download or read book Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis written by Sandra Eickmeier and published by . This book was released on 2016 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of US variables from 1972 to 2007, the results indicate some changes in the factor dynamics, and more marked variation in the factors' shock volatility and their loading parameters. Forecasts from the time-varying FAVAR are more accurate than those from a constant parameter FAVAR for most variables and horizons when computed insample, for some variables in pseudo real time, mostly financial indicators. Finally, we use the time-varying FAVAR to assess how monetary transmission to the economy has changed. We find substantial time variation in the volatility of monetary policy shocks, and we observe that the reaction of GDP, the GDP deflator, inflation expectations and long-term interest rates to an equally-sized monetary policy shock has decreased since the early-1980s.
Author : Sandra Eickmeier
Publisher :
ISBN 13 : 9783865586940
Total Pages : 0 pages
Book Rating : 4.5/5 (869 download)
Download or read book The Changing International Transmission of Financial Shocks written by Sandra Eickmeier and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the changing international transmission of US financial shocks over the period 1971-2009. Financial shocks are defined as unexpected changes of a financial conditions index (FCI), recently developed by Hatzius et al. (2010), for the US. We use a time-varying factor-augmented VAR to model the FCI jointly with a large set of macroeconomic, financial and trade variables for nine major advanced countries. The main findings are as follows. First, positive US financial shocks have a considerable positive impact on growth in the nine countries, and vice versa for negative shocks. Second, the transmission to GDP growth in European countries has increased gradually since the 1980s, consistent with financial globalization. A more marked increase is detected in the early 1980s in the US itself, consistent with changes in the conduct of monetary policy. Third, the size of US financial shocks varies strongly over time, with the g̀lobal financial crisis shock' being very large by historical standards and explaining 30 percent of the variation in GDP growth on average over all countries in 2008-2009, compared to a little less than 10 percent over the 1971-2007 period. Finally, large collapses in house prices, exports and TFP are the main drivers of the strong worldwide propagation of US financial shocks during the crisis.
Author : Filippo di Mauro
Publisher : OUP Oxford
ISBN 13 : 0191649082
Total Pages : 299 pages
Book Rating : 4.1/5 (916 download)
Download or read book The GVAR Handbook written by Filippo di Mauro and published by OUP Oxford. This book was released on 2013-02-28 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: The GVAR is a global Vector autoregression model of the global economy. The model was initially developed in the early 2000 by Professor Pesaran and co-authors, for the main purpose of analysing credit risk in a globalised economy. Starting from mid-2000 the model was substantially enlarged in the context of a project financed by the ECB, to comprise all major economies and the Euro area as a whole. The purpose of this version was to exploit the rich modelisation of international linkages in order to simulate and analyse global macro scenarios of high policy interest. The rich, yet manageable, specification of international linkages has stimulated a vast literature on the GVAR. Since early 2011, the basic model - and its data base - has also available on a dedicated GVAR-Toolbox website with an easy-to-use interface allowing practical applications by an extended audience, as well as more complex analysis by the expert public. The book provides an overview of the extensions and applications of the GVAR which have been developed in recent years. Such applications are grouped in three main categories: 1) International transmission and forecasting; 2) Finance applications; and 3) Regional applications. By using a language which is accessible to not econometricians, the book reaches out to the extended audience of practitioners and policy makers interested in understanding channels and impacts of international linkages.
Author :
Publisher :
ISBN 13 :
Total Pages : 446 pages
Book Rating : 4.F/5 ( download)
Download or read book Monthly Report written by and published by . This book was released on 2012 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Juan J. Dolado
Publisher : Emerald Group Publishing
ISBN 13 : 1803828315
Total Pages : 203 pages
Book Rating : 4.8/5 (38 download)
Download or read book Essays in Honour of Fabio Canova written by Juan J. Dolado and published by Emerald Group Publishing. This book was released on 2022-09-21 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
Author : Giray Gozgor
Publisher : Frontiers Media SA
ISBN 13 : 2832514375
Total Pages : 451 pages
Book Rating : 4.8/5 (325 download)
Download or read book Economic and financial issues in the post-covid-19 world: Implications and role of public health written by Giray Gozgor and published by Frontiers Media SA. This book was released on 2023-02-13 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Guglielmo M. Caporale
Publisher : Edward Elgar Publishing
ISBN 13 : 1803926376
Total Pages : 683 pages
Book Rating : 4.8/5 (39 download)
Download or read book Handbook of Financial Integration written by Guglielmo M. Caporale and published by Edward Elgar Publishing. This book was released on 2024-05-02 with total page 683 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive Handbook deftly examines key aspects of financial integration, providing an overview of contemporary research and new perspectives. Employing state of the art econometric methods to obtain new empirical evidence, it will be critical for designing optimal policies, and appropriate investment and risk management strategies.
Author : Demetris Lamnisos
Publisher : Frontiers Media SA
ISBN 13 : 283253905X
Total Pages : 98 pages
Book Rating : 4.8/5 (325 download)
Download or read book Data science and health economics in precision public health written by Demetris Lamnisos and published by Frontiers Media SA. This book was released on 2023-11-15 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael P. Clements
Publisher : OUP USA
ISBN 13 : 0195398645
Total Pages : 732 pages
Book Rating : 4.1/5 (953 download)
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by OUP USA. This book was released on 2011-07-08 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Author : Jörg Breitung
Publisher :
ISBN 13 : 9783865580979
Total Pages : 29 pages
Book Rating : 4.5/5 (89 download)
Download or read book Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Geweke
Publisher : Oxford University Press
ISBN 13 : 0191618268
Total Pages : 576 pages
Book Rating : 4.1/5 (916 download)
Download or read book The Oxford Handbook of Bayesian Econometrics written by John Geweke and published by Oxford University Press. This book was released on 2011-09-29 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian econometric methods have enjoyed an increase in popularity in recent years. Econometricians, empirical economists, and policymakers are increasingly making use of Bayesian methods. This handbook is a single source for researchers and policymakers wanting to learn about Bayesian methods in specialized fields, and for graduate students seeking to make the final step from textbook learning to the research frontier. It contains contributions by leading Bayesians on the latest developments in their specific fields of expertise. The volume provides broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing. It reviews the state of the art in Bayesian econometric methodology, with chapters on posterior simulation and Markov chain Monte Carlo methods, Bayesian nonparametric techniques, and the specialized tools used by Bayesian time series econometricians such as state space models and particle filtering. It also includes chapters on Bayesian principles and methodology.
Author : Chang-Jin Kim
Publisher : Mit Press
ISBN 13 : 9780262112383
Total Pages : 297 pages
Book Rating : 4.1/5 (123 download)
Download or read book State-space Models with Regime Switching written by Chang-Jin Kim and published by Mit Press. This book was released on 1999 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.
Author : Gilles Dufrénot
Publisher : Springer Nature
ISBN 13 : 3030542521
Total Pages : 387 pages
Book Rating : 4.0/5 (35 download)
Download or read book Recent Econometric Techniques for Macroeconomic and Financial Data written by Gilles Dufrénot and published by Springer Nature. This book was released on 2020-11-21 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
