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Author :
Publisher : "la Caixa"
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4./5 ( download)
Download or read book Cointegrated TFP Processes and International Business Cycles written by and published by "la Caixa". This book was released on with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Pau Rabanal
Publisher : International Monetary Fund
ISBN 13 : 145187359X
Total Pages : 55 pages
Book Rating : 4.4/5 (518 download)
Download or read book Cointegrated TFP Processes and International Business Cycles written by Mr.Pau Rabanal and published by International Monetary Fund. This book was released on 2009-09-01 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: A puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. We show that TFP processes for the U.S. and the "rest of the world," is characterized by a vector error correction (VECM) and that adding cointegrated technology shocks to the standard IRBC model helps explaining the observed high real exchange rate volatility. Also we show that the observed increase of the real exchange rate volatility with respect to output in the last 20 year can be explained by changes in the parameter of the VECM.
Author : Pau Rabanal
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (129 download)
Download or read book Cointegrated TFP Processes and International Business Cycles written by Pau Rabanal and published by . This book was released on 2014 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: A central puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard International Real Business Cycle (IRBC) models cannot reproduce this fact when calibrated using conventional parameterizations, and can only generate one fourth of the real exchange rate volatility observed in the data. Typically, IRBC models are solved assuming that total factor productivity (TFP) processes are stationary. In this paper, we first show that TFP processes for the U.S. and the quot;rest of the worldquot; have a unit root, are cointegrated, and can be jointly characterized with a Vector Error Correction Model (VECM). Then, we explore the implications of extending an otherwise standard international real business cycle model that allows for cointegrated technology shocks. We show that the model can account for the high real exchange rate volatility observed in the data without having to rely on any particular nominal or real friction. Also, we show that the increase of relative volatility of the real exchange rate with respect to output in the last 20 years can be explained by changes in the parameter estimates of the VECM.
Author : Mr.Pau Rabanal
Publisher : International Monetary Fund
ISBN 13 : 1463990197
Total Pages : 42 pages
Book Rating : 4.4/5 (639 download)
Download or read book Can International Macroeconomic Models Explain Low-Frequency Movements of Real Exchange Rates? written by Mr.Pau Rabanal and published by International Monetary Fund. This book was released on 2012-01-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real exchange rates exhibit important low-frequency fluctuations. This makes the analysis of real exchange rates at all frequencies a more sound exercise than the typical business cycle one, which compares actual and simulated data after the Hodrick-Prescott filter is applied to both. A simple two-country, two-good model, as described in Heathcote and Perri (2002), can explain the volatility of the real exchange rate when all frequencies are studied. The puzzle is that the model generates too much persistence of the real exchange rate instead of too little, as the business cycle analysis asserts. Finally, we show that the introduction of adjustment costs in production and in portfolio holdings allows us to reconcile theory and this feature of the data.
Author : Josep M. Colomer
Publisher : "la Caixa"
ISBN 13 : 8469330217
Total Pages : 92 pages
Book Rating : 4.4/5 (693 download)
Download or read book Europe, Like America written by Josep M. Colomer and published by "la Caixa". This book was released on 2010 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher : "la Caixa"
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4./5 ( download)
Download or read book na written by and published by "la Caixa". This book was released on with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bernhard Pfaff
Publisher : Springer Science & Business Media
ISBN 13 : 0387759670
Total Pages : 193 pages
Book Rating : 4.3/5 (877 download)
Download or read book Analysis of Integrated and Cointegrated Time Series with R written by Bernhard Pfaff and published by Springer Science & Business Media. This book was released on 2008-09-03 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1451874243
Total Pages : 47 pages
Book Rating : 4.4/5 (518 download)
Download or read book Elasticity Optimism written by International Monetary Fund and published by International Monetary Fund. This book was released on 2009-12-01 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: In most macroeconomic models, the substitutability between domestic and foreign goods is calibrated using aggregated data. This imposes homogeneous elasticities across goods, and the calibration is only valid under this assumption. If elasticities are heterogeneous, the aggregate substitutability is a weighted average of good-specific elasticities, which in general cannot be inferred from aggregated data. We identify structurally the substitutability in US goods using multilateral trade data. We impose homogeneity, and find an aggregate elasticity similar in value to conventional macroeconomic estimates. It is more than twice larger with sectoral heterogeneity. We discuss the implications in various areas of international economics.
Author : Alejandro Cuñat
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.X/5 (4 download)
Download or read book Heckscher-Ohlin Business Cycles written by Alejandro Cuñat and published by . This book was released on 2002 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Katarina Juselius
Publisher : OUP Oxford
ISBN 13 : 0191622966
Total Pages : 478 pages
Book Rating : 4.1/5 (916 download)
Download or read book The Cointegrated VAR Model written by Katarina Juselius and published by OUP Oxford. This book was released on 2006-12-07 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
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.
Author : Luis Serven
Publisher : World Bank Publications
ISBN 13 : 0821383744
Total Pages : 432 pages
Book Rating : 4.8/5 (213 download)
Download or read book Lessons from NAFTA written by Luis Serven and published by World Bank Publications. This book was released on 2004-11-15 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analyzing the experience of Mexico under the North American Free Trade Agreement (NAFTA), 'Lessons from NAFTA' aims to provide guidance to Latin American and Caribbean countries considering free trade agreements with the United States. The authors conclude that the treaty raised external trade and foreign investment inflows and had a modest effect on Mexico's average income per person. It is likely that the treaty also helped achieve a modest reduction in poverty and an improvement in job quality. This book will be of interest to scholars and policymakers interested in international trade and development.
Author : Reserve Bank of Australia. Economic Group
Publisher :
ISBN 13 :
Total Pages : 338 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Exchange Rate, International Trade and the Balance of Payments written by Reserve Bank of Australia. Economic Group and published by . This book was released on 1993 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1451804091
Total Pages : 104 pages
Book Rating : 4.4/5 (518 download)
Download or read book Bangladesh written by International Monetary Fund and published by International Monetary Fund. This book was released on 2002-06-07 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Selected Issues paper and Statistical Appendix examines Bangladesh’s nonfinancial state-owned enterprises. The paper argues that, given the overall policy environment and external vulnerabilities, the usefulness of the fixed exchange rate system in Bangladesh has run its course. Greater exchange rate flexibility is needed to ensure that the exchange rate sends appropriate market signals, and to enhance the authorities’ ability to address more effectively and timely both domestic imbalances and external real shocks arising from a rapidly changing global environment. The paper also outlines the structure and recent performance of the commercial banking sector.
Author : Mr.Abdelhak Senhadji
Publisher : International Monetary Fund
ISBN 13 : 1451849974
Total Pages : 42 pages
Book Rating : 4.4/5 (518 download)
Download or read book Sources of Economic Growth written by Mr.Abdelhak Senhadji and published by International Monetary Fund. This book was released on 1999-06-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: A growth accounting exercise is conducted for 88 countries for 1960-94 to examine the source of cross-country differences in total factor productivity (TFP) levels. Two differences distinguish this analysis from that of the related literature. First, the critical technology parameter—the share of physical capital in real output—is econometrically estimated and the usual assumption of identical technology across regions is relaxed. Second, while the few studies on the determinants of cross-country differences in TFP have focused on growth rates of real output this analysis is on levels. Recent theoretical as well as empirical arguments point to the level of TFP as the more relevant variable to explain.
Author : Camilla Josephson
Publisher :
ISBN 13 :
Total Pages : 298 pages
Book Rating : 4.3/5 ( download)
Download or read book Growth and Business Cycles written by Camilla Josephson and published by . This book was released on 2005 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This study shows that the mechanisms behind knowledge accumulation and the sources of productivity growth differ from industry to industry depending on what is produced and what technology is used. Furthermore, by using endogenous growth theory, traditional growth accounting and the cointegrated VAR model as complementary tools in the analysis, the sources of long-run productivity growth and business cycles are treated as separate but interdependent issues."--BOOK JACKET.
Author : Füsun Yenilmez
Publisher : IGI Global
ISBN 13 : 1522520090
Total Pages : 498 pages
Book Rating : 4.5/5 (225 download)
Download or read book Handbook of Research on Unemployment and Labor Market Sustainability in the Era of Globalization written by Füsun Yenilmez and published by IGI Global. This book was released on 2016-12-28 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: The effective utilization of available resources is a pivotal factor for production levels in modern business environments. However, when resources are limited or in excess, this effects organizational success, as well as the labor market. The Handbook of Research on Unemployment and Labor Market Sustainability in the Era of Globalization is a comprehensive reference source for the latest scholarly research on the socio-economic dynamics of unemployment and the development of new policies to assist in regulating the global labor market. Highlighting innovative approaches and relevant perspectives, such as outsourcing, trade openness, and employment protection, this publication is ideally designed for policy makers, professionals, practitioners, graduate students, and academics interested in emerging trends for labor market development.
