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Shock Propagation Across The Futures Term Structure
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Book Synopsis Shock Propagation Across the Futures Term Structure by : Delphine Lautier
Download or read book Shock Propagation Across the Futures Term Structure written by Delphine Lautier and published by . This book was released on 2018 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: To what extent are futures prices interconnected across the maturity curve? Where in the term structure do price shocks originate, and which maturities do they reach? We propose a new approach, based on information theory, to study these cross-maturity linkages and the extent to which connectedness is impacted by market events. We introduce the concepts of backward and forward information flows, and propose a novel type of directed graph, to investigate the propagation of price shocks across the WTI term structure. Using daily data, we show that the mutual information shared by contracts with different maturities increases substantially starting in 2004, falls back sharply in 2011-2014, and recovers thereafter. Our findings point to a puzzling re-segmentation by maturity of the WTI market in 2012-2014. We document that, on average, short-dated futures emit more information than do backdated contracts. Importantly, however, we also show that significant amounts of information flow backwards along the maturity curve - almost always from intermediate maturities, but at times even from far-dated contracts. These backward flows are especially strong and far-reaching amid the 2007-2008 oil price boom/bust.
Book Synopsis Shock Tubes by : Irving Israel Glass
Download or read book Shock Tubes written by Irving Israel Glass and published by University of Toronto Press. This book was released on 1970-12-15 with total page 852 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the proceedings of a symposium held at the University of Toronto in June 1969. The symposium consisted of six sessions; each containing an invited paper, followed by six contributed papers reporting on recent, relevant research and development. The topics are: a review of research problems in basic shock tube flows and the possibilities for the shock tube in the future; driving techniques; explosive drivers; theoretical and experimental research in electromagnetic shock tubes; chemical kinetics and spectroscopy; and a review of shock tube diagnostics, instrumentation and fundamental data as well as the measurement of physical quantities.
Book Synopsis Essays in Honour of Fabio Canova by : Juan J. Dolado
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 2022-09-16 with total page 200 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.
Book Synopsis Handbook of Macroeconomics by : John B. Taylor
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 1366 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
Book Synopsis Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models by : G. Gregoriou
Download or read book Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models written by G. Gregoriou and published by Springer. This book was released on 2015-12-26 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both theoretically and empirically.
Book Synopsis Essays in Monetary Policy and Asset Pricing by : Monika Piazzesi
Download or read book Essays in Monetary Policy and Asset Pricing written by Monika Piazzesi and published by . This book was released on 2000 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Economic Forecasting by : Graham Elliott
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Newnes. This book was released on 2013-08-23 with total page 719 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Book Synopsis Handbook of Macroeconomics by : John B. Taylor
Download or read book Handbook of Macroeconomics written by John B. Taylor and published by North Holland. This book was released on 1999-12-13 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text aims to provide a survey of the state of knowledge in the broad area that includes the theories and facts of economic growth and economic fluctuations, as well as the consequences of monetary and fiscal policies for general economic conditions.
Book Synopsis LASL Shock Hugoniot Data by : Stanley P. Marsh
Download or read book LASL Shock Hugoniot Data written by Stanley P. Marsh and published by Univ of California Press. This book was released on 1980-01-01 with total page 684 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis High-pressure Shock Compression of Solids by : J. R. Asay
Download or read book High-pressure Shock Compression of Solids written by J. R. Asay and published by . This book was released on 1993 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a set of basic understandings of the behavior and response of solids to propagating shock waves. The propagation of shock waves in a solid body is accompanied by large compressions, decompression, and shear. Thus, the shear strength of solids and any inelastic response due to shock wave propagation is of the utmost importance. Furthermore, shock compres sion of solids is always accompanied by heating, and the rise of local tempera ture which may be due to both compression and dissipation. For many solids, under a certain range of impact pressures, a two-wave structure arises such that the first wave, called the elastic prescursor, travels with the speed of sound; and the second wave, called a plastic shock wave, travels at a slower speed. Shock-wave loading of solids is normally accomplished by either projectile impact, such as produced by guns or by explosives. The shock heating and compression of solids covers a wide range of temperatures and densities. For example, the temperature may be as high as a few electron volts (1 eV = 11,500 K) for very strong shocks and the densification may be as high as four times the normal density.
Book Synopsis The Distributional Implications of the Impact of Fuel Price Increases on Inflation by : Mr. Kangni R Kpodar
Download or read book The Distributional Implications of the Impact of Fuel Price Increases on Inflation written by Mr. Kangni R Kpodar and published by International Monetary Fund. This book was released on 2021-11-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the response of consumer price inflation to changes in domestic fuel prices, looking at the different categories of the overall consumer price index (CPI). We then combine household survey data with the CPI components to construct a CPI index for the poorest and richest income quintiles with the view to assess the distributional impact of the pass-through. To undertake this analysis, the paper provides an update to the Global Monthly Retail Fuel Price Database, expanding the product coverage to premium and regular fuels, the time dimension to December 2020, and the sample to 190 countries. Three key findings stand out. First, the response of inflation to gasoline price shocks is smaller, but more persistent and broad-based in developing economies than in advanced economies. Second, we show that past studies using crude oil prices instead of retail fuel prices to estimate the pass-through to inflation significantly underestimate it. Third, while the purchasing power of all households declines as fuel prices increase, the distributional impact is progressive. But the progressivity phases out within 6 months after the shock in advanced economies, whereas it persists beyond a year in developing countries.
Book Synopsis Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco by : Mr.Calixte Ahokpossi
Download or read book Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco written by Mr.Calixte Ahokpossi and published by International Monetary Fund. This book was released on 2016-08-16 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve in Morocco during 2004–14 based on the Dynamic Nelson-Siegel model. On this basis, we explore the interaction between macroeconomic variables and the yield curve, which is of direct relevance to macroeconomic policy-making. In Morocco’s context, we find that tighter monetary policy increases short-end maturities, and that the impact is small and short-lived. Economic activity is also briefly but significantly impacted, suggesting that even under a pegged exchange rate, monetary policy autonomy and effectiveness can be increased through greater central bank independence. Fiscal improvements significantly lower yield levels. Policy conclusions are that improvement in the fiscal and monetary policy frameworks, as well as greater financial sector development and inclusion, could benefit Morocco and strengthen the transmission mechanisms and effectiveness of macroeconomic policies.
Book Synopsis Intense Dynamic Loading Of Condensed Matter by : A. V. Bushman
Download or read book Intense Dynamic Loading Of Condensed Matter written by A. V. Bushman and published by CRC Press. This book was released on 1992-12-01 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reviews the science and technology necessary to understand, predict, and simulate the phenomena associated with intense dynamic loading of matter. The book begins with background information on shock wave phenomena in materials and how they are measured. This includes materials with strength, materials undergoing dynamic phase transformations, and material fracturing. The authors then cover the phenomena associated with detonations, where the chemical energy release of an explosive is an integral part of the hydrodynamics and describe the formation and application of the semi-empirical equation of state. They develop the numerical techniques for doing realistic computer simulations of complicated dynamical processes associated with impacts. The book closes with reviews simulations, compared with experiments, for a variety of dynamic loading events, including laser and electron beam interactions with metals, high explosive loading of iron, and impacts of cometary dust on the Vega space probe as it crossed the tail of Hailey's comet.
Book Synopsis The Generation and Radiation of Supersonic Jet Noise: Future studies for definition of supersonic jet noise generation and reduction mechanisms by :
Download or read book The Generation and Radiation of Supersonic Jet Noise: Future studies for definition of supersonic jet noise generation and reduction mechanisms written by and published by . This book was released on 1972 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Economic Policy and the Great Stagflation by : Alan S. Blinder
Download or read book Economic Policy and the Great Stagflation written by Alan S. Blinder and published by Elsevier. This book was released on 2013-09-11 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Policy and the Great Stagflation discusses the national economic policy and economics as a policy-oriented science. This book summarizes what economists do and do not know about the inflation and recession that affected the U.S. economy during the years of the Great Stagflation in the mid-1970s. The topics discussed include the basic concepts of stagflation, turbulent economic history of 1971-1976, anatomy of the great recession and inflation, and legacy of the Great Stagflation. The relation of wage-price controls, fiscal policy, and monetary policy to the Great Stagflation is also elaborated. This publication is beneficial to economists and students researching on the history of the Great Stagflation and policy errors of the 1970s.
Book Synopsis The Term Structure of Growth-at-Risk by : Tobias Adrian
Download or read book The Term Structure of Growth-at-Risk written by Tobias Adrian and published by International Monetary Fund. This book was released on 2018-08-02 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using panel quantile regressions for 11 advanced and 10 emerging market economies, we show that the conditional distribution of GDP growth depends on financial conditions, with growth-at-risk (GaR)—defined as growth at the lower 5th percentile—more responsive than the median or upper percentiles. In addition, the term structure of GaR features an intertemporal tradeoff: GaR is higher in the short run; but lower in the medium run when initial financial conditions are loose relative to typical levels, and the tradeoff is amplified by a credit boom. This shift in the growth distribution generally is not incorporated when solving dynamic stochastic general equilibrium models with macrofinancial linkages, which suggests downside risks to GDP growth are systematically underestimated.
Book Synopsis Scientific and Technical Aerospace Reports by :
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1995 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.
