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Author : Ting Qin
Publisher :
ISBN 13 :
Total Pages : 144 pages
Book Rating : 4.:/5 (19 download)
Download or read book Three Essays on the Study of Macroeconomic Variables Using Time Series Models written by Ting Qin and published by . This book was released on 2007 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chaojun Li (Economist)
Publisher :
ISBN 13 :
Total Pages : 155 pages
Book Rating : 4.6/5 (352 download)
Download or read book Three Essays in Econometrics written by Chaojun Li (Economist) and published by . This book was released on 2020 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regime-switching models have been applied extensively to study how time-series patterns change across different underlying economic states, such as boom and recession, high-volatility and low-volatility financial market environments, and active and passive monetary and fiscal policies. Among various models with regime switching, endogenous regime-switching models have the most general form of the regime process by allowing the determination of regimes to depend on the realizations of observations. The first chapter, jointly written with Yan Liu, proves consistency and asymptotic normality of the maximum likelihood estimator of the endogenous regime-switching models. The dynamic pattern of a time series may change abruptly as the underlying economic environment shifts and, at the same time, may also vary smoothly with other macroeconomic variables. The Markov-switching state-space model accommodates the two types of changes. For this class of models, it is computationally infeasible to calculate the exact likelihood function through the Kalman filter because of the path dependence on regimes. Approximation is widely applied in practice by truncating the path of regimes, but the statistical properties of the estimator based on approximation have not been examined. The second chapter fills the gap and shows consistency and asymptotic normality of the approximated maximum likelihood estimator. In the "big data" era, the large-dimensional factor model proves useful in extracting information from high-dimensional time series, by assuming a small number of factors can summarize the co-movement. In the third chapter, I propose a new method to estimate large-dimensional factor models with two types of structural breaks--in factor loadings and in the number of factors. Such breaks, if undetected, can lead to the estimation of pseudo factors instead of true factors. Compared to the existing method in the literature, the proposed method is computationally faster. Moreover, the estimated break ratios converge at a faster rate.
Author : Pedro H. Albuquerque
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Three Essays on Time-Series Macroeconomics written by Pedro H. Albuquerque and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first two chapters of this thesis propose new time-series methods and apply them to macroeconomic problems, while the third chapter evaluates the predictions of a dynamic general equilibrium model. The first chapter develops a practical log-linear aggregation procedure, which is applied to the heterogeneous growth problem in the U.S. The second chapter presents a simple nonparametric long-run correlation estimator with optimal lag-selection and alignment criteria, and uses it to measure interconnections between American and Latin-American stock returns. The third chapter uses a dynamic general equilibrium model to analyze the effects of bank account debits taxation. Time-series techniques are employed to empirically evaluate the model predictions. In the first chapter, a practical aggregation method for heterogeneous log-linear functions is presented. Inequality measures are employed in the construction of an exact representation of the aggregate behavior of an economy formed by heterogeneous log-linear agents. The exact aggregate representation is relatively simple and intuitive. It can be used thereafter in applied issues and in teaching, easing the solving and understanding of aggregation problems. Three macroeconomic applications are discussed: the aggregation of the Lucas supply function, the time-inconsistent behavior of an egalitarian social planner facing heterogeneous discount rates, and the case of a simple heterogeneous growth model. The latter application, which leads to a decomposition of growth rates of the mean into means of growth rates plus inequality changes, is explored empirically. Aggregate CPS data is used to show that, when inequality changes are taken in consideration, the slowdown that followed the first oil shock appears to be worse than usually thought. Additionally, the “new economy” growth resurgence seems less impressive when compared to the growth performance of the period that preceded the first oil shock. In the second chapter, a simple consistent nonparametric estimator of the long-run correlation between two variables is proposed, based on the estimation of the bivariate k-lag difference correlation. It is shown that the estimator is asymptotically equivalent to the Bartlett kernel spectral estimator of the complex coherency at frequency zero. The asymptotic distribution is derived, with a test for the absence of long-run correlation. Optimal lag-selection and alignment criteria are presented. Monte Carlo experiments show that the asymptotic approximations are satisfactory, sometimes even for small samples. They also reveal that the lag-selection and alignment criteria are effective. Long-run correlations between American and Latin-American stock returns are considered. The estimates increase substantially in the second half of the nineties. The results could indicate the presence of a correlation component common to Latin-American markets, which was important in the second half of the period but not in the first. The significant development of investment funds specialized in Latin-American markets and the much-improved foreign access after capital account liberalization in the region may be among the explanations for these patterns. The third chapter uses a dynamic general equilibrium model to study the economic effects of bank account debits (BAD) taxation. Australia and various Latin-American countries have levied or levy BAD taxes. Theoretical aspects such as tax cascading, financial disintermediation, market illiquidity, impacts on dividend and interest rates, tax revenue, government deficit, and effective rates on final transactions are considered. The Brazilian BAD tax (CPMF) experience is evaluated. The empirical analysis shows that revenue productivity appears to be very sensitive to the tax rate, engendering a Laffer curve. It is also shown that there may be impacts on real interest rates. Part of the BAD tax revenue can be lost due to increased interest payments on government debt. Furthermore, the deadweight losses seem to be significant if compared to revenues. Theory and evidence indicate that the BAD acronym is perhaps more than a witticism.
Author : Hammad Qureshi
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (653 download)
Download or read book Three Essays in Macroeconomic Dynamics written by Hammad Qureshi and published by . This book was released on 2009 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation examines theoretical and empirical topics in macroeconomic dynamics. A central issue in macroeconomic dynamics is understanding the sources of business cycle fluctuations. The idea that expectations about future economic fundamentals can drive business cycles dates back to the early twentieth century. However, the standard real business cycle (RBC) model fails to generate positive comovement in output, consumption, labor-hours and investment in response to news shocks. My dissertation proposes a solution to this puzzling feature of the RBC model by developing a theoretical model that can generate positive aggregate and sectoral comovement in response to news shocks. Another key issue in macroeconomic dynamics is gauging the performance of theoretical models by comparing them to empirical models. Some of the most widely used empirical models in macroeconomics are level vector autoregressive (VAR) models. However, estimated level VAR models may contain explosive roots, which is at odds with the widespread consensus among macroeconomists that roots are at most unity. My dissertation investigates the frequency of explosive roots in estimated level VAR models using Monte Carlo simulations. Additionally, it proposes a way to mitigate explosive roots. Finally, as macroeconomic datasets are relatively short, empirical models such as autoregressive models (i.e. AR or VAR models) may have substantial small-sample bias. My dissertation develops a procedure that numerically corrects the bias in the roots of AR models. This dissertation consists of three essays. The first essay develops a model based on learning-by-doing (LBD) that can generate positive comovement in output, consumption, labor-hours and investment in response to news shocks. I show that the one-sector RBC model augmented by LBD can generate aggregate comovement in response to news shock about technology. Furthermore, I show that in the two-sector RBC model, LBD along with an intratemporal adjustment cost can generate sectoral comovement in response to news about three types of shocks: i) neutral technology shocks, ii) consumption technology shocks, and iii) investment technology shocks. I show that these results hold for contemporaneous technology shocks and for different specifications of LBD. The second essay investigates the frequency of explosive roots in estimated level VAR models in the presence of stationary and nonstationary variables. Monte Carlo simulations based on datasets from the macroeconomic literature reveal that the frequency of explosive roots exceeds 40% in the presence of unit roots. Even when all the variables are stationary, the frequency of explosive roots is substantial. Furthermore, explosion increases significantly, to as much as 100% when the estimated level VAR coefficients are corrected for small-sample bias. These results suggest that researchers estimating level VAR models on macroeconomic datasets encounter explosive roots, a phenomenon that is contrary to common macroeconomic belief, with a very high frequency. Monte Carlo simulations reveal that imposing unit roots in the estimation can substantially reduce the frequency of explosion. Hence one way to mitigate explosive roots is to estimate vector error correction models. The third essay proposes a numerical procedure to correct the small-sample bias in autoregressive roots of univariate AR(p) models. I examine the median-bias properties and variability of the bias-adjusted parameters relative to the least-squares estimates. I show that the bias correction procedure substantially reduces the median-bias in impulse response functions. Furthermore, correcting the bias in roots significantly improves the median-bias in half-life, quarter-life and up-life estimates. The procedure pays a negligible-to-small price in terms of increased standard deviation for its improved median-bias properties.
Author : Sung-In Jun
Publisher :
ISBN 13 :
Total Pages : 262 pages
Book Rating : 4.:/5 (219 download)
Download or read book Three Essays on the Long-run Behavior of Macroeconomic Variables written by Sung-In Jun and published by . This book was released on 1989 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tim Bollerslev
Publisher : OUP Oxford
ISBN 13 : 0191572195
Total Pages : 432 pages
Book Rating : 4.1/5 (915 download)
Download or read book Volatility and Time Series Econometrics written by Tim Bollerslev and published by OUP Oxford. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Author : Alan Picard
Publisher :
ISBN 13 :
Total Pages : 165 pages
Book Rating : 4.:/5 (111 download)
Download or read book Three Essays in Asset Pricing written by Alan Picard and published by . This book was released on 2015 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract This dissertation consists of three essays. My first paper re-examines the link between idiosyncratic risk and expected returns for a large sample of firms in both developed and emerging markets. Recent studies using Fama-French three factor models have shown a negative relationship between idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging markets. This study relates the current-month’s idiosyncratic volatility to the subsequent month’s returns for a sample of both developed and emerging markets expanding benchmark factors by including both a momentum and a systematic liquidity risk component. My second essay contributes to the important literature on the topic of the small capitalization stocks historical outperformance over large capitalization stocks by investigating the hypothesis that the small firm premium is related to macroeconomic and financial variables and that relationship is driven by the economic cycle in the United States and Canada. More specifically, this study employs recent advances in nonlinear time series models to explore the relationship between the small firm premium, and financial and macroeconomic variables in the Canadian and U.S. economies. My third paper re-examines the findings of a recent research paper that suggested that market wide liquidity may act as a leading indicator to the economic cycle. Using several liquidity measures and various macroeconomic variables to proxy for the economic conditions, the paper presents evidence that stock market liquidity could forecast business cycles: A major decrease in the overall level of market liquidity could indicate weak economic growth in the subsequent months. However, the drawback in the analysis is that the relationship is investigated in a linear approach even though it has been proven that most macroeconomic variables follow non-linear dynamics. Employing similar liquidity measures and macroeconomic proxies, and two popular econometrics models that account for non-linear behavior, this study hence re-investigates the relationship between stock market liquidity and business cycles.
Author : Junichiro Ishida
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays in Time-series Macroeconomics written by Junichiro Ishida and published by . This book was released on 2000 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second chapter of the thesis considers the negative correlation between inflation and the average propensity to consume in the U.S. economy. While many explanations are offered for this observation, it is hard to be reconciled within the framework of a rational expectations model. In this paper, however, we argue that this correlation can be derived as an implication of the permanent income hypothesis. This conjecture is tested by identifying the dynamic response of consumption to different types of shock. The data show that this interpretation is largely consistent. This procedure also allows us to identify transitory consumption and the source of the failure of the permanent income hypothesis.
Author : Christian Kascha
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (535 download)
Download or read book Three Essays in Time Series Econometrics written by Christian Kascha and published by . This book was released on 2007 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dony Alex
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (144 download)
Download or read book Essays in Empirical Macroeconomics written by Dony Alex and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is a collection of three self contained chapters in the area of empirical macroeconomics. Chapter 2 examines the behaviour of the volatility of the structural shocks and the macroeconomic variables in the post-reform period in India in a time-varying framework. A time varying parameters structural vector autoregression with stochastic volatility model is used to investigate the evolving dynamics of the macroeconomy of India in the post-reform period. We detect a sharp reduction in estimated stochastic volatility during the post-reform years for all shocks and variables. In terms of the stochastic volatility, we find that the period 2001 to 2006 seems to have the lowest volatility in the whole sample and can be dubbed as the short 'Great Moderation' period of India. We find that the estimated stochastic volatility of supply shocks is more than the demand shocks. We also note that demand shocks rather seem to be persistent than supply shocks during the period from 2007-14. Chapter 3 explores the role of nominal GDP as an implicitly preferred monetary policy target in the US during the Great Moderation period. Monetary policy via stabilization of inflation expectations by targeting inflation, has been argued as one of the prominent factors contributing for the Great Moderation in the U.S. Studies using Taylor rule type monetary policy reaction functions have found inflation to be the major target variable of the Federal Reserve. This study counters this view, and shows that for accomplishing its objective of stabilizing inflation expectations, the Federal Reserve was instead implicitly targeting nominal GDP. This claim is corroborated by estimating different variants of nominal GDP rules, which then is compared with Taylor rules using both ex-post revised data and real time briefing forecasts of FOMC. The results counter the conventional view, and observe that post Volcker era or during the period of Great Moderation (1984-2007), the Federal Reserve had a stronger implicit preference for nominal GDP as compared to inflation Chapter 4 examines whether nominal GDP can pass the forecasting test to be a monetary policy framework. Forecast targeting became an important component of central banks from 1990's onwards as a systematic approach to monetary policy deliberations and as a good communication medium with the public. Any robust monetary policy regime has to have good forecasting performance of its nominal anchor. Nominal GDP targeting has been suggested as a suitable alternative to the present inflation 'targeting' monetary policy framework. But as a good framework its nominal anchor should have good forecasting ability. This chapter tries to compare the forecast performance between the nominal anchors of inflation and nominal GDP targeting regimes for U.S. This task is undertaken by using a series of models from simple autoregressive models to state space models. U.S Inflation is hard to forecast, but it seems that NGDP is much more harder to forecast.
Author : Moonsuk Oh
Publisher :
ISBN 13 :
Total Pages : 362 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays on written by Moonsuk Oh and published by . This book was released on 1991 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Natalie D. Hegwood
Publisher :
ISBN 13 :
Total Pages : 134 pages
Book Rating : 4.:/5 (43 download)
Download or read book Three Essays on Structural Change in Long-run Macroeconomic Time Series written by Natalie D. Hegwood and published by . This book was released on 1998 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tim Bollerslev
Publisher : OUP Oxford
ISBN 13 : 0199549494
Total Pages : 432 pages
Book Rating : 4.1/5 (995 download)
Download or read book Volatility and Time Series Econometrics:Essays in Honor of Robert Engle written by Tim Bollerslev and published by OUP Oxford. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally.Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study thebehavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Author : Alaa Abi Morshed
Publisher :
ISBN 13 : 9789056685140
Total Pages : 124 pages
Book Rating : 4.6/5 (851 download)
Download or read book Three Essays in Applied Macroeconomics and Time Series Analysis written by Alaa Abi Morshed and published by . This book was released on 2017 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Konsument i oändligheten written by and published by . This book was released on 1971 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Raul Ibarra Ramirez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (747 download)
Download or read book Applications of Time Series in Finance and Macroeconomics written by Raul Ibarra Ramirez and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three applications of time series in finance and macroeconomics. The first essay compares the cumulative returns for stocks and bonds at investment horizons from one to ten years by using a test for spatial dominance. Spatial dominance is a variation of stochastic dominance for nonstationary variables. The results suggest that for investment horizons of one year, bonds spatially dominate stocks. In contrast, for investment horizons longer than five years, stocks spatially dominate bonds. This result is consistent with the advice given by practitioners to long term investors of allocating a higher proportion of stocks in their portfolio decisions. The second essay presents a method that allows testing of whether or not an asset stochastically dominates the other when the time horizon is uncertain. In this setup, the expected utility depends on the distribution of the value of the asset as well as the distribution of the time horizon, which together form the weighted spatial distribution. The testing procedure is based on the Kolmogorov Smirnov distance between the empirical weighted spatial distributions. An empirical application is presented assuming that the event of exit time follows an independent Poisson process with constant intensity. The last essay applies a dynamic factor model to generate out-of-sample forecasts for the inflation rate in Mexico. Factor models are useful to summarize the information contained in large datasets. We evaluate the role of using a wide range of macroeconomic variables to forecast inflation, with particular interest on the importance of using the consumer price index disaggregated data. The data set contains 54 macroeconomic series and 243 consumer price subcomponents from 1988 to 2008. The results indicate that factor models outperform the benchmark autoregressive model at horizons of one, two, four and six quarters. It is also found that using disaggregated price data improves forecasting performance.
Author : Jesus Antonio Bejarano Rojas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (818 download)
Download or read book Essays in International Macroeconomics and Forecasting written by Jesus Antonio Bejarano Rojas and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three essays in international macroeconomics and financial time series forecasting. In the first essay, I show, numerically, that a two-country New-Keynesian Sticky Prices model, driven by monetary and productivity shocks, is capable of explaining the highly positive correlation across the industrialized countries' inflation even though their cross-country correlation in money growth rate is negligible. The structure of this model generates cross-country correlations of inflation, output and consumption that appear to closely correspond to the data. Additionally, this model can explain the internal correlation between inflation and output observed in the data. The second essay presents two important results. First, gains from monetary policy cooperation are different from zero when the elasticity of substitution between domestic and imported goods consumption is different from one. Second, when monetary policy is endogenous in a two-country model, the only Nash equilibria supported by this model are those that are symmetrical. That is, all exporting firms in both countries choose to price in their own currency, or all exporting firms in both countries choose to price in the importer's currency. The last essay provides both conditional and unconditional predictive ability evaluations of the aluminum futures contracts prices, by using five different econometric models, in forecasting the aluminum spot price monthly return 3, 15, and 27-months ahead for the sample period 1989.01-2010.10. From these evaluations, the best model in forecasting the aluminum spot price monthly return 3 and 15 months ahead is followed by a (VAR) model whose variables are aluminum futures contracts price, aluminum spot price and risk free interest rate, whereas for the aluminum spot price monthly return 27 months ahead is a single equation model in which the aluminum spot price today is explained by the aluminum futures price 27 months earlier. Finally, it shows that iterated multiperiod-ahead time series forecasts have a better conditional out-of-sample forecasting performance of the aluminum spot price monthly return when an estimated (VAR) model is used as a forecasting tool.
