Macroeconometric Methods

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Macroeconometric Models for Portfolio Management

Jeremy Kwok
Macroeconometric Models for Portfolio Management Book PDF

Author : Jeremy Kwok
Publisher : Vernon Press
Page : 242 pages
File Size : 42,5 Mb
Release : 2021-09-07
Category : Business & Economics
ISBN : 9781648892684

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Macroeconometric Models for Portfolio Management by Jeremy Kwok Pdf

‘Macroeconometric Models for Portfolio Management’ begins by outlining a portfolio management framework into which macroeconometric models and backtesting investment strategies are integrated. It is followed by a discussion on the theoretical backgrounds of both small and global large macroeconometric models, including data selection, estimation, and applications. Other practical concerns essential to managing a portfolio with decisions driven by macro models are also covered: model validation, forecast combination, and evaluation. The author then focuses on applying these models and their results on managing the portfolio, including making trading rules and asset allocation across different assets and risk management. The book finishes by showing portfolio examples where different investment strategies are used and illustrate how the framework can be applied from the beginning of collecting data, model estimation, and generating forecasts to how to manage portfolios accordingly. This book aims to bridge the gap between academia and practising professionals. Readers will attain a rigorous understanding of the theory and how to apply these models to their portfolios. Therefore, ‘Macroeconometric Models for Portfolio Management’ will be of interest to academics and scholars working in macroeconomics and finance; to industry professionals working in financial economics and asset management; to asset managers and investors who prefer systematic investing over discretionary investing; and to investors who have a strong interest in macroeconomic influences on their portfolio.

Specification, Estimation, and Analysis of Macroeconometric Models

Ray C. Fair
Specification Estimation and Analysis of Macroeconometric Models Book PDF

Author : Ray C. Fair
Publisher : Harvard University Press
Page : 504 pages
File Size : 45,8 Mb
Release : 1984
Category : Business & Economics
ISBN : 0674831802

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Specification, Estimation, and Analysis of Macroeconometric Models by Ray C. Fair Pdf

This book gives a practical, applications-oriented account of the latest techniques for estimating and analyzing large, nonlinear macroeconomic models. Ray Fair demonstrates the application of these techniques in a detailed presentation of several actual models, including his United States model, his multicountry model, Sargent's classical macroeconomic model, autoregressive and vector autoregressive models, and a small (twelve equation) linear structural model. He devotes a good deal of attention to the difficult and often neglected problem of moving from theoretical to econometric models. In addition, he provides an extensive discussion of optimal control techniques and methods for estimating and analyzing rational expectations models. A computer program that handles all the techniques in the book is available from the author, making it possible to use the techniques with little additional programming. The book presents the logic of this program. A smaller program for personal microcomputers for analysis of Fair's United States model is available from Urban Systems Research & Engineering, Inc. Anyone wanting to learn how to use large macroeconomic models, including researchers, graduate students, economic forecasters, and people in business and government both in the United States and abroad, will find this an essential guidebook.

Macroeconometric Methods

Pami Dua
Macroeconometric Methods Book PDF

Author : Pami Dua
Publisher : Springer Nature
Page : 394 pages
File Size : 50,7 Mb
Release : 2023-04-08
Category : Business & Economics
ISBN : 9789811975929

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Macroeconometric Methods by Pami Dua Pdf

This book provides empirical applications of macroeconometric methods through discussions on key issues in the Indian economy. It deals with issues of topical relevance in the arena of macroeconomics. The aim is to apply time series and financial econometric methods to macroeconomic issues of an emerging economy such as India. The data sources are given in each chapter, and students and researchers may replicate the analyses.The book is divided into three parts—Part I: Macroeconomic Modelling and Policy; Part II: Forecasting the Indian Economy and Part III: Business Cycles and Global Crises. It provides a holistic understanding of the techniques with each chapter delving into a relevant issue analysed using appropriate methods—Chapter 1: Introduction; Chapter 2: Macroeconomic Modelling and Bayesian Methods; Chapter 3: Monetary Policy Framework in India; Chapter 4: Determinants of Yields on Government Securities in India; Chapter 5: Monetar y Transmission in the Indian Economy; Chapter 6: India’s Bilateral Export Growth and Exchange Rate Volatility: A Panel GMM Approach; Chapter 7: Aggregate and Sectoral Productivity Growth in the Indian Economy: Analysis and Determinants; Chapter 8: Forecasting the INR/USD Exchange Rate: A BVAR Framework; Chapter 9: Forecasting India’s Inflation in a Data-Rich Environment: A FAVAR Study; Chapter 10: A Structural Macroeconometric Model for India; Chapter 11: International Synchronization of Growth Rate Cycles: An Analysis in Frequency Domain; Chapter 12: Inter-Linkages Between Asian and U.S. Stock Market Returns: A Multivariate GARCH Analysis; Chapter 13: The Increasing Synchronization of International Recessions. Since the selection of issues is from macroeconomic aspects of the Indian economy, the book has wide applications and is useful for students and researchers of fields such as applied econometrics, time series econometrics, financial econometrics, forecasting methods and macroeconomics.

Methods for Applied Macroeconomic Research

Fabio Canova
Methods for Applied Macroeconomic Research Book PDF

Author : Fabio Canova
Publisher : Princeton University Press
Page : 512 pages
File Size : 55,6 Mb
Release : 2011-09-19
Category : Business & Economics
ISBN : 9781400841028

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Methods for Applied Macroeconomic Research by Fabio Canova Pdf

The last twenty years have witnessed tremendous advances in the mathematical, statistical, and computational tools available to applied macroeconomists. This rapidly evolving field has redefined how researchers test models and validate theories. Yet until now there has been no textbook that unites the latest methods and bridges the divide between theoretical and applied work. Fabio Canova brings together dynamic equilibrium theory, data analysis, and advanced econometric and computational methods to provide the first comprehensive set of techniques for use by academic economists as well as professional macroeconomists in banking and finance, industry, and government. This graduate-level textbook is for readers knowledgeable in modern macroeconomic theory, econometrics, and computational programming using RATS, MATLAB, or Gauss. Inevitably a modern treatment of such a complex topic requires a quantitative perspective, a solid dynamic theory background, and the development of empirical and numerical methods--which is where Canova's book differs from typical graduate textbooks in macroeconomics and econometrics. Rather than list a series of estimators and their properties, Canova starts from a class of DSGE models, finds an approximate linear representation for the decision rules, and describes methods needed to estimate their parameters, examining their fit to the data. The book is complete with numerous examples and exercises. Today's economic analysts need a strong foundation in both theory and application. Methods for Applied Macroeconomic Research offers the essential tools for the next generation of macroeconomists.

Time Series Analysis and Macroeconometric Modelling

Kenneth Frank Wallis
Time Series Analysis and Macroeconometric Modelling Book PDF

Author : Kenneth Frank Wallis
Publisher : Edward Elgar Publishing
Page : 462 pages
File Size : 53,7 Mb
Release : 1995-01-01
Category : Business & Economics
ISBN : 1782541624

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Time Series Analysis and Macroeconometric Modelling by Kenneth Frank Wallis Pdf

'An excellent reference volume of this author's work, bringing together articles published over a 25 year span on the statistical analysis of economic time series, large scale macroeconomic modelling and the interface between them.' - Aslib Book Guide This major volume of essays by Kenneth F. Wallis features 28 articles published over a quarter of a century on the statistical analysis of economic time series, large-scale macroeconometric modelling, and the interface between them. The first part deals with time-series econometrics and includes significant early contributions to the development of the LSE tradition in time-series econometrics, which is the dominant British tradition and has considerable influence worldwide. Later sections discuss theoretical and practical issues in modelling seasonality and forecasting with applications in both large-scale and small-scale models. The final section summarizes the research programme of the ESRC Macroeconomic Modelling Bureau, a unique comparison project among economy-wide macroeconometric models.

Methods of Macroeconomic Dynamics

Stephen J. Turnovsky
Methods of Macroeconomic Dynamics Book PDF

Author : Stephen J. Turnovsky
Publisher : MIT Press
Page : 698 pages
File Size : 40,7 Mb
Release : 2000
Category : Business & Economics
ISBN : 0262201232

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Methods of Macroeconomic Dynamics by Stephen J. Turnovsky Pdf

Just as macroeconomic models describe the overall economy within a changing, or dynamic, framework, the models themselves change over time. In this text Stephen J. Turnovsky reviews in depth several early models as well as a representation of more recent models. They include traditional (backward-looking) models, linear rational expectations (future-looking) models, intertemporal optimization models, endogenous growth models, and continuous time stochastic models. The author uses examples from both closed and open economies. Whereas others commonly introduce models in a closed context, tacking on a brief discussion of the model in an open economy, Turnovsky integrates the two perspectives throughout to reflect the increasingly international outlook of the field. This new edition has been extensively revised. It contains a new chapter on optimal monetary and fiscal policy, and the coverage of growth theory has been expanded substantially. The range of growth models considered has been extended, with particular attention devoted to transitional dynamics and nonscale growth. The book includes cutting-edge research and unpublished data, including much of the author's own work.

Macroeconomic Methodology

Jesper Jespersen
Macroeconomic Methodology Book PDF

Author : Jesper Jespersen
Publisher : Edward Elgar Publishing
Page : 273 pages
File Size : 49,5 Mb
Release : 2011-01-01
Category : Business & Economics
ISBN : 9781849802123

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Macroeconomic Methodology by Jesper Jespersen Pdf

Methodological practice is at the heart of divisions between schools of macroeconomic thought. Jesper Jespersen s book explains why and precisely how, and gives the reader the insight to choose between rival approaches. His own inspiration comes from Critical Realism and Popper s Three World analysis, with Keynes as the main exponent of a realist approach. The starting point of realist theory is a view of how the world is, rather than axioms, and the test is whether the theory can make, as Jespersen puts it, the round trip back to reality , to give practical guidance to policy. This is only the focal point of a rich and attractive canvas. How I wish this book had been available when I taught methodology! And how I wish economists from all schools of thought would read it! Victoria Chick, University College London, UK This welcome volume by Jesper Jespersen offers an up-to-date realist approach to macroeconomics, drawing on recent developments in methodology, notably critical realism, as well as earlier Popperian ideas. He shows how economics in the Post-Keynesian tradition, using this approach, can address the important macro policy issues, and sets out a seven-point agenda for future theory development. This book provides an important launching-off point for addressing macroeconomic questions without the need for the abstractions as narrowly rational representative agents. Rather Jespersen explores the interdependencies between the macro and micro levels in real economic processes under conditions of uncertain knowledge. Sheila Dow, University of Stirling, UK Jesper Jespersen presents a treatise on the importance of the choice of methodology within macroeconomics. Given that no scientifically based macroeconomic policy recommendation should be established without an evaluation of the methods employed, this book gives a clear exposition of how proper macroeconomic analysis should be undertaken. Furthermore, it is convincingly argued that one of the lasting contributions of John Maynard Keynes was his emphasis on methodology; that macroeconomic consequences of uncertainty could not be analysed within the established general equilibrium framework. It is due to post-Keynesian economics supported by critical realism that the understanding of Keynes s methodology has been resurrected, which has eventually resulted in renewed debate on realistic macroeconomic policies to restore full employment without inflation. Macroeconomic Methodology is an inquiry into the question of how to conduct a proper scientific analysis of uncertainty within macroeconomics. It will be of great interest to scholars of the philosophy of social sciences and methodology, as well as post-Keynesian and heterodox economists.

Testing Macroeconometric Models

Ray C. Fair
Testing Macroeconometric Models Book PDF

Author : Ray C. Fair
Publisher : Harvard University Press
Page : 462 pages
File Size : 43,7 Mb
Release : 1994
Category : Business & Economics
ISBN : 0674875036

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Testing Macroeconometric Models by Ray C. Fair Pdf

In this book Ray Fair expounds powerful techniques for estimating and analyzing macroeconometric models. He takes advantage of the remarkable decrease in computational costs that has occurred since the early 1980s by implementing such sophisticated techniques as stochastic simulation. Testing Macroeconometric Models also incorporates the assumption of rational expectations in the estimation, solution, and testing of the models. And it presents the latest versions of Fair's models of the economies of the United States and other countries. After estimating and testing the U.S. model, Fair analyzes its properties, including those relevant to economic policymakers: the optimal monetary policy instrument, the effect of a government spending reduction on the government deficit, whether monetary policy is becoming less effective over time, and the sensitivity of policy effects to the assumption of rational expectations. Ray Fair has conducted research on structural macroeconometric models for more than twenty years. With interest increasing in the area, this book will be an essential reference for macroeconomists.

Macroeconometric Models

Władysław Welfe
Macroeconometric Models Book PDF

Author : Władysław Welfe
Publisher : Springer Science & Business Media
Page : 435 pages
File Size : 50,6 Mb
Release : 2013-02-15
Category : Business & Economics
ISBN : 9783642344688

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Macroeconometric Models by Władysław Welfe Pdf

This book gives a comprehensive description of macroeconometric modeling and its development over time. The first part depicts the history of macroeconometric model building, starting with Jan Tinbergen's and Lawrence R. Klein's contributions. It is unique in summarizing the development and specific structure of macroeconometric models built in North America, Europe, and various other parts of the world. The work thus offers an extensive source for researchers in the field. The second part of the book covers the systematic characteristics of macroeconometric models. It includes the household and enterprise sectors, disequilibria, financial flows, and money market sectors.

The Econometrics of Macroeconomic Modelling

Gunnar Bårdsen,Øyvind Eitrheim,Eilev Jansen,Ragnar Nymoen
The Econometrics of Macroeconomic Modelling Book PDF

Author : Gunnar Bårdsen,Øyvind Eitrheim,Eilev Jansen,Ragnar Nymoen
Publisher : OUP Oxford
Page : 362 pages
File Size : 47,6 Mb
Release : 2005-04-14
Category : Business & Economics
ISBN : 9780191529870

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The Econometrics of Macroeconomic Modelling by Gunnar Bårdsen,Øyvind Eitrheim,Eilev Jansen,Ragnar Nymoen Pdf

Macroeconometric models, in many ways the flagships of the economist's profession in the 1960s, came under increasing attack from both theoretical economist and practitioners in the late 1970s. Critics referred to their lack of microeconomic theoretical foundations, ad hoc models of expectations, lack of identification, neglect of dynamics and non-stationarity, and poor forecasting properties. By the start of the 1990s, the status of macroeconometric models had declined markedly, and had fallen completely out of, and with, academic economics. Nevertheless, unlike the dinosaurs to which they often have been likened, macroeconometric models have never completely disappeared from the scene. This book describes how and why the discipline of macroeconometric modelling continues to play a role for economic policymaking by adapting to changing demands, in response, for instance, to new policy regimes like inflation targeting. Model builders have adopted new insights from economic theory and taken advantage of the methodological and conceptual advances within time series econometrics over the last twenty years. The modelling of wages and prices takes a central part in the book as the authors interpret and evaluate the last forty years of international research experience in the light of the Norwegian 'main course' model of inflation in a small open economy. The preferred model is a dynamic model of incomplete competition, which is evaluated against alternatives as diverse as the Phillips curve, Nickell-Layard wage curves, the New Keynesian Phillips curve, and monetary inflation models on data from the Euro area, the UK, and Norway. The wage price core model is built into a small econometric model for Norway to analyse the transmission mechanism and to evaluate monetary policy rules. The final chapter explores the main sources of forecast failure likely to occur in a practical modelling situation, using the large-scale nodel RIMINI and the inflation models of earlier chapters as case studies.

Inside a Modern Macroeconometric Model

Alan A. Powell,Christopher W. Murphy
Inside a Modern Macroeconometric Model Book PDF

Author : Alan A. Powell,Christopher W. Murphy
Publisher : Springer Science & Business Media
Page : 465 pages
File Size : 49,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642590696

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Inside a Modern Macroeconometric Model by Alan A. Powell,Christopher W. Murphy Pdf

As Ken Wallis (1993) has pOinted out, all macroeconomic forecasters and policy analysts use economic models. That is, they have a way of going from assumptions about macroeconomic policy and the international environment, to a prediction of the likely future state of the economy. Some people do this in their heads. Increasingly though, forecasting and policy analysis is based on a formal, explicit model, represented by a set of mathematical equations and solved by computer. This provides a framework for handling, in a consistent and systematic manner, the ever-increasing amounts of relevant information. Macroeconometric modelling though, is an inexact science. A manageable model must focus only on the major driving forces in a complex economy made up of millions of households and fIrms. International economic agencies such as the IMF and OECD, and most treasuries and central banks in western countries, use macroeconometric models in their forecasting and policy analysis. Models are also used for teaching and research in universities, as well as for commercial forecasting in the private sector.

The Econometrics of Macroeconomic Modelling

Gunnar Bårdsen,Øyvind Eitrheim,Eilev S. Jansen
The Econometrics of Macroeconomic Modelling Book PDF

Author : Gunnar Bårdsen,Øyvind Eitrheim,Eilev S. Jansen
Publisher : Oxford University Press, USA
Page : 368 pages
File Size : 42,6 Mb
Release : 2005
Category : Business & Economics
ISBN : STANFORD:36105114112464

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The Econometrics of Macroeconomic Modelling by Gunnar Bårdsen,Øyvind Eitrheim,Eilev S. Jansen Pdf

This work describes how the discipline has adapted to changing demands by adopting new insights from economic theory and by taking advantage of the methodological and conceptual advances within time series econometrics.

Global and National Macroeconometric Modelling

Anthony Garratt,Kevin Lee,M. Hashem Pesaran
Global and National Macroeconometric Modelling Book PDF

Author : Anthony Garratt,Kevin Lee,M. Hashem Pesaran
Publisher : Oxford University Press (UK)
Page : 402 pages
File Size : 54,6 Mb
Release : 2012-03-15
Category : Business & Economics
ISBN : 9780199650460

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Global and National Macroeconometric Modelling by Anthony Garratt,Kevin Lee,M. Hashem Pesaran Pdf

Providing a description of the state of modelling in global and national economies, this title introduces an approach to modelling that can readily be adopted for use in understanding how economies work and in generating forecasts for decision-makers and policy-makers alike.

Income Distribution in Macroeconomic Models

Giuseppe Bertola,Reto Foellmi,Josef Zweimüller
Income Distribution in Macroeconomic Models Book PDF

Author : Giuseppe Bertola,Reto Foellmi,Josef Zweimüller
Publisher : Princeton University Press
Page : 440 pages
File Size : 43,9 Mb
Release : 2014-09-28
Category : Business & Economics
ISBN : 9781400865093

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Income Distribution in Macroeconomic Models by Giuseppe Bertola,Reto Foellmi,Josef Zweimüller Pdf

This book looks at the distribution of income and wealth and the effects that this has on the macroeconomy, and vice versa. Is a more equal distribution of income beneficial or harmful for macroeconomic growth, and how does the distribution of wealth evolve in a market economy? Taking stock of results and methods developed in the context of the 1990s revival of growth theory, the authors focus on capital accumulation and long-run growth. They show how rigorous, optimization-based technical tools can be applied, beyond the representative-agent framework of analysis, to account for realistic market imperfections and for political-economic interactions. The treatment is thorough, yet accessible to students and nonspecialist economists, and it offers specialist readers a wide-ranging and innovative treatment of an increasingly important research field. The book follows a single analytical thread through a series of different growth models, allowing readers to appreciate their structure and crucial assumptions. This is particularly useful at a time when the literature on income distribution and growth has developed quickly and in several different directions, becoming difficult to overview.

Recent Econometric Techniques for Macroeconomic and Financial Data

Gilles Dufrénot,Takashi Matsuki
Recent Econometric Techniques for Macroeconomic and Financial Data Book PDF

Author : Gilles Dufrénot,Takashi Matsuki
Publisher : Springer Nature
Page : 387 pages
File Size : 55,8 Mb
Release : 2020-11-21
Category : Business & Economics
ISBN : 9783030542528

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Recent Econometric Techniques for Macroeconomic and Financial Data by Gilles Dufrénot,Takashi Matsuki Pdf

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.