International Macroeconomics and Finance: Theory and Empirical Methods Phần 2 pdf

... Þrst get θ 2 =[σ 2 v + ρσ 2 ² ] 2 /(σ 2 u ) 2 from (2. 61). Substitute it into (2. 60) to get x 2 + bx + c =0where(30)⇒ x = σ 2 u ,b= −[σ 2 ² (1 + ρ 2 ) +2 2 v ], and c =[σ 2 v + ρσ 2 ² ] 2 . The ... equation " ∆q t ∆f t # = " r 11 r 12 r 21 r 22 #" q t−1 f t−1 # − " b 11 b 12 b 21 b 22 #" ∆q t−1 ∆f t−1 # + " u qt u ft #...

Ngày tải lên: 05/08/2014, 13:20

... λ ∗ 1 ,g 1 ,g ∗ 1 ) φ 2 =(λ 1 , λ ∗ 1 ,g 1 ,g ∗ 2 ) φ 10 =(λ 2 , λ ∗ 1 ,g 1 ,g ∗ 2 ) φ 3 =(λ 1 , λ ∗ 1 ,g 2 ,g ∗ 1 ) φ 11 =(λ 2 , λ ∗ 1 ,g 2 ,g ∗ 1 ) φ 4 =(λ 1 , λ ∗ 1 ,g 2 ,g ∗ 2 ) φ 12 =(λ 2 , λ ∗ 1 ,g 2 ,g ∗ 2 ) φ 5 =(λ 1 , ... λ ∗ 1 ,g 2 ,g ∗ 2 ) φ 5 =(λ 1 , λ ∗ 2 ,g 1 ,g ∗ 1 ) φ 13 =(λ 2 , λ ∗ 2 ,g 1 ,g ∗ 1 ) φ 6 =(λ 1 , λ ∗ 2 ,g 1 ,g ∗ 2 ) φ 14 =(...

Ngày tải lên: 05/08/2014, 13:20

... f 12, 0 f 32, 0 + f 13,0 f 33,0 , (8.51) g 2 12 +g 2 22 = f 2 21,0 + f 2 22, 0 + f 2 23,0 , (8. 52) g 12 g 13 + g 22 g 23 = f 21 ,0 f 31,0 + f 22 ,0 f 32, 0 + f 23 ,0 f 33,0 , (8.53) g 2 13 +g 2 23 + ... c 12 (1)f 23 ,0 + c 13 (1)f 33,0 , (8.55) f 12 (1) = 0 = c 11 (1)f 12, 0 + c 12 (1)f 22 ,0 + c 13 (1)f 32, 0 , (8.56) f 33 (1) = 1 = c 31 (1)f 13,0 + c...

Ngày tải lên: 05/08/2014, 13:20

... y(t)in (10. 32) with G(f), set a 1 = 2 σ 2 , a 2 = 2 ασ 2 , and b = a 2 .Theresultis G[f(t)] = ηα + f(t)+Ae λ 1 f(t) + Be λ 2 f(t) , (10.33) where λ 1 = −η σ 2 + s η 2 σ 4 + 2 ασ 2 > 0, (10.34) λ 2 = −η σ 2 − s η 2 σ 4 + 2 ασ 2 < ... ∆z(t)=u √ ∆t ,and (∆x) 2 = η 2 (∆t) 2 + σ 2 (∆z) 2 +2 σ(∆t)(∆z)=σ 2 ∆t + O(∆t 3 /2 ). Sub- stitute these ex...

Ngày tải lên: 05/08/2014, 13:20

... of (2. 23) and (2. 24). The orthogonalized innovations are u mt = ² 1t + θ² 2t 1 − γθ , (2. 29) u st − δu mt = (γ² 1t + ² 2t ) − ³ γσ 2 1 +θσ 2 2 σ 2 1 +θ 2 σ 2 2 ´ (² 1t + θ² 2t ) 1 − γθ , (2. 30) which ... multiplying (2. 25) by δ and subtracting this result from (2. 26) m t = π 11 m t−1 + π 12 s t−1 + u mt , (2. 27) s t = δm t +(π 21 − δπ 11 )m t−1 +(π 22 − δπ 12 )s...

Ngày tải lên: 24/03/2014, 04:20

... 0.75 82 0.0713 89 12. 5 926 0.0 1.0365 10/16/98 0.8948 0.8661 0.1088 13600.0 22 860.0 1.0330 11/17/98 0.8498 0. 824 4 -0.0450 -5 625 .0 1 723 5.0 1.0308 12/ 17/98 0.8815 0.8596 0.0317 39 62. 5 21 197.5 1. 025 4 01/19/99 ... get q 1t = ∞ X j=0 b 11,j η 1,t−j + ∞ X j=0 b 12, j η 2, t−j , (2. 7) q 2t = ∞ X j=0 b 21 ,j η 1,t−j + ∞ X j=0 b 22 ,j η 2, t−j . (2. 8) 2. 1. UNRESTRICTED VECTO...

Ngày tải lên: 05/08/2014, 13:20

... =                       a 11,1 a 11 ,2 ··· a 11,p a 12, 1 a 12, 2 ··· a 12, p 10··· 000··· 0 010··· 000··· 0 . . . ··· ··· . . . . . . . . . . . . . . . 0 ··· ···10 0 ··· ··· 0 a 21 ,1 a 21 ,2 ··· a 21 ,p a 22 ,1 a 22 ,2 ··· a 22 ,p 0 ... Leroy and Porter [90] and Shiller [ 127 ]. 78 CHAPTER 2. SOME USEFUL TIME-SERIES METHODS 0 0 .2 0.4 0.6 0.8 1 1 .2...

Ngày tải lên: 05/08/2014, 13:20

... -2. 731 -4 .29 5 t(β 2 =0) ( -2. 413) (-3.635) (-0.5 42) (-1. 326 ) (-1.797) ( -2. 626 ) t(β 2 =1) (-3.107) (-4.491) (-1 .22 2) ( -2. 1 32) ( -2. 455) (-3 .23 7) ˆ β 1 4.481 5 .24 6 1.796 2. 645 3.731 5 .29 5 Notes: ... 0.474 t NW ( -2. 286) (-0. 025 ) (2. 251) 1.098 t HH [ -2. 486] [-0. 020 ] [2. 403] 1.183 33 no slope 0. 726 0.996 1 .27 4 t OLS (( -2. 105)) ((-0. 024 )) ( (2. 026 )) 30...

Ngày tải lên: 05/08/2014, 13:20

... (0. 329 ) 4.5 82 -2. 444 (0. 124 ) 2. 095 Austria -2. 434 (0. 126 ) 3 .20 8 -3.809 (0.004) 5.516 Belgium -2. 369 (0.138) 4 .22 3 -2. 580 (0.093) 2. 914 Canada -1.3 42 (0. 621 ) – -2. 423 (0. 127 ) 2. 914 Denmark -2. 319 ... -0.4 52 t(β 2 =1) 1.304 -0.1 82 – 0. 423 1.930 0.959 t-test 1.188 -2. 753 – -2. 8 42 5 .22 6 -1.4 52 Horizon: 6-months β 1 2. 986 – 3.635 – 5.347 1.841 t(β 1 =...

Ngày tải lên: 05/08/2014, 13:20

... =[p (1−θ) 1 +p (1−θ) 2 ] 1 1−θ , and the individual’s demand for g ood j = 1, 2isx d j =[p j /P ] −θ (I/P ), where (I/P) is real income. 27 0CHAPTER 9. THE NEW INTERNATIONAL MACROECONOMICS G t = · Z 1 0 g t (u) θ−1 θ du ¸ θ θ−1 , G ∗ t = · Z 1 0 g ∗ t (u) θ−1 θ du ¸ θ θ−1 . It ... get ˆ S t = ²[r(1 + θ) +2 ] r(θ 2 − 1) + ²[r(1 + θ) +2 ] ( ˆ M t − ˆ M ∗ t ), (9.89) ˆ C t − ˆ C ∗ t =...

Ngày tải lên: 05/08/2014, 13:20