International Macroeconomics and Finance: Theory and Empirical Methods Phần 3 docx
International Macroeconomics and Finance: Theory and Empirical Methods Phần 3 docx
... ρ 1 ρ 4 ρ 8 ρ 16 Returns S&P 2.75 5.92 - 13. 34 18 .31 0.24 -0.10 0.15 0.09 UKP 0.41 5.50 - 13. 83 16.47 0.12 0. 03 0.01 -0.29 DEM 0.46 6 .35 - 13. 91 15.74 0.09 0. 23 0.04 -0.07 YEN 0. 73 6.08 -15.00 16.97 0. 13 0.18 0.06 -0.29 Deviation ... 0.7 03 0. 032 Norway 0.998 0 .38 0 0. 537 0.002 Spain 0.996 0 .34 1 0.672 0.028 Sw eden 0.975 0. 034 0 .37 2 0.001 Switzerland 0.982 0.008 0....
Ngày tải lên: 05/08/2014, 13:20
International Macroeconomics and Finance: Theory and Empirical Methods Phần 5 docx
... homoskedastic, and let w t = z t 3 ² t .Wehave E(w t w 0 t )=E(² 2 t z t 3 z 0 t 3 )=E(E[² 2 t z t 3 z 0 t 3 |z t 3 ]) = γ 0 E(z t 3 z 0 t 3 )=γ 0 Q 0 ,where γ 0 =E(² 2 t )andQ =E(z t 3 z 0 t 3 ). Now, ... βQ 32 βQ 42 0 3 βQ 33 + Q 11 βQ 43 + Q 21 Q 71 4 βQ 34 + Q 12 βQ 44 + Q 22 Q 72 5 Q 13 Q 23 Q 73 6 Q 14 Q 24 Q 74 7 βQ 35 βQ 45 0 8 βQ 36 βQ 46 0 9 Q 15 Q 25...
Ngày tải lên: 05/08/2014, 13:20
International Macroeconomics and Finance: Theory and Empirical Methods Phần 6 docx
... 3. 208 -3. 809 (0.004) 5.516 Belgium -2 .36 9 (0. 138 ) 4.2 23 -2.580 (0.0 93) 2.914 Canada -1 .34 2 (0.621) – -2.4 23 (0.127) 2.914 Denmark -2 .31 9 (0.155) 3. 733 -3. 212 (0.017) 1.759 Finland -2.919 (0. 039 ) ... -0.452 t(β 2 =1) 1 .30 4 -0.182 – 0.4 23 1. 930 0.959 t-test 1.188 -2.7 53 – -2.842 5.226 -1.452 Horizon: 6-months β 1 2.986 – 3. 635 – 5 .34 7 1.841 t(β 1 =1) 1.870 – 2.70...
Ngày tải lên: 05/08/2014, 13:20
International Macroeconomics and Finance: Theory and Empirical Methods pptx
... ρ 1 ρ 4 ρ 8 ρ 16 Returns S&P 2.75 5.92 - 13. 34 18 .31 0.24 -0.10 0.15 0.09 UKP 0.41 5.50 - 13. 83 16.47 0.12 0. 03 0.01 -0.29 DEM 0.46 6 .35 - 13. 91 15.74 0.09 0. 23 0.04 -0.07 YEN 0. 73 6.08 -15.00 16.97 0. 13 0.18 0.06 -0.29 Deviation ... -0.6 53 0.906 40 11 0.002 1.021 -0. 537 0.850 -0. 637 0.871 45 11 0.001 1.017 -0. 533 0. 837 -0.624 0.842 50 12 0.001 1.014 -0. 531 0.826 -0.6...
Ngày tải lên: 24/03/2014, 04:20
International Macroeconomics and Finance: Theory and Empirical Methods Phần 1 pot
... µ,andVar(W t+1 )forσ 2 and taking logs results in (1.12). International Macroeconomics and Finance: Theory and Empirical Methods Nelson C. Mark December 12, 2000 forthcoming, Blackwell Publishers 1.1. INTERNATIONAL ... 0.7860 0.7582 0.07 13 8912.5 9260.0 1. 036 5 10/16/98 0.8948 0.8661 0.1088 136 00.0 22860.0 1. 033 0 11/17/98 0.8498 0.8244 -0.0450 -5625.0 17 235 .0 1. 03...
Ngày tải lên: 05/08/2014, 13:20
International Macroeconomics and Finance: Theory and Empirical Methods Phần 2 pdf
... 0.919 -0.7 03 1.0 03 30 10 0.0 03 1. 035 -0.546 0.889 -0.674 0.949 35 11 0.002 1.027 -0.541 0.867 -0.6 53 0.906 40 11 0.002 1.021 -0. 537 0.850 -0. 637 0.871 45 11 0.001 1.017 -0. 533 0. 837 -0.624 0.842 50 ... -6.995 -5.474 -3. 862 -3. 5 43 20 500 no -7.202 -6.924 -5.405 -3. 869 -3. 560 τ ∗ 20 100 no -2.029 -1. 732 -0.092 1.6 13 1.965 20 500 no -1.879 -1.557 0.012 1.595 1.894 τ 20 100...
Ngày tải lên: 05/08/2014, 13:20
International Macroeconomics and Finance: Theory and Empirical Methods Phần 4 pdf
... Cooley and Prescott [33 ] recommend δ =0.048. γ is the value used by Cooley and Prescott and King et. al 3 This is the method of K ing, Plosser, and Rebelo [ 83] 4.5. CALIBRATING THE LUCAS MODEL 131 is ... Premium -0.04 -0. 03 -0.02 -0.01 0.00 0.01 0.02 0. 03 73 75 77 79 81 83 85 87 89 91 93 95 A. Depreciation and Forward Premium 0.97 0.98 0.99 1.00 1.01 1.02 73 75 77 79...
Ngày tải lên: 05/08/2014, 13:20
International Macroeconomics and Finance: Theory and Empirical Methods Phần 7 pdf
... f 11,0 f 31 ,0 + 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 22,0 + c 13 (1)f 32 ,0 , (8.56) f 33 (1) = 1 = c 31 (1)f 13, 0 + c 32 (1)f 23, 0 + c 33 (1)f 33 ,0 . (8.57) 222 CHAPTER 7. THE REAL...
Ngày tải lên: 05/08/2014, 13:20
International Macroeconomics and Finance: Theory and Empirical Methods Phần 8 ppt
... −β) β . (9 .34 ) From (9 .32 ) and (9 .33 ), and the steady state consolidated budget con- straints are C = rB + p(z)y(z) P − G, (9 .35 ) C ∗ = −r nB 1 − n + p ∗ (z ∗ )y ∗ (z ∗ ) P ∗ − G ∗ . (9 .36 ) The ... (9.112)—(9.117), the consolidated budget constraints (9. 136 ) and (9. 137 ) with B 0 = G 0 = G ∗ 0 = 0, and the output equations (9.128)—(9. 133 ). From this point on we will con...
Ngày tải lên: 05/08/2014, 13:20
International Macroeconomics and Finance: Theory and Empirical Methods Phần 9 pdf
... 0.865 1. 737 2.641 11.672 franc (69.01) ( 83. 98) (32 7.1) (33 4 .3) (0.001) French 0.007 0.117 6.045 2.44 12 .39 5 franc (0 .31 8) (1.759) (1590) (67.88) (0.000) Dutch 2.484 2.240 4.152 5 .39 3 11 .35 guilder ... λ 2 Be λ 2 ¯ f =0. (10 .36 ) Similarly, at the instant that s touches the lower band s, ds = 0and G 0 (f)=1+λ 1 Ae λ 1 f + λ 2 Be λ 2 f =0. (10 .37 ) (10 .36 ) and (10 .37 ) are...
Ngày tải lên: 05/08/2014, 13:20