International Macroeconomics and Finance: Theory and Empirical Methods Phần 6 docx

... -1.235 (0 .67 7) 3.274 -2.125 (0.215) 1. 165 Netherlands -2.5 76 (0.094) 2 .62 3 -2 .67 6 (0.075) 2. 969 Norway -2.184 (0.193) 2 .66 8 -2.573 (0.095) 2.539 Spain -2.358 (0.140) 5.0 06 -2.488 (0.113) 2. 861 Sweden ... δ 1 =1 ,and let v have a discrete probability distribution with the probabilities, P(v = −5) = 3 66 P(v = −1)= 2 11 P(v =3)= 3 66 P(v = −4) = 3 66 P(v =0)= 2 11 P(v =...

Ngày tải lên: 05/08/2014, 13:20

... displayed on theleftsideofFigure2.3. -1 -0.8 -0 .6 -0.4 -0.2 0 0.2 0.4 0 .6 0.8 1 1 6 11 16 21 26 31 36 -30 -20 -10 0 10 20 30 1 6 11 16 21 26 31 36 Figure 2.3: For 0 ≤ ω 1 < ··· < ω N ≤ π, ... 0.174 Finland 1.001 0.527 0.859 0. 164 France 0.994 0.155 0.583 0.004 Germany 0.9 86 0.0 56 0.518 0.003 Great Britain 0.983 0.077 0.570 0.012 Greece 1.0 16 0.909 1.0 46 0.594 Ita...

Ngày tải lên: 05/08/2014, 13:20

... 0.18 0.0 6 0.28 0.05 6. 1. DEVIATIONS FROM UIP 169 Table 6. 3: Estimates of Regression Equations (6. 3) and (6. 4) US-BP US-JY US-DM DM-BP DM-JY BP-JY ˆ β 2 -3.481 -4.2 46 -0.7 96 -1 .64 5 -2.731 -4.295 t(β 2 =0) ... 1 2 3 4 6 y t 0.022 0.90 0.79 0 .67 0.53 0.23 c t 0.023 0.97 0.89 0.77 0 .63 0.31 i t 0.034 0.70 0.50 0. 36 0.19 -0.04 Cross correlation with y t−k at k 6 4 1 0 -1...

Ngày tải lên: 05/08/2014, 13:20

... -0.5 46 0.889 -0 .67 4 0.949 35 11 0.002 1.027 -0.541 0. 867 -0 .65 3 0.9 06 40 11 0.002 1.021 -0.537 0.850 -0 .63 7 0.871 45 11 0.001 1.017 -0.533 0.837 -0 .62 4 0.842 50 12 0.001 1.014 -0.531 0.8 26 -0 .61 4 ... 12.975 includes 75 7.300 14. 460 constant 100 9.570 18.715 1000 99.995 100.000 Test 25 5.715 10.720 equation 50 5.420 10.455 includes 75 5 .69 0 11.405 trend 100 7 .65 0 14 .66...

Ngày tải lên: 24/03/2014, 04:20

... φ T −k 6/ 16/ 98 0.73 46 0 .69 42 0.0000 0. 0 2835.0 1.0581 6/ 17/98 0.772 0.7 263 0.0374 467 5.0 7510.0 1. 062 8 7/17/98 0.7507 0.7 163 -0.0213 - 266 2.5 4847.5 1.0479 8/17/98 0.7147 0 .68 59 -0.0 360 -4500.0 ... 1.0418 9/17/98 0.7 860 0.7582 0.0713 8912.5 9 260 .0 1.0 365 10/ 16/ 98 0.8948 0. 866 1 0.1088 1 360 0.0 22 860 .0 1.0330 11/17/98 0.8498 0.8244 -0.0450 - 562 5.0 17235.0 1.0308...

Ngày tải lên: 05/08/2014, 13:20

... -10.038 -8 .64 2 -7. 160 -6. 8 96 20 500 yes -10.1 26 -9. 864 -8.480 -7.030 -6. 752 τ ∗ 20 100 yes -1.171 -0.825 0.9 06 2.997 3.503 20 500 yes -1.028 -0.7 46 0.702 2.2 36 2.571 φ ij ∼ U[−0.3, 0.3], and α i ∼ ... -0.5 46 0.889 -0 .67 4 0.949 35 11 0.002 1.027 -0.541 0. 867 -0 .65 3 0.9 06 40 11 0.002 1.021 -0.537 0.850 -0 .63 7 0.871 45 11 0.001 1.017 -0.533 0.837 -0 .62 4 0.842 50 12...

Ngày tải lên: 05/08/2014, 13:20

... 6 y t 0.022 0. 86 0 .66 0. 46 0.27 0.02 c t 0.013 0.85 0.72 0.57 0.38 0.14 i t 0.0 56 0.89 0.73 0. 56 0.40 0.08 Cross correlation with y t−k at k 6 4 1 0 -1 -4 -6 c t 0.09 0.20 0.72 0.87 0.87 0. 46 ... λ i ) (4 .66 ) Now by property 1, the numerator in last equality can be decomposed as, P[X t+2 = λ j |X t+1 = λ k ]P[X t+1 = λ k |X t = λ i ]P[X t = λ i ] (4 .67 ) Substituting (4 .67...

Ngày tải lên: 05/08/2014, 13:20

... 20 VR k 1.00 1.07 0.951 0.9 06 0.841 0.457 0.323 0.232 s.e. – 0.152 0.1 56 0. 166 0. 169 0.124 0.1 06 0.0872 can be attributed to a permanent (random walk) component. The asymptotic standard errors ten d ... depreciation 1month 36 months Supply Demand Money Supply Demand Money Britain 0.378 0.240 0.382 0.331 0.211 0.458 Germany 0.0 16 0.234 0.750 0. 066 0.099 0.835 Japan 0.872 0.011 0.11...

Ngày tải lên: 05/08/2014, 13:20

... govern- ment budget constraints (9. 16) and (9.17) are G = T and G ∗ = T ∗ .By (9. 26) , the steady state real interest rate is r = (1 −β) β . (9.34) From (9.32) and (9.33), and the steady state consolidated ... is demand determined by (9.47) and (9.48). Substituting (9.73) into (9.47) and (9.74) into (9.48) and noting that individual goods prices are sticky ˆp t (z)=ˆp ∗ t (z ∗...

Ngày tải lên: 05/08/2014, 13:20

... (s.e.) (p-value) Belgian 0 .69 7 0. 865 1.737 2 .64 1 11 .67 2 franc (69 .01) (83.98) (327.1) (334.3) (0.001) French 0.007 0.117 6. 045 2.44 12.395 franc (0.318) (1.759) (1590) (67 .88) (0.000) Dutch 2.484 ... 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 2 equations in the 2 unknowns A and B,which you can s...

Ngày tải lên: 05/08/2014, 13:20