Time series for macroeconomics and finance

Ngày tải lên: 17/08/2013, 09:35

Ngày tải lên: 03/06/2014, 02:19

... Table 1. 1: Yen futures for June 19 99 delivery Date 6 /16 /98 6 /17 /98 7 /17 /98 8 /17 /98 9 /17 /98 10 /16 /98 11 /17 /98 12 /17 /98 01/ 19/99 02 /17 /99 03 /17 /99 FT −k ST −k 0.7346 0.6942 0.772 0.7263 0.7507 0. 716 3 ... 3962.5 211 97.5 2 012 .5 23 210 .0 -5650.0 17 560.0 637.5 18 197.5 φT −k 1. 05 81 1.0628 1. 0479 1. 0 418 1. 0365 1. 0330 1. 0308 1. 0254 1. 0 211 1. 0...

Ngày tải lên: 05/08/2014, 13:20

... -1.81 -2. 46 -1.78 -1.78 -1.77 -2. 42 -1.75 -1.75 -1.75 -2. 39 Trend 40 100 -2. 77 -2. 60 -2. 52 -2. 48 -2. 44 -2. 75 -2. 58 -2. 51 -2. 46 -2. 43 -2. 63 -2. 50 -2. 44 -2. 41 -2. 38 -2. 62 -2. 49 -2. 44 -2. 40 -2. 38 ... " r11 r 12 r21 r 22 #" qt−1 ft−1 # − " b11 b 12 b21 b 22 #" ∆qt−1 ∆ft−1 # + " # uqt , uf t (2. 94) where " r11 r 12 r21 r 22 # = " a11 + b11 − a 12 + b 12 a21 + b21...

Ngày tải lên: 05/08/2014, 13:20

... 0.46 0. 73 Div UKP DEM YEN 1 .31 0 Autocorrelations ρ1 ρ4 ρ8 ρ16 Min Max Returns 5.92 - 13. 34 18 .31 0.24 -0.10 5.50 - 13. 83 16.47 0.12 0. 03 6 .35 - 13. 91 15.74 0.09 0. 23 6.08 -15.00 16.97 0. 13 0.18 ... 0.269 0.745 0.016 0.579 0.996 0. 433 0.002 0.486 0.012 0.041 0.7 03 0. 032 0 .38 0 0. 537 0.002 0 .34 1 0.672 0.028 0. 034 0 .37 2 0.001 0.008 0.751 0.049 0.010 0.686 0.001 0.1 63...

Ngày tải lên: 05/08/2014, 13:20

... ) = (4. 22) θCt1−γ , cxt (1 − θ)Ct1−γ u2 (cxt , cyt ) = cyt and the Euler equations (4. 6)— (4. 13) become − θ xt , θ yt "µ Ã !# ¶ Ct+1 (1−γ) et+1 = βEt 1+ , Ct xt+1 qt = (4. 23) et xt (4. 24) e∗ ... yt+1 !# (4. 25) From (4. 23) the real exchange rate qt is determined by relative output levels (4. 24) and (4. 25) are stochastic difference equations in the ‘pricedividend’ ratios et /xt and...

Ngày tải lên: 05/08/2014, 13:20

... (5. 54) Add (5. 53) to (5. 54) to get ˜w ˜ ˜∗ ˜ (5. 55) kt+1 = [kt+1 + (kt+1 − kt+1 )] The date t + world capital stock is predetermined at date t How that capital is allocated between the home and ... At + α ∗ kt , ˜ (5. 57) k 158 CHAPTER INTERNATIONAL REAL BUSINESS CYCLES and investment rates are ˜ ˜ ˜t = γ kt+1 − (1 − δ)kt , i ˜∗ ˜∗ ˜∗ = γ kt+1 − (1 − δ)kt it (5. 58) (5. 59) Let worl...

Ngày tải lên: 05/08/2014, 13:20

... + ft ) (6. 36) Substitute (6. 35) and (6. 36) into (6. 33) to obtain π0 + π1 ft = γft + ψ(π0 + π1 δ0 + π1 ft ) (6. 37) In order for (6. 37) to be a solution, the coefficients on the constant and on ft ... 1) -0.4 76 – -0.4 46 0.297 BIC—USD BIC—DEM 5.971 1.921 1.930 5.2 26 1.930 -0.452 0.959 -1.452 5.347 2.327 1.222 1. 461 1.841 -0.422 0.812 -4.325 5 .60 1 3.4 16 1.0 46 0.532 1.7 06 0....

Ngày tải lên: 05/08/2014, 13:20

... 5.328 -7. 415 (0.115) (0.651) [0.168] [0.658] yes -8.0 17 3 .76 4 -9 .70 1 (0.018) (0.106) Ger[0.022] [0.1 27] many no -10.252 3.449 -11.185 (0.000) (0.0 07) [0.001] [0.006] PPP Halflife 1 .79 6 τc∗ -1. 878 ... months Supply Demand Money Supply Demand Britain 0. 378 0.240 0.382 0.331 0.211 Germany 0.016 0.234 0 .75 0 0.066 0.099 Japan 0. 872 0.011 0.1 17 0.810 0. 071 Money 0.458 0.835 0.119...

Ngày tải lên: 05/08/2014, 13:20

... subtracting (9. 48) from (9.47), ˆ ˆ∗ using PPP and noting that pt (z) − p∗ (z ∗ ) = Now you can rewrite ˆ ˆt (9 .87 ) as (θ − 1)r ˆ ˆ ˆ St , C − C∗ = (9 .88 ) r(1 + θ) + 2θ and solve (9 .85 ) and (9 .88 ) to get ... lowers the real interest rate and raises average world consumption From the world demand functions (9.47) 282 CHAPTER THE NEW INTERNATIONAL MACROECONOMICS (175)⇒ and...

Ngày tải lên: 05/08/2014, 13:20

... breakdown of the 194 6— 197 1 IMF system of Þxed but adjustable exchange rates, Mexico and Argentina during the 197 0s and early 198 0s, the European Monetary System in 199 2, Mexico in 199 4, and the Asian ... (9. 147)— (9. 150) ˆ xt (z) = Ct ; ˆ ˆ x∗ (z ∗ ) = Ct∗ ; ˆt ˆ vt (z) = Ct∗ ; ˆ ˆ vt (z ∗ ) = Ct ˆ∗ (9. 181) Subtract (9. 180) from (9. 1 79) and using the relations in (9. 181)...

Ngày tải lên: 05/08/2014, 13:20

... Their Theoretical and Empirical Implications.” In G.S Maddala and C.R Rao, eds Statistical Methods of Finance, Handbook of Statistics Series, vol 14 Amsterdam: Elsevier, North Holland, pp 613—46 ... Martin and Charles Evans 1995 “Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates” Quarterly Journal of Economics 110: pp 97 5100 9 42 Engle, Robert F...

Ngày tải lên: 05/08/2014, 13:20