Modeling Dependence in Econometrics

Modeling Dependence in Econometrics
Author: Van-Nam Huynh
Publisher: Springer Science & Business Media
Total Pages: 570
Release: 2013-11-18
Genre: Technology & Engineering
ISBN: 3319033956

In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.

Exchange Rates and International Macroeconomics

Exchange Rates and International Macroeconomics
Author: National Bureau of Economic Research
Publisher: Chicago : University of Chicago Press
Total Pages: 402
Release: 1983
Genre: Business & Economics
ISBN:

This volume, presenting some of the finest new research on exchange rates and international macroeconomics, contains papers and critical commentary by thirty-two leading economists. Taken together, these papers provide sound evidence about the effects of real and monetary factors on exchange rates and extend the analyses of exchange rates and international macroeconomics by outlining the kinds of behavior and institutional arrangements that can be incorporated into such analyses. Both empirical and theoretical research are represented, and the contributors analyze such issues as the performance of various models of exchange rate determination, the role of risk and speculation in the forward market for foreign exchange, the rational expectations hypothesis in such markets, the performance of monetary policy in ten industrial countries, the role that labor market contracts play in exchange rate policies, the effect of he oil shocks on the evolution of exchange rates, and the output cost of bringing down inflation in the open economy.

The Great Inflation

The Great Inflation
Author: Michael D. Bordo
Publisher: University of Chicago Press
Total Pages: 545
Release: 2013-06-28
Genre: Business & Economics
ISBN: 0226066959

Controlling inflation is among the most important objectives of economic policy. By maintaining price stability, policy makers are able to reduce uncertainty, improve price-monitoring mechanisms, and facilitate more efficient planning and allocation of resources, thereby raising productivity. This volume focuses on understanding the causes of the Great Inflation of the 1970s and ’80s, which saw rising inflation in many nations, and which propelled interest rates across the developing world into the double digits. In the decades since, the immediate cause of the period’s rise in inflation has been the subject of considerable debate. Among the areas of contention are the role of monetary policy in driving inflation and the implications this had both for policy design and for evaluating the performance of those who set the policy. Here, contributors map monetary policy from the 1960s to the present, shedding light on the ways in which the lessons of the Great Inflation were absorbed and applied to today’s global and increasingly complex economic environment.

Asset Prices and Monetary Policy

Asset Prices and Monetary Policy
Author: John Y. Campbell
Publisher: University of Chicago Press
Total Pages: 444
Release: 2008-11-15
Genre: Business & Economics
ISBN: 0226092127

Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.

Forex Trading Using Intermarket Analysis

Forex Trading Using Intermarket Analysis
Author: Louis B. Mendelsohn
Publisher: Market Technologies
Total Pages: 136
Release: 2006-03
Genre: Business & Economics
ISBN: 1592802958

In today's global marketplace, currency values fluctuate every day and foreign exchange is the biggest market of them all, trading well over $1 trillion a day--more than all other markets combined! Master this market that never sleeps, and you could be a big winner. Just to survive in the hottest marketplace in the world, you will have to learn how to stay one step ahead of the game. This book is intended for traders and investors who use technology to win.

Currencies, Commodities and Consumption

Currencies, Commodities and Consumption
Author: Kenneth W. Clements
Publisher: Cambridge University Press
Total Pages: 401
Release: 2013-01-31
Genre: Business & Economics
ISBN: 110701476X

Discusses economic issues associated with exchange rates, commodity prices, the economic size of countries and alternatives to PPP exchange rates.

Modern Finance And Risk Management: Festschrift In Honour Of Hermann Locarek-junge

Modern Finance And Risk Management: Festschrift In Honour Of Hermann Locarek-junge
Author: Tony Klein
Publisher: World Scientific
Total Pages: 508
Release: 2022-06-07
Genre: Business & Economics
ISBN: 1800611927

Modern Finance and Risk Management is dedicated to our colleague, academic mentor, and adviser Professor Hermann Locarek-Junge. During his academic career, Hermann Locarek-Junge published several important contributions to the field of risk management and portfolio management and served as the chairman and board member of the German Finance Association (DGF) and the Data Science Society (Gesellschaft für Klassifikation).A short foreword by the mentors of Hermann Locarek-Junge and an introduction by the editors mark the beginning of the Festschrift. The first section on Modern Finance includes chapters on asset management, entrepreneurship, and behavioural finance. The second section on Modern Risk Management contains seven contributions covering considerations of risk measurement, risk management, and regulation. Finally, the third section includes topics on commodities and energy finance.This Festschrift comprises 20 original contributions of notable scholars in finance who have worked with Hermann Locarek-Junge over the last four decades. Due to numerous connections to practice and applications, Modern Finance and Risk Management is relevant and attractive not only to academics and researchers but also to practitioners in industry and banking.

New Rates from New Weights

New Rates from New Weights
Author: Tamim A. Bayoumi
Publisher:
Total Pages: 60
Release: 2005
Genre: Foreign exchange rates
ISBN:

This paper describes the result and the methodology of updating nominal and real effective exchange rate weights on the basis of trade data over 1999-2001. The underlying framework is an updated version of the IMF's current effective exchange rate calculation, which uses weights largely based on 1989-91 data. Since then, substantial changes have occurred in international trade relations, warranting a recalculation of effective exchange rate indices on the basis of new trade patterns. Updated weights show that the United States and developing countries (most notably China) have grown in their importance in global trade, while Japan and the European Union have declined, with substantial implications for the path of the dollar and exchange rate effects of emerging market crises since 1995.