Academic literature on the topic 'Macroeconomics – Econometric models'
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Journal articles on the topic "Macroeconomics – Econometric models"
Maziarz, Mariusz. "‘Emerging contrary result’ phenomenon and scientific realism." Panoeconomicus, no. 00 (2020): 24. http://dx.doi.org/10.2298/pan171218024m.
Full textKoop, Gary. "Bayesian Methods for Empirical Macroeconomics with Big Data." Review of Economic Analysis 9, no. 1 (April 9, 2017): 33–56. http://dx.doi.org/10.15353/rea.v9i1.1434.
Full textPhillips, Peter C. B. "Trending Multiple Time Series: Editor's Introduction." Econometric Theory 11, no. 5 (October 1995): 811–17. http://dx.doi.org/10.1017/s0266466600009890.
Full textNymoen, Ragnar. "On the Low Degree of Entropy Implied by the Solutions of Modern Macroeconomic Models." Entropy 24, no. 12 (November 25, 2022): 1728. http://dx.doi.org/10.3390/e24121728.
Full textKazmi, Aqdas Ali. "An Econometric Estimation of Tax-discounting in Pakistan." Pakistan Development Review 34, no. 4III (December 1, 1995): 1067–77. http://dx.doi.org/10.30541/v34i4iiipp.1067-1077.
Full textArtamonov, N. V., D. V. Artamonov, and V. A. Artamonov. "Credit Cycles: Econometric Analysis and Evidence for Russia." MGIMO Review of International Relations, no. 2(35) (April 28, 2014): 113–22. http://dx.doi.org/10.24833/2071-8160-2014-2-35-113-122.
Full textCherevatskyi, Danilo, and Roman Smirnov. "On the correlation between GDP and energy consumption in macroeconomic development." Economy of Industry 2, no. 94 (June 25, 2021): 59–70. http://dx.doi.org/10.15407/econindustry2021.02.059.
Full textCampos, Octávio Valente, Wagner Moura Lamounier, and Rafael Morais de Souza. "The composition of firms' indebtedness and the macroeconomy of capital." Revista Catarinense da Ciência Contábil 21 (September 9, 2022): e3296. http://dx.doi.org/10.16930/2237-7662202232962.
Full textHacioglu, Umit, Hasan Dincer, and Ismail Erkan Celik. "Conflict Risk and Its Implication on Economy and Financial System." International Journal of Finance & Banking Studies (2147-4486) 2, no. 2 (November 16, 2016): 109. http://dx.doi.org/10.20525/ijfbs.v2i2.638.
Full textFoley, D. "Mathematical Formalism and Political-Economic Content." Voprosy Ekonomiki, no. 7 (July 20, 2012): 82–95. http://dx.doi.org/10.32609/0042-8736-2012-7-82-95.
Full textDissertations / Theses on the topic "Macroeconomics – Econometric models"
Steinbach, Max Rudibert. "Essays on dynamic macroeconomics." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/86196.
Full textENGLISH ABSTRACT: In the first essay of this thesis, a medium scale DSGE model is developed and estimated for the South African economy. When used for forecasting, the model is found to outperform private sector economists when forecasting CPI inflation, GDP growth and the policy rate over certain horizons. In the second essay, the benchmark DSGE model is extended to include the yield on South African 10-year government bonds. The model is then used to decompose the 10-year yield spread into (1) the structural shocks that contributed to its evolution during the inflation targeting regime of the South African Reserve Bank, as well as (2) an expected yield and a term premium. In addition, it is found that changes in the South African term premium may predict future real economic activity. Finally, the need for DSGE models to take account of financial frictions became apparent during the recent global financial crisis. As a result, the final essay incorporates a stylised banking sector into the benchmark DSGE model described above. The optimal response of the South African Reserve Bank to financial shocks is then analysed within the context of this structural model.
Emiris, Marina. "Essays on macroeconomics and finance." Doctoral thesis, Universite Libre de Bruxelles, 2006. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210764.
Full textWalker, Sébastien. "Essays in development macroeconomics." Thesis, University of Oxford, 2015. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.712398.
Full textSantos, Monteiro Paulo. "Essays on uninsurable individual risk and heterogeneity in macroeconomics." Doctoral thesis, Universite Libre de Bruxelles, 2008. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210528.
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Delle, Monache Davide. "Essays on state space models and macroeconomic modelling." Thesis, University of Cambridge, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.609745.
Full textDe, Antonio Liedo David. "Structural models for macroeconomics and forecasting." Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210142.
Full textcentral debates in empirical macroeconomic modeling.
Chapter 1, entitled “A Model for Real-Time Data Assessment with an Application to GDP Growth Rates”, provides a model for the data
revisions of macroeconomic variables that distinguishes between rational expectation updates and noise corrections. Thus, the model encompasses the two polar views regarding the publication process of statistical agencies: noise versus news. Most of the studies previous studies that analyze data revisions are based
on the classical noise and news regression approach introduced by Mankiew, Runkle and Shapiro (1984). The problem is that the statistical tests available do not formulate both extreme hypotheses as collectively exhaustive, as recognized by Aruoba (2008). That is, it would be possible to reject or accept both of them simultaneously. In turn, the model for the
DPP presented here allows for the simultaneous presence of both noise and news. While the “regression approach” followed by Faust et al. (2005), along the lines of Mankiew et al. (1984), identifies noise in the preliminary
figures, it is not possible for them to quantify it, as done by our model.
The second and third chapters acknowledge the possibility that macroeconomic data is measured with errors, but the approach followed to model the missmeasurement is extremely stylized and does not capture the complexity of the revision process that we describe in the first chapter.
Chapter 2, entitled “Revisiting the Success of the RBC model”, proposes the use of dynamic factor models as an alternative to the VAR based tools for the empirical validation of dynamic stochastic general equilibrium (DSGE) theories. Along the lines of Giannone et al. (2006), we use the state-space parameterisation of the factor models proposed by Forni et al. (2007) as a competitive benchmark that is able to capture weak statistical restrictions that DSGE models impose on the data. Our empirical illustration compares the out-of-sample forecasting performance of a simple RBC model augmented with a serially correlated noise component against several specifications belonging to classes of dynamic factor and VAR models. Although the performance of the RBC model is comparable
to that of the reduced form models, a formal test of predictive accuracy reveals that the weak restrictions are more useful at forecasting than the strong behavioral assumptions imposed by the microfoundations in the model economy.
The last chapter, “What are Shocks Capturing in DSGE modeling”, contributes to current debates on the use and interpretation of larger DSGE
models. Recent tendency in academic work and at central banks is to develop and estimate large DSGE models for policy analysis and forecasting. These models typically have many shocks (e.g. Smets and Wouters, 2003 and Adolfson, Laseen, Linde and Villani, 2005). On the other hand, empirical studies point out that few large shocks are sufficient to capture the covariance structure of macro data (Giannone, Reichlin and
Sala, 2005, Uhlig, 2004). In this Chapter, we propose to reconcile both views by considering an alternative DSGE estimation approach which
models explicitly the statistical agency along the lines of Sargent (1989). This enables us to distinguish whether the exogenous shocks in DSGE
modeling are structural or instead serve the purpose of fitting the data in presence of misspecification and measurement problems. When applied to the original Smets and Wouters (2007) model, we find that the explanatory power of the structural shocks decreases at high frequencies. This allows us to back out a smoother measure of the natural output gap than that
resulting from the original specification.
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Calver, Robin Barnaby. "Macroeconomic and Political Determinants of Foreign Direct Investment in the Middle East." PDXScholar, 2013. https://pdxscholar.library.pdx.edu/open_access_etds/1074.
Full textJindal, Bhavin. "The Chinese Dragon Lands in Africa: Chinese Contracts and Economic Growth in Africa." Scholarship @ Claremont, 2017. http://scholarship.claremont.edu/cmc_theses/1564.
Full textJi, Inyeob Economics Australian School of Business UNSW. "Essays on testing some predictions of RBC models and the stationarity of real interest rates." Publisher:University of New South Wales. Economics, 2008. http://handle.unsw.edu.au/1959.4/41441.
Full textConflitti, Cristina. "Essays on the econometrics of macroeconomic survey data." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209635.
Full textand econometrics of survey data. Chapters one and two analyse two aspects
of the Survey of Professional Forecasters (SPF hereafter) dataset. This survey
provides a large information on macroeconomic expectations done by the professional
forecasters and offers an opportunity to exploit a rich information set.
But it poses a challenge on how to extract the relevant information in a proper
way. The last chapter addresses the issue of analyzing the opinions on the euro
reported in the Flash Eurobaromenter dataset.
The first chapter Measuring Uncertainty and Disagreement in the European
Survey of Professional Forecasters proposes a density forecast methodology based
on the piecewise linear approximation of the individual’s forecasting histograms,
to measure uncertainty and disagreement of the professional forecasters. Since
1960 with the introduction of the SPF in the US, it has been clear that they were a
useful source of information to address the issue on how to measure disagreement
and uncertainty, without relying on macroeconomic or time series models. Direct
measures of uncertainty are seldom available, whereas many surveys report point
forecasts from a number of individual respondents. There has been a long tradition
of using measures of the dispersion of individual respondents’ point forecasts
(disagreement or consensus) as proxies for uncertainty. Unlike other surveys, the
SPF represents an exception. It directly asks for the point forecast, and for the
probability distribution, in the form of histogram, associated with the macro variables
of interest. An important issue that should be considered concerns how to
approximate individual probability densities and get accurate individual results
for disagreement and uncertainty before computing the aggregate measures. In
contrast to Zarnowitz and Lambros (1987), and Giordani and Soderlind (2003) we
overcome the problem associated with distributional assumptions of probability
density forecasts by using a non parametric approach that, instead of assuming
a functional form for the individual probability law, approximates the histogram
by a piecewise linear function. In addition, and unlike earlier works that focus on
US data, we employ European data, considering gross domestic product (GDP),
inflation and unemployment.
The second chapter Optimal Combination of Survey Forecasts is based on
a joint work with Christine De Mol and Domenico Giannone. It proposes an
approach to optimally combine survey forecasts, exploiting the whole covariance
structure among forecasters. There is a vast literature on forecast combination
methods, advocating their usefulness both from the theoretical and empirical
points of view (see e.g. the recent review by Timmermann (2006)). Surprisingly,
it appears that simple methods tend to outperform more sophisticated ones, as
shown for example by Genre et al. (2010) on the combination of the forecasts in
the SPF conducted by the European Central Bank (ECB). The main conclusion of
several studies is that the simple equal-weighted average constitutes a benchmark
that is hard to improve upon. In contrast to a great part of the literature which
does not exploit the correlation among forecasters, we take into account the full
covariance structure and we determine the optimal weights for the combination
of point forecasts as the minimizers of the mean squared forecast error (MSFE),
under the constraint that these weights are nonnegative and sum to one. We
compare our combination scheme with other methodologies in terms of forecasting
performance. Results show that the proposed optimal combination scheme is an
appropriate methodology to combine survey forecasts.
The literature on point forecast combination has been widely developed, however
there are fewer studies analyzing the issue for combination density forecast.
We extend our work considering the density forecasts combination. Moving from
the main results presented in Hall and Mitchell (2007), we propose an iterative
algorithm for computing the density weights which maximize the average logarithmic
score over the sample period. The empirical application is made for the
European GDP and inflation forecasts. Results suggest that optimal weights,
obtained via an iterative algorithm outperform the equal-weighted used by the
ECB density combinations.
The third chapter entitled Opinion surveys on the euro: a multilevel multinomial
logistic analysis outlines the multilevel aspects related to public attitudes
toward the euro. This work was motivated by the on-going debate whether the
perception of the euro among European citizenships after ten years from its introduction
was positive or negative. The aim of this work is, therefore, to disentangle
the issue of public attitudes considering either individual socio-demographic characteristics
and macroeconomic features of each country, counting each of them
as two separate levels in a single analysis. Considering a hierarchical structure
represents an advantage as it models within-country as well as between-country
relations using a single analysis. The multilevel analysis allows the consideration
of the existence of dependence between individuals within countries induced by
unobserved heterogeneity between countries, i.e. we include in the estimation
specific country characteristics not directly observable. In this chapter we empirically
investigate which individual characteristics and country specificities are
most important and affect the perception of the euro. The attitudes toward the
euro vary across individuals and countries, and are driven by personal considerations
based on the benefits and costs of using the single currency. Individual
features, such as a high level of education or living in a metropolitan area, have
a positive impact on the perception of the euro. Moreover, the country-specific
economic condition can influence individuals attitudes.
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Books on the topic "Macroeconomics – Econometric models"
1948-, Fischer Joachim, ed. Macro-econometric models. 2nd ed. Aldershot, Hants, England: Avebury, 1992.
Find full textBenhabib, Jess. Homework in macroeconomics. Cambridge, MA: National Bureau of Economic Research, 1990.
Find full textLindström, Tomas. Studies in empirical macroeconomics. Uppsala, Sweden: Dept. of Economics, Uppsala University, 1997.
Find full text1949-, Huber Georg, and Fischer Joachim 1948-, eds. Macro-econometric models: An international bibliography. Brookfield, Vt: Gower Pub. Co., 1985.
Find full textRavn, Morten O. The macroeconomics of subsistence points. Cambridge, MA: National Bureau of Economic Research, 2004.
Find full textRavn, Morten O. The macroeconomics of subsistence points. Cambridge, Mass: National Bureau of Economic Research, 2004.
Find full textPowell, Alan A. Inside a modern macroeconometric model: A guide to the Murphy model. 2nd ed. Berlin: Springer, 1997.
Find full text1956-, Murphy Christopher W., ed. Inside a modern macroeconometric model: A guide to the Murphy Model. Berlin: Springer-Verlag, 1995.
Find full textAjayi, Simeon Ibidayo, and Shantayanan Devarajan. The macroeconomics of Africa's recent growth. Washington, DC: The International Bank for Reconstruction and Development/World Bank and the African Economic Research Consortium (AERC), 2014.
Find full textP, Hargreaves Colin, ed. Macroeconomic modelling of the long run. Aldershot, Hants, England: E. Elgar, 1992.
Find full textBook chapters on the topic "Macroeconomics – Econometric models"
Klein, Lawrence R. "Did Mainstream Econometric Models Fail to Anticipate the Inflationary Surge?" In Issues in Contemporary Macroeconomics and Distribution, 289–96. London: Palgrave Macmillan UK, 1985. http://dx.doi.org/10.1007/978-1-349-06879-1_12.
Full textBuckmann, Marcus, Andreas Joseph, and Helena Robertson. "Opening the Black Box: Machine Learning Interpretability and Inference Tools with an Application to Economic Forecasting." In Data Science for Economics and Finance, 43–63. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-66891-4_3.
Full textBoitier, Baptiste, Pierre Le Mouël, Julien Ravet, and Paul Zagamé. "The NEMESIS Macro-Econometric Model." In Macroeconomic Modelling of R&D and Innovation Policies, 129–54. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-71457-4_7.
Full textShucheng, Liu. "Applied research of the macro-econometric model 1." In Chinese Macroeconomic Operation, 41–49. Abingdon, Oxon ; New York, NY : Routledge, 2017. | Series: China perspectives series: Routledge, 2017. http://dx.doi.org/10.4324/9781315708454-4.
Full textVárpalotai, Viktor. "Disaggregated Econometric Models to Forecast Inflation in Hungary." In Exchange Rates and Macroeconomic Dynamics, 139–66. London: Palgrave Macmillan UK, 2008. http://dx.doi.org/10.1057/9780230582699_6.
Full textWymer, Clifford R. "Continuous-time models in macroeconomics: specification and estimation." In Continuous-Time Econometrics, 35–79. Dordrecht: Springer Netherlands, 1993. http://dx.doi.org/10.1007/978-94-011-1542-1_3.
Full textSaillard, Y. "Health expenditure growth and macroeconomic models." In Advanced Studies in Theoretical and Applied Econometrics, 3–16. Dordrecht: Springer Netherlands, 1991. http://dx.doi.org/10.1007/978-94-009-2051-4_1.
Full textTaplin, Bruce, Paddy Jilek, Lawrence Antioch, Andrew Johnson, Priya Parameswaran, and Craig Louis. "Treasury Macroeconomic (TRYM) Model of the Australian Economy." In Econometric Models of Asian-Pacific Countries, 225–67. Tokyo: Springer Japan, 1994. http://dx.doi.org/10.1007/978-4-431-68258-5_9.
Full textCharpentier, Arthur, and Emmanuel Flachaire. "Pareto Models for Risk Management." In Recent Econometric Techniques for Macroeconomic and Financial Data, 355–87. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-54252-8_14.
Full textChaubal, Aditi. "Typology of Nonlinear Time Series Models." In Recent Econometric Techniques for Macroeconomic and Financial Data, 315–53. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-54252-8_13.
Full textConference papers on the topic "Macroeconomics – Econometric models"
Özer, Ali, Aslı Cansın Doker, and Adem Türkmen. "Analysis of Capital Flight in Developing Countries: A Study on Turkey between 1980 and 2010." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00702.
Full textKoşan, Naime İrem, and Sudi Apak. "Trade Openness and Macroeconomic Policy in OECD Countries." In International Conference on Eurasian Economies. Eurasian Economists Association, 2015. http://dx.doi.org/10.36880/c06.01373.
Full textReports on the topic "Macroeconomics – Econometric models"
Piazzesi, Monika. An Econometric Model of the Yield Curve with Macroeconomic Jump Effects. Cambridge, MA: National Bureau of Economic Research, April 2001. http://dx.doi.org/10.3386/w8246.
Full textElshurafa, Amro, Hatem Al Atawi, Fakhri Hasanov, and Frank Felder. Cost, Emission, and Macroeconomic Implications of Diesel Displacement in the Saudi Agricultural Sector: Options and Policy Insights. King Abdullah Petroleum Studies and Research Center, August 2022. http://dx.doi.org/10.30573/ks--2022-dp03.
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