Microeconomic Sources of Real Exchange Rate Variability
|
|
- Marlene Fields
- 5 years ago
- Views:
Transcription
1 Microeconomic Sources of Real Exchange Rae Variabiliy By Mario J. Crucini and Chris Telmer Discussed by Moren O. Ravn
2 THE PAPER Crucini and Telmer find ha (a) The cross-secional variance of LOP level violaions is large relaive o he ime-series variaion (b) The variaion of changes in LOP violaions is dominaed by idiosyncraic shocks raher han common locaion-pair specific variaion (c) Nominal exchange raes correlae closely wih he counry-specific variaion They conclude ha nominal exchange raes play only a minor role for relaive prices here s a lo more acion wihin he disribuion of relaive prices han in is mean.
3 THE DATA Daa on Price levels Of individual goods (up o 300) In muliple counries / ciies (123 locaions) Annual, ime-series dimension ( ) This is a very ineresing daase. Allows one o invesigae he deerminans of absolue price level differences and convergence o he absolue version of he LOP.
4 THE PAPER Crucini has earlier worked on his daa in: Crucini, Telmer and Zachariadis, AER 2005: Roughly as many underpriced as overpriced goods beween any wo EU counries LOP violaions greaer for non-raded goods han for raded goods and for goods wih large inpus of nonraded inpus Crucini and Shinani, 2006: Half-life of LOP violaions around 1.2 year for raded goods and 1.9 years for non-raded goods
5 The Resuls Crucini and Telmer define LOP violaion as: q i, jk, = log P ij, P S ik, jk, The logarihm of he price of good i in locaion j a dae convered ino currency k divided by he price of good i in locaion k a dae And hey decompose he oal variance as: ( q i) = var E [ q i, jk] i, jk, jk ( ) ( ( ) + E var q i, jk var, i, jk, T i + jk i, jk F i
6 The Variance Decomposiion
7 The Variance of Changes in LOP Violaion Crucini and Telmer hen look a he variance of changes in LOP violaions: Δq = f + ε f i, jk, jk, i, jk,, ε jk, i, jk, The compue he common componen as: f ( q jk ) jk, = Ei Δ i, jk,, And hey examine he common componen s conribuion o he overall variance of he changes in LOP violaions
8 The Common Componen The common componen is small bu srongly correlaed wih NER
9 Commens 1. Trade vs. Macro. Crucini and Telmer find ha here is los of cross-secional variaion in deviaions from he absolue version of he LOP. - They claim ha his implies ha rade heory is more imporan han macro for undersanding relaive prices - I s emping o agree bu does his conclusion really follow from he resuls? - Could heir resuls simply be due o sampling uncerainy?
10 frequency Sampling uncerainy will make he economerician conclude in favor of rade over macro bu macro is he only hing ha maers US disribuion US year 1 disribuion year 0 UK disribuion UK disribuion year year 0 1 Dallas, shop A New York shop A New York, shop B London shop B London shop A New York, New shop York, B shop A London shop London A shop B price
11 Commens 2. The imporance of exchange raes / sicky prices: Is he following rue? Fac: Los of idiosyncraic changes in LOP violaions (a) Implies ha If you hink ha annual real exchange rae variabiliy is indicaive of nominal exchange raes moving around a disribuion of microeconomic sicky prices, you are wrong. (b) Which implies ha Nominal exchange raes maer lile? I m no sure abou neiher (a) nor (b).
12 Counerexample Take a exbook model of sicky prices (Calvo saggering, for example). his model wih display price dispersion in equilibrium suppose ha he only reason by prices differ across locaions is ha prices are sicky would his model necessarily say ha he common componen (he exchange rae) should dominae he cross-secional changes in relaive prices?
13 The exchange rae shock has shifed he disribuion bu here are sill large idiosyncraic movemens due o pas shocks. 0 q i
14 Commens So, how could we check he exen o which exchange raes maer? I hink he righ quesion is: If he nominal exchange rae changes by x%, he real exchange rae changes by y% over a horizon of z periods in oher words a sor of ERPT regression. The resuls of Crucini and Telmer do no answer his quesion he fac ha here are many oher variaions in relaive prices doesn mean ha nominal exchange raes are no imporan. In fac, he covariance beween changes in LOP violaions and NERs migh be reasonably high perhaps he evidence does no so srongly go agains sicky prices?
15 Things I would have liked o see The daa are very ineresing price level daa for a large no. of counries and a longish sample. I would have liked o know: which economic forces affec he fixed effec (he long run difference in prices)? which economic forces affec he adjusmen in prices? in response o shocks, do prices end o rever owards he LOP? do price differenials end o ge smaller over ime?
16 Oher commens 1) Wha happens in large devaluaions? Does he whole disribuion of prices change? 2) The common componen he auhors simply average prices cross-secionally o ge he common componen is his appropriae? 3) Can he daa be made available, please?
17 Summary The work of Crucini on he opic of he LOP is exremely imporan I look forward o more! - I have ried o be he devil s advocae, bu a he end of he say, I hink ha heir resuls are prey convincing.
Finance Solutions to Problem Set #6: Demand Estimation and Forecasting
Finance 30210 Soluions o Problem Se #6: Demand Esimaion and Forecasing 1) Consider he following regression for Ice Cream sales (in housands) as a funcion of price in dollars per pin. My daa is aken from
More informationFinal Exam Answers Exchange Rate Economics
Kiel Insiu für Welwirhschaf Advanced Sudies in Inernaional Economic Policy Research Spring 2005 Menzie D. Chinn Final Exam Answers Exchange Rae Economics This exam is 1 ½ hours long. Answer all quesions.
More informationSection 4 The Exchange Rate in the Long Run
Secion 4 he Exchange Rae in he Long Run 1 Conen Objecives Purchasing Power Pariy A Long-Run PPP Model he Real Exchange Rae Summary 2 Objecives o undersand he law of one price and purchasing power pariy
More informationUnemployment and Phillips curve
Unemploymen and Phillips curve 2 of The Naural Rae of Unemploymen and he Phillips Curve Figure 1 Inflaion versus Unemploymen in he Unied Saes, 1900 o 1960 During he period 1900 o 1960 in he Unied Saes,
More informationCENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS T. J. KEHOE MACROECONOMICS I WINTER 2011 PROBLEM SET #6
CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS T J KEHOE MACROECONOMICS I WINTER PROBLEM SET #6 This quesion requires you o apply he Hodrick-Presco filer o he ime series for macroeconomic variables for he
More informationNBER WORKING PAPER SERIES UNDERSTANDING INTERNATIONAL PRICE DIFFERENCES USING BARCODE DATA. Christian Broda David E. Weinstein
NBER WORKING PAPER SERIES UNDERSTANDING INTERNATIONAL PRICE DIFFERENCES USING BARCODE DATA Chrisian Broda David E. Weinsein Working Paper 14017 hp://www.nber.org/papers/w14017 NATIONAL BUREAU OF ECONOMIC
More informationCh. 10 Measuring FX Exposure. Is Exchange Rate Risk Relevant? MNCs Take on FX Risk
Ch. 10 Measuring FX Exposure Topics Exchange Rae Risk: Relevan? Types of Exposure Transacion Exposure Economic Exposure Translaion Exposure Is Exchange Rae Risk Relevan?? Purchasing Power Pariy: Exchange
More informationMEASURING EXPORT COMPETITIVENESS (MEC) DATABASE:
MEASURING EXPORT COMPETITIVENESS (MEC) DATABASE: WHAT CAN WE LEARN ABOUT FRENCH COMPETITIVENESS AND THE GLOBAL CONTEXT? From a collaboraion beween Banquede France, World Bank Group, and Inernaional Trade
More informationReal Exchange Rate Adjustment In and Out of the Eurozone. Martin Berka Michael B. Devereux Charles Engel
Real Exchange Rae Adjusmen In and Ou of he Eurozone Marin Berka Michael B. Devereux Charles Engel 5 h Bi-Annual Bank of Canada/European Cenral Bank conference on Exchange Raes: A Global Perspecive, ECB,
More informationFinancial Econometrics Jeffrey R. Russell Midterm Winter 2011
Name Financial Economerics Jeffrey R. Russell Miderm Winer 2011 You have 2 hours o complee he exam. Use can use a calculaor. Try o fi all your work in he space provided. If you find you need more space
More information2. Quantity and price measures in macroeconomic statistics 2.1. Long-run deflation? As typical price indexes, Figure 2-1 depicts the GDP deflator,
1 2. Quaniy and price measures in macroeconomic saisics 2.1. Long-run deflaion? As ypical price indexes, Figure 2-1 depics he GD deflaor, he Consumer rice ndex (C), and he Corporae Goods rice ndex (CG)
More informationThis specification describes the models that are used to forecast
PCE and CPI Inflaion Differenials: Convering Inflaion Forecass Model Specificaion By Craig S. Hakkio This specificaion describes he models ha are used o forecas he inflaion differenial. The 14 forecass
More informationHealth Shocks and Disability Transitions among Near-Elderly Workers
Healh Shocks and Disabiliy Transiions among Near-Elderly Workers David M. Culer, Ellen Meara, Seh Richards-Shubik The research was suppored by a gran from he U.S. Social Securiy Adminisraion (SSA) as par
More informationProblem Set 1 Answers. a. The computer is a final good produced and sold in Hence, 2006 GDP increases by $2,000.
Social Analysis 10 Spring 2006 Problem Se 1 Answers Quesion 1 a. The compuer is a final good produced and sold in 2006. Hence, 2006 GDP increases by $2,000. b. The bread is a final good sold in 2006. 2006
More informationEcon 546 Lecture 4. The Basic New Keynesian Model Michael Devereux January 2011
Econ 546 Lecure 4 The Basic New Keynesian Model Michael Devereux January 20 Road map for his lecure We are evenually going o ge 3 equaions, fully describing he NK model The firs wo are jus he same as before:
More information4452 Mathematical Modeling Lecture 17: Modeling of Data: Linear Regression
Mah Modeling Lecure 17: Modeling of Daa: Linear Regression Page 1 5 Mahemaical Modeling Lecure 17: Modeling of Daa: Linear Regression Inroducion In modeling of daa, we are given a se of daa poins, and
More informationDiscussion of Cook and Devereux: Sharing the Burden: International Policy Cooperation. Gernot Müller
Discussion of Cook and Devereux: Sharing he Burden: Inernaional Policy Cooperaion in a Liquidiy Trap Gerno Müller Universiy of Bonn The paper Quesion: Opimal global policy response o counry specific shock
More informationCOOPERATION WITH TIME-INCONSISTENCY. Extended Abstract for LMSC09
COOPERATION WITH TIME-INCONSISTENCY Exended Absrac for LMSC09 By Nicola Dimiri Professor of Economics Faculy of Economics Universiy of Siena Piazza S. Francesco 7 53100 Siena Ialy Dynamic games have proven
More informationa. If Y is 1,000, M is 100, and the growth rate of nominal money is 1 percent, what must i and P be?
Problem Se 4 ECN 101 Inermediae Macroeconomics SOLUTIONS Numerical Quesions 1. Assume ha he demand for real money balance (M/P) is M/P = 0.6-100i, where is naional income and i is he nominal ineres rae.
More informationOn the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment
MPRA Munich Personal RePEc Archive On he Impac of Inflaion and Exchange Rae on Condiional Sock Marke Volailiy: A Re-Assessmen OlaOluwa S Yaya and Olanrewaju I Shiu Deparmen of Saisics, Universiy of Ibadan,
More informationEmpirical analysis on China money multiplier
Aug. 2009, Volume 8, No.8 (Serial No.74) Chinese Business Review, ISSN 1537-1506, USA Empirical analysis on China money muliplier SHANG Hua-juan (Financial School, Shanghai Universiy of Finance and Economics,
More informationMacroeconomics II A dynamic approach to short run economic fluctuations. The DAD/DAS model.
Macroeconomics II A dynamic approach o shor run economic flucuaions. The DAD/DAS model. Par 2. The demand side of he model he dynamic aggregae demand (DAD) Inflaion and dynamics in he shor run So far,
More informationECONOMIC GROWTH. Student Assessment. Macroeconomics II. Class 1
Suden Assessmen You will be graded on he basis of In-class aciviies (quizzes worh 30 poins) which can be replaced wih he number of marks from he regular uorial IF i is >=30 (capped a 30, i.e. marks from
More informationNOMINAL RIGIDITIES IN A DSGE MODEL: THE PERSISTENCE PUZZLE OCTOBER 14, 2010 EMPIRICAL EFFECTS OF MONETARY SHOCKS. Empirical Motivation
NOMINAL RIGIDITIES IN A DSGE MODEL: THE PERSISTENCE PUZZLE OCTOBER 4, 200 Empirical Moivaion EMPIRICAL EFFECTS OF MONETARY SHOCKS Hump-shaped responses o moneary shocks (Chrisiano, Eichenbaum, and Evans
More informationMultiple Choice Questions Solutions are provided directly when you do the online tests.
SOLUTIONS Muliple Choice Quesions Soluions are provided direcly when you do he online ess. Numerical Quesions 1. Nominal and Real GDP Suppose han an economy consiss of only 2 ypes of producs: compuers
More informationComments on Marrying Monetary Policy with Macroprudential Regulation: Exploring the Issues by Nakornthab and Rungcharoenkitkul
Commens on Marrying Moneary Policy wih Macroprudenial Regulaion: Exploring he Issues by Nakornhab and Rungcharoenkikul By Andrew Filardo, BIS Prepared for he Bank of Thailand Inernaional Symposium 2010
More informationWhen Is Growth Pro-Poor? Cross-Country Evidence
WP/04/47 When Is Growh Pro-Poor? Cross-Counry Evidence Aar Kraay 2004 Inernaional Moneary Fund WP/04/47 IMF Working Paper Research Deparmen When Is Growh Pro-Poor? Cross-Counry Evidence Prepared by Aar
More informationEstimating subregional and regional growth for developing Asia
Esimaing subregional and regional growh for develoing Asia In esimaing subregional (e.g., Eas Asia) and regional (i.e., develoing Asia) gross domesic roduc (GDP) growh, i is necessary o use weighs o roerly
More informationIntroduction. Enterprises and background. chapter
NACE: High-Growh Inroducion Enerprises and background 18 chaper High-Growh Enerprises 8 8.1 Definiion A variey of approaches can be considered as providing he basis for defining high-growh enerprises.
More informationAppendix B: DETAILS ABOUT THE SIMULATION MODEL. contained in lookup tables that are all calculated on an auxiliary spreadsheet.
Appendix B: DETAILS ABOUT THE SIMULATION MODEL The simulaion model is carried ou on one spreadshee and has five modules, four of which are conained in lookup ables ha are all calculaed on an auxiliary
More informationVolatility and Hedging Errors
Volailiy and Hedging Errors Jim Gaheral Sepember, 5 1999 Background Derivaive porfolio bookrunners ofen complain ha hedging a marke-implied volailiies is sub-opimal relaive o hedging a heir bes guess of
More informationA Method for Estimating the Change in Terminal Value Required to Increase IRR
A Mehod for Esimaing he Change in Terminal Value Required o Increase IRR Ausin M. Long, III, MPA, CPA, JD * Alignmen Capial Group 11940 Jollyville Road Suie 330-N Ausin, TX 78759 512-506-8299 (Phone) 512-996-0970
More informationWhat is Driving Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates
Wha is Driving Exchange Raes? New Evidence from a Panel of U.S. Dollar Bilaeral Exchange Raes Jean-Philippe Cayen Rene Lalonde Don Colei Philipp Maier Bank of Canada The views expressed are he auhors and
More informationInternational Business And Economics Research Journal Volume 2, Number 10
Inernaional Business And Economics Research Journal Volume 2, Number 10 he Real Exchange Rae Flucuaions Puzzle: Evidence For Advanced And ransiion Economies Amalia Morales-Zumauero, (E-mail: amalia@uma.es),
More informationInventory Investment. Investment Decision and Expected Profit. Lecture 5
Invenory Invesmen. Invesmen Decision and Expeced Profi Lecure 5 Invenory Accumulaion 1. Invenory socks 1) Changes in invenory holdings represen an imporan and highly volaile ype of invesmen spending. 2)
More informationAggregate Demand Aggregate Supply 1 Y. f P
ublic Aairs 974 Menzie D. Chinn Fall 202 Social Sciences 748 Universiy o Wisconsin-Madison Aggregae Demand Aggregae Supply. The Basic Model wih Expeced Inlaion Se o Zero Consider he hillips curve relaionship:
More informationExam 1. Econ520. Spring 2017
Exam 1. Econ520. Spring 2017 Professor Luz Hendricks UNC Insrucions: Answer all quesions. Clearly number your answers. Wrie legibly. Do no wrie your answers on he quesion shees. Explain your answers do
More informationAn enduring question in macroeconomics: does monetary policy have any important effects on the real (i.e, real GDP, consumption, etc) economy?
ONETARY OLICY IN THE INFINITE-ERIOD ECONOY: SHORT-RUN EFFECTS NOVEBER 6, 20 oneary olicy Analysis: Shor-Run Effecs IS ONETARY OLICY NEUTRAL? An enduring quesion in macroeconomics: does moneary policy have
More informationMacroeconomics. Part 3 Macroeconomics of Financial Markets. Lecture 8 Investment: basic concepts
Macroeconomics Par 3 Macroeconomics of Financial Markes Lecure 8 Invesmen: basic conceps Moivaion General equilibrium Ramsey and OLG models have very simple assumpions ha invesmen ino producion capial
More information12. Exponential growth simulation.
1. Exponenial growh simulaion. Mos people hink of exponenial growh as being growh ha is very fas. However, exponenial growh has a precise meaning a populaion grows exponenially when is growh rae is proporional
More informationSupplement to Chapter 3
Supplemen o Chaper 3 I. Measuring Real GD and Inflaion If here were only one good in he world, anchovies, hen daa and prices would deermine real oupu and inflaion perfecly: GD Q ; GD Q. + + + Then, he
More informationSpring 2011 Social Sciences 7418 University of Wisconsin-Madison
Economics 32, Sec. 1 Menzie D. Chinn Spring 211 Social Sciences 7418 Universiy of Wisconsin-Madison Noes for Econ 32-1 FALL 21 Miderm 1 Exam The Fall 21 Econ 32-1 course used Hall and Papell, Macroeconomics
More informationFinancial Integration and Risk Sharing: The Role of the Monetary Union
Financial Inegraion and Risk Sharing: The Role of he Moneary Union Sebnem Kalemli-Ozcan (Universiy of Houson and NBER) Simone Manganelli (European Cenral Bank) Elias Papaioannou (Darmouh College and CEPR
More informationCHAPTER CHAPTER18. Openness in Goods. and Financial Markets. Openness in Goods, and Financial Markets. Openness in Goods,
Openness in Goods and Financial Markes CHAPTER CHAPTER18 Openness in Goods, and Openness has hree disinc dimensions: 1. Openness in goods markes. Free rade resricions include ariffs and quoas. 2. Openness
More informationA Theory of Tax Effects on Economic Damages. Scott Gilbert Southern Illinois University Carbondale. Comments? Please send to
A Theory of Tax Effecs on Economic Damages Sco Gilber Souhern Illinois Universiy Carbondale Commens? Please send o gilbers@siu.edu ovember 29, 2012 Absrac This noe provides a heoreical saemen abou he effec
More informationBorders and Nominal Exchange Rates in Risk-Sharing
Borders and Nominal Exchange Raes in Risk-Sharing Michael B. Devereux and Vikoria V. Hnakovska Sepember 25, 2018 Absrac Models of risk-sharing predic ha relaive consumpion growh raes are posiively relaed
More informationCross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics. Tarun Chordia, Amit Goyal, and Jay Shanken
Cross-Secional Asse Pricing wih Individual Socks: Beas versus Characerisics Tarun Chordia, Ami Goyal, and Jay Shanken Main quesion Are expeced reurns relaed o Risk/beas, OR Characerisics If boh, which
More informationWhen Is Growth Pro-Poor? Cross-Country Evidence
Public Disclosure Auhorized Public Disclosure Auhorized Public Disclosure Auhorized Public Disclosure Auhorized When Is Growh Pro-Poor? Cross-Counry Evidence Aar Kraay* The World Bank Preliminary and Incomplee
More informationEstimating Earnings Trend Using Unobserved Components Framework
Esimaing Earnings Trend Using Unobserved Componens Framework Arabinda Basisha and Alexander Kurov College of Business and Economics, Wes Virginia Universiy December 008 Absrac Regressions using valuaion
More informationCHAPTER CHAPTER26. Fiscal Policy: A Summing Up. Prepared by: Fernando Quijano and Yvonn Quijano
Fiscal Policy: A Summing Up Prepared by: Fernando Quijano and vonn Quijano CHAPTER CHAPTER26 2006 Prenice Hall usiness Publishing Macroeconomics, 4/e Olivier lanchard Chaper 26: Fiscal Policy: A Summing
More informationSan Francisco State University ECON 560 Summer 2018 Problem set 3 Due Monday, July 23
San Francisco Sae Universiy Michael Bar ECON 56 Summer 28 Problem se 3 Due Monday, July 23 Name Assignmen Rules. Homework assignmens mus be yped. For insrucions on how o ype equaions and mah objecs please
More informationThe Death of the Phillips Curve?
The Deah of he Phillips Curve? Anhony Murphy Federal Reserve Bank of Dallas Research Deparmen Working Paper 1801 hps://doi.org/10.19/wp1801 The Deah of he Phillips Curve? 1 Anhony Murphy, Federal Reserve
More informationNon-Traded Goods and Real Exchange Rate Volatility in a Two-Country DSGE Model
Inernaional Journal of Economics and Finance; Vol. 7, No. 2; 205 ISSN 96-97X E-ISSN 96-9728 Published by Canadian Cener of Science and Educaion Non-Traded Goods and Real Exchange Rae Volailiy in a Two-Counry
More informationForecasting Sales: Models, Managers (Experts) and their Interactions
Forecasing Sales: Models, Managers (Expers) and heir Ineracions Philip Hans Franses Erasmus School of Economics franses@ese.eur.nl ISF 203, Seoul Ouline Key issues Durable producs SKU sales Opimal behavior
More informationReconciling Gross Output TFP Growth with Value Added TFP Growth
Reconciling Gross Oupu TP Growh wih Value Added TP Growh Erwin Diewer Universiy of Briish Columbia and Universiy of New Souh Wales ABSTRACT This aricle obains relaively simple exac expressions ha relae
More informationMidterm Exam. Use the end of month price data for the S&P 500 index in the table below to answer the following questions.
Universiy of Washingon Winer 00 Deparmen of Economics Eric Zivo Economics 483 Miderm Exam This is a closed book and closed noe exam. However, you are allowed one page of handwrien noes. Answer all quesions
More informationThe Micro-Macro Disconnect of Purchasing Power Parity
The Micro-Macro Disconnec of Purchasing Power Pariy Paul R. Bergin Universiy of California a Davis and NBER Reuven Glic Federal Reserve Ban of San Francisco Jyh-Lin Wu Naional Sun Ya-Sen Universiy This
More informationInternational transmission of shocks:
Inernaional ransmission of shocks: A ime-varying FAVAR approach o he Open Economy Philip Liu Haroon Mumaz Moneary Analysis Cener for Cenral Banking Sudies Bank of England Bank of England CEF 9 (Sydney)
More informationProblem 1 / 25 Problem 2 / 25 Problem 3 / 30 Problem 4 / 20 TOTAL / 100
Deparmen of Economics Universiy of Maryland Economics 325 Inermediae Macroeconomic Analysis Final Exam Professor Sanjay Chugh Spring 2009 May 16, 2009 NAME: TA S NAME: The Exam has a oal of four (4) problems
More informationBorders and Nominal Exchange Rates in Risk- Sharing
Crawford School of Public Policy CAMA Cenre for Applied Macroeconomic Analysis Borders and Nominal Exchange Raes in Risk- Sharing CAMA Working Paper 37/2013 June 2013 Michael B. Devereux Deparmen of Economics,
More informationPrice level convergence within the euro area: How Europe caught up with the US and lost terrain again
No. 497 / January 2016 Price level convergence wihin he euro area: How Europe caugh up wih he US and los errain again Marco Hoeberichs and Ad Sokman Price level convergence wihin he euro area: How Europe
More informationEvaluating Projects under Uncertainty
Evaluaing Projecs under Uncerainy March 17, 4 1 Projec risk = possible variaion in cash flows 2 1 Commonly used measure of projec risk is he variabiliy of he reurn 3 Mehods of dealing wih uncerainy in
More informationMathematical methods for finance (preparatory course) Simple numerical examples on bond basics
Mahemaical mehods for finance (preparaory course) Simple numerical examples on bond basics . Yield o mauriy for a zero coupon bond = 99.45 = 92 days (=0.252 yrs) Face value = 00 r 365 00 00 92 99.45 2.22%
More informationThe macroeconomic effects of fiscal policy in Greece
The macroeconomic effecs of fiscal policy in Greece Dimiris Papageorgiou Economic Research Deparmen, Bank of Greece Naional and Kapodisrian Universiy of Ahens May 22, 23 Email: dpapag@aueb.gr, and DPapageorgiou@bankofgreece.gr.
More informationIndustry Profitability Dispersion and Market-to-book Ratio
Indusry Profiabiliy Dispersion and Marke-o-book Raio Jia Chen *, Kewei Hou, and René M. Sulz 30 January 2014 Absrac Firms in indusries ha have high indusry-level dispersion of profiabiliy have on average
More informationAid, Policies, and Growth
Aid, Policies, and Growh By Craig Burnside and David Dollar APPENDIX ON THE NEOCLASSICAL MODEL Here we use a simple neoclassical growh model o moivae he form of our empirical growh equaion. Our inenion
More informationDocumentation: Philadelphia Fed's Real-Time Data Set for Macroeconomists First-, Second-, and Third-Release Values
Documenaion: Philadelphia Fed's Real-Time Daa Se for Macroeconomiss Firs-, Second-, and Third-Release Values Las Updaed: December 16, 2013 1. Inroducion We documen our compuaional mehods for consrucing
More informationECO 301 MACROECONOMIC THEORY UNIVERSITY OF MIAMI DEPARTMENT OF ECONOMICS PRACTICE FINAL EXAM Instructor: Dr. S. Nuray Akin
ECO 301 MACROECONOMIC THEORY UNIVERSITY OF MIAMI DEPARTMENT OF ECONOMICS PRACTICE FINAL EXAM Insrucor: Dr. S. Nuray Akin Name: ID: Insrucions: This exam consiss of 12 pages; please check your examinaion
More informationInformation in the term structure for the conditional volatility of one year bond returns
Informaion in he erm srucure for he condiional volailiy of one year bond reurns Revansiddha Basavaraj Khanapure 1 This Draf: December, 2013 1 Conac: 42 Amsel Avenue, 318 Purnell Hall, Newark, Delaware,
More informationPortfolio investments accounted for the largest outflow of SEK 77.5 billion in the financial account, which gave a net outflow of SEK billion.
BALANCE OF PAYMENTS DATE: 27-11-27 PUBLISHER: Saisics Sweden Balance of Paymens and Financial Markes (BFM) Maria Falk +46 8 6 94 72, maria.falk@scb.se Camilla Bergeling +46 8 6 942 6, camilla.bergeling@scb.se
More informationThe relation between U.S. money growth and inflation: evidence from a band pass filter. Abstract
The relaion beween U.S. money growh and inflaion: evidence from a band pass filer Gary Shelley Dep. of Economics Finance; Eas Tennessee Sae Universiy Frederick Wallace Dep. of Managemen Markeing; Prairie
More informationSTATIONERY REQUIREMENTS SPECIAL REQUIREMENTS 20 Page booklet List of statistical formulae New Cambridge Elementary Statistical Tables
ECONOMICS RIPOS Par I Friday 7 June 005 9 Paper Quaniaive Mehods in Economics his exam comprises four secions. Secions A and B are on Mahemaics; Secions C and D are on Saisics. You should do he appropriae
More informationCURRENCY CHOICES IN VALUATION AND THE INTEREST PARITY AND PURCHASING POWER PARITY THEORIES DR. GUILLERMO L. DUMRAUF
CURRENCY CHOICES IN VALUATION AN THE INTEREST PARITY AN PURCHASING POWER PARITY THEORIES R. GUILLERMO L. UMRAUF TO VALUE THE INVESTMENT IN THE OMESTIC OR FOREIGN CURRENCY? Valuing an invesmen or an acquisiion
More informationCentral Bank Intervention and Exchange Rate Volatility (Empirically Testing Conflicting Results)
Cenral Bank Inervenion and Exchange Rae Volailiy (Empirically Tesing Conflicing Resuls) Econ 11C Term Paper Professor Ai-Ru Cheng 1/16/07 by Sanchia Mukherjee Vladyslav Sushko 1 Table of Conens: 1. Inroducion...
More informationStylized fact: high cyclical correlation of monetary aggregates and output
SIMPLE DSGE MODELS OF MONEY PART II SEPTEMBER 27, 2011 Inroducion BUSINESS CYCLE IMPLICATIONS OF MONEY Sylized fac: high cyclical correlaion of moneary aggregaes and oupu Convenional Keynesian view: nominal
More informationUNIVERSITY OF MORATUWA
MA5100 UNIVERSITY OF MORATUWA MSC/POSTGRADUATE DIPLOMA IN FINANCIAL MATHEMATICS 009 MA 5100 INTRODUCTION TO STATISTICS THREE HOURS November 009 Answer FIVE quesions and NO MORE. Quesion 1 (a) A supplier
More informationOpen-High-Low-Close Candlestick Plot (Statlet)
Open-High-Low-Close Candlesick Plo (Sale) STATGRAPHICS Rev. 7/28/2015 Summary... 1 Daa Inpu... 2 Sale... 3 References... 5 Summary The Open-High-Low-Close Candlesick Plo Sale is designed o plo securiy
More informationSMALL MENU COSTS AND LARGE BUSINESS CYCLES: AN EXTENSION OF THE MANKIW MODEL
SMALL MENU COSTS AND LARGE BUSINESS CYCLES: AN EXTENSION OF THE MANKIW MODEL 2 Hiranya K. Nah, Sam Houson Sae Universiy Rober Srecher, Sam Houson Sae Universiy ABSTRACT Using a muli-period general equilibrium
More informationINSTITUTE OF ACTUARIES OF INDIA
INSIUE OF ACUARIES OF INDIA EAMINAIONS 23 rd May 2011 Subjec S6 Finance and Invesmen B ime allowed: hree hours (9.45* 13.00 Hrs) oal Marks: 100 INSRUCIONS O HE CANDIDAES 1. Please read he insrucions on
More informationInstantaneous Correlation and Cyclical Convergence in the Euro Zone* Scott Davis a
Insananeous Correlaion and Cyclical Convergence in he Euro Zone* Sco Davis a Absrac: This paper inroduces he measure of insananeous correlaion o sudy he effecs of a common currency on cyclical correlaion
More informationOutput: The Demand for Goods and Services
IN CHAPTER 15 how o incorporae dynamics ino he AD-AS model we previously sudied how o use he dynamic AD-AS model o illusrae long-run economic growh how o use he dynamic AD-AS model o race ou he effecs
More informationMacroeconomics II THE AD-AS MODEL. A Road Map
Macroeconomics II Class 4 THE AD-AS MODEL Class 8 A Road Map THE AD-AS MODEL: MICROFOUNDATIONS 1. Aggregae Supply 1.1 The Long-Run AS Curve 1.2 rice and Wage Sickiness 2.1 Aggregae Demand 2.2 Equilibrium
More informationGDP: Production and Income Data published since 1947
GDP: Producion and Income Daa published since 1947 GDP is he marke value of all final goods and services produced wihin a counry in a given period of ime. GDP is he sum of value added in he economy during
More informationThe Relationship between Money Demand and Interest Rates: An Empirical Investigation in Sri Lanka
The Relaionship beween Money Demand and Ineres Raes: An Empirical Invesigaion in Sri Lanka R. C. P. Padmasiri 1 and O. G. Dayarana Banda 2 1 Economic Research Uni, Deparmen of Expor Agriculure 2 Deparmen
More informationSession IX: Special topics
Session IX: Special opics 2. Subnaional populaion projecions 10 March 2016 Cheryl Sawyer, Lina Bassarsky Populaion Esimaes and Projecions Secion www.unpopulaion.org Maerials adaped from Unied Naions Naional
More informationASSIGNMENT BOOKLET. M.Sc. (Mathematics with Applications in Computer Science) Mathematical Modelling (January 2014 November 2014)
ASSIGNMENT BOOKLET MMT-009 M.Sc. (Mahemaics wih Applicaions in Compuer Science) Mahemaical Modelling (January 014 November 014) School of Sciences Indira Gandhi Naional Open Universiy Maidan Garhi New
More informationSubdivided Research on the Inflation-hedging Ability of Residential Property: A Case of Hong Kong
Subdivided Research on he -hedging Abiliy of Residenial Propery: A Case of Hong Kong Guohua Huang 1, Haili Tu 2, Boyu Liu 3,* 1 Economics and Managemen School of Wuhan Universiy,Economics and Managemen
More informationThe impact of demography on financing social expenditure. Motohiro Sato Hitotsubashi Univesity
The impac of demography on financing social expendiure Moohiro Sao Hiosubashi Univesiy 1 Increase in he social insurance expendiure Japan is aging! Social insurance benefi In Japan Aging will increase
More informationErratic Price, Smooth Dividend. Variance Bounds. Present Value. Ex Post Rational Price. Standard and Poor s Composite Stock-Price Index
Erraic Price, Smooh Dividend Shiller [1] argues ha he sock marke is inefficien: sock prices flucuae oo much. According o economic heory, he sock price should equal he presen value of expeced dividends.
More informationData Mining Anomaly Detection. Lecture Notes for Chapter 10. Introduction to Data Mining
Daa Mining Anomaly Deecion Lecure Noes for Chaper 10 Inroducion o Daa Mining by Tan, Seinbach, Kumar Tan,Seinbach, Kumar Inroducion o Daa Mining 4/18/2004 1 Anomaly/Oulier Deecion Wha are anomalies/ouliers?
More informationVolatility Spillovers between Stock Market Returns and Exchange Rate Changes: the New Zealand Case
Volailiy Spillovers beween Sock Marke eurns and Exchange ae Changes: he New Zealand Case Choi, D.F.S., V. Fang and T.Y. Fu Deparmen of Finance, Waikao Managemen School, Universiy of Waikao, Hamilon, New
More informationData Mining Anomaly Detection. Lecture Notes for Chapter 10. Introduction to Data Mining
Daa Mining Anomaly Deecion Lecure Noes for Chaper 10 Inroducion o Daa Mining by Tan, Seinbach, Kumar Tan,Seinbach, Kumar Inroducion o Daa Mining 4/18/2004 1 Anomaly/Oulier Deecion Wha are anomalies/ouliers?
More informationAPRA Research Methodology for Analysis of Superannuation Funds
Curren Research Quesions APRA Research Mehodology for Analysis of Superannuaion Funds Wha are he deerminans of he cross-secional variaion in superannuaion reurns? Asse allocaion, manager skill, expenses/axes
More informationProcess of convergence dr Joanna Wolszczak-Derlacz. Lecture 4 and 5 Solow growth model (a)
Process of convergence dr Joanna Wolszczak-Derlacz ecure 4 and 5 Solow growh model a Solow growh model Rober Solow "A Conribuion o he Theory of Economic Growh." Quarerly Journal of Economics 70 February
More informationAsymmetric liquidity risks and asset pricing
Asymmeric liquidiy risks and asse pricing Sean Anhonisz and Tālis J. Puniņš Universiy of Technology Sydney 6 h Financial Risks Inernaional Forum on Liquidiy Risk 26 March 2013 Liquidiy level Liquidiy affecs
More informationOPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS
Kuwai Chaper of Arabian Journal of Business and Managemen Review Vol. 3, No.6; Feb. 2014 OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS Ayoub Faramarzi 1, Dr.Rahim
More informationAlthough this may seem simplistic, firms competing in prices can obtain three possible outcomes:
Economics 101: handou par i) Hoelling s game Hoelling s game represens a form of compeiion. In is wo inerpreaions, wo enrepreneurs are choosing eiher he locaion of heir business fixing marke prices) or
More informationFINAL EXAM EC26102: MONEY, BANKING AND FINANCIAL MARKETS MAY 11, 2004
FINAL EXAM EC26102: MONEY, BANKING AND FINANCIAL MARKETS MAY 11, 2004 This exam has 50 quesions on 14 pages. Before you begin, please check o make sure ha your copy has all 50 quesions and all 14 pages.
More informationMA Advanced Macro, 2016 (Karl Whelan) 1
MA Advanced Macro, 2016 (Karl Whelan) 1 The Calvo Model of Price Rigidiy The form of price rigidiy faced by he Calvo firm is as follows. Each period, only a random fracion (1 ) of firms are able o rese
More informationNBER WORKING PAPER SERIES CONSUMPTION RISK-SHARING AND THE REAL EXCHANGE RATE: WHY DOES THE NOMINAL EXCHANGE RATE MAKE SUCH A DIFFERENCE?
NBER WORKING PAPER SERIES CONSUMPTION RISK-SHARING AND THE REAL EXCHANGE RATE: WHY DOES THE NOMINAL EXCHANGE RATE MAKE SUCH A DIFFERENCE? Michael B. Devereux Vikoria Hnakovska Working Paper 17288 hp://www.nber.org/papers/w17288
More information