Business Cycles. Trends and cycles. Overview. Trends and cycles. Chris Edmond NYU Stern. Spring Start by looking at quarterly US real GDP
|
|
- Silvester Holmes
- 5 years ago
- Views:
Transcription
1 Trends and cycles Business Cycles Start by looking at quarterly US real Chris Edmond NYU Stern Spring Overview Trends and cycles Business cycle properties does not grow smoothly: booms and recessions categorize other variables relative to look at correlation, volatility, leads and lags, etc Business cycle indicators statistical forecasts market forecasts US log real
2 Trends and cycles Business cycles Start by looking at quarterly US real want to isolate trend from cycle many ways to do this filtering we use something called the Hodrick-Prescott (HP) filter has the effect of drawing a smooth curve through the data percent deviation from trend - standard deviation at business cycle frequencies = Trends and cycles Business cycle jargon US log real percent deviation from trend 9.25 peak peak peak 8.75 peak peak 8.25 smooth red line is the trend given by an HP filter trough 7.75 trough trough trough - trough standard deviation at business cycle frequencies =
3 Business cycle jargon NBER recessions percent deviation from trend contraction contraction contraction - - standard deviation at business cycle frequencies = Source: National Bureau of Economic Research, Business cycle jargon Co-movement and volatility percent deviation from trend Many macro variables comove with which are positively correlated with? which are volatile? which are smooth? Variables to look at expansion national income accounts: consumption, investment, etc labor markets: hours, earnings, unemployment financial markets: stock prices, interest rates expansion expansion - standard deviation at business cycle frequencies =
4 Nondurables consumption Durables consumption correlation at business cycle frequencies = 0.73 standard deviation relative to = correlation at business cycle frequencies = 0.59 standard deviation relative to = Services consumption Investment correlation at business cycle frequencies = 0.71 standard deviation relative to = correlation at business cycle frequencies = 0.87 standard deviation relative to =
5 Co-movement and volatility Hours worked Consumption nondurables and services: pro-cyclical, relatively smooth durables: a bit less pro-cyclical, but much more volatile Investment extremely pro-cyclical and volatile similar to durables consumption correlation at business cycle frequencies = 0.74 standard deviation relative to = Source: Bureau of Labor Statistics, Labor markets Earnings per hour Examples hours worked earnings per hour unemployment employment Cyclical properties correlation at business cycle frequencies = 0.58 standard deviation relative to = 0.45 positively correlated with? smooth or volatile? leads or lags? - - Source: Bureau of Labor Statistics,
6 Unemployment Labor markets Hours worked correlation at business cycle frequencies = 0.76 standard deviation relative to = pro-cyclical, relatively smooth Earnings per hour 2 pro-cyclical, relatively smooth Unemployment counter-cyclical and extremely volatile -2 Employment pro-cyclical, somewhat volatile a lagging indicator? Source: Bureau of Labor Statistics, Employment Financial markets Examples correlation at business cycle frequencies = 0.71 standard deviation relative to = S&P 500 index term spread (long return short return) credit spread (risky return safe return) 2 Cyclical properties positively correlated with? -2 smooth or volatile? leads or lags? - -4 What do you think? - -6 Source: Bureau of Labor Statistics,
7 S&P 500 Credit spread 3 2 correlation at business cycle frequencies = 0.40 standard deviation relative to = 5.50 correlation at business cycle frequencies = 0.43 standard deviation relative to = credit spread = moody s BAA 10-year treasury Source: Standard and Poor s, Source: Federal Reserve Board of Governors, Term spread Financial markets S&P 500 index correlation at business cycle frequencies = 0.40 standard deviation relative to = 1.01 weakly pro-cyclical, massively volatile Term spread (long return short return) weakly counter-cyclical, same volatility as a leading indicator? Credit spread (risky return safe return) weakly counter-cyclical, smooth - term spread = 10-year treasury fed funds - Source: Federal Reserve Board of Governors,
8 What have we learned so far? does not grow smoothly: booms and recessions investment and durables consumption are even more volatile than ; nondurables and services consumption are less volatile consumption, investment, employment, and stock market all pro-cyclical unemployment, term and credit spreads counter-cyclical some indicators seem to lead the cycle (term spread?) while others lag the cycle (employment?) Business cycle indicators and forecasting Statistical forecasts properties of good leading indicators regression methods Market forecasts leading example: yield curve other examples? Lead/lag relationships might help with forecasting Business cycle indicators and forecasting Some variables seem to lead the business cycle can we exploit these indicator variables to forecast movements? Market prices aggregate information/beliefs of market participants can we use prices/returns to infer market forecasts? Correlated with variable of interest strength of correlation important sign of correlation not important Leads variable of interest Timely What s a good indicator Stable available quickly no significant revisions that would make in-sample assessments unreliable 30 32
9 Index of leading indicators Regression-based forecasting Regression INDICATOR WEIGHT Average weekly hours, manufacturing Average weekly initial claims for unemployment insurance Manufacturers new orders, consumer goods and materials Vendor performance, slower deliveries diffusion index Manufacturers new orders, non-defense capital goods Building permits, new private housing units Stock prices, 500 common stocks Money supply, M Interest rate spread, 10-year Treasury bonds less fed funds Index of consumer expectations γ Y,t+k = α + βx t + ε t Sources of forecast error large residual error (low R 2 ) imprecise estimates of α or β (large standard errors) unstable relationship between γ Y and X unstable data, revisions Source: Conference Board Regression-based forecasting Information aggregation Example k-period ahead growth γ Y,t+k vector of indicator variables observed at time t X t How do we combine information from many sources? adjust for differing degrees of quality or reliability? Market data basic idea: prices aggregate information of market participants regression γ Y,t+k = α + βx t + ε t (gives estimates of α and β coefficients) 34 36
10 Reading the yield curve: overview Euro yield curve Long bond yields contain information about expected future bond market conditions Why? If you buy a 10-year Treasury bond 6 annual percentage the yield should compensate you for expected changes in short rates over time if we expect short rates to rise, long yield should be higher Insight can try to reverse engineer this process infer expected future short rates from yield curve Difficulty separating risk premia on long bonds from expected future short rates yields ym maturity m (in years) Source: Euro zero-coupon yield curve, Feb Look at zero-coupon bonds ( zeros ) Bond yields Notation Convert yields to forward rates Notation p m = price of $100 in m-periods y m = yield on m-period bond (maturity m) Price and yield related by present value formula p m = 100 (1 + y m ) m (since prices are in dollars, yields are nominal) Yield curve ( term structure of interest rates ) is a plot of y m against m f m = 1-period return on investment made in m periods (forward rate) Yields apply to all periods until maturity, so $100 = p m (1 + y m ) m Forwards apply one period at a time, so $100 = p m (1 + f 0 )(1 + f 1 )... (1 + f m 1 ) Compute forwards from yields by comparing these relations, leads to 1 + f 0 = 1 + y f m = p m p m
11 Bond prices p m = Forward rates 100 (1 + y m ) m Numerical example 1 + f 0 = 1 + y 1 then 1 + f m = p m p m+1 Expectations hypothesis Basic idea: forward rate includes market expectation of future short rates Notation y m,t = yield on m-period bond contract at t f m,t = 1-period return on investment at m agreed at t Expectations hypothesis m (years) ym (%) pm (per 100) fm 1 (%) f m,t = E t {y 1,t+m } + risk premium m (E t { } means expectations of { } at date t ) Risk premium constant across time, varies across maturity m Euro yield curve Intuition for expectations hypothesis Compare strategies for investing over two periods: 6 annual percentage rollover strategy: reinvesting in short bonds 5 rollover return = (1 + y 1,t )(1 + y 1,t+1 ) forwards fm 1 yields ym maturity m (in years) buy and hold strategy: buy a two-period bond buy and hold return = (1 + y 2,t )(1 + y 2,t ) = (1 + y 1,t )(1 + f 1,t ) If y 1,t+1 known at t, market forces should equalize returns (so, y 1,t+1 = f 1,t ) But y 1,t+1 not known at t, so weaker conclusion f 1,t = E t {y 1,t+1 } + risk premium Source: Euro zero-coupon yield curve, Feb
12 Estimating risk premia Euro yield curve Expectations hypothesis f m,t = E t {y 1,t+m } + risk premium m 6 annual percentage historical average f m 1 5 Simple method to estimate risk premium terms forwards fm 1 T 4 risk premium m = 1 T t=1 {f m,t y 1,t } = f m f 0 3 yields ym (risk premium is average forward average short) 2 Calculate from historical data over long horizon T 1 0 maturity m (in years) Source: Euro zero-coupon yield curve, Feb Numerical example Euro yield curve m (years) annual percentage historical average f m 1 current data historical average f m f 0 f m,t (%) f m (%) risk premium forwards fm 1 yields ym estimated risk premium f m 1 f 0 maturity m (in years) Source: Euro zero-coupon yield curve, Feb
13 Reverse engineering the yield curve Euro yield curve Expectations hypothesis forward rate = expected short rate + risk premium 6 annual percentage historical average f m 1 5 So if we have market forward rates plus estimates of risk premia, then we can compute forwards fm 1 expected short rate = forward rate risk premium 4 yields ym 3 estimated risk premium f m 1 f 0 2 expected future short Et{y1,t+m} 1 0 maturity m (in years) Source: Euro zero-coupon yield curve, Feb Numerical example Comments Historical yield/forward curve is upward sloping, so current data f m f 0 m (years) f m,t (%) risk premium risk premium increases with maturity so an inverted (downward sloping) yield/forward curve surely gives falling expected future short rates but also flat yield/forward curve also gives falling expected future short rates Consequences of falling expected future short rates? lower growth and/or lower inflation expected future short E t {y 1,t+m }
14 Recall: term spread Credit spreads and default probabilities Similarly, can use credit spreads to infer market default probabilities correlation at business cycle frequencies = 0.40 standard deviation relative to = 1.01 Basic idea borrower s default probability α lender gets zero if borrower defaults lender gets return R if borrower does not default risk free return R f Market forces R f = α0 + (1 α)r or - - term spread = 10-year treasury fed funds α = R Rf R Observe credit spreads R R f, so infer market α Source: Euro zero-coupon yield curve, Feb 2006 Example: R = 1.10, R f = 1.05 then α = Reading the yield curve: recap Recall: credit spread Summary convert yields to forward rates use historical forward rates to estimate risk premium correlation at business cycle frequencies = 0.43 standard deviation relative to = 0.45 subtract estimate of risk premium result: market-based forecast of future short rate What can go wrong? bad/unstable estimates of risk premium market pricing based on non-risk factors - credit spread = moody s BAA 10-year treasury - Source: Euro zero-coupon yield curve, Feb
15 Business cycle properties What have we learned today? does not grow smoothly: booms and recessions investment and durables more volatile than ; nondurables and services less volatile consumption, investment, employment, and stock market all pro-cyclical unemployment, term and credit spreads counter-cyclical Business cycle indicators regression-based forecasting yield curve reflects market forecasts of future rates inverted/flat yield curve implies falling growth (and/or lower inflation) 57
Macro Notes: Introduction to the Short Run
Macro Notes: Introduction to the Short Run Alan G. Isaac American University But this long run is a misleading guide to current affairs. In the long run we are all dead. Economists set themselves too easy,
More informationMacro Week 1. A. Overview B. National Income Accounts; Aggregate Demand & Supply C. Business Cycles D. Understanding Central Bank Actions
Macro Week 1 A. Overview B. National Income Accounts; Aggregate Demand & Supply C. Business Cycles D. Understanding Central Bank Actions 1 A. OVERVIEW 2 Four indicators of interest (i) Real income per
More informationPractice Final Exam Answers Revised: January 9, 2008
Practice Final Exam Answers Revised: January 9, 2008 You have 120 minutes to complete this exam. There are 3 questions for a total of 120 points. You should budget your time at about 1 minute per point.
More informationE-322 Muhammad Rahman CHAPTER-3
CHAPTER-3 A. OBJECTIVE In this chapter, we will learn the following: 1. We will introduce some new set of macroeconomic definitions which will help us to develop our macroeconomic language 2. We will develop
More informationLeading Economic Indicators and a Probabilistic Approach to Estimating Market Tail Risk
Leading Economic Indicators and a Probabilistic Approach to Estimating Market Tail Risk Sonu Vanrghese, Ph.D. Director of Research Angshuman Gooptu Senior Economist The shifting trends observed in leading
More informationBusiness Cycle Properties Revised: January 21, 2009
The Global Economy Class Notes Business Cycle Properties Revised: January 21, 2009 Over the last two centuries, US real GDP has grown at an average rate between 3 and 3.5% a year, but this growth has been
More informationBusiness cycle. Giovanni Di Bartolomeo Sapienza University of Rome Department of economics and law
Sapienza University of Rome Department of economics and law Advanced Monetary Theory and Policy EPOS 2013/14 Business cycle Giovanni Di Bartolomeo giovanni.dibartolomeo@uniroma1.it US Real GDP Real GDP
More informationChapter 7 Selected Answers
Chapter 7 Selected Answers Problem 7.1: a) When Clorox buy back some of its bonds, fewer bonds are available at each interest rate, so that the borrowing curve in Figure 7.1.1 shifts leftward from Use
More informationMonetary Policy Revised: January 9, 2008
Global Economy Chris Edmond Monetary Policy Revised: January 9, 2008 In most countries, central banks manage interest rates in an attempt to produce stable and predictable prices. In some countries they
More informationEconomic Response Models in LookAhead
Economic Models in LookAhead Interthinx, Inc. 2013. All rights reserved. LookAhead is a registered trademark of Interthinx, Inc.. Interthinx is a registered trademark of Verisk Analytics. No part of this
More informationMacro-Investment Risks and Style Selection Michael Howell
Macro-Investment Risks and Style Selection Michael Howell LQG Spring Seminar 18th May 2017 At The Royal Geographical Society 1 Kensington Gore, SW7 2AR D-Star (Position of Curvature Peak in Years, 6-month
More informationFiscal Divergence and Business Cycle Synchronization: Irresponsibility is Idiosyncratic. Zsolt Darvas, Andrew K. Rose and György Szapáry
Fiscal Divergence and Business Cycle Synchronization: Irresponsibility is Idiosyncratic Zsolt Darvas, Andrew K. Rose and György Szapáry 1 I. Motivation Business cycle synchronization (BCS) the critical
More informationVII. Short-Run Economic Fluctuations
Macroeconomic Theory Lecture Notes VII. Short-Run Economic Fluctuations University of Miami December 1, 2017 1 Outline Business Cycle Facts IS-LM Model AD-AS Model 2 Outline Business Cycle Facts IS-LM
More informationCharacteristics of the euro area business cycle in the 1990s
Characteristics of the euro area business cycle in the 1990s As part of its monetary policy strategy, the ECB regularly monitors the development of a wide range of indicators and assesses their implications
More informationInternational Money and Banking: 13. Default Risk and Collateral
International Money and Banking: 13. Default Risk and Collateral Karl Whelan School of Economics, UCD Spring 2018 Karl Whelan (UCD) Default Risk and Collateral Spring 2018 1 / 13 Moving Beyond Risk-Free
More informationAnswers to Problem Set #6 Chapter 14 problems
Answers to Problem Set #6 Chapter 14 problems 1. The five equations that make up the dynamic aggregate demand aggregate supply model can be manipulated to derive long-run values for the variables. In this
More informationInternet Appendix for: Cyclical Dispersion in Expected Defaults
Internet Appendix for: Cyclical Dispersion in Expected Defaults March, 2018 Contents 1 1 Robustness Tests The results presented in the main text are robust to the definition of debt repayments, and the
More informationDiscussion of The Cyclicality of Add-On Pricing Boskovic/Kapoor/Markiewicz/Scholnick
Discussion of The Cyclicality of Add-On Pricing Boskovic/Kapoor/Markiewicz/Scholnick Konstanz Seminar 2018 Discussant: Sarah Lein University of Basel May 16, 2018 1/12 The Phillips Curve 1950s 1960s 12
More informationEconomy Check-In: Post 2008 Crisis Market Update Special Report
Insight. Education. Analysis. Economy Check-In: Post 2008 Crisis Market Update Special Report By Kevin Chambers The 2008 crisis was one of the worst downturns in American economic history. News reports
More informationMeasuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets
Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets Eric T. Swanson University of California, Irvine NBER Summer Institute, ME Meeting Cambridge, MA July
More informationEconomics Letters 108 (2010) Contents lists available at ScienceDirect. Economics Letters. journal homepage:
Economics Letters 108 (2010) 167 171 Contents lists available at ScienceDirect Economics Letters journal homepage: www.elsevier.com/locate/ecolet Is there a financial accelerator in US banking? Evidence
More informationthe data over much shorter periods of time of a year or less. Indeed, for the purpose of the
BUSINESS CYCLES Introduction We now turn to the study of the macroeconomy in the short run. In contrast to our study thus far where we were analysing the data over periods of 10 years in length, we will
More information1 Explaining Labor Market Volatility
Christiano Economics 416 Advanced Macroeconomics Take home midterm exam. 1 Explaining Labor Market Volatility The purpose of this question is to explore a labor market puzzle that has bedeviled business
More informationB35150 Winter 2014 Quiz Solutions
B35150 Winter 2014 Quiz Solutions Alexander Zentefis March 16, 2014 Quiz 1 0.9 x 2 = 1.8 0.9 x 1.8 = 1.62 Quiz 1 Quiz 1 Quiz 1 64/ 256 = 64/16 = 4%. Volatility scales with square root of horizon. Quiz
More informationLecture 5. Predictability. Traditional Views of Market Efficiency ( )
Lecture 5 Predictability Traditional Views of Market Efficiency (1960-1970) CAPM is a good measure of risk Returns are close to unpredictable (a) Stock, bond and foreign exchange changes are not predictable
More informationYield Curve and Predicted GDP Growth, September 2017
1 6 Yield Curve and Predicted GDP Growth, September 2017 Latest Data Archives Covering September 23, 2017 October 20, 2017 Highlights October September August 3-month Treasury bill rate (percent) 1.10
More informationBusiness Cycle Measurement
Business Cycle Measurement Chapter 3 Topics in Macroeconomics 2 Economics Division University of Southampton February 2009 Chapter 3 1/31 Topics in Macroeconomics Outline Regularities in GDP Fluctuations
More informationYIELD CURVE INVERSION: A CLEAR BUT UNLIKELY DANGER
1-year minus -year UST (%) INVESTMENT STRATEGY COMMENTARY YIELD CURVE INVERSION: A CLEAR BUT UNLIKELY DANGER December 4, 17 Investors focus on the yield curve with good reason an inverted curve has historically
More informationBusiness Cycles. (c) Copyright 1998 by Douglas H. Joines 1
Business Cycles (c) Copyright 1998 by Douglas H. Joines 1 Module Objectives Know the causes of business cycles Know how interest rates are determined Know how various economic indicators behave over the
More informationPushing on a string: US monetary policy is less powerful in recessions
Pushing on a string: US monetary policy is less powerful in recessions Silvana Tenreyro and Gregory Thwaites LSE and Bank of England September 13 Disclaimer This does not represent the views of the Bank
More informationMacroeconomic Measurement and Business Cycles
Macroeconomic Measurement and Business Cycles Economics 4353 - Intermediate Macroeconomics Aaron Hedlund University of Missouri Fall 2015 Econ 4353 (University of Missouri) Measurement and Business Cycles
More informationPredicting Turning Points in the South African Economy
289 Predicting Turning Points in the South African Economy Elna Moolman Department of Economics, University of Pretoria ABSTRACT Despite the existence of macroeconomic models and complex business cycle
More informationFinal Exam Suggested Solutions
University of Washington Fall 003 Department of Economics Eric Zivot Economics 483 Final Exam Suggested Solutions This is a closed book and closed note exam. However, you are allowed one page of handwritten
More informationMacroeconomic Measurement and Business Cycles
Macroeconomic Measurement and Business Cycles Economics 3307 - Intermediate Macroeconomics Aaron Hedlund Baylor University Fall 2013 Econ 3307 (Baylor University) Measurement and Business Cycles Fall 2013
More informationAnswers to Problem Set #8
Macroeconomic Theory Spring 2013 Chapter 15 Answers to Problem Set #8 1. The five equations that make up the dynamic aggregate demand aggregate supply model can be manipulated to derive long-run values
More informationInflation Hedging with Alternative Investments
EAID 2008 Alternative Investment Conference Wednesday December 10, 3:15 pm - 4:45 pm Inflation Hedging with Alternative Investments Volker Ziemann Senior Research Engineer EDHEC Risk and Asset Management
More information3.36pt. Karl Whelan (UCD) Term Structure of Interest Rates Spring / 36
3.36pt Karl Whelan (UCD) Term Structure of Interest Rates Spring 2018 1 / 36 International Money and Banking: 12. The Term Structure of Interest Rates Karl Whelan School of Economics, UCD Spring 2018 Karl
More informationChapter 13 Return, Risk, and Security Market Line
1 Chapter 13 Return, Risk, and Security Market Line Konan Chan Financial Management, Spring 2018 Topics Covered Expected Return and Variance Portfolio Risk and Return Risk & Diversification Systematic
More informationProblem Set #5 Due in hard copy at beginning of lecture on Monday, April 8, 2013
Name: Solutions Department of Economics Professor Dowell California State University, Sacramento Spring 2013 Problem Set #5 Due in hard copy at beginning of lecture on Monday, April 8, 2013 Important:
More informationA Unified Theory of Bond and Currency Markets
A Unified Theory of Bond and Currency Markets Andrey Ermolov Columbia Business School April 24, 2014 1 / 41 Stylized Facts about Bond Markets US Fact 1: Upward Sloping Real Yield Curve In US, real long
More informationAsset Pricing in Production Economies
Urban J. Jermann 1998 Presented By: Farhang Farazmand October 16, 2007 Motivation Can we try to explain the asset pricing puzzles and the macroeconomic business cycles, in one framework. Motivation: Equity
More informationECONOMIC COMMENTARY. An Unstable Okun s Law, Not the Best Rule of Thumb. Brent Meyer and Murat Tasci
ECONOMIC COMMENTARY Number 2012-08 June 7, 2012 An Unstable Okun s Law, Not the Best Rule of Thumb Brent Meyer and Murat Tasci Okun s law is a statistical relationship between unemployment and GDP that
More informationMIDTERM EXAMINATION FALL
MIDTERM EXAMINATION FALL 2010 MGT411-Money & Banking By VIRTUALIANS.PK SOLVED MCQ s FILE:- Question # 1 Wider the range of outcome wider will be the. Risk Profit Probability Lose Question # 2 Prepared
More informationRisk, Return and Capital Budgeting
Risk, Return and Capital Budgeting For 9.220, Term 1, 2002/03 02_Lecture15.ppt Student Version Outline 1. Introduction 2. Project Beta and Firm Beta 3. Cost of Capital No tax case 4. What influences Beta?
More informationSérie Textos para Discussão
Universidade Federal do Rio de J a neiro Instituto de Economia TRENDS AND FLUCTUATIONS IN BRAZILIAN AND ARGENTINE TRADE FLOWS TD. 014/2004 Nelson H. Barbosa-Filho Série Textos para Discussão December 21,
More informationCost Shocks in the AD/ AS Model
Cost Shocks in the AD/ AS Model 13 CHAPTER OUTLINE Fiscal Policy Effects Fiscal Policy Effects in the Long Run Monetary Policy Effects The Fed s Response to the Z Factors Shape of the AD Curve When the
More informationR-Star Wars: The Phantom Menace
R-Star Wars: The Phantom Menace James Bullard President and CEO 34th Annual National Association for Business Economics (NABE) Economic Policy Conference Feb. 26, 2018 Washington, D.C. Any opinions expressed
More informationINTRODUCTION TO YIELD CURVES. Amanda Goldman
INTRODUCTION TO YIELD CURVES Amanda Goldman Agenda 1. Bond Market and Interest Rate Overview 1. What is the Yield Curve? 1. Shape and Forces that Change the Yield Curve 1. Real-World Examples 1. TIPS Important
More informationInternational Macroeconomic Comovement
International Macroeconomic Comovement Costas Arkolakis Teaching Fellow: Federico Esposito February 2014 Outline Business Cycle Fluctuations Trade and Macroeconomic Comovement What is the Cost of Business
More informationSpotlight: The Economic Cycle. April 30, 2018
Spotlight: The Economic Cycle April 30, 2018 History of recessions This is not a barcode! Although the U.S. has had 48 recessions since 1785, they are becoming shorter and less frequent In 1913, the Federal
More informationGroup Assignment I. database, available from the library s website) or national statistics offices. (Extra points if you do.)
Group Assignment I This document contains further instructions regarding your homework. It assumes you have read the original assignment. Your homework comprises two parts: 1. Decomposing GDP: you should
More informationForthcoming Revisions to the Index of Leading Economic Indicators By Dara Lee and Ataman Ozyildirim
Brussels Copenhagen Frankfurt Hong Kong London Mexico City New Delhi Ottawa New York Chicago San Francisco Washington Forthcoming Revisions to the Index of Leading Economic Indicators By Dara Lee and Ataman
More informationGeneral Economic Outlook Recession! Will it be Short and Shallow?
General Economic Outlook Recession! Will it be Short and Shallow? Larry DeBoer January 2002 We re in a recession. The National Bureau of Economic Research (NBER), the quasiofficial arbiter of business
More informationMONETARY POLICY EXPECTATIONS AND BOOM-BUST CYCLES IN THE HOUSING MARKET*
Articles Winter 9 MONETARY POLICY EXPECTATIONS AND BOOM-BUST CYCLES IN THE HOUSING MARKET* Caterina Mendicino**. INTRODUCTION Boom-bust cycles in asset prices and economic activity have been a central
More informationStock Prices and the Stock Market
Stock Prices and the Stock Market ECON 40364: Monetary Theory & Policy Eric Sims University of Notre Dame Fall 2017 1 / 47 Readings Text: Mishkin Ch. 7 2 / 47 Stock Market The stock market is the subject
More informationLECTURE 8 Monetary Policy at the Zero Lower Bound: Quantitative Easing. October 10, 2018
Economics 210c/236a Fall 2018 Christina Romer David Romer LECTURE 8 Monetary Policy at the Zero Lower Bound: Quantitative Easing October 10, 2018 Announcements Paper proposals due on Friday (October 12).
More informationSupplementary Appendix to Financial Intermediaries and the Cross Section of Asset Returns
Supplementary Appendix to Financial Intermediaries and the Cross Section of Asset Returns Tobias Adrian tobias.adrian@ny.frb.org Erkko Etula etula@post.harvard.edu Tyler Muir t-muir@kellogg.northwestern.edu
More informationLeads, Lags, and Logs: Asset Prices in Business Cycle Analysis
Leads, Lags, and Logs: Asset Prices in Business Cycle Analysis David Backus (NYU), Bryan Routledge (CMU), and Stanley Zin (CMU) Society for Economic Dynamics, July 2006 This version: July 11, 2006 Backus,
More informationFRBSF ECONOMIC LETTER
FRBSF ECONOMIC LETTER 15- July, 15 Assessing the Recent Behavior of Inflation BY KEVIN J. LANSING Inflation has remained below the FOMC s long-run target of % for more than three years. But this sustained
More informationUse the key terms below to fill in the blanks in the following statements. Each term may be used more than once.
Aggregate Supply and the Short-Run Tradeoff Between Inflation and Unemployment Fill-in Questions Use the key terms below to fill in the blanks in the following statements. Each term may be used more than
More informationThe Conference Board Employment Trends Index (ETI)
June 2008 Gad Levanon, Senior Economist, The Conference Board The Conference Board Employment Trends Index (ETI) Introduction The Conference Board produces respected indexes of economic indicators like
More informationChoose the one alternative that best completes the statement or answers the question.
Econ 330 Spring 2017: EXAM 1 Name ID Section Number MULTIPLE CHOICE. Choose the one alternative that best completes the statement or answers the question. 1) If market participants notice that a variable
More informationMULTIPLE CHOICE. Choose the one alternative that best completes the statement or answers the question.
Econ 330 Spring 2016: EXAM 1 Name ID Section Number MULTIPLE CHOICE. Choose the one alternative that best completes the statement or answers the question. 1) If a perpetuity has a price of $500 and an
More informationUS Business Cycle Risk Report
US Business Cycle Risk Report CapitalSpectator.com 15 November 2015 James Picerno, director of research +1.732.710.4750 caps@capitalspectator.com Business Cycle Risk Summary: The Economic Momentum and
More informationThe University of Chicago, Booth School of Business Business 41202, Spring Quarter 2012, Mr. Ruey S. Tsay. Solutions to Final Exam
The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2012, Mr. Ruey S. Tsay Solutions to Final Exam Problem A: (40 points) Answer briefly the following questions. 1. Consider
More informationInternational Finance
International Finance FINA 5331 Lecture 2: U.S. Financial System William J. Crowder Ph.D. Financial Markets Financial markets are markets in which funds are transferred from people and Firms who have an
More informationThe Big Picture. Macro Principles. Lecture 1
What is Macroeconomics? GDP Other Measures The Big Picture Macro Principles Lecture 1 Growth Fluctuations Today s Topics The main ideas in this lecture What do we mean by macroeconomics? What are the major
More informationCitation for published version (APA): Shehzad, C. T. (2009). Panel studies on bank risks and crises Groningen: University of Groningen
University of Groningen Panel studies on bank risks and crises Shehzad, Choudhry Tanveer IMPORTANT NOTE: You are advised to consult the publisher's version (publisher's PDF) if you wish to cite from it.
More informationRisk Shocks and Economic Fluctuations. Summary of work by Christiano, Motto and Rostagno
Risk Shocks and Economic Fluctuations Summary of work by Christiano, Motto and Rostagno Outline Simple summary of standard New Keynesian DSGE model (CEE, JPE 2005 model). Modifications to introduce CSV
More information14.02 Solutions Quiz III Spring 03
Multiple Choice Questions (28/100): Please circle the correct answer for each of the 7 multiple-choice questions. In each question, only one of the answers is correct. Each question counts 4 points. 1.
More informationPer Capita Housing Starts: Forecasting and the Effects of Interest Rate
1 David I. Goodman The University of Idaho Economics 351 Professor Ismail H. Genc March 13th, 2003 Per Capita Housing Starts: Forecasting and the Effects of Interest Rate Abstract This study examines the
More informationImproving on Buy and Hold: Asset Allocation using Economic Indicators By Georg Vrba, P.E. August 24, 2010
Improving on Buy and Hold: Asset Allocation using Economic Indicators By Georg Vrba, P.E. August 24, 2010 Advisor Perspectives welcomes guest contributions. The views presented here do not necessarily
More informationGeneral Notation. Return and Risk: The Capital Asset Pricing Model
Return and Risk: The Capital Asset Pricing Model (Text reference: Chapter 10) Topics general notation single security statistics covariance and correlation return and risk for a portfolio diversification
More informationLECTURE 11 Monetary Policy at the Zero Lower Bound: Quantitative Easing. November 2, 2016
Economics 210c/236a Fall 2016 Christina Romer David Romer LECTURE 11 Monetary Policy at the Zero Lower Bound: Quantitative Easing November 2, 2016 I. OVERVIEW Monetary Policy at the Zero Lower Bound: Expectations
More informationOnline Appendix to. The Value of Crowdsourced Earnings Forecasts
Online Appendix to The Value of Crowdsourced Earnings Forecasts This online appendix tabulates and discusses the results of robustness checks and supplementary analyses mentioned in the paper. A1. Estimating
More informationRecent Advances in Fixed Income Securities Modeling Techniques
Recent Advances in Fixed Income Securities Modeling Techniques Day 1: Equilibrium Models and the Dynamics of Bond Returns Pietro Veronesi Graduate School of Business, University of Chicago CEPR, NBER Bank
More informationThe Nelson-Siegel-Svensson Model for U.S. Treasury Securities and Its Interpretation
1 The Nelson-Siegel-Svensson Model for U.S. Treasury Securities and Its Interpretation By Lisa Patrick 1 Introduction Whether you are an investor in equities, bonds, real estate, or other financial securities,
More informationCost of Capital (represents risk)
Cost of Capital (represents risk) Cost of Equity Capital - From the shareholders perspective, the expected return is the cost of equity capital E(R i ) is the return needed to make the investment = the
More informationWEB APPENDIX 8A 7.1 ( 8.9)
WEB APPENDIX 8A CALCULATING BETA COEFFICIENTS The CAPM is an ex ante model, which means that all of the variables represent before-the-fact expected values. In particular, the beta coefficient used in
More informationBusiness Statistics: A First Course
Business Statistics: A First Course Fifth Edition Chapter 12 Correlation and Simple Linear Regression Business Statistics: A First Course, 5e 2009 Prentice-Hall, Inc. Chap 12-1 Learning Objectives In this
More informationLecture I. Anthony Broccardo Chief Investment Officer (CIO) F&C Asset Management plc London
Lecture I Anthony Broccardo Chief Investment Officer (CIO) F&C Asset Management plc London 12 th November 2004 STRATEGY Pulling it all together Strategy Pulling it all together Investment Philosophy Asset
More informationAnalysing the IS-MP-PC Model
University College Dublin, Advanced Macroeconomics Notes, 2015 (Karl Whelan) Page 1 Analysing the IS-MP-PC Model In the previous set of notes, we introduced the IS-MP-PC model. We will move on now to examining
More informationMARKET INPUTS. Joint UNCTAD, IMF and World Bank MTDS Workshop Geneva, October 1-5, 2018
MARKET INPUTS Joint UNCTAD, IMF and World Bank MTDS Workshop Geneva, October 1-5, 2018 MARKET INTEREST RATES The cash flows as well as the cost and risk of a given debt management strategy will depend
More informationGraduated from Glasgow University in 2009: BSc with Honours in Mathematics and Statistics.
The statistical dilemma: Forecasting future losses for IFRS 9 under a benign economic environment, a trade off between statistical robustness and business need. Katie Cleary Introduction Presenter: Katie
More informationAS/AD Model. Prof. Lutz Hendricks. March 9, Econ520
AS/AD Model Prof. Lutz Hendricks Econ520 March 9, 2017 1 / 40 Objectives In this section you will learn 1. how to put IS/LM and labor market clearing together 2. how to derive aggregate supply and demand
More informationComparison of OLS and LAD regression techniques for estimating beta
Comparison of OLS and LAD regression techniques for estimating beta 26 June 2013 Contents 1. Preparation of this report... 1 2. Executive summary... 2 3. Issue and evaluation approach... 4 4. Data... 6
More informationAverage Earnings and Long-Term Mortality: Evidence from Administrative Data
American Economic Review: Papers & Proceedings 2009, 99:2, 133 138 http://www.aeaweb.org/articles.php?doi=10.1257/aer.99.2.133 Average Earnings and Long-Term Mortality: Evidence from Administrative Data
More informationEconomics 826 International Finance. Final Exam: April 2007
Economics 826 International Finance Final Exam: April 2007 Answer 3 questions from Part A and 4 questions from Part B. Part A is worth 60%. Part B is worth 40%. You may write in english or french. You
More informationSUGGESTED ANSWERS TO PROBLEM SET
UNIVERSITY OF CALIFORNIA Economics 134 DEPARTMENT OF ECONOMICS Spring 2018 Professor David Romer SUGGESTED ANSWERS TO PROBLEM SET 1 1. a. The conditions indicate that we should consider the IS-MP model,
More informationCarnegie Mellon University Graduate School of Industrial Administration
Carnegie Mellon University Graduate School of Industrial Administration Chris Telmer Winter 2005 Final Examination Seminar in Finance 1 (47 720) Due: Thursday 3/3 at 5pm if you don t go to the skating
More informationMacro CH 29 sample questions
Class: Date: Macro CH 29 sample questions Multiple Choice Identify the choice that best completes the statement or answers the question. 1. The relationship between real GDP and potential GDP over the
More informationModeling and Forecasting the Yield Curve
Modeling and Forecasting the Yield Curve III. (Unspanned) Macro Risks Michael Bauer Federal Reserve Bank of San Francisco April 29, 2014 CES Lectures CESifo Munich The views expressed here are those of
More informationEconomic Indicators PENARIS
PENARIS : Table Contents Auto Sales...1 Balance of Payments...1 Balance of Trade (Merchandise Trade Balance)...1 Beige Book Fed Survey...1 Business Inventories and Sales...2 Capital Account...2 Durable
More informationEconomics. Economic Growth Session 1
Economics Economic Growth Session 1 National Association of Credit Management Graduate School of Credit and Financial Management American University Washington, DC June 23, 2018 1 Business Cycles Stocks
More informationChapter 2 Self Study Questions
Chapter 2 Self Study Questions True/False Indicate whether the sentence or statement is true or false. 1. If an individual investor buys and sells existing stocks through a broker, these are primary market
More informationDefinition 58 POTENTIAL GDP is the economy s long run growth trend for real GDP.
III GDP and the Business Cycle We now begin our discussion of business cycles, chapter. Definition 58 POTENTIAL GDP is the economy s long run growth trend for real GDP. Definition 59 The BUSINESS CYCLE
More informationLiquidity and Financial Cycles
Tobias Adrian Federal Reserve Bank of New York Hyun Song Shin Princeton University Presentation at the 6th BIS Annual Conference Financial System and Macroeconomic Resilience Brunnen, June 18-19, 2007
More informationEstimating the Natural Rate of Unemployment in Hong Kong
Estimating the Natural Rate of Unemployment in Hong Kong Petra Gerlach-Kristen Hong Kong Institute of Economics and Business Strategy May, Abstract This paper uses unobserved components analysis to estimate
More informationThe Stock Market Crash Really Did Cause the Great Recession
The Stock Market Crash Really Did Cause the Great Recession Roger E.A. Farmer Department of Economics, UCLA 23 Bunche Hall Box 91 Los Angeles CA 9009-1 rfarmer@econ.ucla.edu Phone: +1 3 2 Fax: +1 3 2 92
More informationReading. Valuation of Securities: Bonds
Valuation of Securities: Bonds Econ 422: Investment, Capital & Finance University of Washington Last updated: April 11, 2010 Reading BMA, Chapter 3 http://finance.yahoo.com/bonds http://cxa.marketwatch.com/finra/marketd
More information