Recent econometric techniques for macroeconomic and financial data
著者
書誌事項
Recent econometric techniques for macroeconomic and financial data
（Dynamic modeling and econometrics in economics and finance / series editors, Stefan Mittnik, Willi Semmler, v. 27）
Springer, c2021
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注記
Includes bibliographical references
内容説明・目次
内容説明
The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models.
The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
目次
Introduction (Gilles Dufrenot and Takashi Matsuki, eds)
Part I. Macroeconometrics and international financeChapter 1. Quantile and copula spectrum: a new approach to investigate cyclical dependence in economic time seriesGilles Dufrenot, Takashi Matsuki and Kimiko Sugimoto1.-Introduction: why using quantile spectrum?2.- Quantile spectrum: non-parametric and parametric Methods2.1.- Non-parametric approach2.2.- Parametric approach: quantile spectrum and quantile regression models3.- Copula spectral density and rank-based Laplace periodogram4. Estimating quantile spectrum using software4.1.-Estimation of non-parametric quantile spectrum using RATS estima4.2.- Using R package to estimate quantile spectrum and cross spectrumReferencesChapter 2. On the seemingly incompleteness of the exchange rate pass-trough to import pricesAntonia Lopez-Villavicencio and Valerie Mignon1.-Introduction2.- Methodology3.-data3.1.-Time sample3.2- Variables3.3- Indicators of globalization3.4.- Descriptive statistics4.- Results4.1.- Accounting for globalization4.2.- Using disaggregated data accounting for the good level4.3.- Accounting for globalization at the good level5. ConclusionReferencesChapter 3. A state-space model to estimate potential growth in the industrialized countriesThomas Brand, Gilles Dufrenot, Antoine Mayerowitz1.- Introduction2.- is potential growth led by financial variables: a simple Bayesian estimation3.- A State-space model with theoretical relationships3.1.- The general model3.2.-Sub-models and comparison with other models used in the literature3.3.-Estimation methods3.4.- Data and methods3.5.- ConclusionReferences
Chapter 4.- A top-down method for rational bubbles: application of the threshold bounds testing approach to the Japanese, UK and US Financial marketsJun Nagayasu1.-Introduction2.-The threshold autoregressive distributed lag model (T-ADRL)3.-Application : testing bubbles4.- ConclusionReferencesChapter 5.- An analysis of the time-varying behavior of the equilibrium velocity of money in the euro areaMariam Camarero, Juan Sapena and Cecilio Tamarit1.- Introduction: the shockingly low money velocity in the Euro Area (EA) and its consequences2.- Money demand and velocity: income and transactions3.- A short review of the literature4.- Methodology and estimation.4.1.-A time-varying parameters State-Space framework for panel data.4.2.- An application to the money velocity in the EA.5.- ConclusionsReferencesChapter 6.- Revisiting wealth effects in France: a double-nonlinearity approachOlivier Damette and Fredj Jawadi1.- Introduction2.- Econometric methodology2.1. Linear cointegration specification for wealth effects2.2. Threshold ECM effects for wealth effects2.3. Time varying VECM specification for wealth effects3. Data and empirical analysis3.1. Data and preliminary analysis
3.2. The linear cointegration analysis3.3. Nonlinear cointegration with asymmetric adjustment3.4. NECMs with nonlinearity in the long-run5.- ConclusionsReferencesPart II. Financial econometricsChapter 7.- Econometrics of commoditiesJean-Francois Carpantier1.-Introduction2.- Tests of the Prebisch-Singer hypothesis3.- Tests of the commodity currencies hypothesis4. Models of commodity risk-management5.-Models of financiarization of commodities6.-Data comparison7. ConclusionReferencesChapter 8.- Conditional Beta of real estateMarcel Aloy, Sebastien Laurent and Christelle Lecourt1.-Introduction2.- Literature review3.- Theory4.- Main results5.-ConclusionReferencesChapter 9.- Common factors in international portfolio flows
Yushi Yoshida1.- Introduction2.- International Portfolio Flows2.1.- Review of Related Literature2.2.- Financial Account Flows (global and regional overview of financial account flows based on quarterly data by the Balance of Payment statistics, IMF)2.3.- Portfolio Account Flows (bond flows and equity flows based on daily data by EPFR (Emerging Portfolio Fund Research) Global)3.- Multivariate GARCH Analysis3.1.- Bond Flows (between pairs of countries)3.2.- Equity Flows (between pairs of countries)3.3.- Bond and Equity (within a country)4.- Detrending Common Factors4.1.- Common Factors and Detrending (principal components)4.2.- Multivariate GARCH with Detrended Flows5.- ConclusionReferencesChapter 10.- Persistence in the stochastic cycles of stock pricesLuis Alberiko Gil-Alana and Guglielmo Maria Caporale1.- Introduction2.- Stochastic cycles3.- Data description4.- Empirical conclusions5.- ConclusionsChapter 11.- Commodities and cryptocurrencies: Markov-switching Levy models
Stephane Goutte and Benjamin Keddad1.- Introduction2.- Literature review2.1. Economic properties of Cryptocurrencies2.2. Commodities3.- Theoretical background3.1. Markov-Switching3.2. Levy Jump4.- The Stochastic Model4.1. Markov-Switching4.2. Levy Jump4.3 Regime-switching Levy5.-Data5.1 Sources5.2 Descriptive statistics6.- Results6.1 Cross-dynamic between commodities and crypto-currencies6.2 Forecasting7.- ConclusionList of contributors
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