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Author: Ruey S. Tsay Publisher: John Wiley & Sons ISBN: 1119264065 Category : Mathematics Languages : en Pages : 516
Book Description
A comprehensive resource that draws a balance between theory and applications of nonlinear time series analysis Nonlinear Time Series Analysis offers an important guide to both parametric and nonparametric methods, nonlinear state-space models, and Bayesian as well as classical approaches to nonlinear time series analysis. The authors—noted experts in the field—explore the advantages and limitations of the nonlinear models and methods and review the improvements upon linear time series models. The need for this book is based on the recent developments in nonlinear time series analysis, statistical learning, dynamic systems and advanced computational methods. Parametric and nonparametric methods and nonlinear and non-Gaussian state space models provide a much wider range of tools for time series analysis. In addition, advances in computing and data collection have made available large data sets and high-frequency data. These new data make it not only feasible, but also necessary to take into consideration the nonlinearity embedded in most real-world time series. This vital guide: • Offers research developed by leading scholars of time series analysis • Presents R commands making it possible to reproduce all the analyses included in the text • Contains real-world examples throughout the book • Recommends exercises to test understanding of material presented • Includes an instructor solutions manual and companion website Written for students, researchers, and practitioners who are interested in exploring nonlinearity in time series, Nonlinear Time Series Analysis offers a comprehensive text that explores the advantages and limitations of the nonlinear models and methods and demonstrates the improvements upon linear time series models.
Author: Ruey S. Tsay Publisher: John Wiley & Sons ISBN: 1119264065 Category : Mathematics Languages : en Pages : 516
Book Description
A comprehensive resource that draws a balance between theory and applications of nonlinear time series analysis Nonlinear Time Series Analysis offers an important guide to both parametric and nonparametric methods, nonlinear state-space models, and Bayesian as well as classical approaches to nonlinear time series analysis. The authors—noted experts in the field—explore the advantages and limitations of the nonlinear models and methods and review the improvements upon linear time series models. The need for this book is based on the recent developments in nonlinear time series analysis, statistical learning, dynamic systems and advanced computational methods. Parametric and nonparametric methods and nonlinear and non-Gaussian state space models provide a much wider range of tools for time series analysis. In addition, advances in computing and data collection have made available large data sets and high-frequency data. These new data make it not only feasible, but also necessary to take into consideration the nonlinearity embedded in most real-world time series. This vital guide: • Offers research developed by leading scholars of time series analysis • Presents R commands making it possible to reproduce all the analyses included in the text • Contains real-world examples throughout the book • Recommends exercises to test understanding of material presented • Includes an instructor solutions manual and companion website Written for students, researchers, and practitioners who are interested in exploring nonlinearity in time series, Nonlinear Time Series Analysis offers a comprehensive text that explores the advantages and limitations of the nonlinear models and methods and demonstrates the improvements upon linear time series models.
Author: Mr.Douglas Laxton Publisher: International Monetary Fund ISBN: Category : Business & Economics Languages : en Pages : 56
Book Description
This paper examines the evidence on asymmetries in the effects of activity on inflation. Data for the G-7 countries are found to strongly support the view that the inflation-activity relationship is nonlinear, with high levels of activity raising inflation by more than low levels decrease it. In the face of such asymmetries, the average level of output in an economy subject to demand shocks will be below the level of output at which there is no tendency for inflation to rise or fall, contrary to the implications of linear models. One implication of these results is that policymakers can raise the average level of output over time by responding promptly to demand shocks, thus reducing the variance of output around trend.
Author: Jordi Galí Publisher: University of Chicago Press ISBN: 0226278875 Category : Business & Economics Languages : en Pages : 663
Book Description
United States monetary policy has traditionally been modeled under the assumption that the domestic economy is immune to international factors and exogenous shocks. Such an assumption is increasingly unrealistic in the age of integrated capital markets, tightened links between national economies, and reduced trading costs. International Dimensions of Monetary Policy brings together fresh research to address the repercussions of the continuing evolution toward globalization for the conduct of monetary policy. In this comprehensive book, the authors examine the real and potential effects of increased openness and exposure to international economic dynamics from a variety of perspectives. Their findings reveal that central banks continue to influence decisively domestic economic outcomes—even inflation—suggesting that international factors may have a limited role in national performance. International Dimensions of Monetary Policy will lead the way in analyzing monetary policy measures in complex economies.
Author: Mr.Pietro Garibaldi Publisher: International Monetary Fund ISBN: 1451967551 Category : Business & Economics Languages : en Pages : 31
Book Description
This paper presents theory and evidence on the asymmetric effects of monetary policy on job creation and job destruction. First, it solves a dynamic matching model and it shows how interest rate changes result in an asymmetric response of job creation and destruction. Second, it looks at how changes in the federal fund rate affect gross job flows in the U.S. manufacturing industry, and it finds evidence of asymmetry. Tight policy increases job destruction and reduces net employment changes. Conversely, easy policy appears ineffective in stimulating job creation.
Author: Ignazio Angeloni Publisher: Cambridge University Press ISBN: 1139438816 Category : Business & Economics Languages : en Pages : 515
Book Description
This 2003 book offers the most systematic analysis available of the impact of European Central Bank monetary policy on the national economies of the Eurozone. Analysing macro and micro-economic evidence, with chapters by central bank economists, including a discussion chapter by eminent macroeconomists, it is an essential contribution to research on the subject.
Author: Ms.Deniz Igan Publisher: International Monetary Fund ISBN: 1484343506 Category : Business & Economics Languages : en Pages : 38
Book Description
This paper evaluates the strength of the balance sheet channel in the U.S. monetary policy transmission mechanism over the past three decades. Using a Factor-Augmented Vector Autoregression model on an expanded data set, including sectoral balance sheet variables, we show that the balance sheets of various economic agents act as important links in the monetary policy transmission mechanism. Balance sheets of financial intermediaries, such as commercial banks, asset-backed-security issuers and, to a lesser extent, security brokers and dealers, shrink in response to monetary tightening, while money market fund assets grow. The balance sheet effects are comparable in magnitude to the traditional interest rate channel. However, their economic significance in the run-up to the recent financial crisis was small. Large increases in interest rates would have been needed to avert a rapid rise of house prices and an unsustainable expansion of mortgage credit, suggesting an important role for macroprudential policies.
Author: Mr.Giovanni Dell'Ariccia Publisher: International Monetary Fund ISBN: 145195154X Category : Business & Economics Languages : en Pages : 32
Book Description
The paper analyzes the effects of informational asymmetries on the market structure of the banking industry in a multi-period model of spatial competition. All lenders face uncertainty with regard to borrowers’ creditworthiness, but, in the process of lending, incumbent banks gather proprietary information about their clients, acquiring an advantage over potential entrants. These informational asymmetries are an important determinant of the industry structure and may represent a barrier to entry for new banks. The paper shows that, in contrast with traditional models of horizontal differentiation, the steady-state equilibrium is characterized by a finite number of banks even in the absence of fixed costs.
Author: Thomas B. Fomby Publisher: Emerald Group Publishing Limited ISBN: 9781781907528 Category : Business & Economics Languages : en Pages : 0
Book Description
Advances in Econometrics publishes original scholarly econometric papers with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics, throughout the empirical economic, business and social science literature.
Author: Otmar Issing Publisher: Cambridge University Press ISBN: 9780521788885 Category : Business & Economics Languages : en Pages : 220
Book Description
A non-technical analysis of the monetary policy strategy, institutions and operational procedures of the Eurosystem, first published in 2001.
Author: Ruey S. Tsay
Author: Ruey S. Tsay
Author: Mr.Douglas Laxton
Author: Jordi Galí
Author: Mr.Pietro Garibaldi
Author: Ignazio Angeloni
Author: Ms.Deniz Igan
Author: Mr.Giovanni Dell'Ariccia
Author: Thomas B. Fomby
Author: Otmar Issing
Author: Kevalin Wangpichayasuk