Mostrando recursos 161 - 180 de 212

  1. Seasonal fluctuations and dynamic equilibrium models of exchange rate

    Jimenez-Martin, Juan-Angel; Flores de Frutos, Rafael
    Most dynamic equilibrium models of exchange rate are not able to generate monthly time series with the typical properties of actual exchange rate. If the exogenous endowments in an equilibrium exchange rate model contain seasonal variations, then the exchange rate will as well. In this paper, we show how in this framework, seasonal preferences can help to remove seasonality of the exchange rate simulated time series.

  2. Macroeconomic and policy uncertainty and exchange rate risk premium

    Jiménez Martín, Juan Ángel; Peruga Urrea, Rodrigo
    The goal of this paper is to identify the main determinants of the risk premium in some European currency markets just before the EMU. To that extent, we start from Lucas (1982) exchange rate model and derive an analytical expression for the forward premium. This expression includes money and production variables and it is quite standard, except for the inclusion of macroeconomic policy risk. Under some standard assumptions, this formula simplifies substantially and becomes amenable to regression analysis. Then, using standard measures of money and production, as well as interest rate swap spreads as indicators of macroeconomic policy risk, the...

  3. The fit of dynamic equilibrium models of exchange rate

    Jimenez-Martin, Juan-Angel; Flores de Frutos, Rafael
    The two-country monetary model has become a fundamental tool for explaining the behavior of the exchange rate. However, the popularity of this approach is not justified by its empirical support. One of the reasons for the empirical “failure” of exchange rate models could be the econometric approach applied. In this paper, an alternative procedure for evaluating the fit of dynamic equilibrium models of exchange rate is suggested. This approach is applied to three theoretical models: Lucas (1982), Svensson (1985), and Grilli and Roubini (1992).

  4. The fit of dynamic equilibrium models of exchange rate

    Jimenez-Martin, Juan-Angel; Flores de Frutos, Rafael
    The two-country monetary model has become a fundamental tool for explaining the behavior of the exchange rate. However, the popularity of this approach is not justified by its empirical support. One of the reasons for the empirical “failure” of exchange rate models could be the econometric approach applied. In this paper, an alternative procedure for evaluating the fit of dynamic equilibrium models of exchange rate is suggested. This approach is applied to three theoretical models: Lucas (1982), Svensson (1985), and Grilli and Roubini (1992).

  5. Component versus tradicional models to forecast quarterly national account aggregates: a Monte Carlo experiment

    Marrero, Gustavo A.
    Econometric models applied to observed data, specified and estimated using traditional Box-Jenkins techniques, have been widely used to forecast Quarterly National Account (QNA) aggregates. We assess the extent to which an alternative forecasting procedure, based on component models, improves the forecasting accuracy of traditional methods. Component models distinguish between the stochastic processes underlying the low- and the high-frequency component of time series, while traditional methods do not. Relationships between QNA aggregates and their coincident indicators are often significantly different for diverse frequencies, as suggested by even an informal examination of empirical evidence. Under these circumstances, a Monte Carlo out-of-sample experiment reveals that...

  6. Component versus tradicional models to forecast quarterly national account aggregates: a Monte Carlo experiment

    Marrero, Gustavo A.
    Econometric models applied to observed data, specified and estimated using traditional Box-Jenkins techniques, have been widely used to forecast Quarterly National Account (QNA) aggregates. We assess the extent to which an alternative forecasting procedure, based on component models, improves the forecasting accuracy of traditional methods. Component models distinguish between the stochastic processes underlying the low- and the high-frequency component of time series, while traditional methods do not. Relationships between QNA aggregates and their coincident indicators are often significantly different for diverse frequencies, as suggested by even an informal examination of empirical evidence. Under these circumstances, a Monte Carlo out-of-sample experiment reveals that...

  7. Characterizing the optimal composition of government expenditures

    Pérez Sánchez, Rafaela María
    This paper extends the neoclassical growth model with productive public capital by including an infrastructure efficiency index, which is assumed to depend on a public choice variable, in particular, the share of public spending allocated to productive public consumption. A golden rule for the allocation of public expenditure between productive consumption and investment is specified. Under this framework, the observed path for the stock of infrastructures and the proposed efficiency index in the US economy during the last fifty years have been close to optimal: a lower stock of infrastructures has been accumulated, but it has been used more efficiently. Este...

  8. The welfare cost of business cycles in an economy with nonclearing markets

    Portier, Franck; Puch González, Luis Antonio
    In this paper we measure the welfare cost of fluctuations in a simple representative agent economy with nonclearing markets. The market friction we consider involves price rigidities and a voluntary exchange rationing scheme. These features are incorporated into an otherwise standard neoclassical growth model. We show that the frictions we introduce make the losses from fluctuations much bigger than in a frictionless environment.

  9. Unit root tests under time-varyng variances

    Cavaliere, Giuseppe
    The paper provides a general framework for investigating the effects of permanent changes in the variance of the errors of an autoregressive process on unit root tests. Such a framework — which is based on a novel asymptotic theory for integrated and near integrated processes with heteroskedastic errors — allows to evaluate how the variance dynamics affect the size and the power function of unit root tests. Contrary to previous studies, it is shown that under permanent variance shifts, the conventional critical values can lead both to oversized and undersized tests. The paper concludes by showing that the power function of the unit...

  10. Limited time series with a unit root

    Cavaliere, Giuseppe
    This paper develops an asymptotic theory for integrated and near-integrated time series whose range is constrained in some ways. Such a framework arises when integration and cointegration analysis are applied to persistent series which are bounded either by construction or because they are subject to control. The asymptotic properties of some commonly used integration tests are discussed; the bounded unit root distribution is introduced to describe the limiting distribution of the first-order autoregressive coefficient of a random walk under range constraints. The theoretical results show that the presence of such constraints can lead to drastically different asymptotics. Since deviations from the...

  11. Identificación de modelos para series temporales mediante métodos de subespacios

    García Hiernaux, Alfredo
    Esta tesis trata los problemas más habituales en la identificación de series temporales económicas. Siguiendo a Casals ["Métodos de Subespacios en Econometría", Tesis doctoral, Universidad Complutense de Madrid, 1997], afrontamos estas cuestiones desde un punto de vista original, ya que partimos de los llamados métodos de subespacios. Estos procedimientos, que son de uso relativamente común en otros campos como ingeniería o física, tienen ciertas ventajas respecto de los métodos actualmente utilizados en el análisis de series temporales. El trabajo contiene algoritmos basados en técnicas de subespacios implementados con el objetivo de modelar tanto procesos univariantes como series múltiples. Primero, detectan...

  12. Estudios econométricos de las series temporales de la industria española

    Muñoz Polo, Silvia

  13. Crecimiento y desequilibrios regionales un modelo espacial para México

    Pérez Pineda, Jorge Antonio
    En este trabajo se ilustra la reproducción de diferencias regionales que impactan sobre el crecimiento y los desequilibrios entre estados y regiones de México, para el período de 1970 a 1998. Partiendo de la premisa de que la concentración espacial de recursos puede explicar una parte importante de la renta, el enfoque abordado sugiere que existen dos tipos de variables que capturan los factores del crecimiento y por tanto los determinantes de los desequilibrios. Tales variables se pueden considerar de tipo espacial y no espacial. Las primeras llamadas así por considerar el espacio en alguna de sus formas, y las...

  14. Anàlisi de leficiència de lempresa aeroportuària en lactual marc desregulador.

    Tarrats i Bierge, Enric
    RESUM. En lactualitat, són pocs els Estats europeus i darreu del món amb economia de mercat que tinguin un model aeroportuari completament públic i centralitzat. El desenvolupament del procés de desregulació als aeroports està comportant un ampli ventall dopcions, des de la compra dels aeroports per part del sector financer introduint formes de gestió pròpies del món empresarial, a la introducció de sistemes de gestió indirecta similars a la forma concessional o, també, la creació a càrrec dels governs de corporacions públiques de caràcter regional amb la participació dels governs locals i regionals i sistemes de gestió aplicant criteris comercials. En el...

  15. Testing for unit roots in autoregressions with multiple level shifts

    Cavaliere, Giuseppe; Georgiev, Iliyan
    The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion and a Poisson-type jump process. Due to the latter, tests based on standard critical values experience power losses increasing rapidly with the number and the magnitude of the shifts. A new approach to unit root testing is suggested which requires no knowledge of either the location or the number of level shifts, and which dispenses with the assumption...

  16. International dynamic risk sharing

    Cavaliere, Giuseppe; Fanelli, Luca; Gardini, Attilio
    In this paper we examine the formal implications of international risk sharing among a set of countries in the presence of market frictions and forward-looking behaviour. We show that if frictions prevent consumption to adjust instantaneously toits optimal long run level, consumption streams in the countries belonging to the risk sharing pool change over time according to a dynamic disequilibrium model wich can be nested within an error-correcting vector autoregressive process. Econometric methods for testing the restrictions imposed by the theory at both short and long horizons are proposed and discussed. The empirical analysis of a set of core European...

  17. Considerazioni attorno al rapporto quadratico di concentrazione

    Bettuzzi, Giancarlo

  18. Analisi di multicointegrazione in sistemi VAR: alcune prospettive

    Paruolo, Paolo

  19. Notes on goodness of fit tests for the logistic regression model

    Mignani, Stefania

  20. Workers’ enterprises are not perverse: differential oligopoly games with sticky price

    Cellini, Roberto; Lambertini, Luca
    We take a differential game approach to study the dynamic behaviour of labour managed (LM) firms, in the presence of price stickiness. We find that the oligopoly market populated by LM firms reaches the same steady state equilibrium allocation as the oligopoly populated by profit-maximising (PM) firms, provided that the LM membership and the PM labour force are set before the market game starts. The conclusion holds under both the openloop solution and the closed-loop solution. The result confirms the point made by Sertel (1987) in a static framework.

Aviso de cookies: Usamos cookies propias y de terceros para mejorar nuestros servicios, para análisis estadístico y para mostrarle publicidad. Si continua navegando consideramos que acepta su uso en los términos establecidos en la Política de cookies.