ERN: Theoretical Dynamic Models (Topic)最新文献_第4页

Hot Money and External Adjustment 热钱与外部调整

ERN: Theoretical Dynamic Models (Topic) Pub Date : 2013-07-04 DOI: 10.2139/ssrn.2289893

Martin D. D. Evans

{"title":"Hot Money and External Adjustment","authors":"Martin D. D. Evans","doi":"10.2139/ssrn.2289893","DOIUrl":"https://doi.org/10.2139/ssrn.2289893","url":null,"abstract":"This paper studies the behavior of international capital flows driven by the portfolio reallocation decisions of international investors; so-called hot money. I develop an open economy model with endowment and preference shocks that can account for the empirical behavior of real exchange rates, interest rates and consumption in the U.S. and Europe. The model includes financial frictions that impede international risk-sharing and hot money flows driven by optimal portfolio reallocations. My analysis reveals that hot money flows are an economically insignificant part of the international adjustment process following standard (temporary) endowment shocks. In contrast, preference shocks that change investors’ risk aversion produce sizable hot money flows. These shocks also produce sizable variations in the expected return differentials on foreign assets and liabilities that allow for external adjustment via the valuation channel. Consistent with the model’s predictions, I show that forecasts of future return differentials contributed most to the volatility of the U.S. net foreign asset position in the post Bretton-Woods era. Together, these findings indicate that hot money flows are an integral and empirically important part of the external adjustment process.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116220822","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Simplified Mathematical Model of Financial Crisis 金融危机的简化数学模型

ERN: Theoretical Dynamic Models (Topic) Pub Date : 2013-01-27 DOI: 10.2139/ssrn.2207704

A. Krouglov

引用次数: 5

A Simple Model of a Currency Union with Endogenous Money and Saving-Investment Imbalances 具有内生货币和储蓄-投资失衡的货币联盟简单模型

ERN: Theoretical Dynamic Models (Topic) Pub Date : 2012-12-01 DOI: 10.2139/ssrn.2366779

Dirk Ehnts

引用次数: 3

On the Smoothness of Value Functions and the Existence of Optimal Strategies 论价值函数的平滑性和最优策略的存在性

ERN: Theoretical Dynamic Models (Topic) Pub Date : 2012-08-23 DOI: 10.2139/ssrn.1996808

Bruno H. Strulovici, M. Szydlowski

引用次数: 27

Real GDP Per Capita Since 1870 1870年以来的实际人均GDP

ERN: Theoretical Dynamic Models (Topic) Pub Date : 2012-05-25 DOI: 10.2139/ssrn.2066579

I. Kitov, Oleg Kitov

{"title":"Real GDP Per Capita Since 1870","authors":"I. Kitov, Oleg Kitov","doi":"10.2139/ssrn.2066579","DOIUrl":"https://doi.org/10.2139/ssrn.2066579","url":null,"abstract":"The growth rate of real GDP per capita in the biggest OECD countries is represented as a sum of two components – a steadily decreasing trend and fluctuations related to the change in some specific age population. The long term trend in the growth rate is modelled by an inverse function of real GDP per capita with a constant numerator. This numerator is equivalent to a constant annual increment of real GDP per capita. For the most advanced economies, the GDP estimates between 1950 and 2007 have shown very weak and statistically insignificant linear trends (both positive and negative) in the annual increment. The fluctuations around relevant mean increments are characterized by practically normal distribution. For many countries, there exist historical estimates of real GDP since 1870. These estimates extend the time span of our analysis together with a few new estimates from 2008 to 2011. There are severe structural breaks in the corresponding time series between 1940 and 1950, with the slope of linear regression increasing by a factor of 4.0 (Switzerland) to 22.1 (Spain). Therefore, the GDP estimates before 1940 and after 1950 have been analysed separately. All findings of the original study are validated by the newly available data. The most important is that all slopes (except that for Australia after 1950) of the regression lines obtained for the annual increments of real GDP per capita are small and statistically insignificant, i.e. one cannot reject the null hypothesis of a zero slope and thus constant increment. Hence the growth in real GDP per capita is a linear one since 1870 with a break in slope between 1940 and 1950.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128208892","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Supply Side Shocks, Near Rational Expectations, Cost Channel, and Monetary Policy 供给侧冲击、接近理性预期、成本渠道和货币政策

ERN: Theoretical Dynamic Models (Topic) Pub Date : 2011-07-08 DOI: 10.2139/ssrn.1881566

S. Z. Ali, S. Anwar

引用次数: 4

Systemic Risk and Financial Development in a Monetary Model 货币模型中的系统性风险与金融发展

ERN: Theoretical Dynamic Models (Topic) Pub Date : 2011-05-31 DOI: 10.2139/ssrn.1856028

P. Moutot

引用次数: 2

Oil Price Shocks and Labor Market Fluctuations 油价冲击与劳动力市场波动

ERN: Theoretical Dynamic Models (Topic) Pub Date : 2011-05-01 DOI: 10.5547/ISSN0195-6574-EJ-VOL32-NO3-4

Javier Ordóñez Monfort, Hector Sala, José I. Silva

引用次数: 17

WALS Estimation and Forecasting in Factor-Based Dynamic Models with an Application to Armenia 基于因子的动态模型的WALS估计与预测及其在亚美尼亚的应用

ERN: Theoretical Dynamic Models (Topic) Pub Date : 2011-05-01 DOI: 10.2139/ssrn.1836475

J. Magnus, K. Poghosyan

引用次数: 5

Comparison of Bayesian Moving Average and Principal Component Forecasts for Large Dimensional Factor Models 大维度因子模型贝叶斯移动平均和主成分预测的比较

ERN: Theoretical Dynamic Models (Topic) Pub Date : 2011-04-06 DOI: 10.36334/modsim.2011.d10.ouysse

Rachida Ouysse

{"title":"Comparison of Bayesian Moving Average and Principal Component Forecasts for Large Dimensional Factor Models","authors":"Rachida Ouysse","doi":"10.36334/modsim.2011.d10.ouysse","DOIUrl":"https://doi.org/10.36334/modsim.2011.d10.ouysse","url":null,"abstract":"The growing availability of financial and macroeconomic data sets including a large number of time series (hence the high dimensionality) calls for econometric methods providing a convenient and parsimonious representation of the covariance structure both in the time and the cross-sectional dimensions. Currently, dynamic factor models constitute the dominant framework across many disciplines for formal compression of information. To overcome the challenges of dimensionality, many forecast approaches proceed by somehow reducing the number of predictors. Principal component regression (PCR) approach proposes computing forecasts as projection on the first few principal components of the predictors. Bayesian model averaging (BMA) approach combines forecasts to extract information from different possible relationships between the predicted variable and the predictor variables. These two literature apparently moved in two different directions. However, recent findings by De Mol et al. [2008] and the Ouysse and Kohn [2009] suggest there are theoretical and practical reasons to connect the two literatures. This paper provides empirical evidence for connecting these two seemingly different approaches to forecasting. The empirical results serve as a preliminary guide to understanding the behaviour of BMA under double asymptotics, i.e. when the cross-section and the sample size become large.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"186 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124858738","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2