ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)最新文献_第7页

Business Cycles, Trend Elimination, and the HP Filter 商业周期、趋势消除和HP过滤器

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2015-06-24 DOI: 10.2139/ssrn.2622477

P. Phillips, Sainan Jin

{"title":"Business Cycles, Trend Elimination, and the HP Filter","authors":"P. Phillips, Sainan Jin","doi":"10.2139/ssrn.2622477","DOIUrl":"https://doi.org/10.2139/ssrn.2622477","url":null,"abstract":"We analyze trend elimination methods and business cycle estimation by data filtering of the type introduced by Whittaker (1923) and popularized in economics in a particular form by Hodrick and Prescott (1980/1997; HP). A limit theory is developed for the HP filter for various classes of stochastic trend, trend break, and trend stationary data. Properties of the filtered series are shown to depend closely on the choice of the smoothing parameter (lambda). For instance, when lambda = O(n^4) where n is the sample size, and the HP filter is applied to an I(1) process, the filter does not remove the stochastic trend in the limit as n approaches infinity. Instead, the filter produces a smoothed Gaussian limit process that is differentiable to the 4'th order. The residual 'cyclical' process has the random wandering non-differentiable characteristics of Brownian motion, thereby explaining the frequently observed 'spurious cycle' effect of the HP filter. On the other hand, when lambda = o(n), the filter reproduces the limit Brownian motion and eliminates the stochastic trend giving a zero 'cyclical' process. Simulations reveal that the lambda = O(n^4) limit theory provides a good approximation to the actual HP filter for sample sizes common in practical work. When it is used as a trend removal device, the HP filter therefore typically fails to eliminate stochastic trends, contrary to what is now standard belief in applied macroeconomics. The findings are related to recent public debates about the long run effects of the global financial crisis.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128778604","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: 65

Thermodynamic Properties of the U.S. Banking System 美国银行体系的热力学性质

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2015-05-12 DOI: 10.2139/ssrn.2605617

Bakhodir A. Ergashev

{"title":"Thermodynamic Properties of the U.S. Banking System","authors":"Bakhodir A. Ergashev","doi":"10.2139/ssrn.2605617","DOIUrl":"https://doi.org/10.2139/ssrn.2605617","url":null,"abstract":"We model the U.S. banking system as a thermodynamic system of interacting elements with individual banking firms representing those elements. Firms with similar asset and liability structures interact in the sense that they pursue similar objectives. These objectives include specialization in lending, processing, investing, etc. In this model of a thermodynamic system, each firm can pursue multiple objectives at the same time. The energy of a firm relative to a given objective determines to what extent the objective is achieved: the lower the energy, the closer the firm is to the objective. A firm’s total energy is determined as a weighted sum of its energies relative to individual objectives it is pursuing. As with any thermodynamic system, each firm’s overall objective is to reduce its total energy. The preliminary results of calibrating the model to the balance sheet structure of U.S. large banks using Uniform Bank Holding Company Performance Reports reveals that a slow buildup in herding (i.e., pursuing similar objectives) was occurring before the last crisis among some groups of banks. Significant change in the objectives is observed in the later stages of the crisis, however, especially in the direction of moving away from the objectives set before the crisis.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"10 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124967231","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: 0

Property Rights, Governance, and Economic Development 产权、治理与经济发展

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2015-05-01 DOI: 10.1111/rode.12138

J. Auerbach, Costas Azariadis

引用次数: 20

Economic Growth and Wage Stagnation in Peru: 1998–2012 秘鲁经济增长与工资停滞:1998-2012

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2015-05-01 DOI: 10.1111/rode.12145

Peter Paz, Carlos Urrutia

{"title":"Economic Growth and Wage Stagnation in Peru: 1998–2012","authors":"Peter Paz, Carlos Urrutia","doi":"10.1111/rode.12145","DOIUrl":"https://doi.org/10.1111/rode.12145","url":null,"abstract":"From 1998 to 2012, the Peruvian economy exhibited rapid growth. Moreover, the composition of the labor force improved in terms of education and experience, two variables that are typically associated to higher human capital. The average worker in 2012 had a higher level of education and was one and a half years older than in 1998, reflecting the impact of the demographic transition. However, the average real wage was roughly constant. We show that a decline in the wage premium for education, and to a minor extent for experience, is responsible for the lack of growth in the average real wage. Had these two premia remained constant throughout the period of analysis, average labor earnings would have increased by about 2.6% per year, of which 0.7 percentage points are accounted for by the changes in the composition of the labor force in terms of age and education. We explore the role of the relative supply of workers with different levels of human capital as an explanation for the decline in the wage premium for education. Finally, we analyze the implications of these findings for some macroeconomic variables, as earnings and wage inequality, the labor share and total factor productivity.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123940334","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: 6

Fire‐Sale FDI? The Impact of Financial Crises on Foreign Direct Investment 火量出售外国直接投资?金融危机对外国直接投资的影响

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2015-05-01 DOI: 10.1111/rode.12149

O. Stoddard, Ilan Noy

引用次数: 47

Labour Market Adjustments in Europe and the US: How Different? 欧洲和美国的劳动力市场调整:有何不同?

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2015-03-23 DOI: 10.2139/ssrn.2583759

R. Beyer, F. Smets

{"title":"Labour Market Adjustments in Europe and the US: How Different?","authors":"R. Beyer, F. Smets","doi":"10.2139/ssrn.2583759","DOIUrl":"https://doi.org/10.2139/ssrn.2583759","url":null,"abstract":"We compare the labour market response to region-specific shocks in Europe and the US and to national shocks in Europe and investigate changes over time. We employ a multi-level factor model to decompose regional labour market variables and then estimate the dynamic response of the employment level, the employment rate and the participation rate using the region-specific variables and the country factors. We find that both in Europe and the US labour mobility accounts for about 50% of the long run adjustment to region-specific labour demand shocks and only a little more in the US than in Europe, where adjustment takes twice as long. In Europe labour mobility is a less important adjustment mechanism in response to country-specific labour demand shocks that cause stronger and more persistent reactions of the employment and the participation rate. However, we detect a convergence of the adjustment processes in Europe and the US, reflecting both a fall in interstate migration in the US and a rise in the role of migration in Europe. Finally, we show that part of the difference between Europe and the US in previous studies may be due to the use of different data sources. JEL Classification: F2, J6, R23, R30","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124919459","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: 27

Wealth Effects, Local Area Attributes, and Economic Prospects: On the Relationship between House Prices and Mental Wellbeing 财富效应、地方属性和经济前景:房价与心理健康关系研究

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2015-03-01 DOI: 10.1111/roiw.12075

A. Ratcliffe

引用次数: 29

Time-Varying Beta and the Value Premium: A Single-Index Varying-Coefficient Model Approach 时变贝塔系数与价值溢价:单指标变系数模型方法

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2015-03-01 DOI: 10.2139/ssrn.2574080

Hui Guo, Chaojiang Wu, Yan Yu

引用次数: 1

Centurial Evidence of Breaks in the Persistence of Unemployment 失业持续的世纪证据

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2015-02-20 DOI: 10.2139/ssrn.2863852

Atanu Ghoshray, Michalis P. Stamatogiannis

引用次数: 9

Методология Построения Финансовых Балансов Секторов Экономики (Methodology of Compiling Sectoral Financial Balancies in the National Economy) МетодологияПостроенияФинансовыхБалансовСекторовЭкономики(方法编制国民经济部门金融Balancies)

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2015-01-18 DOI: 10.2139/SSRN.2662514

Michael Khromov, Alexey Vedev

{"title":"Методология Построения Финансовых Балансов Секторов Экономики (Methodology of Compiling Sectoral Financial Balancies in the National Economy)","authors":"Michael Khromov, Alexey Vedev","doi":"10.2139/SSRN.2662514","DOIUrl":"https://doi.org/10.2139/SSRN.2662514","url":null,"abstract":"Russian Abstract: Объектом исследования данной работы является методология составления финансовых балансов по секторам экономики Российской Федерации в контексте развития инструментария по анализу межсекторных финансовых потоков. Цель работы — подготовка методологических указаний по составлению и анализу баланса финансовых ресурсов как одного из элементов системы макроэкономического анализа. Методология работы основывается на анализе существующих источников статистических данных и их сопоставлении для создания, насколько это возможно, полной и непротиворечивой картины финансовой системы российской экономики. English Abstract: This paper is focused on the investigation of the model for compiling sectoral financial balances in the Russian economy in the context of the development of tools for the analysis of intersectoral financial flows. The paper is aimed at the drafting of methodological recommendations for compiling and analysis of balance of financial results as one of the element of macroanalysis method. Methodology of the research is based on the analysis of the available statistical sources and their comparison for the creation as far as it is feasible full and noncontradictory picture of the financial system of the Russian economy.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133489983","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: 0