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Economic Statistics (economic + statistics)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	85%

Selected Abstracts

Estimation and hedging effectiveness of time-varying hedge ratio: Flexible bivariate garch approaches

THE JOURNAL OF FUTURES MARKETS, Issue 1 2010
Sung Yong Park
Bollerslev's (1990, Review of Economics and Statistics, 52, 5,59) constant conditional correlation and Engle's (2002, Journal of Business & Economic Statistics, 20, 339,350) dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity (BGARCH) models are usually used to estimate time-varying hedge ratios. In this study, we extend the above model to more flexible ones to analyze the behavior of the optimal conditional hedge ratio based on two (BGARCH) models: (i) adopting more flexible bivariate density functions such as a bivariate skewed- t density function; (ii) considering asymmetric individual conditional variance equations; and (iii) incorporating asymmetry in the conditional correlation equation for the DCC-based model. Hedging performance in terms of variance reduction and also value at risk and expected shortfall of the hedged portfolio are also conducted. Using daily data of the spot and futures returns of corn and soybeans we find asymmetric and flexible density specifications help increase the goodness-of-fit of the estimated models, but do not guarantee higher hedging performance. We also find that there is an inverse relationship between the variance of hedge ratios and hedging effectiveness. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:71,99, 2010 [source]

MACROECONOMETRIC MODELLING WITH A GLOBAL PERSPECTIVE,

THE MANCHESTER SCHOOL, Issue 2006
M. HASHEM PESARAN
This paper provides a synthesis and further development of a global modelling approach introduced in Pesaran et al. (Journal of Business and Economic Statistics, Vol. 22 (2004), pp. 129,162), where country-specific models in the form of VARX* structures are estimated relating a vector of domestic variables, xit, to their foreign counterparts, , and then consistently combined to form a global vector autoregression. It is shown that the VARX* models can be derived as the solution to a dynamic stochastic general equilibrium model where overidentifying long-run theoretical relations can be tested and imposed if acceptable. This gives the system a transparent long-run theoretical structure. Similarly, short-run overidentifying theoretical restrictions can be tested and imposed if accepted. Alternatively, if one has less confidence in the short-run theory the dynamics can be left unrestricted. The assumption of the weak exogeneity of the foreign variables for the long-run parameters can be tested, where variables can be interpreted as proxies for regional and global factors. Rather than using deviations from ad hoc statistical trends, the equilibrium values of the variables reflecting the long-run theory embodied in the model can be calculated. The paper also provides some new results on the relative importance of external shocks for the UK and the Euro area economies. [source]

Economic statistics and U.S. agricultural policy

AGRICULTURAL ECONOMICS, Issue 2007
Bruce Gardner
agricultural policy; data collection and estimation; economic history of U.S. agriculture Abstract Economic statistics can be used to inform policy as it is being designed, avoid policy design mistakes, or implement government programs once they are established into law. Oftentimes, statistics are used for all three purposes. This article considers the relationships between statistics and agricultural policy in the case of the United States. We address first the broad historical picture of U.S. official economic statistics concerning agriculture, and then turn to selected examples that relate policies to economic statistics in more detail. The examples show diversity in the interplay between statistics and policy. Over time, policymakers have asked for more detailed information about the financial situation of individual farm businesses and households, sources of risk in farm returns, and production practices that affect the environment. [source]

Towards a new Bradshaw?

ECONOMIC HISTORY REVIEW, Issue 1 2007
1960s, Economic statistics, the British state in the 1950s
SUMMARY This article outlines the attempts of British central government to react to the perceived inadequacy of official economic statistics. A huge amount of work went into this project, the main aim of which was to speed up the production of statistics so that the economy could be analysed in more detail, and thus better managed. If this was to work, more data was required on the labour market, on productivity, on production, and on the interlinkages between those indicators. British official statistics clearly were more comprehensive and more detailed at the end of this period than they had been at the start. Even so, the effort was usually thought to have been a failure by the early 1970s. More detail took time to produce; it was difficult to recruit the necessary staff; successive administrative reorganizations also absorbed energies. The devolved informality of British government hampered the emergence of an overall picture. Businesses and trade unions resisted attempts to collect more data, especially when it showed them in an unflattering light. Above all, the elite, specialist, and technical nature of the reform process meant that very little political and popular pressure built up to force through further changes. [source]