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Macroeconomic Dynamics (macroeconomic + dynamics)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting50%

Selected Abstracts

THE YEN-DOLLAR EXCHANGE RATE AND MALAYSIAN MACROECONOMIC DYNAMICS

THE DEVELOPING ECONOMIES, Issue 3 2007
Mansor H. IBRAHIM
E30; F33; F40 This paper empirically assesses the effect of the yen-dollar exchange rate on selected macroeconomic variables, namely, real output, price level, and money supply, for Malaysia. The results, which are based on a vector autoregressive framework, suggest that variations in the yen-dollar rate can have significant influences on Malaysia's macroeconomic variables. More specifically, the yen-dollar depreciation leads to contraction in real GDP and money supply. These results are fairly robust to alternative model specifications. We believe that, apart from providing important insights into the interactions between the yen-dollar rate and domestic macroeconomic variables, our results contribute to the debate on choice of exchange rate regimes for Malaysia. [source]

A common model approach to macroeconomics: using panel data to reduce sampling error

JOURNAL OF FORECASTING, Issue 3 2005
William T. Gavin
Abstract Is there a common model inherent in macroeconomic data? Macroeconomic theory suggests that market economies of various nations should share many similar dynamic patterns; as a result, individual country empirical models, for a wide variety of countries, often include the same variables. Yet, empirical studies often find important roles for idiosyncratic shocks in the differing macroeconomic performance of countries. We use forecasting criteria to examine the macrodynamic behaviour of 15 OECD countries in terms of a small set of familiar, widely used core economic variables, omitting country-specific shocks. We find this small set of variables and a simple VAR ,common model' strongly support the hypothesis that many industrialized nations have similar macroeconomic dynamics. Copyright © 2005 John Wiley & Sons, Ltd. [source]

Monetary Policy with an Endogenous Capital Stock When Inflation is Persistent

THE MANCHESTER SCHOOL, Issue S1 2002
Richard Mash
The paper presents a monetary policy model with an endogenous capital stock when a backward,looking element in wage setting causes inflation persistence. We analyse how the endogeneity of the capital stock changes the macroeconomic dynamics with which policy interacts and its implications for optimal policy and time inconsistency. Capital stock endogeneity makes inflation more persistent in reduced form. This makes the optimal contemporaneous policy response to shocks more vigorous but the subsequent return to steady state more gradual. Observed output becomes more serially correlated. Capital endogeneity can also give rise to disinflation bias under discretion for some parameter values. [source]

First passage time for multivariate jump-diffusion processes in finance and other areas of applications

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 5 2009
Di Zhang
Abstract The first passage time (FPT) problem is an important problem with a wide range of applications in science, engineering, economics, and industry. Mathematically, such a problem can be reduced to estimating the probability of a stochastic process first to reach a boundary level. In most important applications in the financial industry, the FPT problem does not have an analytical solution and the development of efficient numerical methods becomes the only practical avenue for its solution. Most of our examples in this contribution are centered around the evaluation of default correlations in credit risk analysis, where we are concerned with the joint defaults of several correlated firms, the task that is reducible to a FPT problem. This task represents a great challenge for jump-diffusion processes (JDP). In this contribution, we develop further our previous fast Monte Carlo method in the case of multivariate (and correlated) JDP. This generalization allows us, among other things, to evaluate the default events of several correlated assets based on a set of empirical data. The developed technique is an efficient tool for a number of financial, economic, and business applications, such as credit analysis, barrier option pricing, macroeconomic dynamics, and the evaluation of risk, as well as for a number of other areas of applications in science and engineering, where the FPT problem arises. Copyright © 2008 John Wiley & Sons, Ltd. [source]