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Identification of Macroeconomic Factors in Large Panels

Bork, Lasse - 2009

This paper presents a dynamic factor model in which the extracted factors and shocks are given a clear economic interpretation. The economic interpretation of the factors is obtained by means of a set of over-identifying loading restrictions, while the structural shocks are estimated following...

Persistent link: https://www.econbiz.de/10013154051

Identification of Macroeconomic Factors in Large Panels

Bork, Lasse - 2009

Persistent link: https://www.econbiz.de/10013155955

Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization

Burgess, Nicholas - 2021

In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

Persistent link: https://www.econbiz.de/10013213151

Technical analysis and central bank intervention

Neely, Christopher J.; Weller, Paul A. - In: Journal of international money and finance 20 (2001) 7, pp. 949-970

Persistent link: https://www.econbiz.de/10001637058

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai - 2010

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

Persistent link: https://www.econbiz.de/10013149486

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of … Chang et al. [17], we estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate …

Persistent link: https://www.econbiz.de/10013113663

Optimal Quantitative Easing

Harrison, Richard - 2017

I study optimal monetary policy in a simple New Keynesian model with portfolio adjustment costs. Purchases of long-term debt by the central bank (quantitative easing; ‘QE') alter the average portfolio return and hence influence aggregate demand and inflation. The central bank chooses the...

Persistent link: https://www.econbiz.de/10012946995

Exact Utilities Under Alternative Monetary Rules in a Simple Macro Model with Optimizing Agents

Henderson, Dale W.; Kim, Jinill - 2001

We construct an optimizing-agent model of a closed economy which is simple enough that we can use it to make exact utility calculations. There is a stabilization problem because there are one-period nominal contracts for wages, or prices, or both and shocks that are unknown at the time when...

Persistent link: https://www.econbiz.de/10014154210

The Choice of a Monetary Policy Reaction Function in a Simple Optimizing Model

Henderson, Dale W.; Kim, Jinill - 1998

Monetary policy reaction functions are compared in a simple optimizing model with one-period nominal stickiness, i.i.d. shocks, and no capital accumulation. The interest rate is the instrument and is either kept constant, "interest rate targeting" for short, or used in targeting one of the...

Persistent link: https://www.econbiz.de/10014067220

Forecasting exchange rates : an investor perspective

Melvin, Michael; Prins, John; Shand, Duncan - 2013

The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....

Persistent link: https://www.econbiz.de/10009743826