This paper shifts studies on macroeconomic models from a national to a regional scope. Regions, indeed, often follow growth trajectories that dif- fer greatly from others within the same country. In this study we propose a macroeconometric model for 20 economies corresponding to the Italian...

This paper examines the spillover effects of bankruptcy by important tech industry banks-Silicon Valley Bank (SVB), Silvergate Bank, and Signature Bank-on the top 10 institutions in the MSCI Bank Index and the role that monetary policy by the US Federal Reserve (the Fed) played in this...

Since the late 1960s, the rising volatility of financial markets in the US has troubled econometricians and bank managers alike. Both professions have found it increasingly difficult to forecast savings deposit flows. This article explores these challenges by focusing on two developments. First,...

The article compares ARMA, boosting, neural network models, GARCH and HAR models, and proposes a new efficient method for forecasting one day ahead of the realized volatility of financial series. The GARCH and HAR models are taken as comparable models, which showed the best results in Manevich...

We suggest a simple yet novel solution for fitting negatively valued functions in economic modeling and treating the econometric issues of estimation arising. To this end, we suggest representing complex arguments by simpler, more intuitive arguments in polar coordinates which, in turn, allow us...

The dominance of model-building in modern economics is far from a new finding. Marcel Boumans intends to separate himself from previous analyses by pursuing a specific focus, namely the development of a «separate methodology of models». To achieve this goal he focusses on the contributions by...

The study aims to research the correlation between unemployment and inflation in Sweden between March 2020 - November 2021 to provide further insight into the validity of the Phillips curve. Previous research has found a contradictive relationship between unemployment and inflation. In addition,...

This paper examines the econometric causal model for policy analysis developed by the seminal ideas of Ragnar Frisch and Trygve Haavelmo. We compare the econometric causal model with two popular causal frameworks: Neyman-Holland causal model and the do-calculus. The Neyman-Holland causal model...

Among the many troublesome econometric relationships, the demand for money has proved especially recalcitrant, as evidenced by a long history of tinkering with basic specifications, always in response to some recent perceived forecast failure. The shortcomings of this approach and an alternative...

This paper examines the behaviour of the demand for money in Greece during 1976:1-2000:4, a period that included many of the influences that cause money-demand instability. Two empirical methodologies, vector error correction (VEC) modelling and second-generation random coefficient (RC)...

This article examines the powerful combination of machine learning and econometric models to examine unstructured data. Researchers estimate an econometric model (e.g., logit regression, structural model) that relates an outcome of interest (e.g., sales) to a focal feature in unstructured data...

Ethanol has attracted considerable policy attention both for its use as a gasoline substitute, and as a way to enhance profits in rural areas. In this paper, we analyze the effects of government policy on the decisions of ethanol-producing firms to invest in building new ethanol plants in the...

The article researches the econometric model as one of the most common methods used to analyze and predict the complex development of society.It is considered the principles which are the basis for forecasting: the maximum required amount of information about patterns; the past period adequately...

The paper provides an introductory guide for active managers that illustrates econometric techniques for alpha generation in active asset management. For modelling stock market returns three different model types are discussed: (i) fair value models that identify over- and undervaluations, (ii)...

One of the most basic methods of technical analysis that is used in the practice of investment is the analysis of moving averages, usually calculated for exchange rates in a candlestick representation. The following paper proposes a new, state model, describing the process of trajectory changes...

We lay out a tractable model for fiscal and monetary policy analysis in a currency union, and analyze its implications for the optimal design of such policies. Monetary policy is conducted by a common central bank, which sets the interest rate for the union as a whole. Fiscal policy is...

We construct linear projections of macro variables conditional on hypothetical paths of monetary policy, using as an example an identified VAR model. Hypothetical policies are restricted to ones where both the policy intervention and its impacts are consistent with history -- otherwise the...

This paper analyzes the effects of maternal time allocation between work, child care, and leisure and non-parental child care on a child's cognitive development. By using data for the US from the Panel Study of Income Dynamics, we estimate a model that takes into account the heterogeneity in a...

We study the impact of regulations on the investment decisions of a defined benefits pension plan. We assess the influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic, decision making. We find that preventive measures, such as...

This paper proposes a set of novel pricing factors for currency returns that are motivated by microstructure models. In so doing, we bring two strands of the exchange rate literature, namely market-microstructure and risk-based models, closer together. Our novel factors use order flow data to...

Some interventions or population attributes negate the effects of a treatment. This paper shows that incorporating these, what we call antidotal variables (AV), into a causal treatment effects analysis can with one cross-sectional regression identify the true causal effect, in addition to...

The paper presents descriptive evidence from quantile regressions and more "structural" estimates from a human capital model with heterogenous returns to show that most of the increase in wage inequality between 1973 and 2005 is due to a dramatic increase in the return to post-secondary...

Chapter 1. Introductory Developments -- Chapter 2. The Simple Regression Model -- Chapter 3. The Multiple Regression Model -- Chapter 4. Heteroskedasticity and Autocorrelation of Errors -- Chapter 5. Problems With Explanatory Variables -- Chapter 6. Distributed Lag Models -- Chapter 7. An...