The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models.
The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
Author(s): Gilles Dufrénot, Takashi Matsuki
Series: Dynamic Modeling and Econometrics in Economics and Finance, 27
Publisher: Springer
Year: 2021
Language: English
Pages: 387
City: Cham
Introduction
Contributions in First Part: Macroeconometrics
Contributions in Second Part: Financial Econometrics
Contents
Contributors
Macroeconometrics
Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series
1 Introduction
2 Harmonic Regression Models and Laplace Periodograms
3 Sample and Smoothed Laplace Periodogram
4 Copula-Based Periodogram and Rank-Based Laplace Periodogram
5 The Multivariate Case
6 Empirical Example
7 Conclusion
References
On the Seemingly Incompleteness of Exchange Rate Pass-Through to Import Prices: Do Globalization and/or Regional Trade Matter?
1 Introduction
2 Methodology
3 Data
3.1 Time Sample
3.2 Variables
3.3 Indicators of Globalization
3.4 Descriptive Statistics
4 Results
4.1 Accounting for Globalization
4.2 Using Disaggregated Data: Accounting for the Good Level
4.3 Accounting for Globalization at the Good Level
5 Conclusion
6 Appendix
References
A State-Space Model to Estimate Potential Growth in the Industrialized Countries
1 Introduction
2 A State-Space Model with Theoretical Relationships
2.1 The General Model
2.2 Sub-models and Comparison with Other Models Used in the Literature
2.3 Estimation Method
3 Results
4 Conclusion
References
Detecting Tranquil and Bubble Periods in Housing Markets: A Review and Application of Statistical Methods
1 Introduction
2 The Theoretical Concept of Rational Bubbles
3 Econometric Methods
3.1 Classical Approaches
3.2 Explosive Unit Root Tests
3.3 Panel Approach
3.4 T-ARDL Model
4 Empirics
4.1 Data
4.2 Classical Test Approaches
4.3 Explosive Test Approaches
4.4 T-ARDL Approach
4.5 Discussion
5 Conclusion
References
An Analysis of the Time-Varying Behavior of the Equilibrium Velocity of Money in the Euro Area
1 Motivation
2 The Inflation Puzzle and Money Velocity in the EA: Theoretical and Empirical Issues
3 Methodology
3.1 State-Space Models and Time-Varying Parameter Models
3.2 A Panel Time-Varying State-Space Extension
3.3 A Time-Varying Parameter Model for the M3 Velocity
4 Results
4.1 Univariate Properties of the Data
4.2 M3 Velocity Panel TVP Model Estimation
5 Conclusions
References
Revisiting Wealth Effects in France: A Double-Nonlinearity Approach
1 Introduction
2 Econometric Methodology
2.1 Linear Cointegration Specification for Wealth Effects
2.2 Threshold ECM Specification for Wealth Effects
2.3 Time-Varying VECM Specification for Wealth Effects
3 Data and Empirical Analysis
3.1 Data and Preliminary Analysis
3.2 The Linear Cointegration Analysis
3.3 Nonlinear Cointegration with Asymmetric Adjustment
3.4 NECMs with Nonlinearity in the Long Run
4 Conclusion
Appendix 1 Unit Root and Cointegration Tests in the Linear Model
References
Productivity Spillovers in the Global Market
1 Introduction
2 Literature Survey on Economic Growth and Productivity Spillovers
3 The GVAR Model
4 Data and Relevant Tests
4.1 Data and Model Specification
4.2 Weak Exogeneity Test
5 Results
5.1 Structural Generalized Impulse-Response Function (SGIRF) Analysis of US Productivity Shocks
5.2 Productivity Shocks in the EU, Non-OECD, and Others
5.3 The Asymmetric Effect of Productivity Shocks
6 Concluding Remarks
References
Financial Econometrics
Commodity Prices in Empirical Research
1 Introduction
2 Prebisch–Singer Hypothesis
2.1 Introduction
2.2 How to Measure the Terms of Trade
2.3 Review of Econometric Strategies
2.4 Discussion
3 Commodity Currencies
3.1 Introduction
3.2 RER Models
3.3 How to Measure the Real Exchange Rate
3.4 How to Measure Commodity Dependence
3.5 Review of Econometric Strategies
3.6 Discussion
4 Financialization of Commodity Markets
4.1 Introduction
4.2 How to Measure Financialization
4.3 How to Measure Effects on Commodity Prices
4.4 Endogeneity Concerns
4.5 De-Financialization
4.6 Discussion
5 Conclusion
References
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs
1 Introduction
2 Static Betas
2.1 One-Factor Model
2.2 Multiple Betas
3 Time-Varying Betas
3.1 Rolling Betas
3.2 Realized Betas
3.3 Time-Varying Betas with Interaction Variables
3.4 Indirect Dynamic Conditional Betas
3.5 Direct Dynamic Conditional Betas
3.6 Autoregressive Conditional Betas
4 Empirical Application on REITs
4.1 Data and Sample
4.2 Empirical Results
5 Conclusion
References
Revisiting the Glick–Rogoff Current Account Model: An Application to the Current Accounts of BRICS Countries
1 Introduction
2 Productivity Shocks and Current Accounts
2.1 Glick–Rogoff Small-Country Model with Adjustment Costs to Investment
2.2 Where Can the Glick–Rogoff Model Go Wrong in an Application to the BRICS Countries?
3 Domestic and Global Productivity
3.1 Estimation Results of the Basic Glick–Rogoff Model
3.2 Extended Models with Other Macroeconomic Variables
4 Can the Same Current Account Model be Applied to Both Developed and Developing Countries?
5 Discussions
6 Conclusion
Appendix A. List of variables
Appendix B
References
Cycles and Long-Range Behaviour in the European Stock Markets
1 Introduction
2 Literature Review
3 The Model
4 Data Description and Empirical Results
5 Conclusions
References
A Non-linear Approach to Measure the Dependencies Between Bitcoin and Other Commodity Markets
1 Introduction
2 Empirical Strategy and Data
2.1 Impulse Response Functions
3 Results
4 Conclusion
References
Typology of Nonlinear Time Series Models
1 Introduction
1.1 Economic Examples
1.2 Time Series Models—A Mathematical Introduction
2 Issues with Nonlinearity and Non-stationarity Testing
3 Tests of Linearity
3.1 Tests Against a Specific Alternative
3.2 Tests Without a Specific Alternative
4 Testing for Stationarity in Nonlinear Models
5 Typology of Nonlinear Models
5.1 Nonlinear Models Frequently Used in Economic Theory
6 Linear Versus. Nonlinear Cointegration: Structural Properties of Nonlinear Cointegration
6.1 Detection of Nonlinear Cointegration
6.2 Conditions for Nonlinear Cointegration and Model Specification
6.3 Nonlinear Error Correction Model (NECM) Estimation
6.4 Threshold Vector Error Correction Model (TVECM)
7 Economic Intuition Behind the Different Models
8 Empirical Application to Examine the Money Multiplier in India
8.1 Analysis of the Indian Multiplier
9 Conclusion
Appendix 1
References
Pareto Models for Risk Management
1 Introduction
2 Strict Pareto Models
2.1 Pareto I Distribution
2.2 Generalized Pareto Distribution
2.3 Threshold Selection
3 Pareto-Type Models
3.1 First- and Second-Order Regular Variation
3.2 Extended Pareto Distribution
4 Inference Based on Pareto-Type Distributions
4.1 Hill's Estimator
4.2 Maximum Likelihood Estimator
4.3 Application on Simulated Data
5 Modeling Large Events
5.1 Probable Maximum Loss
5.2 High Quantiles and Expected Shortfall
5.3 Maximum, Sum, and Subexponential Distributions
5.4 Top Share and Large Claim Index
5.5 From Pareto to Pareto-Type Models
6 Insurance and Reinsurance
6.1 Return Period and Return Level
6.2 Reinsurance Pricing
6.3 Application on Real Data
7 Finance and Risk Measures
7.1 Downside Risk Measures
7.2 Application on Real Data
References
