Testing The Rational Expectations Hypothesis In Macroeconomic Models With Unobserved Variables PDF Books

Download Testing The Rational Expectations Hypothesis In Macroeconomic Models With Unobserved Variables PDF books. Access full book title Testing The Rational Expectations Hypothesis In Macroeconomic Models With Unobserved Variables by Leslie T. Oxley, the book also available in format PDF, EPUB, and Mobi Format, to read online books or download Testing The Rational Expectations Hypothesis In Macroeconomic Models With Unobserved Variables full books, Click Get Books for free access, and save it on your Kindle device, PC, phones or tablets.

Testing The Rational Expectations Hypothesis In Macroeconomic Models With Unobserved Variables

Testing The Rational Expectations Hypothesis In Macroeconomic Models With Unobserved Variables
Author: Leslie T. Oxley
Publisher:
ISBN:
Size: 57.25 MB
Format: PDF, Kindle
View: 3541
Get Books


Testing the Rational Expectations Hypothesis in Macroeconomic Models with Unobserved Variables
Language: en
Pages: 72
Authors: Leslie T. Oxley, Michael McAleer, University of Edinburgh. Department of Economics
Categories: Economics
Type: BOOK - Published: 1992 - Publisher:
Books about Testing the Rational Expectations Hypothesis in Macroeconomic Models with Unobserved Variables
Essays on the Stock Market's Reaction to Macroeconomic News
Language: en
Pages: 392
Authors: Tolga Cenesizoglu
Categories: Journalism, Commercial
Type: BOOK - Published: 2006 - Publisher:
There are probably only few other questions as central to economics as the question "How do market prices react to news?". The reaction of prices to new information has interested and puzzled economists since the early years of the field. This thesis addresses several dimensions of this basic question for the specific case of the stock market. This thesis develops new theoretical models about the reaction of stock prices to macroeconomic news using new mathematical tools and techniques and tests the implications of these and other models using new data sets on macroeconomic news. In the first chapter of my thesis, A Rational Model of Underreaction: The Effect of Macroeconomic News, I analyze the long-term effects of macroeconomic news on the return dynamics. I develop a dynamic general equilibrium asset pricing model where macroeconomic news is an additional state variable. In this framework, I show that the underreaction of stock prices to news is consistent with a rational expectations model rather than a behavioral specification as suggested by recent literature. Furthermore, I show that the reaction of the stock market to news depends on the state of the economy. The empirical results suggest that the stock market underreacts to news
Kausalanalyse makroökonomischer Zusammenhänge mit latenten Variablen
Language: de
Pages: 408
Authors: Matthias Hillmer
Categories: Business & Economics
Type: BOOK - Published: 2013-03-08 - Publisher: Springer-Verlag
Das Buch vermittelt einen umfassenden Überblick über die verschiedenen empirischen Ansätze zur Erfassung kausaler Wirkungszusammenhänge in der Makroökonomie. Dabei werden Lösungen für die zwei grundsätzlichen Schwierigkeiten ökonometrischer Analysen, dem Operationalisierungs- und dem dynamischen Spezifikationsproblem, erarbeitet. Durch die Kombination der drei Analysetraditionen Ökonometrie, Psychometrie und Zeitreihenanalyse wird ein neuartiges Verfahren vorgeschlagen, mit dem Wirkungsbeziehungen zwischen theoretischen Variablenkonstrukten, sogenannten latenten Variablen, unverzerrt geschätzt und getestet werden können. Zudem erlaubt dieser Ansatz die konfirmatorische Untersuchung abstrakter Modellvorstellungen durch die explizite Modellierung des hypothetischen Generierungsmechanismus beobachtbarer Phänomene. In einem ausführlichen empirischen Teil wird das vorgeschlagene Verfahren auf zahlreiche geldtheoretisch und -politisch relevante Problemstellungen angewandt, und daran die Eignung der Methodik zur Analyse kausaler Wirkungsbeziehungen demonstriert. Aufgrund seines allgemeinen, methodisch orientierten Ansatzes ist das Buch für sämtliche auf dem Gebiet der empirischen Wirtschaftsforschung tätigen Wissenschaftler und Praktiker von besonderer Relevanz. Die modernen Entwicklungen der psychometrischen Kausalanalyse und der Zeitreihenanalyse werden einführend und lehrtextartig dargestellt und in den traditionellen ökonometrischen Analyserahmen integriert.
The New Palgrave Dictionary of Economics
Language: en
Pages: 7300
Authors: NA NA
Categories: Law
Type: BOOK - Published: 2016-05-18 - Publisher: Springer
The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
A General Equilibrium Analysis of the Costs of Tropical Forest Conservation
Language: en
Pages: 26
Authors: Frank Harrigan
Categories: Economics
Type: BOOK - Published: 1993 - Publisher:
Books about A General Equilibrium Analysis of the Costs of Tropical Forest Conservation
NBER Macroeconomics Annual 2003
Language: en
Pages: 432
Authors: Mark Gertler, Kenneth S. Rogoff
Categories: Business & Economics
Type: BOOK - Published: 2004 - Publisher: MIT Press
The NBER Macroeconomics Annual presents pioneering work in macroeconomics by leading academic researchers to an audience of public policymakers and the academic community. Each commissioned paper is followed by comments and discussion. This year's edition provides a mix of cutting-edge research and policy analysis on such topics as productivity and information technology, the increase in wealth inequality, behavioral economics, and inflation.
Dissertation Abstracts International
Language: en
Pages:
Authors: Mark Gertler, Kenneth S. Rogoff
Categories: Dissertations, Academic
Type: BOOK - Published: 2004 - Publisher:
Books about Dissertation Abstracts International
Term Structure of Profit Rates of Sukuk
Language: en
Pages: 340
Authors: Ganiyat Adejoke Adesina-Uthman
Categories: Bonds (Islamic law)
Type: BOOK - Published: 2015-01-01 - Publisher: Cambridge Scholars Publishing
This book explores several non-traditional and under-researched fields in Islamic finance through its investigations into how the newly-emergent financial instrument Sukuk behaves in the broader field of finite-period financing and pricing in the market place. It provides readers with didactic information on the fundamental theories of term structure and in-depth information on this nascent financial instrument in the Islamic capital market. The book employs one and two-factor models of term structure in order to analyse sovereign and corporate Sukuk bonds from the world’s leading Islamic economy, Malaysia. For the purposes of the study, the book establishes “profit rate yield curves” in the tradition of the conventional bond yield curve in order to define different risk classes of Sukuk. The dynamics of term structure of profit rates are captured with the inclusion of volatility as a factor in one of the models. The book provides informative case studies for interested students and researchers in the field of financial economics and mathematical finance. It also provides examples that will serve to simplify future research in term structure analysis and reduce its computational inefficiency.
Inflation, Employment and Business Fluctuations
Language: en
Pages: 746
Authors: Gerard Meurant
Categories: Business & Economics
Type: BOOK - Published: 2000-11-16 - Publisher: Elsevier
A Textbook on Macroeconomic Knowledge and Analysis
Econometric Analysis of Panel Data
Language: en
Pages: 424
Authors: Badi H. Baltagi
Categories: Business & Economics
Type: BOOK - Published: 2021-03-16 - Publisher: Springer Nature
This textbook offers a comprehensive introduction to panel data econometrics, an area that has enjoyed considerable growth over the last two decades. Micro and Macro panels are becoming increasingly available, and methods for dealing with these types of data are in high demand among practitioners. Software programs have fostered this growth, including freely available programs in R and numerous user-written programs in both Stata and EViews. Written by one of the world’s leading researchers and authors in the field, Econometric Analysis of Panel Data has established itself as the leading textbook for graduate and postgraduate courses on panel data. It provides up-to-date coverage of basic panel data techniques, illustrated with real economic applications and datasets, which are available at the book’s website on springer.com. This new sixth edition has been fully revised and updated, and includes new material on dynamic panels, limited dependent variables and nonstationary panels, as well as spatial panel data. The author also provides empirical illustrations and examples using Stata and EViews. “This is a definitive book written by one of the architects of modern, panel data econometrics. It provides both a practical introduction to the subject matter, as well as a thorough discussion of the underlying