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Full-Text Articles in Macroeconomics

Essays In Financial Economics: Announcement Effects In Fixed Income Markets, James J. Forest Jan 2018

Essays In Financial Economics: Announcement Effects In Fixed Income Markets, James J. Forest

Doctoral Dissertations

ABSTRACT

ESSAYS IN FINANCIAL ECONOMICS: ANNOUNCEMENT EFFECTS IN FIXED INCOME MARKETS

PHD IN FINANCE MAY 2018

JAMES J FOREST

B.A., FRAMINGHAM STATE UNIVERSITY

M.S., NORTHEASTERN UNIVERSITY

Ph.D., UNIVERSITY OF MASSACHUSETTS – AMHERST

Directed by: Professor Hossein B. Kazemi

This dissertation demonstrates the use of empirical techniques for dealing with modeling issues that arise when analyzing announcement effects in fixed income markets. It describes empirical challenges in achieving unbiased and efficient parameter estimates and shows the importance of modelling a wide range of macroeconomic announcement effects to avoid omitted variable bias. Employing techniques common in Macroeconomics, financial market researchers ...


Mathematical Studies Of Optimal Economic Growth Model With Monetary Policy, Xiang Liu Dec 2017

Mathematical Studies Of Optimal Economic Growth Model With Monetary Policy, Xiang Liu

Undergraduate Honors Theses

In this paper, efforts will be made to study an extended Neoclassic economic growth model derived from Solow-Swan Model and Ramsey-Cass-Koopsman Model. Some growth models (e.g. Solow-Swan Model) attempt to explain long-run economic growth by looking at capital accumulation, labor or population growth, and in- creases in productivity, while our derived model tends to look at growth from individual household and how their choice of saving, consumption and money holdings would affect the overall economic capital accumulation over a long period of time.

First an optimal control model is set up, and a system of differential equations and algebraic ...


Usda Forecasts Of Crop Ending Stocks: How Well Have They Performed?, Jinzhi Xiao, Chad E. Hart, Sergio H. Lence Apr 2017

Usda Forecasts Of Crop Ending Stocks: How Well Have They Performed?, Jinzhi Xiao, Chad E. Hart, Sergio H. Lence

Economics Publications

This study analyzes forecasts of U.S. ending stocks for corn, soybeans, and wheat issued by the USDA. The proposed efficiency tests focus on forecast revisions. Forecast errors are decomposed into monthly unforecastable shocks and idiosyncratic residuals. The error covariance matrix allows for heteroscedasticity and auto-correlations. Results suggest that the USDA forecasts are inefficient, providing strong evidence that the USDA is conservative in forecasting the ending stocks. Unforecastable shocks are heteroscedastic, and idiosyncratic residuals are small. Results are consistent across the three decades analyzed, but soybean forecasts are found to be considerably worse from 2005 to 2015.


Occam's Razor Vol. 7 - Full (2017) Jan 2017

Occam's Razor Vol. 7 - Full (2017)

Occam's Razor

No abstract provided.


Stationary Points For Parametric Stochastic Frontier Models, William C. Horrace, Ian A. Wright Nov 2016

Stationary Points For Parametric Stochastic Frontier Models, William C. Horrace, Ian A. Wright

Center for Policy Research

The results of Waldman (1982) on the Normal-Half Normal stochastic frontier model are generalized using the theory of the Dirac delta (Dirac, 1930), and distribution-free conditions are established to ensure a stationary point in the likelihood as the variance of the inefficiency distribution goes to zero. Stability of the stationary point and "wrong skew" results are derived or simulated for common parametric assumptions on the model. Identification is discussed.


Development Of Utility Theory And Utility Paradoxes, Timothy E. Dahlstrom Jun 2016

Development Of Utility Theory And Utility Paradoxes, Timothy E. Dahlstrom

Lawrence University Honors Projects

Since the pioneering work of von Neumann and Morgenstern in 1944 there have been many developments in Expected Utility theory. In order to explain decision making behavior economists have created increasingly broad and complex models of utility theory. This paper seeks to describe various utility models, how they model choices among ambiguous and lottery type situations, and how they respond to the Ellsberg and Allais paradoxes. This paper also attempts to communicate the historical development of utility models and provide a fresh perspective on the development of utility models.


Occam's Razor Vol. 6 - Full (2016) Jan 2016

Occam's Razor Vol. 6 - Full (2016)

Occam's Razor

No abstract provided.


Nonalcoholic Fatty Liver Disease: Cause To Treatment, Tavleen Aulakh Jan 2016

Nonalcoholic Fatty Liver Disease: Cause To Treatment, Tavleen Aulakh

Occam's Razor

Imagine two individuals, both suffering from severe liver damage. With excess fat molecules concentrated in the hepatic cells, their livers are inflamed and scarred. These deteriorating livers are also supplementing the development of chronic obesity, diabetes, cardiovascular diseases, and hyperlipidemia. While one of these individuals is a middle-aged male with a long history of alcohol addiction and abuse, the other is only thirteen years old and has never consumed alcohol. This adolescent is suffering from nonalcoholic fatty liver disease (NAFLD).


Asymmetric Forecast Densities For U.S. Macroeconomic Variables From A Gaussian Copula Model Of Cross-Sectional And Serial Dependence, Michael S. Smith, Shaun Vahey Dec 2015

Asymmetric Forecast Densities For U.S. Macroeconomic Variables From A Gaussian Copula Model Of Cross-Sectional And Serial Dependence, Michael S. Smith, Shaun Vahey

Michael Stanley Smith

Most existing reduced-form macroeconomic multivariate time series models employ elliptical disturbances, so that the forecast densities produced are symmetric. In this paper, we use a copula model with asymmetric margins to produce forecast densities with the scope for severe departures from symmetry. Empirical and skew t distributions are employed for the margins, and a high-dimensional Gaussian copula is used to jointly capture cross-sectional and (multivariate) serial dependence. The copula parameter matrix is given by the correlation matrix of a latent stationary and Markov vector autoregression (VAR). We show that the likelihood can be evaluated efficiently using the unique partial correlations ...


Chaotic Behavior In Monetary Systems: Comparison Among Different Types Of Taylor Rule, Reza Moosavi Mohseni Dr., Wenjun Zhang Dr., Jiling Cao Prof. Aug 2015

Chaotic Behavior In Monetary Systems: Comparison Among Different Types Of Taylor Rule, Reza Moosavi Mohseni Dr., Wenjun Zhang Dr., Jiling Cao Prof.

Reza Moosavi Mohseni

The aim of the present study is to detect the chaotic behavior in the monetary economic relevant dynamical system. The study employs three different forms of Taylor rules: current, forward and backward looking. The result suggests the existence of the chaotic behavior in all three systems. In addition, the results strongly represent that using expectations in policy rule especially rational expectation hypothesis can increase the complexity of the system and leads to more chaotic behavior.


Chaotic Behavior In Monetary Systems: Comparison Among Different Types Of Taylor Rule, Reza Moosavi Mohseni Dr., Wenjun Zhang, Jiling Cao Jul 2015

Chaotic Behavior In Monetary Systems: Comparison Among Different Types Of Taylor Rule, Reza Moosavi Mohseni Dr., Wenjun Zhang, Jiling Cao

Reza Moosavi Mohseni

The aim of the present study is to detect the chaotic behavior in monetary economic relevant dynamical system. The study employs three different forms of Taylor rules: current, forward, and backward looking. The result suggests the existence of the chaotic behavior in all three systems. In addition, the results strongly represent that using expectations in policy rule especially rational expectation hypothesis can increase complexity of the system and leads to more chaotic behavior.


The Effects Of Quantitative Easing In The United States: Implications For Future Central Bank Policy Makers, Matthew Q. Rubino May 2015

The Effects Of Quantitative Easing In The United States: Implications For Future Central Bank Policy Makers, Matthew Q. Rubino

Senior Honors Projects, 2010-current

The purpose of this thesis is to examine the effects of the Federal Reserve’s recent bond buying programs, specifically Quantitative Easing 1, Quantitative Easing 2, Operation Twist (or the Fed’s Maturity Extension Program), and Quantitative Easing 3. In this study, I provide a picture of the economic landscape leading up to the deployment of the programs, an overview of quantitative easing including each program’s respective objectives, and how and why the Fed decided to implement the programs. Using empirical analysis, I measure each program’s effectiveness by applying four models including a yield curve model, an inflation ...


An Experimental Analysis Of Adaptive Learning In A Multi-Subject Economy, David Martin Apr 2015

An Experimental Analysis Of Adaptive Learning In A Multi-Subject Economy, David Martin

Business and Economics Honors Papers

The rational expectations hypothesis (REH) has long served as a foundation in macroeconomic laws of motion. However, the assumptions of REH are likely too powerful to be representative of economic actors. This research evaluates adaptive learning, a developing alternative to rational expectations, using a multi-agent macroeconomic prediction “game.” Data was gathered from a group of students, each predicting the outcome of a single economy over time. Each agent was asked to forecast output (GDP) and inflation in each period based on historic levels of output, inflation, and interest rates. These data were then analyzed under various theoretical models of adaptive ...


"What Is Love?" The Sounds Of Love From William S. Burroghs, Kathryn Cronin Jan 2015

"What Is Love?" The Sounds Of Love From William S. Burroghs, Kathryn Cronin

Occam's Razor

William Burroughs, his life and works, have a set beginning and end, but the biological and spiritual connections he draws between language, sound, and the human body appear to have undefined points of origin. Sound has always been. Language has always been. To exist outside of language and sound is to exist outside of time and space and thus outside the body. Burroughs’ theories on language, the word, and their connection to the body are woven through texts filled with structural and narrative convolutions. ­ Nova Trilogy, especially The Ticket that Exploded, as well as the early novel Naked Lunch, establish ...


Occam's Razor Vol. 5 - Full (2015) Jan 2015

Occam's Razor Vol. 5 - Full (2015)

Occam's Razor

No abstract provided.


Studying The Effects Of Non Oil Exports On Targeted Economic Growth In Iranian 5th Development Plan: A Computable General Equilibrium Approach, Rasoul Bakhsi Dastjerdi Dr., Reza Moosavi Mohseni Dr., Somayye Jafari Dec 2014

Studying The Effects Of Non Oil Exports On Targeted Economic Growth In Iranian 5th Development Plan: A Computable General Equilibrium Approach, Rasoul Bakhsi Dastjerdi Dr., Reza Moosavi Mohseni Dr., Somayye Jafari

Reza Moosavi Mohseni

we investigate the effects of non oil export on Iran’s economic growth using a computable general equilibrium (CGE) and study which tradable sectors has a larger share in reaching to targeted growth rate 8% in 5th socio economic development plan. We calibrate the model by GAMS (with emphasis on foreign trade sector). Numerical solution to the model is based on Iran’s social accounting matrix (SAM). Results show that 2.03% of targeted economic growth rate is achieved by encouraging a 6% growth in export. It also be mentioned that industry and mine sector in Iran, has more influence ...


Experimental Evidence For Heterogeneous Expectations In A Simple New Keynesian Framework, Atticus David Holm Graven Apr 2014

Experimental Evidence For Heterogeneous Expectations In A Simple New Keynesian Framework, Atticus David Holm Graven

Business and Economics Honors Papers

This paper is a two-dimensional analysis of agent behavior in a standard New Keynesian (NK) Macroeconomic model. On the dimension of pure mathematics, we analyze the parameters of the NK model and of possible prediction rules. On the other dimension we continue a practice of empirical study of heterogeneous expectations with an experiment. The experiment will ask participants to make predictions of future output and inflation. Their responses will create a data-set upon which analysis will be performed to illuminate and corroborate current theories of economic decision making. The literature has shown that most agents' forecasting rules can be modeled ...


Occam's Razor Vol. 4 - Full (2014) Jan 2014

Occam's Razor Vol. 4 - Full (2014)

Occam's Razor

No abstract provided.


Governance & Sustainability: Does Democracy Beggar Thy Future?, Nathanael D. Peach Jun 2013

Governance & Sustainability: Does Democracy Beggar Thy Future?, Nathanael D. Peach

Faculty Publications - School of Business

Findings:

An increase in political stability:

  • Higher levels of natural resource depletion
  • Higher levels of adjusted net savings (ANS) i.e. contributes positively to sustainable growth

Increase in democracy:

  • Lower levels of natural resource depletion
  • Impact on sustainability is conditional on the economic and political context


Concrete Shroud, Jake Reller, Mariah Tate Klemens Jan 2013

Concrete Shroud, Jake Reller, Mariah Tate Klemens

Occam's Razor

Concrete shroud is an exhibition originating from a dialogue between the two artists, culminating in a series of lectures written by Mariah Tate Klemens and Jake Reller.


Occam's Razor Vol. 3 - Full (2013) Jan 2013

Occam's Razor Vol. 3 - Full (2013)

Occam's Razor

No abstract provided.


Community, Culture And Identity In An Age Of Globalization, Katie Wiggins Jan 2013

Community, Culture And Identity In An Age Of Globalization, Katie Wiggins

Occam's Razor

As we move further into the age of globalization, we are seeing changes not only at a global level but at individual and communal levels; changes that we cannot wholly identify but that we recognize in ourselves. We are adapting to a global world, one that is affecting our identity and culture and, as we attempt to hold on to this identity and still converse with a larger world, we ultimately are forced to reshape our identities. Some may wonder what this will mean for the future and to what extent it affects us as individuals and communities. To answer ...


Macroeconomic Fluctuations And Poverty, Philip N. Jefferson, Kunhee Kim Nov 2012

Macroeconomic Fluctuations And Poverty, Philip N. Jefferson, Kunhee Kim

Health Care Management Papers

This article examines the dynamic relationship between macroeconomic performance and measures of poverty in the United States. The article is organized as follows. Section 2 presents insights on the relationship between poverty and macroeconomic performance that emerge from the literature. The emphasis is on empirical studies from 1986 to 2011. Section 3 provides a snapshot of the change in poverty over National Bureau of Economic Research-dated recessions for a variety of poverty measures. Section 4 uses vector autoregressions (VARs) to characterize the response of poverty to innovations in various social indicators and measures of macroeconomic performance. Section 5 expands the ...


Occam's Razor Vol. 2 - Full (2012) Jan 2012

Occam's Razor Vol. 2 - Full (2012)

Occam's Razor

No abstract provided.


Welfare Versus Stability In "Stabilizing An Unstable Economy": A Minskyan Growth Model, Stergios Mentesidis Jan 2012

Welfare Versus Stability In "Stabilizing An Unstable Economy": A Minskyan Growth Model, Stergios Mentesidis

Senior Projects Spring 2012

The paper focuses on Minsky's financial fragility hypothesis incorporated in a growth model and investigates whether an inherently unstable economy can be stabilized by a big and proactive government. Using dynamical systems theory and expanding a supply-driven growth model developed by Lin, Day and Tse (1992), the paper explores how different government spending programs and financing paths can affect the growth, as well as the stability of a capitalist economy. The results and implications of the new frameworks are analyzed, using analytical and numerical methods of bifurcation, to examine the dependence of optimal government intervention on the economic environment ...


Syllabus Of Intermediate Macroeconomics (Master's Course), Reza Moosavi Mohseni Dr. Dec 2011

Syllabus Of Intermediate Macroeconomics (Master's Course), Reza Moosavi Mohseni Dr.

Reza Moosavi Mohseni

No abstract provided.


Daily Stock Market Movement From Oscillating Social Mood Factors, Cari Bourette Dec 2011

Daily Stock Market Movement From Oscillating Social Mood Factors, Cari Bourette

Cari Bourette

Since 2006, there has been ongoing research into the correlation of a set of oscillating mood factors and socioeconomic, geopolitical, and natural events with the goal of forecasting increased risks of destabilizing events. While promising results have been forthcoming, it has been difficult to present models that allowed those outside a small circle of specialists to participate. Between July 2007 and June 2010, weekly social mood projections, as published in monthly issues of MoodCompass, were used to develop a model to convert four oscillating mood factors into stock market expectations. This model was modified to generate signals of projected stock ...


Testing For Weak Form Market Efficiency In Indian Foreign Exchange Makret, Anoop Sasikumar Aug 2011

Testing For Weak Form Market Efficiency In Indian Foreign Exchange Makret, Anoop Sasikumar

Anoop Sasikumar

This paper attempts to examine the weak form of market efficiency in the Indian foreign exchange market using a family of variance ratio tests. Monthly Nominal Effective Exchange Rate (NEER) data from April 1993-June 2010 were used for the analysis. NEER series was considered for the analysis as it is supposed to capture more information compared to the bilateral exchange rates. Three individual variance ratio tests as well as three joint variance ratio tests were used for the purpose of analysis. After analyzing the results from both individual and joint variance ratio test, it was concluded that Indian foreign exchange ...


Asean+3 Monetary And Financial Integration: What We Need For A New Framework?, Reza Moosavi Mohseni May 2011

Asean+3 Monetary And Financial Integration: What We Need For A New Framework?, Reza Moosavi Mohseni

Reza Moosavi Mohseni

In this paper at first we investigate the viability of creating an optimum currency area (OCA) in the East Asia. Then we try to find the currency bloc which is more suitable for this region. A ten-variable VAR model employed to estimate the underlying shocks and test the symmetry of them. The results show that forming an OCA for all of the countries in the region is costly and difficult to sustain. But at first five countries called Japan, China, Korea, Malaysia, and the Philippine with symmetric supply shocks can create the single currency area. The rest of the countries ...


Cv, Lorán Chollete Jan 2011

Cv, Lorán Chollete

Lorán Chollete

No abstract provided.