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Money Velocity with Interest Rate Stochastic Volatility and Exact Aggregation

Barnett, William A.; Xu, Haiyang - EconWPA - 1998

The determinants of money velocity are explored under various assumptions on interest rate uncertainty in a monetary general equilibrium model. It is found that the appearance of velocity function instability can be produced by overlooking interest rate stochastic volatility. In addition, when...

Persistent link: https://www.econbiz.de/10005561293

Fractional Reserve Banking as Economic Parasitism: A Scientific, Mathematical & Historical Expose, Critique, and Manifesto

Nuri, Vladimir Z. - EconWPA - 2002

This paper looks at the history of money and its modern form from a scientific and mathematical point of view. The approach here is to emphasize simplicity. A straightforward model and algebraic formula for a large economy analogous to the ideal gas law of thermodynamics is proposed. It may be...

Persistent link: https://www.econbiz.de/10005126382

Analytically inducting option cash flows for Markovian interest rate models: A new application paradigm

Gan, Junwu - EconWPA - 2001

This paper develops a new computational approach for general multi- factor Markovian interest rate models. The early exercise premium is derived for general American options. The option cash flows are decomposed into fast and slowly varying components. The fast components are option independent...

Persistent link: https://www.econbiz.de/10005134731

Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited

Hill, Jonathan B. - EconWPA - 2004

In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...

Persistent link: https://www.econbiz.de/10005119144

Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter

Iannaccone, Roberto; Otranto, Edoardo - EconWPA - 2003

A widely used filter to extract a signal in a time series, in particular in the business cycle analysis, is the Hodrick-Prescott filter. The model that underlies the filter considers the data series as the sum of two unobserved component (signal and non signal) and a smoothing parameter which...

Persistent link: https://www.econbiz.de/10005407924

Grinkevych's Model of forecasting

Dmitry - EconWPA - 2005

PROBLEM SOLVING OF FORECASTING ON SHORT PERIODS IN THE CASE OF TRANSITIONAL STRUCTURE-CHANGING CHARACTER OF DEVELOPMENT …

Persistent link: https://www.econbiz.de/10005407982

Assessing Forecast Performance in a VEC Model: An Empirical Examination

Zacharias, Bragoudakis - EconWPA - 2005

expenditure as suggested by the economic theory. We compare the estimated forecasting values of the endogenous variables to the …This paper is an exercise in applied macroeconomic forecasting. We examine the forecasting power of a vector error …, Forecasting, Simulation Analysis, Vector error- correction models JEL Classifications: C15, C32, C53, E0, E6 Working Paper Series …

Persistent link: https://www.econbiz.de/10005119198

‘‘MOVING MEDIAN’’ A NEW METHOD OF FORECASTING

Giovanis, Eleftherios - EconWPA - 2005

For hundred years the future was occupying the persons. The ancient Greeks, the Romans, the Egyptians, the Indians, the Chinese and other great ancient cultures, but also the modern, as the English, Germans and the Americans and with the help of the development of technology and computers they...

Persistent link: https://www.econbiz.de/10005119209

Are Europe's Interest Rates led by FED Announcements?

Monticini, Andrea; Vaciago, Giacomo - EconWPA - 2005

This paper investigates the degree and nature of economic and monetary policy relations among the United States, the Euro area, and Great Britain. Using daily interest rates, we estimate the impact of monetary policy announcements of a Central Bank on its domestic market and in what measure...

Persistent link: https://www.econbiz.de/10005412842

Assessing Forecast Performance in a VEC Model: An Empirical Examination

Bragoudakis, Zacharias - EconWPA - 2005

Persistent link: https://www.econbiz.de/10005556281

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