The Remarkable Long Run Conditional Predictability Of Us Real M1 PDF Download
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Author | : Clinton A Greene |
Publisher | : |
Total Pages | : 0 |
Release | : 2011 |
Genre | : |
ISBN | : |
Download The Remarkable Long-Run Conditional Predictability of US Real M1 Book in PDF, ePub and Kindle
This paper presents a useful approach to modeling US M1. Given the many failures in money modeling, the case for a meaningful relationship is made by forcing the model down two paths most fear to tread. First, a static cointegrating model is used to forecast over horizons well past the terminal estimation date, conditional on known non-M1 variables. Here "long horizon" is well over five years and as much as 25 years. In this long-horizon exercise the model tracks actual M1 remarkably well. Second, in shorter-run forecasts the cointegrating relationship is not folded into a dynamic error-correction form. Instead, the static model is forced to stand on its own when compared to a dynamic pure time series model. Here the static cointegration model forecasts with a smaller RMSE at a horizon of only six quarters. The model employs money and income scaled per household. There are three theoretical reasons for doing so. Scaling is necessary (a priori) to avoid inducing instability, miss-timing and trivial "self-cointegration". The cointegration model can be re-arranged to treat the price-level as a function of nominal money per household, real GDP per household, and an interest rate.
Author | : Barry Z. Cynamon |
Publisher | : Cambridge University Press |
Total Pages | : 359 |
Release | : 2013 |
Genre | : Business & Economics |
ISBN | : 1107015898 |
Download After the Great Recession Book in PDF, ePub and Kindle
A collection of essays about the US Great Recession of 2007 to 2009 and the subsequent stagnation from prominent scholars.
Author | : National Intelligence Council |
Publisher | : Cosimo Reports |
Total Pages | : 158 |
Release | : 2021-03 |
Genre | : |
ISBN | : 9781646794973 |
Download Global Trends 2040 Book in PDF, ePub and Kindle
"The ongoing COVID-19 pandemic marks the most significant, singular global disruption since World War II, with health, economic, political, and security implications that will ripple for years to come." -Global Trends 2040 (2021) Global Trends 2040-A More Contested World (2021), released by the US National Intelligence Council, is the latest report in its series of reports starting in 1997 about megatrends and the world's future. This report, strongly influenced by the COVID-19 pandemic, paints a bleak picture of the future and describes a contested, fragmented and turbulent world. It specifically discusses the four main trends that will shape tomorrow's world: - Demographics-by 2040, 1.4 billion people will be added mostly in Africa and South Asia. - Economics-increased government debt and concentrated economic power will escalate problems for the poor and middleclass. - Climate-a hotter world will increase water, food, and health insecurity. - Technology-the emergence of new technologies could both solve and cause problems for human life. Students of trends, policymakers, entrepreneurs, academics, journalists and anyone eager for a glimpse into the next decades, will find this report, with colored graphs, essential reading.
Author | : Laurent Ferrara |
Publisher | : Springer |
Total Pages | : 298 |
Release | : 2018-06-13 |
Genre | : Business & Economics |
ISBN | : 3319790757 |
Download International Macroeconomics in the Wake of the Global Financial Crisis Book in PDF, ePub and Kindle
This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
Author | : Söhnke M. Bartram |
Publisher | : CFA Institute Research Foundation |
Total Pages | : 95 |
Release | : 2020-08-28 |
Genre | : Business & Economics |
ISBN | : 195292703X |
Download Artificial Intelligence in Asset Management Book in PDF, ePub and Kindle
Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
Author | : Peter Spirtes |
Publisher | : Springer Science & Business Media |
Total Pages | : 551 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 1461227488 |
Download Causation, Prediction, and Search Book in PDF, ePub and Kindle
This book is intended for anyone, regardless of discipline, who is interested in the use of statistical methods to help obtain scientific explanations or to predict the outcomes of actions, experiments or policies. Much of G. Udny Yule's work illustrates a vision of statistics whose goal is to investigate when and how causal influences may be reliably inferred, and their comparative strengths estimated, from statistical samples. Yule's enterprise has been largely replaced by Ronald Fisher's conception, in which there is a fundamental cleavage between experimental and non experimental inquiry, and statistics is largely unable to aid in causal inference without randomized experimental trials. Every now and then members of the statistical community express misgivings about this turn of events, and, in our view, rightly so. Our work represents a return to something like Yule's conception of the enterprise of theoretical statistics and its potential practical benefits. If intellectual history in the 20th century had gone otherwise, there might have been a discipline to which our work belongs. As it happens, there is not. We develop material that belongs to statistics, to computer science, and to philosophy; the combination may not be entirely satisfactory for specialists in any of these subjects. We hope it is nonetheless satisfactory for its purpose.
Author | : Nicolo Cesa-Bianchi |
Publisher | : Cambridge University Press |
Total Pages | : 4 |
Release | : 2006-03-13 |
Genre | : Computers |
ISBN | : 113945482X |
Download Prediction, Learning, and Games Book in PDF, ePub and Kindle
This important text and reference for researchers and students in machine learning, game theory, statistics and information theory offers a comprehensive treatment of the problem of predicting individual sequences. Unlike standard statistical approaches to forecasting, prediction of individual sequences does not impose any probabilistic assumption on the data-generating mechanism. Yet, prediction algorithms can be constructed that work well for all possible sequences, in the sense that their performance is always nearly as good as the best forecasting strategy in a given reference class. The central theme is the model of prediction using expert advice, a general framework within which many related problems can be cast and discussed. Repeated game playing, adaptive data compression, sequential investment in the stock market, sequential pattern analysis, and several other problems are viewed as instances of the experts' framework and analyzed from a common nonstochastic standpoint that often reveals new and intriguing connections.
Author | : Wayne Ferson |
Publisher | : MIT Press |
Total Pages | : 497 |
Release | : 2019-03-12 |
Genre | : Business & Economics |
ISBN | : 0262039370 |
Download Empirical Asset Pricing Book in PDF, ePub and Kindle
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author | : Woon Gyu Choi |
Publisher | : |
Total Pages | : 52 |
Release | : 1997 |
Genre | : Demand for money |
ISBN | : |
Download The Money Demand Function in the US Book in PDF, ePub and Kindle
Author | : Otmar Issing |
Publisher | : |
Total Pages | : 344 |
Release | : 2003 |
Genre | : Business & Economics |
ISBN | : |
Download Background Studies for the ECB's Evaluation of Its Monetary Policy Strategy Book in PDF, ePub and Kindle