The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
By Don Harding and Adrian Pagan
()
About this ebook
The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the most basic level, such recurrent events can be summarized using binary indicators showing if the event will occur or not. These indicators are constructed either directly from data or indirectly through models. Because they are constructed, they have different properties than those arising in microeconometrics, and how one is to use them depends a lot on the method of construction.
This book presents the econometric methods necessary for the successful modeling of recurrent events, providing valuable insights for policymakers, empirical researchers, and theorists. It explains why it is inherently difficult to forecast the onset of a recession in a way that provides useful guidance for active stabilization policy, with the consequence that policymakers should place more emphasis on making the economy robust to recessions. The book offers a range of econometric tools and techniques that researchers can use to measure recurrent events, summarize their properties, and evaluate how effectively economic and statistical models capture them. These methods also offer insights for developing models that are consistent with observed financial and real cycles.
This book is an essential resource for students, academics, and researchers at central banks and institutions such as the International Monetary Fund.
Related to The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
Titles in the series (7)
Anticipating Correlations: A New Paradigm for Risk Management Rating: 0 out of 5 stars0 ratingsSocial Choice with Partial Knowledge of Treatment Response Rating: 0 out of 5 stars0 ratingsComplete and Incomplete Econometric Models Rating: 0 out of 5 stars0 ratingsYield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach Rating: 4 out of 5 stars4/5Bayesian Estimation of DSGE Models Rating: 5 out of 5 stars5/5The Econometric Analysis of Recurrent Events in Macroeconomics and Finance Rating: 0 out of 5 stars0 ratingsBayesian Non- and Semi-parametric Methods and Applications Rating: 3 out of 5 stars3/5
Related ebooks
Introduction to Global Analysis Rating: 0 out of 5 stars0 ratingsPrice optimization A Clear and Concise Reference Rating: 0 out of 5 stars0 ratingsQuadratic Forms and Matrices: An Introductory Approach Rating: 0 out of 5 stars0 ratingsTopology and Its Applications Rating: 3 out of 5 stars3/5Stochastic Integrals Rating: 0 out of 5 stars0 ratingsLectures on the Mathematical Method in Analytical Economics Rating: 0 out of 5 stars0 ratingsStochastic Geometry and Its Applications Rating: 4 out of 5 stars4/5Cobb–Douglas production function Second Edition Rating: 0 out of 5 stars0 ratingsMathematical Techniques of Applied Probability: Discrete Time Models: Basic Theory Rating: 5 out of 5 stars5/5Analytic Properties of Automorphic L-Functions Rating: 0 out of 5 stars0 ratingsDecision Information Rating: 0 out of 5 stars0 ratingsMechanism Design: Fundamentals and Applications Rating: 0 out of 5 stars0 ratingsSubstitutional Analysis Rating: 0 out of 5 stars0 ratingsTheory of Groups of Finite Order Rating: 0 out of 5 stars0 ratingsThe Economics of Sovereign Debt and Default Rating: 0 out of 5 stars0 ratingsTopics in Commutative Ring Theory Rating: 0 out of 5 stars0 ratingsMathematical Methods: Linear Algebra / Normed Spaces / Distributions / Integration Rating: 0 out of 5 stars0 ratingsSurvival Analysis Rating: 0 out of 5 stars0 ratingsLectures on the Coupling Method Rating: 0 out of 5 stars0 ratingsElements of Linear Space Rating: 0 out of 5 stars0 ratingsMicroscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena Rating: 0 out of 5 stars0 ratingsLow-Rank Models in Visual Analysis: Theories, Algorithms, and Applications Rating: 0 out of 5 stars0 ratingsMathematical Conversations: Multicolor Problems, Problems in the Theory of Numbers, and Random Walks Rating: 0 out of 5 stars0 ratingsQuantitative Finance: Back to Basic Principles Rating: 0 out of 5 stars0 ratingsThe Complete Guide to Capital Markets for Quantitative Professionals Rating: 4 out of 5 stars4/5Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach Rating: 0 out of 5 stars0 ratingsStochastic Analysis of Mixed Fractional Gaussian Processes Rating: 0 out of 5 stars0 ratingsOptimization in Function Spaces Rating: 0 out of 5 stars0 ratingsLatin Squares: New Developments in the Theory and Applications Rating: 0 out of 5 stars0 ratingsMatrix Completions, Moments, and Sums of Hermitian Squares Rating: 5 out of 5 stars5/5
Finance & Money Management For You
The Psychology of Money: Timeless lessons on wealth, greed, and happiness Rating: 5 out of 5 stars5/5The Price of Tomorrow: Why Deflation is the Key to an Abundant Future Rating: 5 out of 5 stars5/5Alchemy: The Dark Art and Curious Science of Creating Magic in Brands, Business, and Life Rating: 4 out of 5 stars4/5Retire Before Mom and Dad: The Simple Numbers Behind A Lifetime of Financial Freedom Rating: 4 out of 5 stars4/5How to Make Money in Stocks: A Winning System in Good Times and Bad, Fourth Edition Rating: 5 out of 5 stars5/5Leading with Cultural Intelligence 3rd Edition: The Real Secret to Success Rating: 4 out of 5 stars4/5The Great Reset: And the War for the World Rating: 4 out of 5 stars4/5Strategy Skills: Techniques to Sharpen the Mind of the Strategist Rating: 4 out of 5 stars4/5The Richest Man in Babylon Rating: 4 out of 5 stars4/5Just Keep Buying: Proven ways to save money and build your wealth Rating: 5 out of 5 stars5/5Principles: Life and Work Rating: 4 out of 5 stars4/5The Great Awakening: Defeating the Globalists and Launching the Next Great Renaissance Rating: 4 out of 5 stars4/5The Book on Advanced Tax Strategies: Cracking the Code for Savvy Real Estate Investors Rating: 4 out of 5 stars4/5The Freedom Shortcut: How Anyone Can Generate True Passive Income Online, Escape the 9-5, and Live Anywhere Rating: 5 out of 5 stars5/5Wealthology: The Science of Smashing Money Blocks Rating: 3 out of 5 stars3/5The 7 Habits of Highly Effective People: 15th Anniversary Infographics Edition Rating: 5 out of 5 stars5/5How Rich People Think: Condensed Edition Rating: 4 out of 5 stars4/5Buy, Rehab, Rent, Refinance, Repeat: The BRRRR Rental Property Investment Strategy Made Simple Rating: 5 out of 5 stars5/5Family Trusts: A Guide for Beneficiaries, Trustees, Trust Protectors, and Trust Creators Rating: 5 out of 5 stars5/5Financial Words You Should Know: Over 1,000 Essential Investment, Accounting, Real Estate, and Tax Words Rating: 4 out of 5 stars4/5The Total Money Makeover by Dave Ramsey: Summary and Analysis Rating: 4 out of 5 stars4/5You Can Be a Stock Market Genius: Uncover the Secret Hiding Places of Stock Market P Rating: 4 out of 5 stars4/5ABCs of Buying Rental Property: How You Can Achieve Financial Freedom in Five Years Rating: 5 out of 5 stars5/5
Reviews for The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
0 ratings0 reviews