- Carmen González-Velasco added an answer:4What is the best method to compare the Nelson-Siegel model and the Svensson model (an extension of the Nelson-Siegel model)?I have seen many authors making use of the Root Mean Squared Error. Are there any other reliable and efficient methods that can be used to make comparisons?Following
- Ankur Sancheti added an answer:14What are the best indicators of greed, hope and fear in financial markets?
Animal spirits drive financial markets according to Keynes. But how do we measure this spiritedness?
There is no direct measure of Greed/hope/fear as such. You have to use other measures which are the closest proxies. But before going to any measure, we have to add another piece to the puzzle. That is, greed/ fear by Whome?
This is very important. is the Greed/ Fear by smart Money (Manipulators, Insiders Or the Informed Traders) or the Uninformed Traders.
Volume alone with Price action together defines the Greed/ fear to some extent. Say, an unusual high volume with no sensitive disclosure by company and prices end up closing towards high, that would mean somebody had Greed with no public disclosure then there is high probablity that the High unusual volume along with high closing is trigged by some Informed Entity.
At the same time, when high unusual volume appears with high closing along with Sensitive Disclosure by the Company then there are high probablities that its the Retail or Herd triggred the Greed.
Opposite of Greed is Fear. So just upside down the situation and you will find measure for Fear.
Always remember one thing: It's not only the volume and price at a give data that helps in decrypting the measure, you need to study the background (few weeks / months ago), you need to see recent announcements, profitablity, growth. Also, stdying the Liquidity helps a lot in knowing the depth.
So, there is no magical measure / formula that is going to measure the magnitude or trend of Greed/ Fear. It's combination of data points that are going to give you some judgemental probablities about Greed/ Fear and by whome.
- Faris Alshubiri added an answer:1How statistical agencies define and aggregate the structure of each economic sector when calculating intersectional (input-output) balance tables?
For example, how to define a monetary structure of a car industry in the USA or any other country, which may consist of production of rubber, steel, glass etc. In other words, I'm interested to know how the Leontiev input-output intersectional tables are formed. Do you know any websites where such statistics is available?
Dear Bulat A Akhmadeev
Please find the attached file about you question may be useful for you ,
- Nguyen Phuc Canh added an answer:4Which diagnostic tests and forms of regressions are suitable for Panel Data Regression?
I am again in need of help and want your sincere advices on my topic.
I briefly tell what I am doing in my project. This is a project of event study methodology. I will examine the effect of monetary policy surprises of FED ( only the interest rate surprises of FOMC) on currencies with countries of different central banks with different legal objectives: Bank of Canada, Reserve Bank of Australia, ECB, Bank of England and a suitable four countries of 'Fragile Five'. I am choosing 4 central banks of developed countries together with 4 developing countries with 'fragile' economies. I will then classify these central banks in a way that whether each of them has only price stability (inflation) objective in its legal objectives or any other objectives such as growth, unemployment etc. Therefore my regression will be as follows. There will be US/XXX currency data of a short-window on the left side and at the right side, there will be Beta0 + Beta1*Surprise*Dummy1 + Beta2*Surprise*Dummy2 + Error Term where Dummy1 states whether it has price stability target and Dummy2 indicates whether it has any other targets or not.
Here are my questions, please do forgive me for my ignorance,
1) I have 8 countries for the time being and how many FOMC meetings should I consider? It is an undergraduate term project for an advanced economics theory course. Therefore, I am not after a very important and staggering work. I am just simply trying to do something nice and interesting. If I have to decrease the number of countries from my sample, due to time constraint of the project, what should be the number of data points in order to do panel data regression?
2) Is there a specific model I should perform in panel data regression which is the best for this kind of work such as DOLS and FMOLS? I am not that much familiar with panel data regression, therefore I am asking for your kind help. What would you advise for the regression part?
3) Would you advise Eviews or Stata for the regression part?
4) Which tests should I perform on my regression to detect problems. If it was a time series data, I would be able to check many things in eviews but I don't have many ideas on panel data regression for a project at this level. Therefore, I am not clear on what diagnostic tests I should perform after the regression.
Any other advises would be appreciated by me and I do very thank you for your time and effort.
My Bests, Hanifi
Dear Hanifi Killioglu
In the case of reading books of Imran for long time, I send you some tips which I got when I do with panel data
1. The panel data regression face to some problem:
- The heteroskadesticity by time and by cross
- The autoregression
- The endogeneity
and some kind of other probelm such as: collinearity
I used to follow the processing when I do with panel data (by stata, you can find all order in Stata manual), you should choose the panel data with the short time and many cross - section data
1. Check all the variables to make sure they are in the right calculations
2. Run the Pool OLS (usually with the lag variable of dependent variable to solve the autoregression problem)
3. Check the heteroskadesticity by hettest
4. Run the FEM and REM then check what of model is better (by hausman test)
5. Check the endogeneity probelm by the Corr and the Rho value in FEM
6. If the endogeneity is existed => run model to fix it such as GMM or 2SLS, 3 SLS or IV model or LSDV
hope it will be helpful for you
- Alessandra Dal Colle added an answer:8Is there any case study on managing a deficit of a country?
I am looking for a case study on how countries are managing deficit. How did these countries manage to increase their revenues and reduce costs?
I do apologize for the generality I am about to express but considering that IMF "support" is always conditional on "structural adjustment packages", if I were you I would look into IMF policy reports or country reports on the countries having benefitted from IMF loans (Ghana has had more than 5 packages from the Sixties on and the last case in point is Greece).
Even for pure credit reasons, i.e. whether to maintain preferential credit to the country or not, I am sure the IMF has to monitor the policy aspects.
Of course this literature is very much lending/policy focused and not theoretical at all.Following
- Mohammmad Ali Taslim added an answer:2Which is one of the best choice we should choose from physical or monetary approaches while evaluating for enviromental economy?
There are two approaches for evaluating the enviromental resources: physical and monetary. Of course, they have many advantages according to themselves. but, how can we entitle as "this is best"? on the other hand, do we benefit from both of them? If we do, how?
If the evaluation can be done accurately, both approaches should yield the same result. The physical costs and benefits, with appropriate pricing, should be convertible to monetary values. But it is easier said than done. hence, wild guesstimates abound. Good luck with your efforts.Following
- Mike Sproul added an answer:6How does primary credit rate affect inflation?
I would be very grateful if you recommend me some profound studies about how interest rates influence inflation and also share you personal opinion on this issue. Do you think there is a positive or a negative relation between these indicators or may be none at all. Thanks in advance for your answers!
Here's a non-textbook answer based on the real bills doctrine: The brief answer is that if the central bank's lending reduces its net worth then inflation will rise, while if lending is done such that the central bank's net worth rises there will be deflation. Lending at a high interest rate is likely (but not certain) to raise the CB's net worth, and so likely to cause deflation, while lending at a low interest rate is likely (almost certain) to reduce the CB's net worth and cause inflation.
Google "real bills doctrine" for several papers on the subject.Following
- John Robert Hawkins added an answer:3Is there any country that follows the divisia monetary aggregate targeting ?
Empirical research shows that divisia monetary targeting is better than simple sum monetary targeting. Which of the countries is now following divisia monetary targeting?
I'm fairly sure no country has a Divisia monetary target - indeed these days I'm not aware of any country which has a serious monetary target at all. Most central banks do not even give much or any attention to monetary aggregates now.
I doubt any country would have ever seriously contemplated a Divisia target as grounds of transparency and simplicity. An inflation target can help anchor inflationary expectations as it is relatively simple to explain to the public but a Divisia monetary target would be quite hard to explain.
Some central banks did look at Divisia indices eg Ken Clements while at the Reserve Bank of Australia (see e.g. his paper on in the Journal of Econometrics 1980 on 'economic monetary aggregates').Following
- Bhakti Niskama Shanta added an answer:3WE need contributions from ALL EXPERTS / PROFESSIONSPlease Join the MULTIDISCIPLINARY group:
Ecology & Economics and Non-Monetary Values. The Role of States and Governments
WE need contributions from ALL EXPERTS / PROFESSIONS
Please Go to the LINK, JOIN IN and place / POST your comments ON:
See you on the group! - See perhaps your contributions as well.
On this topic there is an interesting discussion going on: https://groups.google.com/forum/#!topic/online_sadhu_sanga/Mcv2O-yhqLEFollowing
- David O. Cushman added an answer:6Time series econometrics question?
I am running a SVAR model with 3 external variables (oil prices, fed rate, global growth rate) and 6 domestic macrovariables. I want to treat the 3 external variables as exogenous in my study. What are the ways of doing it in my model?
The ordering of the variables in the standard reduced form VAR has nothing to do with exogeneity. It imposes an assumption to achieve identification of orthogonal shocks to the endogenous variables for computing impulse responses, etc.. In the realm of cointegration, weak exogeneity can be imposed or trested by restricting the error correction parameters for the relevant variables to zero in the VECM. Strongly exogenous variables are treated the same as constants and trends in a VAR. At least some econometric programs allow for such variables beyond constants and trends. It is also a possibility in cointegration VARs (VECMs), for example, in CATS in RATS.Following
- Peter Samuels added an answer:3Is anyone aware of any studies of the impact of monetization on numeracy levels and characteristics in a population?
I would be interested in studies from any discipline.
Dear Brett, have you heard of the ROSE survey by Sjoberg and Schriener? Their headline finding was countries with higher HDI scores had lower interest in learning science by 15 year olds.Following
- Kenan Lopcu added an answer:3How is the result of NG PERRON interpreted and when do we apply it most?
I want to know hw best to use NG PERRON in interpretation
Here is a practical answer:
The null is unit root. If the NG-Perron test statistics (There are four) smaller than the critical value you reject the null hypothesis (Same as ADF though two of the tests critical values are positive but you stiil reject the null if your test statistic is smaller than the critical value) . Costant and trend or just a constant can be included in the tests.
Check below articles for examples where we used N.G._Perron tests.
Lopcu, K., Burgac, A., & Dulger, F. (2012). Can Productivity Increases Really Explain the Lira Appreciation: Questions for the Central Bank of the Republic of Turkey. Topics in Middle Eastern and North African Economies, electronic journal, Volume 14, Middle East Economic Association and Loyola University Chicago, September, 2012, http://www.luc.edu/orgs/meea/
Lopcu, Kenan, Fikret Dülger, and Almıla Burgaç. "Relative productivity increases and the appreciation of the Turkish lira." Economic Modelling 35 (2013): 614-621.
Hope it helps.Following
- 17Is there a difference between any goods, any products, and money at all?Physically there seems to be NO difference at all between any kind of goods and money. Both can have a physical (matter based) body or can be an electronical set of data. In principle all kind of goods can be used as money. This is valid for each form of money in history. Even living animals like goats and cows could be put into both definitions. I really see a problem to define the difference in physical terms. It is nothing but a simple convention - which can vary from one moment to another?
I need to weigh in again. First, I'm not surprised that there is an inverse relation between stock prices and interest rates given that the returns compete against one another as substitutes; but interest rates are not the price or cost of money, the amount of goods and services they can garner is.
To Olaf's original point, it very well might be true that anything can be (and pretty much has been) used as money. But all those "monies" met the three functional criteria I mentioned earlier. These functions are especially vital now. No commodity goods exist anymore. Fiat paper and electronic money rules. So, what money does is what money is: a means to keep track of and measure the values of all of the innumerable trades that take place.Following
- 17Couldn't the Fed have provided the entire TARP relief, as opposed to leaving taxpayers on the hook via US Treasury purhcases of toxic assets?
After all, US fed lending totaled 2 trillion dollars through the discount window, at nearly zero interest...in addition to quantitative easing...
My argument is that growth is an increase in production possibilities. Re-employing workers is not growth, it's catch up. I agree that you can get people employed. Build a pyramid - but that's not necessarily growth. We don't need crowding out or NAIRU for this statement. If an economy is going to truly grow, aggregate demand is not the workhorse.
And I still say there's no free lunch. Somewhere, somehow, somebody is going to pay for indebtedness. I don't see how one can avoid it.
I'm open for reading suggestions if you have any.Following
- 1How can we compare Mundell's optimal currency area theory with the optimal seigniorage theory?Joshua Aizenman produced two papers on optimal seigniorage in 1992.
Given that these are quite different concepts I'm not sure what you're trying to determine. Optimal seigniorage is usually optimal only for the entity (usually government) that is developing the money itself. Optimal currency areas are usually concerned with the optimizing for economic success. These two don't seem to mesh that well. I'm curious what you're going for here.Following
- 1Which theory of money is more acceptable: the representative or fiat?Are the two concepts mutually exclusive?
Interesting question. Of course almost every country has evolved to use fiat money after having used representative earlier. And most have prospered and moved on without a hitch. All money is ultimately "Monopoly money" (both rep and fiat) because its acceptance is how the game is played. Either type will fail if mismanaged and either type will succeed if the supply is controlled and everybody still wants to "play."
Not sure exactly what you're looking for here, Liviu. I see you've been at this a while and probably have addressed this yourself. Just looking for conversation or do you have a paper you're working on?Following
- John Robert Hawkins added an answer:5How to convert currency from past years in recent scientific publications?
Currency in my home country has begin fluctuating a lot and every time I have to convert values in dollar or pounds they changes a lot. Is there any standard for converting currency from past in recent scientific publication?
international comparisons using exchange rates are excessively volatile. A better approach is to use measures of the more stable 'purchasing power parities'. These are calculated as part of the International Comparison Programme and can be found in OCED and IMF publications.Following
- Constantinos Alexiou added an answer:46How can Greece repel austerity without abandoning the Euro and the Eurozone?
Without forming a national central bank of its own, and thus reestablishing its own currency, how can Greece escape neo-liberal structural adjustment?
The question that you should be asking is as follows: When the strong (in nominal terms) advanced economies that advocate vehemently the euro-straight jacket will stop feeding a terminally ill patient (Greece)? If you manage to answer this then you should be able to explain the concept of economic growth in the context of morbid capitalism.......Following
- Ho-Chuan Huang added an answer:7Anyone familiar with estimation of Parameters Using Rigobon(2003) Identification Method?
We want to estimate the simultaneous equation system using GMM using the identification method proposed by Rigobon (2003).
Summary of this method is, for rank order condition the system is under identified but he assume that the variance of error have at least two regimes. Through this assumption he estimates the required parameters using GMM.
Any body can help in this regard? If any one knows in which software this procedure is implemented or if you have code please provide us.
Thanks in advance
If you are estimating two-equation and only two-equation system using heteroskedasticity-based identification approach, try alternative techniques (It is more difficult to modify Rigobon's Gauss code): “Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models,” by Arthur Lewbel, Journal of Business and Economic Statistics 2012, 30, 67-80. A free-to-download and easy-to-use Stata command "ivreg2h" can be implemented to estimate a two-equation simultaneous system. Please visit: https://www2.bc.edu/arthur-lewbel/Following
- Hussein Elasrag added an answer:3Does anybody have up to date data on capital flows and balance payments info for within the US?
If so, please let me know.
Let me also suggest you: http://www.bea.gov/international/Following
- Reda Bouchikhi added an answer:4Are there variables to measure information asymmetry in the banking system?
This is for measuring the impact of asymmetric information in bank decision.
thanks Mohd Yaziz Mohd Isa ·Following
- John Ryding added an answer:6Could so called "bitcoins" or digital currency reduce payment costs of companies based on transaction cost theory?In consideration of uncertainty with foreign exchange rate change
I believe in what monetary theorists have argued for decades in terms of the functions of money. A medium of exchange is not sufficient. A store of value is necessary. As a technology for secretly transferring money, there may be something. But Bitcoin is an asset class and it has to be collectively held by someone (even as it gets transferred). As far as Weimar Germany was concerned, the mark lost its moneyness and ended circulating with such tremendous velocity. The same was true of the Zimbabwe dollar a few years ago. Given the high profile thefts of BTC from MtGox and elsewhere, I am not convinced by the digital security either.Following
- Abdul HAFEEZ Siddiqui added an answer:9Electronic money and economic growth?Is there anyone specialized in this field? I'd like to read something more about the relation between electronic money and economic growth.
All the contributions are welcome.
Electronic Money & Economic Growth relate each other as the world economy is in a Technological Transitional state and number of electronic transactions are increasing every year with fastest pace which may resultantly impact on enhancement & efficiencies of Global Economy.Following
- Godwill George Wanga added an answer:21Does the Federal Reserve System have more influence on inflation and unemployment now than it did before the crisis?
The Federal Reserve System balance has grown 4x since the economic crisis on QE programs.
In this situation, it is very hard to be more influential on economics. What are the main features for good economic policy?
The near zero interest rate indicates the low value of money because of too much money supply in relation to demand. For instance, most of the US importers from China demand renimbi than US dollar. The US dollar is still very strong due to its status of global reserve currency. Thus, the US dollar enjoys such prestigious position because no any other currency has acquired such a position.Following
- Felim Opurum added an answer:4How do we model both a neo-classical Keynesian system and behavioural finance as a paradigm in our present modern economy?
The Reviews plummeting monetarism, Keynesian and cognition finance has lead to uncertainty beleaguering the global world economy. Is there any model to clearly invigorate these theories and posit?
Thanks for your contribution. However, i would like to see more scholary articles on this debate.Following
- Matteo Fragetta added an answer:2Error message "Log of non positive number" in EViews?Using VAR lag order selection criteria, if I put this in cointegration I receive the above error. Why?
I am not sure i understand correctly. However, see if you have tried to do the log of negative numbers which is not possible. What do you mean for I put the lag selected in the cointegration? Cointegration are static long run relationships.Following
- Sheriffdeen A. Tella added an answer:3Are there any reliable sources of information for the composition of foreign reserves held on a country by country basis?
I am writing a paper on the potential for the shift away from the USD as the world reserve currency and thus far I can only find general data on global reserves via the IMF COFER reports. I am hoping to be able to establish historical shifts, but then to continue to report on the topic.
The best source for your data is World Bank or IMF data base. Between them they have reserves figures for every member country. Also, they have write-up from their staff and consultants. The papers can assist you in literature review and appropriate methodology for your study.Following
- Amit Mittal added an answer:7How to determine the impact of a negative shock to lending rates via the impulse response function?
VAR models have become increasingly popular in recent decades. VAR provides empirical evidence on the response of macroeconomic variables to various exogenous shocks or impulses. Within the framework of a Vector Auto-regressive model (VAR), I want to conduct a robustness test. Specifically, I want to study the impact of policy rate on lending rates and examine the impact of a positive and negative shock on lending rates.
A positive shock (e.g. increase in policy rate) can only allow me to see the impact of a contractionary monetary policy on lending rates. But, I am more interested to look at the impact of a negative shock (e.g. decrease in policy rate or expansionary monetary policy) on lending rates.
So, how to determine the impact of a negative shock via the ‘Impulse Response Function’ using Eviews or other statistical packages?
Isolating impact would be especially complicated by the delay in transmission of any change in lending rates and a prelim study to select the period of delay that has significance could probably be a first milestone? Also study only negative impact may thus make any data trend invisible as the inelastic market means the change in lending rates is probably much smaller..Following
- Dominique Torre added an answer:3What was the major economic event in 1950s which caused Europe to switch to a monetary collaboration?
Was it the second world war, disagreement with Bretton woods with US Dollar dominance or the aftermath of 1929 great depression?
During the 1950s, the objective was initially to collaorate econonomically (there was also the objective from Federalists firm Benelux, Germany or Italy to collaborate politically), but not so much the objective to have a common curency. This objective cam later, afetr Bretton Woods collapse, during the early 1970s, when European currencies distributed between strong currencies (DM and Florin) with low inflation rates and weak ones (roughlky speaking the other ones including FF and £) with hight and variable inflation rates. Next steps (including the intermeduate regimes tested during the 1970s, 1980s, and early 1990s) where unsuccesfull attemp to stabilize the internal fluctuations of European currencies, considered at this time as an obstable to development and exchange synergies. Adoption of Euro has been successfull: from a monetary point of view: Europe has now a striong currency... and no growth :-(Following
About Monetary Economics
Monetary economics provides a framework for analyzing money in its functions as a medium of exchange, store of value, and unit of account. It considers how money, for example fiat currency, can gain acceptance purely because of its convenience as a public good.