Essays about: "Macroeconomic Simulation"

Showing result 1 - 5 of 7 essays containing the words Macroeconomic Simulation.

  1. 1. Smooth Transitions in Factor Augmented Models: Simulations and Applications in Macroeconomics

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Ingrid Mattsson; [2017]
    Keywords : smooth transitions; STAR; factor models; regime switching; macroeconomics; forecasting;

    Abstract : This paper is concerned with two important topics in macroeconomic research – structural instability and handling of large amount of data. The regime switching behavior of the data generating process is accounted for by using a smooth transition model. READ MORE

  2. 2. Demand Deposits : Valuation and Interest Rate Risk Management

    University essay from KTH/Entreprenörskap och Innovation; KTH/Entreprenörskap och Innovation

    Author : Yang Lu; Kevin Visvanathar; [2015]
    Keywords : demand deposits; interest rate risk; market interest rate; stochastic simulation; avistakonton; ranterisk; marknadsranta; stokastisk simulering; nuvarde; replikerande;

    Abstract : In the aftermath of the financial crisis of 2008, regulatory authorities have implemented stricter policies to ensure more prudent risk management practices among banks. Despite the growing importance of demand deposits for banks, no policies for how to adequately account for the inherent interest rate risk have been introduced. READ MORE

  3. 3. Relationship between Currency Carry Trades and Gold Returns : A quantitative study of G-10 currencies: correlation and spillover effects for the last two decades.

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Johannes Hornbrinck; Jonas Olausson; [2014]
    Keywords : Gold; Currency Carry Trades; Carry Trades; Portfolio choice; Sweden; Gold Hege; Gold diversifier; Gold safe-haven; UIP; Relationship;

    Abstract : Currency carry trade is an investment strategy that recently started gaining a lot of interest not only among investors and financial institutions but also academically. One of the underlying theoretical assumptions regarding the mechanisms of the foreign exchange market, the Uncovered Interest Parity has frequently been disproved in practice which has led to the conclusion that carry trade is profitable in practice. READ MORE


    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ola Knut Eric Lithman; [2012]
    Keywords : Money supply; Quantitative Easing; Stock Market; Macroeconomic Variables; Simulation; Probit; Bootstrap; Business and Economics;

    Abstract : This thesis deals with money supply and stock prices. Specifically it inquires what macroeconomic factors influences the stock market index. Given the high degree of equity correlation in the market, variables previously used for explaining the cross-section of expected returns are tested against the S&P500 index. READ MORE

  5. 5. Rule-based Monetary Policy for Developing Countries, Evidence from Developed Countries

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Mohammed Saiful Islam; [2009]
    Keywords : Developing Countries; monetary policy; Taylor Rule; Counterfactual Simulation; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : Price and output stabilities determine the success of monetary policy in either economy. This paper briefly examines the monetary policy strategies of three developed countries (USA, UK, Sweden) and three developing countries (Bangladesh, India, Pakistan). READ MORE