The effect of the increase in the monetary base on Japan s economy at zero interest rates: an empirical analysis 1


 Sharleen George
 2 years ago
 Views:
Transcription
1 The effec of he icrease i he moeary base o Japa s ecoomy a zero ieres raes: a empirical aalysis 1 Takeshi Kimura, Hiroshi Kobayashi, Ju Muraaga ad Hiroshi Ugai, 2 Bak of Japa Absrac I his paper, we quaify he effec of he socalled quaiaive moeary easig which he Bak of Japa adoped i March Now ha shorerm ieres raes are almos zero ad moeary base growh is over 20% year o year, acive debae coiues wih respec o he effeciveess of moeary policy a zero ieres raes. Takig io accou he regime chage i moeary policy ad he possible olieariy of moey demad a low (or ear zero) ieres raes, we use a Bayesia vecor auoregressio (VAR), a VAR wih imevaryig coefficies, o exrac he effec of he icrease i he moeary base a zero ieres raes. The resul of a Bayesia VAR idicaes ha while a icrease i he moeary base previously had a posiive impac o prices, i does o ow a zero ieres raes. I order o ivesigae he possible reaso for his resul, we he esimae a moey demad fucio, ad es wheher a saiaio level i demad for he moeary base exiss a zero ieres raes. The key fidig here is ha he ull hypohesis of he oexisece of he saiaio level ca be saisically rejeced. This meas ha here may remai room for a icrease i he moeary base o simulae he ecoomy a zero ieres raes. Despie he exisece of he saiaio level of moey demad, why does he Bayesia VAR resul sugges ha a icrease i he moeary base does o have a posiive impac o ecoomic aciviy a zero ieres raes? Oe cosise ierpreaio of hese wo resuls is ha he effec, if ay, of he icrease i he moeary base is highly ucerai ad very small. We cofirm his view by esimaig models ha iclude boh aggregae demad ad aggregae supply fucios ad esig wheher he moeary base eers hese equaios sigificaly. Fially, we discuss reasos why he expasio of he moeary base a zero ieres raes has such a limied ad ucerai effec o he ecoomy. 1. Iroducio O 19 March 2001, he Bak of Japa iroduced ew procedures for moey marke operaios uder which he ousadig balace of curre accous held a he Bak, isead of he overigh call rae, is used as he mai operaig arge. The chage i he operaig arge was closely relaed o he fac ha he overigh call rae had almos reached a zero boud ad he Bak sill eeded o ease moeary policy o comba persise deflaioary pressure. The arge level of he ousadig balace of curre accous held a he Bak exceeded he acual amou of February A he same ime, he Bak decided ha he ew procedures for moey marke operaios should remai i place uil he cosumer price idex (CPI) (excludig perishables; aiowide) regisered sably a zero per ce or a icrease year o year. The Bak also decided o icrease he ourigh purchase of logerm goverme bods if i cosidered his ecessary o smoohly provide liquidiy. Furhermore, he Bak 1 2 We are graeful for helpful discussios ad commes from Sefa Gerlach, Keeh Kuer, Edward Nelso, Carl Walsh ad Michael Woodford, as well as paricipas a he Auum 2002 Ceral Bak Ecoomiss Meeig held by he Bak for Ieraioal Selemes. We would also like o hak may saff members of he Bak of Japa for heir commes o a earlier draf ad Saori Sao for her excelle research assisace. Ay remaiig errors are our ow. The views expressed herei are hose of he auhors aloe ad o ecessarily hose of he Bak of Japa. All he auhors belog o he Policy Research Divisio (Policy Plaig Office) a he Bak of Japa. addresses: ad 276 BIS Papers No 19
2 esablished a socalled lombardype ledig faciliy ha eables fiacial isiuios, uder cerai codiios, o borrow fuds from he Bak a he official discou rae as log as hey have eligible collaeral. This eire policy regime is ofe referred o as quaiaive moeary easig measures. The ew policy regime was iroduced o explore he possibiliy of furher moeary easig eve afer shorerm ieres raes had falle o zero. The Bak of Japa pursued his policy, while cocurrely examiig he followig effecs heoreically assumed o Japa s ecoomy. Firs, lower ieres raes would sill have a simulaive impac o he ecoomy. I his regard, he aouceme ha he ew policy regime should be maiaied uil CPI iflaio becomes zero or more was ieded o iduce maximum effecs from a raher limied call rae cu o logererm raes. Secod, he abuda provisio of liquidiy would make moey marke paricipas feel more secure abou he availabiliy of fuds, hereby preservig fiacial marke sabiliy. Third, a icrease i reserves migh ivie liquidiy saiaio ad, cosequely, somehow iduce porfolio shifs i fiacial asses, resulig i, for example, a rise i sock prices, depreciaio of he ye, or credi expasio. Fourh, decisive moeary policy messages suppored by a icrease i reserves migh have some posiive effecs o expecaios held by corporaios ad households wih respec o he fuure course of he ecoomy ad prices. Oe ad a half years have passed sice he Bak iroduced his ew policy regime. Based o experieces ad relaed daa so far, we aalyse he effecs of quaiaive moeary easig measures a zero ieres raes ad ry o make a eaive evaluaio. The res of he paper proceeds as follows. We begi i Secio 2 by surveyig rece developmes i moeary policy ad he observed reacios of fiacial idicaors. I Secio 3 we survey he rasmissio mechaism of moeary policy a zero ieres raes from a heoreical viewpoi. I Secio 4, akig io accou he regime chage i moeary policy ad he possible olieariy of moey demad a low (or ear zero) ieres raes, we use a Bayesia VAR, a VAR wih imevaryig coefficies, o exrac he effecs of he icrease i he moeary base. I Secio 5, we ivesigae wheher a saiaio level of moey demad exiss a zero ieres raes by esimaig a moey demad fucio. I Secio 6, we he esimae models ha iclude boh aggregae demad ad aggregae supply fucios ad examie wheher he moeary base eers hese equaios sigificaly. I Secio 7, we discuss reasos why he expasio of he moeary base a zero ieres raes has a limied ad ucerai effec o he ecoomy. Secio 8 preses cocludig remarks. 2. Rece developmes i moeary policy i Japa ad he reacio of fiacial idicaors The collapse of asse prices i he early 1990s was he begiig of a log ecoomic slump i Japa, which is characerised as several deep cyclical dowurs wih some modes shorlived ecoomic recovery. There is a cosesus amog policymakers ad ecoomiss ha oe of he basic srucural problems Japa s ecoomy has faced is he operformig loa (heceforh NPL) problem of he bakig secor. The impaired balace shee of he bakig secor has preveed he rasmissio mechaism of moeary policy from workig smoohly, hereby dampeig he fiacial ad ecoomic resposes o moeary policy easig. As early as 1995, he Bak of Japa had lile room for furher reducig ieres raes. The Bak maiaied he ucollaeralised overigh call rae as low as aroud 0.5% despie he fac ha Japa s ecoomy recovered a a more ha 3% growh rae of GDP from 1995 o I auum 1997, Japa s ecoomy sared o deeriorae, largely uder he ifluece of fiacial sysem disurbace reflecig he failure of large fiacial isiuios. The Bak successively lowered he overigh call rae o 0.02% i February The period bewee 1999 ad 2000 is ofe called he zero ieres rae period. I Augus 2000, he Bak lifed is zero ieres rae policy ad raised he overigh call rae o 0.25%, sice he ecoomy was showig clear sigs of coiued recovery. However, i lae 2000, he ecoomy sared o deeriorae agai, reflecig adjusme of global IT ad relaed expors, ad cocer over deflaio iesified. The Bak lowered he policy ieres rae oe las ime o 0.15% ad he adoped quaiaive moeary easig i March I sum, while he NPL problem of he bakig secor has bee a serious facor weakeig he effecs of accommodaive moeary policy, he zero boud of ieres raes has become a ever more iracable issue from he viewpoi of moeary policy formulaio. BIS Papers No
3 Tha was he backgroud leadig o he Bak of Japa s decisio o fially discard he orhodox operaig framework ad adop a ew framework uder which i se he ousadig balace of curre accous a he Bak, isead of he ucollaeralised overigh call rae, as he mai operaig arge. Whe he Bak adoped his ew regime, i raised he arge level of he curre accou balace o aroud JPY 5 rillio (March 2001), abou JPY 1 rillio larger ha ha immediaely prevailig before he chage (Graph 1). Afer ha, i raised he arge level o aroud JPY 6 rillio (Augus 2001), more ha JPY 6 rillio (Sepember), ad JPY 10 o 15 rillio (December). Also, o 28 February 2002, o secure fiacial marke sabiliy owards he fiscal yeared, he Bak decided o provide more liquidiy o mee a surge i demad irrespecive of he arge of curre accou balaces, aroud JPY 10 o 15 rillio. Jus before he yeared, he Bak provided a maximum JPY 27 rillio, ad, followig his yeared requireme, he curre accou balace has bee ruig aroud JPY 15 rillio. Graph 1 Curre accou balaces a he Bak of Japa I rillios of ye Curre accou balaces a he Bak held by isiuios o subjec o reserve requiremes Excess reserves Required reserves CY Zero ieres rae policy period Quaiaive easig period Noe: Each moh idicaes a reserve maieace period (from he 16h of oe moh o he 15h of he followig moh). Source: Bak of Japa, Fiacial ad Ecoomic Saisics Mohly. Meawhile, i order o smoohly provide liquidiy, he Bak icreased is ourigh purchases of logerm goverme bods from JPY 400 billio o JPY 600 billio per moh i Augus 2001, ad hereafer o JPY 800 billio i December, ad furher o JPY 1 rillio i February Afer adopig quaiaive easig, he growh rae of he moeary base sared o markedly rise from he secod half of 2001, reachig some 30% year o year i MarchApril 2002, he highes rise sice he firs oil shock i he 1970s (Graph 2). This has refleced he Bak s ample provisio of reserves 3 I Ocober 2002, he Bak of Japa decided o aim a a ousadig balace of curre accous held a he Bak of aroud JPY 15 o 20 rillio, ad o icrease is ourigh purchases of logerm goverme bods from JPY 1 rillio o JPY 1.2 rillio per moh. 278 BIS Papers No 19
4 Graph 2 Moey, prices ad oupu Aual perceage chages (1) Moeary base, M2+CDs, ledig M2+CDs Moeary base 48 CY Ledig by domesic commercial baks CPI (2) CPI, GDP deflaor, real GDP Real GDP 12 GDP deflaor 3 CY Noe: CPI, GDP deflaor ad real GDP are adjused o exclude he effecs of he cosumpio ax hike i April Sources: Bak of Japa, Fiacial ad ecoomic saisics mohly, Pricipal figures of fiacial isiuios; Miisry of Public Maageme, Home Affairs, Poss ad Telecommuicaios, Cosumer price idex; Cabie Office, Naioal accous. BIS Papers No
5 Graph 3 Call raes (overigh) I perceages CY CY Source: Bak of Japa, Fiacial ad ecoomic saisics mohly. 280 BIS Papers No 19
6 Graph 4 Forward raes of goverme bod yields I perceages Call raes (overigh, ucollaeralised) 1year forward raes sarig 1 year laer 1year forward raes sarig 2 years laer 1year forward raes sarig 3 years laer 10years remaiig mauriy CY Source: Bak of Japa, Fiacial ad ecoomic saisics mohly. ad he icrease i demad for cash caused by he declie i he opporuiy cos of holdig moey. As a resul, he raio of he moeary base o omial GDP has icreased o 17%, he highes figure sice he Secod World War period. While he moeary base has posed double digi perceage growh year o year, wha has bee he reacio of fiacial markes sice quaiaive easig was adoped? 4 Firs of all, amid he uprecedeed abuda supply of liquidiy, o surprisigly he ucollaeralised overigh call rae was furher lowered o 1 or 2%, lierally almos zero (Graph 3). Aoher eleme of he ew policy regime is a commime o coiue i uil uderlyig CPI iflaio urs posiive. Currely i Japa, give ecoomic weakess ad persise dowward pressure o prices, mos marke paricipas do o see CPI iflaio urig posiive ay ime soo. Reflecig such a expecaio, he decisive easig sace of he Bak of Japa exered some dowward effec o mediumerm forward ieres raes (Graph 4). Secod, as he parial removal of blake deposi isurace (for ime ad savigs deposis, ec) approached, shifs from ime ad savigs deposis o liquid deposis, ad deposi shifs amog fiacial isiuios were widely see uil he ed of fiscal 2001 (Graph 5). However, he subsaial provisio of reserves by he Bak succeeded i dispellig he liquidiy cocers of fiacial isiuios a he ed of he fiscal year. Graph 6 shows he premium o he implied forward euroye rae seppig over he ed of he fiscal year, providig evidece of his siuaio. Third, a curre accou balace icrease does o seem o have a srog effec o he corporae fiacig evirome i capial markes such as he corporae bod ad commercial paper (CP) 4 See Shirakawa (2002) for deails. BIS Papers No
7 Graph 5 Deposis of domesically licesed baks Aual perceage chages Ciy baks Regioal baks Regioal baks 2 Shiki baks CY Source: Bak of Japa, Ecoomic ad fiacial daa o CDROM. 0.5 Graph 6 Premium of euroye raes maurig beyod he ed of he fiscal year I perceage pois Maurig beyod he ed of FY 1998 Maurig beyod he ed of FY 1999 Maurig beyod he ed of FY 2000 Maurig beyod he ed of FY May 31 May 30 Ju 30 Jul 29 Aug 28 Sep 28 Oc 27 Nov 27 Dec 26 Ja 25 Feb Noe: Premium here is he rae icrease i fudig liquidiy whe he mauriy seps over he ed of he fiscal year. Premium = (implied forward raes from March o April) (oe moh implied forward raes whose coracs expire wihi he same fiscal year : average of hose from February o March ad hose from April o May). Source: Japaese Bakers Associaio. 282 BIS Papers No 19
8 Graph 7 Yield spreads of corporae ad public bods I perceage pois (1) Yields o corporae bod less yields o goverme securiy Ba Baa A Aa Ju 97 Sep 97 Dec 97 Mar 98 Ju 98 Sep 98 Dec 98 Mar 99 Ju 99 Sep 99 Dec 99 Noe: Yields o bods wih fiveyear mauriy. The idicaed raigs are Moody s. Mar 00 Ju 00 Sep 00 Dec 00 Mar 01 Ju 01 Sep 01 Dec 01 Mar 02 Ju 02 Source: Japa Securiies Dealers Associaio, Overhecouer sadard bod quoaios, Referece price (yields) able for OTC bod rasacios (2) Yields o CP less yields o fiacig bills CY Noe: Yields o FB uil March 1999 are replaced wih yields o TB. Source: Bak of Japa, Fiacial ad ecoomic saisics mohly. BIS Papers No
9 markes. Facig he weakeig role of baks as fiacial iermediaries, ehacig he fucio of capial markes could be a impora roue for moeary easig. I his regard, he corporae fiacig evirome has parly improved. The differeial (credi spread) bewee ieres raes o corporae bods ad CP ad yields o riskfree goverme bods declied margially afer March I should be oed, however, ha firms which reap he beefis of moeary easig effecs are limied o hose wih high credi raigs. The effecs have o fully permeaed hrough o firms wih low credi raigs ad hose uable o access capial markes. Credi spreads o lowgrade corporae bods have bee risig sice Ocober 2001, because ivesors have become more coscious of credi risk. Fourh, he prices of oher fiacial asses do o seem o be respodig o quaiaive easig. From March 2001, equiy prices emporarily rose uil aroud May because of he aicipaed favourable impac of srucural reform, bu declied hereafer due o a deerioraio i he ecoomic oulook (Graph 8). Afer a shor recovery from March 2002, equiy prices gradually declied agai, maily reflecig he pluge i US equiy prices. While equiy price flucuaios reflec various facors, he mos impora facor seems o be prospecs for ecoomic fudameals, o a icrease i he moeary base. As for foreig exchage raes, he ye rae agais he dollar mosly moved i he lower 120s bu emporarily rose o 116 i Sepember 2001 (Graph 9). The ye depreciaed rapidly from November 2001 uil February This seems o be aribuable o o moeary easig bu raher o a chage i he ecoomic oulook, as ypically refleced i Japa s equiy prices; while expecaios for recovery of he US ecoomy sregheed, uceraiy over prospecs for Japa s ecoomy iesified, icludig fiacial sysem sabiliy. Thereafer, reflecig he pluge i US equiy prices, he ye appreciaed agai o he 115 level i July 2002, ad has recely see lile chage aroud 120. So far, i is o clear wheher he exchage rae ad moeary base appear o move i a same way. Graph 8 Equiy prices ad he moeary base 2,800 2,600 2,400 2,200 2,000 1,800 1,600 1,400 1,200 1,000 CY TOPIX (1968 = 100; lhs) Moeary base (aual perceage chage; rhs) (2) 02 Sources: Tokyo Sock Exchage, Mohly saisics repor; Bak of Japa, Fiacial ad ecoomic saisics mohly. Fially, as for credi ad broad moey idicaors, bak ledig has kep decreasig, while he growh rae of M2+CDs has bee sable a aroud 3% (Graph 2). The declie i bak ledig ad moderae growh i deposis should resul i a icrease i some oher ivesmes. So far, baks have icreased ivesme i goverme bods ad Bak of Japa curre accous, boh of which are free of credi risks. 284 BIS Papers No 19
10 I sum, a firs sigh moeary ad fiacial idicaors provide o clear evidece ha quaiaive easig has produced discerible effecs wih some excepios a zero shorerm ieres raes. However, i order o judge carefully he full effecs of quaiaive easig, we eed o evaluae hem quaiaively by coducig empirical aalyses based o ecoomic heory. Graph 9 Exchage rae ad he moeary base CY Ye depreciaio Ye appreciaio JPY/USD (lhs) Moeary base (aual perceage charge; rhs) Source: Bak of Japa, Fiacial ad ecoomic saisics mohly. 3. Moeary policy rasmissio a zero ieres raes 3.1 Moeary base chael The ieres rae chael is he primary mechaism i coveioal Keyesia macroecoomic models, which works hrough he chage i he shorerm ieres rae. If his were he oly chael, he ecoomy would be uder a liquidiy rap whe he shorerm ieres rae is zero. 5 However, moeariss criicise such a Keyesia view sayig ha coveioal macroecoomic models sigificaly oversimplify he srucure of he ecoomy. I he radiioal moearis accou, for a full liquidiy rap o be effecive, he composie asse  moey plus bills  mus be a perfec subsiue for all oher asses (Melzer (1999a)). I pracice, however, moey is a imperfec subsiue for a wide rage of fiacial ad real asses, icludig logerm bods, corporae bods, equiies, foreig fiacial asses, physical capial, ad durable goods. 6 A chage i moeary policy iduces a rebalacig of porfolios i geeral, affecig omial demad boh hrough wealh ad subsiuio effecs o real asses, ad hrough adjusmes i a wide rage of fiacial yields releva o expediure decisios. From a heoreical viewpoi, eve a zero ieres raes he chage i he moeary base is expeced o cause his rebalacig effec hrough he followig chaels. 5 6 A liquidiy rap was suggesed by Keyes i he Geeral Theory ad revived recely by Krugma (1998, 1999). Some represeaive quoes of moeariss views: Melzer (1999b): Moeary policy works by chagig relaive prices. There are may, may such prices. Some ecoomiss erroeously believe [ ] moeary policy works oly by chagig a sigle shorerm ieres rae. Friedma ad Schwarz (1982, pp 578): Keyesias regard a chage i he quaiy of moey as affecig i he firs isace he ieres rae, ierpreed as a marke rae o a fairly arrow class of fiacial liabiliies [ ]. We isis ha a far wider rage of markeable asses ad ieres raes mus be ake io accou [ ]. [We] ierpre he rasmissio mechaism i erms of relaive price adjusme over a broad area raher ha i erms of arrowly defied ieres raes. BIS Papers No
11 The firs chael is a relaive asse supply effec. A ope marke operaio by a ceral bak causes a opposie chage i he socks of he moeary base ad securiies held by baks, firms or households. Sice he moeary base is o a perfec subsiue for various oher asses, chages i he ousadig balace of he moeary base due o moeary policy may lead o chages i he relaive prices of asses. This relaive asse supply effec ca be realised by chages i he risk premium of asse prices. For example, Melzer (2001) ad McCallum (2000) argue ha moeary auhoriies ca use he moeary base o egieer exchage rae depreciaio eve whe shorerm omial ieres raes are zero. Implicily, hey view he risk premium i he ucovered ieres pariy relaioship as subjec o moeary policy maipulaio i he shor ru. 7 The risk premium ca also be reduced by he secod chael, which would work hrough he reducio of rasacio coss by providig ample moey. 8 The fricios which moey helps o overcome i fiacial markes are relaed o is role i providig liquidiy services. Whe ecoomic ages aicipae a liquidiy shorage regardig heir fuure reveues, hey will boos demad for liquid asses o avoid borrowig due o cash flow cosrais. Such asse demad i preparaio for a liquidiy shorage leads o he higher evaluaio of liquid asses. Tha is, liquidiy demad migh subsaially raise he raes of illiquid asses relaive o hose of liquid asses due o a liquidiy premium. 9 I such circumsaces, he icrease i moey will reduce he probabiliy of liquidiy shorage, ad cosequely affec he liquidiy premium ad relaive asse reurs. The relief from cocer over he liquidiy of fiacial isiuios, meioed above uder he secod poi of he reacio of fiacial markes (p 6), ca be udersood as such a example (Graph 6). From a differe perspecive, i migh be expeced ha ivesors ake risks more because of a decrease i he liquidiy risk premium. Fiacial isiuios migh be cadidaes for such ivesors, ad if hey chaged heir aiude o ledig, i would have a posiive impac o aggregae demad. I his way, recogisig he role of moey i reducig fiacial fricios may provide a more sigifica role for moey i he rasmissio mechaism. The expecaio effec is aoher chael. A ceral bak ca lower logererm ieres raes eve whe shorerm raes are zero. Because logererm raes are formed as averages of expeced shorerm raes plus some risk premium over heir mauriy, commiig o maiaiig he zero ieres rae policy loger will lower expeced fuure shorerm ieres raes. As he sregh of his chael relies o he expecaio of firms ad households wih respec o fuure moeary operaios of he ceral bak, curre chages i marke operaio, realised as a icrease i he moeary base, may be expeced o ehace he credibiliy of he ceral bak. 10 If his coribued o dimiishig uceraiy over fuure shorerm ieres raes, he erm premium would be reduced ad hece logererm raes would be lowered furher. The abovemeioed declie i mediumerm forward raes i Japa ca be regarded as a ypical example (Graph 4). I should be oed, however, ha his expecaio effec ca also be classified as par of ieres rae chaels wih logererm mauriies. As a variey of logic argues a variey of chaels, i is difficul o crysallise all io a simple chael. Hereafer, his paper eaively calls hem he moeary base chael. As meioed above, he moeary base chael depeds o various chages i yields (or relaive prices), raher ha moey per se. 11 Melzer (1995, 1999a) argues ha a measure of moeary codiios based o real moey However, empirical sudies seem o have cocluded i geeral ha chages i he relaive supply of dollar ad foreig currecy bods have lile or o lasig impac o exchage raes. I addiio, alhough may useful sudies have aemped o measure he degree of subsiuabiliy bewee dollar ad foreig currecy bods, here are sill o geerally acceped esimaes of hese crucial parameers. These fidigs sugges ha porfolio rebalacig effecs o he exchage rae are probably egligible for small o mediumsized chages i he relaive quaiies of dollar ad foreig currecy bods. Of course, hey do o preclude he possibiliy ha he Bak of Japa could cause a depreciaio of he ye eve a he zero boud. However, very large purchases of foreig currecy bods would be required o achieve a sigifica resul. See, for example, Kig (1999, 2002). Saio ad Shirasuka (2001) poi ou ha Japa s fiacial isiuios faced severe liquidiy cosrais durig he fiacial crises ha occurred i 1997 ad 1998, ad ha he serious liquidiy cosrai prevailig i he bakig secor resuled i depressed loa aciviies, limied arbiragig, ad poor dealig amog fiacial markes. See, for example, Meyer (2001). There is aoher view ha focuses o moey per se: he real balace effec (Pigou (1943)). However, he moeary base, amely ouside moey, accous for oly a very small fracio of fiacial wealh i developed couries. So he quaiaive impac of he real balace effec is ieviably small. 286 BIS Papers No 19
12 sock ca be regarded as a beer summary of he various chages i yields ha a measure based o a specific real ieres rae. Oe reaso he offers for his is ha moey demad migh, like aggregae demad, be a fucio of may ieres raes, as i Friedma (1956). 3.2 Review of he lieraure o empirical aalyses Whe he moeary base chael works ad he real moey sock serves as a beer summary of he various chages i yields releva for ecoomic aciviies, he moeary base eers he aggregae demad equaio for a give shorerm ieres rae. Tha is, moey could play a role i srucural equaios for aggregae demad, or i VARs, as a proxy for chaels which are o summarised by he real ieres rae o shorerm securiies. Koeig (1990) ad Melzer (1999a) show ha real moey growh is a sigifica deermia of cosumpio growh i he Uied Saes, corollig for he shorerm real ieres rae. Nelso (2000) also shows ha he same propery of base moey holds for oal oupu (relaive o red or poeial) i boh he Uied Saes ad he Uied Kigdom. However, do hese aalyses idicae ha he moeary base chael works a zero ieres raes? While ecoomeric models ha are esimaed usig daa from ormal periods whe he ecoomy operaes safely away from he zero boud ca provide useful esimaes of moeary rasmissio hrough he ieres rae chael, hey are ulikely o capure he effecs of he moeary base chael ha may remai operaive whe omial ieres raes are cosraied a zero wih cosiderable precisio. Takig his poi io accou, we cao ecessarily regard he empirical aalyses of Koeig (1990), Melzer (1999a) ad Nelso (2000) as evidece of he exisece of he moeary base chael a zero ieres raes, sice heir aalyses do o iclude ay samples from he zero ieres rae period. As for Japa s case, Baig (2002), usig he VAR based o he daa from 1980 o 2001, shows ha expasio of he moeary base has posiive effecs o boh price ad oupu eve wih he ieres rae icluded i he VAR as a separae variable. The, Baig (2002) argues ha Japa s daa suppor he exisece of he moeary base chael eve a zero ieres raes. However, we have o examie wheher his aalysis really idicaes he effeciveess of he moeary base chael a zero ieres raes i Japa. Alhough Baig (2002) uses Japa s daa icludig he sample period of zero ieres raes, his aalysis is based o a VAR model which does o allow for imevaryig parameers. I oher words, his empirical resuls do o reflec he effec of he moeary base chael a zero ieres raes, bu he average effec of ha chael durig he whole sample period. This is a problem which arises from usig a log sample which icludes differe policy regimes. Therefore, we cao ecessarily recogise ha he aalysis of Baig (2002) suggess he effeciveess of he moeary base chael a zero ieres raes i Japa. Ideed, he resuls of Baig (2002) do o seem o be cosise wih Japa s rece ecoomic performace. Alhough he growh rae of he moeary base has remaied very high for several years, deflaio persiss i he ecoomy, albei a low raes (Graph 2). If his resuls were righ, deflaio would have sopped. Needless o say, moey affecs he ecoomy wih log ad variable lags. We may have o wai jus a bi loger. However, he usual rage for he lag i he effecs of moeary policy o he ecoomy lies somewhere bewee half a year ad approximaely wo years. Cosequely, we seem o be wiessig somehig very uusual i he relaioship bewee moey ad he ecoomy. 4. Empirical aalyses based o a imevaryig VAR I he previous secio, we poied ou he problem regardig he empirical mehod of ivesigaig he effec of he moeary base chael a zero ieres raes. We should o exrac he average effec of he moeary base chael durig a log sample period, bu ha reflecig he sample period of zero ieres raes oly. A Bayesia VAR, a VAR wih imevaryig coefficies, is oe way o solve his problem. 12 Usig a imevaryig VAR, we allow for possible chages i he ieres rae elasiciy of moey demad ad chages i he rasmissio mechaism a (ear) zero ieres raes. Sice he 12 See Doa e al (1984) for deails of a Bayesia VAR. BIS Papers No
13 Bak of Japa has faced he zero ieres rae boud, is policy reacio fucio has clearly chaged. The regime chage i moeary policy, from ieres rae argeig o quaiaive easig, will brig shifs i he resposiveess of ecoomic aciviy o he icrease i he moeary base. A imevaryig VAR ca capure hese chages i ecoomic srucure ad leads o impulse respose fucios ha vary over ime. 4.1 VAR Before esimaig a imevaryig VAR, we begi by esimaig a VAR as a bechmark, usig Japa s quarerly daa over he sample period 1980:Q12002:Q1. The sample period is chose o be he same as ha i Baig (2002). The specific VAR ha we cosider coais four variables: iflaio rae, oupu gap, moeary base (growh rae) ad overigh call rae. 13, 14 Clearly, his VAR provides a very simple or simplisic descripio of he ecoomy, bu i coais a leas he miimum se of variables ha are crucial for ay discussio of moeary policy. 15 We iclude four lags i he VAR accordig o AIC. The VAR is ideified by usig he Cholesky decomposiio, wih he order beig iflaio, oupu gap, ieres rae ad moeary base. The choice of orderig is made, accordig o Baig (2002), o he basis of he speed wih which he variables respod o shocks, ie iflaio is assumed o respod las, ad he moeary base o be he mos resposive. Graph 10 displays impulse respose fucios based o he esimaed VAR. The basic resuls are he same as hose of Baig. Tha is, boh iflaio ad he oupu gap respod posiively o iovaios i he moeary base. Alhough hese resposes are o saisically sigifica, usig a loger sample period, 1971:Q22002:Q1, resuls i a sigifica respose (Graph 11). 16 As oed earlier, however, his resul does o reflec he effec of he moeary base chael a zero ieres raes, bu he average effec of he chael durig he whole sample period. I ca be guessed ha he experieces of he 1970s coribued o his resul. Therefore, i is o ecessarily appropriae o regard he resuls based o he VAR as evidece of he exisece of he moeary base chael a zero ieres raes. 4.2 Timevaryig VAR Now, we esimae a imevaryig VAR o properly aalyse he effecs of he moeary base chael a zero ieres raes. Wrie he jh equaio i a VAR as: = (1) x, j X 1 β, j + u, j where x,j is a jh edogeous variable, X 1 is a vecor of lagged variables, ad u,j is a error erm. β, j is a vecor of imedepede parameers ad is assumed o follow a radom walk process. β, j is updaed accordig o a Kalma filer algorihm, based o a prior disribuio o he iiial value of a parameer vecor β 0, j. 17 Sice β, j is imedepede, he impulse respose fucios vary over ime. We focus o he impulse respose fucios a 1985:Q2 ad hose a 2002:Q1. The former fucios are based o he parameer β 1985:Q2, while he laer are based o he parameer β 2002:Q1. These parameers are esimaed by a Kalma filer over sample periods 1971:Q21985:Q2 ad 1985:Q32002:Q1, respecively. The parameer β 1985:Q2 reflecs he propagaio mechaism of he period jus See he daa appedix for a deailed descripio of he daa. To check he robusess of our resuls, we have reesimaed he VAR by replacig oupu gap wih oupu growh. While we repor oly he resuls obaied from he VAR wih oupu gap, he VAR wih oupu growh yields very similar resuls. To limi he exe of a price puzzle (see Sims (1992), Chari e al (1995) ad Berake ad Mihov (1998)), we reesimae he VAR icludig commodiy price iflaio (or he wholesale price idex), bu he mai resuls do o chage. The origial available daa se rus from 1970:Q1 o 2002:Q1. Because of daa rasformaio (firs differeces ad lags), he aalysis is performed o he 1971:Q22002:Q1 period. We se he hyperparameers of prior disribuio a he values which Doa e al (1984) recommed for a ypical ecoomic ime series. To check he robusess of our resuls, we reesimaed he imevaryig VAR based o he opimised hyperparameers. While we repor oly he resuls obaied from he imevaryig VAR wih he hyperparameers which Doa e al (1984) recommed, he imevaryig VAR wih he opimised hyperparameers yields very similar resuls. 288 BIS Papers No 19
14 BIS Papers No Graph 10 Impulse respose fucios based o VAR (sample period: 1980:Q12002:Q1) Y: oupu gap ON: ucollaeralised overigh call rae (level) P: iflaio rae MB: moeary base (growh rae) Respose of P o P Respose of P o Y Respose of P o ON Respose of P o MB Respose of Y o P Respose of Y o Y Respose of Y o ON Respose of Y o MB Respose of ON o P Quarers Quarers Quarers Quarers Noe: The graph shows a 16quarer respose of variables o a oe sadard deviaio iovaio. The dashed lies represe ± 2 sadard deviaio bads Respose of ON o Y Respose of ON o ON Respose of ON o MB Respose of MB o P Respose of MB o Y Respose of MB o ON Respose of MB o MB
15 290 BIS Papers No Respose of P o P Respose of P o Y Respose of P o ON Respose of P o MB Graph 11 Impulse respose fucios based o VAR (sample period: 1971:Q22002:Q1) Y: oupu gap ON: ucollaeralised overigh call rae (level) P: iflaio rae MB: moeary base (growh rae) Respose of Y o P Respose of Y o Y Respose of Y o ON Respose of Y o MB Respose of ON o P Respose of ON o Y Respose of ON o ON Respose of ON o MB Respose of MB o P Respose of MB o Y Respose of MB o ON Quarers Quarers Quarers Quarers Respose of MB o MB Noe: The graph shows a 16quarer respose of variables o a oe sadard deviaio iovaio. The dashed lies represe ± 2 sadard deviaio bads.
16 before he Plaza Accord, while β 2002:Q1 reflecs ha afer he adopio of quaiaive easig. The reaso why we compare he impulse respose fucios a 1985:Q2 wih hose a 2002:Q1 is ha 1985:Q2 is ear he midpoi of he whole sample period 1971:Q22002:Q1. I order o examie wheher he propagaio mechaism differs bewee 1985:Q2 ad 2002:Q1, we calculae he impulse resposes o he commo iovaios whose covariace marix is esimaed over he whole sample 1971:Q22002:Q1. 18 Tha is, sice he covariace marix of iovaios is kep cosa, he differece of he impulse respose fucios provides a measure of a chage i he propagaio mechaism i he face of uchaged disurbaces. The resul, which is show i Graph 12, is clearly differe from ha of he VAR. This graph idicaes ha he icrease i he moeary base has a posiive effec o iflaio a 1985:Q2, bu o a 2002:Q1. This fidig implies ha, beyod he ieres rae chael, he moeary rasmissio process ook place hrough he moeary base chael i he 1980s, bu such rasmissio does o work ow a zero ieres raes. This seems o reflec he rece observaio ha he high growh rae of he moeary base does o lead o a idicaio of iflaio (Graph 2). 4.3 Implici assumpio of he moeary base chael Why does he uderlyig mechaism of he moeary base chael o work well as heoreically assumed? Here, i should be oed ha he moeary base chael a zero ieres raes is based o he implici assumpio ha moey demad is saiaed a a fiie level. Tha is, whe ieres raes are zero, households ad firms become saiaed wih moey balaces, ad ay icrease i he moeary base beyod ha level leads o chages i heir porfolios wih coseque chages i relaive yields o differe fiacial ad real asses, ad direc ad idirec effecs o spedig. 19 I coras wih such a view, here is aoher view. Whe ieres raes are zero, households ad firms have a ifiiely elasic demad for moey balaces. A icrease i he moeary base is absorbed passively i higher balaces, ad here are o implicaios for broader measures of moey or demad ad oupu. Moeary policy is impoe; here is a liquidiy rap. Which view is cosise wih he resul of our aalysis? As backgroud o he resul of he imevaryig VAR, we ca se wo hypoheses: Hypohesis I: As he ieres rae eds o zero, demad for moey balaces eds o ifiiy. Therefore, moeary policy has o effec o ecoomic aciviy a zero ieres raes, because ay addiioal moey creaed is simply absorbed passively i moey holdigs. Hypohesis II: Moey demad exhibis saiaio such ha he demad is fiie a zero ieres raes. Therefore, he moeary base chael works eve a zero ieres raes, bu is effec is very small or egligible. I order o es which hypohesis is acceped, we mus esimae he moey demad fucio ad examie wheher here is a saiaio level of moey demad a zero ieres raes. 20 The ex secio deals wih his issue The shock is calculaed as follows. We firs calculae he residuals from he coefficies i each period, he he covariace marix ad make he orhogoal shock usig he Cholesky decomposiio. The orderig is chose o be he same as ha of he VAR: iflaio, oupu gap, ieres rae ad moeary base. The lag legh is also chose o be he same as ha of he VAR, ha is, four lags are icluded i he imevaryig VAR. We mus oe ha if here are oly wo fiacial asses, moey ad bods, i he ecoomy, he exisece of a fiie saiaio level of real balaces does o mea he exisece of a moeary base chael a zero ieres raes. Moey demad is ifiiely elasic a a saiaio level i he sese ha o furher ieres rae declies are eeded o make people willig o hold larger real balaces, eve if he elasiciy of moey demad is bouded a all ieres raes greaer ha zero. For a example of a simple model i which he moeary base chael is ieffecive a a zero ieres rae, ad i which here is saiaio i real balaces a a fiie level, see he discussio of real balace effecs i Woodford (2002). Baig (2002) uses he moeary base (expressed as a raio of poeial oupu) ad he level of ieres rae i he VAR wih a fixed parameer, which implicily assumes ha here is a saiaio level of moey demad a zero ieres raes. Isead of he level of ieres raes, if a logarihmic specificaio for ieres raes is used as a variable of he VAR, i implicily assumes ha moey demad eds o ifiiy as he ieres rae eds o zero, ha is, here is o a saiaio level of moey demad a zero ieres raes. However, a cosrai abou wheher here is a saiaio level of moey demad a zero ieres raes should o be imposed o he moey demad fucio a priori, bu be esed saisically. BIS Papers No
17 292 BIS Papers No Graph 12 Impulse respose fucios based o imevaryig VAR 2002:Q :Q2 Y: oupu gap ON: ucollaeralised overigh call rae (level) P: iflaio rae MB: moeary base (growh rae) Respose of P o P Respose of Y o P  Respose of P o Y Respose of Y o Y  Respose of P o ON Respose of Y o ON  Respose of P o MB Respose of Y o MB  Quarers Quarers Respose of ON o P   Respose of ON o Y   Respose of ON o ON   Respose of ON o MB   Quarers Respose of MB o P Respose of MB o Y Respose of MB o ON Respose of MB o MB Quarers Noe: The solid lie shows a 16quarer respose of variables a 2002:Q1. The dashed lie shows a 16quarer respose of variables a 1985:Q2.
18 5. Saiaio level of moey demad 5.1 Geeral moey demad fucio As i Friedma (1956), he demad for real balaces depeds o o a sigle ieres rae bu o may differe ieres raes, or, more geerally, o he prices of asses relaive o he prices of ew producio of he same asses. These relaive prices sele dow as he ecoomy adjuss o a equilibrium a which all asses sell a replaceme cos. I a full, geeral equilibrium, prices of bods ad real capial, of domesic ad foreig asses, of ew ad used houses ad auomobiles, ad may oher relaive prices, ca be usefully summarised by a sigle ieres rae. I rasiio, however, his does o hold rue, ad he demad for real balaces differs from logru desired real balaces. Based o such logic, Melzer (1999b) argues ha he differece bewee acual ad logru desired moey balaces is a measure of he excess supply of moey, he amou by which prices ad oher omial variables mus chage o resore equilibrium i markes for asses ad oupu. 21 Here, we assume ha logru desired real balaces ca be modelled as follows: M P γ = e Y α i 1+ i + δ β α > 0, β > 0, δ 0 where M, P, Y ad i are he moeary base, price level, real icome ad call rae, respecively. α, β, γ ad δ are parameers. I equaio (2), i is assumed ha he relaive prices of various asses ca be usefully summarised by he call rae i i he log ru. Equaio (2) is cosise wih a rasaciosime approach ad iveoryheoreic approach o moey demad. The iveoryheoreic approach says ha maagig a iveory always requires ime, ad a larger real balace of moey ca reduce rasacio ime. A variaio of he rasaciosime approach is ha cosumpio requires shoppig ime, which ca be decreased by holdig a larger real balace. I order for he rasaciosime approach o be cosise wih saiaio, i mus be such ha, a some posiive real balace amous, furher icreases i ha raio would o decrease rasaciosime. 22 I should also be oed ha equaio (2) ess wo familiar moey demad fucios as special cases: he loglog fucio ad semilog fucio. Cosider he case whe he call rae i is low eough for he approximaio i /(1 + i ) = i o be reasoable. Takig logs of equaio (2) whe δ = 0, we obai he loglog fucio: m p = αy βlog( i ) + γ (3) where all lowercase leers, excludig he ieres rae i, refer o logarihms of he variables i uppercase leers. The elasiciy of moey demad wih respec o ieres raes is a full elasiciy, which shows he perceage chage i moey demad i respose o a 1% chage i ieres raes. O he oher had, akig logs of equaio (2) whe δ > 0 ad δ >> i, we obai he semilog fucio: 23 m p = αy βlog( i + δ) + γ i = αy βlog 1+ βlogδ + γ δ β α y i + ( γ βlogδ) δ ( Q log(1+ x) x for small The respose of moey demad o ieres rae chages is a semielasiciy, which idicaes he perceage chage i cash holdigs as a resul of a 1 perceage poi chage i ieres raes. x) (2) (4) A aleraive view is ha he ecoomy adjuss o reduce his gap by spedig o reduce he real balace of moey, whe real balaces are larger ha desired, or o icrease he gap by reducig spedig whe real balaces are less ha desired. This socalled real balace effec is geerally cosidered small, sice real balaces are a small par of real wealh i developed couries. See Bakhshi e al (2002) ad Wolma (1997). Whe codiio δ >> i is o saisfied, his approximaio does o hold rue eve if δ > 0. BIS Papers No
19 I equaio (2), he saiaio level of moey balaces (expressed as quasicambridge k) a zero omial ieres raes is: M β γ k = = δ e (5) α PY i = 0 which is fiie if δ > I coras, if δ = 0, his raio k is ifiie, which implies ha here is o saiaio level of moey demad. Regardig loglog ad semilog moey demad fucios, he former does o have a saiaio, whereas he laer does. The figure below illusraes he moey demad curve ad he locaio of he saiaio level. i 1+ i Saiaio level: β δ e γ 0 M k = P Y α δ Wheher δ is zero or sricly posiive gives a raher differe policy implicaio. I he case of δ = 0, moeary policy would have o effec o real demad ad oupu, because ay addiioal moey creaed would simply be absorbed passively i moey holdigs. I coras, i he case of δ > 0, he moeary base chael works eve a zero ieres raes, because he creaio of moey beyod he saiaio level would be raslaed io demad for oher asses ad, ulimaely, via effecs o relaive yields, io omial spedig. 5.2 Esimaio resul Now, we esimae a moey demad fucio ad examie wheher here is a saiaio level of moey demad. Before esimaig equaio (2) ad esig he hypohesis ha here is o saiaio level (δ = 0) i equaio (2), we firs aemp o examie wheher eiher of he fucios, he loglog fucio (3) or he semilog fucio (4), is appropriae for he logru desired real balace. If equaio (3) or (4) is appropriae for he logru demad fucio, we will fid a coiegraig relaioship amog real moey (m p ), icome (y ) ad ieres rae (i or log(i )). Usig Johase s (1988) maximum likelihood esimaio procedure, we coduc a coiegraig es over he sample period 1978:Q12002:Q1. The sample period is chose o avoid he highiflaio period of he firsroud icreases i oil prices, sice he behaviour of holdig cash balaces i he privae secor may have chaged afer rasiio o a moderae or lowiflaio period. I addiio, he policy sace of he Bak of Japa migh also have chaged afer he firs oil shock. Ideed, i 1978, he Bak bega aoucig quarerly forecass of moey supply. 24 Here, we call M /(PY α ) quasicambridge k because α is o ecessarily uiy, while α is se a uiy for origial Cambridge k. 294 BIS Papers No 19
20 Table 1 shows he resuls of he maximum eigevalue ad race es saisics of he Johase es for loglog ad semilog fucios. Boh ess sugges ha, for boh specificaios, here is o coiegraig vecor amog real moey (m p ), icome (y ) ad ieres rae (i or log(i )). This implies ha eiher he semilog or he loglog fucio is appropriae for he logru moey demad fucio. A more geeral moey demad fucio is desirable; herefore esimaig equaio (2) is he ex sep. Table 1 Johase s coiegraio es (1) Series: m p, y, i Null hypohesis: rak = r Maximum eigevalue saisic Trace saisic r = (21.0) r (14.1) r (3.8) 22.7 (29.7) 9.8 (15.4) 1.0 (3.8) Null hypohesis: rak = r (2) Series: m p, y, log (i ) Maximum eigevalue saisic Trace saisic r = (21.0) r (14.1) r (3.8) 25.7 (29.7) 11.3 (15.4) 3.0 (3.8) Noes: 1. The sample period is 1978:Q1 o 2002:Q1. 2. Numbers i pareheses are criical values a he 5% sigificace level. 3. The lag legh of he VECM is se o 4, obaied from he likelihood raio es. For esimaio purposes, we rearrage equaio (2) as follows: 25 M P γ e Y γ e Y α α i 1+ i i 1+ i + δ + δ β β = e γ ( ii + δ) k β 1 = ε (6) where k M = α PY ad ii i = 1+ i 25 Whe δ > 0, we cao use Johase s (1988) maximum likelihood esimaio procedure o esimae he parameer δ i equaio (2), sice akig logs of equaio (2) does o lead o a liear sysem. BIS Papers No
The Term Structure of Interest Rates
The Term Srucure of Ieres Raes Wha is i? The relaioship amog ieres raes over differe imehorizos, as viewed from oday, = 0. A cocep closely relaed o his: The Yield Curve Plos he effecive aual yield agais
More informationFORECASTING MODEL FOR AUTOMOBILE SALES IN THAILAND
FORECASTING MODEL FOR AUTOMOBILE SALES IN THAILAND by Wachareepor Chaimogkol Naioal Isiue of Developme Admiisraio, Bagkok, Thailad Email: wachare@as.ida.ac.h ad Chuaip Tasahi Kig Mogku's Isiue of Techology
More informationCHAPTER 22 ASSET BASED FINANCING: LEASE, HIRE PURCHASE AND PROJECT FINANCING
CHAPTER 22 ASSET BASED FINANCING: LEASE, HIRE PURCHASE AND PROJECT FINANCING Q.1 Defie a lease. How does i differ from a hire purchase ad isalme sale? Wha are he cash flow cosequeces of a lease? Illusrae.
More informationConfidence Intervals for Paired Means
Chaper 496 Cofidece Iervals for Paired Meas Iroducio This rouie calculaes he sample size ecessary o achieve a specified disace from he paired sample mea erece o he cofidece limi(s) a a saed cofidece level
More informationUNDERWRITING AND EXTRA RISKS IN LIFE INSURANCE Katarína Sakálová
The process of uderwriig UNDERWRITING AND EXTRA RISKS IN LIFE INSURANCE Kaaría Sakálová Uderwriig is he process by which a life isurace compay decides which people o accep for isurace ad o wha erms Life
More informationTHE FOREIGN EXCHANGE EXPOSURE OF CHINESE BANKS
Workig Paper 07/2008 Jue 2008 THE FOREIGN ECHANGE EPOSURE OF CHINESE BANKS Prepared by Eric Wog, Jim Wog ad Phyllis Leug 1 Research Deparme Absrac Usig he Capial Marke Approach ad equiyprice daa of 14
More informationRanking of mutually exclusive investment projects how cash flow differences can solve the ranking problem
Chrisia Kalhoefer (Egyp) Ivesme Maageme ad Fiacial Iovaios, Volume 7, Issue 2, 2 Rakig of muually exclusive ivesme projecs how cash flow differeces ca solve he rakig problem bsrac The discussio abou he
More informationExchange Rates, Risk Premia, and Inflation Indexed Bond Yields. Richard Clarida Columbia University, NBER, and PIMCO. and
Exchage Raes, Risk Premia, ad Iflaio Idexed Bod Yields by Richard Clarida Columbia Uiversiy, NBER, ad PIMCO ad Shaowe Luo Columbia Uiversiy Jue 14, 2014 I. Iroducio Drawig o ad exedig Clarida (2012; 2013)
More informationCapital Budgeting: a Tax Shields Mirage?
Theoreical ad Applied Ecoomics Volume XVIII (211), No. 3(556), pp. 314 Capial Budgeig: a Tax Shields Mirage? Vicor DRAGOTĂ Buchares Academy of Ecoomic Sudies vicor.dragoa@fi.ase.ro Lucia ŢÂŢU Buchares
More informationDeterminants of Public and Private Investment An Empirical Study of Pakistan
eraioal Joural of Busiess ad Social Sciece Vol. 3 No. 4 [Special ssue  February 2012] Deermias of Public ad Privae vesme A Empirical Sudy of Pakisa Rabia Saghir 1 Azra Kha 2 Absrac This paper aalyses
More informationBullwhip Effect Measure When Supply Chain Demand is Forecasting
J. Basic. Appl. Sci. Res., (4)4743, 01 01, TexRoad Publicaio ISSN 0904304 Joural of Basic ad Applied Scieific Research www.exroad.com Bullwhip Effec Measure Whe Supply Chai emad is Forecasig Ayub Rahimzadeh
More informationHanna Putkuri. Housing loan rate margins in Finland
Haa Pukuri Housig loa rae margis i Filad Bak of Filad Research Discussio Papers 0 200 Suome Pakki Bak of Filad PO Box 60 FI000 HESINKI Filad +358 0 83 hp://www.bof.fi Email: Research@bof.fi Bak of Filad
More information4. Levered and Unlevered Cost of Capital. Tax Shield. Capital Structure
4. Levered ad levered Cos Capial. ax hield. Capial rucure. Levered ad levered Cos Capial Levered compay ad CAP he cos equiy is equal o he reur expeced by sockholders. he cos equiy ca be compued usi he
More informationModeling the Nigerian Inflation Rates Using Periodogram and Fourier Series Analysis
CBN Joural of Applied Saisics Vol. 4 No.2 (December, 2013) 51 Modelig he Nigeria Iflaio Raes Usig Periodogram ad Fourier Series Aalysis 1 Chukwuemeka O. Omekara, Emmauel J. Ekpeyog ad Michael P. Ekeree
More informationWhy we use compounding and discounting approaches
Comoudig, Discouig, ad ubiased Growh Raes Near Deb s school i Souher Colorado. A examle of slow growh. Coyrigh 00004, Gary R. Evas. May be used for orofi isrucioal uroses oly wihou ermissio of he auhor.
More informationAPPLICATIONS OF GEOMETRIC
APPLICATIONS OF GEOMETRIC SEQUENCES AND SERIES TO FINANCIAL MATHS The mos powerful force i he world is compoud ieres (Alber Eisei) Page of 52 Fiacial Mahs Coes Loas ad ivesmes  erms ad examples... 3 Derivaio
More informationManaging Learning and Turnover in Employee Staffing*
Maagig Learig ad Turover i Employee Saffig* YogPi Zhou Uiversiy of Washigo Busiess School Coauhor: Noah Gas, Wharo School, UPe * Suppored by Wharo Fiacial Isiuios Ceer ad he Sloa Foudaio Call Ceer Operaios
More informationDuration Outline and Reading
Deb Isrumes ad Markes Professor Carpeer Duraio Oulie ad Readig Oulie Ieres Rae Sesiiviy Dollar Duraio Duraio Buzzwords Parallel shif Basis pois Modified duraio Macaulay duraio Readig Tuckma, Chapers 5
More informationTHE IMPACT OF FINANCING POLICY ON THE COMPANY S VALUE
THE IMPACT OF FINANCING POLICY ON THE COMPANY S ALUE Pirea Marile Wes Uiversiy of Timişoara, Faculy of Ecoomics ad Busiess Admiisraio Boțoc Claudiu Wes Uiversiy of Timişoara, Faculy of Ecoomics ad Busiess
More informationAn Approach for Measurement of the Fair Value of Insurance Contracts by Sam Gutterman, David Rogers, Larry Rubin, David Scheinerman
A Approach for Measureme of he Fair Value of Isurace Coracs by Sam Guerma, David Rogers, Larry Rubi, David Scheierma Absrac The paper explores developmes hrough 2006 i he applicaio of markecosise coceps
More informationThe Norwegian Shareholder Tax Reconsidered
The Norwegia Shareholder Tax Recosidered Absrac I a aricle i Ieraioal Tax ad Public Fiace, Peer Birch Sørese (5) gives a ideph accou of he ew Norwegia Shareholder Tax, which allows he shareholders a deducio
More information3. Cost of equity. Cost of Debt. WACC.
Corporae Fiace [090345] 3. Cos o equiy. Cos o Deb. WACC. Cash lows Forecass Cash lows or equiyholders ad debors Cash lows or equiyholders Ecoomic Value Value o capial (equiy ad deb)  radiioal approach
More informationANNUITIES AND LIFE INSURANCE UNDER RANDOM INTEREST RATES
ANNUITIES AND LIFE INSURANCE UNDER RANDOM INTEREST RATES Bey Levikso Deparme of Saisical Uiversiy of Haifa Haifa, 395 ISRAEL beyl@rsa.haifa.ac.il Rami Yosef Deparme of Busiess Admiisraio Be Gurio Uiversiy,
More informationStudies in sport sciences have addressed a wide
REVIEW ARTICLE TRENDS i Spor Scieces 014; 1(1: 195. ISSN 999590 The eed o repor effec size esimaes revisied. A overview of some recommeded measures of effec size MACIEJ TOMCZAK 1, EWA TOMCZAK Rece years
More informationFEBRUARY 2015 STOXX CALCULATION GUIDE
FEBRUARY 2015 STOXX CALCULATION GUIDE STOXX CALCULATION GUIDE CONTENTS 2/23 6.2. INDICES IN EUR, USD AND OTHER CURRENCIES 10 1. INTRODUCTION TO THE STOXX INDEX GUIDES 3 2. CHANGES TO THE GUIDE BOOK 4 2.1.
More informationReaction Rates. Example. Chemical Kinetics. Chemical Kinetics Chapter 12. Example Concentration Data. Page 1
Page Chemical Kieics Chaper O decomposiio i a isec O decomposiio caalyzed by MO Chemical Kieics I is o eough o udersad he soichiomery ad hermodyamics of a reacio; we also mus udersad he facors ha gover
More informationSecond Order Linear Partial Differential Equations. Part II
Secod Order iear Parial Differeial Equaios Par II Fourier series; EulerFourier formulas; Fourier Covergece Theorem; Eve ad odd fucios; Cosie ad Sie Series Eesios; Paricular soluio of he hea coducio equaio
More informationREVISTA INVESTIGACION OPERACIONAL VOL. 31, No.2, 159170, 2010
REVISTA INVESTIGACION OPERACIONAL VOL. 3, No., 5970, 00 AN ALGORITHM TO OBTAIN AN OPTIMAL STRATEGY FOR THE MARKOV DECISION PROCESSES, WITH PROBABILITY DISTRIBUTION FOR THE PLANNING HORIZON. Gouliois E.
More informationOptimal Combination of International and Intertemporal Diversification of Disaster Risk: Role of Government. Tao YE, Muneta YOKOMATSU and Norio OKADA
京 都 大 学 防 災 研 究 所 年 報 第 5 号 B 平 成 9 年 4 月 Auals of Disas. Prev. Res. Is., Kyoo Uiv., No. 5 B, 27 Opimal Combiaio of Ieraioal a Ieremporal Diversificaio of Disaser Risk: Role of Goverme Tao YE, Muea YOKOMATSUaNorio
More informationCAPITAL BUDGETING. Capital Budgeting Techniques
CAPITAL BUDGETING Capial Budgeig Techiques Capial budgeig refers o he process we use o make decisios cocerig ivesmes i he logerm asses of he firm. The geeral idea is ha he capial, or logerm fuds, raised
More informationCircularity and the Undervaluation of Privatised Companies
CMPO Workig Paper Series No. 1/39 Circulariy ad he Udervaluaio of Privaised Compaies Paul Grou 1 ad a Zalewska 2 1 Leverhulme Cere for Marke ad Public Orgaisaio, Uiversiy of Brisol 2 Limburg Isiue of Fiacial
More informationDBIQ USD Investment Grade Corporate Bond Interest Rate Hedged Index
db Idex Developme Sepember 2014 DBIQ Idex Guide DBIQ USD Ivesme Grade Corporae Bod Ieres Rae Hedged Idex Summary The DBIQ USD Ivesme Grade Corporae Bod Ieres Rae Hedged Idex (he Idex ) is a rule based
More informationModelling Time Series of Counts
Modellig ime Series of Cous Richard A. Davis Colorado Sae Uiversiy William Dusmuir Uiversiy of New Souh Wales Yig Wag Colorado Sae Uiversiy /3/00 Modellig ime Series of Cous wo ypes of Models for Poisso
More informationA formulation for measuring the bullwhip effect with spreadsheets Una formulación para medir el efecto bullwhip con hojas de cálculo
irecció y rgaizació 48 (01) 933 9 www.revisadyo.com A formulaio for measurig he bullwhip effec wih spreadshees Ua formulació para medir el efeco bullwhip co hojas de cálculo Javier ParraPea 1, Josefa
More informationA panel data approach for fashion sales forecasting
A pael daa approach for fashio sales forecasig Shuyu Re(shuyu_shara@live.c), TsaMig Choi, Na Liu Busiess Divisio, Isiue of Texiles ad Clohig, The Hog Kog Polyechic Uiversiy, Hug Hom, Kowloo, Hog Kog Absrac:
More information1. Introduction  1 
The Housig Bubble ad a New Approach o Accouig for Housig i a CPI W. Erwi iewer (Uiversiy of Briish Columbia), Alice O. Nakamura (Uiversiy of Albera) ad Leoard I. Nakamura (Philadelphia Federal Reserve
More information1/22/2007 EECS 723 intro 2/3
1/22/2007 EES 723 iro 2/3 eraily, all elecrical egieers kow of liear sysems heory. Bu, i is helpful o firs review hese coceps o make sure ha we all udersad wha his heory is, why i works, ad how i is useful.
More informationTotal Return Index Calculation Methodology
Toal Reur Idex Calculaio Mehodology Las updaed: Ocober 31, 2011 1 Impora Noice: 1. This Eglish versio is o a officially accurae raslaio of he origial Thai docume. I ay cases where differeces arise bewee
More informationHandbook on Residential Property Prices Indices (RPPIs)
M e h o d o l o g i e s & W o r k i g p a p e r s Hadbook o Resideial Propery Prices Idices (RPPIs) 23 ediio M e h o d o l o g i e s & W o r k i g p a p e r s Hadbook o Resideial Propery Prices Idices
More informationDAMPING AND ENERGY DISSIPATION
DAMPING AND ENERGY DISSIPATION Liear Viscous Dampig Is A Propery Of The Compuer Model Ad Is No A Propery Of A Real Srucure 19.1. INTRODUCTION I srucural egieerig, viscous, velociydepede dampig is very
More informationIndex arbitrage and the pricing relationship between Australian stock index futures and their underlying shares
Idex arbirage ad he pricig relaioship bewee Ausralia sock idex fuures ad heir uderlyig shares James Richard Cummigs Uiversiy of Sydey Alex Frio Uiversiy of Sydey Absrac This paper coducs a empirical aalysis
More informationDepartment of Economics Working Paper 2011:6
Deparme of Ecoomics Workig Paper 211:6 The Norwegia Shareholder Tax Recosidered Ja Söderse ad Tobias idhe Deparme of Ecoomics Workig paper 211:6 Uppsala Uiversiy April 211 P.O. Box 513 ISSN 16536975 SE751
More informationA Strategy for Trading the S&P 500 Futures Market
62 JOURNAL OF ECONOMICS AND FINANCE Volume 25 Number 1 Sprig 2001 A Sraegy for Tradig he S&P 500 Fuures Marke Edward Olszewski * Absrac A sysem for radig he S&P 500 fuures marke is proposed. The sysem
More informationResearch Article Dynamic Pricing of a Web Service in an Advance Selling Environment
Hidawi Publishig Corporaio Mahemaical Problems i Egieerig Volume 215, Aricle ID 783149, 21 pages hp://dx.doi.org/1.1155/215/783149 Research Aricle Dyamic Pricig of a Web Service i a Advace Sellig Evirome
More informationTeaching Bond Valuation: A Differential Approach Demonstrating Duration and Convexity
JOURNAL OF EONOMIS AND FINANE EDUATION olume Number 2 Wier 2008 3 Teachig Bod aluaio: A Differeial Approach Demosraig Duraio ad ovexi TeWah Hah, David Lage ABSTRAT A radiioal bod pricig scheme used i iroducor
More informationDBIQ Regulated Utilities Index
db Ide Develome March 2013 DBIQ Ide Guide DBIQ Regulaed Uiliies Ide Summary The DBIQ Regulaed Uiliies Ide ( Uiliies Ide is a rulesbased ide aimig o rack he reurs ou of he regulaed uiliies secor i develoed
More informationTesting the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Jordan
Ieraioal Busiess ad Maageme Vol. 9, No., 4, pp. 9 DOI:.968/554 ISSN 984X [Pri] ISSN 9848 [Olie] www.cscaada.e www.cscaada.org Tesig he Wea Form of Efficie Mare Hypohesis: Empirical Evidece from Jorda
More informationIDENTIFICATION OF MARKET POWER IN BILATERAL OLIGOPOLY: THE BRAZILIAN WHOLESALE MARKET OF UHT MILK 1. Abstract
IDENTIFICATION OF MARKET POWER IN BILATERAL OLIGOPOLY: THE BRAZILIAN WHOLESALE MARKET OF UHT MILK 1 Paulo Robero Scalco Marcelo Jose Braga 3 Absrac The aim of his sudy was o es he hypohesis of marke power
More informationChapter 4 Return and Risk
Chaper 4 Reur ad Risk The objecives of his chaper are o eable you o:! Udersad ad calculae reurs as a measure of ecoomic efficiecy! Udersad he relaioships bewee prese value ad IRR ad YTM! Udersad how obai
More informationECONOMETRIC MODELS AND THEIR ABILITY TO PREDICT GDP GROWTH OF THE CZECH REPUBLIC
ECONOMETRIC MODELS AND THEIR ABILITY TO PREDICT GDP GROWTH OF THE CZECH REPUBLIC [Ekoomerické modely a jejich schopos předvída růs HDP České republiky] Mila Bouda 1 1 Uiversiy of Ecoomics i Prague, Faculy
More informationHYPERBOLIC DISCOUNTING IS RATIONAL: VALUING THE FAR FUTURE WITH UNCERTAIN DISCOUNT RATES. J. Doyne Farmer and John Geanakoplos.
HYPERBOLIC DISCOUNTING IS RATIONAL: VALUING THE FAR FUTURE WITH UNCERTAIN DISCOUNT RATES By J. Doye Farmer ad Joh Geaakoplos Augus 2009 COWLES FOUNDATION DISCUSSION PAPER NO. 1719 COWLES FOUNDATION FOR
More informationFinancial Data Mining Using Genetic Algorithms Technique: Application to KOSPI 200
Fiacial Daa Miig Usig Geeic Algorihms Techique: Applicaio o KOSPI 200 Kyugshik Shi *, Kyougjae Kim * ad Igoo Ha Absrac This sudy ieds o mie reasoable radig rules usig geeic algorihms for Korea Sock Price
More informationON THE ARITHMETIC OF COMPOUND INTEREST: THE TIME VALUE OF MONEY
II. O THE ARITHMETIC OF COMPOUD ITEREST: THE TIME VALUE OF MOEY From our everyday experieces, we all recogize ha we would o be idiffere o a choice bewee a dollar o be paid o us a some fuure dae (e.g.,
More informationTesting Linearity in Cointegrating Relations with an Application to Purchasing Power Parity
Tesig Lieariy i Coiegraig Relaios wih a Applicaio o Purchasig Power Pariy Seug Hyu Hog Deparme of Ecoomics Cocordia Uiversiy ad Peer C. B. Phillips Cowles Foudaio, Yale Uiversiy Uiversiy of Aucklad ad
More informationYTM is positively related to default risk. YTM is positively related to liquidity risk. YTM is negatively related to special tax treatment.
. Two quesions for oday. A. Why do bonds wih he same ime o mauriy have differen YTM s? B. Why do bonds wih differen imes o mauriy have differen YTM s? 2. To answer he firs quesion les look a he risk srucure
More informationDuration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.
Graduae School of Business Adminisraion Universiy of Virginia UVAF38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised
More informationImpact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences
S.R. No. 002 10/2015/CEFT Impac of Deb on Primary Defici and GSDP Gap in Odisha: Empirical Evidences 1. Inroducion The excessive pressure of public expendiure over is revenue receip is financed hrough
More informationWhen Two Anomalies meet: PostEarningsAnnouncement. Drift and ValueGlamour Anomaly
Whe Two Aomalies mee: PosEarigsAouceme Drif ad ValueGlamour Aomaly By Zhipeg Ya* & Ya Zhao** This Draf: Sepember 009 Absrac I his paper, we ivesigae wo promie marke aomalies documeed i he fiace ad accouig
More informationThe Economic Dynamics of Inflation and Unemployment
Theoreical Ecoomics Leers, 0,, 3340 h://dx.doi.org/0.436/el.0.05 Published Olie May 0 (h://www.scirp.org/joural/el) The Ecoomic Dyamics of Iflaio ad Uemloyme Tamara Todorova Dearme of Ecoomics, America
More informationBond Valuation I. What is a bond? Cash Flows of A Typical Bond. Bond Valuation. Coupon Rate and Current Yield. Cash Flows of A Typical Bond
What is a bod? Bod Valuatio I Bod is a I.O.U. Bod is a borrowig agreemet Bod issuers borrow moey from bod holders Bod is a fixedicome security that typically pays periodic coupo paymets, ad a pricipal
More informationChapter 8: Regression with Lagged Explanatory Variables
Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One
More informationVector Autoregressions (VARs): Operational Perspectives
Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101115. Macroeconomericians
More informationSPECIAL REPORT May 4, Shifting Drivers of Inflation Canada versus the U.S.
Paul Ferley Assisan Chief Economis 4169747231 paul.ferley@rbc.com Nahan Janzen Economis 4169740579 nahan.janzen@rbc.com SPECIAL REPORT May 4, 2010 Shifing Drivers of Inflaion Canada versus he U.S.
More informationInvestment and q with Fixed Costs: An Empirical Analysis
Ivesme ad q wih Fixed Coss: A Empirical Aalysis Adrew B. Abel ad Jaice C. Eberly * revised: Jauary 00 Absrac Opimal ivesme depeds boh o expeced reurs ad he coss of acquirig ad isallig capial. Empirical
More informationThe Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas
The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he
More informationTime value of money Interest formulas Project evaluations Inflation and CPI Financial risk and financing
2YHUYLHZ )LQDQLDO$QDO\VLV 3ULHU Hioshi Sakamoo Humphey Isiue of ublic Affais Uivesiy of Miesoa Time value of moey Iees fomulas ojec evaluaios Iflaio ad CI iacial isk ad fiacig A5721 Moey  1 A5721 Moey
More informationThe Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of
Prof. Harris Dellas Advanced Macroeconomics Winer 2001/01 The Real Business Cycle paradigm The RBC model emphasizes supply (echnology) disurbances as he main source of macroeconomic flucuaions in a world
More informationThis paper shows contributions that nominal returns, the maturity composition of
America Ecoomic Joural: Macroecoomics 3 (July 2011): 192 214 hp://www.aeaweb.org/aricles.php?doi=10.1257/mac.3.3.192 Ieres Rae Risk ad Oher Deermias of PosWWII US Goverme Deb/GDP Dyamics By George J.
More informationTesting Linearity in Cointegrating Relations With an Application to Purchasing Power Parity
Tesig Lieariy i Coiegraig Relaios Wih a Applicaio o Purchasig Power Pariy Seug Hyu HONG Korea Isiue of Public Fiace KIPF), Sogpaku, Seoul, Souh Korea 38774 Peer C. B. PHILLIPS Yale Uiversiy, New Have,
More informationA GLOSSARY OF MAIN TERMS
he aedix o his glossary gives he mai aggregae umber formulae used for cosumer rice (CI) uroses ad also exlais he ierrelaioshis bewee hem. Acquisiios aroach Addiiviy Aggregae Aggregaio Axiomaic, or es aroach
More informationCombining Adaptive Filtering and IF Flows to Detect DDoS Attacks within a Router
KSII RANSAIONS ON INERNE AN INFORMAION SYSEMS VOL. 4, NO. 3, Jue 2 428 opyrigh c 2 KSII ombiig Adapive Filerig ad IF Flows o eec os Aacks wihi a Rouer Ruoyu Ya,2, Qighua Zheg ad Haifei Li 3 eparme of ompuer
More informationPrice elasticity of demand for crude oil: estimates for 23 countries
Price elasiciy of demand for crude oil: esimaes for 23 counries John C.B. Cooper Absrac This paper uses a muliple regression model derived from an adapaion of Nerlove s parial adjusmen model o esimae boh
More informationThe Solow Growth Model
The Solow Growh Moel The Solow Growh Moel is a moel of capial accumulaio i a pure proucio ecoomy: here are o prices because we are sricly ierese i oupu = real icome. Everyoe wors all he ime, so here is
More informationEquities: Positions and Portfolio Returns
Foundaions of Finance: Equiies: osiions and orfolio Reurns rof. Alex Shapiro Lecure oes 4b Equiies: osiions and orfolio Reurns I. Readings and Suggesed racice roblems II. Sock Transacions Involving Credi
More informationWhy Did the Demand for Cash Decrease Recently in Korea?
Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in
More informationThe Grantor Retained Annuity Trust (GRAT)
WEALTH ADVISORY Esae Planning Sraegies for closelyheld, family businesses The Granor Reained Annuiy Trus (GRAT) An efficien wealh ransfer sraegy, paricularly in a low ineres rae environmen Family business
More informationRanking of Mutually Exclusive Investment Projects
Faculy of Maageme Techology Workig Paper Series Rakig of Muually Exclusive Ivesme Projecs How Cash Flow Differeces ca solve he Rakig Problem by Chrisia Kalhoefer Workig Paper No. 3 November 27 Rakig of
More information11/6/2013. Chapter 14: Dynamic ADAS. Introduction. Introduction. Keeping track of time. The model s elements
Inroducion Chaper 14: Dynamic DS dynamic model of aggregae and aggregae supply gives us more insigh ino how he economy works in he shor run. I is a simplified version of a DSGE model, used in cuingedge
More informationDistributed Containment Control with Multiple Dynamic Leaders for DoubleIntegrator Dynamics Using Only Position Measurements
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, VOL. 57, NO. 6, JUNE 22 553 Disribued Coaime Corol wih Muliple Dyamic Leaders for DoubleIegraor Dyamics Usig Oly Posiio Measuremes Jiazhe Li, Wei Re, Member, IEEE,
More informationCOLLECTIVE RISK MODEL IN NONLIFE INSURANCE
Ecoomic Horizos, May  Augus 203, Volume 5, Number 2, 6775 Faculy of Ecoomics, Uiversiy of Kragujevac UDC: 33 eissn 2279232 www. ekfak.kg.ac.rs Review paper UDC: 005.334:368.025.6 ; 347.426.6 doi: 0.5937/ekohor30263D
More informationPreviously Published Works UC Berkeley
Previously Published Works UC Berkeley A Uiversiy of Califoria auhor or deparme has made his aricle opely available. Thaks o he Academic Seae s Ope Access Policy, a grea may UCauhored scholarly publicaios
More informationIndex Manual relating to the. Solactive 3D Printing Index (SOLDDD)
Idex Maual relaig o he Solacive 3 Priig Idex (SOL) Versio.0 daed November 2h, 203 Coes Iroducio Idex specificaios. Shor ame ad ISIN.2 Iiial value.3 isribuio.4 Prices ad calculaio frequecy.5 Weighig.6 ecisiomakig
More informationForecasting Unemployment Rate in Selected European Countries Using Smoothing Methods
Ieraioal Joural of Social, Behavioral, Educaioal, Ecoomic, Busiess ad Idusrial Egieerig Vol:9, No:4, 2015 Forecasig Uemployme Rae i Seleced Europea Couries Usig Smoohig Mehods Kseija Dumičić, Aia Čeh Časi,
More informationMorningstar Investor Return
Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion
More informationBALANCE OF PAYMENTS. First quarter 2008. Balance of payments
BALANCE OF PAYMENTS DATE: 20080530 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se
More informationTHE IMPROVEMENT OF UNEMPLOYMENT RATE PREDICTIONS ACCURACY
THE IMPROVEMENT OF UNEMPLOYMENT RATE PREDICTIONS ACCURACY DOI: 0.867/j.pep.59 Mihaela Simioescu* Absrac: This research is relaed o he assessme of aleraive uemployme rae predicios for he Romaia ecoomy,
More informationTRANSPORT ECONOMICS, POLICY AND POVERTY THEMATIC GROUP
TRANSPORT NOTES TRANSPORT ECONOMICS, POLICY AND POVERTY THEMATIC GROUP THE WORLD BANK, WASHINGTON, DC Traspor Noe No. TRN6 Jauary 2005 Noes o he Ecoomic Evaluaio of Traspor Projecs I respose o may requess
More informationACCOUNTING TURNOVER RATIOS AND CASH CONVERSION CYCLE
Problems ad Persecives of Maageme, 24 Absrac ACCOUNTING TURNOVER RATIOS AND CASH CONVERSION CYCLE Pedro OríÁgel, Diego Prior Fiacial saemes, ad esecially accouig raios, are usually used o evaluae acual
More informationUnit 7 Possibility and probability
Grammar o go! Lesso Lik Lesso legh: 45 mis Aim: 1. o review he use of may, migh, could, mus ad ca o express possibiliy ad probabiliy 2. o review he use of may, migh ad could whe alkig abou possibiliy ad
More informationUsing Kalman Filter to Extract and Test for Common Stochastic Trends 1
Usig Kalma Filer o Exrac ad Tes for Commo Sochasic Treds Yoosoo Chag 2, Bibo Jiag 3 ad Joo Y. Park 4 Absrac This paper cosiders a sae space model wih iegraed lae variables. The model provides a effecive
More informationThe Interest Rate Risk of Mortgage Loan Portfolio of Banks
The Ineres Rae Risk of Morgage Loan Porfolio of Banks A Case Sudy of he Hong Kong Marke Jim Wong Hong Kong Moneary Auhoriy Paper presened a he Exper Forum on Advanced Techniques on Sress Tesing: Applicaions
More informationPROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE
Profi Tes Modelling in Life Assurance Using Spreadshees PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Erik Alm Peer Millingon 2004 Profi Tes Modelling in Life Assurance Using Spreadshees
More informationHedging with Forwards and Futures
Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buyside of a forward/fuures
More informationUNIT ROOTS Herman J. Bierens 1 Pennsylvania State University (October 30, 2007)
UNIT ROOTS Herma J. Bieres Pesylvaia Sae Uiversiy (Ocober 30, 2007). Iroducio I his chaper I will explai he wo mos frequely applied ypes of ui roo ess, amely he Augmeed DickeyFuller ess [see Fuller (996),
More informationPERFORMANCE COMPARISON OF TIME SERIES DATA USING PREDICTIVE DATA MINING TECHNIQUES
, pp.5766. Available olie a hp://www.bioifo.i/coes.php?id=32 PERFORMANCE COMPARISON OF TIME SERIES DATA USING PREDICTIVE DATA MINING TECHNIQUES SAIGAL S. 1 * AND MEHROTRA D. 2 1Deparme of Compuer Sciece,
More informationPrincipal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.
Principal componens of sock marke dynamics Mehodology and applicaions in brief o be updaed Andrei Bouzaev, bouzaev@ya.ru Why principal componens are needed Objecives undersand he evidence of more han one
More informationChapter 2 Linear TimeInvariant Systems
ELG 3 Sigals ad Sysems Caper Caper Liear TimeIvaria Sysems. Iroducio May pysical sysems ca be modeled as liear imeivaria (LTI sysems Very geeral sigals ca be represeed as liear combiaios of delayed impulses.
More informationChapter 2 ACCOUNTING FOR HOUSING IN A CPI
Chaper 2 ACCOUNTING FOR HOUSING IN A CPI W. Erwi Diewer ad Alice O. Nakamura Cosrucio of he U.S. CPI mirrors he aioal icome accous reame of ower occupied housig. Owers are assumed o re heir homes from
More informationhttp://www.ejournalofscience.org Monitoring of Network Traffic based on Queuing Theory
VOL., NO., November ISSN XXXXXXXX ARN Joural of Sciece a Techology  ARN Jourals. All righs reserve. hp://www.ejouralofsciece.org Moiorig of Newor Traffic base o Queuig Theory S. Saha Ray,. Sahoo Naioal
More informationUsefulness of the Forward Curve in Forecasting Oil Prices
Usefulness of he Forward Curve in Forecasing Oil Prices Akira Yanagisawa Leader Energy Demand, Supply and Forecas Analysis Group The Energy Daa and Modelling Cener Summary When people analyse oil prices,
More information