INVESTIGATION OF THE INFLUENCE OF UNEMPLOYMENT ON ECONOMIC INDICATORS

Size: px
Start display at page:

Download "INVESTIGATION OF THE INFLUENCE OF UNEMPLOYMENT ON ECONOMIC INDICATORS"

Transcription

1 INVESTIGATION OF THE INFLUENCE OF UNEMPLOYMENT ON ECONOMIC INDICATORS Ilona Tregub, Olga Filina, Irina Kondakova Financial Universiy under he Governmen of he Russian Federaion 1. Phillips curve In economics, he Phillips curve (named by William Phillips) is a hisorical inverse relaionship beween he rae of unemploymen and he rae of inflaion in an economy. Saed simply, lower unemploymen in an economy is correlaed wih a higher rae of inflaion. Economerics model π caπ bu bu υ 1,2,.. ; a, b, с, 0 Where: b is a posiive consan, U is unemploymen, U n is he naural rae of unemploymen or NAIRU, π and π e are he inflaion and expeced inflaion respecively. ε is a disurbed erm, is ime period, c, a are he coefficiens 1.1. Correlaion analysis Firs sep of analyzing economerics model is Correlaion Analysis. We sared wih Philips curve and saisical daa of China. For his macroeconomic law we need daa abou expeced inflaion and inflaion raes, unemploymen rae, inflaion rae we ook as CPI. To make correlaion analysis we use Excel file. Firs of all, we should undersand which variable is dependen and which variables are independen. For our analysis we should consruc marix of correlaion and diagrams wih rend, a he end we should make a conclusion abou dependence beween variables. Nex sep is o pu daa ino cells and columns. Afer ha I find coefficien of correlaion using he correlaion funcion. In my example we make correlaion analysis for Fisher equaion, in his law we have one dependen variable-inflaion rae and wo independen variables- expeced inflaion rae and unemploymen rae. We sar wih esing coefficien of correlaion beween expeced inflaion and inflaion raes. We should chose he saisical funcion and allocae wo necessary arrays. Afer ha we obain our coefficien of correlaion, in my case, he coefficien of correlaion is 0,9-i means ha here is srong posiive dependence beween inflaion and expeced inflaion raes, as one indicaors increases, anoher also increases. The same

2 procedure we made for oher independen variable. And we obain following resuls: i means ha here is srong posiive dependence beween inflaion and expeced inflaion raes r 1 =0,90 r 2 =-0,50 I means ha here is medium negaive dependence beween inflaion and unemploymen raes For full correlaion analysis we need o consruc scaer plo o deerminae he funcion of dependence beween wo variables. On he scaer plo we name dependen and independen variables, in my case i is nominal and real ineres raes. Also, i is beer o reduce he numbers in he formulas o wo decimal place value. To sum up, in our scaer plo i is necessary o show diagram beween wo variables, line of rend, equaion of he funcion, square of R and he name of variables. 30,00 25,00 20,00 Inflanion rae 15,00 10,00 5,00 0,00 5,00 0,00 5,00 10,00 15,00 20,00 25,00 5,00 Expeced Inflanion rae y = 1,21x 1,49 R² = 0,81 30,00 25,00 20,00 Inflanion rae 15,00 10,00 5,00 0,00 1,00 1,50 2,00 2,50 3,00 3,50 4,00 4,50 5,00 5,00 Unemploymen rae y = 4,37x + 20,43 R² = 0,25 Making Correlaion Analysis we can come up o conclusion ha inflaion rae depends posiively on expeced inflaion rae and medium negaively on unemploymen

3 rae. As inflaion rae and unemploymen rae have negaive relaion (as one increase, anoher decreases), consequenly, saisical daa of China proves Phillips curve Regression analysis. Afer esing dependence beween variables and proved ha in our equaion we have posiive dependence beween variables, we should make regression analysis o find esimaion of coefficiens, sandard deviaion of coefficiens and disurbed erms, R 2 and F. All hese we need o consruc esimaed equaion for our model. Firs of all, we have he second varian of basic model; we have one dependen variable and wo independen variables. b a c -1,73 1,12 4,83 Esimaion of Coeffiiens 0,81 0,12 3,08 Sandard Deviaion of Coeffiiens R 2 0,85 2,92 #Н/Д δ ε F 60,00 21,00 #Н/Д 1020,66 178,61 #Н/Д Afer ha i is neccesary o make regression analysis. To do his we should find in Excel file Daa Analysis, selec Saisical and hen Regression. We will ge he window which we shoul fulfill wih our daa. Here we should pu our saisical daa of variables and chose free cell where we wan o see our resul. Moreover, i is imporan o noe ha when we selec our arrays of daa, we should selec all cells excep of he las array of each variable. Also, we pu sicks near he represenaion of graphs of remains. A he end press Ener and see he resul as graphs and ables. This informaion is necessary for furher ess and makes esimaed equaion. Below is our resul of Fisher equaion wih esimaion of coefficiens, sandard deviaion of coefficiens and disurbed erms, R square and value of F. Esimaed equaion 4,83 1,12 1,73 3,08 0,12 0,81 2,92 0,85 60,00 Third sep is F-es. This we need o esimae random or no random our square R. Using his funcion is necessary o ge value of F criical. F cri =3,47. As our F criical is less ha F saisical we can come up o conclusion ha R 2 is no random and qualiy of specificaion is high. 2. Okun's Law Okun's law is an empirically observed relaionship relaing unemploymen o losses in a counry's producion. Okun's law saes ha a one poin increase in he unemploymen rae is associaed wih wo percenage poins of negaive growh in real GDP. This law is named afer Arhur Okun, he economis who, in 1962, was he firs o make deailed observaions abou his relaionship. So-called "naural unemploymen"

4 refers o he fac ha here will always be a leas a cerain amoun of unemploymen in a free marke economy, because of volunary changes in employmen and oher reasons no relaed o economic hardship. In is mos basic form, Okun's law invesigaes he saisical relaionship beween a counry's unemploymen rae and he growh rae of is economy. The economics research arm of he Federal Reserve Bank of S. Louis explains ha Okun's law "is inended o ell us how much of a counry's gross domesic produc (GDP) may be los when he unemploymen rae is above is naural rae." I goes on o explain ha "he logic behind Okun's law is simple. Oupu depends on he amoun of labor used in he producion process, so here is a posiive relaionship beween oupu and employmen. Toal employmen equals he labor force minus he unemployed, so here is a negaive relaionship beween oupu and unemploymen (condiional on he labor force)." I is mos imporan o noe ha Okun's law is a saisical relaionship ha relies on a regression of unemploymen and economic growh. As such, running he regression can resul in differing coefficiens ha are used o solve for he change in unemploymen, based on how he economy grew. I all depends on he ime periods used and inpus, which are hisorical GDP and employmen daa. The law has indeed "evolved," or changed over ime o fi he curren economic climae and employmen rends a he ime. One version of Okun's law has saed very simply ha when unemploymen falls by 1%, GNP rises by 3%. Anoher version of Okun's Law focuses on a relaionship beween unemploymen and GDP, whereby a percenage increase in unemploymen causes a 2% fall in GDP. All he necessary informaion for he counry we have chosen (he USA) concerning he Okun s law I downloaded from he websie of The World Bank (hp://daa.worldbank.org/counry/unied saes). For his model we needed daa on Curren unemploymen rae, Unemploymen rae a previous momen of ime and Growh rae of oupu. Thus, I jus found needed indicaors in a given Excel file.

5 The unemploymen rae a curren momen of ime (U ) depends posiively on he unemploymen rae a previous momen of ime (U -1 ) and negaively on he growh rae of oupu from previous o curren momen of ime (G y ). The iniial form of he economeric model is: U a 0 a1g y a1g y a 2U 1 a 0, a1 0,0 a 2 1 E ( ) 0 ( ) cons Where U is he unemploymen rae a curren momen of ime; U -1 is he unemploymen rae a previous momen of ime; G y is he normal growh rae; G y is he growh rae of oupu from previous o curren momen of ime; a 0, a 1, a 2, are coefficiens; ε is disurbance erm Correlaion analysis To analyze he correlaion beween variables and o build he scaer diagram, we consruced a able in Excel wih iniial daa: As he model has more han wo variables, i is needed o creae he marix of pair correlaion. Marix of pair correlaion U U 1 Gy U 1 U 1 0,81 1 Gy 0,34 0,20 1 The Scaer Diagram showing he relaionship beween Curren unemploymen rae (U ) and he Unemploymen rae a previous momen of ime (U -1 ) The Scaer Diagram showing he relaionship beween Curren unemploymen rae (U ) and he Growh rae of oupu (G y )

6 Conclusion Correlaion coefficien beween curren unemploymen rae (U ) and unemploymen rae a previous momen of ime (U -1 ) is equal o 0,81. I indicaes ha here is a srong posiive linear relaionship beween curren unemploymen rae (U ) and unemploymen rae a previous momen of ime (U -1 ). Correlaion coefficien beween curren unemploymen rae (U ) and growh rae of oupu (G y ) is equal o -0,34. I indicaes ha here is a very weak negaive linear relaionship beween curren unemploymen rae (U ) and growh rae of oupu (G y ). The Scaer Diagram showing he relaionship beween Curren unemploymen rae (U ) and he unemploymen rae a previous momen of ime (U -1 ) indicaes ha he relaion beween wo variables is linear and posiive. The Scaer Diagram showing he relaionship beween curren unemploymen rae (U ) and growh rae of oupu (G y ) indicaes ha he relaion beween wo variables is linear and negaive Regression analysis a 1 a 2 a 0 0,45 1,00 1,28 S ai 0,04 0,06 0,35 R 2 0,93 0,45 #Н/Д F 182,43 27 #Н/Д 72,80 5,39 #Н/Д F cri 3,33 F cri < F coefficien a 0 is 1,28 coefficien a 1 is -0,45 coefficien a 2 is 1,00 sandard deviaion of a 0 is 0,35

7 sandard deviaion of a 1 is 0,04 sandard deviaion of a 2 is 0,06 sandard deviaion of disurbance erm ε is 0,45 R 2 is equal o 0,93 and F is equal o 182,43 Thus, he esimaed form of he economeric model is U R 2 1,28 0,45G (0,35) 0,93 0,04 y a G 1 F 182,43 1U Conclusion R 2 is 0,93, i is close o 1, hus, regression line including G y and U -1 in he model explains values of U. F is equal o 182,43 and F criical is equal o 3,33. Value of F criical is much lower han value of F, hus, we can conclude ha R 2 is no random and he qualiy of specificaion is high. Hence, i can be concluded ha his model is applicable o he USA under he period from 1981 o y 1 (0,06) (0,45)

11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements

11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements Inroducion Chaper 14: Dynamic D-S 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 cuing-edge

More information

Lecture 18. Serial correlation: testing and estimation. Testing for serial correlation

Lecture 18. Serial correlation: testing and estimation. Testing for serial correlation Lecure 8. Serial correlaion: esing and esimaion Tesing for serial correlaion In lecure 6 we used graphical mehods o look for serial/auocorrelaion in he random error erm u. Because we canno observe he u

More information

Graphing the Von Bertalanffy Growth Equation

Graphing the Von Bertalanffy Growth Equation file: d:\b173-2013\von_beralanffy.wpd dae: Sepember 23, 2013 Inroducion Graphing he Von Beralanffy Growh Equaion Previously, we calculaed regressions of TL on SL for fish size daa and ploed he daa and

More information

... t t t k kt t. We assume that there are observations covering n periods of time. Autocorrelation (also called

... t t t k kt t. We assume that there are observations covering n periods of time. Autocorrelation (also called Supplemen 13B: Durbin-Wason Tes for Auocorrelaion Modeling Auocorrelaion Because auocorrelaion is primarily a phenomenon of ime series daa, i is convenien o represen he linear regression model using as

More information

Chapter 8: Regression with Lagged Explanatory Variables

Chapter 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 information

Vector Autoregressions (VARs): Operational Perspectives

Vector 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), 101-115. Macroeconomericians

More information

Chapter 7. Response of First-Order RL and RC Circuits

Chapter 7. Response of First-Order RL and RC Circuits Chaper 7. esponse of Firs-Order L and C Circuis 7.1. The Naural esponse of an L Circui 7.2. The Naural esponse of an C Circui 7.3. The ep esponse of L and C Circuis 7.4. A General oluion for ep and Naural

More information

4. The Poisson Distribution

4. The Poisson Distribution Virual Laboraories > 13. The Poisson Process > 1 2 3 4 5 6 7 4. The Poisson Disribuion The Probabiliy Densiy Funcion We have shown ha he k h arrival ime in he Poisson process has he gamma probabiliy densiy

More information

Mathematics in Pharmacokinetics What and Why (A second attempt to make it clearer)

Mathematics in Pharmacokinetics What and Why (A second attempt to make it clearer) Mahemaics in Pharmacokineics Wha and Why (A second aemp o make i clearer) We have used equaions for concenraion () as a funcion of ime (). We will coninue o use hese equaions since he plasma concenraions

More information

Economics 140A Hypothesis Testing in Regression Models

Economics 140A Hypothesis Testing in Regression Models Economics 140A Hypohesis Tesing in Regression Models While i is algebraically simple o work wih a populaion model wih a single varying regressor, mos populaion models have muliple varying regressors 1

More information

Revisions to Nonfarm Payroll Employment: 1964 to 2011

Revisions to Nonfarm Payroll Employment: 1964 to 2011 Revisions o Nonfarm Payroll Employmen: 1964 o 2011 Tom Sark December 2011 Summary Over recen monhs, he Bureau of Labor Saisics (BLS) has revised upward is iniial esimaes of he monhly change in nonfarm

More information

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005 FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970-005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a

More information

Stability. Coefficients may change over time. Evolution of the economy Policy changes

Stability. Coefficients may change over time. Evolution of the economy Policy changes Sabiliy Coefficiens may change over ime Evoluion of he economy Policy changes Time Varying Parameers y = α + x β + Coefficiens depend on he ime period If he coefficiens vary randomly and are unpredicable,

More information

Cointegration: The Engle and Granger approach

Cointegration: The Engle and Granger approach Coinegraion: The Engle and Granger approach Inroducion Generally one would find mos of he economic variables o be non-saionary I(1) variables. Hence, any equilibrium heories ha involve hese variables require

More information

Chapter 7: Estimating the Variance of an Estimate s Probability Distribution

Chapter 7: Estimating the Variance of an Estimate s Probability Distribution Chaper 7: Esimaing he Variance of an Esimae s Probabiliy Disribuion Chaper 7 Ouline Review o Clin s Assignmen o General Properies of he Ordinary Leas Squares (OLS) Esimaion Procedure o Imporance of he

More information

Lecture 12 Assumption Violation: Autocorrelation

Lecture 12 Assumption Violation: Autocorrelation Major Topics: Definiion Lecure 1 Assumpion Violaion: Auocorrelaion Daa Relaionship Represenaion Problem Deecion Remedy Page 1.1 Our Usual Roadmap Parial View Expansion of Esimae and Tes Model Sep Analyze

More information

Impact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences

Impact 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 information

4. International Parity Conditions

4. International Parity Conditions 4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency

More information

and Decay Functions f (t) = C(1± r) t / K, for t 0, where

and Decay Functions f (t) = C(1± r) t / K, for t 0, where MATH 116 Exponenial Growh and Decay Funcions Dr. Neal, Fall 2008 A funcion ha grows or decays exponenially has he form f () = C(1± r) / K, for 0, where C is he iniial amoun a ime 0: f (0) = C r is he rae

More information

Price elasticity of demand for crude oil: estimates for 23 countries

Price 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 information

Phillips Curve. Macroeconomics Cunningham

Phillips Curve. Macroeconomics Cunningham Phillips Curve Macroeconomics Cunningham Original Phillips Curve A. W. Phillips (1958), The Relaion Beween Unemploymen and he Rae of Change of Money Wage Raes in he Unied Kingdom, 1861-1957, Economica.

More information

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART TWO

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART TWO Profi Tes Modelling in Life Assurance Using Spreadshees, par wo PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART TWO Erik Alm Peer Millingon Profi Tes Modelling in Life Assurance Using Spreadshees,

More information

Cointegration Analysis of Exchange Rate in Foreign Exchange Market

Cointegration Analysis of Exchange Rate in Foreign Exchange Market Coinegraion Analysis of Exchange Rae in Foreign Exchange Marke Wang Jian, Wang Shu-li School of Economics, Wuhan Universiy of Technology, P.R.China, 430074 Absrac: This paper educed ha he series of exchange

More information

YTM is positively related to default risk. YTM is positively related to liquidity risk. YTM is negatively related to special tax treatment.

YTM 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 information

The Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of

The 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 information

Wages and Unemployment. 1. Pre-Keynesian economics. Equilibrium in all markets, FE of labor in labor market equilibrium. 2. Keynes' revolution

Wages and Unemployment. 1. Pre-Keynesian economics. Equilibrium in all markets, FE of labor in labor market equilibrium. 2. Keynes' revolution Wages and Unemploymen 1. Pre-Keynesian economics Equilibrium in all markes, FE of labor in labor marke equilibrium 2. Keynes' revoluion 3. Inflaion His ideas developed in he hisorical conex of pos-wwi

More information

DIFFERENTIAL EQUATIONS with TI-89 ABDUL HASSEN and JAY SCHIFFMAN. A. Direction Fields and Graphs of Differential Equations

DIFFERENTIAL EQUATIONS with TI-89 ABDUL HASSEN and JAY SCHIFFMAN. A. Direction Fields and Graphs of Differential Equations DIFFERENTIAL EQUATIONS wih TI-89 ABDUL HASSEN and JAY SCHIFFMAN We will assume ha he reader is familiar wih he calculaor s keyboard and he basic operaions. In paricular we have assumed ha he reader knows

More information

House Price Index (HPI)

House Price Index (HPI) House Price Index (HPI) The price index of second hand houses in Colombia (HPI), regisers annually and quarerly he evoluion of prices of his ype of dwelling. The calculaion is based on he repeaed sales

More information

cooking trajectory boiling water B (t) microwave 0 2 4 6 8 101214161820 time t (mins)

cooking trajectory boiling water B (t) microwave 0 2 4 6 8 101214161820 time t (mins) Alligaor egg wih calculus We have a large alligaor egg jus ou of he fridge (1 ) which we need o hea o 9. Now here are wo accepable mehods for heaing alligaor eggs, one is o immerse hem in boiling waer

More information

SPECIAL REPORT May 4, Shifting Drivers of Inflation Canada versus the U.S.

SPECIAL REPORT May 4, Shifting Drivers of Inflation Canada versus the U.S. Paul Ferley Assisan Chief Economis 416-974-7231 paul.ferley@rbc.com Nahan Janzen Economis 416-974-0579 nahan.janzen@rbc.com SPECIAL REPORT May 4, 2010 Shifing Drivers of Inflaion Canada versus he U.S.

More information

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion

More information

Aggregate Output. Aggregate Output. Topics. Aggregate Output. Aggregate Output. Aggregate Output

Aggregate Output. Aggregate Output. Topics. Aggregate Output. Aggregate Output. Aggregate Output Topics (Sandard Measure) GDP vs GPI discussion Macroeconomic Variables (Unemploymen and Inflaion Rae) (naional income and produc accouns, or NIPA) Gross Domesic Produc (GDP) The value of he final goods

More information

A Brief Introduction to the Consumption Based Asset Pricing Model (CCAPM)

A Brief Introduction to the Consumption Based Asset Pricing Model (CCAPM) A Brief Inroducion o he Consumpion Based Asse Pricing Model (CCAPM We have seen ha CAPM idenifies he risk of any securiy as he covariance beween he securiy's rae of reurn and he rae of reurn on he marke

More information

4.8 Exponential Growth and Decay; Newton s Law; Logistic Growth and Decay

4.8 Exponential Growth and Decay; Newton s Law; Logistic Growth and Decay 324 CHAPTER 4 Exponenial and Logarihmic Funcions 4.8 Exponenial Growh and Decay; Newon s Law; Logisic Growh and Decay OBJECTIVES 1 Find Equaions of Populaions Tha Obey he Law of Uninhibied Growh 2 Find

More information

Chapter 8 Student Lecture Notes 8-1

Chapter 8 Student Lecture Notes 8-1 Chaper Suden Lecure Noes - Chaper Goals QM: Business Saisics Chaper Analyzing and Forecasing -Series Daa Afer compleing his chaper, you should be able o: Idenify he componens presen in a ime series Develop

More information

Markov Models and Hidden Markov Models (HMMs)

Markov Models and Hidden Markov Models (HMMs) Markov Models and Hidden Markov Models (HMMs (Following slides are modified from Prof. Claire Cardie s slides and Prof. Raymond Mooney s slides. Some of he graphs are aken from he exbook. Markov Model

More information

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012 Norhfield Asia Research Seminar Hong Kong, November 19, 2013 Esimaing Time-Varying Equiy Risk Premium The Japanese Sock Marke 1980-2012 Ibboson Associaes Japan Presiden Kasunari Yamaguchi, PhD/CFA/CMA

More information

Chapter 4. Properties of the Least Squares Estimators. Assumptions of the Simple Linear Regression Model. SR3. var(e t ) = σ 2 = var(y t )

Chapter 4. Properties of the Least Squares Estimators. Assumptions of the Simple Linear Regression Model. SR3. var(e t ) = σ 2 = var(y t ) Chaper 4 Properies of he Leas Squares Esimaors Assumpions of he Simple Linear Regression Model SR1. SR. y = β 1 + β x + e E(e ) = 0 E[y ] = β 1 + β x SR3. var(e ) = σ = var(y ) SR4. cov(e i, e j ) = cov(y

More information

The 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. 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 information

Answer, Key Homework 2 David McIntyre 45123 Mar 25, 2004 1

Answer, Key Homework 2 David McIntyre 45123 Mar 25, 2004 1 Answer, Key Homework 2 Daid McInyre 4123 Mar 2, 2004 1 This prin-ou should hae 1 quesions. Muliple-choice quesions may coninue on he ne column or page find all choices before making your selecion. The

More information

Representing Periodic Functions by Fourier Series. (a n cos nt + b n sin nt) n=1

Representing Periodic Functions by Fourier Series. (a n cos nt + b n sin nt) n=1 Represening Periodic Funcions by Fourier Series 3. Inroducion In his Secion we show how a periodic funcion can be expressed as a series of sines and cosines. We begin by obaining some sandard inegrals

More information

CHARGE AND DISCHARGE OF A CAPACITOR

CHARGE AND DISCHARGE OF A CAPACITOR REFERENCES RC Circuis: Elecrical Insrumens: Mos Inroducory Physics exs (e.g. A. Halliday and Resnick, Physics ; M. Sernheim and J. Kane, General Physics.) This Laboraory Manual: Commonly Used Insrumens:

More information

Part 1: White Noise and Moving Average Models

Part 1: White Noise and Moving Average Models Chaper 3: Forecasing From Time Series Models Par 1: Whie Noise and Moving Average Models Saionariy In his chaper, we sudy models for saionary ime series. A ime series is saionary if is underlying saisical

More information

Circuit Types. () i( t) ( )

Circuit Types. () i( t) ( ) Circui Types DC Circuis Idenifying feaures: o Consan inpus: he volages of independen volage sources and currens of independen curren sources are all consan. o The circui does no conain any swiches. All

More information

Issues Using OLS with Time Series Data. Time series data NOT randomly sampled in same way as cross sectional each obs not i.i.d

Issues Using OLS with Time Series Data. Time series data NOT randomly sampled in same way as cross sectional each obs not i.i.d These noes largely concern auocorrelaion Issues Using OLS wih Time Series Daa Recall main poins from Chaper 10: Time series daa NOT randomly sampled in same way as cross secional each obs no i.i.d Why?

More information

The Impact of International Oil Price Fluctuation on China s Economy

The Impact of International Oil Price Fluctuation on China s Economy Available online a www.sciencedirec.com Energ Procedia 5 (2011) 1360 1364 IACEED2010 The Impac of Inernaional Oil Price Flucuaion on China s Econom Zhang Qianqian School of Economics and Managemen, Wuhan

More information

Chapter 6: Business Valuation (Income Approach)

Chapter 6: Business Valuation (Income Approach) Chaper 6: Business Valuaion (Income Approach) Cash flow deerminaion is one of he mos criical elemens o a business valuaion. Everyhing may be secondary. If cash flow is high, hen he value is high; if he

More information

Understanding Sequential Circuit Timing

Understanding Sequential Circuit Timing ENGIN112: Inroducion o Elecrical and Compuer Engineering Fall 2003 Prof. Russell Tessier Undersanding Sequenial Circui Timing Perhaps he wo mos disinguishing characerisics of a compuer are is processor

More information

Chabot College Physics Lab RC Circuits Scott Hildreth

Chabot College Physics Lab RC Circuits Scott Hildreth Chabo College Physics Lab Circuis Sco Hildreh Goals: Coninue o advance your undersanding of circuis, measuring resisances, currens, and volages across muliple componens. Exend your skills in making breadboard

More information

Supplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?

Supplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking? Supplemenary Appendix for Depression Babies: Do Macroeconomic Experiences Affec Risk-Taking? Ulrike Malmendier UC Berkeley and NBER Sefan Nagel Sanford Universiy and NBER Sepember 2009 A. Deails on SCF

More information

Basic Assumption: population dynamics of a group controlled by two functions of time

Basic Assumption: population dynamics of a group controlled by two functions of time opulaion Models Basic Assumpion: populaion dynamics of a group conrolled by wo funcions of ime Birh Rae β(, ) = average number of birhs per group member, per uni ime Deah Rae δ(, ) = average number of

More information

PRICE VOLATILITY ON THE USD/JPY MARKET AS A MEASURE OF INVESTORS ATTITUDE TOWARDS RISK

PRICE VOLATILITY ON THE USD/JPY MARKET AS A MEASURE OF INVESTORS ATTITUDE TOWARDS RISK QUANTITATIVE METHODS IN ECONOMICS Vol. XI, No. 1, 010, pp. 37-44 PRICE VOLATILITY ON THE USD/JPY MARKET AS A MEASURE OF INVESTORS ATTITUDE TOWARDS RISK Kaarzyna Banasiak Deparmen of Economics of Agriculure

More information

Wage Bargaining, Job Matching, and the Great Depression

Wage Bargaining, Job Matching, and the Great Depression Wage Bargaining, Job Maching, and he Grea Depression Chris Reicher UC San Diego May 2008 Wage Bargaining, Job Maching, and he Grea Depression January 2008 Oupu, employmen (% of rend): 1923-1941 110% 100%

More information

Why Did the Demand for Cash Decrease Recently in Korea?

Why 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 information

DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS

DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS Hong Mao, Shanghai Second Polyechnic Universiy Krzyszof M. Osaszewski, Illinois Sae Universiy Youyu Zhang, Fudan Universiy ABSTRACT Liigaion, exper

More information

Forecasting Malaysian Gold Using. GARCH Model

Forecasting Malaysian Gold Using. GARCH Model Applied Mahemaical Sciences, Vol. 7, 2013, no. 58, 2879-2884 HIKARI Ld, www.m-hikari.com Forecasing Malaysian Gold Using GARCH Model Pung Yean Ping 1, Nor Hamizah Miswan 2 and Maizah Hura Ahmad 3 Deparmen

More information

Newton's second law in action

Newton's second law in action Newon's second law in acion In many cases, he naure of he force acing on a body is known I migh depend on ime, posiion, velociy, or some combinaion of hese, bu is dependence is known from experimen In

More information

Economics Honors Exam 2008 Solutions Question 5

Economics Honors Exam 2008 Solutions Question 5 Economics Honors Exam 2008 Soluions Quesion 5 (a) (2 poins) Oupu can be decomposed as Y = C + I + G. And we can solve for i by subsiuing in equaions given in he quesion, Y = C + I + G = c 0 + c Y D + I

More information

Can Higher Inflation Be More Stable? Evidence from Japan and the US

Can Higher Inflation Be More Stable? Evidence from Japan and the US Journal of Inernaional Economic Sudies (), No9, 9 6 The Insiue of Comparaive Economic Sudies, Hosei Universiy Can Higher Inflaion Be More Sable? Evidence from Japan and he US Georgios Karras* Universiy

More information

A Re-examination of the Joint Mortality Functions

A Re-examination of the Joint Mortality Functions Norh merican cuarial Journal Volume 6, Number 1, p.166-170 (2002) Re-eaminaion of he Join Morali Funcions bsrac. Heekung Youn, rkad Shemakin, Edwin Herman Universi of S. Thomas, Sain Paul, MN, US Morali

More information

State Machines: Brief Introduction to Sequencers Prof. Andrew J. Mason, Michigan State University

State Machines: Brief Introduction to Sequencers Prof. Andrew J. Mason, Michigan State University Inroducion ae Machines: Brief Inroducion o equencers Prof. Andrew J. Mason, Michigan ae Universiy A sae machine models behavior defined by a finie number of saes (unique configuraions), ransiions beween

More information

23.3. Even and Odd Functions. Introduction. Prerequisites. Learning Outcomes

23.3. Even and Odd Functions. Introduction. Prerequisites. Learning Outcomes Even and Odd Funcions 23.3 Inroducion In his Secion we examine how o obain Fourier series of periodic funcions which are eiher even or odd. We show ha he Fourier series for such funcions is considerabl

More information

Premium Income of Indian Life Insurance Industry

Premium Income of Indian Life Insurance Industry Premium Income of Indian Life Insurance Indusry A Toal Facor Produciviy Approach Ram Praap Sinha* Subsequen o he passage of he Insurance Regulaory and Developmen Auhoriy (IRDA) Ac, 1999, he life insurance

More information

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal Quarerly Repor on he Euro Area 3/202 II.. Deb reducion and fiscal mulipliers The deerioraion of public finances in he firs years of he crisis has led mos Member Saes o adop sizeable consolidaion packages.

More information

When Do TIPS Prices Adjust to Inflation Information?

When Do TIPS Prices Adjust to Inflation Information? When Do TIPS Prices Adjus o Inflaion Informaion? Quenin C. Chu a, *, Deborah N. Piman b, Linda Q. Yu c Augus 15, 2009 a Deparmen of Finance, Insurance, and Real Esae. The Fogelman College of Business and

More information

11. Tire pressure. Here we always work with relative pressure. That s what everybody always does.

11. Tire pressure. Here we always work with relative pressure. That s what everybody always does. 11. Tire pressure. The graph You have a hole in your ire. You pump i up o P=400 kilopascals (kpa) and over he nex few hours i goes down ill he ire is quie fla. Draw wha you hink he graph of ire pressure

More information

The Relation Between T-score, Z-score, Bone Mineral Density and Body Mass Index

The Relation Between T-score, Z-score, Bone Mineral Density and Body Mass Index The Relaion Beween T-score, Z-score, Bone Mineral Densiy and Body Mass Index RABA'A KAREEM FARES AL-MAITAH AL-Balqa Applied Universiy (JORDAN) Tel: 00962-796676697 *E-mail:hamzaalawi@ymail.com Absrac:

More information

THE IMPACT OF INFLATION AND ECONOMIC GROWTH ON UNEMPLOYMENT

THE IMPACT OF INFLATION AND ECONOMIC GROWTH ON UNEMPLOYMENT The Impac of Inflaion and Economic Growh on Unemploymen 1 THE IMPACT OF INFLATION AND ECONOMIC GROWTH ON UNEMPLOYMENT The Impac of Inflaion and Economic Growh on Unemploymen: Time Series Evidence from

More information

Complex Fourier Series. Adding these identities, and then dividing by 2, or subtracting them, and then dividing by 2i, will show that

Complex Fourier Series. Adding these identities, and then dividing by 2, or subtracting them, and then dividing by 2i, will show that Mah 344 May 4, Complex Fourier Series Par I: Inroducion The Fourier series represenaion for a funcion f of period P, f) = a + a k coskω) + b k sinkω), ω = π/p, ) can be expressed more simply using complex

More information

ARCH 2013.1 Proceedings

ARCH 2013.1 Proceedings Aricle from: ARCH 213.1 Proceedings Augus 1-4, 212 Ghislain Leveille, Emmanuel Hamel A renewal model for medical malpracice Ghislain Léveillé École d acuaria Universié Laval, Québec, Canada 47h ARC Conference

More information

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios

More information

Renewal processes and Poisson process

Renewal processes and Poisson process CHAPTER 3 Renewal processes and Poisson process 31 Definiion of renewal processes and limi heorems Le ξ 1, ξ 2, be independen and idenically disribued random variables wih P[ξ k > 0] = 1 Define heir parial

More information

23.3. Even and Odd Functions. Introduction. Prerequisites. Learning Outcomes

23.3. Even and Odd Functions. Introduction. Prerequisites. Learning Outcomes Even and Odd Funcions 3.3 Inroducion In his Secion we examine how o obain Fourier series of periodic funcions which are eiher even or odd. We show ha he Fourier series for such funcions is considerabl

More information

Economic Factors in Determining the Penetration Coefficient of Mobile Phone in Iran

Economic Factors in Determining the Penetration Coefficient of Mobile Phone in Iran Iranian Economic Review, Vol.5, No.26, Spring 200 Economic Facors in Deermining he Peneraion Coefficien of Mobile Phone in Iran Mansour Khalili Araghi Ghahreman Abdoli Absrac n his paper we have sudied

More information

Why Do Real and Nominal. Inventory-Sales Ratios Have Different Trends?

Why Do Real and Nominal. Inventory-Sales Ratios Have Different Trends? Why Do Real and Nominal Invenory-Sales Raios Have Differen Trends? By Valerie A. Ramey Professor of Economics Deparmen of Economics Universiy of California, San Diego and Research Associae Naional Bureau

More information

CVA calculation for CDS on super senior ABS CDO

CVA calculation for CDS on super senior ABS CDO MPRA Munich Personal RePEc Archive CVA calculaion for CDS on super senior AS CDO Hui Li Augus 28 Online a hp://mpra.ub.uni-muenchen.de/17945/ MPRA Paper No. 17945, posed 19. Ocober 29 13:33 UC CVA calculaion

More information

Working paper No.3 Cyclically adjusting the public finances

Working paper No.3 Cyclically adjusting the public finances Working paper No.3 Cyclically adjusing he public finances Thora Helgadoir, Graeme Chamberlin, Pavandeep Dhami, Sephen Farringon and Joe Robins June 2012 Crown copyrigh 2012 You may re-use his informaion

More information

How Does Systematic Risk Impact Stocks? A Study On the French Financial Market

How Does Systematic Risk Impact Stocks? A Study On the French Financial Market How Does Sysemaic Risk Impac Socks? A Sudy On he French Financial arke Hayee Gafaoui TEA Pôle Finance (UR 8059 of he CNRS), Universiy Paris I - Panhéon-Sorbonne. Absrac: From CAC40 French sock index, we

More information

Module 4. Single-phase AC circuits. Version 2 EE IIT, Kharagpur

Module 4. Single-phase AC circuits. Version 2 EE IIT, Kharagpur Module 4 Single-phase A circuis ersion EE T, Kharagpur esson 5 Soluion of urren in A Series and Parallel ircuis ersion EE T, Kharagpur n he las lesson, wo poins were described:. How o solve for he impedance,

More information

A Probability Density Function for Google s stocks

A Probability Density Function for Google s stocks A Probabiliy Densiy Funcion for Google s socks V.Dorobanu Physics Deparmen, Poliehnica Universiy of Timisoara, Romania Absrac. I is an approach o inroduce he Fokker Planck equaion as an ineresing naural

More information

Economists and policymakers alike have noticed the striking correlation between

Economists and policymakers alike have noticed the striking correlation between How Resilien Is he Modern Economy o Energy Price Shocks? RAJEEV DHAWAN AND KARSTEN JESKE Dhawan is he direcor of he Economic Forecasing Cener and an associae professor of managerial sciences a he J. Mack

More information

An empirical analysis about forecasting Tmall air-conditioning sales using time series model Yan Xia

An empirical analysis about forecasting Tmall air-conditioning sales using time series model Yan Xia An empirical analysis abou forecasing Tmall air-condiioning sales using ime series model Yan Xia Deparmen of Mahemaics, Ocean Universiy of China, China Absrac Time series model is a hospo in he research

More information

Advanced time-series analysis (University of Lund, Economic History Department)

Advanced time-series analysis (University of Lund, Economic History Department) Advanced ime-series analysis (Universiy of Lund, Economic Hisory Deparmen) 30 Jan-3 February and 6-30 March 01 Lecure Uni-roo esing and he consequences of non-saionariy on regression analysis..a. Why is

More information

RC Circuit and Time Constant

RC Circuit and Time Constant ircui and Time onsan 8M Objec: Apparaus: To invesigae he volages across he resisor and capacior in a resisor-capacior circui ( circui) as he capacior charges and discharges. We also wish o deermine he

More information

Relative velocity in one dimension

Relative velocity in one dimension Connexions module: m13618 1 Relaive velociy in one dimension Sunil Kumar Singh This work is produced by The Connexions Projec and licensed under he Creaive Commons Aribuion License Absrac All quaniies

More information

Internal and External Factors for Credit Growth in Macao

Internal and External Factors for Credit Growth in Macao Inernal and Exernal Facors for Credi Growh in Macao Nicholas Cheang Research and Saisics Deparmen, Moneary Auhoriy of Macao Absrac Commercial banks are dominan eniies in he Macao financial secor. They

More information

Full-wave rectification, bulk capacitor calculations Chris Basso January 2009

Full-wave rectification, bulk capacitor calculations Chris Basso January 2009 ull-wave recificaion, bulk capacior calculaions Chris Basso January 9 This shor paper shows how o calculae he bulk capacior value based on ripple specificaions and evaluae he rms curren ha crosses i. oal

More information

WORKING PAPER. Inflation and human capital formation : theory and panel data evidence

WORKING PAPER. Inflation and human capital formation : theory and panel data evidence FACULTEIT ECONOMIE EN BEDRIJFSKUNDE HOVENIERSBERG 24 B-9000 GENT Tel. : 32 - (0)9 264.34.61 Fax. : 32 - (0)9 264.35.92 WORKING PAPER Inflaion and human capial formaion : heory and panel daa evidence Freddy

More information

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.

Principal 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 information

Duration 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.

Duration 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 UVA-F-38 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 information

Measuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry

Measuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry Measuring he Effecs of Exchange Rae Changes on Invesmen in Ausralian Manufacuring Indusry Robyn Swif Economics and Business Saisics Deparmen of Accouning, Finance and Economics Griffih Universiy Nahan

More information

Fakultet for informasjonsteknologi, Institutt for matematiske fag

Fakultet for informasjonsteknologi, Institutt for matematiske fag Page 1 of 5 NTNU Noregs eknisk-naurviskaplege universie Fakule for informasjonseknologi, maemaikk og elekroeknikk Insiu for maemaiske fag - English Conac during exam: John Tyssedal 73593534/41645376 Exam

More information

GRANGER CAUSALITY RELATION BETWEEN INTEREST RATES AND STOCK MARKETS: EVIDENCE FROM EMERGING MARKETS

GRANGER CAUSALITY RELATION BETWEEN INTEREST RATES AND STOCK MARKETS: EVIDENCE FROM EMERGING MARKETS GRANGER CAUSALITY RELATION BETWEEN INTEREST RATES AND STOCK MARKETS: EVIDENCE FROM EMERGING MARKETS Assoc. Prof. Dilek Leblebici Teker (Corresponding Auhor) Isık Universiy Deparmen of Managemen dilek.eker@isikun.edu.r

More information

GLAS Team Member Quarterly Report. June , Golden, Colorado (Colorado School of Mines)

GLAS Team Member Quarterly Report. June , Golden, Colorado (Colorado School of Mines) GLAS Team ember Quarerly Repor An Nguyen, Thomas A Herring assachuses Insiue of Technology Period: 04/01/2004 o 06/30//2004 eeings aended Tom Herring aended he eam meeing near GSFC a he end of June, 2004.

More information

Week #9 - The Integral Section 5.1

Week #9 - The Integral Section 5.1 Week #9 - The Inegral Secion 5.1 From Calculus, Single Variable by Hughes-Halle, Gleason, McCallum e. al. Copyrigh 005 by John Wiley & Sons, Inc. This maerial is used by permission of John Wiley & Sons,

More information

Why does the correlation between stock and bond returns vary over time?

Why does the correlation between stock and bond returns vary over time? Why does he correlaion beween sock and bond reurns vary over ime? Magnus Andersson a,*, Elizavea Krylova b,**, Sami Vähämaa c,*** a European Cenral Bank, Capial Markes and Financial Srucure Division b

More information

A Mathematical Description of MOSFET Behavior

A Mathematical Description of MOSFET Behavior 10/19/004 A Mahemaical Descripion of MOSFET Behavior.doc 1/8 A Mahemaical Descripion of MOSFET Behavior Q: We ve learned an awful lo abou enhancemen MOSFETs, bu we sill have ye o esablished a mahemaical

More information

Appendix A: Area. 1 Find the radius of a circle that has circumference 12 inches.

Appendix A: Area. 1 Find the radius of a circle that has circumference 12 inches. Appendi A: Area worked-ou s o Odd-Numbered Eercises Do no read hese worked-ou s before aemping o do he eercises ourself. Oherwise ou ma mimic he echniques shown here wihou undersanding he ideas. Bes wa

More information

Chapter 6. First Order PDEs. 6.1 Characteristics The Simplest Case. u(x,t) t=1 t=2. t=0. Suppose u(x, t) satisfies the PDE.

Chapter 6. First Order PDEs. 6.1 Characteristics The Simplest Case. u(x,t) t=1 t=2. t=0. Suppose u(x, t) satisfies the PDE. Chaper 6 Firs Order PDEs 6.1 Characerisics 6.1.1 The Simples Case Suppose u(, ) saisfies he PDE where b, c are consan. au + bu = 0 If a = 0, he PDE is rivial (i says ha u = 0 and so u = f(). If a = 0,

More information

Oil Price Shocks and Stock Markets in BRICs 1

Oil Price Shocks and Stock Markets in BRICs 1 The European Journal of Comparaive Economics Vol. 8, n. 1, pp. 29-45 ISSN 1824-2979 Oil Price Shocks and Sock Markes in BRICs 1 Absrac Shigeki Ono 2 This paper examines he impac of oil prices on real sock

More information