The GVAR Handbook

The GVAR Handbook

Author: Filippo di Mauro

Publisher: OUP Oxford

Published: 2013-02-28

Total Pages: 299

ISBN-13: 0191649082

DOWNLOAD EBOOK

The GVAR is a global Vector autoregression model of the global economy. The model was initially developed in the early 2000 by Professor Pesaran and co-authors, for the main purpose of analysing credit risk in a globalised economy. Starting from mid-2000 the model was substantially enlarged in the context of a project financed by the ECB, to comprise all major economies and the Euro area as a whole. The purpose of this version was to exploit the rich modelisation of international linkages in order to simulate and analyse global macro scenarios of high policy interest. The rich, yet manageable, specification of international linkages has stimulated a vast literature on the GVAR. Since early 2011, the basic model - and its data base - has also available on a dedicated GVAR-Toolbox website with an easy-to-use interface allowing practical applications by an extended audience, as well as more complex analysis by the expert public. The book provides an overview of the extensions and applications of the GVAR which have been developed in recent years. Such applications are grouped in three main categories: 1) International transmission and forecasting; 2) Finance applications; and 3) Regional applications. By using a language which is accessible to not econometricians, the book reaches out to the extended audience of practitioners and policy makers interested in understanding channels and impacts of international linkages.


The GVAR Handbook

The GVAR Handbook

Author: Filippo di Mauro

Publisher: Oxford University Press, USA

Published: 2013-02-28

Total Pages: 299

ISBN-13: 0199670080

DOWNLOAD EBOOK

The GVAR is a Global Vector Auto-Regression model of the global economy. Its main feature is to take into account the financial and real linkages connecting the major world economies. This book provides an overview of the GVAR and its applications: forecasting, finance issues, and regional studies.


Macroeconometric Models for Portfolio Management

Macroeconometric Models for Portfolio Management

Author: Jeremy Kwok

Publisher: Vernon Press

Published: 2021-09-07

Total Pages: 242

ISBN-13: 164889268X

DOWNLOAD EBOOK

‘Macroeconometric Models for Portfolio Management’ begins by outlining a portfolio management framework into which macroeconometric models and backtesting investment strategies are integrated. It is followed by a discussion on the theoretical backgrounds of both small and global large macroeconometric models, including data selection, estimation, and applications. Other practical concerns essential to managing a portfolio with decisions driven by macro models are also covered: model validation, forecast combination, and evaluation. The author then focuses on applying these models and their results on managing the portfolio, including making trading rules and asset allocation across different assets and risk management. The book finishes by showing portfolio examples where different investment strategies are used and illustrate how the framework can be applied from the beginning of collecting data, model estimation, and generating forecasts to how to manage portfolios accordingly. This book aims to bridge the gap between academia and practising professionals. Readers will attain a rigorous understanding of the theory and how to apply these models to their portfolios. Therefore, ‘Macroeconometric Models for Portfolio Management’ will be of interest to academics and scholars working in macroeconomics and finance; to industry professionals working in financial economics and asset management; to asset managers and investors who prefer systematic investing over discretionary investing; and to investors who have a strong interest in macroeconomic influences on their portfolio.


Handbook of Research Methods and Applications in Macroeconomic Forecasting

Handbook of Research Methods and Applications in Macroeconomic Forecasting

Author: Michael P. Clements

Publisher: Edward Elgar Publishing

Published: 2024-11-08

Total Pages: 491

ISBN-13: 1035310058

DOWNLOAD EBOOK

Bringing together the recent advances and innovative methods in macroeconomic forecasting, this erudite Handbook outlines how to forecast, including following world events such as the Covid-19 pandemic and the global financial crisis. With contributions from global experts, chapters explore the use of machine-learning techniques, the value of social media data, and climate change forecasting. This title contains one or more Open Access chapters.


Stress Testing and Risk Integration in Banks

Stress Testing and Risk Integration in Banks

Author: Tiziano Bellini

Publisher: Academic Press

Published: 2016-11-26

Total Pages: 318

ISBN-13: 0128036117

DOWNLOAD EBOOK

Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies. - Provides a rigorous statistical framework for modeling stress test in line with U.S. Federal Reserve FRB CCAR (Comprehensive Capital Analysis Review), U.K. PRA (Prudential Regulatory Authority), EBA (European Baning Authorithy) and comply with Basel Accord requirements - Follows an integrated bottom-up approach central in the most advanced risk modelling practice - Provides numerous sample codes in Matlab and R


Eurasian Economic Perspectives

Eurasian Economic Perspectives

Author: Mehmet Huseyin Bilgin

Publisher: Springer

Published: 2017-12-28

Total Pages: 525

ISBN-13: 3319679163

DOWNLOAD EBOOK

This volume presents selected papers on recent management research from the 20th Eurasia Business and Economics Society (EBES) Conference, which was held in Vienna in 2016. Its primary goal is to showcase advances in the fields of public economics, regional studies, economic development and inequality, and economic policy-making. Reflecting the contemporary political climate, many of the articles address the effectiveness, relevance and impact of European Union policies. In addition, the volume features empirical research from less-researched countries such as Kazakhstan, the Republic of Macedonia, Belarus, and Lithuania, among others.


A Research Agenda for Energy Politics

A Research Agenda for Energy Politics

Author: Jennifer I. Considine

Publisher: Edward Elgar Publishing

Published: 2023-01-20

Total Pages: 389

ISBN-13: 1789901766

DOWNLOAD EBOOK

Presenting cutting-edge research on the future of energy geopolitics, this visionary and provocative Research Agenda takes a hard look at the pressing issues faced by energy researchers in the new world (dis)order. This title contains one or more Open Access chapters.


International Trade in Forest Products

International Trade in Forest Products

Author: G. Cornelis van Kooten

Publisher: CABI

Published: 2020-12-07

Total Pages: 213

ISBN-13: 178924823X

DOWNLOAD EBOOK

Because of the long-standing Canada-U.S. lumber trade dispute and the current pressure on the world's forests as a renewable energy source, much attention has been directed toward the modelling of international trade in wood products. Two types of trade models are described in this book: one is rooted in economic theory and mathematical programming, and the other consists of two econometric/statistical models--a gravity model rooted in theory and an approach known as GVAR that relies on time series analyses. The purpose of the book is to provide the background theory behind models and facilitate readers in easily constructing their own models to analyse policy questions that they wish to address, whether in forestry or some other sector. Examples in the book are meant to illustrate how models can be used to say something about a variety of issues, including identification of the gains and losses to various players in the North American softwood lumber business, and the potential for redirecting sales of lumber to countries outside the United States. The discussion is expanded to include other products besides lumber, and used to examine, for example, the effects of log export restrictions by one nation on all other forestry jurisdictions, the impacts of climate policies as they relate to the global forest sector, and the impact of oil prices on forest product markets throughout the world. This book will appeal to practising economists and researchers who wish to examine various policies that affect international trade, whether their interest is local or international in scope. Because the book provides the theoretical bases underlying various models, students and practitioners will find this a valuable reference book or supplementary textbook.


Financial Linkages, Remittances, And Resource Dependence In East Asia

Financial Linkages, Remittances, And Resource Dependence In East Asia

Author: Takuji Kinkyo

Publisher: World Scientific

Published: 2016-01-06

Total Pages: 232

ISBN-13: 9814713414

DOWNLOAD EBOOK

The purpose of this book is to empirically analyse the multifaceted nature of financial linkages in East Asia and to discuss the key policy challenges faced by the region's economies. Although the emphasis is placed on East Asia, some of the chapters cover a broader area of countries depending on the aim of the study. Particular areas of focus in these studies include: the evolution of cross-border financial linkages in East Asia; long-run economic consequences of remittance inflows and natural resource dependence; and policy priorities for the financial integration and management of resource-rich economies.


After the Boom–Commodity Prices and Economic Growth in Latin America and the Caribbean

After the Boom–Commodity Prices and Economic Growth in Latin America and the Caribbean

Author: Bertrand Gruss

Publisher: International Monetary Fund

Published: 2014-08-14

Total Pages: 43

ISBN-13: 1498363512

DOWNLOAD EBOOK

After skyrocketing over the past decade, commodity prices have remained stable or eased somewhat since mid-2011—and most projections suggest they are not likely to resume the upward trend observed in the last decade. This paper analyzes what this turn in the commodity price cycle may imply for output growth in Latin America and the Caribbean. The analysis suggests that growth in the years ahead for the average commodity exporter in the region could be significantly lower than during the commodity boom, even if commodity prices were to remain stable at their current still-high levels. Slower-than-expected growth in China represents a key downside risk. The results caution against trying to offset the current economic slowdown with demand-side stimulus and underscore the need for ambitious structural reforms to secure strong growth over the medium term.