Guay Lim

Bio: Guay Lim is an academic researcher from University of Melbourne. The author has contributed to research in topics: Monetary policy & Unemployment. The author has an hindex of 18, co-authored 134 publications receiving 2030 citations. Previous affiliations of Guay Lim include Massachusetts Institute of Technology & Melbourne Institute of Applied Economic and Social Research.

Principles of Econometrics

Abstract: Designed to arm finance professionals with an understanding of why econometrics is necessary, this book also provides them with a working knowledge of basic econometric tools. The fourth edition has been thoroughly updated to reflect the current state of economic and financial markets. New discussions are presented on Kennel Density Fitting and the analysis of treatment effects. A new summary of probability and statistics has been added. In addition, numerous new end-of-chapter questions and problems have been integrated throughout the chapters. This will help finance professionals apply basic econometric tools to modeling, estimation, inference, and forecasting through real world problems.

Bank Interest Rate Adjustments: Are They Asymmetric?

Abstract: This paper is concerned with the asymmetric adjustments between three Australian bank interest rates: a bank bill rate, a loan rate and a deposit rate. A multivariate asymmetric error-correction model is applied to capture the interplay of long-run relationships between the levels of the rates and short-run relationships between the changes in the rates. The empirical analysis, for the sample period 1990:01-2000:04, shows that interest rate adjustments, in response to positive and negative shocks, are assymetric in the short run, but not in the long run. In particular, the results suggests that bank adjust their loan and deposit rates, in response to a change in the bank-bill rate, at a faster rate during periods of monetary easings (negative changes) than during periods of monetary tightenings (positive changes).

Using EViews for Principles of Econometrics

Abstract: Chapter 1. Introduction to EViews. Chapter 2. The Si8mple Linear regression Model. Chapter 3. Interval Estimation and Hypothesis Testing. Chapter 4. Prediction, Goodness-of-Fit and Modeling Issues. Chapter 5. the Multiple Regression Model. Chapter 6. Further Inference in the Multiple Regression Model. Chapter 7. Nonlinear Relationships. Chapter 8. Heteroskedasticity. Chapter 9. Dynamic Models, Autocorrelation, and Forecasting. Chapter 10. Random Regressors and Moment Based Estimation. Chapter 1. Simultaneous Equations Models. Chapter 12. Nonstationary Time Series Data and Cointegration. Chapter 13. VEC and VAR Models: An Introduction to Macroeconometrics. Chapter 14. Time-Varying Volatility and ARCH Models: An Introduction to Financial Econometrics. Chapter 15. Panel Data Models. Chapter 16. Qualitative and Limited Dependent Variables. Chapter 17. Importing and Exporting Data. Appendix A. Review of Math Essentials. Appendix V. Statistical Distribution Functions. Appendix C. review of Statistical Inference. Index.

A Short Review of the Recent Literature on Uncertainty

Abstract: This article summarises the academic contributions presented and discussed during the 2016 edition of the Melbourne Institute Macroeconomic Policy Meetings, which focused on the role played by uncertainty for a number of countries’ business cycle. Considerations on the interaction between uncertainty and financial frictions, the global dimension of uncertainty, uncertainty shocks in times of unconventional monetary policy and the imperfect knowledge that agents have over policy targets are among the discussions entertained in this article. The main insights coming from those papers are connected with the extant literature and directions for future research are offered.

Asian Crises: Theory, Evidence, Warning-signals

Abstract: In July 1997, the economies of East Asia became embroiled in one of the worst financial crises of the postwar period. Yet, prior to the crisis, these economies were seen as models of economic growth experiencing sustained growth rates that exceeded those earlier thought unattainable. Why did the market not anticipate the crises? To this end, we review the Asian financial crisis from two related perspectives - whether the crisis was precipitated by a failure of the real exchange rate to be aligned with its fundamental determinants and/or whether the crisis was precipitated by a divergence of the foreign debt from its optimal path. The first perspective is based on a coherent theory of the equilibrium real exchange rate - the NATREX model - that shows how "misalignments" lead to currency crises. The second perspective is based on a model of optimal foreign debt ratio - derived from stochastic optimal control - which shows why "divergences" lead to debt crises. The important point here is that these models suggest important variables which may serve as warning signals to predict crises.

Forecasting, Structural Time Series Models and the Kalman Filter

Abstract: In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Economic growth and income inequality

Abstract: We investigate whether income inequality affects subsequent growth in a cross-country sample for 1965-90, using the models of Barro (1997), Bleaney and Nishiyama (2002) and Sachs and Warner (1997), with negative results. We then investigate the evolution of income inequality over the same period and its correlation with growth. The dominating feature is inequality convergence across countries. This convergence has been significantly faster amongst developed countries. Growth does not appear to influence the evolution of inequality over time. Outline

Understanding Instrumental Variables in Models with Essential Heterogeneity

Abstract: This paper examines the properties of instrumental variables (IV) applied to models with essential heterogeneity, that is, models where responses to interventions are heterogeneous and agents adopt treatments (participate in programs) with at least partial knowledge of their idiosyncratic response. We analyze two-outcome and multiple-outcome models including ordered and unordered choice models. We allow for transition-specific and general instruments. We generalize previous analyses by developing weights for treatment effects for general instruments. We develop a simple test for the presence of essential heterogeneity. We note the asymmetry of the model of essential heterogeneity: outcomes of choices are heterogeneous in a general way; choices are not. When both choices and outcomes are permitted to be symmetrically heterogeneous, the method of IV breaks down for estimating treatment parameters.