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.

Forecasting, Structural Time Series Models and the Kalman Filter

Econometric policy evaluation: A critique

Internal migration in developed countries

This report explores the link between financial conditions and economic activity. We first review existing measures, including both single indicators and composite financial conditions indexes (FCIs). We then build a new FCI that features three key innovations. First, besides interest rates and asset prices, it includes a broad range of quantitative and survey-based indicators. Second, our use of unbalanced panel estimation techniques results in a longer time series (back to 1970) than available for other indexes. Third, we control for past GDP growth and inflation and thus focus on the predictive power of financial conditions for future economic activity. During most of the past two decades for which comparisons are possible, including the last five years, our FCI shows a tighter link with future economic activity than existing indexes, although some of this undoubtedly reflects the fact that we selected the variables partly based on our observation of the recent financial crisis. As of the end of 2009, our FCI showed financial conditions at somewhat worse-than-normal levels. The main reason is that various quantitative credit measures (especially issuance of asset backed securities) remained unusually weak for an economy that had resumed expanding. Thus, our analysis is consistent with an ongoing modest drag from financial conditions on economic growth in 2010.

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Financial Conditions Indexes: A Fresh Look after the Financial Crisis

Volume 1A: Introduction: Population and family economics (M.R. Rosenzweig, O. Stark). The Family. A survey of theories of the family (T.C. Bergstrom). The formation and dissolution of families: Why marry? Who marries whom? and what happens upon divorce (Y. Weiss). Intrahousehold distribution and the family (J.R. Behrman). Intergenerational and interhousehold economic links (J. Laitner). Fertility. The cost of children and the use of demographic variables in consumer demand (B.M.S. van Praag, M.F. Warnaar). The economics of fertility in developed countries (V.J. Hotz, J.A. Klerman and R.J. Willis). Demand for children in low income countries (T.P. Schultz). Mortality and Health. New findings on secular trends in nutrition and mortality: Some implications for population theory (R.W. Fogel). Determinants and consequences of the mortality and health of infants and children (K.I. Wolpin). Mortality and morbidity among adults and the elderly (R. Sickles, P. Taubman). Complete Index. Volume 1B: Migration. Internal migration in developed countries (M.J. Greenwood). Internal migration in developing countries (R.E.B. Lucas). Economic impact of international migration and the economic performance of migrants (R.J. LaLonde, R.H. Topel). International migration and international trade (A. Razin, E. Sadka). Aging, Demographic Composition and the Economy. The economics of individual aging (M.D. Hurd). The economics of population aging (D.N. Weil). Demographic variables and income inequality (D. Lam). Aggregrate Population Change and Economic Growth. Population dynamics: Equilibrium, disequilibrium, and consequences of fluctuations (R.D. Lee). Growth models with endogenous population: A general framework (M. Nerlove, L.K. Raut). Long-term consequences of population growth: Technological change, natural resources, and the environment (J.A. Robinson, T.N. Srinivasan). Complete Index.

Handbook of population and family economics

https://www.diw.de/documents/publikationen/73/diw_01.c.88566.de/dp814.pdf

Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view

In the last thirty years, there has been a widespread move towards financial liberalisation, both within and across national borders. This economic development brought researchers to investigate the link between asset prices, inflation and the conduct of monetary policy. Stating from the seminal work of Alchian and Klein (1973) it is often argued that the forward-looking nature of asset prices makes them good proxies for the information left out of conventional inflation measures. It is also widely accepted that asset price inflation developments are closely associated with general inflation trends. This paper investigates the role of asset prices in the conduct of monetary policy in United States, Canada and the Euro Area. It has two focal points. First, we construct Financial Condition Indexes for four countries using the Kalman Filter algorithm. This methodology allows us to capture the changes of the weights associated with each financial variable in explaining the output gap over time. Second, we proceed by estimating forward-looking Taylor rules augmented for FCI. Our results suggest that the Financial Condition Index enter positively and statistically significant into the FED, ECB and Bank of Canada interest rate settings. This gives a positive view for the use of the FCI as an important short term indicator to guide the conduct of monetary policy in three out of four countries analyzed.

/pdf/financial-condition-index-and-interest-rate-settings-a-12x5h40kd0.pdf

Financial Condition Index and interest rate settings: a comparative analysis

Dow S, Montagnoli A and Napolitano O Interest rates and convergence across Italian regions, Regional Studies The purpose of this paper is to investigate the evidence for economic convergence across Italian regions using trends in interest rate spreads and premia as indicators of regional credit conditions The results indicate the presence of persistent interest rate differentials, and thus an absence of convergence across the twenty political regions, but a high degree of convergence is observed within the four macroeconomic areas Dow S, Montagnoli A and Napolitano O 意大利区域的利息率与收敛，区域研究。使用利率差以及风险溢价作为区域信用状况的指标，本文考察了意大利区域经济收敛相关的证据。结果表明存在着持续的利率差，也因此在20个政区之间没有出现经济收敛，但在四个宏观经济区之间发现了了较高程度的经济收敛。 利率 单根 面板数据 收敛 意大利 Dow S, Montagnoli A et Napolitano O Les taux d'interet et la convergence a travers les regions italiennes, Regional Studies A partir des tendances des marges d'interet sur les credits et des primes sur les taux d'interet comme indicateurs des conditions de credit regionales, cet article cherch

/pdf/interest-rates-and-convergence-across-italian-regions-4j52alv267.pdf

Interest rates and convergence across Italian regions

This paper investigates the economic and non-economic determinants of interregional migration for unskilled and skilled migrants in Italy for the period 1985–2006. In addition to the traditional variables of the Harris and Todaro model, we consider the impact of house prices, carbon dioxide emission and crime. Using a dynamic two-step panel generalized method of moments, the traditional model omits some important variables and may not be representative of migration flow. Our analysis confirms that for different periods we have to take into account different determinants. Moreover, the externalities are significant, indicating the importance of including broader quality of life as explanatory variables.

Determinants of interregional migration flows: the role of environmental factors in the italian case*

The purpose of this paper is to analyse the long-term nature of the interrelationship between interest rate and exchange rate.,By employing Mexican data, the authors estimate a non-linear autoregressive distributed lags (NARDL) model to investigate the nature of the changes and the interaction between interest rate and exchange rate in response to monetary authorities’ actions.,The results show that, contrary to simplistic predictions, the real exchange rate causes the real interest rate in an asymmetric way. The bounds testing approach of the NARDL models suggests the presence of co-integration among the variables and the exchange rate variations appear to have significant long-run effects on the interest rate. Most importantly, these effects are asymmetric and positive variations in the exchange rate have a lower impact on the interest rate. It is also interesting to report that the reverse is not true: the interest rate in the long-run exerts no statistical significant impact on the exchange rate.,The asymmetric long-term relationship between real exchange rate and real interest rate is evidence of why monetary authorities are reluctant to free float exchange rate. In Mexico, as in most developing countries, monetary policy strongly responds to exchange rate movements because these have relevant effects on commercial trade. Moreover, in dollarized economies these effects are stronger because of pass-through impacts to inflation, income distribution and balance-sheet equilibrium (the well-known “original sin”).,Under inflation targeting and flexible exchange rate regime, despite central banks pursue the control of short-term interest rate, in the long-run one could observe that it is the exchange rate that influences the interest rate, and that this reverse causality is stronger in emerging economies. This paper contributes by analysing the asymmetric relationship between the variables.

Oreste Napolitano

Papers

Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view

Financial Condition Index and interest rate settings: a comparative analysis

Interest rates and convergence across Italian regions

Determinants of interregional migration flows: the role of environmental factors in the italian case*

The long-run interrelationship between exchange rate and interest rate: the case of Mexico