Index
Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling
ISBN: 978-1-80262-062-7, eISBN: 978-1-80262-061-0
ISSN: 0731-9053
Publication date: 18 January 2022
This content is currently only available as a PDF
Citation
(2022), "Index", Chudik, A., Hsiao, C. and Timmermann, A. (Ed.) Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling (Advances in Econometrics, Vol. 43A), Emerald Publishing Limited, Leeds, pp. 341-350. https://doi.org/10.1108/S0731-90532021000043A017
Publisher
:Emerald Publishing Limited
Copyright © 2022 Alexander Chudik, Cheng Hsiao and Allan Timmermann
INDEX
Index
Note: Page numbers followed by “n” indicate notes.
Adaptive Lasso
, 116–117
Advanced Central bank interventions
, 368–369
Aggregate
, 121
uncertainty
, 90
Agnostic shocks
, 330, 336–338
Agnostic structural disturbances (ASDs)
, 336
Agriculture
, 10
Alternative frequentist model averaging approaches
, 264
American Statistical Association (ASA)
, 101
Approximate Bayesian Computation approach
, 348n4
Approximate bias
, 185
Asymmetric Laplace densities (ALD)
, 114
Augmentation strategy
, 340
Autoregressive density (AR density)
, 123
Autoregressive distributed lag model (ARDL model)
, 391
Autoregressive processes
, 226
Average daily temperature (AVG)
, 10
Average forecast accuracy
, 144–148, 152–154
Average-type test
, 180
Bank of England
, 354
Bank of Japan
, 354
Bates-Granger approach
, 91
Bayes factor
, 332
Bayesian approach
, 94
Bayesian estimation
, 332
for VAR models
, 134–135
Bayesian framework
, 348n4
Bayesian Lasso
, 116
Bayesian MIDAS quantile regression
, 3
methodology
, 112
Bayesian model averaging (BMA)
, 261
Bayesian model fit
, 332
Bayesian quantile regression (BQR)
, 112, 114–115
Bayesian MIDAS quantile regression
, 113
density nowcasts
, 120
estimation
, 119
global-local shrinkage priors
, 117–119
likelihood and conditional posteriors
, 115
methods
, 3
MIDAS quantile regression
, 113–114
mixture normal prior
, 119
nowcasting Euro area GDP growth
, 122–129
parameter-specific shrinkage priors
, 116–117
real-time data
, 121–122
shrinkage priors
, 115–116
Bayesian VAR (BVAR)
, 3, 134, 139–140
Behavioral model weight statistic
, 265
Bias
, 228–230
conditional
, 239–248
Big data
, 112, 129
Block matrix
, 311–312
Blue Chip forecasts
, 103–104
Break points estimation
, 180
Business cycle synchronization
, 278
Caixa Economica Federal
, 1
Ceteris paribus
, 90
Chicago Merchantile Exchange (CME)
, 16
China
, 304
China Industrial Productivity (CIP)
, 315
Cholesky decomposition
, 284–285
Classic ANOVA method
, 98
Classic theory
, 388
Climate change
, 10
CMR model
, 333–334, 339
Cobb-Douglas panel production function
, 307
Combined estimator, structural breaks model and
, 181–184
Common factors
, 281–282
Conditional bias
, 226, 239–248
Conditional forecast(ing)
, 171, 228
bias and MSE
, 228–230
forecast error decomposition
, 230–231
simulation-based estimators
, 231–232
unknown break dates
, 232–233
Conditional MSE
, 235–239
Congressional Budget Office (CBO)
, 103
Constant parameters
, 227
Consumer Confidence Indicator (CONS)
, 121
Cornwell, Schmidt, and Sickles model (CSS model)
, 314
Country-specific QE effectiveness
, 373
Dollar factor
, 377–378
GVAR model
, 373–375
QE interventions contains real effects
, 378–380
spillover effects from country-specific long-term interest rate changes
, 375–377
world interest rate factor and loadings
, 375
COVID-19
, 354
announcements
, 354, 356–357
bond yield and exchange rate impacts
, 365–366
crisis
, 377
emerging market interventions
, 369–371
Fed interventions
, 367–368
financial market impact of COVID-19 QE announcements
, 364
other advanced Central bank interventions
, 368–369
pandemic
, 127–129, 387
QE
, 360
robustness
, 371–373
Cross-section dependence
, 391
CSS model with time-varying fixed effects (CSSW)
, 316
CSS model with time-varying random effects (CSSG)
, 316
Cumulative ranked probability score (CRPS)
, 123
Data generating process (DGP)
, 162–163, 205, 259
Debt-management
, 387
Debt–GDP
ratio
, 388–389, 396
threshold
, 388
Decomposition method
, 306
Dense data environments
, 116
Density forecasting
, 141–143 (see also Conditional forecast(ing))
Density forecasts
, 152. (see also Point forecasts)
average forecast accuracy
, 152–154
forecast accuracy for individual series
, 154
tests for equal predictive accuracy
, 154–156
Density nowcasts
, 120
Diagonal blocks
, 312
Dimension reduction techniques
, 134, 137
BVAR
, 139–140
factor augmented VAR
, 137
LASSO
, 139
partial least squares
, 137–138
random compression
, 138
random projection
, 138
random subset regression
, 139
Direct forecasts
, 140
Dirichlet-Laplace (DL)
, 116
Disaggregate
, 121
Disagreement
, 92–94
Discrepancy measures
, 320, 333
general and specific
, 333–334
system wide
, 334–338
Distributed lag functions
, 113–114
Distributional temperature variation
, 10
Diurnal asymmetry
, 11
Diurnal temperature range (DTR)
, 2, 10–11
Dollar factor
, 377–378
Downward DTR
, 12–13
Duration statistic
, 265
Dynamic stochastic general equilibrium models (DSGE models)
, 5, 286, 330–332
general and specific discrepancy measures
, 333
measure of fit
, 332
modifying straitjacket
, 340–342
moments matter
, 333–334
purpose of straitjacket
, 342–347
specific measures
, 334
Staitjacket fit for purpose
, 339–340
system wide discrepancy measures
, 334–338
Econometrics
, 1
analysis
, 2
GVAR
, 1–2
of heterogeneous dynamic panels
, 1
macro modeling and policy analysis
, 5–6
model instability and breaks
, 4
prediction
, 2–3
specifications
, 204
Economic Sentiment Indicator (ESI)
, 121
Elastic Net
, 117
prior distributions
, 117
Endogenous priors
, 334
Equal predictive accuracy, tests for
density forecasts
, 154–156
point forecasts
, 151–152
Equal Weights (EW)
, 123
Equilibrium-correction models
, 210
Error correction model (ECM)
, 391
Estimated posterior probability
, 258
European Central Bank (ECB)
, 1, 354, 360
European Commission (EC)
, 121
European sovereign debt crisis
, 278
European Union
, 279
Event set
, 363–364
Event study methodology
, 361–363
EViews code
, 20n3
Ex ante real rate
, 393
Ex post real rate
, 393
Exchange rate
, 5, 258
adjustment
, 281
characterizing exchange rate determination for five currencies
, 265
comparison with alternative frequentist model averages
, 269–271
determination
, 258
disconnect puzzle
, 258
exchange rate fundamentals and structural uncertainty
, 259
meta modeling
, 261–265
meta-NNT models
, 267–269
meta-NNT models forecasting performance
, 271–272
model averaging techniques
, 258–259
modeling structural uncertainty
, 261
PPP
, 260
Exponential-type test
, 180
Factor augmented VAR (FAVAR)
, 3, 134, 137
Factor-augmented classical quantile regressions
, 123
Factor-augmented quantile regressions
, 113
Financial crisis
, 148
Financial institutions
, 1
Financial market impact of COVID-19 QE announcements
, 364–373
Financial time series
, 180
Financial Times
, 2
Finite sample
application
, 248
conditional forecasting
, 228–233
constant parameters
, 227
forecast error decomposition
, 226–227
forecast properties
, 227
model
, 2229
parameter instability
, 227–228
properties
, 185–187
replication of Hansen and Johansen
, 248–250
sample extension
, 250–251
window length selection
, 233–248
First-order autoregressive model
, 4
Flash estimates of quarterly GDP growth
, 112
Forecast error
, 92
decomposition
, 226, 230–231
Forecaster heterogeneity
, 91–92
aggregate uncertainty
, 90
measures of forecast uncertainty and asymptotic properties
, 95–96
measures of historical uncertainty and tests for
, 95
Monte Carlo simulation
, 99–100
tests for forecaster homogeneity and asymptotic distribution
, 97–99
uncertainty and disagreement
, 92–94
underestimation of uncertainty in US GDP and inflation forecasts
, 100–105
Forecasters
, 3, 90
homogeneity and asymptotic distribution
, 97–99
Forecasting
approaches
, 136
after break with misspecified model
, 205–206
choice of instruments
, 170
conditional
, 228–233
density forecasting
, 141–143
dimension reduction techniques
, 137–140
exercise
, 143–144
expected gains from switching between forecasts
, 161–162
gains from switching between models
, 162–166
iterated and direct forecasts
, 140
models
, 3, 160
performance
, 160, 169
persistent regressors
, 167–168
sources of specification error
, 168–170
structural break
, 187
switching rule
, 160–161
time varying parameter forecasts
, 140–141
Forecasts
, 112, 204
combination
, 90
uncertainty and asymptotic properties
, 95–96
Foreign and International Monetary Authorities (FIMA)
, 382n2
FRED-MD database
, 3
Free capital mobility
, 279
Frequentist quantile regressions
, 114
Gaussian nowcast density using principal components (Gau PCA)
, 125
Gaussianity
, 123, 125
Generality
, 227
Generalized impulse responses functions (GIRFs)
, 294–296, 378
Gibbs sampler
, 119
Global financial crisis (2008)
, 125, 217, 278
Global Historical Climate Network database (GHCN)
, 11
Global interest rates
, 394
Global QE
, 354
Global value chain (GVC)
, 304
network
, 306
US–Sino Decoupling simulation in
, 322–324
Global vector autoregressive modeling (GVAR)
, 1–2, 281
Global-local shrinkage priors
, 117
DL Priors
, 117–118
HS Prior
, 118–119
modeling
, 358–359, 373–375
Government debt, deficits and interest rates
advanced economies
, 386
background
, 388–390
baseline model
, 395–396
data
, 392–395
dependent variable
, 399
empirical results
, 395
estimators
, 391–392
lagged debt
, 397–398
long-run effect of world interest rate
, 396–397
World real interest rates
, 387–388
Government deficits
, 386
Graccident
, 279
Great Recession
, 354
Grexit
, 279
Gross domestic product (GDP)
, 5, 279, 373, 386
GDP-at-Risk nowcasts
, 113, 125–127
Growth-at-risk estimates
, 112
Hausman-Wu statistic
, 317
Heterogeneity
, 305
Heterogeneous learning model
, 102
Heterogeneous technical progress in Solow residual
, 307–308
Heteroskedasticity
, 98
Heteroskedasticity and autocorrelation consistent (HAC)
, 11
Hicks-neutral technical change
, 306, 310–311
High–order VARs
, 330
Homogeneous productivity growth
, 305
Homoscedasticity
, 98
Horseshoe (HS)
, 116
Hypothesis testing
, 1
Idiosyncratic error variances
, 104
Impulse response function (IRF)
, 279, 283–284
Indicator saturation methods
, 213
Individual forecasts
, 3
Industrial Confidence Indicator (INDU)
, 121
Industrial production (IP)
, 121
Inflation puzzle
, 279
Information set as within-quarter data accrue
, 121–122
Inter-temporal budget constraint
, 389–390
Interest rates
, 278, 386–387
parity fundamentals
, 260
International Association of Applied Econometrics (IAAE)
, 2
International Monetary Fund
, 1
International spillovers
of economic growth
, 305
effects on productivity
, 306
International trade
, 304–305
flows
, 315
Iranian Economy
, 1
Ireland’s model
, 336–337
IS–LM model
, 331
Iterated forecasts
, 140
Joint probability distribution
, 10
Jorda–Schularick–Taylor macrohistory database (JST macrohistory database)
, 386, 391–392
Kalman filter
, 331, 339, 347
KLEMS database
, 315
ℓ2-norm-based loss function
, 279
LASSO
, 116–117, 139
estimator
, 134
shrinkage approaches
, 3
Law of one price
, 260
Learning-by-doing
, 315
Levene test
, 98
Likelihood
and conditional posteriors
, 115
function
, 314
Linear mixed-effects model
, 102
Linear Opinion Pool (LOP)
, 123
Location shifts
, 204
Logarithmic score (logS)
, 123
Long differencing
, 204
Low-order VARs
, 330
Macro modeling
, 5–6
Macro policy maker
, 90
Macroeconomic/macroeconomy
, 180, 278
aggregates
, 280
Marginal data density (MDD)
, 5, 330, 332
Markov chain Monte Carlo techniques (MCMC techniques)
, 102
Markov Switching models
, 331
Maximum temperature (MAX)
, 10
Mean group estimator (MG estimator)
, 391, 395
Mean square error (MSE)
, 181, 226, 228–230
conditional
, 235–239
Mean squared forecast errors (MSFE)
, 181, 206
Membership in monetary union
, 278
Meta modeling
, 5, 259, 261–262
alternative frequentist model averaging approaches
, 264
meta approach
, 263–264
meta-NNT model
, 265
model averaging
, 262
model weights
, 262
Meta-NNT models
, 265, 267–269
forecasting performance
, 271–272
Michigan Survey of Consumers
, 91, 185
MIDAS quantile regression
, 113–114
Minimum temperature (MIN)
, 10
Missing at random (MAR)
, 107n9
Misspecified functional form
, 168–169
Mixture normal prior
, 119
Model averaging
, 5, 258, 262
Model checking
, 330
Model confidence set (MCS)
, 264
Model instability
, 258
Model misspecification
, 135, 168
Model selection
, 1
Model uncertainty audit
, 94
Model weights
, 262
Modeling structural uncertainty
, 261
Monetary policy
, 278
empirical results
, 288
free capital mobility
, 279
French independent
, 293–294
generalized IRFs
, 294–296
impulse response functions
, 283–284
literature review
, 280–282
matching weights
, 289–291
methodology
, 282
New Keynesian theory
, 291
procedure
, 284–288
puzzle
, 291–292
synthetic control
, 282–283
Monte Carlo simulations
, 4, 99–100, 188–190
Monte Carlo study
, 91
Monthly indicators
, 121
Moran tests
, 325n8
Moran’s I test
, 317
Most recent best forecasts (MRB forecasts)
, 264
Multi-step forecasting
Bayesian estimation for VAR models
, 134–135
density forecasts
, 152–156
forecasting approaches
, 136–143
forecasting exercise
, 143–144
point forecasts
, 144–152
Multidimensional physical systems
, 10
Multiple imputations (MIs)
, 102
Multi–Sector model
, 348n5
Multivariate time series
, 180
N-dimensional VEC model
, 227
Naïve forecasting methods
, 4
Naive robust forecasts
, 206. (see also Robust forecasts)
random walk
, 206–207
robust predictor
, 207–209
Naive time–series models
, 204
National Bureau of Economic Research (NBER)
, 101
National debt
, 386
Neoclassical growth paradigm
, 305
Nested case
, 165–166
New Keynesian models
, 335, 347
New Keynesian theory
, 291
New York Federal Reserve model
, 330
Non-nested case
, 163–165
Non-parametric approach
, 287
Non-nested hypothesis–testing method (NNT method)
, 5, 259
Non-nested testing approach
, 263–264
Non-sovereign assets
, 362
Nonspatial model
, 310
Not elsewhere classified (NEC)
, 322
Nowcasting
, 113
Nowcasting Euro area GDP growth
, 122
covid-19 pandemic
, 127–129
evaluating nowcast densities
, 123–125
GDP-at-risk
, 125–127
Nowcasts
, 112
NY Fed DSGE model set
, 348n11
Office of Budget Responsibility (OBR)
, 204
Pair-wise comparisons of forecasts
, 162–163
Parameter instability
, 227–228
Parameter-specific shrinkage priors
, 116–117
Parametric method
, 287
Partial least squares (PLS)
, 3, 134, 137–138
Partial spatial Durbin model
, 325n4
Persistent regressors
, 167–168
Philadelphia airport (PHL)
, 11
distributions
, 11–12
evolving seasonality
, 15–16
fixed seasonality
, 13–14
sequential and joint regression results for Philadelphia
, 23–28
trend
, 12–13
Point forecasts
, 144. (see also Density forecasts)
average forecast accuracy
, 144–148
forecast accuracy for individual series
, 148–151
tests for equal predictive accuracy
, 151–152
Policy analysis
, 5–6
Policy response equation
, 297
Policy variable
, 392
Policymakers
, 278
Pooled mean group estimator (PMG estimator)
, 391
Posterior predictive tests
, 333
Pre-COVID-19
, 354
Price
, 5
puzzle
, 279–280
Principal components
, 3
Production functions, estimations of
, 316–319
Production model
, 5
Production technology
, 309
Productivity growth
of industries and spillovers
, 320–322
sector-level analysis of
, 306
Professional forecasters, survey of
, 101–104
Public debt
, 387–388
Purchasing power parity (PPP)
, 260
Puzzle
, 291–292
Quantile regressions
, 112–113. (see also Bayesian quantile regression (BQR))
Quantile-weighted probability score (QWPS)
, 123
Quantitative easing (QE)
, 6, 354
adoption in emerging markets
, 360–361
advanced economies
, 358–359
country-specific QE effectiveness
, 373–380
impact of country-specific QE interventions
, 354–355
COVID-19 QE Announcements
, 356–357
event set
, 363–364
event study methodology
, 361–363
financial market impact of COVID-19 QE announcements
, 364–373
global QE under COVID-19
, 355
Quasi-maximum likelihood estimation method (QMLE method)
, 314
Random compression
, 3, 138
Random number generator (RNG)
, 252n11
Random projection
, 3, 138
Random subset regressions
, 3, 139
Random subspace methods
, 136
Random walk
, 206–207
produce good out-of-sample forecasts
, 4
smooth
, 210–211
Real Time Data Set for Macroeconomists (RTDSM)
, 101
Real-time data
, 121–122
Recursively weights (RW)
, 123
Regime uncertainty
, 258
Reinterpreting robust forecasts
, 209–210
Riksbank of Sweden
, 354
Risk
, 185
Robust forecasts
reinterpreting
, 209–210
smooth
, 210–213
Robust optimal weighting
, 141
Robust predictor
, 207–209
smooth
, 211–213
Robustness
, 371–373
Root mean square forecast errors (RMSFE)
, 218
Root mean squared error (RMSE)
, 95, 123
Root trace square error (RTSE)
, 249
Schmidt and Sickles model (SS model)
, 314
Seasonality
, 19
evolving
, 15–16
fixed
, 13–14
Sector-level analysis of productivity growth
, 306
Semi-parametric approach
, 287
Semiparametric factor model
, 325n8
Sequential modeling approach
, 17
Sequential regression results for Philadelphia
, 23–28
Sequential tests
, 180
Shannon entropy statistic
, 274n10
Shrinkage priors
, 115–116
global-local shrinkage priors
, 117–119
parameter-specific shrinkage priors
, 116–117
Simulation
design
, 233–235
simulation-based estimators
, 231–232
Single-equation time-varying parameter models
, 258
Skew-t density
, 120
Smets and Wouters model (SW model)
, 340
Smooth random walk
, 210–211
Smooth robust multi-horizon forecasts
additional simulation results
, 222
empirical examples
, 217
forecasting after break with misspecified model
, 205–206
historical data vintages of UK Productivity
, 223
naive robust forecasts
, 206–209
reinterpreting robust forecasts
, 209–210
robustify forecasts
, 204
simulation evidence
, 213–217
smooth random walk
, 210–211
smooth robust forecasts
, 210
smooth robust predictor
, 211–213
UK Productivity
, 217–219
US 10-year Treasury yields
, 217–219
Social insurance programs
, 386
Solow residual, heterogeneous technical progress in
, 307–308
Solow-type
production model
, 325n1
residual productivity
, 314
Sovereign debt
, 390
crisis
, 280
Sparse data
environments
, 116
sparse data-generating-process
, 113
Spatial Durbin model (SDM)
, 306
Spatial econometric techniques
, 305
Spatial interdependence
, 308–309
Specification error
, 168
misspecified functional form
, 168–169
time-varying parameters
, 169–170
Spillovers
effects from country-specific long-term interest rate changes
, 375–377
productivity growth of industries and
, 320–322
of technology through factor input and technical change
, 309–311
Stochastic frontier analysis (SFA)
, 314
Stochastic Search Variable Selection (SSVS)
, 116, 119
Structural breaks
, 180, 204
empirical analysis
, 190–194
estimation of regression parameters
, 180–181
finite sample properties
, 185–187
model and combined estimator
, 181–184
Monte Carlo simulation
, 188–190
of vector error correction
, 226
Structural model
, 333
Structural uncertainty
, 259–261
Structural VAR (SVAR)
, 279
Supremum-type test
, 180
Survey of Professional Forecasters (SPF)
, 91, 204, 217
Swiss National Bank
, 354
Switching
gains from switching between models
, 162
nested case
, 165–166
non-nested case
, 163–165
pair-wise comparisons of forecasts
, 162–163
rule
, 160–161
strategy
, 3
Synthetic control
, 282–283
System priors
, 335
System wide discrepancy measures
, 334
targeting component parts of system
, 334–335
targeting VAR covariance matrix
, 336–338
targeting VAR dynamics
, 335–336
Targeted discrepancy measures
, 330
Targeting VAR
covariance matrix
, 336–338
dynamics
, 335–336
Taylor rule
, 260
models
, 267
regime
, 281
Technology spillovers
, 305, 308–309
through factor input and technical change
, 309–311
Temperature
dynamics
, 16
extremes
, 10
variability
, 10
Theory of war finance
, 390
Time-varying parameters (TVP)
, 169–170, 341
forecasts
, 140–141
Trade
, 304–305
Two-block VAR model
, 285
U-MIDAS BQR application
, 115
UBS
, 1
UK Productivity forecasts
, 217–219
historical data vintages of
, 223
Uncertainty
, 92–94
survey of professional forecasters
, 101–104
underestimation in US GDP and inflation forecasts
, 100
Uncovered interest parity (UIP)
, 258, 358
Uniform policy making
, 90
Unknown break dates
, 232–233
Unrestricted mixed data sampling (U-MIDAS)
, 113
US 10-year Treasury yields
, 217–219
US Federal Reserve
, 354, 381
US Federal Reserve Bank
, 6
US monetary policy
, 279
US temperature dynamics, evolution of
15 Cities
, 16
historically traded cities
, 16–17
joint regression results for fifteen cities
, 29–88
Philadelphia
, 11–16
seasonality
, 19
sequential and joint regression results for Philadelphia
, 23–28
serial correlation
, 19
trend
, 17–19
US Unconventional Monetary Policy Spillovers
, 373–380
US–Sino decoupling analysis
, 307
data
, 315–316
direct and indirect effect of input factors
, 319–320
empirical results
, 316
estimation
, 314–315
estimations of production functions
, 316–319
GVC
, 306–307
heterogeneous technical progress in Solow residual
, 307–308
intermediate product share in gross export between United States and China
, 305
model
, 307
productivity growth of industries and spillovers
, 320–322
sector-level analysis of productivity growth
, 306
simulation in global value chain
, 322–324
spatial interdependence and technology spillovers
, 308–309
spillovers of technology through factor input and technical change
, 309–311
spillovers within country and across border
, 311–314
US–Sino trade
, 304
Variable-lag space FAVAR model
, 152
VECM model
, 332
Vector autoregressions (VARs)
, 3, 134, 330–331, 336
Vector error correction (VEC)
, 226
Volatility
, 10
War debt
, 390
Wilson-Hilferty cube root transformation
, 99
Window length selection
, 233
conditional bias
, 239–248
conditional MSE
, 235–239
results
, 235
simulation design
, 233–235
World Input–Output tables
, 306
World interest rate
, 386–387, 394
WORLD KLEMS database
, 315
Yield curve
, 249
- Prelims
- Introduction
- Part A1: Prediction
- Chapter 1: On the Evolution of US Temperature Dynamics
- Chapter 2: Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity
- Chapter 3: Nowcasting Euro Area GDP Growth Using Bayesian Quantile Regression
- Chapter 4: Multi-step Forecasting with Large Vector Autoregressions
- Chapter 5: Gains from Switching Between Forecasts
- Part A2: Model Instability and Breaks
- Chapter 6: Efficient Combined Estimation under Structural Breaks
- Chapter 7: Smooth Robust Multi-Horizon Forecasts
- Chapter 8: Finite Sample Forecast Properties and Window Length Under Breaks in Cointegrated Systems
- Part A3: Macro Modeling and Policy Analysis
- Chapter 9: A Meta Model Analysis of Exchange Rate Determination
- Chapter 10: Dancing Alone or Together: The Dynamic Effects of Independent and Common Monetary Policies
- Chapter 11: Measuring Productivity Growth and Technology Spillovers Through Global Value Chains: Analysis of a US–Sino Decoupling
- Chapter 12: Checking if the Straitjacket Fits
- Chapter 13: An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies
- Chapter 14: Government Debt, Deficits and Interest Rates 1870–2016
- Index