Topics in Econometrics and Macroeconomics

计量经济学和宏观经济学主题

• 批准号: 0001724
• 负责人: Kenneth West
• 金额: $ 19.9万
• 依托单位: University of Wisconsin-Madison
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2000
• 资助国家: 美国
• 起止时间: 2000-07-15 至 2004-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0001724&HistoricalAwards=false
• 关键词: Topics; Econometrics; Macroeconomics

The proposed research consists of two parts of roughly equal magnitude. The first part is a theoretical econometric project on instrumental variables, or GMM, estimation. The aim is to derive theoretical results on estimators that achieve, or approximately achieve, certain efficiency bounds. Simulations will be used to establish the finite sample performance of the estimators.The second project is an empirical macroeconomic study of interest rates and exchange rates in Asian countries affected by the recent financial crises. A model that includes a monetary policy rule in the form of an interest rate reaction function will be developed and estimated using the empirical techniques developed in the first part of this proposal. A key question is how policy-induced interest rate movements affect exchange rates, risk premia, and, more generally, the economy as a whole.

拟议中的研究由两部分组成，规模大致相当。 第一部分是关于工具变量（GMM）估计的理论计量经济学项目。 我们的目的是获得理论上的估计，达到或近似达到一定的效率界限。 第二个项目是对受最近金融危机影响的亚洲国家的利率和汇率进行实证宏观经济研究。 将使用本提案第一部分中开发的经验技术开发和估计包括利率反应函数形式的货币政策规则的模型。 一个关键问题是，政策引发的利率变动如何影响汇率、风险溢价，以及更普遍的整体经济。