Topics in Econometrics and Macroeconomics

这项拟议的研究由两个大致相等的部分组成。第一部分是关于工具变量或GMM估计的理论计量经济学项目。其目的是得到关于达到或近似达到一定效率界限的估计器的理论结果。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的宏观经济实证研究。将开发一个包括利率反应函数形式的货币政策规则的模型，并使用本提案第一部分开发的经验技术进行估计。一个关键问题是，政策引导的利率变动如何影响汇率、风险溢价，以及更广泛地说，影响整个经济。

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.