Understanding the macrofinance dataflow

了解宏观金融数据流

• 批准号: 1930500
• 金额: --
• 依托单位: London School of Economics and Political Science
• 依托单位国家: 英国
• 项目类别: Studentship
• 财政年份: 2017
• 资助国家: 英国
• 起止时间: 2017 至 无数据
• 项目状态: 已结题
• 来源: https://gtr.ukri.org/projects?ref=studentship-1930500
• 关键词: Understanding; macrofinance; dataflow

Since the beginning of the twentieth century, the global economic environment has become increasingly interconnected with financial markets. The markets for listed equities and public debt were the main initial drivers of this transition. More recently, the proliferation of derivative products linked to equities and bonds, as well as mortgage-backed securities and credit derivatives, has further increased financial markets' sensitivity to changing macroeconomic conditions and multiplied the speed with which information is transmitted between financial markets and the real economy. Today, all of the traditional macroeconomic variables as well as relatively new indexes and surveys are closely followed by market participants as they are seen to have a significant influence on financial markets. However, finding empirical relationships among financial and macroeconomic variables remains difficult, as these data have complex dynamics

自二十世纪开始以来，全球经济环境与金融市场的联系日益紧密。上市股票和公共债务市场是这一转变的主要初始驱动力。最近，与股票和债券挂钩的衍生产品以及抵押贷款支持证券和信贷衍生产品的激增，进一步提高了金融市场对宏观经济状况变化的敏感性，并使金融市场与真实的经济之间的信息传递速度成倍增加。今天，所有传统的宏观经济变量以及相对较新的指数和调查都受到市场参与者的密切关注，因为它们被认为对金融市场有重大影响。然而，由于金融和宏观经济变量具有复杂的动态性，

项目成果

Selecting time-series hyperparameters with the artificial jackknife

使用人工折刀选择时间序列超参数

• DOI: 10.48550/arxiv.2002.04697
• 发表时间: 2020
• 期刊: arXiv e-prints
• 作者: Pellegrino Filippo