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Texas A&M University - Central Texas
FIN 403-110 Case Studies in Finance (Online) Fall 2010
August 30, 2010 December 17, 2010
16 Weeks
Required Text
Case Studies in Finance
Cases in Financial Management, 2nd Edition
by Joseph M. Sulock, John S. Dun
UNIVERSITETI I TIRANS
FAKULTETI I EKONOMIS
PROGRAMI MASTER
MASTER PROFESIONAL NE KONTABILITET DHE AUDITIM
LENDA: KONTABILITET FINANCIAR I AVANCUAR
TEMA: QERAJA FINANCIARE
Pedagog I Lendes
Punoi :
Tirane, mars 2014.
Abstrakt
Qeraja financiare sht nj kontra
these points, let the relevant relationships be: y = f (x;) (1) x = g(z; )
(2) where: y = (ultimate) goal variable x = intermediate target z = policy
instrument or operating target , = sets of exogenous variables The
above equations imply that: y = h(z;,)
and nonlinear cointegration. Journal of Money, Credit and Banking, 38,
2006, pp. 165967. Coenen, G., and Vega, J.L. The demand for M3 in
the Euro area. Journal of Applied Econometrics, 16, 2001, pp. 72748.
Cuthbertson, K. Modelling the demand for money. I
from the predictions of most estimated money demand models. In terms
of velocity, the velocity of M1 increased in the 1970s and decreased in
the 1980s in a manner not predicted by these models. Conclusions
Empirical findings generally confirm the homogene
In practice, problems in using cointegration analysis arise if the variables
in the relationship implied by the theory are of different orders of
integration. If y is I(2) and some of the xi, i = 1,2,.,n, are I(1) while
others are I(2), the successful11 a
inflation or a composite index of interest rates, etc., for the interest rate
variable. Still other attempts changed the form of the estimating equation
from linear to log-linear and semi-log-linear, or switched to non-linear
functions or tried ones with
demand function, the error-correction equation (31) would specify z by a
constant term and R, while x would be specified by the single variable y.
18 To conclude this section, given that the data on the money stock and
income and possibly on other variabl
covering the 1930s. M1 has performed better than broader monetary
aggregates during some periods and worse in others. Several recent
studies have supported the use of M1 over M2 and broader aggregates.
For the 1960s and 1970s, estimates based on a partia
Further, it is even more rare to find the estimated functions for both
narrow and wide definitions of money to be stable for a given country
over a given period. For the open economy, the existence of extensive
CS could cause the monetary authority to los
significant. This leads to instability of the estimated function unless the
financial innovation and its pace are properly captured by the data.
Unfortunately, the method that works best for capturing this in one study
for a given country and given period
techniques: (a) least squares estimation, with a first-order PAM; (b)
cointegration with an error-correction model. (v) Discuss your choice of
the functional form of the money demand function and your choice of
the variables and the econometric techniques
of the reason for the conflicting findings is the sensitivity of the
Johansen cointegrating procedures to the sample size and its poor finite
sample properties. But, from the perspective of economic theory, the
problem can also stem from numerous shifts i
years. If the innovations merely change the constant term or the
coefficients of the independent variables in the money demand function,
they can be relatively easy to capture in estimation through period
splitting or the use of dummy constant and interac
supply function or a reduced-form relationship between money demand
and money supply? 10. Specify the Taylor rule. Discuss its estimation by
cointegration and error-correction techniques, specifying and justifying
your choices of the dependent and explana
decrease in their holdings due to an increase in the return on foreign
bonds, has to be compensated by an increase in domestic money
balances in order to maintain the desired holdings of all media of
payments. This effect relies on the substitution betwee
formulation of monetary policy an art rather than a science and cautions
against attempts to use monetary policy as a precise control mechanism
for fine-tuning the goals of such policy. Another common problem
with most target variables is that they are en
instruments, which are variables that it can operate on directly. Among
the instruments available to the central bank are openmarket operations
and changes in its discount/bank rate at which it lends to commercial
banks and other bodies. These determine t
j0xit n j=1 q i=2 i,tjxj,ti (1,p)ECMt1 +t (35) where:
ECMt1 = yt1 n j=1 jxjt1 (36) (1, p) measures the speed of
adjustment. 298 The demand for money An illustration: a simple ARDL
model The simplest case of an ARDL model has only one explanatory
variable
appropriate relationship and discuss whether the cointegration and
errorcorrection estimates can shed any light on the question of whether
the deviations of output from its full-employment level are transitory
and self-correcting, as the modern classical
data time span.20 As against studies using M1 or M2 as the preferred
monetary aggregate for the Canada and USA, the European Central
Bank uses M3 as its preferred monetary aggregate. Coenen and Vega
(2001) use cointegration and error-correction analysis t
cointegration vector and its associated error-correction dynamic
adjustment equation, the EngleGranger method uses a two-stage
procedure. In the first stage, it estimates the cointegrating vector among
the I(1) variables for a given equilibrium relationsh
the data series for m, R and y are all I(1). Let their estimated
cointegrating vector be (1 a0 aR ay) in which the second, third
and fourth elements have the opposite sign to that of the respective
coefficient on the right-hand side of the equation. Let t
estimates are often used to determine the direction of Granger causality.
The criteria for judging one-way versus two-way Granger causality were
specified in Chapter 7. 9.10 An illustration: money demand elasticities in
a period of innovation Table 9.1 pr
195990 and 195993. For the earlier periods, there were mixed results
suggesting both cointegration and no cointegration, while there was no
cointegrating vector at all for 195993. The author concluded that there
were shifts in the data structure in the 19
interest rates depends on the money supply, which equals money
demand in equilibrium. Assuming these three variables to be all I(1),
such a simultaneous determination of economic variables implies the
possible existence of a maximum of two cointegrating v
true equilibrium economic relationship. From the perspective of
economic theory, this plausibility is judged by checking whether the
signs of the cointegrating vector are consistent with those implied by the
theory and whether the estimated magnitudes of
which one of the equilibrium relationships among the variables? That is,
a choice has to be made among the available cointegration vectors for
the particular economic relationship being sought. This choice is usually
made on the basis of the signs implied