Questions tagged [macro-economics]
The macro-economics tag has no usage guidance.
55
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Does banks' profitability really suffer under low interest rates
It is always said that European banks suffer, amongst other things, from the low interest rate environment governing the Eurozone. And that in a rising interest rate environment, banks' profitability ...
9
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2
answers
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How do I replicate John Hussman's recession forecasting methodology?
John Hussman has a recession forecasting methodology he often posts about on his blog, and I am trying to replicate it using publicly available data. I would like to assess his accuracy in predicting ...
7
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4
answers
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What are the canonical global-macro investing books?
What is a good reading list for Global Macro investing? What does Bridgewater, Bervan Howard, Soros, AQR etc. use to teach their staff about macroeconomic investing?
Let us assume a top-class ...
6
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1
answer
177
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Relating Quantitative Easing to the rally in the SPX
The Fed's balance sheet has been expanding over the last few month due to QE3. When the Fed goes out to buy treasuries or MBS, it's taking those securities out of the market and exchanging them with ...
5
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3
answers
756
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What are the most effective market variables to measure liquidity/illiquidity in the market?
I'm trying to find/create a variable that measures liquidity in financial markets in order to assess, for instance whether credit conditions tightened? Does anyone know any relevant literature ...
5
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1
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what's the difference between Peak-Load pricing and price discrimination?
i just don't get it.
Peak-load pricing wiki page gives example:
in public goods such as public urban transportation, where day demand
(peak period) is usually much higher than night demand (off-...
5
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1
answer
843
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What is the use of the Euler equation in the Ramsey growth model?
I apologise for being brief, but I don't understand how is Euler equation used in the Ramsey growth model. I am reading a textbook "Dynamic General Equilibrium Modeling" and there is mentioned about ...
5
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1
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381
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Will price levels fall even though money supply increases?
Given this equation, according to the article at this location , which provides the following equation as an argument, the author claims that he predicts "deflation" in the last paragraph of the ...
4
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1
answer
714
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Inflation effect on FX rates
With UK's inflation surging to 3.2% as per the published figures today reported by the FT, it is interesting to ponder the effect of rising inflation on FX rates.
The article linked above points out ...
4
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1
answer
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Difference between 5Y breakeven inflation and 5Y5Y inflation forward?
I cannot figure out the difference between the two data series found here:
https://fred.stlouisfed.org/series/T5YIE/
https://fred.stlouisfed.org/series/T5YIFR/
The 5Y breakeven inflation, to my ...
4
votes
1
answer
282
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Fixed Income free research available online
As from the title, I would like to know where it is possible to find free research focused on fixed income markets' themes and topics, such as interest rates, credit risk related fundamentals, new ...
4
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1
answer
135
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Measurable effects of quantitative easing on corporate financing cost
I have read about Quantitative Easing (QE) and its attempt to bring back inflation. In this, central banks create money, then give it to other banks that buy government bonds, corporate bonds, and ...
3
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3
answers
295
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Getting sets of random correlated variables
For the training of a machine learning model I need to add additional features (macro variables), and these features are correlated. I need to run the model N times, and for each time I have to add ...
3
votes
3
answers
172
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Is there a dollar index against emerging market currencies
Is there a dollar index against emerging market currencies?
The conventional dollar index (ticker DXY) is just an index against a few developed market currencies (the DXY is a weighted geometric mean ...
3
votes
5
answers
249
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economic facts that causes the financial time series to be heavy tailed
When reading a tutorail on extreme value theory, I once meet the following claim
...
3
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1
answer
210
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How can Commercial Paper Spreads be Negative?
Looking at the spread between 3 month commercial paper and the 3 month bill (using say, Fred), how/why (economically speaking) can this spread be negative? Are there some mechanics in the commercial ...
2
votes
1
answer
176
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How does trade deficit affect the economy of a country
How does trade deficit for a prolonged period(say 10-15 years) affect a country's economy? I have read that it should affect it adversely, but the US trade deficit has been negative since the mid 1960'...
2
votes
1
answer
500
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Understand the white noise condition in Vector Autoregression
In the following vector autoregression model with lag polynomial representation:
$$\Phi (L) y_t= \epsilon_t$$
where $Y$ is the vector of endogenous variables, $\Phi$ is the parameters matrix, $\...
2
votes
1
answer
117
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Asset class dynamics differences
If we compare daily return dynamics of the main asset class time series (e.g. Stock indexes, bonds, precious commodities, etc) do we observe quantifiable differences? Are there some reference paper on ...
2
votes
2
answers
187
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Trading with Inflation, Unemployment, Trade Deficit Information
I am trying to create a model for inflation for trading purposes. In his book The Market: Practice and Policy S. Nickell presents a model that relates unemployment, inflation and trade deficit. His ...
2
votes
1
answer
211
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Economic indicators leading the yield curve
There is a lot of research on how the government yield curve can be used to predict the economy. The government yield curve is often seen as a leading indicator. But for which variables is the curve a ...
2
votes
1
answer
209
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How to reconstruct a discontinued economic time series such as the Fed's CP rate?
The old 3-Month Commercial Paper Rate (CP3M) on FRED was discontinued in 1997. I would like to reconstruct this series in a reasonable fashion, so I can use it to analyze more recent events.
I was ...
1
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2
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88
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Can the money market break in a crisis situation?
I am researching the question, what happens during a crisis situation to the money market. Can it break?
In 2007-08 there is evidence that liquity hoarding from banks became a rather common problem. ...
1
vote
1
answer
160
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Stochastic (volatility) models with the elements of fundamental analysis - are there such models and why not?
I read about stochastic volatility models (e.g. https://en.wikipedia.org/wiki/Stochastic_volatility) and those models are quite simple, but the most important feature is that parameters are quite ...
1
vote
1
answer
57
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A citizen's life as an investment project (from the State's PoV)
An average citizen's life can be seen as an investment project: the State starts investing into prenatal care, the child's education etc., a young man starts making money and paying taxes (breaks even ...
1
vote
1
answer
68
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Stressing the going up of LIBOR - Which balance sheet variables to stress?
Analysts expect the LIBOR to rise in the next two years. Hence, all companies that have foreign currency loans will face problems. I am preparing a study on this topic, but data is an extreme issue.
...
1
vote
1
answer
681
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Looking for a definition of financial entropy
In Science, Entropy is generally considered to be the irreversibility of stuff.
Google defines entropy as:
lack of order or predictability; gradual decline into disorder
The 'gradual decline in ...
1
vote
1
answer
120
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What is the gross accounting relation of Cobb-Douglas function?
We have Cobb-Douglas function like this $Y=AK^\alpha L^{1-\alpha}$, in one of the book, it deduce like this:
How can we get this formula?
$$\frac{\Delta Y}Y = \frac{\Delta A}A+\alpha\frac{\Delta K}K+(...
1
vote
1
answer
55
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Demand Function
I have seen the following demand function
$q=a-p+c\bar{p}$
where $p$ is the price, $\bar{p}$ is the so called "average price". The values $a=1-c$ are competition parameters.
I have basically two ...
1
vote
0
answers
56
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Measuring corporate size relative to world GDP
I'm working o a model where corporate revenue / world GDP is a dependent variable of some stuff (based on the model proposed in this paper: http://www.scielo.br/scielo.php?pid=S1807-76922009000200002&...
1
vote
0
answers
198
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Fixed Income Trading Intuition
Is there any literature discussing the economics of trading fixed income securities? I was asked in an interview the other day how I would trade/construct a bond portfolio if a) the fed raised rates ...
1
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0
answers
41
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Are COFER unallocated resource changes meaningful?
I've been looking at the currency reserves (COFER) data on the IMF site:
http://data.imf.org/?sk=E6A5F467-C14B-4AA8-9F6D-5A09EC4E62A4&ss=1408202647052
What caught my eye was the 5% drop in ...
1
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0
answers
31
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Sample data of quarterly (annualized) real GDP growth
I am looking for a database that provides me the quarterly (annualized) real GDP growth (quarter t and t-1) of US, Germany and England.
For the US data i went here:
https://www.philadelphiafed.org/...
0
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1
answer
219
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Wilshire 5000/GDP Ratio dividing indexed values and not actual values?
I’ve been playing around with the FRED datasets: Wilshire 5000 Total Market Full Cap, and nominal US GDP.
I found that the Wilshire 5000/GDP index (https://fred.stlouisfed.org/graph/?g=qLC) is the ...
0
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1
answer
118
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Can you actually earn the carry return in FX? [closed]
I know that carry is an important factor to value currency. However, it is not obvious to me how you can actually earn the carry return, and if as a pure currency investor, should not you be ...
0
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1
answer
270
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What is the difference between a non-convertible and a non-deliverable currency?
it seems non convertible (eg CNY) or partially convertible (eg BRL) may be due to capital controls or a currency only used domestically. I was then wondering what is the difference between a non-...
0
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2
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119
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What kind of indicators would you look in the market preceding a recession/crisis?
What kind of indicators may have predicted the upcoming financial crisis in the 2000 or 2008?
0
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1
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Central bank of china foreign currency reserves
https://www.bloomberg.com/news/articles/2021-05-31/china-moves-to-cool-yuan-rally-by-raising-fx-reserve-requirement?cmpid=BBD053121_NEF&utm_medium=email&utm_source=newsletter&utm_term=...
0
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1
answer
289
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Understanding Look Back Period
When people say look back period of 6 months, how does that data look like? Are that 6 months of raw data or a weighted average of that data? I am a little confused on how you come up with beta values ...
0
votes
1
answer
66
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Non convertible currencies and trade
How importers and exporters sell/buys products if their country currency is non convertible or when non residents want to invest in the country? For example in Brazil.
0
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1
answer
85
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Estimating monthly GDP growth based on quarterly data
Apologies for this newbie question. Given the following quarterly GDP growth:
...
0
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1
answer
43
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basic econometric model on country spread methodology
I am doing some research on Germany, France and Spain on their spread.
I would like to try to 'forecast' or 'explain' the the spread on sovreign debt using OLS regression on unemployment and debt ...
0
votes
1
answer
124
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Liquidity and Prices
Do fewer transaction costs and higher liquidity relate to lower market prices? Are there any good resources that deal with these topics in more detail?
0
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0
answers
42
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Macro-economic model to predict Copper Prices
I'm currently developing a model based on the current macroeconomic scenario in the world to predict the price of copper 1, 2 and 3 months ahead. That's my idea and I'd like to know what are your ...
0
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0
answers
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Defining the terms "old interest" and "new interest" (across a variety of disciplines)
This is a bit of a vocabulary / concept tackle (these two, tackling each other).
My question is about this.
How would a financial analyst define and extrapolate and make the reader (or, user) envision,...
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0
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How does truncating data deal with long right tails of data? Why is a long right tail bad?
For reference, my coworker graphed the unemployment rate with an HP Filter on. He told me he truncated the data to 95% to deal with this issue but I'm not 100% sure what this means and why its ...
0
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0
answers
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metric for measuring "the expectation of the tightness of monetary policy"
I am looking for a metric for measuring "the expectation of the tightness of monetary policy." I know this is a super vague concept.
My ideal metric is something I can do a "spot price /...
0
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0
answers
24
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Global Country Index for Insurance
I am trying to create a global country index for insurance. So this would be insurance by country. Anybody who is an expert in econometrics can give me some guidance on how to do this? How would I go ...
0
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2
answers
144
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How does FED quantify inflation expectation?
As I understand the FED considers the employment and inflation expectation when defining the monetary policy. I wonder what is the quantitative indicator or traded instrument FED uses to derive this ...
0
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0
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Why we need to control for import and exchange rate change when examining asset growth?
Dasgupta , 2019 examines the impact of antitrust laws on asset growth, total net external financing, debt-to-equity ratio. In his regression, I saw that he controls for imports as a percentage of GDP, ...