Questions tagged [macro-economics]

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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 ...
MinaThuma's user avatar
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9 votes
2 answers
1k views

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 ...
Zach's user avatar
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7 votes
4 answers
6k views

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 ...
Stuart Allan's user avatar
6 votes
1 answer
177 views

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 ...
jessica's user avatar
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5 votes
3 answers
756 views

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 ...
goncalogc's user avatar
5 votes
1 answer
3k views

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-...
athos's user avatar
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5 votes
1 answer
843 views

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 ...
Michael's user avatar
  • 181
5 votes
1 answer
381 views

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 ...
djangofan's user avatar
  • 153
4 votes
1 answer
714 views

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 ...
Jan Stuller's user avatar
  • 6,118
4 votes
1 answer
5k views

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 ...
user3138766's user avatar
4 votes
1 answer
282 views

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 ...
Lisa Ann's user avatar
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4 votes
1 answer
135 views

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 ...
Marie. P.'s user avatar
  • 519
3 votes
3 answers
295 views

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 ...
ps0604's user avatar
  • 50
3 votes
3 answers
172 views

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 ...
Matt Frank's user avatar
3 votes
5 answers
249 views

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 ...
user297850's user avatar
3 votes
1 answer
210 views

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 ...
rubikscube09's user avatar
2 votes
1 answer
176 views

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'...
qstack's user avatar
  • 123
2 votes
1 answer
500 views

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, $\...
Nord1's user avatar
  • 53
2 votes
1 answer
117 views

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 ...
toyo10's user avatar
  • 23
2 votes
2 answers
187 views

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 ...
BBSysDyn's user avatar
  • 301
2 votes
1 answer
211 views

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 ...
user7015's user avatar
2 votes
1 answer
209 views

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 ...
Zach's user avatar
  • 1,381
1 vote
2 answers
88 views

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. ...
Carol.Kar's user avatar
  • 482
1 vote
1 answer
160 views

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 ...
TomR's user avatar
  • 193
1 vote
1 answer
57 views

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 ...
einy's user avatar
  • 11
1 vote
1 answer
68 views

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. ...
Carol.Kar's user avatar
  • 482
1 vote
1 answer
681 views

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 ...
JMP's user avatar
  • 129
1 vote
1 answer
120 views

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+(...
ZHI's user avatar
  • 179
1 vote
1 answer
55 views

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 ...
geremia's user avatar
  • 11
1 vote
0 answers
56 views

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&...
Delta's user avatar
  • 111
1 vote
0 answers
198 views

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 ...
FX121211's user avatar
1 vote
0 answers
41 views

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 ...
Darren Cook's user avatar
  • 1,427
1 vote
0 answers
31 views

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/...
cassius's user avatar
  • 247
0 votes
1 answer
219 views

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 ...
user3138766's user avatar
0 votes
1 answer
118 views

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 ...
Peter's user avatar
  • 45
0 votes
1 answer
270 views

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-...
Student's user avatar
  • 351
0 votes
2 answers
119 views

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?
SDReyes's user avatar
  • 103
0 votes
1 answer
98 views

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=...
Student's user avatar
  • 351
0 votes
1 answer
289 views

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 ...
Deepankar Joshi's user avatar
0 votes
1 answer
66 views

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.
Student's user avatar
  • 351
0 votes
1 answer
85 views

Estimating monthly GDP growth based on quarterly data

Apologies for this newbie question. Given the following quarterly GDP growth: ...
ps0604's user avatar
  • 50
0 votes
1 answer
43 views

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 ...
Klapaucius's user avatar
0 votes
1 answer
124 views

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?
user5846's user avatar
0 votes
0 answers
42 views

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 ...
Ricter's user avatar
  • 101
0 votes
0 answers
24 views

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,...
Joselin Jocklingson's user avatar
0 votes
0 answers
40 views

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 ...
worldCurrencies's user avatar
0 votes
0 answers
63 views

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 /...
Matt Frank's user avatar
0 votes
0 answers
24 views

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 ...
Ibrahim's user avatar
0 votes
2 answers
144 views

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 ...
Lopo's user avatar
  • 101
0 votes
0 answers
41 views

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, ...
Phil Nguyen's user avatar