H2020Индивидуална стипендия2016–2018

Post-GFC Monetary Policy · Forecast of time-varying effects of post-GFC monetary policy + a novel computing application

„Хоризонт 2020“ — Действия „Мария Склодовска-Кюри“

Период: 2016-01-20 → 2018-01-19
Финансиране от ЕС: 158 122 €
Участници: 1
Схема: MSCA-IF-EF-ST

Линиите свързват координатора с партньорите.

Накратко на български

Монетарната политика след финансовата криза се анализира чрез нови математически модели, които автоматично откриват промени в връзките между икономическите показатели. Те помагат на инвеститорите и политиците да вземат по-надеждни решения, като правят сложните изчисления достъпни за повече изследователи.

Този кратък обзор е генериран от изкуствен интелект

Кратко обяснение, генерирано от езиков модел по текста на CORDIS. Оригиналът е по-долу.

Резултати накратко

Forecast of time-varying effects of post-GFC monetary policy + a novel computing application

During my Marie-Curie Fellowship I worked to reach the different objectives we proposed in the initial proposal. We recall quickly the general framework: we are interested in the theoretical development of new models with time-varying coefficients which can be applied macroeconomics and finance. These models detect changes in the relationship between variables automatically making them more reliable for policymakers and investors. Another important objective of this project is to make these models more accessible to other researchers who do not work in this field by providing the computing functions in a format that is easy to use. Although many econometrics models have been expanded to have time-varying coefficients, using kernel smoothing techniques in the last decade, no software with those algorithms is publically available. Finally, as a spill-over, we wanted to explain the most important concepts of monetary policy in layman's terms.

Текст от CORDIS, на английски · Данни: CORDIS, © Европейски съюз

Цел на проекта

Central banks worldwide routinely use models in assessing and forecasting the global and domestic economic outlook in order to determine the most suitable monetary policies. Economies evolve over time and policies that worked in the 1980s might not be viable at the present time, thus models must be flexible to account for these changes. Undoubtedly, it is difficult to identify the exact point in time when a change in macroeconomic behaviour occurs, particularly a change that will trigger a reactive monetary policy to neutralise its negative effects. The current project proposes a new methodology, which due to its local nature can react faster to changes in the process than other existing methodologies. This project aims at breaking new ground in several respects. First, by proposing for the first time a nonparametric local linear estimator of multivariate processes with possible smooth or abrupt changes in the parameters. Second, by developing a user-friendly computational package with the aforementioned functionality. Finally, by investigating the effect for G7 and Eurozone economies of the monetary policies driven by the global financial crisis.

Оригинален текст от CORDIS (на английски).

Участници

BCAM - BASQUE CENTER FOR APPLIED MATHEMATICS · BilbaoКоординаторИспания