Advanced statistical techniques are used to analyze Hong Kong output dynamics. Hong Kong, Japan and the U.S. are found to share some common long-term and short-term cyclical variations. While the Hong Kong economy is susceptible to external shocks and Granger-caused by the other two economies, local factors account for a large proportion of output growth variability and are mainly responsible f...

Exponential models of Autoregressive Conditional Heteroscedasticity (ARCH) are of special interest, since they enable richer dynamics (e.g. contrarian or cyclical), provide greater robustness to jumps and outliers, and guarantee the positivity of volatility. The latter is not guaranteed in ordinary ARCH models, in particular when additional exogenous and/or predetermined variables (“X”) are inc...

this study is an attempt to develop a model of the simultaneous structure of the aggregate dynamic supply and demand to be used for estimation of parameters from data related to iran’s economy. the method for developing the model is an application of the dynamic and simultaneous process of aggregate supply and demand. obtained differential equations are used for solve the model. to estimate the...

In this article, we forecast crude oil and natural gas spot prices at a daily frequency based on two classification techniques: artificial neural networks (ANN) and support vector machines (SVM). As a benchmark, we utilize an autoregressive integrated moving average (ARIMA) specification. We evaluate outof-sample forecast based on encompassing tests and mean-squared prediction error (MSPE). We ...

A broad and popular class of innovation-based endogenous growth models implies that the steady-state growth rate of per capita output is increasing in the steady-state inducement to innovate. This paper presents evidence that in the sample periods 18901929 and 1947-1998, the US economy can be characterized as having fluctuated around two distinct steady states. It then quantifies the relationsh...

Advanced statistical techniques are used to analyze Hong Kong output dynamics. Hong Kong, Japan and the U.S. are found to share some common long-term and short-term cyclical variations. While the Hong Kong economy is susceptible to external shocks and is “Granger-caused” by the other two economies, local factors account for a large proportion of output growth variability and are mainly responsi...

In this paper, we argue that study of the effect of financial development and shocks on aggregate growth volatility will not be informative because they affect growth volatility through its different components. Financial development affects only the business cycle component of volatility and therefore, the effect on total volatility is dependent on its share in total volatility. On the contrar...

We disaggregate consumption growth into components with different levels of persistence and show that a single business-cycle consumption factor can explain satisfactorily the differences in risk premia across book-to-market and size-sorted portfolios. We argue that accounting for persistence heterogeneity in consumption is important for interpreting cross-sectional risk compensations in financ...