Questions tagged [macro-economics]
The macro-economics tag has no usage guidance.
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Regressing on Residuals
I have a time series dataset (Local Gov. bond yields and probable determinants). Due to structural breaks in different exogenous variables in different time points, I have an idea of regressing a set ...
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Factor investing for traders
Can factor investing be used for short term trading ? If yes how macroeconomic and style will be different from long term ?
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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 ...
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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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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 ...
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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 ...
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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 ...
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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 ...
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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 /...
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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 ...
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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 ...
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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 ...
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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 ...
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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, ...
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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 ...
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