Series Information:
Harwood Fundamentals of Pure & Applied Economics

Major transport infrastructures are increasingly in the news as both the engineering and financing possibilities come together. However, these projects have also demonstrated the inadequacy of most existing approaches to forecasting their impacts and their overall evaluation. This collection of papers from a conference organized by the Association of d'Econometrie Appliquee represents a state of the art look at issues of forecasting traffic, developing pricing strategies and estimating the impacts in a set of papers by leading authorities from Europe, North America and Japan.

A timely work which represents a major reappraisal of business cycle theory. It revives, with the help of modern analytical techniques, an old theme of Keynesian macroeconomics, namely that "market psychology" (i.e., volatile expectations) may be a significant cause of economic fluctuations. It is of interest not only to economists, but also to mathematicians and physicists.

This book combines both a comprehensive analytical framework and economic statistics that enable business decision makers to anticipate developing economic trends. The author blends recent and historical economic data with economic theory to provide important benchmarks or rules of thumb that give both economists and noneconomists enhanced understanding of unfolding economic data and their interrelationships. Through the matrix system, a disciplined approach is described for integrating readily available economic data into a comprehensive analysis without complex formulas. The extensive appendix of monthly key economic factors for 1978-1991 makes this an important reference source for economic and financial trend analysis.

A new and practical method for economic trend analysis is introduced that provides more advanced knowledge than available from economic newsletters. Schaeffer begins with a general description of the business cycle and the typical behavior and effect of the credit markets, commercial banks, and the Federal Reserve. Next, fourteen key economic factors regularly reported by the business press are described, such as the capacity utilization rate and yield on three-month Treasury bills. Benchmarks for each of these key economic factors are set forth, together with an insightful discussion of the interrelationships indicating economic trends. A detailed discussion of the 1978-1991 American economy, incorporating monthly data from the historical matrix, demonstrates the practical application of the matrix system. Executives, investors, financial officers, and government policymakers will find this book useful in decision making.

This Festschrift is dedicated to Goetz Trenkler on the occasion of his 65th birthday. As can be seen from the long list of contributions, Goetz has had and still has an enormous range of interests, and colleagues to share these interests with. He is a leading expert in linear models with a particular focus on matrix algebra in its relation to statistics. He has published in almost all major statistics and matrix theory journals. His research activities also include other areas (like nonparametrics, statistics and sports, combination of forecasts and magic squares, just to mention afew). Goetz Trenkler was born in Dresden in 1943. After his school years in East G- many and West-Berlin, he obtained a Diploma in Mathematics from Free University of Berlin (1970), where he also discovered his interest in Mathematical Statistics. In 1973, he completed his Ph.D. with a thesis titled: On a distance-generating fu- tion of probability measures. He then moved on to the University of Hannover to become Lecturer and to write a habilitation-thesis (submitted 1979) on alternatives to the Ordinary Least Squares estimator in the Linear Regression Model, a topic that would become his predominant ?eld of research in the years to come.

Contents:
1. Editorial introduction A. W. Bob Coates 2. Economics in mid-Atlantic: British economics 1945-95 Roger E. Backhouse, University of Birmingham, UK 3. The Post-1945 development of economics and economists in Sweden Bo Sandelin and Ann Veiderpass, both at University of Gothenburg, Sweden and Nikias Sarafoglou, Mid-Sweden University 4. Postwar Dutch Economics Henk W. Plasmeijer and Evert Schoorl, University of Groningen, The Netherlands 5. The post 1945 development of economics in Belgium Ivo Maes, Erik Buyst and Muriel Bouchet, National Bank of Belgium, Brussels, Belgium 6. The 1945 development of economics in Germany Harald Hagemann, Universitat Hohenheim, Stuttgart, Germany 7. Economics in France: A Manifold system Christian Schmidt, Paris, France 8. Europe, and the post-1945 internationalization of political economy - the case of Italy Pier Luigi Porta, Universite Degli Studi di Milano, Milan, Italy 9. The advent of modern economics in Portugal Carlos Bastien, ISEG, Lisbon, Portugal 10. The development of economic studies and research in Spain (1939-1995) Salvador Almenar, Universitat de Valencia, Spain 11. Institutional constraints and the internationalization of economics: the case of Greece Michael Psalidopoulos, Panteion University, Athens, Greece 12. Concluding reflections A. W. Bob Coates

A new approach to explaining the existence of firms and markets, focusing on variability and coordination. It stands in contrast to the emphasis on transaction costs, and on monitoring and incentive structures, which are prominent in most of the modern literature in this field. This approach, called the variability approach, allows us to: show why both the need for communication and the coordination costs increase when the division of labor increases; explain why, while the firm relies on direction, the market does not; rigorously formulate the optimum divisionalization problem; better understand the relationship between technology and organization; show why the size' of the firm is limited; and to refine the analysis of whether the existence of a sharable input, or the presence of an external effect leads to the emergence of a firm. The book provides a wealth of insights for students and professionals in economics, business, law and organization.

This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows the reader how to apply these models in practice. For this purpose, the building of various nonlinear models with its three stages of model building: specification, estimation and evaluation, is discussed in detail and is illustrated by several examples involving both economic and non-economic data. Since estimation of nonlinear time series models is carried out using numerical algorithms, the book contains a chapter on estimating parametric nonlinear models and another on estimating nonparametric ones.
Forecasting is a major reason for building time series models, linear or nonlinear. The book contains a discussion on forecasting with nonlinear models, both parametric and nonparametric, and considers numerical techniques necessary for computing multi-period forecasts from them. The main focus of the book is on models of the conditional mean, but models of the conditional variance, mainly those of autoregressive conditional heteroskedasticity, receive attention as well. A separate chapter is devoted to state space models. As a whole, the book is an indispensable tool for researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis.

The more generous social welfare system in Europe is one of the most important differences between the European and the US society. Defenders of the European welfare state argue that it improves social cohesion and prevents crime. On the other hand, the US economy is performing quite well such that crime rates might come down due to better legal income opportunities. This book takes this trade-off as a point of departure and contributes to a better interdisciplinary understanding of the interactions between crime, economic performance and social exclusion. It evaluates the existing economic and criminological research and provides innovative empirical investigations on the basis of international panel data sets from different levels of regional aggregation. Among other aspects, results clearly reveal the crime reducing potential of intact families and the link beween crime and labour market. A special focus is on estimating the consequences of crime, a topic rarely analysed in literature.

Time Series: Theory and Methods is a systematic account of linear time series models and their application to the modelling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the mathematical basis for techniques. Both time and frequency domain methods are discussed, but the book is written in such a way that either approach could be emphasized. The book intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It contains substantial chapters on multivariate series and state-space models (including applications of the Kalman recursions to missing-value problems) and shorter accounts of special topics including long-range dependence, infinite variance processes and non-linear models. Most of the programs used in the book are available on diskettes for the IBM-PC. These diskettes, with the accompanying manual, ITSM: The Interactive Time Series Modelling Package for the PC, also by Brockwell and Davis, can be purchased from Springer-Verlag.

The issue of unfunded public pension systems has moved to the center of public debate all over the world. Unfortunately, a large part of the discussions have remained on a qualitative level. This book seeks to address this by providing detailed knowledge on modeling pension systems.

Spatial econometrics deals with spatial dependence and spatial heterogeneity, critical aspects of the data used by regional scientists. These characteristics may cause standard econometric techniques to become inappropriate. In this book, I combine several recent research results to construct a comprehensive approach to the incorporation of spatial effects in econometrics. My primary focus is to demonstrate how these spatial effects can be considered as special cases of general frameworks in standard econometrics, and to outline how they necessitate a separate set of methods and techniques, encompassed within the field of spatial econometrics. My viewpoint differs from that taken in the discussion of spatial autocorrelation in spatial statistics - e.g., most recently by Cliff and Ord (1981) and Upton and Fingleton (1985) - in that I am mostly concerned with the relevance of spatial effects on model specification, estimation and other inference, in what I caIl a model-driven approach, as opposed to a data-driven approach in spatial statistics. I attempt to combine a rigorous econometric perspective with a comprehensive treatment of methodological issues in spatial analysis.

Shows the application of some of the developments in the mathematics of optimization, including the concepts of invexity and quasimax to models of economic growth, and to finance and investment. This book introduces a computational package called SCOM, for solving optimal control problems on MATLAB.

Most economists assume that the mathematical and quantative sides of their science are relatively recent developments. Measurement, Quantification and Economic Analysis shows that this is a misconception. Its authors argue that economists have long relied on measurement and quantification as essential tools.
However, problems have arisen in adapting these tools from other fields. Ultimately, the authors are sceptical about the role which measurement and quantification tools now play in contemporary economic theory.

eBook available with sample pages: 0203031059

Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled."

Hardbound. This book is a result of recent developments in several fields. Mathematicians, statisticians, finance theorists, and economists found several interconnections in their research. The emphasis was on common methods, although the applications were also interrelated.The main topic is dynamic stochastic models, in which information arrives and decisions are made sequentially. This gives rise to what finance theorists call option value, what some economists label quasi-option value. Some papers extend the mathematical theory, some deal with new methods of economic analysis, while some present important applications, to natural resources in particular.

This book explores the potential for renewable energy development and the adoption of sustainable production processes in Latin America and the Caribbean. By examining the energy transition process, the impact of environmental degradation, and the relationship between renewable energy sources and economic growth, the effects of increased globalisation and liberalisation in this part of the world are analysed. Particular attention is given to renewable energy investment, the energy-economics growth nexus, the impact of trade openness, and the mitigation of carbon emissions. This book aims to highlight econometric techniques that can be used to tackle issues relating to globalisation, the energy transition, and environmental degradation. It will be relevant to researchers and policymakers interested in energy and environmental economics.

Occupational licensure, including regulation of the professions, dates back to the medieval period. While the guilds that performed this regulatory function have long since vanished, professional regulation continues to this day. For instance, in the United States, 22 per cent of American workers must hold licenses simply to do their jobs. While long-established professions have more settled regulatory paradigms, the case studies in Paradoxes of Professional Regulation explore other professions, taking note of incompetent services and the serious risks they pose to the physical, mental, or emotional health, financial well-being, or legal status of uninformed consumers. Michael J. Trebilcock examines five case studies of the regulation of diverse professions, including alternative medicine, mental health care provision, financial planning, immigration consulting, and legal services. Noting the widely divergent approaches to the regulation of the same professions across different jurisdictions - paradoxes of professional regulation - the book is an attempt to develop a set of regulatory principles for the future. In its comparative approach, Paradoxes of Professional Regulation gets at the heart of the tensions influencing the regulatory landscape, and works toward practical lessons for bringing greater coherence to the way in which professions are regulated.

Nonlinear and nonnormal filters are introduced and developed. Traditional nonlinear filters such as the extended Kalman filter and the Gaussian sum filter give biased filtering estimates, and therefore several nonlinear and nonnormal filters have been derived from the underlying probability density functions. The density-based nonlinear filters introduced in this book utilize numerical integration, Monte-Carlo integration with importance sampling or rejection sampling and the obtained filtering estimates are asymptotically unbiased and efficient. By Monte-Carlo simulation studies, all the nonlinear filters are compared. Finally, as an empirical application, consumption functions based on the rational expectation model are estimated for the nonlinear filters, where US, UK and Japan economies are compared.

How might one determine if a financial institution is taking risk in a balanced and productive manner? A powerful tool to address this question is economic capital, which is a model-based measure of the amount of equity that an entity must hold to satisfactorily offset its risk-generating activities. This book, with a particular focus on the credit-risk dimension, pragmatically explores real-world economic-capital methodologies and applications. It begins with the thorny practical issues surrounding the construction of an (industrial-strength) credit-risk economic-capital model, defensibly determining its parameters, and ensuring its efficient implementation. It then broadens its gaze to examine various critical applications and extensions of economic capital; these include loan pricing, the computation of loan impairments, and stress testing. Along the way, typically working from first principles, various possible modelling choices and related concepts are examined. The end result is a useful reference for students and practitioners wishing to learn more about a centrally important financial-management device.

The maximum principle and dynamic programming are the two most commonly used approaches in solving optimal control problems. These approaches have been developed independently. The theme of this book is to unify these two approaches, and to demonstrate that the viscosity solution theory provides the framework to unify them.

This book overviews latest ideas and developments in financial econometrics, with an emphasis on how to best use prior knowledge (e.g., Bayesian way) and how to best use successful data processing techniques from other application areas (e.g., from quantum physics). The book also covers applications to economy-related phenomena ranging from traditionally analyzed phenomena such as manufacturing, food industry, and taxes, to newer-to-analyze phenomena such as cryptocurrencies, influencer marketing, COVID-19 pandemic, financial fraud detection, corruption, and shadow economy. This book will inspire practitioners to learn how to apply state-of-the-art Bayesian, quantum, and related techniques to economic and financial problems and inspire researchers to further improve the existing techniques and come up with new techniques for studying economic and financial phenomena. The book will also be of interest to students interested in latest ideas and results.

Financial market volatility plays a crucial role in financial decision making, as volatility forecasts are important input parameters in areas such as option pricing, hedging strategies, portfolio allocation and Value-at-Risk calculations. The fact that financial innovations arrive at an ever-increasing rate has motivated both academic researchers and practitioners and advances in this field have been considerable. The use of Stochastic Volatility (SV) models is one of the latest developments in this area. Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures.
The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.

• Introduces the dynamics, principles and mathematics behind ten macroeconomic models allowing students to visualise the models and understand the economic intuition behind them. • Provides a step-by-step guide, and the necessary MATLAB codes, to allow readers to simulate and experiment with the models themselves.

Recent economic history suggests that a key element in economic growth and development for many countries has been an aggressive export policy and a complementary import policy. Such policies can be very effective provided that resources are used wisely to encourage exports from industries that can be com petitive in the international arena. Also, import protection must be used carefully so that it encourages infant industries instead of providing rents to industries that are not competitive. Policy makers may use a variety of methods of analysis in planning trade policy. As computing power has grown in recent years increasing attention has been give to economic models as one of the most powerful aids to policy making. These models can be used on the one hand to help in selecting export industries to encourage and infant industries to protect and on the other hand to chart the larger effects ofttade policy on the entire economy. While many models have been developed in recent years there has not been any analysis of the strengths and weaknesses of the various types of models. Therefore, this monograph provides a review and analysis of the models which can be used to analyze dynamic comparative advantage."