This book sheds new light on a recently introduced monetary tool - negative interest rates policy (NIRP). It provides in-depth insight into this phenomenon, conducted by the central banks in several economies, for example, the Eurozone, Switzerland and Japan, and its possible impact on systemic risk. Although it has been introduced as a temporary policy instrument, it may remain widely used for a longer period and by a greater range of central banks than initially expected, thus the book explores its effects and implications on the banking sector and financial markets, with a particular focus on potentially adverse consequences. There is a strong accent on the uniqueness of negative policy rates in the context of financial stability concerns. The authors assess whether NIRP has any - or in principle a stronger - impact on systemic risk than conventional monetary policy. The book is targeted at presenting and evaluating the initial experiences of NIRP policy during normal, i.e. pre-COVID, times, rather than in periods in which pre-established macroeconomic relations are rapidly disrupted or, specifically, when the source of the disruption is not purely economic in nature, unlike in systemic crisis. The authors adopt both theoretical and practical approaches to explore the key issues and outline the policy implications for both monetary and macroprudential authorities, with respect to negative interest rate policy, thus the book will provide a useful guide for policymakers, academics, advanced students and researchers of financial economics and international finance.

Covers the key issues required for students wishing to understand and analyse the core empirical issues in economics. It focuses on descriptive statistics, probability concepts and basic econometric techniques and has an accompanying website that contains all the data used in the examples and provides exercises for undertaking original research.

This book bridges the gap between economic theory and spatial econometric techniques. It is accessible to those with only a basic statistical background and no prior knowledge of spatial econometric methods. It provides a comprehensive treatment of the topic, motivating the reader with examples and analysis. The volume provides a rigorous treatment of the basic spatial linear model, and it discusses the violations of the classical regression assumptions that occur when dealing with spatial data.

Metrology is the study of measurement science. Although classical economists have emphasized the importance of measurement per se, the majority of economics-based writings on the topic have taken the form of government reports related to the activities of specific national metrology laboratories. This book is the first systematic study of measurement activity at a national metrology laboratory, and the laboratory studied is the U.S. National Institute of Standards and Technology (NIST) within the U.S. Department of Commerce. The primary objective of the book is to emphasize for academic and policy audiences the economic importance of measurement not only as an area of study but also as a tool for sustaining technological advancement as an element of economic growth. Toward this goal, the book offers an overview of the economic benefits and consequences of measurement standards; an argument for public sector support of measurement standards; a historical perspective of the measurement activities at NIST; an empirical analysis of one particular measurement activity at NIST, namely calibration testing; and a roadmap for future research on the economics of metrology.

Computational Finance Using C and C#: Derivatives and Valuation, Second Edition provides derivatives pricing information for equity derivatives, interest rate derivatives, foreign exchange derivatives, and credit derivatives. By providing free access to code from a variety of computer languages, such as Visual Basic/Excel, C++, C, and C#, it gives readers stand-alone examples that they can explore before delving into creating their own applications. It is written for readers with backgrounds in basic calculus, linear algebra, and probability. Strong on mathematical theory, this second edition helps empower readers to solve their own problems. *Features new programming problems, examples, and exercises for each chapter. *Includes freely-accessible source code in languages such as C, C++, VBA, C#, and Excel.. *Includes a new chapter on the history of finance which also covers the 2008 credit crisis and the use of mortgage backed securities, CDSs and CDOs. *Emphasizes mathematical theory.

It is very useful and timely book as demand forecasting has become a very crucial tool and provides important information for destination on which policy are created and implemented. This is especially important given the complexities arising the aftermath of the Covid19 pandemic. * It looks at novel and recent developments in this field including judgement and scenario forecasting. * Offers a comprehensive approach to tourism econometrics, looking at a variety of aspects. * The authors are experts in this field and of the highest academic calibre.

This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.

In 1956, Solow proposed a neoclassical growth model in opposition or as an alternative to Keynesian growth models. The Solow model of economic growth provided foundations for models embedded in the new theory of economic growth, known as the theory of endogenous growth, such as the renowned growth models developed by Paul M. Romer and Robert E. Lucas in the 1980s and 90s. The augmentations of the Solow model described in this book, excepting the Phelps golden rules of capital accumulation and the Mankiw-Romer-Weil and Nonneman-Vanhoudt models, were developed by the authors over the last two decades. The book identifies six spheres of interest in modern macroeconomic theory: the impact of fiscal and monetary policy on growth; the effect of different returns to scale on production; the influence of mobility of factors of production among different countries on their development; the effect of population dynamics on growth; the periodicity of investment rates and their influence on growth; and the effect of exogenous shocks in the form of an epidemic. For each of these issues, the authors construct and analyze an appropriate growth model that focuses on the description of the specific macroeconomic problem. This book not only continues the neoclassical tradition of thought in economics focused on quantitative economic change but also, and to a significant extent, discusses alternative approaches to certain questions of economic growth, utilizing conclusions that can be drawn from the Solow model. It is a useful tool in analyzing contemporary issues related to growth.

This trusted textbook returns in its 4th edition with even more exercises to help consolidate understanding - and a companion website featuring additional materials, including a solutions manual for instructors. Offering a unique blend of theory and practical application, it provides ideal preparation for doing applied econometric work as it takes students from a basic level up to an advanced understanding in an intuitive, step-by-step fashion. Clear presentation of economic tests and methods of estimation is paired with practical guidance on using several types of software packages. Using real world data throughout, the authors place emphasis upon the interpretation of results, and the conclusions to be drawn from them in econometric work. This book will be essential reading for economics undergraduate and master's students taking a course in applied econometrics. Its practical nature makes it ideal for modules requiring a research project. New to this Edition: - Additional practical exercises throughout to help consolidate understanding - A freshly-updated companion website featuring a new solutions manual for instructors

This book discusses the developments in trade theories, including new-new trade models that account for firm level trade flows, trade growth accounting using inverse gravity models (including distortions in gravity models), the impact of trade liberalization under the aegis of regional and multilateral liberalization efforts of economies using partial and general equilibrium analysis, methodologies of constructing ad valorem equivalents of non-tariff barriers, volatility spillover effects of financial and exchange rate markets. The main purpose of the book is to guide researchers working in the area of international trade, especially focused on empirical analysis of trade policy issues by updating their knowledge on issues related to trade theory, empirical methods, and their applications. The book would prove useful for policy makers, academicians, and researchers.

Any enquiry into the nature, performance, role, demerits, growth, efficiency, or other aspects of financial services such as banking and insurance activities, requires rigorous estimates of their economic output, i.e., the economic contributions made by these firms, as well as by the industries as a whole. Accordingly, this book condenses several theoretical, methodological, empirical, and philosophical issues in conceptualizing, measuring, and empirically operationalizing the economic output of the banking and insurance industries. The analytical focus is on both Global and Emerging Markets perspectives. The book synthesizes applied and conceptual evidence to locate the chosen theme's analytical patterns, consensus, and disagreements. The selected subject matter is studied within the firm-level and aggregate settings, bringing literature of varied scopes together. Contributions from various international academics, practitioners, and policymakers further enrich the narrative. The book concludes with data-driven case studies that analyze the extent to which the critical performance parameters of the banking and insurance industries in the BRIICS economies - including estimation of aggregate industry-level partial factor productivities, total factor productivity, technical efficiency, and returns to scale - vary concerning alternate measures of their output. The present work also provides a brief note on the inputs measurement dimension, following which there is a discussion on the limitations, future scope, and conclusions. This work will be valuable for researchers and policymakers undertaking performance analyses related to banking and insurance activities. It shall provide them with the examination of a plethora of analytical options and related issues on the theory and praxis of output measurement, all finely organized into one single volume.

This book describes the functions frequently used in deep neural networks. For this purpose, 37 activation functions are explained both mathematically and visually, and given with their LaTeX implementations due to their common use in scientific articles.

Based on economic knowledge and logical reasoning, this book proposes a solution to economic recessions and offers a route for societal change to end capitalism. The author starts with a brief review of the history of economics, and then questions and rejects the trend of recent decades that has seen econometrics replace economic theory. By reviewing the different schools of economic thought and by examining the limitations of existing theories to business cycles and economic growth, the author forms a new theory to explain cyclic economic growth. According to this theory, economic recessions result from innovation scarcity, which in turn results from the flawed design of the patent system. The author suggests a new design for the patent system and envisions that the new design would bring about large economic and societal changes. Under this new patent system, the synergy of the patent and capital markets would ensure that economic recessions could be avoided and that the economy would grow at the highest speed.

This book addresses the functioning of financial markets, in particular the financial market model, and modelling. More specifically, the book provides a model of adaptive preference in the financial market, rather than the model of the adaptive financial market, which is mostly based on Popper's objective propensity for the singular, i.e., unrepeatable, event. As a result, the concept of preference, following Simon's theory of satisficing, is developed in a logical way with the goal of supplying a foundation for a robust theory of adaptive preference in financial market behavior. The book offers new insights into financial market logic, and psychology: 1) advocating for the priority of behavior over information - in opposition to traditional financial market theories; 2) constructing the processes of (co)evolution adaptive preference-financial market using the concept of fetal reaction norms - between financial market and adaptive preference; 3) presenting a new typology of information in the financial market, aimed at proving point (1) above, as well as edifying an explicative mechanism of the evolutionary nature and behavior of the (real) financial market; 4) presenting sufficient, and necessary, principles or assumptions for developing a theory of adaptive preference in the financial market; and 5) proposing a new interpretation of the pair genotype-phenotype in the financial market model. The book's distinguishing feature is its research method, which is mainly logically rather than historically or empirically based. As a result, the book is targeted at generating debate about the best and most scientifically beneficial method of approaching, analyzing, and modelling financial markets.

Predicting foreign exchange rates has presented a long-standing challenge for economists. However, the recent advances in computational techniques, statistical methods, newer datasets on emerging market currencies, etc., offer some hope. While we are still unable to beat a driftless random walk model, there has been serious progress in the field. This book provides an in-depth assessment of the use of novel statistical approaches and machine learning tools in predicting foreign exchange rate movement. First, it offers a historical account of how exchange rate regimes have evolved over time, which is critical to understanding turning points in a historical time series. It then presents an overview of the previous attempts at modeling exchange rates, and how different methods fared during this process. At the core sections of the book, the author examines the time series characteristics of exchange rates and how contemporary statistics and machine learning can be useful in improving predictive power, compared to previous methods used. Exchange rate determination is an active research area, and this book will appeal to graduate-level students of international economics, international finance, open economy macroeconomics, and management. The book is written in a clear, engaging, and straightforward way, and will greatly improve access to this much-needed knowledge in the field.

Showcasing fuzzy set theory, this book highlights the enormous potential of fuzzy logic in helping to analyse the complexity of a wide range of socio-economic patterns and behaviour. The contributions to this volume explore the most up-to-date fuzzy-set methods for the measurement of socio-economic phenomena in a multidimensional and/or dynamic perspective. Thus far, fuzzy-set theory has primarily been utilised in the social sciences in the field of poverty measurement. These chapters examine the latest work in this area, while also exploring further applications including social exclusion, the labour market, educational mismatch, sustainability, quality of life and violence against women. The authors demonstrate that real-world situations are often characterised by imprecision, uncertainty and vagueness, which cannot be properly described by the classical set theory which uses a simple true-false binary logic. By contrast, fuzzy-set theory has been shown to be a powerful tool for describing the multidimensionality and complexity of social phenomena. This book will be of significant interest to economists, statisticians and sociologists utilising quantitative methods to explore socio-economic phenomena.

The Analytic Network Process (ANP), developed by Thomas Saaty in his work on multicriteria decision making, applies network structures with dependence and feedback to complex decision making. This new edition of Decision Making with the Analytic Network Process is a selection of the latest applications of ANP to economic, social and political decisions, and also to technological design. The ANP is a methodological tool that is helpful to organize knowledge and thinking, elicit judgments registered in both in memory and in feelings, quantify the judgments and derive priorities from them, and finally synthesize these diverse priorities into a single mathematically and logically justifiable overall outcome. In the process of deriving this outcome, the ANP also allows for the representation and synthesis of diverse opinions in the midst of discussion and debate. The book focuses on the application of the ANP in three different areas: economics, the social sciences and the linking of measurement with human values. Economists can use the ANP for an alternate approach for dealing with economic problems than the usual mathematical models on which economics bases its quantitative thinking. For psychologists, sociologists and political scientists, the ANP offers the methodology they have sought for some time to quantify and derive measurements for intangibles. Finally the book applies the ANP to provide people in the physical and engineering sciences with a quantitative method to link hard measurement to human values. In such a process, one is able to interpret the true meaning of measurements made on a uniform scale using a unit.

The conference, 'Measurement Error: Econometrics and Practice' was recently hosted by Aston University and organised jointly by researchers from Aston University and Lund University to highlight the enormous problems caused by measurement error in Economic and Financial data which often go largely unnoticed. Thanks to the sponsorship from Eurostat, a number of distinguished researchers were invited to present keynote lectures. Professor Arnold Zellner from University of Chicago shared his knowledge on measurement error in general; Professor William Barnett from the University of Kansas gave a lecture on implications of measurement error on monetary policy, whilst Dennis Fixler shared his knowledge on how statistical agencies deal with measurement errors. This volume is the result of the selection of high-quality papers presented at the conference and is designed to draw attention to the enormous problem in econometrics of measurement error in data provided by the worlds leading statistical agencies; highlighting consequences of data error and offering solutions to deal with such problems. This volume should appeal to economists, financial analysts and practitioners interested in studying and solving economic problems and building econometric models in everyday operations.

The book provides an integrated approach to risk sharing, risk spreading and efficient regulation through principal agent models. It emphasizes the role of information asymmetry and risk sharing in contracts as an alternative to transaction cost considerations. It examines how contracting, as an institutional mechanism to conduct transactions, spreads risks while attempting consolidation. It further highlights the shifting emphasis in contracts from Coasian transaction cost saving to risk sharing and shows how it creates difficulties associated with risk spreading, and emphasizes the need for efficient regulation of contracts at various levels. Each of the chapters is structured using a principal agent model, and all chapters incorporate adverse selection (and exogenous randomness) as a result of information asymmetry, as well as moral hazard (and endogenous randomness) due to the self-interest-seeking behavior on the part of the participants.

Now in its third edition, Essential Econometric Techniques: A Guide to Concepts and Applications is a concise, student-friendly textbook which provides an introductory grounding in econometrics, with an emphasis on the proper application and interpretation of results. Drawing on the author's extensive teaching experience, this book offers intuitive explanations of concepts such as heteroskedasticity and serial correlation, and provides step-by-step overviews of each key topic. This new edition contains more applications, brings in new material including a dedicated chapter on panel data techniques, and moves the theoretical proofs to appendices. After Chapter 7, students will be able to design and conduct rudimentary econometric research. The next chapters cover multicollinearity, heteroskedasticity, and autocorrelation, followed by techniques for time-series analysis and panel data. Excel data sets for the end-of-chapter problems are available as a digital supplement. A solutions manual is also available for instructors, as well as PowerPoint slides for each chapter. Essential Econometric Techniques shows students how economic hypotheses can be questioned and tested using real-world data, and is the ideal supplementary text for all introductory econometrics courses.

This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.

This book primarily addresses the optimality aspects of covariate designs. A covariate model is a combination of ANOVA and regression models. Optimal estimation of the parameters of the model using a suitable choice of designs is of great importance; as such choices allow experimenters to extract maximum information for the unknown model parameters. The main emphasis of this monograph is to start with an assumed covariate model in combination with some standard ANOVA set-ups such as CRD, RBD, BIBD, GDD, BTIBD, BPEBD, cross-over, multi-factor, split-plot and strip-plot designs, treatment control designs, etc. and discuss the nature and availability of optimal covariate designs. In some situations, optimal estimations of both ANOVA and the regression parameters are provided. Global optimality and D-optimality criteria are mainly used in selecting the design. The standard optimality results of both discrete and continuous set-ups have been adapted, and several novel combinatorial techniques have been applied for the construction of optimum designs using Hadamard matrices, the Kronecker product, Rao-Khatri product, mixed orthogonal arrays to name a few.

This book is devoted to biased sampling problems (also called choice-based sampling in Econometrics parlance) and over-identified parameter estimation problems. Biased sampling problems appear in many areas of research, including Medicine, Epidemiology and Public Health, the Social Sciences and Economics. The book addresses a range of important topics, including case and control studies, causal inference, missing data problems, meta-analysis, renewal process and length biased sampling problems, capture and recapture problems, case cohort studies, exponential tilting genetic mixture models etc. The goal of this book is to make it easier for Ph. D students and new researchers to get started in this research area. It will be of interest to all those who work in the health, biological, social and physical sciences, as well as those who are interested in survey methodology and other areas of statistical science, among others.

Using data from the World Values Survey, this book sheds light on the link between happiness and the social group to which one belongs. The work is based on a rigorous statistical analysis of differences in the probability of happiness and life satisfaction between the predominant social group and subordinate groups. The cases of India and South Africa receive deep attention in dedicated chapters on cast and race, with other chapters considering issues such as cultural bias, religion, patriarchy, and gender. An additional chapter offers a global perspective. On top of this, the longitudinal nature of the data facilitates an examination of how world happiness has evolved between 1994 and 2014. This book will be a valuable reference for advanced students, scholars and policymakers involved in development economics, well-being, development geography, and sociology.

This book addresses both theoretical developments in and practical applications of econometric techniques to finance-related problems. It includes selected edited outcomes of the International Econometric Conference of Vietnam (ECONVN2018), held at Banking University, Ho Chi Minh City, Vietnam on January 15-16, 2018. Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. An extremely important part of economics is finances: a financial crisis can bring the whole economy to a standstill and, vice versa, a smart financial policy can dramatically boost economic development. It is therefore crucial to be able to apply mathematical techniques of econometrics to financial problems. Such applications are a growing field, with many interesting results - and an even larger number of challenges and open problems.