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The Econometric Analysis of Recurrent Events in Macroeconomics and Finance (Hardcover)
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The Econometric Analysis of Recurrent Events in Macroeconomics and Finance (Hardcover)
Series: The Econometric and Tinbergen Institutes Lectures
Expected to ship within 12 - 17 working days
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The global financial crisis highlighted the impact on macroeconomic
outcomes of recurrent events like business and financial cycles,
highs and lows in volatility, and crashes and recessions. At the
most basic level, such recurrent events can be summarized using
binary indicators showing if the event will occur or not. These
indicators are constructed either directly from data or indirectly
through models. Because they are constructed, they have different
properties than those arising in microeconometrics, and how one is
to use them depends a lot on the method of construction. This book
presents the econometric methods necessary for the successful
modeling of recurrent events, providing valuable insights for
policymakers, empirical researchers, and theorists. It explains why
it is inherently difficult to forecast the onset of a recession in
a way that provides useful guidance for active stabilization
policy, with the consequence that policymakers should place more
emphasis on making the economy robust to recessions. The book
offers a range of econometric tools and techniques that researchers
can use to measure recurrent events, summarize their properties,
and evaluate how effectively economic and statistical models
capture them. These methods also offer insights for developing
models that are consistent with observed financial and real cycles.
This book is an essential resource for students, academics, and
researchers at central banks and institutions such as the
International Monetary Fund.
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