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Recent Econometric Techniques for Macroeconomic and Financial Data

Author

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  • Gilles Dufrénot

    (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Takashi Matsuki

    (Osaka Gakuin University)

Abstract

The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.

Suggested Citation

  • Gilles Dufrénot & Takashi Matsuki, 2021. "Recent Econometric Techniques for Macroeconomic and Financial Data," Post-Print hal-03104302, HAL.
    • Handle: RePEc:hal:journl:hal-03104302
    DOI: 10.1007/978-3-030-54252-8
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    Cited by:

    1. Bodart, Vincent & Carpantier, Jean-François, 2023. "Currency crises in emerging countries: The commodity factor," Journal of Commodity Markets, Elsevier, vol. 30(C).
    2. Carpantier, Jean-François, 2021. "Anything but gold - The golden constant revisited," Journal of Commodity Markets, Elsevier, vol. 24(C).

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