Evolution Of Macroeconomic Variables Research Articles

An Indicator of Macro-Financial Stress for Italy

We develop a measure of systemic stress for the Italian financial markets (FCI-IT) that aggregates information from five major segments of the whole financial system, i.e. the money market, the bond market, the equity market, the foreign exchange market and the market for stocks of financial intermediaries. The index builds on the methodology of the Composite Indicator of Systemic Stress (CISS) developed by Hollo, Kremer and Lo Duca (2012) for the euro area. We set up a simple TVAR model to verify whether the proposed measure is able to provide significant and consistent information about the evolution of macroeconomic variables when financial conditions change. The indicator’s performance is evaluated against two alternative metrics publicly available (e.g. the euro-area CISS and the Italian CLIFS). Our results show that FCI-IT behaves quite similarly to the other indexes considered in signalling high-stress periods, but it also identifies episodes of financial distress for the Italian economy which are disregarded by the other two. During periods of high stress, the effects of financial shocks on gross domestic product are significant.

Macroeconomic 'Action-at-A-Distance', Economic Fields and Surface Waves

This paper describes new macroeconomic wave processes on economic space. We model macroeconomics as multi-agent system and risk ratings of economic agents play role of their coordinates on economic space. Number n of risks for which ratings of economic agents are measured defines dimension n of economic space. Aggregates of economic or financial variables of economic agents near point x define macroeconomic variables as functions of coordinates on economic space. Evolution of macroeconomic variables like Investment, GDP, Demand, Credits and etc., is determined by economic and financial transactions between economic agents. Transactions between economic agents at points x and y describe macroeconomic “action-at-a-distance” on economic space. Aggregates of transactions between economic agents at point x and y determine economic fields A(x,y) as functions of two variables on economic space. Such economic fields A(x,y) can describe amount of Credits provided from economic agents at point x to economic agents at point y and thus amount of Loans received by agents at point y from agents at point x. Economic fields determine evolution of all macroeconomic variables on economic space. We describe economic fields by hydrodynamic-like equations on economic space with 2n-dimension. Economic agents fill macroeconomic area that is determined by minimum and maximum risk grades that define most risky and most secure economic agents. Economic and financial shocks can disturb steady borders of macroeconomic area and cause perturbations of economic fields values. Disturbances of economic fields can generate waves that propagate along macroeconomic borders alike to surface waves in fluids. For simplest example that models one-dimensional economic space and interaction between two economic fields that describe Commodities Supply and Payments for Commodities we derive hydrodynamic like equations on economic fields in a closed form. For this model we derive economic field surface wave equations. Diversity of waves in simplest macroeconomic models on economic space designates importance of concealed wave processes for macroeconomic modeling and crises forecasting.

Macroeconomic Model Beyond Equilibrium

This paper describes macroeconomics as multi-agent system alike to multi-particle system. Economic agents are treated as simple units of macroeconomics on economic space. Risk ratings of economic agents play role of their coordinates on economic space. Aggregates of economic variables of economic agents at point x define macroeconomic variables as functions f(t,x) of time t and coordinates x on economic space. Macroeconomic variables depend on economic and financial transactions between economic agents. Aggregates of transactions between economic agents at point x and y on economic space define economic fields F(x,y) as functions of two coordinates. Economic fields F(x,y) determine evolution of macroeconomic variables. To describe dynamics of economic fields on economic space we derive hydrodynamic-like equations. For simple models of interactions between economic fields we derive hydrodynamic-like equations in a closed form and obtain wave equations for their perturbations. Amplitudes of economic field waves on economic space can grow as exponent in time and can induce economic and financial crises. Diversity of macroeconomic and financial waves on economic space in simple models underlines importance of wave processes for modeling and forecasting.

Analysis of the evolution of sovereign bond yields by wavelet techniques

The term “wavelets” covers a set of resources from the mathematical analysis that has proven their efficiency in system identification on areas such as hydrology, geology, glaciology, climatology and energy resources optimization. The methodology undergone on systems engineering could be extrapolated to everything conceptualized as “complex system” whatever its nature be. The wavelet techniques provide the description of non-stationary components and the evolution of macroeconomic variables in the frequency domain. The identification of predominant frequential scales and transient effects in time series highlights the multiresolutional analysis that would be more difficult to treat with traditional methods of econometrics. A review of the literature will show the potential problems that can be solved with these techniques, including prediction of benefits calculated on the evolution of the risk premium of a country, the extraction of symmetric macroeconomic shocks in country clusters, or detection of transient effects on the mutual influence of sovereign bonds between pairs of countries, among others. The dissertation will culminate in specific applications that show the power of wavelet techniques in identifying possible determinants and correlation of the evolution of sovereign bond yields in the euro area countries.

Analysis of the Evolution of Sovereign Bond Yields by Wavelet Techniques

The term ”wavelets” covers a set of resources from the mathematical analysis that have proven their efficiency in system identification on areas such as hydrology, geology, glaciology, climatology and energy resources optimization. The methodology undergone on systems engineering could be extrapolated to everything conceptualized as ”complex system” whatever its nature. The wavelet techniques provide the description of non-stationary components and the evolution of macroeconomic variables in the frequency domain. The identification of predominant frequential scales and transient effects in time series, highlights the multiresolucional analysis, that would be more difficult to treat with traditional methods of econometrics. A review of the literature will show the potential problems that can be solved with these techniques, such as prediction of benefits calculated on the evolution of the risk premium of a country, the extraction of symmetric macroeconomic shocks in country clusters, or detection of transient effects on the mutual influence of sovereign bonds between pairs of countries, among others. The dissertation will culminate in specific applications that show the power of wavelet techniques in identifying possible determinants and correlation of the evolution of sovereign bond yields in the euro area countries.

Changes in the International Economic Order after the Global Financial Crisis

Changes in the International Economic Order after the Global Financial Crisis

Foreign borrowing and macroeconomic adjustment to external shocks

This paper analyzes the impact of anticipated and unanticipated external shocks on the evolution of macroeconomic variables, particularly foreign borrowing, and on steady-state stocks of capital and debt. We find that the desired mode of adjustment to a shock is highly sensitive to its nature. Intertemporal substitution effects often dominate the pure wealth loss effect. External disturbances will typically be intertemporally correlated in the real world; the paper analyses the resulting implications for the dynamic smoothing of adjustment.