Topics in Econometrics and Macroeconomics

University Of Wisconsin-Madison, Madison WI

Investigators

Abstract

The proposed research consists of two parts of roughly equal magnitude. The first part is a theoretical econometric project on instrumental variables, or GMM, estimation. The aim is to derive theoretical results on estimators that achieve, or approximately achieve, certain efficiency bounds. Simulations will be used to establish the finite sample performance of the estimators. The second project is an empirical macroeconomic study of interest rates and exchange rates in Asian countries affected by the recent financial crises. A model that includes a monetary policy rule in the form of an interest rate reaction function will be developed and estimated using the empirical techniques developed in the first part of this proposal. A key question is how policy-induced interest rate movements affect exchange rates, risk premia, and, more generally, the economy as a whole.