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John A Morrison's Blog – July 2012 Archive (11)

How the ECB uses PCA to analyze Sovereign Bond Markets

I have extracted 4 pages from the ECB FSR of June 2011 to a summary '.pdf' file;

these pages are a box in that FSR (if u are familiar with the FSR you will gettit); the box is titled;-

COMMON TRENDS IN EURO AREA SOVEREIGN CREDIT DEFAULT SWAP PREMIA

& it contains a beautiful & succint description of how the ECB uses the PCA technique in this space.

I have placed the summary file on a url on my website (for…

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Added by John A Morrison on July 27, 2012 at 11:15am — No Comments

From Posteriors to Priors via Cycles

From Posteriors to Priors via Cycles: An Addendum

Martin F. Hellwig

Max Planck Institute for Research on Collective Goods

April 21, 2011

Abstract



Rodrigues-Neto (2009) has shown that a given specification of posteriors of different players in an incomplete-information setting is compatible with a common prior if and only if the posteriors satisfy the so-called cycle equations. This note shows that, if, for any player, any…

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Added by John A Morrison on July 23, 2012 at 9:34pm — No Comments

Beliefs, Doubts and Learning: Valuing Macroeconomic Risk

Richard T. Ely Lecture
Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
By Lars Peter Hansen

http://cowles.econ.yale.edu/conferences/koopmans/tck08/hansen4.pdf

Added by John A Morrison on July 20, 2012 at 11:24pm — No Comments

Recognizing the Limits to Knowability

Change and Expectations in Macroeconomic Models:

Recognizing the Limits to Knowability

Roman Frydman and Michael D. Goldberg

March 13th, 2012

http://www.ifw-kiel.de/konfer/staff-seminar/paper/2012/Frydman_paper.pdf…

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Added by John A Morrison on July 20, 2012 at 11:00pm — 7 Comments

Kydland & Prescott - The Original (for me) "Dynamic Optimal Taxation"

I remember my Professor giving me a photocopy of this [1st reference below] (cf also what is known as K&P '1982'] & I went and sat down in an empty 'Adam Smith' library and read it; it was hot and sunny outside & I did not make sense of one single word, there was alot of that going on that year (1985) but I read it again & made notes in pencil on a pad of accounting paper I remember (vividly); then I went to the park (Glasgow is full of Victorian Parks, its nickname…

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Added by John A Morrison on July 20, 2012 at 10:35pm — No Comments

Rational Expectations in Games

Rational Expectations in Games
By Robert J. Aumann and Jacques H. Dreze

http://www.ma.huji.ac.il/raumann/pdf/86.pdf

Added by John A Morrison on July 17, 2012 at 8:30am — No Comments

Beliefs, Doubts and Learning: Valuing Macroeconomic Risk

Richard T. Ely Lecture
Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
By Lars Peter Hansen

http://cowles.econ.yale.edu/conferences/koopmans/tck08/hansen4.pdf

Added by John A Morrison on July 17, 2012 at 8:30am — No Comments

Mixed Frequency Vector Autoregressive Models Eric Ghysels

First Draft: July 2011
This Draft: March 14, 2012

INCOMPLETE (THIS VERSION)

http://www.econ.kuleuven.be/eng/ew/seminars/papers2012/Paper_Ghysels.pdf

Added by John A Morrison on July 11, 2012 at 4:00am — 1 Comment

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