Macroeconometric Methods: Applications to the Indian Economy
- ISBN-10
- 9811975914
- ISBN-13
- 9789811975912
- Category
- Business & Economics
- Language
- English
- Published
- 2023-02-24
- Publisher
- Springer
- Author
- Pami Dua
Description
This book provides empirical applications of macroeconometric methods through discussions on key issues in the Indian economy. It deals with issues of topical relevance in the arena of macroeconomics. The aim is to apply time series and financial econometric methods to macroeconomic issues of an emerging economy such as India. The data sources are given in each chapter, and students and researchers may replicate the analyses.The book is divided into three parts—Part I: Macroeconomic Modelling and Policy; Part II: Forecasting the Indian Economy and Part III: Business Cycles and Global Crises. It provides a holistic understanding of the techniques with each chapter delving into a relevant issue analysed using appropriate methods—Chapter 1: Macroeconomic Modelling, Bayesian Methods, Time Series; Chapter 2: Schematic Representation of a Monetary Policy Framework; Analysis of MPC Voting Patterns in Various Countries; Synchronization of Interest Rates in India and of Policy Rates across the Globe; Chapter 3: Co-integration; Chapter 4: Structural VAR; Chapter 5: Panel GMM-IV; Chapter 6: GMM; Chapter 7: VAR, BVAR; Chapter 8: ARIMA-GARCH, VECM, FAVAR; Chapter 9: Simultaneous Equations Model, 2SLS, Policy Simulation; Chapter 10: Spectral Methods; Chapter 11: Markov-Switching Models; Multivariate GARCH Models—GARCH-CCC, GARCH-DCC and GARCH-EWMA and Chapter 12: Statistical Measures of Synchronization of Recessions across Countries.Since the selection of issues is from macroeconomic aspects of the Indian economy, the book has wide applications and is useful for students and researchers of fields such as applied econometrics, time series econometrics, financial econometrics, forecasting methods and macroeconomics.
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