Transcript Empirical Project

Empirical Project
Title: Interest Rates and Economic Growth
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Step 1: Get an empirical paper on interest rates and economic growth. A paper
that relates interest rates at different maturities with some measure of
economic growth in different countries. Causality can go in any direction.
Step 2: Try to replicate that paper. To do that you have to get the data, for
instance from the data-base HIS Global Insight (14-04-10 you should hand in a
piece of paper with the title of the paper you are going to replicate, a brief
description of your empirical project, and a description of the data you will be
using).
Step 3: Find the best univariate model for the two variables of step 2, having
in mind the paper of step 1 and a forecasting criteria (5-05-10 you should hand
in a piece of paper the best univariate model you have obtained).
Step 4: If any of the variables have a trend, decompose that variable into a
trend and a cycle (for instance, Beveridge-Nelson decomposition).
Step 5: Construct the best corresponding bivariate VAR model and the IRFs
derived from it.
Step 6: Analyze Granger-causality, as well as cointegration. If possible carry
on the Gonzalo-Granger permanent and transitory decomposition of both
variables.
Step 7: Conclusions. You must hand in the project (No More than 3 pages)
the day of the final exam. Remember that Science is Summary.
Some Hints
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Use JSTOR
Use the NBER working papers data-base
Use Google and Google-Scholar
Use Economic Letters, Applied Economics, etc.
See the book by Kerry Patterson (2000): “An introduction to
Applied Econometrics, a time series approach”
Alternative Project: Global Warming
Follow the same previous steps but between C02 and Temperature and/or between
GDP and C02.