Blog Archives

Dealing with different object types in a vector in R

March 19, 2013
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I came across a little problem while dealing with a vector in R which had one of the most simple solutions. These are, in my opinion, the most annoying problems with the most simple and commonsensical solution. Anyways, yet again Utkarsh comes to rescu...

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Measuring persistence in a time series : Application of rolling window regression

Measuring persistence in a time series : Application of rolling window regression

During my final semester at IGIDR I did a project paper in macroeconomics involving timeseries econometrics. The concept that I focused on my study was unit root, which I have touched upon in my earlier posts. This study presents a novel...

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Term structure of interest rate spread volatility : Unit root test

Term structure of interest rate spread volatility : Unit root test

Recently, I was working on my master's thesis and came across an interesting observation regarding the term structure of interest rate spread volatility that I wish to share. Let me first try and throw some light on the jargon that I have used. To begi...

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M-O-M vs Y-O-Y inflation rates in India

April 12, 2012
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M-O-M vs Y-O-Y inflation rates in India

Some time back I came across this article, by one of our alumni who is currently at NIPFP, which presents some caveats and shortcomings of different measure of inflation in India in a concise manner. Since my master's thesis topic revolves around infla...

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"Fear of floating exchange rate" or "fear of losing international reserves".

March 10, 2012
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"Fear of floating exchange rate" or "fear of losing international reserves".

We were recently required to do an assignment for the International Finance course where we had to investigate the policy that the emerging economies adopt towards holding international reserves. A recent research paper at the NBER by Joshua Aizen...

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GARCH estimation using maximum likelihood

February 9, 2012
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In my previous post I presented my findings from my finance project under the guidance of Dr Susan Thomas. The results in my paper suggested that there are macroeconomic variables, particularly the INR/USD exchange rates, that help us understand the dynamics of stock returns. Although the results that I obtained were significant at 5%...

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Revisiting basic macroeconomics : Illustrations with R

January 5, 2012
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Revisiting basic macroeconomics : Illustrations with R

PrologueAfter 3 semesters of studying economics at IGIDR, the basics of macroeconomics still elude me. What policy shifts what curve? What determines the slope of IS-LM and AD-AS curves? What exactly was Keynes contribution to Economics? How do all the...

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Memoization in R : Illustrative example

January 4, 2012
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I came across a nice problem at project euler that gave me sense of satisfaction that was unusual, I think that because I don't usually get the solutions right the first time as I did in this case. Anyhow, I shall try and decode the R codes that I...

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Modelling returns using PCA : Evidence from Indian equity market

December 26, 2011
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As my finance term paper, I investigated an interesting question where I tried to identify macroeconomic variables that explain the returns on equities. Much of the debate has already taken place on this topic which has given rise to two competing theo...

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Movement around the mean "Stationary" OR "Unit root"

December 7, 2011
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Movement around the mean "Stationary" OR "Unit root"

The idea of modelling the time series of GNP, and other macroeconomic variables, data for US as a trend stationary (TS) process was brought into question by Nelson and Plosser in their groundbreaking research paper in 1982. Their re...

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