Monetary Policy and Credit Easing

December 26, 2011

Here at the dancing economist, we wish to educate our followers on the finer points of economics and this includes econometrics and using R. R as mentioned previously is a free statistical software that enables regular people like us to do high end economics research. Recently, I wrote a paper on how the Federal Reserves actions have impacted both short-term and long-term risk premiums. In the next few blog posts I will be posting sections of the paper along with the R code necessary to perform the statistical analysis involved. One interesting result is that the Feds balance sheet although not previously manipulated was heavily involved in reducing long-term risk premia over the period from 1971 to 1997. The methodology in the paper involved performing a Generalized Least Squares procedure and accounting for residual correlation to achieve the assumptions as stated by the Gauss-Markov Theorem. More will follow,

Keep Dancing,

Steven J.

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