Monetary Policy and Credit Easing

December 26, 2011

[This article was first published on The Dancing Economist, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
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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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