FindEcon Monograph Series: Advances in Financial Market Analysis, vol 4

Edited by Władysław Milo (), Piotr Wdowiński () and Grzegorz Szafrański ()

in FindEcon Books: Forecasting Financial Markets and Economic Decision-Making from University of Lodz, currently edited by Piotr Wdowiński

Abstract: The links between financial markets and real economies are sometimes neglected in modelling and forecasting. The thorough knowledge of price mechanisms, changes in financial market returns and risk may help investors, policy-makers and other financial agents to adjust their tactics and strategies to the market conditions and conjunctures. The authors of the monograph attempt to address these problems and the way they should be solved. The empirical papers on forecasting exchange rates, interest rates, inflation and capital market behavior presented in the book make use of the most up-to-date methodological issues. One can find the insights on modelling long- and short-run dynamics, structural breaks, and cointegration analysis. The topics in the book belong to the area of forecasting financial markets supporting the economic decision-making. The chapters broaden the research horizons for economists and professionals in this area. We open many discussions on the theoretical and empirical issues concerning the financial sector in the general macroeconomic framework. The monograph covers topics of theoretical and empirical matters. It gives the framework of modelling and forecasting financial markets from the micro-and macroeconomic perspective. The topics include issues of exchange rates, interest rates, capital market returns and inflation modelling which are very important in the understanding of macroeconomic development. This monograph consists of three parts. Part one outlines exchange rate modelling under different regimes. Four chapters offer an empirical analysis of forecasting exchange rates in their two most important aspects, i.e. level and volatility. In Part two we get the insight into the microeconomic foundations of financial market. Part two presents three studies on econometric techniques explaining the behavior of different agents like trading frequency, capital market beta convergence and imperfect market competition in interest rate formation. Part three is focused on long-lasting discussion about links between inflation and unemployment. In two chapters the long- and short-run factors of inflation changes are presented. This monograph was preceded by the annual international conference Forecasting Financial Markets and Economic Decision-Making (FindEcon) which was held in 2006. The FindEcon conference, first proposed in 2002, is organized by the Department of Econometrics at the University of Łódź, Poland. This monograph is published within the framework of ‘FindEcon Monograph Series" on ‘Advances in Financial Market Analysis" under the title Financial Markets: Principles of Modelling, Forecasting, and Decision-Making. The ‘FindEcon Monograph Series" was launched as the output of FindEcon 2005 conference with two monographs which were published in 2006 (Numbers 1 and 2). Three monographs (Numbers 3, 4 and 5) are published after FindEcon 2006 conference. The scientific quality of the papers in this book was assured by the conference Programme Committee and independent referees. We appreciate their efforts and would like to thank them for their support. We are grateful to all contributors to this book as this is a selection of insightful studies on modelling and forecasting financial markets.

Keywords: Interest rates and exchange rates modelling; Financial markets and microeconomic foundations; Inflation and unemployment modelling (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
Edition: 1
ISBN: 978-83-7525-601-6
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.repec.uni.lodz.pl/RePEc/files/findec/2007/2007_No_4_Ch_0.pdf (application/pdf)

Chapters in this book:

Ch 1 Notes on Forecasting Equilibrium Interest Rates – Commercial Credit Market , pp 9-23

Władysław Milo and Magdalena Rutkowska

Ch 2 Structural Breaks and Long Memory in the Volatility of Polish Exchange Rates , pp 25-40

Małgorzata Doman

Ch 3 A Note on the Dornbusch Overshooting Model under Nominal and Real Interest Rates , pp 41-60

Piotr Wdowiński

Ch 4 Are the Multifractal Properties of Exchange Rates Robust? , pp 61-74

Vahidin Jeleskovic

Ch 5 What Makes Speculators Trade More Often? Empirical Analysis of the TSE Data , pp 77-97

Timur Yusupov and Elena Yusupova

Ch 6 Beta Estimation, Forecasting and Convergence , pp 99-110

Janusz Brzeszczynski and Jerzy Gajdka

Ch 7 The Interest Rate Pass-Through in Poland 1997–2005 , pp 111-123

Grzegorz Szafrański

Ch 8 Inflation Expectations and Regime Shifts , pp 127-142

Matti Viren

Ch 9 Estimation of Steady State Equilibrium Path for Polish Economy in Years 1990–2005 , pp 143-160

Stanisław Kluza and Sebastian Stolorz

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ann:findeb:book:y:2007:n:04:mon

Access Statistics for this book

More books in FindEcon Books: Forecasting Financial Markets and Economic Decision-Making from University of Lodz Contact information at EDIRC.
Bibliographic data for series maintained by Piotr Wdowiński ().