The Role of Financial Market in Macro Economic Modeling: Case of Mongolia

• Thesis title in English: The Role of Financial Market in Macro Economic Modeling: Case of Mongolia
• Key words: Financial markets, Small scale macro model, Structural VAR, Impulse response, Mean absolute errors.
• English key words: Financial markets, Small scale macro model, Structural VAR, Impulse response, Mean absolute errors.
• Academic year of topic announcement: 2010/2011
• Thesis type: diploma thesis
• Thesis language: angličtina
• Department: Institute of Economic Studies (23-IES)
• Supervisor: prof. Roman Horváth, Ph.D.
• Author: hidden - assigned by the advisor
• Date of registration: 03.06.2011
• Date of assignment: 03.06.2011
• Date and time of defence: 28.06.2012 00:00
• Venue of defence: IES
• Date of electronic submission: 17.05.2012
• Date of proceeded defence: 28.06.2012
• Opponents: prof. Ing. Michal Mejstřík, CSc.

References

Alan Kirman (2010), “The Economic Crisis is a Crisis for Economic Theory”, GREQAM, Université Paul Cézanne, EHESS, IUF
Haldane, A. G. (2009), “Rethinking the financial network”, Publication of Bank of England.
M. Lacoviello and S. Neri (2009) “Housing Markets Spillovers: Evidence from an Estimated DSGE Model” American Economic Journal of Macroeconomics.
V. Cúrdia, M. Woodford (2009), “Credit spreads and monetary policy”, Federal Reserve Bank of New York in its series staff reports with number 385.
R.P.Smith (2009), “Real-Financial Interactions in Macro-Finance Models“, Quantitative and Qualitative Analysis in Social Sciences, Volume 3, Issue 1
R. Espinoza, F. Fornari And M.J. Lombardi (2009), ” The Role Of Financial Variables In Predicting Economic Activity”, Working Paper Series, No 1108, ECB

Preliminary scope of work

In this study, we evaluated role of financial variables in macro modeling and their performance in case of Mongolia. We employed two different models for assessing performance of financial variables in macro modeling. Result of forecasting performance indicate that financial variables have substantial role on macro modeling and inclusion of financial variable is performing very good result in terms of forecasting in both SVAR and SSMM.

In impulse response analysis show that all positive shocks of financial variables have significant effect to increase industrial production and then it follows by increase of inflation in SVAR models. But in case of SSMM, responses of selected macro variables are quite similar in every case except exchange rate response in stock market index shock.

Preliminary scope of work in English

In this study, we evaluated role of financial variables in macro modeling and their performance in case of Mongolia. We employed two different models for assessing performance of financial variables in macro modeling. Result of forecasting performance indicate that financial variables have substantial role on macro modeling and inclusion of financial variable is performing very good result in terms of forecasting in both SVAR and SSMM.

In impulse response analysis show that all positive shocks of financial variables have significant effect to increase industrial production and then it follows by increase of inflation in SVAR models. But in case of SSMM, responses of selected macro variables are quite similar in every case except exchange rate response in stock market index shock.