System Dynamics in Economic and Financial Models

Christiaan Heij · Hans Schumacher · Bernard Hanzon · C. Praagman

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Monetary Policy and Economic Impact Economic theories and models Complex Systems and Time Series Analysis

Abstract

NON-LINEAR DYNAMICS IN ECONOMIC AND FINANCIAL MODELS. Models of Complexity in Economics and Finance (W. Brock C. Hommes). Non-linear Dynamics and Predictability in the Austrian Stock Market (E. Dockner, et al.). Predictability and Economic Time Series (P. Ormerod M. Campbell). NON-LINEARITIES IN EMPIRICAL MODELLING. Smooth Transition Models (T. Terasvirta). Empirical Behaviour of Interest-Rate Models (J. Moraleda A. Vorst). Data-Based Mechanistic Modelling (P. Young D. Pedregal). TRENDS AND NON-STATIONARITY. Cointegration Analysis (H. Bierens). The Relationship Between Money and Prices: An Econometric Appraisal Based on Cointegration and Causality (M. Funke, et al.). Multivariate Structural Time Series Models (A. Harvey S. Koopman). Impulse Response Analysis of Vector Autoregressive Processes (H. L tkepohl J. Breitung). Data Transformations and Detrending in Econometrics (D. Pollock). Index.

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