1st Edition
Perspectives on Econometrics and Applied Economics A Tribute to Sir Clive Granger
This volume is dedicated to the memory and the achievements of Professor Sir Clive Granger, economics Nobel laureate and one of the great econometricians and applied economists of the twentieth and early twenty-first centuries. It comprises contributions from leading econometricians and applied economists who knew Sir Clive and interacted with him over the years, and who wished to pay tribute to him as both a great economist and econometrician, and as a great man.
This book was originally published as a special issue of Applied Financial Economics.
1. Introduction: Special issue in honour of Clive Granger M. P. Taylor
2. Conference keynote: The Applied Economics journals: a personal reflection Sir C. W. J. Granger
3. Modelling the Phillips curve with unobserved components A. Harvey
4. Revisiting UK consumers’ expenditure: cointegration, breaks and robust forecasts D. F. Hendry
5. Combining forecasts – forty years later K. F. Wallis
6. Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators N. A. Armah and N. R. Swanson
7. Does news on real Chinese GDP growth impact stock markets? P. H. Franses and H. Mees
8. Stylized facts of return series, robust estimates and three popular models of volatility T. Teräsvirta and Z. Zhao
9. The euro introduction and noneuro currencies D. van Dijk, H. Munandar and C. M. Hafner
Biography
Mark P. Taylor is Dean of Warwick Business School, UK, and is a leading international authority in open economy macroeconomics and international finance. Although interested in broad research subjects, he focuses particularly on empirical work on exchange rates. Amongst his many published works are studies on the presence of nonlinearity in real and nominal exchange rate movements, on the long-run behaviour of real exchange rates, on the nature and effectiveness of official foreign exchange market intervention and on the micro-structural effects of European Central Bank interest rate announcements.
