Academy of Finland
Funding decision
Name Lanne, Markku
Organisation University of Helsinki
Project title Structural Analysis of Non-Gaussian Macroeconomic and Financial Time Series
Decision No. 308628
Decision date 13.06.2017
Funding,period 01.09.2017 - 31.08.2021
Funding 480 000
WebFOCUS Report
Project description
In the project, we develop and apply new econometric models for structural modelling of macroeconomic and financial time series, and related methods. Our models are designed to capture non-normality in economic time series, which facilitates identification of the parameters of the models and thus the analysis of the effects of economic shocks. An important special case are models allowing for different effects across regimes, such as the phases of the business cycle. We also consider models facilitating the empirical analysis of non-fundamental equilibria. Non-fundamentalness arises, for example, when economic agents learn in advance about future economic policy measures, and immediately act upon them. In addition to applications to economic policy, we plan to apply the models to examine financial and macroeconomic interconnectedness, especially the transmission of economic volatility across markets and geographical regions.