Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein
Address delivered at the occasion of accepting the appointment as Professor of Econometrics of Macro-Finance at the Erasmus School of Economics
The crises of this century have stressed how intertwined macroeconomics and finance are in practice. This intertwinement was absent in most economic models. This led to calls for economists to step out of their specialized silos. Since then, the literature of macro-finance, which studies the relationship between asset prices and economic fluctuations, has been developed. In this inaugural address, I argue for a prominent role of econometrics to study the macro-finance interaction. Key elements such as mixed frequencies and the selection of factors can be incorporated using recent econometric advances. I discuss some of the results, such as estimation of continuous-time equilibrium models for macroeconomic and financial series, as well as characteristics of trading on financial markets after macroeconomic news releases. Finally, I discuss the outstanding challenges, which include developing a yield curve model based on macroeconomic foundations, modeling how financial markets anticipate news releases, and developing a macro-finance model for European bond markets taking into account the large heterogeneity across the continent.
|Keywords||Macro-Finance, Econometrics, Financial Econometrics, Fixed Income, Time Series Econometrics, Term Structure of Interest Rates, macro-economie, economische crises, econometrische modellen, financiering, obligaties, tijdreeksen|
|JEL||Financial Econometrics (jel C58)|
|Series||ERIM Inaugural Address Series Research in Management|
van der Wel, M. (2020, January 31). Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein. ERIM Inaugural Address Series Research in Management. Retrieved from http://hdl.handle.net/1765/124748