1. Math
  2. Statistics And Probability
  3. answer the following fundamental questions for each time series exercise...

Question: answer the following fundamental questions for each time series exercise...

Question details

Answer the following fundamental questions for each time series (exercise 1-10):

i. What is measured? (definition of the time series)

ii. How is it measured? (measurement units)

iii. What is the periodicity? (frequency of the series)

iv. What are the dominant features of the time series? (trends, non-seasonal cycles, seasonal cycles)

18 CHAPTER 1 Introduction and Context FIGURE E.2 Saving Rate (%). Monthly Data 1988/ ,m/i 01-2008/02 4 0 -2 01-88 01-90 01-92 01-94 01-96 01-98 01-00 01-02 01-04 01-06 01 Source: St. Louis Federal Reserve Bank. FRED. a. What is the definition of saving rate? b. What does negative saving rate mean, and when does it occur? c. What is contributing to the downward trend? FIGURE E.3 Inflation Rate (12-Month Percentage Change) Monthly Data 1998/01- 2008/03 5 4 2 -All items __ All Items less food and energy Source: St. Louis Federal Reserve Bank. FRED a. What is the definition of inflation rate? b. How would you compute the 12-month percentage change? c. What is the main difference between the two time series of the inflation rate d. What is the purpose of excluding the prices of food and energy? e. How does the U.S. inflation rate compare to that of other countries?

Exercises 19 FIGURE E.4 Home Price Index (12-Month Percentage Change) Monthly Data 1988-2008/02 S&P/Case-Shiller Home Price Indices 24% 21% 18% 15% 12% 9% 6% 3% 0% 21% 12% 10-City composite 20-City composite -3% -6% -6% 9% 12% -15% 12% -15% 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 Source: Standard and Poors and Fiserv a. What does the Case-Shiller Index measure? b. Was there a housing market bubble or just an economic cycle from 1996 to 2006? c. What was going on in the U.S. economy from 1996 to 2006? Time Series of the U.S. Financial Economy FIGURE E.5 Dow Jones Industrials Index, Monthly 16000 14000 12000 Data 1988/0110000 8000 6000 4000 2000 2008/04 Source: Yahoo Finance.

Introduction and Context 20 CHAPTER 1 a. What does this index measure? b. What is the total return over this 20-year period? c. Why is there a trend? d. Do similar indexes for other countries exhibit a corresperding rrd? FIGURE E.6 Exchange Rate U.S.$/ Euro, Monthly 1999/01- 2008/03 1.3 1.0 0.8 0.5 1999:01 2000:07 2002:012003:07 2005:01 2006:07 2008:01 Source: St. Louis Federal Reserve Bank. FRED a. What is an exchange rate? What does the value of U.S. $/euro b. In which years is the euro appreciating? c. In which years is the dollar depreciating? 1.5 mean? FIGURE E.7 Exchange Rate Japanese Yen/U.S. $ Monthly 1988/01- 2008/03 180 160 140 120 100 80 60 Source: St. Louis Federal Reserve Bank. FRED. a. What does the value of the yen/$ 120 mean? b. In which years is the yen appreciating?

Exercises c. In which years is the dollar depreciating? d. Would you be able to construct the series yen/euro with the informat 21 Figures E.6 and E.7? FIGURE E.8 Mortgage Rates: 30-Year Fixed Loan, Monthly 1988/01- 208 03 12 4 Source: St. Louis Federal Reserve Bank. FRED a. What is a mortgage rate? b. What rate should be higher, that of a 30-year or of a 15-year loan? c. What are the economic factors affecting mortgage rates? d. What is the effect of monetary policy on mortgage rates? 10 6 4 3 3-Month T-Bill 10-Year T-Bond Source: St. Louis Federal Reserve Bank. FRED. FIGURE E.9 Treasury Rates: Short-Term Rate (3-Month T-Bil) and Long-Term Rate (10-Year T-Bond), Monthly 1988/01-2008/03

FIGURE E.10 Spread (Long-Short Term Rates), Monthly 1988/01-2008/03 Long-Short Spread Source: St. Louis Federal Reserve Bank. FRED. a. What is a Treasury bill? b. Is the long-term rate always higher than the short-term rate? c. What is the yield curve? d. In which years does the spread widen? Why? Time Series of the U.S. Society

Solution by an expert tutor
Blurred Solution
This question has been solved
Subscribe to see this solution