Author : Fabio Gómez-Rodríguez
Release : 2021
Genre : Finance
Kind : eBook
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Book Synopsis Essays on Functional Time Series by : Fabio Gómez-Rodríguez

Download or read book Essays on Functional Time Series written by Fabio Gómez-Rodríguez. This book was released on 2021. Available in PDF, EPUB and Kindle. Book excerpt: A time series is said to be non-stationary if the distribution of the random object that generates it changes over time. This dissertation studies models to describe non-stationary functional time series. Specifically, it considers functional autoregressions with unit-roots and functional regime-switching models.The first chapter of this dissertation briefly introduces functional time series. Then, it describes the functional autoregression model (FAR). Setting up this dissertation, I show how one can modify the FAR model to analyze non-stationary time series. Chapter 2 uses a functional autoregression model with unit roots to model the nominal yield curve. I answer the question: "How do the US government's decisions affect its borrowing costs?" I find that government spending raises the long-term end of the yield, increasing the borrowing costs. We consider a decomposition of government spending in consumption and investment. We find that investment spending increases the yields, especially in the yield curve's long-term end. On the other hand, consumption spending lowers the yield curve, particularly in the curve's short-term end. Chapter 3 analyzes the term structure of expected inflation (from 1-30 years). Using data from the Federal Reserve Bank of Cleveland, I use long-run restrictions to determine Monetary and Fiscal policy's effects on the term structure of expected inflation. Finally, I study the effects of Monetary and Fiscal policy on the distribution of inflation expectations. From survey data, I estimate density functions describing the distribution of inflation expectations. I model this time series as a functional autoregressive model with changes in the error term variance with two regimes, a volatile regime, and a stable regime. In response to contractionary monetary policy, the mean expected inflation decreases about three times more during the volatile period than during the stable period. Government spending increases the mean expected inflation, but this effect is only significant in the stable regime.