Manchester Economics Seminars (MES)
The aim of MES is to provide a forum for distinguished scholars to talk about their research to a general economics, rather than a specialist, audience.
2011-2012
November 16, 2011
Venue: Room G7, Humanities Bridgeford Street Building
Time: 2.30pm - 4pm
Professor Barry McCormick, Oxford University
Title: "NHS Emergency Care: Can Economics Inform Policy?"
Bio
Barry McCormick is the Director of the Centre for Health Service Economics and Organisation at Nuffield College, University of Oxford. He has previously served as Chief Economist and Director of Analysis in the Department of Health 2002-2010, and was an academic consultant to the Treasury from 2001-2002. Prior to working at the Department of Health, Barry worked in academia and was Professor of Economics at the University of Southampton from 1991-2002. His current research focus is on health economics; he has also published widely on issues in labour economics and migration. He served on the Editorial Board of Economic Journal Conference Volume from 1992-1995, was the founding editor of the Economic Review, 1983-92, and was a Council/Executive Committee member of the Royal Economic Society for 2004-9. In 2010, he was awarded a CBE.
March 7, 2012
Venue: Room G7, Humanities Bridgeford Street Building
Time: 2.30pm - 4pm
Professor Andrew Harvey, Cambridge University
Title: Dynamic Modles for Volatility and Heavy Tails
Abstract
A class of nonlinear time series models, designed to extract a dynamic signal from noisy observations, is proposed. The signal may be the level of a series or it may be a measure of scale. Changing scale is of considerable importance in financial time series where volatility clustering is an established stylized fact. Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used to extract the current variance of a series. However, using variance (or rather standard deviation) as a measure of scale may not be appropriate for non-Gaussian (conditional) distributions. This is of some importance, since another established feature of financial returns is that they are characterized by heavy tails. The dynamic equations in GARCH models are filters. Just as the filters for linear Gaussian level models are linear combinations of past observations, so GARCH filters, because of their Gaussian origins, are usually linear combinations of past squared observations. The models described here replace the observations or their squares by the score of the conditional distribution. When modelling scale, an exponential link function is employed, as in exponential GARCH (EGARCH), thereby ensuring that the filtered scale remains positive. The unifying feature of the models in the proposed class is that the asymptotic distribution of the maximum likelihood estimators is established by a single theorem which delivers an explicit analytic expression for the asymptotic covariance matrix of the estimators. The conditions under which the asymptotics go through are relatively straightforward to verify. There is no such general theory for GARCH models. Other properties of the proposed models may be found. These include analytic expressions for moments, autocorrelation functions and multi-step forecasts. The properties, particularly for the volatility models, which employ an exponential link function, are more general than is usually the case. For example, expressions for unconditional moments, autocorrelations and the conditional moments of multi-step predictive distributions can be found for absolute values of the observations raised to any power. The generality of the approach is further illustrated by consideration of dynamic models for non-negative variables. Such models have been used for modelling durations, range and realized volatility in finance. Again the use of an exponential link function combined with a dynamic equation driven by the conditional score gives a range of analytic results similar to those obtained with the
new class of EGARCH models.
Bio
Andrew Harvey is Professor of Econometrics at the University of Cambridge and a Fellow of Corpus Christi College. He has made many important contributions to econometrics, notably on the use of unobserved components models and the Kalman filter in the analysis of economic time series. He has published a number of well-received texts and research monographs; these include The Econometric Analysis of Time Series and Time Series Analysis both of which were first published in 1981 and became, in their day, the standard texts for teaching time series econometrics in leading UK departments. More recently, he has published State Space and Unobserved Component Models (with S. J. Koopman and N. Shephard) with Cambridge University Press, and Readings in Unobserved Components Models (with T. Proietti) with Oxford University Press. Andrew is also one of the main developers of STAMP, an OxMetrics module for structural time-series analysis and forecasting software. He is a Fellow of the Econometric Society and the British Academy.
March 21, 2012
Venue: Room G7, Humanities Bridgeford Street Building
Time: 2.30pm - 4pm
Professor Joshua Aizenman, University of California at Santa Cruz
Title: "Managing Financial Integration and Capital Mobility-Policy lessons for Emerging Markets and the Struggling Euro"
Abstract
The accumulated experience of emerging markets over the last two decades has laid bare the
tenuous links between external financial integration and faster growth on the one hand and the proclivity of such integration to fuel costly crises on the other. These crises have not gone without learning. During the 1990s and 2000s, emerging markets converged to the middle ground of the policy space defined by the macroeconomic trilemma, with growing financial integration, controlled exchange rate flexibility and proactive monetary policy. The OECD countries moved much faster towards financial integration, embracing financial liberalization, opting for a common currency in Europe, and for flexible exchange rates in other OECD countries. Following their crises of 1997-2001, emerging markets added financial stability as a goal, self-insured by building up international reserves and adopted a public finance approach to financial integration. The global crisis of 2008-09, which originated in the financial sector of advanced economies, meant that the OECD “overshot” the optimal degree of financial deregulation while the remarkable resilience of the emerging markets validated their public finance approach to financial integration. The lecture will conclude with lessons from the history of Emerging Markets and the US for the struggling Euro.
Background material for the lecture:
- Managing financial integration and capital mobility
- What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk
Bio
Joshua Aizenman is Professor of Economics at the University of California at Santa Cruz and a Research Associate at the National Bureau of Economic Research. He is well known for his research in International Economics, especially on issues in open economy including commercial and financial policies, crises in emerging markets, foreign direct investment, capital controls, and exchange rate regimes. He has acted as consultant for the International Monetary Fund, the World Bank, the Inter-American Development Bank, and the Federal Reserve Bank of San Francisco. He is currently editor of the Journal of International Money and Finance and on the editorial board of both the European Economic Review and International Trade and Economic Development. He is the president of the International Economics and Finance Society (IEFS) for 2011-2013.
April 18, 2012
Venue: Room G7, Humanities Bridgeford Street Building
Time: 2.30pm - 4pm
Professor Ray Rees, University of Munich
Title : The Mirrlees Commission Report on the UK Tax System
Abstract
Timed to coincide (approximately) with the 30th anniversary of the Meade Commission Report, the two volumes Dimensions of Tax Design (IFS 2010) and Tax by Design (IFS 2011) produced by the Mirrlees Commission are intended to be equally monumental surveys of the state of the art in theoretical and empirical tax economics as well as equally influential focal points for discussion of future directions of tax reform, not only in the UK. Though there is much to agree with in the proposals made in Tax by Design, this lecture seeks to contribute to the process of discussion and debate by focusing on what are seen to be its main weaknesses: its espousal of the case for a fundamental change in the tax base from income to expenditure and its proposals for the way in which the income from saving should be taxed. As will be argued, these weaknesses stem ultimately from the limitations inherent in the conventional models underlying the existing economic analysis of taxation.
Bio
Ray Rees is Emeritus Professor of Economics in the Economics Faculty, University of Munich, and Programme Director at the Centre for Economic Studies (CES) there. He has published widely in the economics of regulation and public enterprise, industrial economics and competition policy, the economics of information and insurance, and tax theory and policy. Recent books include the third editions of Microeconomics (with H. Gravelle) and Mathematics for Economics (With M. Hoy et.al.) and a new work, Public Economics and the Household (with P.F. Apps). This last sets out to extend the models used for the analysis of tax theory and policy by taking account of the main features of real households, such as multiple earners and the central role that the family plays in labour supply, consumption and saving decisions over the life cycle. He is currently President –Elect of the European Group of Risk and Insurance Economists (EGRIE).