ECON42115<\/p>\n
Financial Modelling & Business Forecasting<\/p>\n
Postgraduate Programmes 2021\/22<\/p>\n
1<\/p>\n
SUMMATIVE ASSIGNMENT – ECON42115<\/p>\n
Financial Modelling & Business Forecasting<\/p>\n
Examine the causal relationships between finance and macro variables, as follows. For a<\/p>\n
country of your choice, download data for the period from January 2000 until December 2021<\/p>\n
on the following variables: stock market index, inflation rate, output (Industrial Production),<\/p>\n
and interest rates. Use these data to study the relationships between stock market index,<\/p>\n
inflation rate, output (Industrial Production), and interest rates. To do so, you need to answer<\/p>\n
the following questions:<\/p>\n
(i) [10 marks] Compute and discuss the descriptive statistics of your time series (in levels and<\/p>\n
logs). Plot the series and describe patterns.<\/p>\n
(ii) [10 marks] Report and comment on the ACF\/PACF functions of the stock market index,<\/p>\n
the inflation rate, output, and interest rate and each of their first log-differences.<\/p>\n
(iii) [20 marks] Use appropriate Dickey\u2013Fuller tests to test if the above four time series and<\/p>\n
their first log-differences are non-stationary (have a unit root) or not. Explain the test<\/p>\n
procedure, report the test statistics and the appropriate critical values (at 5% significance level)<\/p>\n
and discuss the results.<\/p>\n
(iv) [20 marks] Test for cointegration among the four variables using the Johansen test.<\/p>\n
Explain the test procedure, report the test statistics and the appropriate critical values (at 5%<\/p>\n
significance level). How many macro variables are cointegrated with stock market price?<\/p>\n
Discuss the results.<\/p>\n
(v) [30 marks] If you have found one or more cointegrating relations, estimate the long-run<\/p>\n
causal relationships (i.e., the cointegrating relations) and the Vector Error Correction Model.<\/p>\n
Otherwise, use the Box-Jenkins procedure to estimate a VAR model for the appropriately<\/p>\n
transformed (detrended or differenced) variables. Report the results of Granger causality and<\/p>\n
the impulse response functions. Which macro variables affect stock market prices? Discuss<\/p>\n
the results.<\/p>\n
(vi) [10 marks] Cite three published papers on the relationship between the stock market index<\/p>\n
and the above macro variables and discuss\/compare your results to those reported in those<\/p>\n
three papers.<\/p>\n
ECON42115<\/p>\n
Financial Modelling & Business Forecasting<\/p>\n
Postgraduate Programmes 2021\/22<\/p>\n
2<\/p>\n
Overall word limit: 2500<\/p>\n
SUBMISSION INSTRUCTIONS<\/p>\n
Your completed assignment must be uploaded to Learn ULTRA<\/p>\n
no later than 11:59am on 7th May 2022.<\/p>\n
A penalty will be applied for work uploaded after 11:59am as detailed in the<\/p>\n
Programme Handbook. You must leave sufficient time to fully complete the<\/p>\n
upload process before the deadline and check that you have received a<\/p>\n
receipt. At peak periods, it can take up to 30 minutes for a receipt to be<\/p>\n
generated.<\/p>\n
Assignments should be typed, using 1.5 spacing and an easy-to-read 12-point font.<\/p>\n
Assignments and dissertations\/business project ( help with nursing paper writing from experts with MSN & DNP degrees)s must not exceed the word count<\/p>\n
indicated in the module handbook\/assessment brief.<\/p>\n
The word count should:<\/p>\n
\u25aa Include all the text, including title, preface, introduction, in-text citations, quotations,<\/p>\n
footnotes and any other items not specifically excluded below.<\/p>\n
\u25aa Exclude diagrams, tables (including tables\/lists of contents and figures), equations,<\/p>\n
executive summary\/abstract, acknowledgements, declaration, bibliography\/list of<\/p>\n
references and appendices. However, it is not appropriate to use diagrams or<\/p>\n
tables merely as a way of circumventing the word limit. If a student uses a table or<\/p>\n
figure as a means of presenting his\/her own words, then this is included in the word<\/p>\n
count.<\/p>\n
Examiners will stop reading once the word limit has been reached, and work beyond<\/p>\n
this point will not be assessed. Checks of word counts will be carried out on submitted<\/p>\n
work, including any assignments or dissertations\/business project ( help with nursing paper writing from experts with MSN & DNP degrees)s that appear to be<\/p>\n
clearly over-length. Checks may take place manually and\/or with the aid of the word<\/p>\n
count provided via an electronic submission. Where a student has intentionally<\/p>\n
misrepresented their word count, the School may treat this as an offence under<\/p>\n
Section IV of the General Regulations of the University. Extreme cases may be viewed<\/p>\n
as dishonest practice under Section IV, 5 (a) (x) of the General Regulations.<\/p>\n
Very occasionally it may be appropriate to present, in an appendix, material which<\/p>\n
does not properly belong in the main body of the assessment but which some students<\/p>\n
wish to provide for the sake of completeness. Any appendices will not have a role in<\/p>\n
the assessment – examiners are under no obligation to read appendices and they do<\/p>\n
not form part of the word count. Material that students wish to be assessed should<\/p>\n
always be included in the main body of the text.<\/p>\n
Guidance on referencing can be found in the programme handbook and on Learn<\/p>\n
ULTRA.<\/p>\n
ECON42115<\/p>\n
Financial Modelling & Business Forecasting<\/p>\n
Postgraduate Programmes 2021\/22<\/p>\n
3<\/p>\n
MARKING GUIDELINES<\/p>\n
Performance in the summative assessment for this module is judged against the<\/p>\n
following criteria:<\/p>\n
\u2022 Relevance to question(s)<\/p>\n
\u2022 Organisation, structure and presentation<\/p>\n
\u2022 Depth of understanding<\/p>\n
\u2022 Analysis and discussion<\/p>\n
\u2022 Use of sources and referencing<\/p>\n
\u2022 Overall conclusions<\/p>\n
The word count should include all the text (plus endnotes and footnotes), but<\/p>\n
exclude diagrams, tables, bibliography, references and appendices.<\/p>\n
PLAGIARISM AND COLLUSION<\/p>\n
Students suspected of plagiarism, either of published work or the work of other<\/p>\n
students, or of collusion will be dealt with according to School and University<\/p>\n
guidelines. Your assignment will be put through the plagiarism detection service.<\/p>\n
END OF ASSESSMENT<\/p>\n
——-<\/p>\n
ECON42115<\/p>\n
Financial forecasting and financial modeling<\/p>\n
2021\/22 Postgraduate Programs<\/p>\n
1<\/p>\n
ECON42115 SUMMATIVE ASSIGNMENT<\/p>\n
Financial forecasting and financial modeling<\/p>\n
Examine the following causal links between finance and macroeconomic factors. For a<\/p>\n
country of your choice, download data for the period from January 2000 until December 2021<\/p>\n
on the following variables: stock market index, inflation rate, output (Industrial Production),<\/p>\n
and interest rates. Use these data to study the relationships between stock market index,<\/p>\n
inflation rate, output (Industrial Production), and interest rates. To do so, you need to answer<\/p>\n
the following questions:<\/p>\n
(i) [10 marks] Compute and discuss the descriptive statistics of your time series (in levels and<\/p>\n
logs). Plot the series and describe patterns.<\/p>\n
(ii) [10 marks] Report and comment on the ACF\/PACF functions of the stock market<\/p>\n","protected":false},"excerpt":{"rendered":"
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