Successfully reported this slideshow.
We use your LinkedIn profile and activity data to personalize ads and to show you more relevant ads. You can change your ad preferences anytime.

Omer discussant Luke M PhD Conference 2012


Published on

  • Be the first to comment

  • Be the first to like this

Omer discussant Luke M PhD Conference 2012

  1. 1. Fixed  Investment,  uncertainty  and   financial  markets  vola7lity  in  Japan   Author  Luke  Meehan   Discussant  Omer  Majeed  
  2. 2. Strengths     •  Interes7ng  topic.     •  Methodologically  sound.     •  A  novel  approach.  Using  TVP-­‐VAR,  along  with   Bayesian  methods.  
  3. 3. Sugges7on/comments   •  Posterior  can  be  quite  sensi7ve  to  priors.     o  Karagedikli  et  al  (2010),  “RBCs  and  DSGEs:   the  computa7onal  approach  to  business   cycle  theory  and  evidence",  Journal  of   Economic  Surveys.   •  Should  under  take  sensi7vity  analysis  to  see  if   posterior  is  prior  driven  or  likelihood  driven.  
  4. 4. Sugges7on/comments   •  Bayesian  techniques  adapted  to  deal  with  model   uncertainty.   •  There  usually  is  considerable  model  uncertainty   with  these  models.   –  Variables  to  choose  (unit  labour  costs  etc,  integrated   health  of  world  economy  and/or  financial  markets   maer);   –  Cointegra7on  rank;   –  Lag  length;  and   –  Structural  breaks.  
  5. 5. Sugges7on/comments   •  Could  construct  a  reasonable  model  space  and   use  Bayesian  Method  Averaging  to  see  how   robust  your  results  are.     o  Garra,  Koop,  Mise  and  Vahey  (2009)  “Real-­‐ 7me  predic7on  with  UK  monetary  aggregates   in  the  presence  of  model  uncertainty",   Journal  of  Business  and  Economic  Sta7s7cs,   27(4),  480-­‐491  
  6. 6. Sugges7on/comments   •  Sample  size.  (September  1987  to  February   2011).  Why?  
  7. 7. Sugges7on/comments   •  Some  interes7ng  results.  Which  need  to  be  explained.     •  For  example  :   •  “Posi7ve  spikes  in  machinery  investment  deliver  short-­‐   and  long-­‐term  Tankan  falls.  This  indicates,  according  to   the  assump7ons  made  here  about  the  strong  link   between  Tankan  business-­‐confidence  and  uncertainty,   that  increasing  the  fixed  produc7ve  capacity  of  firms   on  a  macro  scale  increases  macro-­‐level  uncertainty.   This  inverse  rela7onship  between  investment  and   confidence  requires  further  study.”  
  8. 8. In  conclusion   •  A  very  novel  approach  to  looking  at  fixed   investment,  uncertainty  and  financial  markets.   •   Sound  methodology.       •  May  be  the  sugges7ons  given  will  help.