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EC450 Advanced Macroeconomics

Winter 2024

Data Assignment

(Due February 7 at noon in MyLS dropbox)

The data assignment is worth 15% of the course grade. You can work individually or in a team of two to three students. If you work in a team, only one team member needs to submit the assignment in MyLS. You can choose any statistical software to use. Please

.     hand in one static PDF file in which you explain how the calculations are done and answer all the questions;

.    submit one data file for each question which contains all the data used in that question;

.    detailed calculations can be included in the individual data file for each question or handed in separately depending on the software used; the goal is that TA and I can easily duplicate your results;

.     name your files starting with the last name(s) followed by the file description:

e.g., LastName(s)_Data.xls, LastName(s)_Answers.pdf, and LastName(s)_Calculation.do.

For students who work individually, include your full name and student number on the cover of the PDF file. For students who work in teams, include the full names and student numbers of all team members on the cover of the PDF file.

1. Part A:

1) Visit BEA’s International Data page

https://apps.bea.gov/iTable/?ReqID=62&step=1#eyJhcHBpZCI6NjIsInN0ZXBzIjpbMSwyXSwiZGF0YSI6W1 siUHJvZHVjdCIsIjEiXV19and download Table 1.1 and Table 5.1 (in millions of current dollars at annual

frequency for 2022).

2) Visit BEA’s National Data page

https://apps.bea.gov/iTable/?reqid=19&step=2&isuri=1&categories=surveyand download Table 1.1.5 (in millions of current dollars at annual frequency for 2022).

3) Replicate Table 1.1 in Chapter 1 using U.S. 2022 data. Show figures in both current dollars (in billions) and as a percentage of GDP.

4) Compare your table with Table 1.1. in the textbook. Describe what you find.

Part B:

1) Visit Statistics Canada athttps://www150.statcan.gc.ca/t1/tbl1/en/tv.action?pid=3610001401and download Table 36-10-0014-01 (in millions of current dollars at annual frequency for 2022).

Part A:

1)   Calculate the cumulative change in the total asset position from the beginning of 2018Q1 to the end of 2023Q3.

2)   Calculate the cumulative changes in the total asset position due to financial account transactions,

due to exchange rate changes, due to market price changes, and due to data revisions (i.e., all other changes to position), respectively, over the entire sample period.

3)   Calculate the cumulative change in the total liability position from the beginning of 2018Q1 to the end of 2023Q3.

4)   Calculate the cumulative changes in the total liability position due to financial account transactions,  due to exchange rate changes, due to market price changes, and due to data revisions (i.e., all other changes to position), respectively, over the entire sample period.

5)   Calculate the cumulative change in the net international investment position from the beginning of 2018Q1 to the end of 2023Q3.

6)   Calculate the cumulative changes in the net international investment position due to financial

account transactions, due to exchange rate changes, due to market price changes, and due to data revisions (i.e., all other changes to position), respectively, over the entire sample period.

7)   Create a bar chart and comment on the importance of cumulative financial account transactions,

exchange rate changes, market price changes, and data revisions (i.e., all other changes to position) in determining the cumulative changes in total asset position, total liability position, and net

international investment position from the beginning of 2018Q1 to the end of 2023Q3.

Part B:

1)    For each year between 2018 and 2022, calculate the annual change in the total asset position from the beginning of the year to the end of the year.

2)    For each year between 2018 and 2022, calculate the annual changes in the total asset position due to financial account transactions, due to exchange rate changes, due to market price changes, and

due to data revisions (i.e., all other changes to position), respectively, from the beginning of the year to the end of the year.

3)    For each year between 2018 and 2022, calculate the annual change in the total liability position from the beginning of the year to the end of the year.

4)    For each year between 2018 and 2022, calculate the annual changes in the total liability position

due to financial account transactions, due to exchange rate changes, due to market price changes,    and due to data revisions (i.e., all other changes to position), respectively, from the beginning of the year to the end of the year.

5)    For each year between 2018 and 2022, calculate the annual change in the net international investment position from the beginning of the year to the end of the year.

6)    For each year between 2018 and 2022, calculate the annual changes in the net international investment position due to financial account transactions, due to exchange rate changes, due to market price changes, and due to data revisions (i.e., all other changes to position), respectively, from the beginning of the year to the end of the year.

7)   Create three seperate bar charts, which show the importance of financial account transactions, exchange rate changes, market price changes, and data revisions (i.e., all other changes to position) in determining the annual changes in total asset position, total liability position, and net international investment position, respectively, for each year over the period of 2018-2022.

8)   Comment on the potential driving factors on the annual changes observed.

5.    Visit BEA at

https://apps.bea.gov/iTable/?ReqID=62&step=1#eyJhcHBpZCI6NjIsInN0ZXBzIjpbMSwyXSwiZGF0YSI6W1 siUHJvZHVjdCIsIjEiXV19and download Table 1.1. U.S. International Transactions for the period of 1976-  2022 (in millions of current dollars at annual frequency).

Visit BEA athttps://apps.bea.gov/iTable/?reqid=62&step=5&isuri=1&product=5and download Table 1.1 U.S. Net International Investment Position at the End of the Period for the period of 1976-2022 (in millions of current dollars at annual frequency).

1)   Calculate the net investment income of each year.

2)   Construct a time series of dark matter using the methodology explained in subsection 1.7.1. Assume r=0.05, which is about the average real rate of return on equities in the U.S over the past 50 years.

3)   Construct a time series of return differential (i.e., rA  − rL ) using the methodology explained in subsection 1.7.2. Assume that rL  is equal to the rate of return on one-year U.S. treasury bonds (download the market yield on 1-Year U.S. Treasury Securities at

https://fred.stlouisfed.org/series/RIFLGFCY01NA).

4)    Discuss the plausibility of the dark matter hypothesis based on its size and its volatility over time.

5)    Discuss the plausibility of the return differential hypothesis based on its size and its volatility over time.