University College Cork MSc Financial Economics EC6063 Project

This project, completed for the MSc in Financial Economics at University College Cork, focuses on applied time series analysis. It begins with Autoregressive Distributed Lag (ADL) models, examining the relationship between wage changes and inflation using US data from 1970 to 2010. The project involves interpreting coefficients, conducting Breusch-Godfrey LM tests for serial correlation, and estimating impact and total multipliers. It then delves into forecasting, constructing 95% forecast intervals for inflation. The project further explores unit roots and cointegration using UK and Euro price indices, performing Dickey-Fuller and Augmented Dickey-Fuller tests, and conducting the Engle-Granger test. Finally, the project analyzes VAR models using data on the EURO and STERLING exchange rates, including stationarity tests, Granger causality tests, and impulse response functions. The project covers various econometric techniques and their applications in financial time series analysis.