2024-03-28T11:09:26Z
https://mpra.ub.uni-muenchen.de/cgi/oai2
oai:mpra.ub.uni-muenchen.de:53
2019-09-29T04:37:35Z
7374617475733D756E707562
7375626A656374733D4F:4F35:4F3537
7375626A656374733D43:4331:433133
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/53/
Explaining the gaps in labour productivity for some developed countries
Razzak, Weshah
O57 - Comparative Studies of Countries
C13 - Estimation: General
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
Modern economic theories explain differences in productivity and economic growth across countries by differences in political and economic institutions, and differences in culture, geographical location, policies, and laws. The success of any of these theories in explaining the gap in productivity between any two countries depends on the countries in the sample. We argue in this paper that differences in the above variables might explain gaps in economic performance between developed and developing countries, but are too small to explain the productivity gaps between developed countries. We test this hypothesis for two pairs of developed neighbouring countries: New Zealand and Australia and Canada and the United States, hence New Zealand – Australia and Canada – United States. In this paper, more than eighty percent of labour productivity gaps between New Zealand and Australia and Canada and the United States are explained by endogenous technology shocks (TFP) and capital intensities.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/53/1/MPRA_paper_53.pdf
Razzak, Weshah (2006): Explaining the gaps in labour productivity for some developed countries.
en
oai:mpra.ub.uni-muenchen.de:136
2019-09-30T17:13:44Z
7374617475733D696E7072657373
7375626A656374733D43:4333:433332
7375626A656374733D45:4533:453331
7375626A656374733D43:4333:433333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/136/
Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models
Basher, Syed A.
Westerlund, Joakim
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E31 - Price Level ; Inflation ; Deflation
C33 - Panel Data Models ; Spatio-temporal Models
Time series unit root evidence suggests that inflation is nonstationary. By contrast, when using more powerful panel unit root tests, Culver and Papell (1997) find that inflation is stationary. In this paper, we test the robustness of this result by applying a battery of recent panel unit root tests. The results suggest that the stationarity of inflation holds even after controlling for crosssectional dependence and structural change.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/136/1/MPRA_paper_136.pdf
Basher, Syed A. and Westerlund, Joakim (2006): Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models. Forthcoming in: Applied Economics Letters
en
oai:mpra.ub.uni-muenchen.de:151
2019-09-28T04:57:54Z
7374617475733D756E707562
7375626A656374733D43:4332:433232
7375626A656374733D46:4634:463433
7375626A656374733D43:4333:433332
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/151/
Exchange rate policy and trade balance. A cointegration analysis of the argentine experience since 1962.
Matesanz Gómez, David
Fugarolas Álvarez-Ude, Guadalupe
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
F43 - Economic Growth of Open Economies
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F31 - Foreign Exchange
Using multivariate cointegration tests for non-stationary data and vector error correction models, this paper examines the determinants of trade balance for Argentina over the last forty to fifty years. Our investigation confirms the existence of long-run relationships among trade balance, Real Exchange Rate (RER) and foreign and domestic incomes for Argentina during different real exchange rate management policies. Based on the estimations, the Marshall-Lerner condition is examined and, by means of impulse response functions, we trace the effect of a one-time shock to the RER on the trade balance checking the J-curve pattern.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/151/1/MPRA_paper_151.pdf
Matesanz Gómez, David and Fugarolas Álvarez-Ude, Guadalupe (2006): Exchange rate policy and trade balance. A cointegration analysis of the argentine experience since 1962.
en
oai:mpra.ub.uni-muenchen.de:189
2019-09-27T05:04:33Z
7374617475733D707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473130
7375626A656374733D43:4335
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/189/
An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model
Vargas, Gregorio A.
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G10 - General
C5 - Econometric Modeling
The Block DCC model for determining dynamic correlations within and between groups of financial asset returns is extended to account for asymmetric effects. Simulation results show that the Asymmetric Block DCC model is competitive in in-sample forecasting and performs better than alternative DCC models in out-of-sample forecasting of conditional correlation in the presence of asymmetric effect between blocks of asset returns. Empirical results demonstrate that the model is able to capture the asymmetries in conditional correlations of some blocks of currencies in East Asia in the turbulent years of the late 1990s.
2006-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/189/1/MPRA_paper_189.pdf
Vargas, Gregorio A. (2006): An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model. Published in: The Philippine Statistician , Vol. 55, No. 1-2 (2006): pp. 83-102.
en
oai:mpra.ub.uni-muenchen.de:210
2019-09-27T05:16:21Z
7374617475733D756E707562
7375626A656374733D43:4332:433232
7375626A656374733D46:4634:463433
7375626A656374733D43:4333:433332
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/210/
Restricción de balanza de pagos y vulnerabilidad externa en la argentina de los noventa. Un análisis de caso
Fugarolas Álvarez-Ude, Guadalupe
Matesanz Gómez, David
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
F43 - Economic Growth of Open Economies
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F31 - Foreign Exchange
En el presente trabajo se aplica el modelo de restricción de balanza de pagos de Thirlwall a la economía argentina en el periodo 1968-2003 y en subperiodos seleccionados. Los objetivos centrales son dos. En primer lugar, a través de dicho modelo indagar en las causas del lento crecimiento económico en Argentina en dicho periodo y, en segundo lugar, en analizar las causas de la reciente crisis de 2002 a luz de los resultados obtenidos. Mediante técnicas econométricas de cointegración llegamos a la conclusión de que el modelo de restricción de balanza de pagos perrmite explicar los objetivos centrales propuestos.
In this paper, we applied balance of payments constraint model by Thirlwall to the Argentine economy in 1968-2003 period. Central aims are two: first, to inquiry in the demand causes of the slow economic growth of the Argentine economy in the period and, second, to analyse demand factors of the last and deep crises in 2002. By using cointegration techniques we show that balance of payments constraint model permit us to explain our central goals in this work.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/210/1/MPRA_paper_210.pdf
Fugarolas Álvarez-Ude, Guadalupe and Matesanz Gómez, David (2005): Restricción de balanza de pagos y vulnerabilidad externa en la argentina de los noventa. Un análisis de caso.
es
oai:mpra.ub.uni-muenchen.de:351
2019-09-26T14:57:12Z
7374617475733D756E707562
7375626A656374733D4F:4F34:4F3439
7375626A656374733D43:4333:433332
7375626A656374733D46:4633:463339
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/351/
Bivariate causality analysis between FDI inflows and economic growth in Ghana
Frimpong, Joseph Magnus
Oteng-Abayie, Eric Fosu
O49 - Other
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F39 - Other
The main objective for this paper is to study the causal link between FDI and GDP growth for Ghana for the pre- and post-SAP periods. We also study the direction of causality between the two variables, based on the more robust Toda-Yamamoto (1995) Granger no-causality test which allows the Granger test in an integrated system. Annual time-series data covering the period 1970-2002 was used. The study finds no causality between FDI and growth for the total sample period and the pre-SAP period. FDI however caused GDP growth during the post-SAP period.
2006-08-26
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/351/1/MPRA_paper_351.pdf
Frimpong, Joseph Magnus and Oteng-Abayie, Eric Fosu (2006): Bivariate causality analysis between FDI inflows and economic growth in Ghana.
en
oai:mpra.ub.uni-muenchen.de:352
2019-09-26T14:45:29Z
7374617475733D696E7072657373
7375626A656374733D46:4631:463134
7375626A656374733D43:4333:433332
7375626A656374733D46:4633:463339
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/352/
Bounds testing approach: an examination of foreign direct investment, trade, and growth relationships
Frimpong, Joseph Magnus
Oteng-Abayie, Eric Fosu
F14 - Empirical Studies of Trade
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F39 - Other
Purpose: This paper examines the long-run impact of foreign direct investment and trade on economic growth in Ghana. Methodology: Using an augmented aggregate production function (APF) growth model, we apply the bounds testing (ARDL) approach to cointegration which is more appropriate for estimation in small sample studies. The data span for the study is from 1970 to 2002. Findings: The results indicated the impact of FDI on growth to be negative which is consistent with other past studies. Trade however was found to have significant impact on growth.
2006-08-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/352/1/MPRA_paper_352.pdf
Frimpong, Joseph Magnus and Oteng-Abayie, Eric Fosu (2006): Bounds testing approach: an examination of foreign direct investment, trade, and growth relationships. Forthcoming in: American Journal of Applied Sciences
en
oai:mpra.ub.uni-muenchen.de:417
2019-09-26T21:59:34Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4334:433433
7375626A656374733D43:4335:433531
7375626A656374733D43:4333
7375626A656374733D45:4531:453137
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/417/
Rotterdam vs Almost Ideal Models: Will the Best Demand Specification Please Stand Up?
Barnett, William A.
Seck, Ousmane
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C43 - Index Numbers and Aggregation
C51 - Model Construction and Estimation
C3 - Multiple or Simultaneous Equation Models ; Multiple Variables
E17 - Forecasting and Simulation: Models and Applications
Among the many demand specifications in the literature, the Rotterdam model and the Almost Ideal Demand System (AIDS) have particularly long histories, have been highly developed, and are often applied in consumer demand systems modeling. Using Monte Carlo techniques, we seek to determine which model performs better in terms of its ability to recover the true elasticities of demand. We derive the correct formulae for the AIDS models elasticities, when the Törnqvist or two modified versions of the Stone index are used to linearize the model. The resulting linearized AIDS are compared to the full AIDS.
2006-02-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/417/1/MPRA_paper_417.pdf
Barnett, William A. and Seck, Ousmane (2006): Rotterdam vs Almost Ideal Models: Will the Best Demand Specification Please Stand Up?
en
oai:mpra.ub.uni-muenchen.de:519
2019-09-26T19:20:28Z
7374617475733D756E707562
7375626A656374733D46:4634:463433
7375626A656374733D43:4333:433332
7375626A656374733D4F:4F34:4F3430
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/519/
Income convergence? Evidence of non-linearity in the East Asian Economies: A comment
Liew, Venus Khim-Sen
Ahmad, Yusuf
F43 - Economic Growth of Open Economies
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
O40 - General
This study demonstrates the usefulness of Kapetanois et al. (2003) test in differentiating the two stages of income convergence—long run convergence and catching up. A re-examination of the “Four Asian Dragons” economies, in which their income differentials with respect to Japan have been identified as non-linear stationary in Liew and Lim (2005), reveals that the economy of Hong Kong, Korea and Singapore are catching up, while Taiwan has yet to catch up, with the Japan economy.
2006-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/519/1/MPRA_paper_519.pdf
Liew, Venus Khim-Sen and Ahmad, Yusuf (2006): Income convergence? Evidence of non-linearity in the East Asian Economies: A comment.
en
oai:mpra.ub.uni-muenchen.de:539
2019-09-26T10:29:37Z
7374617475733D756E707562
7375626A656374733D43:4335:433533
7375626A656374733D43:4335:433531
7375626A656374733D43:4333:433332
7375626A656374733D43:4333:433330
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/539/
The econometrics of violence, terrorism and scenarios for peace in Colombia from 1950 to 2019
Gomez-Sorzano, Gustavo
C53 - Forecasting and Prediction Methods ; Simulation Methods
C51 - Model Construction and Estimation
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C30 - General
Abstract: This paper continues a research born in 1993 as a consequence of the concern regarding the increase in Colombian violence, and especially for its escalation during the 1990’s, its objective is to create an econometric model capable of forecasting the path of terrorist murder under different policy options and helping the country in the design of a state policy drawing the lineaments for reaching the pacification of the country. In the first part I use The Beveridge and Nelson decomposition of economic time series to estimate the cyclical component of murder which is used to construct a theoretically and statistically satisfying model to account for it from 1950 to 2004. The variables that together account for eighty three percent of the variation in cyclical terrorist murder are the years of Colombia’s La Violencia period when the peasant self-defense movements appeared, the years of the so-called National Front political collusion between the two main establishment parties, the real trade balance, the size of Colombia’s military forces as a proxy for all armed forces (military, para-military, guerrilla, and drug-related) in the country, the unemployment rate, the number of students matriculated in all modalities and people displaced in the country. The forecasts for cyclical terrorist murder for 2005-2007 show the big dilemma facing the Colombian authorities: the strong reduction of displaced people from 2003 to 2004 boost the cyclical terrorist murder in the countryside, erasing the initial results by president Uribe’s administration at controlling the intensity of the Colombian civil conflict. The second part presents a first approach at constructing a theoretical near-VAR system for cyclical terrorist murder and social and economic variables in Colombia. The third section presents forecasts 2004-2007 estimated by the single equation model and the near VAR-system. Both models show a jump in terrorist murder by 2004 and 2005 implying that any future policy at diminishing the conflict should control the number of displaced people, one of the biggest problems facing Colombia today. Terrorist murder is expected to decrease again by 2006 and 2007 suggesting that the continuation of The Democratic Security Policy will be destroying the roots of the Colombian civil conflict. The final section presents 11 scenarios 2005-2010 and 18 scenarios 2006-2019. According to them peace will be attained around year 2008 and sustainable peace will be granted before year 2019.
2006-10-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/539/1/MPRA_paper_539.pdf
Gomez-Sorzano, Gustavo (2006): The econometrics of violence, terrorism and scenarios for peace in Colombia from 1950 to 2019.
en
oai:mpra.ub.uni-muenchen.de:630
2019-09-30T19:38:59Z
7374617475733D756E707562
7375626A656374733D46:4634:463431
7375626A656374733D43:4333:433332
7375626A656374733D45:4533:453332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/630/
External shocks and economic fluctuations: evidence from Tunisia
Rzigui, Lotfi
F41 - Open Economy Macroeconomics
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E32 - Business Fluctuations ; Cycles
In this paper, we investigate the role of openness and external shock transmission affecting Tunisian economy. The paper proposes a new econometric methodology of fluctuations analysis in the objective to evaluate the effect of external shock based on trade on the dynamics of the GDP. The estimated common trend model reveals the role of external shock as well as technological shock in variation of economic activity. Our results are added to criticisms addressed to RBC model of first generation and show the role of external shock, ignored a long time in the business cycle literature.
2005-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/630/1/MPRA_paper_630.pdf
Rzigui, Lotfi (2005): External shocks and economic fluctuations: evidence from Tunisia.
en
oai:mpra.ub.uni-muenchen.de:631
2019-10-02T16:43:05Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D45:4533:453332
7375626A656374733D46:4634:463431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/631/
Source of Output dynamics in USA vs. Great Britain: supply, demand or nominal shocks
Rzigui, Lotfi
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E32 - Business Fluctuations ; Cycles
F41 - Open Economy Macroeconomics
The purpose of the present paper is to extend Clarida and Gali (1994) from structural specification to common trend specification and to study the relative importance of nominal, supply and demand shocks in relative output dynamics. Using their long run restrictions for given cointegration vectors, we can identify number of permanent shocks assumed to affect long run dynamics of real activity and estimate the common trend model. From the estimated model we analyze source of output dynamics in USA vs. Great Britain during 1950-2004. The common trend analysis indicates that supply shock is more important than others shocks to explain real activity dynamics and confirms stylized fact of real business cycle theory.
2005-12-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/631/1/MPRA_paper_631.pdf
Rzigui, Lotfi (2005): Source of Output dynamics in USA vs. Great Britain: supply, demand or nominal shocks.
en
oai:mpra.ub.uni-muenchen.de:664
2019-10-06T04:23:51Z
7374617475733D756E707562
7375626A656374733D51:5134:513438
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
7375626A656374733D51:5135:513537
7375626A656374733D51:5134:513432
7375626A656374733D51:5135:513533
7375626A656374733D51:5134:513433
7375626A656374733D43:4331:433133
7375626A656374733D51:5135:513532
7375626A656374733D50:5031:503132
7375626A656374733D51:5135:513536
7375626A656374733D43:4336:433631
7375626A656374733D43:4335
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/664/
Interrelationships and Causal Linkages Between Socioeconomic and Environmental Factors
Mariam, Yohannes
Barre, Mike
Urquhart, Lynda
DeCivita, Paul
Q48 - Government Policy
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
Q57 - Ecological Economics: Ecosystem Services ; Biodiversity Conservation ; Bioeconomics ; Industrial Ecology
Q42 - Alternative Energy Sources
Q53 - Air Pollution ; Water Pollution ; Noise ; Hazardous Waste ; Solid Waste ; Recycling
Q43 - Energy and the Macroeconomy
C13 - Estimation: General
Q52 - Pollution Control Adoption and Costs ; Distributional Effects ; Employment Effects
P12 - Capitalist Enterprises
Q56 - Environment and Development ; Environment and Trade ; Sustainability ; Environmental Accounts and Accounting ; Environmental Equity ; Population Growth
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C5 - Econometric Modeling
The purpose of this study was to examine interrelationship and causal linkages between socioeconomic and environmental variables in OECD countries. To aid this study, a LISREL modelling tool was implemented.
The findings of the study indicated that gross public debt increases with deterioration in air quality in North America, Asia and the Pacific, Central, Eastern and Atlantic regions of Western Europe. Energy consumption contributes to deterioration of air quality in all regions. Economic growth, measured by growth in GDP, accelerates deterioration of air quality in all regions except in Southern and Eastern regions of Western Europe. Increases in energy consumption and economic growth contribute to declines in gross public debt in most OECD countries.
Spending for environmental protection contributes to reduced emission of CO2 in all regions of Europe except Asia/Pacific and North America. Expenditure for environmental protection causes increases in public debt in all regions. However, environmental expenditure exerts positive impact on economic growth in Asia/Pacific and Central Europe. Spending in environmental protection is associated with reduction in emissions of most pollutants except in North America and Asia/Pacific and Southern regions of Western Europe.
The findings also indicated that in regions where emission of SO2 is the greatest, harvesting of forests increased while fish catches declined. Emission of NOx is associated with increases in agricultural production in most regions, except in Southern and Atlantic regions of Western Europe and North America. Emission of VOCs contributed to reduction in agricultural production in most regions except in Central regions of Western Europe. In summary, economic growth tends to significantly contribute to energy consumption and deterioration of air quality. However, the later can be improved through aggressive spending in environmental protection. Therefore, it is imperative to identify a strategy that would balance economic growth and energy consumption with improved environmental quality
1997
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/664/1/MPRA_paper_664.pdf
Mariam, Yohannes and Barre, Mike and Urquhart, Lynda and DeCivita, Paul (1997): Interrelationships and Causal Linkages Between Socioeconomic and Environmental Factors.
en
oai:mpra.ub.uni-muenchen.de:666
2019-09-27T16:49:44Z
7374617475733D756E707562
7375626A656374733D43:4334:433434
7375626A656374733D51:5134:513438
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
7375626A656374733D51:5135:513537
7375626A656374733D51:5135:513534
7375626A656374733D51:5135
7375626A656374733D51:5135:513531
7375626A656374733D51:5134:513433
7375626A656374733D43:4334:433436
7375626A656374733D43:4333:433339
7375626A656374733D51:5135:513535
7375626A656374733D51:5135:513532
7375626A656374733D51:5135:513536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/666/
Causal Relationship Between Indicators of Human Health, the Environment and Socioeconomic Variables for the OECD Countries
Mariam, Yohannes
C44 - Operations Research ; Statistical Decision Theory
Q48 - Government Policy
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
Q57 - Ecological Economics: Ecosystem Services ; Biodiversity Conservation ; Bioeconomics ; Industrial Ecology
Q54 - Climate ; Natural Disasters and Their Management ; Global Warming
Q5 - Environmental Economics
Q51 - Valuation of Environmental Effects
Q43 - Energy and the Macroeconomy
C46 - Specific Distributions ; Specific Statistics
C39 - Other
Q55 - Technological Innovation
Q52 - Pollution Control Adoption and Costs ; Distributional Effects ; Employment Effects
Q56 - Environment and Development ; Environment and Trade ; Sustainability ; Environmental Accounts and Accounting ; Environmental Equity ; Population Growth
There has been a lot of debate regarding the impact of emissions of pollutants on human health and the environment. Epidemiological studies tend to show the impact of increased ambient concentrations of pollutants on increased hospital admissions, mortality, morbidity, respiratory problems, etc. Without controlled experiments that compare people who are exposed to contaminants to those who are not, it is impossible to predict the causes and effects with certainty. Nevertheless, estimates of human and environmental health benefits from improved air quality indicate that there are associations between ambient concentrations of contaminants, human health and environmental impacts.
The present study examines the linkages between human health, environmental quality, and emission of pollutants and selected socioeconomic variables for selected OECD regions. Path or causal models will be constructed using health, socioeconomic and environmental parameters to determine the direction of causal relationships, their magnitude and possible implication for public policy making. This analysis will be performed for the OECD countries, and selected regions of the OECD (North America, the Pacific Rim, and Europe). Comparative analysis of the relationships between human health, socioeconomic and environmental variables among the OECD countries will indicate, among other things, i) whether or not environmental quality is an important determinant of human health, ii) whether or not spending on health care system is significantly influenced by indicators of health status that are included by environmental variables, and iii) which socioeconomic variables are significantly associated with indicators of human and the environment health.
1999-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/666/1/MPRA_paper_666.pdf
Mariam, Yohannes (1999): Causal Relationship Between Indicators of Human Health, the Environment and Socioeconomic Variables for the OECD Countries.
en
oai:mpra.ub.uni-muenchen.de:756
2019-09-28T17:41:39Z
7374617475733D756E707562
7375626A656374733D45:4533:453337
7375626A656374733D43:4331
7375626A656374733D45:4533:453332
7375626A656374733D43:4333:433332
7375626A656374733D45:4531:453130
7375626A656374733D45:4536:453630
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/756/
Existence of bifurcation in macroeconomic dynamics: Grandmont was right
He, Yijun
Barnett, William A.
E37 - Forecasting and Simulation: Models and Applications
C1 - Econometric and Statistical Methods and Methodology: General
E32 - Business Fluctuations ; Cycles
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E10 - General
E60 - General
Grandmont (1985) found that the parameter space of the most classical dynamic general-equilibrium macroeconomic models are stratified into an infinite number of subsets supporting an infinite number of different kinds of dynamics, from monotonic stability at one extreme to chaos at the other extreme, and with all forms of multiperiodic dynamics between.
But Grandmont provided his result with a model in which all policies are Ricardian equivalent, no frictions exist, employment is always full, competition is perfect, and all solutions are Pareto optimal. Hence he was not able to reach conclusions about the policy relevance of his dramatic discovery. As a result, Barnett and He (1999, 2001, 2002) investigated a Keynesian structural model, and found results supporting Grandmont’s conclusions within the parameter space of the Bergstrom-Wymer continuous-time dynamic macroeconometric model of the UK economy. That prototypical Keynesian model was produced from a system of second order differential equations. The model contains frictions through adjustment lags, displays reasonable dynamics fitting the UK economy’s data, and is clearly policy relevant. In addition, initial results by Barnett and Duzhak (2006) indicate the possible existence of Hopf bifurcation within the parameter space of recent New Keynesian models.
Lucas-critique criticism of Keynesian structural models has motivated development of Euler equations models having policy-invariant deep parameters, which are invariant to policy rule changes. Hence, we continue the investigation of policy-relevant bifurcation by searching the parameter space of the best known of the Euler equations general-equilibrium macroeconometric models: the Leeper and Sims (1994) model. We find the existence of singularity bifurcation boundaries within the parameter space. Although never before found in an economic model, our explanation of the relevant theory reveals that singularity bifurcation may be a common property of Euler equations models. These results further confirm Grandmont’s views.
Beginning with Grandmont’s findings with a classical model, we continue to follow the path from the Bergstrom-Wymer policy-relevant Keynesian model, to New Keynesian models, and now to Euler equations macroeconomic models having deep parameters.
Grandmont was right.
2006-11-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/756/1/MPRA_paper_756.pdf
He, Yijun and Barnett, William A. (2006): Existence of bifurcation in macroeconomic dynamics: Grandmont was right.
en
oai:mpra.ub.uni-muenchen.de:797
2019-10-02T04:45:05Z
7374617475733D756E707562
7375626A656374733D43:4331:433131
7375626A656374733D45:4535:453532
7375626A656374733D43:4331:433133
7375626A656374733D45:4533:453337
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/797/
Monetary Policy Analysis in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach
Vitek, Francis
C11 - Bayesian Analysis: General
E52 - Monetary Policy
C13 - Estimation: General
E37 - Forecasting and Simulation: Models and Applications
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper develops and estimates a dynamic stochastic general equilibrium model of a closed economy which approximately accounts for the empirical evidence concerning the monetary transmission mechanism, as summarized by impulse response functions derived from an estimated structural vector autoregressive model, while dominating that structural vector autoregressive model in terms of predictive accuracy. The model features short run nominal price and wage rigidities generated by monopolistic competition and staggered reoptimization in output and labour markets. The resultant inertia in inflation and persistence in output is enhanced with other features such as habit persistence in consumption, adjustment costs in investment, and variable capital utilization. Cyclical components are modeled by linearizing equilibrium conditions around a stationary deterministic steady state equilibrium, while trend components are modeled as random walks while ensuring the existence of a well defined balanced growth path. Parameters and trend components are jointly estimated with a novel Bayesian full information maximum likelihood procedure.
2006-03-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/797/1/MPRA_paper_797.pdf
Vitek, Francis (2006): Monetary Policy Analysis in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach.
en
oai:mpra.ub.uni-muenchen.de:800
2019-09-29T04:37:14Z
7374617475733D756E707562
7375626A656374733D43:4331:433131
7375626A656374733D45:4535:453532
7375626A656374733D46:4634:463431
7375626A656374733D43:4331:433133
7375626A656374733D46:4634:463437
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/800/
Monetary Policy Analysis in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach
Vitek, Francis
C11 - Bayesian Analysis: General
E52 - Monetary Policy
F41 - Open Economy Macroeconomics
C13 - Estimation: General
F47 - Forecasting and Simulation: Models and Applications
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper develops and estimates a dynamic stochastic general equilibrium model of a small open economy which approximately accounts for the empirical evidence concerning the monetary transmission mechanism, as summarized by impulse response functions derived from an estimated structural vector autoregressive model, while dominating that structural vector autoregressive model in terms of predictive accuracy. The model features short run nominal price and wage rigidities generated by monopolistic competition and staggered reoptimization in output and labour markets. The resultant inertia in inflation and persistence in output is enhanced with other features such as habit persistence in consumption, adjustment costs in investment, and variable capital utilization. Incomplete exchange rate pass through is generated by monopolistic competition and staggered reoptimization in the import market. Cyclical components are modeled by linearizing equilibrium conditions around a stationary deterministic steady state equilibrium, while trend components are modeled as random walks while ensuring the existence of a well defined balanced growth path. Parameters and trend components are jointly estimated with a novel Bayesian full information maximum likelihood procedure.
2006-03-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/800/1/MPRA_paper_800.pdf
Vitek, Francis (2006): Monetary Policy Analysis in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach.
en
oai:mpra.ub.uni-muenchen.de:801
2019-10-15T04:20:32Z
7374617475733D756E707562
7375626A656374733D43:4331:433131
7375626A656374733D45:4535:453532
7375626A656374733D43:4331:433133
7375626A656374733D45:4533:453337
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/801/
Measuring the Stance of Monetary Policy in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach
Vitek, Francis
C11 - Bayesian Analysis: General
E52 - Monetary Policy
C13 - Estimation: General
E37 - Forecasting and Simulation: Models and Applications
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper develops and estimates a dynamic stochastic general equilibrium model of a closed economy which provides a quantitative description of the monetary transmission mechanism, yields a mutually consistent set of indicators of inflationary pressure together with confidence intervals, and facilitates the generation of relatively accurate forecasts. The model features short run nominal price and wage rigidities generated by monopolistic competition and staggered reoptimization in output and labour markets. The resultant inertia in inflation and persistence in output is enhanced with other features such as habit persistence in consumption and labour supply, adjustment costs in housing and capital investment, and variable capital utilization. Cyclical components are modeled by linearizing equilibrium conditions around a stationary deterministic steady state equilibrium which abstracts from long run balanced growth, while trend components are modeled as random walks while ensuring the existence of a well defined balanced growth path. Parameters and unobserved components are jointly estimated with a novel Bayesian full information maximum likelihood procedure, conditional on prior information concerning the values of parameters and trend components.
2006-06-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/801/1/MPRA_paper_801.pdf
Vitek, Francis (2006): Measuring the Stance of Monetary Policy in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach.
en
oai:mpra.ub.uni-muenchen.de:802
2019-09-27T20:46:13Z
7374617475733D756E707562
7375626A656374733D43:4331:433131
7375626A656374733D45:4535:453532
7375626A656374733D46:4634:463431
7375626A656374733D43:4331:433133
7375626A656374733D46:4634:463437
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/802/
Measuring the Stance of Monetary Policy in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach
Vitek, Francis
C11 - Bayesian Analysis: General
E52 - Monetary Policy
F41 - Open Economy Macroeconomics
C13 - Estimation: General
F47 - Forecasting and Simulation: Models and Applications
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper develops and estimates a dynamic stochastic general equilibrium model of a small open economy which provides a quantitative description of the monetary transmission mechanism, yields a mutually consistent set of indicators of inflationary pressure together with confidence intervals, and facilitates the generation of relatively accurate forecasts. The model features short run nominal price and wage rigidities generated by monopolistic competition and staggered reoptimization in output and labour markets. The resultant inertia in inflation and persistence in output is enhanced with other features such as habit persistence in consumption and labour supply, adjustment costs in housing and capital investment, and variable capital utilization. Incomplete exchange rate pass through is generated by monopolistic competition and staggered reoptimization in the import market. Cyclical components are modeled by linearizing equilibrium conditions around a stationary deterministic steady state equilibrium which abstracts from long run balanced growth, while trend components are modeled as random walks while ensuring the existence of a well defined balanced growth path. Parameters and unobserved components are jointly estimated with a novel Bayesian full information maximum likelihood procedure, conditional on prior information concerning the values of parameters and trend components.
2006-06-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/802/1/MPRA_paper_802.pdf
Vitek, Francis (2006): Measuring the Stance of Monetary Policy in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach.
en
oai:mpra.ub.uni-muenchen.de:1092
2019-10-03T18:02:37Z
7374617475733D756E707562
7375626A656374733D4C:4C31:4C3133
7375626A656374733D4C:4C36:4C3631
7375626A656374733D43:4333:433332
7375626A656374733D4C:4C34:4C3430
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1092/
Measuring the Effectiveness of Competition Policy: Evidence from the Turkish Cement Industry
Kulaksizoglu, Tamer
L13 - Oligopoly and Other Imperfect Markets
L61 - Metals and Metal Products ; Cement ; Glass ; Ceramics
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
L40 - General
In this paper, I develop a new method to test whether the introduction of competition policy in an industry has had any effects on its market performance. The method is based on the new empirical industrial organization methodology. I apply the method to the Turkish cement industry, which has been heavily investigated by the Turkish Competition Authority. The results show that the introduction of competition policy has had no effect in the market performance of the industry.
2004-03-25
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1092/1/MPRA_paper_1092.pdf
Kulaksizoglu, Tamer (2004): Measuring the Effectiveness of Competition Policy: Evidence from the Turkish Cement Industry.
en
oai:mpra.ub.uni-muenchen.de:1116
2019-09-27T20:22:28Z
7374617475733D707562
7375626A656374733D4F:4F34
7375626A656374733D43:4333:433332
7375626A656374733D46:4634:463433
7375626A656374733D4F:4F35:4F3533
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1116/
The Validity of the ELG Hypothesis in the MENA Region: Cointegration and Error Correction Model Analysis
Abu-Qarn, Aamer
Abu-Bader, Suleiman
O4 - Economic Growth and Aggregate Productivity
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F43 - Economic Growth of Open Economies
O53 - Asia including Middle East
The paper examines the export-led growth (ELG) hypothesis for nine Middle East and North Africa (MENA) countries in three-variable vector autoregressive and error correction models. When considering total exports, our results reject the ELG hypothesis in almost all of these countries. When we examine only manufactured exports, we find no support for ELG in countries with relatively low shares of manufactured exports in total merchandise exports but strong support in countries with relatively high shares. These findings suggest that promoting exports may contribute to economic growth only after a certain threshold of manufactured exports has been reached.
2001
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1116/1/MPRA_paper_1116.pdf
Abu-Qarn, Aamer and Abu-Bader, Suleiman (2001): The Validity of the ELG Hypothesis in the MENA Region: Cointegration and Error Correction Model Analysis. Published in: Applied Economics , Vol. 36, No. 15 (August 2004): pp. 1685-1695.
en
oai:mpra.ub.uni-muenchen.de:1144
2019-10-01T14:33:37Z
7374617475733D756E707562
7375626A656374733D43:4335:433533
7375626A656374733D44:4434:443431
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
7375626A656374733D4C:4C31:4C3131
7375626A656374733D44:4432:443231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1144/
A structural model for corporate profit in the U.S. industry
Gomez-Sorzano, Gustavo
C53 - Forecasting and Prediction Methods ; Simulation Methods
D41 - Perfect Competition
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
L11 - Production, Pricing, and Market Structure ; Size Distribution of Firms
D21 - Firm Behavior: Theory
I estimate a theoretically and statistically satisfying model to account for corporate profit represented by Net Rental Income (NRI) for one of the largest Real Estate Investment Trust companies (REIT) in the U.S. I claim that I have found an accurate method to forecasts the direction and dollar amount of corporate profit in the apartment industry in The U.S. that can be extended to the remaining branches of the U.S. industry. The variables that together account for ninety seven percent of the variation in NRI for this apartment company are, one-period time lag of lease renewals, the Federal Funds interest rate end of month, total gross potential of the company, total concessions, two-period time lag of move-ins, the ratio between total non-farm employment and total construction permits authorized, the inventory of houses in the U.S, one-period time lag of move-outs and this REIT apartment units occupied.
2006-05-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1144/1/MPRA_paper_1144.pdf
Gomez-Sorzano, Gustavo (2006): A structural model for corporate profit in the U.S. industry.
en
oai:mpra.ub.uni-muenchen.de:1229
2019-09-26T15:56:33Z
7374617475733D756E707562
7375626A656374733D46:4634:463437
7375626A656374733D46:4633:463331
7375626A656374733D43:4333:433332
7375626A656374733D43:4331:433135
7375626A656374733D43:4333:433333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1229/
Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?
Westerlund, Joakim
Basher, Syed A.
F47 - Forecasting and Simulation: Models and Applications
F31 - Foreign Exchange
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C15 - Statistical Simulation Methods: General
C33 - Panel Data Models ; Spatio-temporal Models
A common explanation for the inability of the monetary model to beat
the random walk in forecasting future exchange rates is that conventional
time series tests may have low power, and that panel data should generate
more powerful tests. This paper provides an extensive evaluation of this
power argument to the use of panel data in the forecasting context. In
particular, by using simulations it is shown that although pooling of the
individual prediction tests can lead to substantial power gains, pooling
only the parameters of the forecasting equation, as has been suggested in
the previous literature, does not seem to generate more powerful tests.
The simulation results are illustrated through an empirical application.
2006-12-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1229/1/MPRA_paper_1229.pdf
Westerlund, Joakim and Basher, Syed A. (2006): Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?
en
oai:mpra.ub.uni-muenchen.de:1321
2019-10-04T14:47:35Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D4F:4F35:4F3537
7375626A656374733D46:4634:463433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1321/
Testing Trade-led-Growth Hypothesis for Romania
Pop-Silaghi, Monica Ioana
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
O57 - Comparative Studies of Countries
F43 - Economic Growth of Open Economies
This paper tests the relationship between trade and economic growth for the case of Romania, during 1998-2004. We employed cointegration and Granger-causality tests on stochastic systems composed of exports, imports and GDP. In order to have some degree of significance, we performed our tests on quarterly data. We found that exports do not Granger-cause GDP in the Romania’s case, while the inverse relationship holds. The presence of imports in the stochastic models does not affect significantly the results. For validating our results, we performed the same tests on the 10 countries that entered EU on 1 May 2005, Bulgaria and EU with 15 members and EU with 25 members. We found that only in few cases – Czech Republic, EU 15 and Bulgaria, export-led-growth hypothesis is verified. Bi-directional causality found for exports and output in the case of Czech Republic and EU 15 is implying a virtuous circle of growth and exports, case that should be desirable for all the countries from the sample. The analyzed countries have situations which differ from case to case and a unified framework can not be applying for a generalization of the results.
2006-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1321/1/MPRA_paper_1321.pdf
Pop-Silaghi, Monica Ioana (2006): Testing Trade-led-Growth Hypothesis for Romania.
en
oai:mpra.ub.uni-muenchen.de:1424
2019-09-27T05:19:53Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4333:433333
7375626A656374733D43:4336:433633
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1424/
Estimating regressions and seemingly unrelated regressions with error component disturbances
Paolo, Foschi
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C33 - Panel Data Models ; Spatio-temporal Models
C63 - Computational Techniques ; Simulation Modeling
The estimation of regressions models with two-way error component disurbances, is considered for the case where both the random effects are non-spherically
distributed. The usual approach that first transforms the effects into uncorrelated
ones and then applies within and between transformations, cannot be conveniently
applied. Here, it is proposed to revert this scheme by firstly applying the within
and between transformations. This results in simple General Linear Model which
can be partitioned into three smaller GLMs. Then, by exploiting the structure of
the models and using the Generalized QR decomposition as a tool, a computationally efficient and numerically reliable method for estimating the regression
parameters is derived. This estimation method is generalized to the case of a
system of seemingly unrelated regressions.
2005-02-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1424/1/MPRA_paper_1424.pdf
Paolo, Foschi (2005): Estimating regressions and seemingly unrelated regressions with error component disturbances.
en
oai:mpra.ub.uni-muenchen.de:1592
2019-09-26T19:30:41Z
7374617475733D756E707562
7375626A656374733D47:4730
7375626A656374733D47:4731
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1592/
A local dynamic conditional correlation model
Feng, Yuanhua
G0 - General
G1 - General Financial Markets
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper introduces the idea that the variances or correlations in financial returns may all change conditionally and slowly over time. A multi-step local dynamic conditional correlation model is proposed for simultaneously modelling these components. In particular, the local and conditional correlations are jointly estimated by multivariate kernel regression. A multivariate k-NN method with variable bandwidths is developed to solve the curse of dimension problem. Asymptotic properties of the estimators are discussed in detail. Practical performance of the model is illustrated by applications to foreign exchange rates.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1592/1/MPRA_paper_1592.pdf
Feng, Yuanhua (2006): A local dynamic conditional correlation model.
en
oai:mpra.ub.uni-muenchen.de:1597
2019-10-02T00:28:25Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4730:473030
7375626A656374733D43:4331:433134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1597/
Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model
Feng, Yuanhua
Yu, Keming
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G00 - General
C14 - Semiparametric and Nonparametric Methods: General
A new multivariate random walk model with slowly changing parameters is introduced and investigated in detail. Nonparametric estimation of local covariance matrix is proposed.
The asymptotic distributions, including asymptotic biases, variances and covariances of the proposed estimators are obtained. The properties of the estimated value of a weighted sum of individual nonparametric estimators are also studied in detail. The integrated effect of the estimation errors from the estimation for the difference series to the integrated processes is derived. Practical relevance of the model and estimation is illustrated by application to several foreign exchange rates.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1597/1/MPRA_paper_1597.pdf
Feng, Yuanhua and Yu, Keming (2006): Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model.
en
oai:mpra.ub.uni-muenchen.de:1616
2019-09-26T18:22:32Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433532
7375626A656374733D45:4531:453130
7375626A656374733D44:4438:443833
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1616/
Evaluating the New Keynesian Phillips Curve under VAR-based learning
Fanelli, Luca
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C52 - Model Evaluation, Validation, and Selection
E10 - General
D83 - Search ; Learning ; Information and Knowledge ; Communication ; Belief ; Unawareness
This paper proposes the evaluation of the New Keynesian Phillips Curve (NKPC) under a new learning mechanism where VAR learning dynamics is combined with the idea of testing the validity of the forward-looking model of inflation dynamics. The key assumption is that agents’ perceived law of motion is a VAR whose parameters are updated by recursive
least squares. Differently from standard adaptive learning methods, agents test sequentially the cross-equation restrictions that the NKPC imposes on the VAR as the information set increases. When the restrictions are not rejected agents learn under the restricted system and exploit the cross-equation restrictions to forecast inflation. It is thus possible to check how much and in which periods agents’ beliefs are consistent with the restrictions of the theory. The empirical analysis on quarterly data on the euro area shows that the NKPC with negligible backward-looking parameter is not rejected when the model is evaluated over the period 1984-2005 under the proposed learning mechanism. The result, however, is not fully robust to specifications based on non stationary variables and points out that learning may represent a remarkable source of euro area inflation persistence but not its only determinant.
2007-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1616/1/MPRA_paper_1616.pdf
Fanelli, Luca (2007): Evaluating the New Keynesian Phillips Curve under VAR-based learning.
en
oai:mpra.ub.uni-muenchen.de:1617
2019-09-29T09:47:29Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433532
7375626A656374733D45:4533:453331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1617/
Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area
Fanelli, Luca
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C52 - Model Evaluation, Validation, and Selection
E31 - Price Level ; Inflation ; Deflation
This paper addresses the issue of testing the 'hybrid' New Keynesian Phillips Curve (NKPC) through Vector Autoregressive (VAR) systems and likelihood methods, giving special emphasis to the case where variables are non stationary. The idea is to use a VAR for both the inflation rate and the explanatory variable(s) to approximate the dynamics of the system and derive testable restrictions. Attention is focused on the 'inexact' formulation of the NKPC. Empirical results over the period 1971-1998 show that the NKPC is far from being a `good first approximation' of inflation dynamics in the Euro area.
2005-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1617/1/MPRA_paper_1617.pdf
Fanelli, Luca (2005): Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area.
en
oai:mpra.ub.uni-muenchen.de:1641
2019-09-29T04:27:38Z
7374617475733D756E707562
7375626A656374733D45:4532:453231
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1641/
Consumption risk sharing and adjustment costs
Fanelli, Luca
Cavaliere, Giuseppe
Gardini, Attilio
E21 - Consumption ; Saving ; Wealth
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
We show that full risk sharing may not be at odd with the idea that changes in regional consumption display error-correcting dynamics, in line with the idea that information and transaction costs stemming from interregional portfolio diversification and labor movements induced by permanent income shocks may delay the adjustment process. Using Italian data over the period 1960-2001 it is found that regional per capita consumptions match the proposed error-correcting structure.
2004-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1641/1/MPRA_paper_1641.pdf
Fanelli, Luca and Cavaliere, Giuseppe and Gardini, Attilio (2004): Consumption risk sharing and adjustment costs.
en
oai:mpra.ub.uni-muenchen.de:1823
2019-10-25T17:33:19Z
oai:mpra.ub.uni-muenchen.de:1888
2019-09-28T12:34:28Z
7374617475733D696E7072657373
7375626A656374733D4F:4F35:4F3537
7375626A656374733D43:4333:433332
7375626A656374733D43:4331:433133
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1888/
Explaining the gaps in labour productivity in some developed countries
Razzak, Weshah
O57 - Comparative Studies of Countries
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C13 - Estimation: General
Modern economic theories explain differences in productivity and economic growth across countries by differences in political and economic institutions, and differences in culture, geographical location, policies, and laws. The success of any of these theories in explaining the gap in productivity between any two countries depends on the countries in the sample. We argue in this paper that differences in the above variables might explain gaps in economic performance between developed and developing countries, but are too small to explain the productivity gaps between developed countries. We test this hypothesis for two pairs of developed neighbouring countries: New Zealand and Australia and Canada and the United States, hence New Zealand – Australia and Canada – United States. In this paper, more than eighty percent of labour productivity gaps between New Zealand and Australia and Canada and the United States are explained by endogenous technology shocks (TFP) and capital intensities.
2005-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1888/1/MPRA_paper_1888.pdf
Razzak, Weshah (2005): Explaining the gaps in labour productivity in some developed countries. Forthcoming in: Applied Econometrics and International Development (August 2007)
en
oai:mpra.ub.uni-muenchen.de:1924
2019-10-02T11:22:20Z
7374617475733D707562
7375626A656374733D46:4633:463331
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1924/
The Equilibrium Real Exchange Rate: Evidence from Turkey
Alper, C. Emre
Saglam, Ismail
F31 - Foreign Exchange
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
The aim of this paper is to scrutinize whether the equilibrium exchange rate framework could contribute to the understanding of misalignments in the real exchange rate in Turkey and whether this could be used as a guideline for policy interventions by the monetary authorities. Estimation results indicate the relevance of the equilibrium real exchange rate model for Turkey.
1999
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1924/1/MPRA_paper_1924.pdf
Alper, C. Emre and Saglam, Ismail (1999): The Equilibrium Real Exchange Rate: Evidence from Turkey. Published in: Topics in Middle Eastern and North African Economies , Vol. 2, No. 1 (September 2000)
en
oai:mpra.ub.uni-muenchen.de:1943
2019-09-27T19:43:37Z
7374617475733D756E707562
7375626A656374733D4F:4F35:4F3537
7375626A656374733D46:4633:463332
7375626A656374733D43:4333:433332
7375626A656374733D4F:4F31:4F3131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1943/
Volatility of short term capital flows and socio-political instability in Argentina, Mexico and Turkey
Demir, Firat
O57 - Comparative Studies of Countries
F32 - Current Account Adjustment ; Short-Term Capital Movements
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
O11 - Macroeconomic Analyses of Economic Development
The paper analyzes the relationship between financial liberalization and socio-political risk by identifying the inter-dependent nature of socio-political and economic fault lines in three developing countries. Unlike the previous research, the current article suggests that domestic socio-political factors cannot be isolated from the fluctuations taking place in the economic arena. In particular, we examine the effects of short-term capital inflows on the recipient countries by exploring the dynamic relationship between the volatility of such flows and socio-political instability. Accordingly, we endogenize the volatility of short term capital inflows with political risk variables where increasing volatility by disrupting market activities and private investment increases socio-political risk, which further feeds into the volatility of such flows. In the empirical analysis using both the Granger causality tests and a simultaneous-equation approach we uncover a contemporaneous relationship between the volatility of short-term capital inflows and socio-political instability. The results also challenge the previous research regarding their use of political variables as purely exogenous from economic variables. Likewise, the legitimacy of the arguments explaining investor cautiousness vis-à-vis political developments in the developing countries with purely domestic factors also becomes questionable.
2006-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1943/1/MPRA_paper_1943.pdf
Demir, Firat (2006): Volatility of short term capital flows and socio-political instability in Argentina, Mexico and Turkey.
en
oai:mpra.ub.uni-muenchen.de:2074
2019-09-27T17:54:13Z
7374617475733D696E7072657373
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2074/
A GARCH-based method for clustering of financial time series: International stock markets evidence
Caiado, Jorge
Crato, Nuno
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
In this paper, we introduce a volatility-based method for clustering analysis of financial time series. Using the generalized autoregressive conditional heteroskedasticity (GARCH) models we estimate the distances between the stock return volatilities. The proposed method uses the volatility behavior of the time series and solves the problem of different lengths. As an illustrative example, we investigate the similarities among major international stock markets using daily return series with different sample sizes from 1966 to 2006. From cluster analysis, most European markets countries, United States and Canada appear close together, and most Asian/Pacific markets and the South/Middle American markets appear in a distinct cluster. After the terrorist attack on September 11, 2001, the European stock markets have become more homogenous, and North American markets, Japan and Australia seem to come closer.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2074/1/MPRA_paper_2074.pdf
Caiado, Jorge and Crato, Nuno (2007): A GARCH-based method for clustering of financial time series: International stock markets evidence. Forthcoming in: Proceedings of the XIIth Applied Stochastic Models and Data Analysis International Conference
en
oai:mpra.ub.uni-muenchen.de:2075
2019-09-27T16:28:22Z
7374617475733D707562
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2075/
An interpolated periodogram-based metric for comparison of time series with unequal lengths
Caiado, Jorge
Crato, Nuno
Peña, Daniel
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
We propose a periodogram-based metric for classification and clustering of time series with different sample sizes. For such cases, we know that the Euclidean distance between the periodogram ordinates cannot be used. One possible way to deal with this problem is to interpolate lineary one of the periodograms in order to estimate ordinates of the same frequencies.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2075/1/MPRA_paper_2075.pdf
Caiado, Jorge and Crato, Nuno and Peña, Daniel (2006): An interpolated periodogram-based metric for comparison of time series with unequal lengths. Published in: Proceedings of the 2006 Joint Statistical Meetings, American Statistical Association
en
oai:mpra.ub.uni-muenchen.de:2076
2019-09-28T00:36:40Z
7374617475733D707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4331:433139
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2076/
Discrimination between deterministic trend and stochastic trend processes
Caiado, Jorge
Crato, Nuno
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C19 - Other
Most of economic and financial time series have a nonstationary behavior. There are different types of nonstationary processes, such as those with stochastic trend and those with deterministic trend. In practice, it can be quite difficult to distinguish between the two processes. In this paper, we compare random walk and determinist trend processes using sample autocorrelation, sample partial autocorrelation and periodogram based metrics.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2076/1/MPRA_paper_2076.pdf
Caiado, Jorge and Crato, Nuno (2005): Discrimination between deterministic trend and stochastic trend processes. Published in: Proceedings of the XIth International Conference on Applied Stochastic Models and Data Analysis : pp. 1419-1424.
en
oai:mpra.ub.uni-muenchen.de:2088
2019-09-30T21:30:19Z
7374617475733D756E707562
7375626A656374733D43:4333:433333
7375626A656374733D43:4333
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2088/
Impact du Commerce bilatéral Intra-Zone dans la zone UEMOA et CEMAC: Approche par les VAR Structurels
Dramani, Latif
Laye, Oumy
C33 - Panel Data Models ; Spatio-temporal Models
C3 - Multiple or Simultaneous Equation Models ; Multiple Variables
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
ABSTRACT
In this article, we empirically try to answer the second hypothesis on the theory of the ZMO developed by Mc Kinnon (1963), while working on a sample of the countries of the franc zone. We found on the assets of the gravity models to put in evidence the existing monetary union impact on the bilateral trade flux.
In order to measure the effects of the monetary union on the intra zone trade, we call on, a structural VAR, to which is associated the method of space state model assessment with the aim of distinguishing the impact of an economic policy shock in a group of country in open economy. Our sample is constituted in this particular case of the 12 countries of the zone franc; seven countries of the UEMOA zone and five countries of the CEMAC zone.
The originality of the approach is based on the fact that we tempt an endogeneisation of the flux of bilateral trade of every country in this analysis. The results of our investigations show a sensitive reduction of the effects borders, an improvement of the institutional effects as well as the effects bound to the distance on the flux of the intra zone trade. On the other hand, the survey by structural VAR and state measure models shows a relative symmetry of shocks observed in the real shocks of demand while the shocks of price and supply rather present an asymmetric character. With the importance of the real demand shocks, in our study we globally notice that some efforts must be made to vary the structure of the economy of the franc countries, currently based on the food-processing industries, which are very sensitive to the climatic risks; in order to hope to have the sustained growth rates which will allow to reach the objectives of poverty reduction by 2015.
2007-03-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2088/1/MPRA_paper_2088.pdf
Dramani, Latif and Laye, Oumy (2007): Impact du Commerce bilatéral Intra-Zone dans la zone UEMOA et CEMAC: Approche par les VAR Structurels.
en
oai:mpra.ub.uni-muenchen.de:2208
2019-09-26T22:57:13Z
7374617475733D707562
7375626A656374733D45:4532:453230
7375626A656374733D43:4333:433332
7375626A656374733D46:4632:463231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2208/
Measuring Capital Mobility in the Asia Pacific Rim
Chan, Tze-Haw
Baharumshah, Ahmad Zubaidi
E20 - General
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F21 - International Investment ; Long-Term Capital Movements
This study revisits the Feldstein-Horioka puzzle by investigating the saving-investment nexus through the unit root test, cointegration procedure, unrestricted VAR causality, and dynamic OLS (DOLS). Ten Asia Pacific nations of different level of economic development and financial openness were being examined, using data from 1971-1999. Overall, the long run capital mobility is more apparent for four newly industrialised economies while capital flows in ASEAN countries seem to be more restricted (especially Indonesia and Thailand). As for the US and Japan, their long run saving retention coefficients are in the moderate range (0.56 and 0.45). In brief, our findings indicate that the heftiness of Feldstein-Horioka criterion in measuring capital mobility is more subjected to econometric specifications rather than country size alone.
2003
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2208/1/MPRA_paper_2208.pdf
Chan, Tze-Haw and Baharumshah, Ahmad Zubaidi (2003): Measuring Capital Mobility in the Asia Pacific Rim. Published in: Open Economy Macroeconomics in East Asia-Chapter 9 (2005): pp. 169-195.
en
oai:mpra.ub.uni-muenchen.de:2209
2019-09-27T21:28:16Z
7374617475733D707562
7375626A656374733D46:4631:463135
7375626A656374733D46:4633:463336
7375626A656374733D43:4335:433531
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2209/
Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity
Chan, Tze-Haw
Khong, Wye Leong Roy
Baharumshah, Ahmad Zubaidi
F15 - Economic Integration
F36 - Financial Aspects of Economic Integration
C51 - Model Construction and Estimation
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
To examine the validity of real interest parity (RIP), this study provides empirical evidences concerning the dynamic linkages of real interest rates among ASEAN-5 and the mean reversion behaviors of real interest differentials of ASEAN-5.vis-à-vis Japan during the post liberalization era (1984-1997). The upshots of our findings are four-fold. First, there were co-movement of ASEAN real rates in the long run and dynamic causalities in the short run, which explicitly indicated a monetary inter-dependency among the ASEAN tigers. Second, most of the forecast error variance of real interest rates in own country can be attributed to other ASEAN-4’s innovations (more than 50%), which partly explain the contagion effects during Asia crisis 1997/98. Third, the real interest differentials are mean reverting over time, implying that RIP holds between Japan and ASEANs (except Singapore). Forth, the half-lives are reported at approximately 6 to 11 months, which reflect the considerably small deviations from RIP. All together, the findings constitute towards regional financial integration with the Japan’s leading role being confirmed. To great extent, this would support the recent proposal of Currency Union with Japanese Yen taken as common currency.
2003
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2209/1/MPRA_paper_2209.pdf
Chan, Tze-Haw and Khong, Wye Leong Roy and Baharumshah, Ahmad Zubaidi (2003): Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity. Published in: Capital Markets Review , Vol. 11 (1, No. special issue (2003): pp. 23-40.
en
oai:mpra.ub.uni-muenchen.de:2261
2019-09-29T08:37:57Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2261/
Valid Inference in Partially Unstable GMM Models
Li, Hong
Mueller, Ulrich
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
The paper considers time series GMM models where a subset of the parameters are time varying. The magnitude of the time variation in the unstable parameters is such that efficient tests detect the instability with (possibly high) probability smaller than one, even in the limit. We show that for many forms of the instability and a large class of GMM models, standard GMM inference on the subset of stable parameters, ignoring the partial instability, remains asymptotically valid.
2006-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2261/1/MPRA_paper_2261.pdf
Li, Hong and Mueller, Ulrich (2006): Valid Inference in Partially Unstable GMM Models.
en
oai:mpra.ub.uni-muenchen.de:2328
2019-09-30T12:54:21Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2328/
Central bank intervention, sterilization and monetary independence: the case of Pakistan
Waheed, Muhammad
E58 - Central Banks and Their Policies
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper analyzes the response of the State bank of Pakistan—the central bank, to foreign exchange inflows for the period of 2001:1 to 2006:8. In this context, we estimated sterilization and offset coefficients using vector autoregression (VAR) model to account for the issue of endogeneity of domestic credit with the foreign exchange interventions. In addition, the paper also analyzes the role of foreign and domestic interest rate differentials in pulling in or pushing out of these foreign exchange flows. We found that the offset coefficient is very small and insignificant (0.16) implying that changes in credit resulted in very minimal offsetting reserve flows. The study found out that for the sample period, SBP only partially sterilized the inflows with magnitude of coefficient at (0.50) confirming the stylized facts. Results also indicate that inflows were neither pulled into the country due to high domestic interest rates due to some domestic policy nor they are pushed into Pakistan owing to low interest rates abroad.
2007-03-16
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2328/1/MPRA_paper_2328.pdf
Waheed, Muhammad (2007): Central bank intervention, sterilization and monetary independence: the case of Pakistan.
en
oai:mpra.ub.uni-muenchen.de:2340
2019-10-05T17:40:22Z
7374617475733D756E707562
7375626A656374733D43:4335:433533
7375626A656374733D43:4333:433332
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2340/
The Taylor rule and interest rate uncertainty in the U.S. 1955-2006
Mandler, Martin
C53 - Forecasting and Prediction Methods ; Simulation Methods
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E52 - Monetary Policy
We use a Taylor rule with time-varying policy coefficients in
combination with an unobserved components model for the output gap
to estimate the uncertainty about future values of the Federal
Funds Rate. The model makes it possible to separate ex-ante
interest rate uncertainty into three components: 1) uncertainty
about the Fed's future policy coefficients, 2) uncertainty about
future economic fundamentals, and 3) residual uncertainty. The
results show important changes in uncertainty about future
short-term interest rates over time with peaks in the late
1960s/early 1970s, mid 1970s and late 1970s/early 1980s. While for
one-quarter forecasts uncertainty about the Fed's policy reaction
is more important than uncertainty about economic fundamentals
this result is reversed for the two-quarter forecast horizon.
Results from a modified model with regime shifts in the variance
of the policy shocks confirm the previous findings but show
changes in residual uncertainty to be important as well.
2007-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2340/1/MPRA_paper_2340.pdf
Mandler, Martin (2007): The Taylor rule and interest rate uncertainty in the U.S. 1955-2006.
en
oai:mpra.ub.uni-muenchen.de:2380
2019-10-02T22:55:41Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D45:4533:453331
7375626A656374733D43:4335:433532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2380/
Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area
Fanelli, Luca
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E31 - Price Level ; Inflation ; Deflation
C52 - Model Evaluation, Validation, and Selection
This paper addresses the issue of testing the 'hybrid' New Keynesian Phillips Curve (NKPC) through Vector Autoregressive (VAR) systems and likelihood methods, giving special emphasis to the case where the variables are non-stationary. The idea is to use a VAR for both the inflation rate and the explanatory variable(s) to approximate the dynamics of the system and derive testable restrictions. Attention is focused on the 'inexact' formulation of the NKPC. Empirical results over the period 1971-1998 show that the NKPC is far from being a `good first approximation' of inflation dynamics in the Euro area.
2005-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2380/1/MPRA_paper_2380.pdf
Fanelli, Luca (2005): Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area.
en
oai:mpra.ub.uni-muenchen.de:2483
2019-10-01T18:56:53Z
7374617475733D756E707562
7375626A656374733D51:5134:513433
7375626A656374733D43:4331
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2483/
Multi-scale Causality between Energy Consumption and GNP in Emerging Markets: Evidence from Turkey
Cifter, Atilla
Ozun, Alper
Q43 - Energy and the Macroeconomy
C1 - Econometric and Statistical Methods and Methodology: General
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
Tests results for causality between energy consumption and economic growth do not have a consensus in the financial economics literature. Empirical evidence varies on the economies examined and methodology employed. This paper proposes a wavelet analysis as a semi- parametric model for detecting multi-scale causality between electricity consumption and growth in emerging economies. Using wavelet analysis we find that in the short run there is feedback relationship between GNP and energy consumption, while in the long run GNP leads to energy consumption. Wavelet correlation between GNP and energy consumption is maximum at 3rd time-scale(5-8 years) and this shows that GNP effects electricity consumption maximally around 5-8 years later in the long-run. We also find that the magnitude of the wavelet correlation changes based on time-scales for GNP and energy consumption and thus indicate that GNP and energy consumption are fundamentally different in the long run.
2007-03-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2483/1/MPRA_paper_2483.pdf
Cifter, Atilla and Ozun, Alper (2007): Multi-scale Causality between Energy Consumption and GNP in Emerging Markets: Evidence from Turkey.
en
oai:mpra.ub.uni-muenchen.de:2486
2019-09-26T18:59:12Z
7374617475733D756E707562
7375626A656374733D45:4534
7375626A656374733D45:4535:453532
7375626A656374733D45:4535:453538
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2486/
Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997-2006)
Cifter, Atilla
Ozun, Alper
E4 - Money and Interest Rates
E52 - Monetary Policy
E58 - Central Banks and Their Policies
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This study aims to test the money base, money supply, credit capacity, industrial production index, interest rates, inflation and real exchange rate data of Turkey during the years 1997 – 2006 through the monetary transmission mechanism and passive money hypothesis using the vector error correction model based causality test. Empirical findings show that the passive money supply hypothesis of the new Keynesian economy is supported in part by accommodationalist views and they do not confirm to the view points of structuralist and liquidity preference theorist. However, according to the monetary transmission mechanism it has been established that long-term money supply only affects general price levels and production is influenced by interest rates in the new economy period for Turkish economy. Empirical findings show that in the new economy period interest transmission mechanism are brought to the fore.
2007-01-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2486/1/MPRA_paper_2486.pdf
Cifter, Atilla and Ozun, Alper (2007): Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997-2006).
en
oai:mpra.ub.uni-muenchen.de:2488
2019-09-30T16:42:59Z
7374617475733D756E707562
7375626A656374733D47:4730
7375626A656374733D43:4335:433532
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2488/
Nonlinear Combination of Financial Forecast with Genetic Algorithm
Ozun, Alper
Cifter, Atilla
G0 - General
C52 - Model Evaluation, Validation, and Selection
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
Complexity in the financial markets requires intelligent forecasting models for return volatility. In this paper, historical simulation, GARCH, GARCH with skewed student-t distribution and asymmetric normal mixture GRJ-GARCH models are combined with Extreme Value Theory Hill by using artificial neural networks with genetic algorithm as the combination platform. By employing daily closing values of the Istanbul Stock Exchange from 01/10/1996 to 11/07/2006, Kupiec and Christoffersen tests as the back-testing mechanisms are performed for forecast comparison of the models. Empirical findings show that the fat-tails are more properly captured by the combination of GARCH with skewed student-t distribution and Extreme Value Theory Hill. Modeling return volatility in the emerging markets needs “intelligent” combinations of Value-at-Risk models to capture the extreme movements in the markets rather than individual model forecast.
2007-02-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2488/1/MPRA_paper_2488.pdf
Ozun, Alper and Cifter, Atilla (2007): Nonlinear Combination of Financial Forecast with Genetic Algorithm.
en
oai:mpra.ub.uni-muenchen.de:2489
2019-09-27T23:37:57Z
7374617475733D756E707562
7375626A656374733D47:4730:473030
7375626A656374733D43:4335:433532
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2489/
The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey
Cifter, Atilla
Ozun, Alper
G00 - General
C52 - Model Evaluation, Validation, and Selection
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
The purpose of this study is to test predictive performance of Asymmetric Normal Mixture Garch (NMAGARCH) and other Garch models based on Kupiec and Christoffersen tests for Turkish equity market. The empirical results show that the NMAGARCH perform better based on %99 CI out-of-sample forecasting Christoffersen test where Garch with normal and student-t distribution perform better based on %95 Cl out-of-sample forecasting Christoffersen test and Kupiec test. These results show that none of the model including NMAGARCH outperforms other models in all cases as trading position or confidence intervals and these results shows that volatility model should be chosen according to confidence interval and trading positions. Besides, NMAGARCH increases predictive performance for higher confidence internal as Basel requires.
2007-01-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2489/1/MPRA_paper_2489.pdf
Cifter, Atilla and Ozun, Alper (2007): The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey.
en
oai:mpra.ub.uni-muenchen.de:2520
2019-09-29T20:50:11Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2520/
Political Decisions, Defence and Growth
Erdogdu, Oya Safinaz
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
Considering the importance of military expenditures on political and economical success of a government, this empirical study analyzes the relations between political stability, economic growth and military expenditures. Based on the theoretical model developed by Blomberg (1996), the vector autoregression analyzes results for a democratic country indicates the significance of military expenditures on political stability and private sector investment decisions.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2520/1/MPRA_paper_2520.pdf
Erdogdu, Oya Safinaz (2006): Political Decisions, Defence and Growth.
en
oai:mpra.ub.uni-muenchen.de:2658
2019-10-26T06:28:37Z
oai:mpra.ub.uni-muenchen.de:2734
2019-09-26T15:35:24Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D45:4533:453331
7375626A656374733D45:4533:453332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2734/
Inflation as a function of labor force change rate: cointegration test for the USA
Kitov, Ivan
Kitov, Oleg
Dolinskaya, Svetlana
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E31 - Price Level ; Inflation ; Deflation
E32 - Business Fluctuations ; Cycles
Previously, a linear and lagged relationship between inflation and labor force change rate, π(t)= A1dLF(t-t1)/LF(t-t1)+A2 (where A1 and A2 are empirical country-specific coefficients), was found for developed economies. The relationship obtained for the USA is characterized by A1=4.0, A2=-0.03075, and t1=2 years. It provides a root mean square forecasting error (RMFSE) of 0.8% at a two-year horizon for the period between 1965 and 2002 (the best among other inflation forecasting models) and has a perfect parsimony - only one predictor. The relationship is tested for cointegration. Both variables are integrated of order one according to the presence of a unit root in the series and its absence in their first differences. Two methods of cointegration testing are applied - the Engle-Granger one based on the unit root test of the residuals including a variety of specification tests and the Johansen cointegration rank test based on the VAR representation. Both approaches demonstrate that the variables are cointegrated and the long-run equilibrium relation revealed in previous study holds. According to the Granger causality test, the labor force change is proved to be a weakly exogenous variable - a natural result considering the time lead and the existence of a cointegrating relation. VAR and VECM representations do not provide any significant improvement in RMSFE. There are numerous applications of the equation: from purely theoretical - a robust fundamental relation between macroeconomic and population variables, to a practical one - an accurate out-of-sample inflation forecasting at a two-year horizon and a long-term prediction based on labor force projections. The predictive power of the relationship is inversely proportional to the uncertainty of labor force estimates. Therefore, future inflation research programs should start from a significant improvement in the accuracy of labor force estimations
2007-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2734/1/MPRA_paper_2734.pdf
Kitov, Ivan and Kitov, Oleg and Dolinskaya, Svetlana (2007): Inflation as a function of labor force change rate: cointegration test for the USA.
en
oai:mpra.ub.uni-muenchen.de:2736
2019-09-26T15:03:22Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D45:4533:453337
7375626A656374733D45:4533:453331
7375626A656374733D4A:4A32:4A3231
7375626A656374733D45:4533:453332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2736/
Relationship between inflation, unemployment and labor force change rate in France: cointegration test
Kitov, Ivan
Kitov, Oleg
Dolinskaya, Svetlana
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E37 - Forecasting and Simulation: Models and Applications
E31 - Price Level ; Inflation ; Deflation
J21 - Labor Force and Employment, Size, and Structure
E32 - Business Fluctuations ; Cycles
A linear and lagged relationship between inflation, unemployment and labor force change rate, π(t)=A0UE(t-t0)+A1dLF(t-t1)/LF(t-t1)+A2 (where A0, A1, and A2 are empirical country-specific coefficients), was found for developed economies. The relationship obtained for France is characterized by A0=-1, A1=4, A2=0.095, t0=4 years, and t1=4 years. For GDP deflator, it provides a root mean square forecasting error (RMFSE) of 1.0% at a four-year horizon for the period between 1971 and 2004.
The relationship is tested for cointegration. All three variables involved in the relationship are proved to be integrated of order one. Two methods of cointegration testing are used. First is the Engle-Granger approach based on the unit root test in the residuals of linear regression, which also includes a number of specification tests. Second method is the Johansen cointegration rank test based on a VAR representation, which is also proved to be an adequate one via a set of appropriate tests. Both approaches demonstrate that the variables are cointegrated and the long-run equilibrium relation revealed in previous study holds together with statistical estimates of goodness-of-fit and RMSFE.
Relationships between inflation and labor force and between unemployment and labor force are tested separately in appropriate time intervals, where the Banque de France monetary policy introduced in 1995 does not disturb the long-term links. All the individual relationships are cointegrated in corresponding intervals.
The VAR and vector error correction (VEC) models are estimated and provide just a marginal improvement in RMSFE at the four-year horizon both for GDP deflator (down to 0.9%) and CPI (~1.1%) on the results obtained in the regression study. The VECM approach also allows re-estimation of the coefficients in the individual and generalized relationship between the variables both for cointegration rank 1 and 2.
Comparison of the standard cointegration approach to the integral approach to the estimation of the coefficients in the individual and generalized relationships between the studied variables demonstrates the superiority of the latter. The cumulative inflation curve or inflation index, which is the actually measured evolution of price level, is much better predicted in the framework of the integral approach, which is a powerful tool for revealing true relationships between non-stationary variables and can be potentially used for rejection of spurious regression. The cumulative curves allow avoiding obvious drawbacks of the VECM representation and cointegration tests – increasing signal to noise ratio after differentiation and severe dependence on statistical properties of error terms.
The confirmed validity of the linear lagged relationship between inflation, unemployment and labor force change indicates that since 1995 the Banque de France has been wrongly applying the policy fixing the monetary growth to the reference value around 4.5%. As a result of the policy, during the last ten years unemployment in France was twice as large as the one dictated by its long-term equilibrium link to labor force change. This increased unemployment compensates the forced price stability.
2007-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2736/1/MPRA_paper_2736.pdf
Kitov, Ivan and Kitov, Oleg and Dolinskaya, Svetlana (2007): Relationship between inflation, unemployment and labor force change rate in France: cointegration test.
en
oai:mpra.ub.uni-muenchen.de:2961
2019-09-28T22:55:33Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D46:4630
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2961/
Is Latin America an Optimal Currency Area? Evidence from a Structural Vector Auto-regression analysis
Foresti, Pasquale
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F0 - General
This paper evaluates the advisability of a monetary union
in Latin America applying the theory of optimum currency areas
(OCA). The analysis, based on the traditional OCA criteria, suggests
that there is no evidence for any monetary integration in Latin
America, even at a sub-regional level. Latin American countries have
evidenced a low degree of trade integration and asymmetric
co-movements among their shocks. Moreover, important differences in
the speed of adjustment and size of shocks are found. Higher policy
coordination seems to be necessary before starting any economic
integration process in Latin America.
2007-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2961/1/MPRA_paper_2961.pdf
Foresti, Pasquale (2007): Is Latin America an Optimal Currency Area? Evidence from a Structural Vector Auto-regression analysis.
en
oai:mpra.ub.uni-muenchen.de:3219
2019-09-28T09:38:21Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473130
7375626A656374733D45:4530:453030
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3219/
Macro Economic Uncertainty of 1990s and Volatility at Karachi Stock Exchange
Mamoon, Dawood
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G10 - General
E00 - General
The paper examines the short to medium term trends and volatility in Karachi Stock Exchange and further explore the nature of relationship between stock market activities and a set of macroeconomic variables in 1990s. The analysis is based on daily and monthly data on general stock price index and trading volume and monthly data on inter bank call rate, wholesale price index, quantum index of manufacturing sector’s output and monetary aggregate M2 and it covers the period January 1992 to June 1999. The paper finds that in 1990s, the stock market at Karachi has become more volatile both on short-term (daily) and medium term (monthly) basis. Furthermore strong volatility inertia was present in stock price index, trading volume, wholesale price index, manufacturing output and money supply. The paper finds that there did not exist any systematic relation of stock price volatility with real or nominal macroeconomic volatility. Likewise, for the sample period, a volatile trading volume was neither due to a volatile stock price nor due to the fluctuations and shocks taking place in the economy. However, there was a negative long run relationship between stock price index and trading volume which suggests that the stock market has grown in size but its performance in terms of price has deteriorated. We also find that the level of real activity as indicated by manufacturing sector’s output responds positively to changes in stock price index. Therefore a poor performance of the stock market was likely to have had played at least some negative effects on the performance of manufacturing sector in the said period.
2007-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3219/1/MPRA_paper_3219.pdf
Mamoon, Dawood (2007): Macro Economic Uncertainty of 1990s and Volatility at Karachi Stock Exchange.
en
oai:mpra.ub.uni-muenchen.de:3244
2019-10-04T17:41:14Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D4D:4D33:4D3331
7375626A656374733D4C:4C35:4C3531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3244/
The Taylor Effect on the Performances of the Red Devils’ Football Brand
Leitão, João
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
M31 - Marketing
L51 - Economics of Regulation
In this paper we present an impact analysis of the regulation associated to the adoption of the Taylor Report, both on business strategy and sportive and financial performances of the Manchester United Football Club. An econometric approach is presented, by using a Cointegrated Vector Autoregressive (CVAR) model. This aims to analyse the impact of the regulation in terms of the national sportive performance, the value added, and the sales of the club, from 1967 to 1997. The importance of the Taylor Report on better national sportive performances of the football club in study is ratified. The growing importance of generating value added as a precedent mechanism that explains the best national sportive performance is confirmed.
2007-05-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3244/1/MPRA_paper_3244.pdf
Leitão, João (2007): The Taylor Effect on the Performances of the Red Devils’ Football Brand.
en
oai:mpra.ub.uni-muenchen.de:3261
2019-09-29T09:57:47Z
7374617475733D696E7072657373
7375626A656374733D43:4333:433332
7375626A656374733D43:4333:433333
7375626A656374733D43:4331:433134
7375626A656374733D43:4331:433135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3261/
Mixed Signals Among Tests for Panel Cointegration
Westerlund, Joakim
Basher, Syed A.
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C33 - Panel Data Models ; Spatio-temporal Models
C14 - Semiparametric and Nonparametric Methods: General
C15 - Statistical Simulation Methods: General
In this paper, we study the effect that different serial
correlation adjustment methods can have on panel cointegration
testing. As an example, we consider the very popular tests
developed by Pedroni (1999, 2004). Results based on both simulated
and real data suggest that different adjustment methods can lead
to significant variations in test outcome, and thus also in the
conclusions.
2007-05-16
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3261/1/MPRA_paper_3261.pdf
Westerlund, Joakim and Basher, Syed A. (2007): Mixed Signals Among Tests for Panel Cointegration. Forthcoming in: Economic Modelling
en
oai:mpra.ub.uni-muenchen.de:3262
2019-09-29T05:27:43Z
7374617475733D696E7072657373
7375626A656374733D43:4333:433332
7375626A656374733D43:4333:433333
7375626A656374733D51:5135:513534
7375626A656374733D51:5132:513238
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3262/
Testing for Convergence in Carbon Dioxide Emissions Using a Century of Panel Data
Westerlund, Joakim
Basher, Syed A.
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C33 - Panel Data Models ; Spatio-temporal Models
Q54 - Climate ; Natural Disasters and Their Management ; Global Warming
Q28 - Government Policy
This paper tests the convergence in per-capita carbon dioxide
emissions for a collection of developed and developing countries
using data spanning the period 1870 to 2002. For this purpose, three
recently developed panel unit root tests that permit for dependence
among the individual countries are employed. The results lend strong
support in favor of convergence for the panel as a whole. Estimates
of the speed of this convergence is also provided.
2007-05-16
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3262/1/MPRA_paper_3262.pdf
Westerlund, Joakim and Basher, Syed A. (2007): Testing for Convergence in Carbon Dioxide Emissions Using a Century of Panel Data. Forthcoming in: Environmental and Resource Economics
en
oai:mpra.ub.uni-muenchen.de:3267
2019-09-28T04:54:33Z
7374617475733D707562
7375626A656374733D43:4333:433332
7375626A656374733D4F:4F31:4F3135
7375626A656374733D4F:4F31:4F3136
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3267/
Exploring the causal relationship among social, real, monetary and infrastructure development in Pakistan
Iqbal, Javed
Nadeem, Khurram
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
O15 - Human Resources ; Human Development ; Income Distribution ; Migration
O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance
This paper examines the causal relationship among composite indicators for real, monetary/financial, social and infrastructure development in Pakistan. This is an effort to provide evidence on the two highly debatable issues, i.e. money-real causality and social-economic causality in a single multivariate framework. We use a large number of variables to construct the composite indicators of development in four major sectors of the economy: social development, real economic development, monetary and financial growth and infrastructure development. The data are collected from 1971-72 to 2003-04 on annual basis. The technique of factor analysis using principal component is employed to construct these indicators. The computed values of these indicators over the aforementioned time span constitute time series data. Using these time series data the paper assesses that a long-run relationship exists among social, real, monetary and infrastructure activities. The paper has applied Granger Causality test in a Vector Error Correction model and concludes that social development is caused by real economic development but not vice versa, which is indicative of ‘trickle-down’ development policies. It also concludes that in the context of Pakistan, no causal relationship exists between real economic development and monetary growth; meaning that monetary development has no impact on the economic growth of the country. However, both real development and monetary indicators appear to be exogenous in the system which implies that these can be used as instrument in developing social and physical infrastructure to boost investment and improving the quality of life of the people.
2006-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3267/1/MPRA_paper_3267.pdf
Iqbal, Javed and Nadeem, Khurram (2006): Exploring the causal relationship among social, real, monetary and infrastructure development in Pakistan. Published in: Pakistan Economic and Social Review , Vol. 44, No. 1 (June 2006): pp. 39-56.
en
oai:mpra.ub.uni-muenchen.de:3302
2019-09-27T06:42:44Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4730
7375626A656374733D43:4335:433532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3302/
Filtered Extreme Value Theory for Value-At-Risk Estimation
Ozun, Alper
Cifter, Atilla
Yilmazer, Sait
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G0 - General
C52 - Model Evaluation, Validation, and Selection
Extreme returns in stock returns need to be captured for a successful risk management function to estimate unexpected loss in portfolio. Traditional value-at-risk models based on parametric models are not able to capture the extremes in emerging markets where high volatility and nonlinear behaviors in returns are observed. The Extreme Value Theory (EVT) with conditional quantile proposed by McNeil and Frey (2000) is based on the central limit theorem applied to the extremes rater than mean of the return distribution. It limits the distribution of extreme returns always has the same form without relying on the distribution of the parent variable. This paper uses 8 filtered EVT models created with conditional quantile to estimate value-at-risk for the Istanbul Stock Exchange (ISE). The performances of the filtered expected shortfall models are compared to those of GARCH, GARCH with student-t distribution, GARCH with skewed student-t distribution and FIGARCH by using alternative back-testing algorithms, namely, Kupiec test (1995), Christoffersen test (1998), Lopez test (1999), RMSE (70 days) h-step ahead forecasting RMSE (70 days), number of exception and h-step ahead number of exception. The test results show that the filtered expected shortfall has better performance on capturing fat-tails in the stock returns than parametric value-at-risk models do. Besides increase in conditional quantile decreases h-step ahead number of exceptions and this shows that filtered expected shortfall with higher conditional quantile such as 40 days should be used for forward looking forecasting.
2007-05-22
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3302/1/MPRA_paper_3302.pdf
Ozun, Alper and Cifter, Atilla and Yilmazer, Sait (2007): Filtered Extreme Value Theory for Value-At-Risk Estimation.
en
oai:mpra.ub.uni-muenchen.de:3401
2019-10-25T06:15:03Z
oai:mpra.ub.uni-muenchen.de:3402
2019-10-26T19:22:41Z
oai:mpra.ub.uni-muenchen.de:3403
2019-10-26T17:20:56Z
oai:mpra.ub.uni-muenchen.de:3437
2019-09-27T12:33:18Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4332:433232
7375626A656374733D45:4534:453433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3437/
The expectations hypothesis of the term structure: some empirical evidence for Portugal
Silva Lopes, Artur C.
M. Monteiro, Olga Susana
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
E43 - Interest Rates: Determination, Term Structure, and Effects
The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results obtained support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous evidence for other countries.
The empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. In the single equation framework, the implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected.
2007-05-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3437/1/MPRA_paper_3437.pdf
Silva Lopes, Artur C. and M. Monteiro, Olga Susana (2007): The expectations hypothesis of the term structure: some empirical evidence for Portugal.
en
oai:mpra.ub.uni-muenchen.de:3589
2019-09-27T11:34:04Z
7374617475733D756E707562
7375626A656374733D4F:4F33:4F3330
7375626A656374733D45:4533:453332
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3589/
Technology Shocks, Statistical Models, and The Great Moderation
Fuentes-Albero, Cristina
O30 - General
E32 - Business Fluctuations ; Cycles
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
In this paper we compare the cyclical features implied by an RBC model with two
technology shocks under several statistical specifications for the stochastic processes
governing technological change. We conclude that while a trend-stationary model
accounts better for the observed volatilities, a difference-stationary model does a relatively
better job of accounting for the correlation of the variables of interest with
output. We also explore some counterfactuals to assess the ability of our model to
replicate the volatility slowdown of the mid 1980s. First, we conclude that the stochastic
growth model outperforms the deterministic growth model in accounting for the
Great Moderation. Finally, we obtain that even though the neutral technology shock
is the main driving force in the volatility slowdown, allowing for a larger financial flexibility
in the form of a smaller volatility for the investment-specific innovation improves
the ability of our model to account for the magnitude of the Great Moderation.
2007-06-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3589/1/MPRA_paper_3589.pdf
Fuentes-Albero, Cristina (2007): Technology Shocks, Statistical Models, and The Great Moderation.
en
oai:mpra.ub.uni-muenchen.de:3633
2020-03-02T14:33:15Z
oai:mpra.ub.uni-muenchen.de:3698
2019-10-10T16:52:04Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433533
7375626A656374733D45:4533:453332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3698/
The Australian Business Cycle: A New View
Harding, Don
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C53 - Forecasting and Prediction Methods ; Simulation Methods
E32 - Business Fluctuations ; Cycles
In this paper I address the following questions.
- Has the business cycle become longer and shallower? And why?
- How stabilizing is monetary policy.
In answering these questions I summarize recent research undertaken by Adrian Pagan and myself that formalizes the procedures developed by Burns and Mitchell at the NBER. Defence of our position goes beyond continuity with the past and is based on the view that the way in which these investigators defined the business cycle is a very natural one that connects with the way policy makers and commentators discuss the cycle.
After discussing how to extract cyclical information my attention then turns to describing the features of the Australian business cycle. Here I employ recently constructed data on annual GDP that goes back to 1861. The recurrent pattern of peaks and troughs in this annual data marks out recessions that are somewhat more severe than that seen in quarterly data. I find little evidence that these major contractions are shorter in the second half of the 20th century than they were in the second half of the 19th century. Major expansions in the late 20th century were, however, longer than for any previous period. I find that the volatility of annual GDP growth rose markedly in the first half of the 20th century but declined to an all time low in the second half of that century. However, the decline in volatility between the late 19th and late 20th centuries is not very marked.
After examining the quarterly data available from 1959.3 to 2001.4 I find little evidence that contractions are shorter but there is some very weak evidence that the amplitude of these contractions has moderated.
The apparent decline in volatility of Australian GDP is shown to be explained by two statistical factors viz there is some residual seasonality in GDP which seems to be more pronounced in the 1960 and 70s and the ABS has reduced the extent of measurement error in GDP. After accounting for these no long run trend is discernable in volatility.
2002-04-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3698/1/MPRA_paper_3698.pdf
Harding, Don (2002): The Australian Business Cycle: A New View.
en
oai:mpra.ub.uni-muenchen.de:3715
2019-09-29T04:01:04Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D46:4631:463135
7375626A656374733D4F:4F31:4F3131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3715/
Common and uncommon sources of growth in Asia Pacific
Weber, Enzo
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F15 - Economic Integration
O11 - Macroeconomic Analyses of Economic Development
This paper embarks to analyse the role of exports and investment supposed to be major sources of economic growth in Asia Pacific. Therefore at first, the cointegration properties of exports, capital formation and GDP are examined in vector error correction models (VECMs). The results confirm the crucial role of exports and investment in the Asian growth dynamics. In a second stage, the structural shocks are identified by short- and long-run restrictions. These shocks, as well as the corresponding dynamic responses, are then correlated across all sample countries to provide insight into the depth of regional coherence. At last, the identified trends are explained by various macroeconomic variables.
2006-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3715/1/MPRA_paper_3715.pdf
Weber, Enzo (2006): Common and uncommon sources of growth in Asia Pacific.
en
oai:mpra.ub.uni-muenchen.de:3906
2019-09-26T20:08:56Z
7374617475733D756E707562
7375626A656374733D46:4633:463336
7375626A656374733D45:4534:453432
7375626A656374733D46:4633:463331
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3906/
Comparative analysis of the exchange market pressure in Central European countries with the Eurozone membership perspective
Stavarek, Daniel
F36 - Financial Aspects of Economic Integration
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
F31 - Foreign Exchange
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper estimates the exchange market pressure (EMP) in four Central European countries (Czech Republic, Hungary, Poland, Slovakia) during the period 1993-2006. Therefore, it is one of very few studies focused on this region and the very first paper applying concurrently model-dependent as well as model-independent approach to the EMP estimation on these countries. The results obtained suggest that the approaches are not compatible and lead to absolutely inconsistent findings. They often differ in both identification of principal development trends and estimated magnitude and direction of the pressure. Therefore, any general conclusion on those issues is hard to draw. The paper provides evidence that a shift in the exchange rate regime towards the quasi-fixed ERM II should not lead to increasing EMP. However, it is highly probable that some episodes of the excessive EMP will make the fulfillment of the exchange rate stability criterion more difficult in all countries analyzed unless the criterion will have eased.
2007-06-28
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3906/1/MPRA_paper_3906.pdf
Stavarek, Daniel (2007): Comparative analysis of the exchange market pressure in Central European countries with the Eurozone membership perspective.
en
oai:mpra.ub.uni-muenchen.de:4042
2019-10-03T04:29:53Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D45:4533:453332
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4042/
A real-time recession indicator for the Euro area
Ferrara, Laurent
C51 - Model Construction and Estimation
E32 - Business Fluctuations ; Cycles
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
In this paper, we propose a new coincident monthly indicator to detect in real-time the start and the
end of an economic recession phase for the Euro area. In this respect, we use the methodology
proposed in Anas and Ferrara (2002, 2004) as regards the recession indicator for the US, based on
Markov-Switching processes popularized in economics by Hamilton (1989). By using a set of four
monthly time series, we show that this start-end recession indicator (SERI) is able to reproduce all the
recession phases experienced by the Euro area since 1970. Concerning the last low phase of the
growth cycle in the Euro area, started in 2001, empirical results show that the Euro area experienced a
« quasi-recession » phase, located between the end of the 2001 year and the beginning of 2002,
without a global recession. This is due to a lack of diffusion of this phenomena among the main Eurozone
countries, though it was synchronized.
2006-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4042/1/MPRA_paper_4042.pdf
Ferrara, Laurent (2006): A real-time recession indicator for the Euro area.
en
oai:mpra.ub.uni-muenchen.de:4043
2019-10-02T16:49:16Z
7374617475733D707562
7375626A656374733D45:4533:453332
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4043/
Un indicateur d'entrée et sortie de récession: application aux Etats-Unis
Anas, Jacques
Ferrara, Laurent
E32 - Business Fluctuations ; Cycles
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
This working paper presents a new coincident economic indicator developed by the COE, able to
detect in real time peaks and troughs of the american business cycle. This probabilistic indicator is
based on the Markov-Switching model proposed by Hamilton (1989), applied to various economic
time series carefully chosen. The filtered probabilities stemming from these series are combined by
taking into account the risks of false signals in order to provide a recession probability. This new
indicator fruitfully completes the leading indicator IARC, released monthly by the COE, which
aims at forecasting the fluctuations of the growth cycle. It is planned to apply this new indicator to
the eurozone in the next future.
2002-07-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4043/1/MPRA_paper_4043.pdf
Anas, Jacques and Ferrara, Laurent (2002): Un indicateur d'entrée et sortie de récession: application aux Etats-Unis. Published in: Document de travail du COE No. 58 : pp. 1-56.
fr
oai:mpra.ub.uni-muenchen.de:4180
2019-09-28T20:21:10Z
7374617475733D756E707562
7375626A656374733D51:5134:513433
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4180/
The possible impacts of energy imports in the economic growth of USA
Pereira, Vitor
Q43 - Energy and the Macroeconomy
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
The present study wants to analysis the relations of causality and the effects of the imports of energy in economic growth of the USA. VAR methodology associated with Granger causality analyses are used to investigate the relations between energy imports, investment and employment. The results indicate serious negative impact of energy imports on private sector investment and in the level of employment.
2007-06-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4180/1/MPRA_paper_4180.pdf
Pereira, Vitor (2007): The possible impacts of energy imports in the economic growth of USA.
pt
oai:mpra.ub.uni-muenchen.de:4271
2019-10-28T19:02:21Z
oai:mpra.ub.uni-muenchen.de:4539
2019-10-27T06:05:51Z
oai:mpra.ub.uni-muenchen.de:4737
2019-09-26T16:05:29Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D46:4633:463331
7375626A656374733D46:4634:463431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4737/
Economic Integration and the Foreign Exchange
Weber, Enzo
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F31 - Foreign Exchange
F41 - Open Economy Macroeconomics
This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand of the underlying monies restricts exchange rate movements to transitory fluctuations. In the spirit of optimal currency areas, this has the potential to serve as a criterion for an all-round integration of two economies. Empirically, such a constellation is found between Australia and New Zealand, whereas diverging trends in money and interest rates characterise the relation of Australia towards the US.
2007-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4737/1/MPRA_paper_4737.pdf
Weber, Enzo (2007): Economic Integration and the Foreign Exchange.
en
oai:mpra.ub.uni-muenchen.de:4820
2019-10-04T01:43:17Z
7374617475733D707562
7375626A656374733D52:5231:523131
7375626A656374733D52:5235:523538
7375626A656374733D43:4333:433332
7375626A656374733D52:5235:523533
7375626A656374733D4F:4F31:4F3131
7375626A656374733D48:4835:483534
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4820/
Infrastructure and Development Interlinkage in West Bengal: A VAR Analysis
Majumder, Rajarshi
Mukherjee, Dipa
R11 - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
R58 - Regional Development Planning and Policy
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
R53 - Public Facility Location Analysis ; Public Investment and Capital Stock
O11 - Macroeconomic Analyses of Economic Development
H54 - Infrastructures ; Other Public Investment and Capital Stock
Theoretical propositions proclaim that the association between Infrastructure Availability and Development of a region is quite strong and runs from the former to the latter. Empirical studies are however, inconclusive. While few researchers have concluded that the impact of infrastructure on development levels, though positive, is not significant, equally large numbers of studies claim that infrastructure explains a substantial part of development levels. In this paper the association between infrastructural availability and development for the West Bengal economy is explored using a multidimensional approach and a time series study. It is observed that both developmental and infrastructural indices have shown a continuously rising trend during 1971-2001. The causation seems to be stronger from infrastructure to development. The long run relationships suggest strong positive impact of infrastructural availability on development levels. Different facets of infrastructure seem to have different impacts on different dimensions of development. A segmented policy aiming at specific sectors need to be adopted, with the greatest importance being attached to those infrastructural indicators that have highest total impact and strongest 'linkages' across sectors. Only this can sustain the development 'push' generated in West Bengal. Otherwise, the superstructure will have only a weak base and will come crashing down any day.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4820/1/MPRA_paper_4820.pdf
Majumder, Rajarshi and Mukherjee, Dipa (2005): Infrastructure and Development Interlinkage in West Bengal: A VAR Analysis. Published in: Artha-Niti , Vol. III, No. 1 & 2 (2005)
en
oai:mpra.ub.uni-muenchen.de:5099
2019-10-02T20:28:10Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5099/
Who Leads Financial Markets?
Weber, Enzo
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Estimating multivariate EGARCH processes for the structural financial innovations determines causality-in-variance effects and provides a solution to the simultaneity problem of identifying the contemporaneous impacts between the daily variables. Structural mean equations can therefore give answers to the question of financial markets leadership: Generally speaking, the US effects on Europe still dominate, but the special econometric methodology is able to uncover otherwise neglected spillovers in the reverse direction.
2007-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5099/1/MPRA_paper_5099.pdf
Weber, Enzo (2007): Who Leads Financial Markets?
en
oai:mpra.ub.uni-muenchen.de:5101
2019-10-01T22:14:55Z
7374617475733D756E707562
7375626A656374733D47:4732:473231
7375626A656374733D45:4535:453531
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5101/
Larger crises cost more: impact of banking sector instability on output growth
Serwa, Dobromił
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
E51 - Money Supply ; Credit ; Money Multipliers
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
We propose a method for calculating the macroeconomic costs of banking crises that controls for the downward impact of recessions on banking activity. In contrast to earlier research, we estimate the cost of crises based on the size of banking crises. The extent of a crisis is measured using banking sector aggregates. The results, based on our method and data from over 100 banking crises, suggest that the size of a crisis matters for economic growth. Lower credit, deposit and money growth during crises cause GDP growth to decline.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5101/1/MPRA_paper_5101.pdf
Serwa, Dobromił (2007): Larger crises cost more: impact of banking sector instability on output growth.
en
oai:mpra.ub.uni-muenchen.de:5219
2019-09-28T02:02:01Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D4F:4F35:4F3533
7375626A656374733D46:4632:463231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5219/
THE IMPLICATIONS OF EMERGENCE OF CHINA TOWARDS ASEAN-5: FDI-GDP PERSPECTIVE
Puah, Chin-Hong
Kueh, Jerome Swee-Hui
Lau, Evan
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
O53 - Asia including Middle East
F21 - International Investment ; Long-Term Capital Movements
The relationship between Foreign Direct Investment (FDI) and Gross Domestic Products (GDP) had become the centre piece of recent researches in identifying the short run and long run implications between the two variables. Using the hypotheses of FDI led GDP and GDP led FDI as theoretical framework, this study intends to analyze the implications of the rise of China towards the ASEAN-5 countries, namely Indonesia, Malaysia, the Philippines, Singapore and Thailand from the perspective of FDI and GDP. The cointegration and vector error correlation estimate test results showed that there is a significant positive long run relationship between FDI of China and GDP of ASEAN-5. However, we failed to detect any short run causal relationship among the variables under study.
2007-10-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5219/1/MPRA_paper_5219.pdf
Puah, Chin-Hong and Kueh, Jerome Swee-Hui and Lau, Evan (2007): THE IMPLICATIONS OF EMERGENCE OF CHINA TOWARDS ASEAN-5: FDI-GDP PERSPECTIVE.
en
oai:mpra.ub.uni-muenchen.de:5220
2019-10-01T06:16:33Z
7374617475733D756E707562
7375626A656374733D46:4634:463430
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5220/
FDI-trade nexus: empirical analysis on ASEAN-5
Kueh, Jerome Swee-Hui
Puah, Chin-Hong
Lau, Evan
Abu Mansor, Shazali
F40 - General
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper investigates the dynamic linkages between FDI and trade of ASEAN-5 countries using the Autoregressive Distributed Lag (ARDL) bounds testing approach. Empirical results suggest that FDI and import are complement to each other in long run but import tends to substitute FDI in short run. Conversely, export tends to substitute FDI in long run, however, complementary linkage was found between FDI and export in short run.
2007-10-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5220/1/MPRA_paper_5220.pdf
Kueh, Jerome Swee-Hui and Puah, Chin-Hong and Lau, Evan and Abu Mansor, Shazali (2007): FDI-trade nexus: empirical analysis on ASEAN-5.
en
oai:mpra.ub.uni-muenchen.de:5333
2019-09-28T10:00:51Z
7374617475733D707562
7375626A656374733D45:4532:453231
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5333/
Tüketim ve Kamu Harcamaları: VECM modeli
erdogdu, oya
E21 - Consumption ; Saving ; Wealth
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
Consumption expenditure is an important component of aggregate demand. Recent
theoretical and empirical studies search for possible Keynesian / Non Keynesian fiscal
impacts on household consumption decisions. Besides providing insight to determinants of
consumption decisions, these studies also provide guide to policy solutions to high and risky current account deficits and high and persisting inflation rate problems. This empirical study for Turkey is another attempt to search for possible Keynesian fiscal policy effects on private sector consumption decisions. Distinguishing long run and short run affects indicate that expansionary Keynesian impact of fiscal policy on private sector consumption decision is significant only if fiscal policy is sustainable
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5333/1/MPRA_paper_5333.pdf
erdogdu, oya (2006): Tüketim ve Kamu Harcamaları: VECM modeli. Published in: İktisat,işletme ve finans No. 255 (June 2007): pp. 63-73.
tr
oai:mpra.ub.uni-muenchen.de:5413
2019-10-03T09:25:34Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D51:5134:513433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5413/
The Effects of Energy Imports: The Case of Turkey
erdogdu, oya safinaz
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
Q43 - Energy and the Macroeconomy
It is seen that many developed nations are taking serious actions to use domestic rather than imported energy resources. Contrary, Turkey -a developing country- is getting more dependent on imported resources of energy, such as natural gas. This study analyses the consequences of this policy on some macroeconomic variables. Granger causality test statistics are calculated to search for relations between total energy consumption / imported energy resources and gross domestic product, industrial production index or private sector fixed investment. The results indicate that although total and imported quantity of energy affects gross domestic product, the national income, the origin of energy resource –such as being domestic or not – does not effect industrial production. As for the determinants of energy imports the test statistics indicate that private sector investment Granger causes energy imports.
2007-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5413/1/MPRA_paper_5413.pdf
erdogdu, oya safinaz (2007): The Effects of Energy Imports: The Case of Turkey.
en
oai:mpra.ub.uni-muenchen.de:5431
2019-09-28T16:34:16Z
7374617475733D756E707562
7375626A656374733D45:4533:453332
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5431/
A multivariate innovations state space Beveridge Nelson decomposition
de Silva, Ashton
E32 - Business Fluctuations ; Cycles
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
The Beveridge Nelson vector innovation structural time series framework is new formu-
lation that decomposes a set of variables into their permanent and temporary components.
The framework models inter-series relationships and common features in a simple man-
ner. In particular, it is shown that this new speci¯cation is more simple than conventional
state space and cointegration approaches. The approach is illustrated using a trivariate
data set comprising the GD(N)P of Australia, America and the UK.
2007-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5431/1/MPRA_paper_5431.pdf
de Silva, Ashton (2007): A multivariate innovations state space Beveridge Nelson decomposition.
en
oai:mpra.ub.uni-muenchen.de:5581
2019-10-05T00:08:07Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D46:4633:463331
7375626A656374733D45:4535:453538
7375626A656374733D43:4335:433533
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5581/
A Monetary Approach to Exchange Rate Dynamics in Low-Income Countries: Evidence from Kenya
Nandwa, Boaz
Mohan, Ramesh
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F31 - Foreign Exchange
E58 - Central Banks and Their Policies
C53 - Forecasting and Prediction Methods ; Simulation Methods
The flexible price monetary model assumes that both the purchasing power parity (PPP) and uncovered interest parity (UIP) hold continuously. In addition, the model posits that money market equilibrium exists, which helps to determine the exchange rate. This paper explores exchange rate determination in low-income economies by applying a monetary model to Kenya to examine the exchange rate dynamics in a post-float exchange rate regime. We apply a multivariate cointegration and error correction model (ECM) to investigate whether the long-run exchange rate equilibrium and the rate of adjustment to the long-run equilibrium hold, respectively. Finally, we evaluate the relative performance of ECM versus a random walk framework in the out-of-sample forecasting. We find that the random walk performs better than the restricted model.
2007-11-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5581/1/MPRA_paper_5581.pdf
Nandwa, Boaz and Mohan, Ramesh (2007): A Monetary Approach to Exchange Rate Dynamics in Low-Income Countries: Evidence from Kenya.
en
oai:mpra.ub.uni-muenchen.de:5582
2019-09-30T22:54:10Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D4F:4F31:4F3131
7375626A656374733D46:4634:463431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5582/
Testing Export-led Growth Hypothesis in Kenya: An ADRL Bounds Test Approach
Mohan, Ramesh
Nandwa, Boaz
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
O11 - Macroeconomic Analyses of Economic Development
F41 - Open Economy Macroeconomics
Over the years, there has been extensive research on the relationship between a country’s export and economic growth with ambiguous and mixed results. Instead of using the conventional cointegration approach, this paper re-examines the export-led growth hypothesis for Kenya using autoregressive distributed lag (ADRL) bounds technique. This approach is capable of testing for the existence of a long-run relationship regardless of whether the underlying time series are individually I(1) or I(0). This enhances the stability and robustness of our results. In addition, we examine the Granger causality between exports and economic growth over the sample period. The results indicate that there exists a long-term relationship between GDP growth and exports, and it is unidirectional, running from exports to GDP growth. Hence, in the case of Kenya, export enhancing policies are recommended in promoting and sustaining economic growth.
2007-11-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5582/1/MPRA_paper_5582.pdf
Mohan, Ramesh and Nandwa, Boaz (2007): Testing Export-led Growth Hypothesis in Kenya: An ADRL Bounds Test Approach.
en
oai:mpra.ub.uni-muenchen.de:5594
2019-09-30T23:15:32Z
7374617475733D756E707562
7375626A656374733D4A:4A32:4A3233
7375626A656374733D43:4333:433332
7375626A656374733D4A:4A32:4A3231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5594/
The Relationship Among African American Male Earnings, Employment, Incarceration and Immigration: A Time Series Approach
Stevans, Lonnie
J23 - Labor Demand
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
J21 - Labor Force and Employment, Size, and Structure
The advent of rising immigration has spurred research into a number of important issues insofar as the indigenous labor market is concerned. Some of these issues regarding the nature of the effect on native workers have been studied extensively. Others, like the interrelationships among immigration flows, African-American male earnings, employment, and incarceration rates have not been widely examined. In this paper, the association among these non-stationary variables is studied in the framework of a Vector Error Correction model and the associated cointegrating relationship. We find no statistically significant association among immigration, Black male employment rates, and Black male incarceration rates over the period 1962-2006, ceteris paribus.
2007-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5594/1/MPRA_paper_5594.pdf
Stevans, Lonnie (2007): The Relationship Among African American Male Earnings, Employment, Incarceration and Immigration: A Time Series Approach.
en
oai:mpra.ub.uni-muenchen.de:5645
2019-09-28T04:35:26Z
7374617475733D756E707562
7375626A656374733D4F:4F31:4F3131
7375626A656374733D46:4634
7375626A656374733D43:4333:433332
7375626A656374733D46:4631:463134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5645/
Balance of payments constrained growth model: evidence for Bolivia 1953-2002
Arevilca Vasquez, Bismarck Javier
Risso Charquero, Adrian Winston
O11 - Macroeconomic Analyses of Economic Development
F4 - Macroeconomic Aspects of International Trade and Finance
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F14 - Empirical Studies of Trade
Theoretical and empirical literature have focused on supply factors when studying economic growth determinants. The present work analyzes demand factors as determinants of the Bolivian economic growth between 1953-2002 using framework introduced by Thirlwall (1979). According to cointegration analysis exports were an important determinant in the Bolivian economic growth for the whole period. In addition, real exchange rate presents a negative relationship respect to the long run growth. Further results show that Bolivian imports are more elastics than exports respect to the GDP, determining a negative impact in trade balance. An hypothesis is that the implemented economic model after 1985 has increased the external constraint of the country causing a process of “deindustrialization”.
2007-09-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5645/1/MPRA_paper_5645.pdf
Arevilca Vasquez, Bismarck Javier and Risso Charquero, Adrian Winston (2007): Balance of payments constrained growth model: evidence for Bolivia 1953-2002.
en
oai:mpra.ub.uni-muenchen.de:5684
2019-10-23T04:56:31Z
oai:mpra.ub.uni-muenchen.de:6099
2019-09-28T16:47:16Z
7374617475733D707562
7375626A656374733D43:4333:433332
7375626A656374733D46:4633:463332
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6099/
Output, the Real Exchange Rate, and the Crises in Turkey
Ardic, Oya Pinar
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F32 - Current Account Adjustment ; Short-Term Capital Movements
F31 - Foreign Exchange
Since the 1980s, most emerging economies have experienced economic crises associated with large, prolonged current account deficits and real exchange rate misalignment. Eventually these governments ended up devaluing national currencies. Empirical evidence from developing countries suggests that devaluation, in most cases, have been contractionary due to demand-side and supply-side effects. This paper studies the Turkish experience since the 1980s, and based on the results of a VAR analysis, finds that devauations were indeed contractionary.
2006-01-29
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6099/1/MPRA_paper_6099.pdf
Ardic, Oya Pinar (2006): Output, the Real Exchange Rate, and the Crises in Turkey. Published in: Topics in Middle Eastern and North African Economies, MEEA Online Journal , Vol. 8, (2006)
en
oai:mpra.ub.uni-muenchen.de:6136
2019-09-27T03:39:33Z
7374617475733D756E707562
7375626A656374733D46:4631:463135
7375626A656374733D43:4333:433332
7375626A656374733D45:4533:453332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6136/
Regional and Outward Economic Integration in South-East Asia
Weber, Enzo
F15 - Economic Integration
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E32 - Business Fluctuations ; Cycles
The subject of this paper tackles macroeconomic integration of the South-East Asian countries South Korea, Singapore and Taiwan. Economically, the analysis is based on notions of stochastic long-run convergence and business cycle synchrony in the GDPs. According tests for cointegration and common serial correlation features reveal a high degree
of coherence in long-run growth and medium-run fluctuations. This allows extracting a common stochastic growth trend and a common business cycle. Further analysis shows that both of these components are subject to stronger influences from the US than from Japan. Convergence towards these matured economies conspicuously appears since the
1990s.
2007-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6136/1/MPRA_paper_6136.pdf
Weber, Enzo (2007): Regional and Outward Economic Integration in South-East Asia.
en
oai:mpra.ub.uni-muenchen.de:6173
2019-10-23T17:16:44Z
oai:mpra.ub.uni-muenchen.de:6243
2019-10-29T17:27:17Z
oai:mpra.ub.uni-muenchen.de:6318
2019-09-27T11:08:26Z
7374617475733D707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433533
7375626A656374733D47:4731:473133
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6318/
Joint Modeling of Call and Put Implied Volatility
Ahoniemi, Katja
Lanne, Markku
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C53 - Forecasting and Prediction Methods ; Simulation Methods
G13 - Contingent Pricing ; Futures Pricing
This paper exploits the fact that implied volatilities calculated from identical call and put options have often been empirically found to differ, although they should be equal in theory. We propose a new bivariate mixture multiplicative error model and show that it is a good fit to Nikkei 225 index call and put option implied volatility (IV). A good model fit requires two mixture components in the model, allowing for different mean equations and error distributions for calmer and more volatile days. Forecast evaluation indicates that in addition to jointly modeling the time series of call and put IV, cross effects should be added to the model: putside implied volatility helps forecast callside IV, and vice versa. Impulse response functions show that the IV derived from put options recovers faster from shocks, and the effect of shocks lasts for up to six weeks.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6318/1/MPRA_paper_6318.pdf
Ahoniemi, Katja and Lanne, Markku (2007): Joint Modeling of Call and Put Implied Volatility. Published in:
en
oai:mpra.ub.uni-muenchen.de:6323
2019-10-11T16:38:50Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433532
7375626A656374733D46:4634:463433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6323/
ARE EXPORTS CAUSING GROWTH? EVIDENCE ON INTERNATIONAL TRADE EXPANSION IN CUBA, 1960-2004
Fugarolas, Guadalupe
Mañalich, Isis
Matesanz, David
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C52 - Model Evaluation, Validation, and Selection
F43 - Economic Growth of Open Economies
Economic development in Cuban economy in the last 50 years has been involved in the so called socialist revolution time. In the external sector, the COMECON arrangements have determined its international specialization trade pattern and balance of payments position until 1989. When the Berlin Wall fell down, Cuban economy collapsed showing the malfunctions of the previous external regulated period. In this paper, we analyzed the role of exports as an engine of economic growth in Cuba considering essential events in its commercial policy-making in the long period from 1960 to 2004. Our results show that the export led growth (ELG) hypothesis is not an appealing phenomenon. Causality proofs on the basis of error correction and augmented level VAR modellings show the imperious necesssity to import for the Cuban development. The inclusion of imports not only evidences the weakness in the feedback and interrelation between economic growth and exports but also their expansion has been precisely causing growth in most of the considered periods.
2007-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6323/1/MPRA_paper_6323.pdf
Fugarolas, Guadalupe and Mañalich, Isis and Matesanz, David (2007): ARE EXPORTS CAUSING GROWTH? EVIDENCE ON INTERNATIONAL TRADE EXPANSION IN CUBA, 1960-2004.
en
oai:mpra.ub.uni-muenchen.de:6562
2019-09-29T05:06:27Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D4F:4F34:4F3437
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6562/
Прогнозирование эффективности экономики Украины
Goncharuk, Anatoliy G.
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
O47 - Empirical Studies of Economic Growth ; Aggregate Productivity ; Cross-Country Output Convergence
Major factors of efficiency of the economy of Ukraine, which influence is formalized in the form of valid regression models, are revealed. On the basis of the constructed models the forecast of dynamics of the basic parameters of efficiency of the economy of Ukraine for 2006-2007 is carried out. The features and tendencies of dynamics of the basic parameters of efficiency of economy of Ukraine are revealed.
2006-09-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6562/2/MPRA_paper_6562.pdf
Goncharuk, Anatoliy G. (2006): Прогнозирование эффективности экономики Украины.
ru
oai:mpra.ub.uni-muenchen.de:6573
2019-09-28T04:50:18Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D45:4533:453331
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6573/
Exchange Rate Pass-Through and Structural Macroeconomic Shocks in Developing Countries: An Empirical Investigation.
Barhoumi, Karim
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E31 - Price Level ; Inflation ; Deflation
F31 - Foreign Exchange
This paper investigates the exchange rate pass-through in 12 developing countries during the period 1980-2001 by adopting a new formulation . Rather than considering the traditional approach based on the exogenous exchange rate movement through correlation between exchange
rate and prices, we focus on fundamental macroeconomic shocks that a¤ect both exchange rate and prices. In order to do that, we employ long-run restrictions à la Blanchard and Quah (1989) to identify the di¤erent shocks through an open economic macroeconomic model (ISLM framework).
We use two empirical methodology : Structural VECM methodology used by Jang and Ogaki (2004) and the common trends approach proposed by Warne et al (1992). This allows us to calculate the pass-through as the responses of the exchange rate, CPI and import prices to the
supply, the relative demand, the nominal and the foreign prices shocks. We show that the pass-through ratio in developing countries is di¤erent when considering di¤erent structural shocks.
2006-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6573/1/MPRA_paper_6573.pdf
Barhoumi, Karim (2006): Exchange Rate Pass-Through and Structural Macroeconomic Shocks in Developing Countries: An Empirical Investigation.
en
oai:mpra.ub.uni-muenchen.de:6605
2019-09-26T10:25:40Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4330
7375626A656374733D43:4331:433132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6605/
Comparison of time series with unequal length
Caiado, Jorge
Crato, Nuno
Peña, Daniel
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C0 - General
C12 - Hypothesis Testing: General
The comparison and classification of time series is an important issue in practical time series analysis. For these purposes, various methods have been proposed in the literature, but all have shortcomings, especially when the observed time series have different sample sizes. In this paper, we propose spectral domain methods for handling time series of unequal length. The methods make the spectral estimates comparable, by producing statistics at the same frequency. A first sensible approach may consist on zero-padding the shorter time series in order to increase the corresponding number of periodogram ordinates. We show that this works well provided the sample sizes are not very different, but does not give good results in case the time series lengths are very unbalanced. For this latter case, we study some periodogram-based comparison methods and construct a test. Both the methods and the test display reasonable properties for series of any lengths. Additionally and for reference, we develop a parametric comparison method. The procedures are assessed by a Monte Carlo simulation study. As an illustrative example, a periodogram method is used to compare and cluster industrial production series of some developed countries.
2007-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6605/1/MPRA_paper_6605.pdf
Caiado, Jorge and Crato, Nuno and Peña, Daniel (2007): Comparison of time series with unequal length.
en
oai:mpra.ub.uni-muenchen.de:6607
2019-09-26T11:32:51Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6607/
Identifying common spectral and asymmetric features in stock returns
Caiado, Jorge
Crato, Nuno
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G10 - General
This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the information about both the periodogram of the squared returns and the estimated parameters in the TARCH equation, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed principal coordinates. We employ these techniques to investigate the similarities and dissimilarities between the "blue-chip" stocks used to compute the Dow Jones Industrial Average (DJIA) index. For reference, we investigate also the similarities among stock returns by mean and squared correlation methods.
2007-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6607/1/MPRA_paper_6607.pdf
Caiado, Jorge and Crato, Nuno (2007): Identifying common spectral and asymmetric features in stock returns.
en
oai:mpra.ub.uni-muenchen.de:6609
2019-09-27T22:07:11Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6609/
Identifying the evolution of stock markets stochastic structure after the euro
Caiado, Jorge
Crato, Nuno
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
Previous studies have investigated the comovements of international equity markets by using correlation, cointegration, common factor analysis, and other approaches. In this paper, we investigate the stochastic structure of major euro and non-euro area stock market series from 1994 to 2006, by using cluster analysis techniques for time series. We use an interpolated-periodogram based metric for level and squared returns in order to compute distances between the stock markets. This method captures the stochastic dependence structure of the time series and solves the shortcoming of unequal sample sizes found for different countries. The clusters of countries are formed by the dendrogram and the principal coordinates associated with the sample spectrum for both the series of returns and volatilities. The empirical results suggest that the cross-country groups have become considerably more homogeneous with the introduction of the euro as an electronic currency. For reference, we also explore the pairwise correlations among the series.
2008-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6609/1/MPRA_paper_6609.pdf
Caiado, Jorge and Crato, Nuno (2008): Identifying the evolution of stock markets stochastic structure after the euro.
en
oai:mpra.ub.uni-muenchen.de:6610
2019-09-26T13:01:37Z
7374617475733D707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6610/
Forecasting water consumption in Spain using univariate time series models
Caiado, Jorge
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
In this paper, we examine the daily water demand forecasting performance of double seasonal univariate time series models (Exponential Smoothing, ARIMA and GARCH) based on multi-step ahead forecast mean squared errors. We investigate whether combining forecasts from different methods and from different origins and horizons could improve forecast accuracy. We use daily data for water consumption in Spain from 1 January 2001 to 30 June 2006.
2007-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6610/1/MPRA_paper_6610.pdf
Caiado, Jorge (2007): Forecasting water consumption in Spain using univariate time series models. Published in: Proceedings of IEEE Spanish Computational Intelligence Society (September 2007): pp. 415-423.
en
oai:mpra.ub.uni-muenchen.de:6685
2019-10-01T04:53:56Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4333:433333
7375626A656374733D52:5232:523233
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6685/
The long-term decline of internal migration in Canada – Ontario as a case study
Basher, Syed A.
Fachin, Stefano
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C33 - Panel Data Models ; Spatio-temporal Models
R23 - Regional Migration ; Regional Labor Markets ; Population ; Neighborhood Characteristics
Migration between the Canadian provinces generally followed a declining trend over
the period 1971-2004. In this paper, taking Ontario a case study, we seek to explain
these patterns using recent panel cointegration methods that are robust to
cross-section dependence. Estimation of heterogenous models suggests that the determinants
of migration vary across provinces. Overall, unemployment differential
and income in the sending province appear to be the most important ones, with
income and federal transfer differentials playing only a minor role.
2008-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6685/1/MPRA_paper_6685.pdf
Basher, Syed A. and Fachin, Stefano (2008): The long-term decline of internal migration in Canada – Ontario as a case study.
en
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