Showing 1 - 10 of 117
This paper considers the question of whether changes in persistence have occurred during the long-run evolution of U … for a structural break when testing for a break in persistence, thus disentangling the effect of a deterministic break … from that of a stochastic break and advancing the existing literature on the persistence properties of non …
Persistent link: https://www.econbiz.de/10009293729
This paper examines the degree of persistence of youth unemployment (total, male and female) in twenty-four countries … longmemory processes respectively. The evidence suggests that persistence is particularly high in Japan and some EU countries …
Persistent link: https://www.econbiz.de/10010601624
Despite the fact that Argentina has been suffering from a recession for years, the timing and severity of the recent currency crisis surprised most observers. This paper analyzes the role of fundamentals and self-fulfilling speculation in the Argentinean crisis. Arguing within a theoretical...
Persistent link: https://www.econbiz.de/10005068706
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10005069074
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10010661278
This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate...
Persistent link: https://www.econbiz.de/10011128849
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10010896189
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10010783955
This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken...
Persistent link: https://www.econbiz.de/10009646237
The paper studies the persistence of profit and its determinants in emerging markets. We apply Markov chain analysis … empirical results show a moderate level of profit persistence, as well as a relatively low speed of adjustment to the steady …-state profit level, thus providing no support for the hypothesis that there is a lower persistence of profits in emerging markets …
Persistent link: https://www.econbiz.de/10004963898