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Does Black’s Hypothesis for Output Variability Hold for Mexico?
Macri, Joseph; Sinha, Dipendra - Volkswirtschaftliche Fakultät, … - 2007
Using two data series, namely GDP and the index of industrial production, we study the relationship between output variability and the growth rate of output. Ng-Perron unit root test shows that the growth rate of GDP is non-stationary but the growth rate of industrial output is stationary. Thus,...
Persistent link: https://www.econbiz.de/10005835862
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Endogenous Growth, Monetary Shocks and Nominal Rigidities
Annicchiarico, Barbara; Pelloni, Alessandra; Lorenza, Rossi - Volkswirtschaftliche Fakultät, … - 2010
: (i) monetary volatility negatively affects long-run growth; (ii)the relation between nominal volatility and growth … increases the negative effect of nominal volatility on mean growth. …
Persistent link: https://www.econbiz.de/10008685157
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Modélisation de la Volatilité des recettes mensuelles de la Direction Générale des Douanes et Accises (DGDA ex-OFIDA) en RDC de janvier 1982 à décembre 2005
Luyinduladio, Menga - Volkswirtschaftliche Fakultät, … - 2010
For a few years the revenue services of the DGDA have increased in a spectacular way in Democratic Republic of Congo. Thus, the objective of this paper is to empirically examine the evolution of these monthly receipts of 1982 to 2005. The Heteroskedastic Conditional Autoregressive model (ARCH)...
Persistent link: https://www.econbiz.de/10009004154
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Optimal operational monetary policy rules in an endogenous growth model: a calibrated analysis
Arato, Hiroki - Volkswirtschaftliche Fakultät, … - 2008
We construct an endogenous growth model with new Keynesian-type sticky prices and wages. In this model, monetary policy affects long-run output growth. We characterize the optimal operational monetary policy rule in this economy. We find that even though stabilization of output growth increases...
Persistent link: https://www.econbiz.de/10005787171
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Nonconvex Margins of Output Adjustment and Aggregate Fluctuations
Sustek, Roman - Volkswirtschaftliche Fakultät, … - 2009
In most manufacturing industries output is adjusted in a lumpy way along three margins: shiftwork, weekend work, and closing a plant temporarily down. We incorporate such decisions into a dynamic general equilibrium model and study: (i) if such micro-level nonconvexities magnify business cycles;...
Persistent link: https://www.econbiz.de/10008528720
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Robustness of the Extensive Margin in the Helpman, Melitz and Rubinstein (HMR) Model
Maxim, Belenkiy - Volkswirtschaftliche Fakultät, … - 2008
The HMR model extends the classical gravity model of trade to correct for the large number of zeros in the world trade matrix (export selection) and for the unobservable fraction of exporting fi�rms (extensive margin). They �find that, while omission of both of these corrections result in...
Persistent link: https://www.econbiz.de/10008490566
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Long Memory in Stock Market Volatility:Evidence from India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or … log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally …
Persistent link: https://www.econbiz.de/10011112536
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Modèls Garch à la mémoire longue: application aux taux de change tunisiens
Lahiani, Amine; Yousfi, Ouidad - Volkswirtschaftliche Fakultät, … - 2007
volatility impact. Then, we apply it on three Tunisian exchange rate series between 1994 and 2006. As Beine, Laurent and Lecourt …-t based maximum likelihood estimation. This estimation improves the goodness of �t properties of this model and may lead to di …
Persistent link: https://www.econbiz.de/10008836445
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Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models
Bildirici, Melike; Ersin, Özgür - Volkswirtschaftliche Fakultät, … - 2012
-GARCH models to capture time varying volatility and nonlinearity in petrol prices. ANN augmented versions of LSTAR-LST-GARCH models … models, except for the MLP-FIGARCH and MLP-FIAPGARCH models. iv. Volatility clustering, asymmetry and nonlinearity …
Persistent link: https://www.econbiz.de/10011113045
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Does the ECB Care about Shifts in Investors’ Risk Appetite?
Papadamou, Stephanos; Siriopoulos, Costas - Volkswirtschaftliche Fakultät, … - 2008
measures of investors’ risk aversion are used: (a) the implied volatility from the Eurostoxx 50 index (VSTOX) and (b) an index …
Persistent link: https://www.econbiz.de/10008680305