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Smooth transition, non-linearity and current account sustainability: Evidence from the European countries

Chen, Shyh-Wei - In: Economic Modelling 38 (2014) C, pp. 541-554

In this paper we examine three types of nonlinearities, i.e., nonlinearity stemming from structural breaks, sign … nonlinearity and size nonlinearity, for ten European countries and their importance to current account sustainability. For this … purpose, we apply a battery of linear and nonlinear unit root tests. Our results show that the structural break nonlinearity …

Persistent link: https://www.econbiz.de/10010753338

Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests

Gozbasi, Onur; Kucukkaplan, Ilhan; Nazlioglu, Saban - In: Economic Modelling 38 (2014) C, pp. 381-384

This paper re-examines the efficient market hypothesis (EMH) in the Turkish stock market by utilizing the recent developments in nonlinear unit root tests. To this end, we first employ the linearity test developed by Harvey et al. (2008) and then carry out the nonlinear ESTAR unit root test...

Persistent link: https://www.econbiz.de/10010753363

Is there an environmental Kuznets curve for water use? A panel smooth transition regression approach

Duarte, Rosa; Pinilla, Vicente; Serrano, Ana - In: Economic Modelling 31 (2013) C, pp. 518-527

This paper presents an analysis of the relationship between per capita water use and per capita income for 65 countries, over the period 1962–2008, within the framework of the so-called environmental Kuznets curve (EKC). Consistent with the existing literature, a polynomial fixed effects model...

Persistent link: https://www.econbiz.de/10010636283

Capital flows and current account dynamics in Turkey: A nonlinear time series analysis

Cecen, Aydin; Xiao, Linlan - In: Economic Modelling 39 (2014) C, pp. 240-246

. Several well-known tests are applied to identify nonlinearity in the current account time series. The analysis reveals that …

Persistent link: https://www.econbiz.de/10010781972

Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis

Wang, Yudong; Wu, Chongfeng - In: Economic Modelling 29 (2012) 6, pp. 2289-2297

The causality relationships between energy prices and exchange rates have been investigated in many existing studies. Previous investigations ignore the possible nonlinear behaviors which may be caused by asymmetry, persistence or structural breaks. To fill this gap, we apply both linear and...

Persistent link: https://www.econbiz.de/10010588232

Exchange rate nonlinearities in EMU exports to the US

Verheyen, Florian - In: Economic Modelling 32 (2013) C, pp. 66-76

demand functions have been studied for at least seventy years of time, the issue of nonlinearity in export demand equations …

Persistent link: https://www.econbiz.de/10010664422

On the application of the rank tests for nonlinear cointegration to PPP: The case of Papua New Guinea

Liew, Venus Khim-Sen; Ling, Tai-Hu; Chia, Ricky Chee-Jiun; … - In: Economic Modelling 29 (2012) 2, pp. 326-332

Much interest has been paid recently to the nonlinear cointegrating relations existing among economic variables. Various testing procedures are already available to test for the existence of nonlinear cointegration. For example, Breitung (2001) proposes rank tests and his testing procedure has...

Persistent link: https://www.econbiz.de/10010573311

Modeling hedge fund exposure to risk factors

Jawadi, Fredj; Khanniche, Sabrina - In: Economic Modelling 29 (2012) 4, pp. 1003-1018

nonlinear framework for several types of strategies over the last two decades. Nonlinearity is justified by distortions due to … nonlinearity, indicating that they evolve and vary asymmetrically in accordance with stages in financial cycles. Second, hedge fund …

Persistent link: https://www.econbiz.de/10010577115

Boundedness and nonlinearities in public debt dynamics: A TAR assessment

Gnegne, Yacouba; Jawadi, Fredj - In: Economic Modelling 34 (2013) C, pp. 154-160

countries: the USA and the UK. To do this, we apply nonlinearity tests and threshold models. While the first tests enable us to …

Persistent link: https://www.econbiz.de/10010709349

Does the South African Reserve Bank follow a nonlinear interest rate reaction function?

Baaziz, Yosra; Labidi, Moez; Lahiani, Amine - In: Economic Modelling 35 (2013) C, pp. 272-282

This paper analyses the descriptive power of the different extensions of the Taylor rule. It also investigates whether monetary policy in South Africa can indeed be described by a linear Taylor rule or, instead, by a nonlinear rule. In particular, we extend the linear Taylor rule to a...

Persistent link: https://www.econbiz.de/10010719384