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Early Warning Systems : A Survey and a Regime-Switching Approach
Abiad, Abdul - 2003
Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize...
Persistent link: https://www.econbiz.de/10014404016
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Testing for Purchasing Power Parity in Cointegrated Panels
Lyhagen, Johan - 2007
This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong … contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS esimators of the …
Persistent link: https://www.econbiz.de/10014401245
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Labor market dynamics : a hidden Markov approach
Shibata, Ippei - 2019
This paper proposes a hidden state Markov model (HMM) that incorporates workers' unobserved labor market attachment into the analysis of labor market dynamics. Unlike previous literature, which typically assumes that a worker's observed labor force status follows a first-order Markov process,...
Persistent link: https://www.econbiz.de/10012155058
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Cointegration of International Stock Market Indices
Chou, Ray Yeu-Tien - 1994
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties … of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six … subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with …
Persistent link: https://www.econbiz.de/10014395829
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Measuring Contagion with a Bayesian Time-Varying Coefficient Model
Rebucci, Alessandro - 2003
We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...
Persistent link: https://www.econbiz.de/10014399607
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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...
Persistent link: https://www.econbiz.de/10014400143
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Survey of Literatureon Demand for Money : Theoretical and Empirical Work with Special Reference to Error-Correction Models
Sriram, Subramanian S. - 1999
money demand functions. Notably, it summarizes the salient features of a number of recent studies that applied cointegration …
Persistent link: https://www.econbiz.de/10014400418
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Modeling and Forecasting Inflation in India
Callen, Tim - 1999
The Reserve Bank of India (RBI) has moved away from a broad money target toward a “multiple indicators” approach to the conduct of monetary policy. In adopting such a framework, it is necessary to know which of the many potential indicators provide the most reliable and timely information on...
Persistent link: https://www.econbiz.de/10014400729
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The Monetary Model Strikes Back : Evidence From the World
Cerra, Valerie - 2008
from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We …
Persistent link: https://www.econbiz.de/10014400990
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The Effects of Monetary and Fiscal Policy on Aggregate Demand in a Small Open Economy : An Application of the Structural Error Correction Model
Konuki, Tetsuya - 2000
This paper empirically analyzes the short-run effects of monetary and fiscal policy on aggregate demand, using the two-step structural error correction method. This method has an advantage over the standard reduced-form error correction method in providing a meaningful interpretation for impulse...
Persistent link: https://www.econbiz.de/10014403491