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PPP in the Medium Run Despite Oil Shocks: The Case of Norway
Akram, Q. Farooq - 2002
Existing studies generally reject purchasing power parity (PPP) on datasets from countries that have been affected by … large real shocks, including Norway. However, we offer strong evidence of PPP between Norway and its trading partners during … appears remarkably consistent with the PPP theory. Moreover, convergence towards PPP is relatively fast; the half-life of a …
Persistent link: https://www.econbiz.de/10012143592
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Estimating the economic effects of deregulation: Evidence from the Turkish airline industry
Çetin, Tamer; Eryiğit, Kadir Y. - 2015
This paper mainly studies the effect of deregulation on prices and quantity. For this aim, we employ cointegration methodology with structural breaks to empirically investigate the simultaneous relationship between deregulation, ticket prices, and the number of passengers in the Turkish airline...
Persistent link: https://www.econbiz.de/10011440116
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Structural Change in Fiscal Policy and The Permanence of Fiscal Contractions - The Case of Denmark and Ireland
Hjelm, Göran; Johansson, Martin W - 2002
Instead of relying on descriptive statistics to evaluate the permanence of a fiscal contraction, this paper suggests that this issue should be studied using tests for structural breaks in cointegrating relationships between taxes and spending. We label a fiscal contraction as 'permanent' if a...
Persistent link: https://www.econbiz.de/10013208434
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International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?
Ozdemir, Zeynel Abidin; Balcilar, Mehmet; Tansel, Aysit - 2011
This paper examines the possibility of unit roots in the presence of endogenously determined multiple structural breaks in the total, female and male labour force participation rates (LFPR) for Australia, Canada and the USA. We extend the procedure of Gil-Alana (2008) for single structural break...
Persistent link: https://www.econbiz.de/10010500194
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Real-Time Inflation Forecasting in a Changing World
Groen, Jan J. J.; Paap, Richard; Ravazzolo, Francesco - 2009
This paper revisits inflation forecasting using reduced form Phillips curve forecasts, i.e., inflation forecasts using activity and expectations variables. We propose a Phillips curve-type model that results from averaging across different regression specifications selected from a set of...
Persistent link: https://www.econbiz.de/10012143721
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Mean Reversion in EMS Exchange Rates
Mizrach, Bruce - 1996
Time series evidence on exchange rates has been unable to reject the random walk hypothesis. A simple structural model that accounts for target zone nonlinearities provides conclusive evidence of mean reversion in EMS exchange rates.
Persistent link: https://www.econbiz.de/10010334286
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Exchange-rate pass-through to import prices: nonlinearities and exchange rate and inflationary regimes
Kılıç, Rehim - 2010
This paper investigates the relationship between exchange rate pass-through and exchange rate appreciations/depreciations and inflation by estimating nonlinear time series models. Motivated by theoretical and empirical results in the literature, the paper proposes new econometric models that can...
Persistent link: https://www.econbiz.de/10010273645
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Time-scale transformations of discrete time processes
Jordà, Òscar; Marcellino, Massimiliano - 2003
This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly stochastic. The results that we report include, as a particular case, the well-known results on fixed-interval aggregation, such as when monthly data is aggregated into quarters. A...
Persistent link: https://www.econbiz.de/10010274321
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Real Exchange Rates and Switching Regimes
Bergman, U. Michael; Hansson, Jesper - 2000
We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing...
Persistent link: https://www.econbiz.de/10013208399
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Oil price drivers, geopolitical uncertainty and oil exporters' currencies
Akram, Qaisar Farooq - 2019
Empirical relationships between crude oil prices and exchange rates of oil exporting countries tend to vary over time. I use econometric models of the norwegian and canadian nominal exchange rates to investigate whether such time-variation could reflect shifts in the key oil price drivers over...
Persistent link: https://www.econbiz.de/10012661547