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Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists

Westerhoff, Frank; Reitz, Stefan - In: Studies in Nonlinear Dynamics & Econometrics 7 (2007) 4, pp. 1125-1125

We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows...

Persistent link: https://www.econbiz.de/10004966231

Neural Networks to Detect Nonlinearities in Time Series: Analysis of Business Cycle in France and the United Kingdom,

Kiani, K.M. - In: Applied Econometrics and International Development 9 (2009) 1

In this research we investigate possible existence of nonlinearities in business cycle fluctuations in France and … network linearity tests for possible existence of nonlinearities due to Terasvirta el al. (1993) using in-sample forecasts … from neural nets in France and U.K. show statistically significant evidence of nonlinearities in both the series. Similarly …

Persistent link: https://www.econbiz.de/10005012226

Threshold Adjustment of Deviations from the Law of One Price

Juvenal, Luciana; Taylor, Mark P. - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 3, pp. 1520-1520

Using self-exciting threshold autoregressive models, we explore the validity of the law of one price (LOOP) for sixteen sectors in nine European countries. We find strong evidence of nonlinear mean reversion in deviations from the LOOP and highlight the importance of modelling the real exchange...

Persistent link: https://www.econbiz.de/10005751381

Real Wage Rigidities and the Cost of Disinflations

Ascari, Guido; Merkl, Christian - Institute for the Study of Labor (IZA) - 2007

consensus is flawed, since it depends on analyzing the model in a linearized framework. Once nonlinearities are taken into …

Persistent link: https://www.econbiz.de/10005762163

Morbidity and pollution: model specification analysis for time-series data on hospital admissions

Krumm, Ronald J.; Graves, Philip E. - Volkswirtschaftliche Fakultät, … - 1982

interactions among pollutants and to a lesser degree nonlinearities in effects of single pollutants. Comparisons of alternative …

Persistent link: https://www.econbiz.de/10008567679

Identification problems in ESTAR models and a new model

Donauer, Stefanie; Heinen, Florian; Sibbertsen, Philipp - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2010

In ESTAR models it is usually difficult to determine parameter estimates, as it can be observed in the literature. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identification problem, the problem of properly distinguishing the transition...

Persistent link: https://www.econbiz.de/10008472750

Corporate Leverage and Financial Fragility in General Equilibrium

Levin, Andrew T.; Natalucci, Fabio M. - Society for Computational Economics - SCE - 2005

We provide analytical and empirical underpinnings for the notion that the financial fragility of the aggregate economy depends on the balance sheet conditions of the corporate sector. First, we obtain time-varying semiparametric estimates of the relationship between the debt-equity ratio and the...

Persistent link: https://www.econbiz.de/10005132653

A new unit root test against ESTAR based on a class of modified statistics

Kruse, Robinson - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2008

This paper proposes a new unit root test against a non-linear exponential smooth transition autoregressive (ESTAR) model. The new test is build upon the non-standard testing approach of Abadir and Distaso (2007) who introduce a class of modified statistics for testing joint hypotheses when one...

Persistent link: https://www.econbiz.de/10005138911

Nonlinear Taylor Rules and Asymmetric Preferences in Central Banking: Evidence from the United Kingdom and the United States

Cukierman, Alex; Muscatelli, Anton - In: Contributions to Macroeconomics 8 (2008) 1, pp. 1488-1488

model uses a standard new Keynesian framework to establish equivalence relations between the shape of nonlinearities in …

Persistent link: https://www.econbiz.de/10005584988

Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists

Westerhoff, Frank; Reitz, Stefan - In: Studies in Nonlinear Dynamics & Econometrics 7 (2003) 4, pp. 1125-1125

Persistent link: https://www.econbiz.de/10005246268