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On the Long-Run Monetary Neutrality: Evidence from the SEACEN Countries
Puah, Chin-Hong; Habibullah, M.S.; Abu Mansor, Shazali - 2008
This paper tests the long run neutrality (LRN) and long run superneutrality (LRSN) propositions using annual observation from 10 member countries of the South East Asian Central Banks (SEACEN) Research and Training Centre. The Fisher and Seater (1993) methodology is applied to do the task....
Persistent link: https://www.econbiz.de/10015227484
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Herd behaviour in Malaysian capital market: An empirical analysis
Duasa, Jarita; Kassim, Salina - 2008
This study examines the existence of herd behavior among foreign investors in the Malaysian capital market. In methodology, the study analyzes the herd behavior by estimating vector error correction (VECM) model of FPI inflows as well as FPI outflows from/to major investors such as the United...
Persistent link: https://www.econbiz.de/10015215588
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Estimating Structural Change with Smooth Transition Regressions: an Application to Meat Demand
Holt, Matthew T.; Balagtas, Joseph V. - 2009
This paper explores the role of structural change in systems of demand equations. Specifically, we adapt the time—varying regression framework of Lin and Teräsvirta (1994), which in turn is related to the dynamic smooth transition models introduced by Teräsvirta (1994). Unlike previous...
Persistent link: https://www.econbiz.de/10015216927
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A New Asymmetric GARCH Model: Testing, Estimation and Application
Hatemi-J, Abdulnasser - 2013
important tool for estimating the time-varying volatility as a measure of risk. Numerous extensions of this model have been put … volatility model. Unlike previous papers that have dealt with asymmetry, this paper suggests to explicitly separate the positive … likelihood method. The suggested asymmetric volatility approach is applied to modeling separately the potential time …
Persistent link: https://www.econbiz.de/10015236255
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Finite moments testing in a general class of nonlinear time series models
Francq, Christian; Zakoian, Jean-Michel - 2024
We investigate the problem of testing the finiteness of moments for a class of semi-parametric time series encompassing many commonly used specifications. The existence of positive-power moments of the strictly stationary solution is characterized by the Moment Determining Function (MDF) of the...
Persistent link: https://www.econbiz.de/10015213589
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Hot money and economic performance: An empirical analysis
Duasa, Jarita; Kassim, Salina - 2008
The present study empirically examines the importance of foreign portfolio investment (FPI) or hot money from certain investor(s) or country(s) on Malaysian economic performance. In methodology, the study uses vector error correction (VECM) model of FPI inflows from major investors such as the...
Persistent link: https://www.econbiz.de/10015215019
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Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations
Jang, Tae-Seok - 2012
This paper attempts to uncover the empirical relationship between the price-setting/consumer behavior and the sources of persistence in inflation and output. First, a small-scale New-Keynesian model (NKM) is examined using the method of moment and maximum likelihood estimators with US data from...
Persistent link: https://www.econbiz.de/10015232616
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Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations
Jang, Tae-Seok - 2012
This paper analyzes the empirical relationship between the price-setting/consumer behavior and the sources of persistence in inflation and output. First, a small-scale New-Keynesian model (NKM) is examined using the method of moment and maximum likelihood estimators with US data from 1960 to...
Persistent link: https://www.econbiz.de/10015233085
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Exchange rate modelling for Lithuania and Switzerland
Rimgailaite, Ramune - 2012
In this research, the equilibrium real exchange rate as well as exchange rate misalignment in Switzerland and Lithuania is estimated based on behavioural equilibrium exchange rate and structural vector autoregression models. Moreover, driving forces of the real effective exchange rate are...
Persistent link: https://www.econbiz.de/10015235155
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Industrial production and Confidence after the crisis: what's going on?
Malgarini, Marco - 2012
The paper provides new evidence on possible structural breaks in the relationship among business Confidence and industrial activity in Europe in the aftermath of the recession. Possible interpretation is that the crisis has determined a change in the pattern of response in surveys, firms now...
Persistent link: https://www.econbiz.de/10015241167