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Are the current accounts of Asian-5 economies mean-reverting? : new evidence from Fourier panel stationarity tests
Husein, Jamal; Kara, S. Murat; Pier, Chuck - In: Cogent economics & finance 11 (2023) 2, pp. 1-11
This study offers a novel examination of the mean-reversion properties of the current account balances, expressed as a percentage of GDP, for the Asian-5 economies: Indonesia, Korea, Malaysia, the Philippines, and Thailand. While prior studies mainly employed traditional unit-root tests, our...
Persistent link: https://www.econbiz.de/10014501140
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Sustainability of current account deficit in Turkey
Karahan, Özcan - In: International journal of business and economic sciences … 13 (2020) 2, pp. 62-69
Purpose: This study aims to examine the sustainability of the current account deficit in Turkey for the quarterly data between 2003 and 2018. Besides, some policy implications are made to ensure the sustainability of the current account deficit in Turkey’s economy. Design/methodology/approach:...
Persistent link: https://www.econbiz.de/10012293106
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Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks
Zhou, Su - 1998
This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The method of Zivot and Andrews (1992) is employed to detect the time-series behavior of the exchange rates and consumer price indices of these countries. We find that these variables...
Persistent link: https://www.econbiz.de/10014071881
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Analyzing the Swiss Business Cycle
Perruchoud, Alexander - 2008
This paper sets up a Gibbs sampler for a three state Markov switching model with non-constant transition probabilities. The step from two to three states is accomplished by the use of a multinomial probit model for the latent variable process. The algorithm is then applied to Swiss GDP data in...
Persistent link: https://www.econbiz.de/10012773497
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Binomial Autoregressive Moving Average Models with an Application to U.S. Recessions
Startz, Richard - 2006
Binary Autoregressive Moving Average (BARMA) models provide a modeling technology for binary time series analogous to the classic Gaussian ARMA models used for continuous data. BARMA models mitigate the curse of dimensionality found in long lag Markov models and allow for non-Markovian...
Persistent link: https://www.econbiz.de/10012734286
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Sudden stop regimes and output : a Markov switching analysis
Bachmann, Andreas; Leist, Stefan - 2013
Sudden stops in capital inflows were a main characteristic of the emerging market crisis during the 1990's. Concerns about them have recurred in the light of recently increased global stability risk and the quantitative easing that led to substantial capital inflows in emerging economies. We add...
Persistent link: https://www.econbiz.de/10010199563
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Forecasting Macedonian business cycle turning points using Qual VAR model
Petrovska, Magdalena; Krstevska, Aneta; Naumovski, Nikola - Narodna Banka na Republika Makedonija - 2016
This paper aims to assess the usefulness of leading indicators in business cycle research and forecast. Initially we … indicators performs in forecasting turning points of the Macedonian business cycle by employing the Qual VAR approach of Dueker … (2005). In continuation, we evaluate the quality of the selected indicators in pseudo-out-of-sample context. The results …
Persistent link: https://www.econbiz.de/10011623919
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A Discrete Time Series Model for High Frequency Financial Data
Mitchell, Heather Eunice - 2012
In this paper a flexible model for correlation in high frequency data is proposed, which maintains the data's discrete nature and captures features such as asymmetry and excess zeros. The model uses an a theoretical approach based on that of an ARIMA model. This model works with price changes...
Persistent link: https://www.econbiz.de/10013104300
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Do recessions occur concurrently across countries? : a multinomial logistic approach
Poon, Aubrey; Zhu, Dan - 2022
We develop a novel multinomial logistic model to detect and forecast concurrent recessions across multi-countries. The key advantage of our proposed framework is that we can detect recessions across countries using the additional informational content from the cross-country panel feature of the...
Persistent link: https://www.econbiz.de/10013365832
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Forecasting US Recessions : The Role of Sentiment
Christiansen, Charlotte - 2014
We study the role of sentiment variables as predictors for US recessions. We combine sentiment variables with either classical recession predictors or common factors based on a large panel of macroeconomic and financial variables. Sentiment variables hold vast predictive power for US recessions...
Persistent link: https://www.econbiz.de/10013064555