The traditional argument against the relevance of sector-specific shocks for the aggregate phenomenon of business cycles invokes the law of large numbers: positive shocks in some sectors are offset by negative shocks in other sectors. This paper hypothesizes that the law of large numbers may be...

Against the backdrop of Baumol's model of unbalanced growth, a recent strand of literature has presented models that manage to reconcile structural change with Kaldor's stylized fact of the relative constancy of per-capita GDP growth. Another strand of literature goes beyond this, arguing that...

Die EU hat mit dem "Fit for 55"-Paket zwei große klimapolitische Ziele festgelegt: die Senkung der Treibhausgasemissionen um 55% bis zum Jahr 2030 und Treibhausgasneutralität ab dem Jahr 2050. Im Rahmen des EUHorizon-2020-Projekts ENTRANCES werden die gesellschaftlichen Effekte der...

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change in the...

Against the backdrop of Baumol's model of "unbalanced growth", a recent strand of literature has presented models that manage to reconcile structural change with Kaldor's "stylized fact" of the relative constancy of per-capita GDP growth. Another strand of literature goes beyond this, arguing...

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change in the...

This study aims to examine the impacts of a bond fund segregation policy event on Taiwan mutual fund industry. In principle, mutual fund industry is a highly regulated industry. However, bond funds focus on pursuing short-term high returns and increasing their scale by investing in structured...

This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all – or a subset – of the variables may be fractionally integrated and the...

In empirical applications based on linear regression models, structural changes often occur in both the error variance and regression coefficients, possibly at different dates. A commonly applied method is to first test for changes in the coefficients (or in the error variance) and, conditional...