دانلود و نمایش مقالات مرتبط با Structural breaks::صفحه 1
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نتیجه جستجو - Structural breaks

تعداد مقالات یافته شده: 11
ردیف عنوان نوع
1 On the link between current account and fiscal imbalances in the presence of structural breaks: Empirical evidence from Egypt
در ارتباط بین حساب جاری و عدم تعادل مالی در حضور شکاف های ساختاری: شواهد تجربی از مصر-2021
This study provides an empirical analysis for Egypt of the link between fiscal and current account imbalances, which is also known in the literature as the twin deficit hypothesis. We assess the link between the two deficits in the presence of structural breaks using the Autoregressive Distributed Lag (ARDL) model and the bootstrap causality test. Our empirical results suggest that we reject the twin deficit hypothesis over the long-run. Instead, we find support for the Ricardian equivalence hypothesis. The absence of any long-run relationship between the two variables is backed by our bootstrap causality test and our FM-OLS (Fully Modified Ordinary Least Squares) regression results. Still, we find support for the existence of a link between the two deficits in the short-run. The results from the ARDL model with breaks contrast with those in earlier studies without breaks. The latter rejected both the twin deficit and the Ricardian equivalence hypotheses.
keywords: عدم تعادل بودجه | عدم تعادل حساب جاری | فرضیه دوقلو | همبستگی ریکاردی | شکاف ساختاری | مصر | Budget imbalance | Current account imbalance | Twin-deficit hypothesis | Ricardian equivalence | ARDL | Structural breaks | Egypt
مقاله انگلیسی
2 Panel cointegration, quantile regressions, asymmetric adjustments and crises: The case of EU current accounts
همبستگی پانل، رگرسیون های کمی، تنظیمات نامتقارن و بحران ها: مورد حساب های فعلی اتحادیه اروپا-2021
This paper investigates the relationships between the current account and several fundamentals, including the real exchange rate, government consumption, investment, openness, terms of trade and real income in the EU28 group of countries. A main feature of the study is that we also assess the relationships for two subgroups, the EU15 + Cyprus and Malta, and the CEECs. Using data spanning the period between 1995q1 and 2019q2, we identify similarities and differences be- tween the responses in these two subgroups, which are obscured when an aggregate study of the EU28 is conducted, rather than sub-groups. Our results suggest that, in assessing the current account for economic blocs, an a priori assumption of similar relationships for member countries may be misplaced.
keywords: حساب جاری | بدهی خارجی | رگرسیون کمتری | بیزی | مدل نامتقارن | شکاف ساختاری | ادغام اروپا | Current account | External debt | Quantile regression | Bayesian | Asymmetric model | Structural breaks | European integration
مقاله انگلیسی
3 The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis
رابطه بین بازارهای کالا و سرمایه های متقابل کالا: یک تحلیل مبتنی بر موج کوچک-2018
This paper examines the causal relationship between commodities funds and returns using monthly data for the period May 1997–August 2015. Given the strong evidence of nonlinearity and structural breaks, we use wavelets to analyse causality between the two variables at both time and frequency domains. Wavelet coherency reveals that these two variables are primarily positively related in the short-run and over the period of 2008–2015. When we investigate the phase differences over this period, we observe that returns have predicted flows over the period of 2008–2012, with causality running in the other direction thereafter.
keywords: Commodity returns and flows| Granger causality| Nonlinearity| Time and frequency domains| Wavelet
مقاله انگلیسی
4 The EMBI in Latin America: Fractional integration, non-linearities and breaks
EMBI در آمریکای لاتین: یکپارچگی کسری، غیر خطی بودن ها و انقطاع ها-2018
This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional integration framework and both parametric and semi-parametric methods. The evidence based on the former is sensitive to the specification for the error terms, whilst the results from the latter are more conclusive in ruling out mean reversion. Further, non-linearities do not appear to be present. Both recursive and rolling window methods identify a number of breaks. Overall, the evidence of long-range dependence as well as breaks suggests that active policies might be necessary for achieving financial and economic stability in these countries.
keywords: Emerging markets| EMBI| Fractional integration| Non-linearities
مقاله انگلیسی
5 The relationship among China’s fuel oil spot, futures and stock markets
رابطه بین نفت بازارهای نفت سوخت، بازارهای آتی و سهام-2018
This paper examines the relationship among China’s fuel oil spot, fuel oil futures and energy stock markets over the period from August 26, 2004 to January 21, 2016 using the dynamic condition correlation (DCC) multivariate GARCH model. For comparison, we also consider the corresponding markets in United States. In addition, using the VAR-BEKK-GARCH model, we investigate the volatility spillover effect among the three markets. We obtain the following conclusions: Firstly, the correlations among the three markets in China are lower than those in US; Secondly, there are several structural breaks in all correlation series we considered. Specifically, the correlations were very high before the crises and then decreased quickly during the crises, because oil markets are financialized before the crises and then out of financialization during and after the crisis; Thirdly, there are bilateral volatility spillover effects between fuel oil spot and futures, fuel oil spot and energy stocks, while only one-way effect from energy stock market to fuel oil futures market.
keywords: Fuel oil| Correlation| Stock market| DCC-GARCH| VAR-BEKK-GARCH
مقاله انگلیسی
6 Credit risk modelling under recessionary and financially distressed conditions
مدلسازی خطر اعتباری تحت شرایط دشوار مالی و رکود -2018
This paper provides clear cut evidence that economic recession and distressed financial conditions, as well as political instability constitute the key factors for mortgage default. Banning foreclosure procedures, often adopted by governments to mitigate the effects of the above conditions on loan defaulting, are found to positively influence the loan default probability, and thus they make efforts of banks to restructure (or refinance) mortgage loans a difficult task. Our results add support to the view that foreclosure moratorium may raise moral hazard incentives that borrowers will not maintain their payments in long run. The empirical analysis of the paper is based on an extension of the discrete-time survival analysis model which allows for a structural break in its baseline hazard function and a unique set of individual loan accounts. We also consider alternative specifications of the binary link function between default events and covariates. Asymmetric link functions are found to be more appropriate under financial distressed conditions.
keywords: Mortgage loans |Survival analysis |Structural breaks |Financial distressed conditions |Probability of default
مقاله انگلیسی
7 The Asian Financial Crisis and international reserve accumulation: A robust control approach
بحران مالی آسیا و انباشت ذخایر بین المللی: یک روش کنترل قوی-2018
Standard macroeconomic models have difficulties accounting for the surge in international reserves of Asian countries in the aftermath of the Asian Financial Crisis of 1997. We pro pose precautionary demand for saving generated by model uncertainty as an important driver of this phenomenon. Using Korean data, we estimate a simple permanent income model augmented with model uncertainty, find a structural break at the point of the Asian Financial Crisis, and identify a rise in concern for model misspecification which is distinct from an increase in income volatility. The post-crisis concern for model misspecification implies a reasonable detection error probability. We also show that learning serves as an additional powerful amplification mechanism in our framework.
Keywords: The Asian Financial Crisis ، International reserves ، Structural breaks ، Model uncertainty ، Robust control and learning
مقاله انگلیسی
8 تولید ناخالص داخلی (GDP) و مصرف انرژی (EC): یک پانل تحلیلی از ایالات متحده
سال انتشار: 2018 - تعداد صفحات فایل pdf انگلیسی: 11 - تعداد صفحات فایل doc فارسی: 30
آیا مصرف انرژی منجر به رشد اقتصادی می‌شود یا رشد اقتصادی باعث مصرف انرژی می‌شود؟ بحث‌هایی را می توان به هر صورت انجام داد و مطالعات تجربی بی‌نتیجه بوده‌است. اکثر مطالعات موجود مربوط به تولید ناخالص داخلی (GDP) و مصرف انرژی (EC) از کشورها به عنوان واحد مشاهده استفاده می‌کنند که تفسیر و تعمیم نتایج را پیچیده می‌کند زیرا کشورها در مرحله توسعه اقتصادی، فرهنگ، فن‌آوری و غیره تفاوت زیادی دارند. این مطالعه بر روی ایالات در آمریکا متمرکز است که بسیاری از این مشکلات را نادیده می‌گیرد. به طور خاص، رابطه بین مصرف انرژی دولت و تولید ناخالص داخلی کشور برای این کشور تحلیل شده‌است. نتایج تجربی با استفاده از ادغام پنل و آزمون‌های علیت پنل که امکان ناهماهنگی و تجزیه و تحلیل ساختاری را فراهم می‌آورد، در سراسر کشور به عنوان یک کل و مناطق در سراسر کشور اعمال می‌شود. تفاوت‌های منطقه‌ای قابل‌توجهی در ایالات‌متحده به ویژه برای دو منطقه وجود دارد؛ در منطقه کوهستانی راکی، گرنجر از تولید ناخالص ملی و در جنوب غربی مخالف است، تولید ناخالص داخلی گرنجر منجر به مصرف انرژی می‌شود. نتایج کامل نشان می‌دهد که سیاست انرژی فدرال باید انعطاف‌پذیر باشد تا بیش‌ترین منفعت را برای مناطق مختلف داشته باشد.
لغات کلیدی : علیت گرانجر | ادغام پانل | مصرف انرژی | تولید ناخالص داخلی | پانل ریشه های واحد
مقاله ترجمه شده
9 Causality and Contagion in Emerging Stock Markets
عوارض و آلودگی در بازار سهام در حال ظهور-2018
Given the evidence of occasional discrete shifts in the conditional variance process, it is essential to test the volatility transmission between financial markets when a reasonable suspicion exists for structural change. This paper aims to study the interdependencies in terms of stock market volatility and to assess the impact of Global Financial Crisis (GFC) on these interdependencies. We found evidence of structural breaks in the volatility of time series for the majority of markets. The results show also that, in view of the crisis, new significant causal linkages appeared together with the intensification of the causal relationship in 40% of the cases in which we find causality during both the tranquil and crisis period. These additional linkages during crisis periods in excess of those that arise during non-crisis periods contributes significantly in amplifying the international transmission of volatility and the risk of contagion.
Key words: Causality; Contagion; Structural breaks; Global Financial Crisis; Emerging stock markets; Granger Causality test
مقاله انگلیسی
10 Structural breaks in international tourism demand: Are they caused by crises or disasters?
شکاف های ساختاری در تقاضای گردشگری بین المللی: آیا آنها ناشی از بحران یا بلایای طبیعی هستند؟-2017
It is recognised that the tourism industry is vulnerable to some form of crises or disaster. However, despite the attention given to the nature and consequences of tourism crises and disasters, there is a gap in the literature regarding the ex-post detection of these events. In this article, we estimate both the number and date of structural breaks in international tourism arrival series for 25 countries and Madeira Island using the Bai and Perron (1998) structural break test. We compare the date of tourism crises and disasters to the dating of these structural breaks. We observe that tourism crises and disasters are largely consistent with the dates of breaks. Therefore, this method allows us to solve a gap in the tourism in dustry related to the correct allocation of negative shocks in international tourism arrival demand to crisis or disaster phenomena.
Keywords: International tourism arrivals | Tourism crises | Decline in tourism demand | Structural changes
مقاله انگلیسی
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