Search Results - subject:"Smooth Transition"

Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical

Oskooe, Seyyed Ali Paytakhti - In: International Journal of Economics and Financial Issues 2 (2012) 2, pp. 179-183

returns series is nonlinear Smooth Transition Autoregressive (STAR) and dynamic adjustment of the stock returns to the long …

Persistent link: https://www.econbiz.de/10010543312

Smooth Transitions, Asymmetric Adjustment and Unit Roots

Cuestas, Juan Carlos; Ordóñez, Javier - Department of Economics, University of Sheffield - 2012

exponential smooth transition autoregression (ESTAR) function for the autoregressive parameter, whereas structural changes are … approximated by a smooth transition in the deterministic components. We find that the proposed test performs well in terms of size …

Persistent link: https://www.econbiz.de/10010545901

Exchange Rate Pass-Through and Inflation: A Nonlinear Time Series Analysis

Shintani, Mototsugu; Terada-Hagiwara, Akiko; Yabu, Tomoyoshi - Vanderbilt University Department of Economics - 2012

well approximated by a class of smooth transition autoregressive (STAR) models using the past inflation rate as a …

Persistent link: https://www.econbiz.de/10010550748

Interest Rate Pass-Through in the EMU – New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data

Belke, Ansgar; Beckmann, Joscha; Verheyen, Florian - Rheinisch-Westfälisches Institut für … - 2012

hand, we use fully harmonized data stemming from the ECB’s MFI interest rate statistics. In addition, we consider smooth … transition models as an extension of conventional threshold models. Our results point to considerable differences in the size of …

Persistent link: https://www.econbiz.de/10010558558

Testing the Relative PPP Hypothesis in CEE States – Does the ‘PPP Puzzle’ Still Keep up?

Zdarek, Vaclav - In: ACTA VSFS 6 (2012) 2, pp. 108-135

This paper is focused on testing the relative version of the purchasing power parity (PPP). It tries to shed light on this so called “PPP puzzle” for a set of transition countries – twelve new EU Member States. Since results of similar studies in the literature have been ambiguous, a set...

Persistent link: https://www.econbiz.de/10010665481

Interest Rate Pass-through in the EMU: New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data

Belke, Ansgar; Beckmann, Joscha; Verheyen, Florian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

hand, we use fully harmonized data stemming from the ECB's MFI interest rate statistics. In addition, we consider smooth … transition models as an extension of conventional threshold models. Our results point to considerable differences in the size of …

Persistent link: https://www.econbiz.de/10010601626

Money Demand in the euro area, the US and the UK:Assessing the Role of Nonlinearity

Jawadi, Fredj; Sousa, Ricardo M. - Núcleo de Investigação em Políticas Económicas … - 2012

regression framework; and (iii) a nonlinear model relying on a smooth-transition regression. The linear model shows that the … real money holdings are extremely low. Finally, the smooth transition model provides two interesting findings. On the one …

Persistent link: https://www.econbiz.de/10010602145

Consumption and Wealth in the US, the UK and the Euro Area:A Nonlinear Investigation

Jawadi, Fredj; Sousa, Ricardo M. - Núcleo de Investigação em Políticas Económicas … - 2012

linear model and two nonlinear approaches (a quantile regression and a smooth transition regression). We find that the … smooth transition regression model is able to track reasonably well the consumption patterns during periods of economic …

Persistent link: https://www.econbiz.de/10010602146

Pegging emerging currencies in the face of dollar swings

Coudert, Virginie; Couharde, Cécile; Mignon, Valérie - Centre d'études prospectives et d'informations … - 2012

appreciating, while sticking to it otherwise. To this end, we estimate smooth-transition regression models for a sample of 28 …

Persistent link: https://www.econbiz.de/10010604029

Non-linearities in exchange rate pass-through: Evidence from smooth transition models

cheikh, Nidhaleddine Ben - In: Economics Bulletin 32 (2012) 3, pp. 2530-2545

12 euro area (EA) countries. Using smooth transition regression (STR) model, we explore the existence of non …

Persistent link: https://www.econbiz.de/10011278670