Search Results - subject:"Transition Regression"

Regional Integration and Dynamic Adjustments: Evidence from a Gross National Product Function for Canada and the United States

Chapda Nana, Guy; Gervais, Jean-Philippe; Larue, Bruno - Volkswirtschaftliche Fakultät, … - 2010

We propose an empirical trade model to test for structural change and dynamic effects induced by free trade agreements for the Canadian and US economies. We estimated a translog Gross National Product (GNP) function along with output and factor shares and tested for structural change (abrupt or...

Persistent link: https://www.econbiz.de/10008602764

Nonlinear Interest Rate Reaction Functions for the UK

Brüggemann, Ralf; Riedel, Jana - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2010

logistic smooth transition regression (LSTR) models. The LSTR models with time-varying parameters consistently track actual …

Persistent link: https://www.econbiz.de/10008751913

Choice of Aggregate Demand Proxy and its Affect on Phillips Curve Nonlinearity: U.S. Evidence

Stimel, Derek - In: Economics Bulletin 30 (2010) 1, pp. 543-557

Using nonlinearity testing and modeling associated with the smooth transition regression model we examine how the …

Persistent link: https://www.econbiz.de/10008636366

The Time-Varying Systematic Risk of Carry Trade Strategies

Christiansen, Charlotte; Ranaldo, Angelo; Söderllind, Paul - School of Economics and Management, University of Aarhus - 2009

the logistic smooth transition regression model to describe the systematic risk of carry trade strategies changes. The … framework, and thirdly, we show the empirical results from estimating the smooth transition regression model. Finally, we …. In particular, we use the logistic smooth transition regression model, discussed below (see van Dijk, Ter�svirta and …

Persistent link: https://www.econbiz.de/10005787555

The Time-Varying Systematic Risk of Carry Trade Strategies

Christiansen, Charlotte; Ranaldo, Angelo; Söderlind, Paul - Schweizerische Nationalbank (SNB) - 2009

We explain the currency carry trade performance using an asset pricing model in which factor loadings are regime-dependent rather than constant. Empirical results show that a typical carry trade strategy has much higher exposure to the stock market and is mean-reverting in regimes of high FX...

Persistent link: https://www.econbiz.de/10008487540

The U.S. Excess Money Growth and Inflation Relation in the Long-Run: A Nonlinear Analysis

Kulaksizoglu, Tamer; Kulaksizoglu, Sebnem - Volkswirtschaftliche Fakultät, … - 2009

the difference between money supply growth and real GDP growth, using a smooth transition regression model and U.S. data …

Persistent link: https://www.econbiz.de/10008526964

Adjustment of State Owned and Foreign-Funded Enterprises in China to economic reforms,1980s-2007: a logistic smooth transition regression (LSTR) approach

Aizenman, Joshua; Geng, Nan - Economics Department, University of California-Santa … - 2009

This paper applies a logistic smooth transition regression approach to the estimation of a homogenous aggregate value …

Persistent link: https://www.econbiz.de/10010536308

Financial Contagion, Vulnerability and Information Flow: Empirical Identification

Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2009

the fashion of smooth transition regression by the innovations' variances and (negative) signs, both representing typical …

Persistent link: https://www.econbiz.de/10008455816

Revisiting the nexus between currency misalignments and growth in the CFA Zone

Grekou, Carl - In: Economic Modelling 45 (2015) C, pp. 142-154

In this paper, we revisit the link between currency misalignments and economic growth by taking into account foreign currency-denominated debt dynamics for the CFA zone countries over the period 1985–2011. Relying on a BEER approach and using panel cointegration techniques, we first derive...

Persistent link: https://www.econbiz.de/10011190211

Empirical study of the local government deficit, land finance and real estate markets in China

Pan, Jiun-Nan; Huang, Jr-Tsung; Chiang, Tsun-Feng - In: China Economic Review 32 (2015) C, pp. 57-67

–2010 to estimate the panel smooth transition regression model. Since the estimated transition threshold value is 14 …

Persistent link: https://www.econbiz.de/10011191188