Search Results - subject:"non–linear models"

Asymmetric exchange rate pass-through : evidence from Peru

Pérez Forero, Fernando J.; Vega, Marco - 2015

Persistent link: https://www.econbiz.de/10011502873

Dynamic asymmetries in house price cycles : a generalized smooth transition model

Canepa, Alessandra; Chini, Emilio Zanetti - 2015

Persistent link: https://www.econbiz.de/10011348466

Forecasting House Prices in the United States with Multiple Structural Breaks

Barari, Mahua; Sarkar, Nityananda; Kundu, Srikanta; … - In: International Econometric Review (IER) 6 (2014) 1, pp. 1-23

The boom-bust cycle in U.S. house prices has been a fundamental determinant of the recent financial crisis leading up to the Great Recession. The risky financial innovations in the housing market prior to the recent crisis fueled the speculative housing boom. In this backdrop, the main...

Persistent link: https://www.econbiz.de/10012610949

Forecasting South African Ination Using Non-linear Models: A Weighted Loss-based Evaluation

Bahramian, Pejman; Balcilar, Mehmet; Gupta, Rangan; … - Institut de Préparation à l'Administration et à la … - 2014

The conduct of in ation targeting is heavily dependent on accurate in ation forecasts. Non-linear models have … African in ation by means of non-linear models and using a long historical dataset of seasonally-adjusted monthly in ation … salient feature of such long data, hence the relevance of evaluating non-linear models' forecast performance. In the same vein …

Persistent link: https://www.econbiz.de/10011161635

Forecasting South African Inflation Using Non-Linear Models: A Weighted Loss-Based Evaluation

Bahramian, Pejman; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2014

The conduct of inflation targeting is heavily dependent on accurate inflation forecasts. Non-linear models have … African infl ation by means of non-linear models and using a long historical dataset of seasonally-adjusted monthly inflation … salient feature of such long data, hence the relevance of evaluating non-linear models' forecast performance. In the same vein …

Persistent link: https://www.econbiz.de/10011095462

Impact of Monetary Policy on Financial Markets Efficiency and Speculative Bubbles: A Non-linear Entropy-based Approach

Alonso-Rivera, Angélica; Cruz-Aké, Salvador; … - Volkswirtschaftliche Fakultät, … - 2014

This paper examines, through the concept of mutual information based on entropy, the impact of monetary policy on the loss of efficiency in the financial markets and speculative bubbles. The proposed information measure is useful to quantify the efficiency with which financial markets respond to...

Persistent link: https://www.econbiz.de/10011113411

Forecasting House Prices in the United States with Multiple Structural Breaks

Barari, Mahua; Sarkar, Nityananda; Kundu, Srikanta; … - In: International Econometric Review (IER) 6 (2014) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10010837166

Discriminating between fractional integration and spurious long memory

Haldrup, Niels; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2014

Fractionally integrated processes have become a standard class of models to describe the long memory features of economic and financial time series data. However, it has been demonstrated in numerous studies that structural break processes and non-linear features can often be confused as being...

Persistent link: https://www.econbiz.de/10010851300

Mean Reversion of the Current Account and Sustainability : Evidence from European Countries

Akdogan, Kurmas - Türkiye Cumhuriyet Merkez Bankası - 2014

Stationarity of the current account is suggested as an indicator of the current account sustainability in the literature. We explore the presence of mean-reverting behaviour in current accounts of 24 European countries, using linear and nonlinear unit root tests. Our results suggest mean...

Persistent link: https://www.econbiz.de/10010941534

Inflation dynamics in the Netherlands : a linear and non-linear analysis and the influence of economic conditions

Ruth, Floris van - 2014

Persistent link: https://www.econbiz.de/10010393920