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This paper introduces a new model of structural breaks which assumes that structural breaks are driven by large economic shocks. The model specifies that both the timing and size of breaks are stochastic and it can be used to investigate the impact of large economic shocks on the stability of...
Persistent link: https://www.econbiz.de/10010284087
This paper applies a new model of structural breaks developed by Kapetanios and Tzavalis (2004) to investigate if there exist structural changes in the mean reversion parameter of US macroeconomic series. Ignoring such type of breaks may lead to spurious evidence of unit roots in the...
Persistent link: https://www.econbiz.de/10010284121
This paper introduces a new model of structural breaks which assumes that structural breaks are driven by large economic shocks. The model specifies that both the timing and size of breaks are stochastic and it can be used to investigate the impact of large economic shocks on the stability of...
Persistent link: https://www.econbiz.de/10005106366
This paper applies a new model of structural breaks developed by Kapetanios and Tzavalis (2004) to investigate if there exist structural changes in the mean reversion parameter of US macroeconomic series. Ignoring such type of breaks may lead to spurious evidence of unit roots in the...
Persistent link: https://www.econbiz.de/10005106413
Persistent link: https://www.econbiz.de/10002403201
Persistent link: https://www.econbiz.de/10002808239
This paper employes a parametric model of structural breaks in the mean of stock returns which allows them to be endogenously driven by large positive or negative stock market return shocks. These shocks can be taken to reflect important market announcements, monetary policy regime shifts and/or...
Persistent link: https://www.econbiz.de/10013075530
Persistent link: https://www.econbiz.de/10003966451
Persistent link: https://www.econbiz.de/10003370484
Persistent link: https://www.econbiz.de/10003309355