Similar Search Results

Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market

Bretschger, Lucas; Lechthaler, Filippo - 2012

Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an adequate approach for the Japanese market. The Carhart...

Persistent link: https://www.econbiz.de/10011753224

The relative volatility of commodity prices: A reappraisal

Arezki, Rabah; Lederman, Daniel; Zhao, Hongyan - 2011

This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …

Persistent link: https://www.econbiz.de/10010280809

The nature of occupational unemployment rates in the United States: hysteresis or structural?

Candelon, Bertrand; Dupuy, Arnaud; Gil-Alana, Luis - 2008

This paper provides new evidence on the nature of occupational differences in unemployment dynamics, which is relevant for the debate between the structural or hysteresis hypotheses. We develop a procedure that permits us to test for the presence of a structural break at unknown date. Our...

Persistent link: https://www.econbiz.de/10010268561

Testing for a break in persistence under long-range dependencies and mean shifts

Sibbertsen, Philipp; Willert, Juliane - 2009

We show that the CUSUM-squared based test for a change in persistence by Leybourne et al. (2007) is not robust against shifts in the mean. A mean shift leads to serious size distortions. Therefore, adjusted critical values are needed when it is known that the data generating process has a mean...

Persistent link: https://www.econbiz.de/10010270042

Structural Breaks in Inflation Dynamics within the European Monetary Union

Windberger, Thomas; Zeileis, Achim - 2011

To assess the effects of the EMU on inflation rate dynamics of its member states, the inflation rate series for 21 European countries are investigated for structural changes. To capture changes in mean, variance, and skewness of inflation rates, a generalized logistic model is adopted and...

Persistent link: https://www.econbiz.de/10010294763

Identification of the true break date in innovational outlier unit root tests

Popp, Stephan - 2007

The present paper considers Dickey-Fuller-type unit root tests which account for a structural break occurring at an unknown point in time. The break is modelled by an innovational outlier approach. Provided that the break date is estimated correctly, the exact invariance to a mean and a slope...

Persistent link: https://www.econbiz.de/10010300218

Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis

Anglingkusumo, Reza - 2005

In this paper the effect of excess narrow money (MI) on C PI intlation in Indonesiabefore, during, and after the Asian crisis is empirically examined. The standard model for themonetary analysis of inflation, i.e. the P-Star model by Hallman-Porter-Small (1991), isapplied and tested empirically...

Persistent link: https://www.econbiz.de/10010325519

The 2008 Financial Crisis and Potential Output in Asia: Impact and Policy Implications

Yap, Josef T.; Majuca, Ruperto P.; Park, Cyn-Young - 2010

Monitoring the behavior of potential output helps policymakers implement appropriate policies in response to an economic crisis. In the short-run, estimates of the output gap will guide the timing of implementation and withdrawal of stimulus measures. In the medium- to long-term, these estimates...

Persistent link: https://www.econbiz.de/10011421169

Have bull and bear markets changed over time? Empirical evidence from the US-stock market

Grobys, Klaus - In: Journal of Finance and Investment Analysis 1 (2012) 1, pp. 151-171

This contribution analyzes bull and bear markets from 1954:1-2011:2 in the US-stock index S&P 500. Thereby, a 2-State-Markov-Switching model is applied to figure out bull and bear market regimes within the latter period, whereby the estimated state probabilities are used to estimate a dummy...

Persistent link: https://www.econbiz.de/10010286823

Long memory and changing persistence

Kruse, Robinson; Sibbertsen, Philipp - 2010

We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true process exhibits a change in persistence. Simulation results confirm theoretical arguments which suggest that evidence for long memory is likely to be found. A recently proposed...

Persistent link: https://www.econbiz.de/10010289004