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Evidence that real exchange rate dynamics can be described using models which exhibit nonlinear mean reversion has been mounting over the past decade. This article attempts to better understand the shape of real exchange rate nonlinearity through the use of the Smooth Transition Autoregressive...
Persistent link: https://www.econbiz.de/10010618454
Evidence that real exchange rate dynamics can be described using models which exhibit nonlinear mean reversion has been mounting over the past several years. This paper attempts to better understand the shape of real exchange rate nonlinearity through the use of the smooth transition...
Persistent link: https://www.econbiz.de/10008550552
Scholars historically believed that the market price data reported for Amsterdam markets were spot prices prior to 1747. Neal (The rise of financial capitalism: international capital markets in the Age of Reason. Cambridge University Press, Cambridge, 1990) provided econometric evidence that the...
Persistent link: https://www.econbiz.de/10010875683
This paper addresses the degree to which models which exhibit nonlinear mean reversion (NMR) present a resolution to the Purchasing Power Parity Puzzle. This paper develops a method of estimating a representative distribution of half lives which is based upon the observed distribution of shocks...
Persistent link: https://www.econbiz.de/10008488450
This article examines the impact economic variables had on the rate of settlement, measured by original homestead claims, in the Western United States. Our results from the estimated panel regressions indicate that the underlying rationale for the Homestead Act, namely that economic factors were...
Persistent link: https://www.econbiz.de/10010548743
In this paper, the tests of Kapetanios, Shin, and Snell (2003) and Bec, Ben Salem, and Carrasco (2004), which are designed to detect nonstationarity verses globally stationary exponential smooth transition autoregressive (ESTAR) nonlinearity, are extended to allow for a delay parameter, d, that...
Persistent link: https://www.econbiz.de/10008563244
In this article, the authors show that the dividend discount model can be derived using the basic intertemporal consumption model that is introduced in a typical intermediate microeconomics course. This result will be of use to instructors who teach microeconomics to finance students in that it...
Persistent link: https://www.econbiz.de/10010690786
Persistent link: https://www.econbiz.de/10010642424
This note investigates the small sample properties of threshold parameter estimation in the two regime self-exciting threshold autoregressive model. Systematic small sample biases are identified which occur when the distribution of observations between regimes is uneven.
Persistent link: https://www.econbiz.de/10005361673
Fiscal sustainability is one of the most pressing policy issues of our time. Yet it remains difficult to quantify. Official debt is plagued with a number of measurement difficulties since its measurement reflects the choice of words, not policies. And forming the fiscal gap-the imbalance in the...
Persistent link: https://www.econbiz.de/10011188530