This paper examines the relative performance of some popular nonlinearity tests when applied to time series generated by Markov switching autoregressive models. The nonlinearity tests considered include RESET-type tests, the Keenan test, the Tsay test, the McLeod—Li test, the BDS test, the...

This paper analyzes the 2002 Argentine crisis using the Jeanne and Masson (2000) model with sunspots. Testing this model empirically through a Markov-switching model suggests that self-sulfilling prophecies is a reasonable explanation for the devaluation of the peso.

We evaluate changes in international spillovers of equity price shocks with EMU by estimating BEKK-GARCH models over 1993-98 and 1999-2004. Results are consistent with EMU market integration via sectoral allocation, but not autonomy from the external influence of the US.

In this paper we test for contagion within the East Asian region, contagion being defined as a significant increase in the degree of co- movement between stock returns in different countries. For this purpose we use a parameter stability test and, following Rigobon (2004), we control for three...

In this paper we investigate the casual effects between per capita economic growth and carbon dioxide emissions. The focus on the causal analysis in both mean and variance differentiate this study from other contributions to the literature. The analysis is conducted for six countries. We find...

This paper estimates the magnitudes of government spending and tax multipliers within a regime-switching framework for the U.S economy during the period 1949:1- 2006:4. Our results show that the magnitudes of spending multipliers are larger during periods of low economic activity, while the...