Search Results - subject_exact:"Structural break"

Long-run transition vs. short-run adjustment : modeling Slovakia's macroprudential policy path

Kupkovič, Patrik - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015627250

Foreign direct investment and economic growth in Morocco : revisiting the evidence with 2SLS

El Ghali Ghorafi, Fatine - 2026

Background and Motivation: Foreign direct investment (FDI) has been widely examined as a potential driver of economic growth, yet empirical evidence for Morocco remains inconclusive due to methodological limitations and endogeneity concerns. This study re-examines the FDI-growth relationship in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676459

Understanding agricultural labour productivity in Kazakhstan : long-run and short-run relationships with government expenditure, agricultural credit, and inflation

Murat, Amanzhol; Azretbergenova, G. Ž.; … - 2026

Improving agricultural labour productivity is essential for enhancing agricultural competitiveness, rural development, and long-term economic sustainability, particularly in transition economies where agriculture continues to play a strategic role. Although previous studies have examined the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016092003

Testing mean stationarity of intraday volatility curves

Andersen, Torben; Tan, Yingwen; Todorov, Viktor; Zhang, … - 2025

We develop a test for mean stationarity of latent volatility curves using high-frequency data. To derive the asymptotic test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties are analyzed under alternatives...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015460599

Gauging the impact of digital finance on financial stability in the presence of multiple unknown structural breaks: Evidence from developing economies

Okoli, Tochukwu Timothy - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015470044

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Gauging the impact of digital finance on financial stability in the presence of multiple unknown structural breaks : evidence from developing economies

Okoli, Tochukwu Timothy - 2025

Article

QR.break : an R package for structural breaks in quantile regression

Qu, Zhongjun; Oka, Tatsushi; Messer, Samuel - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015669717

Evidence of adaptive market hypothesis in the Indian stock market through analysing day of the week effect

Dhankhar, Nidhi; Fakhar, Saib; Mehla, Sunita; Tabash, … - 2025

This research empirically investigated the existence of the adaptive market hypothesis (AMH) by investigating the day of the week effect (DOW), a commonly used calendar anomaly, using both symmetric and asymmetric GARCH models on the Nifty 50 data from 1 January 2002 to 31 December 2024. The...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016085383

Is monetary policy a driver of cryptocurrencies? : evidence from a structural break GARCH-MIDAS approach

Alam, Md Samsul; Amendola, Alessandra; Candila, Vincenzo; … - 2024

The introduction of Bitcoin as a distributed peer-to-peer digital cash in 2008 and its first recorded real transaction in 2010 served the function of a medium of exchange, transforming the financial landscape by offering a decentralized, peer-to-peer alternative to conventional monetary systems....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014636395

Impact of the agricultural sector on unemployment, inequality and rural poverty : a panel regression analysis in Indonesian provinces

Suparman, Suparman; Sutomo, Maskuri; Anwar, Chairil; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015101695

Assessing the stationarity of per capita electricity consumption : time series analysis in asean countries

Parreño, Samuel John E. - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014495494

Modeling volatility in the Nigeria stock exchange : the role of structural breaks

Ucheoma, Ekejiuba C. - 2024

This study models volatility in the daily Nigeria Stock Exchange 30 index from Jan- uary 30, 2012 to August 31, 2020, comparing the Modified Iterated Cumulative Sums of Squares (MICSS) and the traditional cumulative sum of squares (CUSUMSQ) ap- proaches. Findings reveal that integrating...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015454849

Structural breaks and co-movements of Bitcoin and Ethereum : evidence from the COVID-19 pandemic period

Tekin, Bilgehan - 2024

This study examined the structural breakdowns and co-movements of Bitcoin (BTC) and Ethereum (ETH) cryptocurrencies from the onset of the COVID-19 pandemic. The Bai-Perron test was used to determine the change in the mean and variance of the two principal actors regarding market capitalization...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014581553

The resilience of Tunisian industrial exports during the COVID-19 pandemic : evidence from an ARDL approach

Gani, Walid - 2024

This paper attempts to study to what extent Tunisian industrial exports have been resilient during the COVID-19 pandemic. For this purpose, we tested for structural breaks using the Bai-Perron test and monthly data on industrial exports from January 2014 to December 2022. Using the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014582399

Nonparametric estimation of the density of a change-point

Carrasco, Marine; Peltier, Hugo - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014478827

The dynamics of FDI inflows, economic growth, trade openness and CO₂ emissions in India : an ARDL approach with structural breaks

Manickam, Tamilselvan; Vijayakumar, N. C.; Kumar, G. Sathis - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015616869

What drives emissions intensity in Azerbaijan's light industry? : evidence from ARDL with structural breaks

Güläliyev, Mayis; Aliyev, Shafa; Musayeva, Jamila; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015616942

Has IPO market structure fundamentally changed? : evidence from negative binomial regression with structural breaks

Herley, Michael D. - 2026

This paper introduces Bai-Perron structural break detection combined with negative binomial regression to model overdispersed U.S. IPO count data. Using monthly data from 1995 to 2024, we identify five breaks that partition IPO activity into six distinct regimes, each with fundamentally...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591143

Long-run linkages and parameter instability in the gold–silver relationship, 2010-2025

Caporale, Guglielmo Maria; Palomares, Antonio Fons; … - 2026

This paper examines long-run linkages and possible instabilities in the gold–silver price relationship using daily futures prices over the period from 4 January 2010 to 28 November 2025. The empirical analysis includes unit-root and cointegration tests as well as endogenous structural break...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626655

Revisiting energy demand elasticity : the power of regime switch

Hindriks, Jean; Paré, Lucie; Serse, Valerio - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638707

A structural break analysis of Wine Spectator’s Top 100, 1988-2025

Gokcekus, Omer - 2026

Using Wine Spectator's Top 100 lists for 1988-2025, this note applies Bai-Perron structural break tests to regional and country shares and identifies three distinct periods: 1988-1997, 1998-2015, and 2016-2025. Real prices decline across phases, with the sharpest drop in the most recent period,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638981

Climate policy uncertainty and housing prices : analyzing bidirectional transmission across U.S. metropolitan areas

Batabyal, Sourav; Gormus, Alper - 2026

This study examines the relationship between climate policy uncertainty (CPU) and residential housing prices across U.S. metropolitan areas using the U.S. CPU index developed by Gavriilidis in 2021 and monthly S&P CoreLogic Case-Shiller Home Price Indices, covering January 1991 to May 2024....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015656212

What explains Bitcoin volatility? : evidence from an extended HAR framework

Lu, Zhaoying; Fang, Yuanju - 2026

This study investigates the dynamics of Bitcoin's realized volatility by extending the Heterogeneous Autoregressive (HAR) framework to incorporate external shocks from major financial and commodity markets, namely the NASDAQ-100, Brent crude oil, and gold. To capture potential asymmetries,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015652109

Temporal dynamics of market microstructure in cryptocurrency perpetual futures : econometric evidence from centralized and decentralized exchanges

Zhivkov, Petar; Todorov, Venelin; Georgiev, Slavi - 2026

We apply rolling-window econometric methods, including GARCH(1,1) estimation, Bai-Perron structural break detection, CUSUM stability testing, and Granger causality analysis in bivariate VAR frameworks, to analyze the temporal dynamics of market integration in cryptocurrency perpetual futures,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015652336

External price shock vulnerability in import-dependent economies : the case of the Republic of Moldova and a commodity import price index

Diavor, Mircea - 2026

This study examines the Republic of Moldova's macroeconomic vulnerability to external commodity price shocks (1992-2025) using the IMF's Commodity Import Price Index (CIPI) combined with time series analysis and a mixed-frequency VAR model linking monthly price data to quarterly GDP. Four key...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676472

When attention matters most : investor focus, returns, and volatility during COVID-19

DileepKumar, Devika - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676302

Heterogeneous regional convergence in the European Union : club dynamics, structural breaks, and spatial spillovers

Mockevičienė, Greta; Butkus, Mindaugas - 2026

This study examines income convergence among EU NUTS-2 regions from 2000 to 2023 using a combination of Phillips-Sul (PS) club convergence methodology, β-convergence, and spatial econometric models. The results reveal that regional convergence in Europe is heterogeneous and nonlinear: four...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676333

Survey design and professional forecasters : the case of uncertainty in the US SPF

Knüppel, Malte; Pavlova, Lora - 2026

Histogram forecasts of inflation and growth from the US Survey of Professional Forecasters (SPF) allow for an assessment of the evolution of forecast uncertainty. However, this assessment is complicated by structural breaks in measured uncertainty arising from changes in histogram bin widths...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636379

Mozambican Tomato Markets: Structural Breaks and Their Impact on Price Transmission and Integration

Bazo, Amir Ernesto; Tonin, Julyerme Matheus; Alves, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016069732

Crypto is coming of age : the case of Bitcoin's rising beta

Drexler, Alejandro H.; Güttler, André; Sun, Angela - 2026

This paper shows that Bitcoin has transitioned from a largely idiosyncratic crypto asset into a risk-on asset with returns resembling that of the broad U.S. stock market. We estimate time-varying Bitcoin betas with respect to a tech-heavy stock index (NASDAQ), a broader economy equity index (Dow...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016072491

Confidence sets for the date of a weak mean break in functional data

Lin, Yicong - 2026

We develop confidence sets for the date of a single mean break in functional data when the break may be too weak to be consistently detected. Under each maintained null, segmentwise demeaning removes the unknown mean and break functions, so valid inference does not require consistent detection...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016072842

Real-time monitoring for stock return predictability in nonstationary volatility environments

Demetrescu, Matei; Schmidt, Fabian; Taylor, Robert - 2026 - Version 2.0

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016073560

From liberalization to fragmentation : new evidence on global tariff dynamics in the WTO era

Öztürk, Nil Sirel - 2026

This study aims to investigate the long-run dynamics of global tariff convergence and the emerging fragmentation in the post-2018 period. Focusing on the USA, China, Japan, the European Union and the world average between 1990 and 2020, the research examines whether countries with initially...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016069391

Impact of a Major Event in CEMAC under Vision 2030: evidence from Congo, 1974-2021.

Kuikeu, Oscar - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016082122

SME loans and economic growth nexus in Kazakhstan : evidence from ARDL, FMOLS, and Bai-Perron structural break analysis

Azretbergenova, G. Ž.; Syzdykova, Aziza; Beisekova, Perizat - 2026

This study investigates the relationship between SME loans and economic growth in Kazakhstan using quarterly data covering the period 2010Q1-2025Q3. While the finance-growth nexus has been extensively studied, empirical evidence focusing specifically on SME credit remains limited, particularly...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016087268

Causal machine learning for macroeconomic forecasting under structural breaks and economic uncertainty

Abouzaid, Oumaima; Boussedra, Faouzi - 2026

Macroeconomic forecasting has become increasingly challenging in environments characterized by structural breaks, nonlinear dynamics, and elevated economic uncertainty. Traditional econometric forecasting models frequently experience substantial predictive deterioration during periods of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016089807

AI events, persistence, and volatility in US utility and AI-exposed stocks : the AI-power channel

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Sosa, … - 2026

This paper examines whether four AI events between 2022 and 2025 - ChatGPT, GPT-4, the EU AI Act vote, and DeepSeek - changed the behaviour of fourteen US-listed stocks. The focus of the analysis is on two utilities that signed power purchase agreements with large AI companies, Constellation...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016089912

Public education expenditure and economic growth in Egypt : an ARDL bounds testing approach

Elseraty, Amr M.; Kammoun, Ali Abdelbasset; Sallam, … - 2026

The relationship between public education spending and economic growth remains contested in developing economies, where quality, not just quantity, of investment may matter most. This study examines whether public education expenditure has driven economic growth in Egypt over 1980-2023,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091936

Determinants of mutual fund flows in the Indian stock market : insights through the nonlinear autoregressive distributed lag bounds-testing approach with structural breaks

Kumari, Madhu; Debnath, Prallad - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016073296

Optimal forecasts in the presence of discrete structural breaks under long memory

Mboya, Mwasi Paza; Sibbertsen, Philipp - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014432798

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Optimal forecasts in the presence of discrete structural breaks under long memory

Mboya, Mwasi Paza; Sibbertsen, Philipp - 2022

Book / Working Paper

Public expenditure and growth dynamics in Indian agriculture : trends, structural breaks, and linkages

Akber, Nusrat; Kumar, Anjani; Bathla, Seema - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014496288

Testing the consistency of asymmetric interest rate pass-through : the case of Indonesia

Herlambang, R. Dimas Bagas; Purwono, Rudi; Rumayya - 2023

This paper investigates the consistency of asymmetric interest rate past-trough (IRPT) using a nonlinear autoregressive distributed lag framework. Superior to the previous studies, this study exploits the historical profile of Indonesia to enrich the analysis. Asian Financial Crisis (AFC) which...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014500695

Panel data models with time-varying latent group structures

Wang, Yiren; Phillips, Peter C. B.; Su, Liangjun - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015075027

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Panel data models with time-varying latent group structures

Wang, Yiren; Phillips, Peter C. B.; Su, Liangjun - 2023

Book / Working Paper

Instability of factor strength in asset returns

Massacci, Daniele - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534490

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Instability of factor strength in asset returns

Massacci, Daniele - 2023

Book / Working Paper

Relationship between FDI inflows and export performance : an empirical investigation by considering structural breaks

Ahmed, Sayed Farrukh; Mohsin, A. K. M.; Hossain, Syed … - 2023

The present study examines the relationship between FDI inflows and export performance in Bangladesh by considering the issue of structural breaks utilizing annual time-series data from 1972 to 2019. In the study, unit root tests were conducted without (ADF test and PP test) and with (ZA test...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014230874

Structural change in post Keynesian monetary theory : a Non-Compensatory Disequilibrium Framework

Túñez-Area, Narciso - 2025

Post Keynesian Economics has shifted away and even renegade from Keynes' original research program, i.e., the Unemployment Equilibrium thesis, endogenous money and liquidity preference determination of interest rate in which money and uncertainty play a fundamental part. This paper attempts to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015549054

Time-varying shock transmission in non-Gaussian structural vector autoregressions

Lütkepohl, Helmut; Strohsal, Till - 2025

This paper analyzes possibly time-varying shock transmission in structural vector autoregressive (VAR) models when the reduced-form VAR coefficients are time-invariant and the shocks are identified through non-Gaussianity. To check for possible time-variation in the impulse responses, we propose...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015324819

Multiple structural breaks in interactive effects panel data models

Ditzen, Jan; Karavias, Yiannis; Westerlund, Joakim - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372714

Exploring the tourism and economic growth relationship in Vietnam : a cointegration analysis with model-specific structural breaks

Kumar, Ronald Ravinesh; Stauvermann, Peter; Lien Thi Mai Dau - 2025

In this study, we present a comprehensive analysis to examine the resilience of tourism in Vietnam since the Doi Moi period. Using an augmented Solow framework, data from 1986 to 2020, and the ARDL approach, we estimate the long-run and short-run effects, whilst accounting for model-specific...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015210381

Exploring the impact of irrigation on China's crop TFP : insights from a structural break analysis

Zhou, Tiantian; Liu, Xingshuo; Jia, Siying; Sheng, Yu - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331887

Do financial market openness and stock market returns drive economic growth in GCC countries? : new investigation from panel structural breaks

Saidi, Hichem; Rachdi, Houssem; Hakimi, Abdelaziz; … - 2025

This paper revisits the effects of financial market openness and stock market returns on economic development in the Gulf Cooperation Council countries over the period 1993-2022. We performed the panel stationarity test advanced that accommodates the presence of multiple structural breaks and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338294