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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015627250

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://www.econbiz.de, 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

The implications of digital finance for financial stability has come under serious scrutiny since the aftermath of the 2008 global financial crisis (GFC). Empirical evidence on this nexus are somewhat inconsistent and ambiguous. This study therefore attributes this puzzle to multiple structural...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441255

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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

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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014582399

Nonparametric estimation of the density of a change-point

Carrasco, Marine; Peltier, Hugo - 2024

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626655

Revisiting energy demand elasticity : the power of regime switch

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652336

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636379

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

Mboya, Mwasi Paza; Sibbertsen, Philipp - 2023

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015324819

Multiple structural breaks in interactive effects panel data models

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338294

Testing for persistence in real house prices in 47 countries from the OECD database

Caporale, Guglielmo Maria; Dominguez, Alfonso; … - 2025

This paper provides a comprehensive analysis of persistence in real house prices at the quarterly frequency in 47 countries from the OECD Database using fractional integration methods. The sample period varies depending on data availability, the longest series being the Japanese one (from...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015197275

Testing for multiple structural breaks in multivariate long memory regression models

Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025

This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating the breaks in the parameters and in the covariance of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015200188

An investigation on the effects of oil price, industrial production and agricultural production on inflation in Kazakhstan using the toda-yamamoto model with structural breaks

Talimova, Lyazat; Sembekov, Amir Kateyevich; Kuchukova, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015416973

Equity market linkages across Latin American countries

Guidi, Francesco; Madonia, Giuseppina; Sarwar, Sohan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015425047

Detecting multiple structural breaks in systems of linear regression equations with integrated and stationary regressors

Schweikert, Karsten - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015470450

A CUSUM test for breaks in fractional cointegration

Fitter, Krischan; Sibbertsen, Philipp - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472815

Do shocks to electricity consumption generate persistent effect? : Evidence from hunan province in China

Xiang, Sheng; Zheng, Mingbo; Yang, Hongming; He, Yushuan; … - 2025

This study explores the stationary property of electricity consumption for Hunan province in China over the period January 2013 to April 2023. Our analysis uses the panel stationarity tests, which take into account the factor structure and structural breaks. The results indicate supportive...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015431653

"You don't pay your bills you get no protection" : a Trump effect on NATO members' military expenditures?

Founta, Konstantina; Kollias, Chrēstos; Tzeremes, … - 2025

Dispensing with the customary courteous diplomatic language, much of the 47th President's rhetoric concerning the other NATO Allies echoes the valid US criticism that many of them freeride on the US protective defence umbrella without contributing their fair share to the costs of NATO's...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432391

The FED model : Is it still with us?

McMillan, David G. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015435422

The impact of financial stress and equity market uncertainty on cryptocurrencies under structural breaks

Patra, Saswat; Singh, Abhay Kumar - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015460273

A Hodrick–Prescott filter with automatically selected breaks

Marazano, Paolo; Pelagatti, Matteo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441524

Policy uncertainty, inflation, and income inequality nexus : does financial development matter?

Magwedere, Margaret Rutendo; Marozva, Godfrey - 2025

Reducing income inequality is one of the goals under the Sustainable Development Goals. This study examines the intricate relationship between financial development, policy uncertainty, inflation, and income inequality. Panel data for African countries covering the period 2000-2022 were used in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015443043

The inflation uncertainty-inflation relationship: time variation across Latin America and the G7

Alvarado, Mauricio; Rodriguez, Gabriel - 2025 - Primera edición

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015443288

Does income growth affect renewable energy or carbon emissions first? : A fourier-based analysis for renewable and fossil energies

Pata, Ugur Korkut; Bulut, Umit; Balsalobre-Lorente, Daniel - 2025

Environmental issues and global warming continue to drive researchers to investigate the validity of hypotheses regarding the environment. The environmental Kuznets curve (EKC) is the most popular hypothesis in the environmental economics, prompting researchers to propose a new hypothesis based...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015425480

Stickiness in bank credit ratings

Anastasiou, Dimitris; Ballis, Antonis; Ioannidis, Christos - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015426975

Environmental regulatory standards, energy consumption, and environmental quality in lower middle-income Sub-Saharan Africa : the role of structural breaks

Olaoye, Olugbenga O.; Bowale, Ebenezer; Ewetan, Olabanji O. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015427070

Trend breaks and the persistence of closed-end fund discounts

Durmaz, Nazif; Kim, Hyeongwoo; Lee, Hyejin; Sun, Yanfei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015427438

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Trend breaks and the persistence of closed‐end fund discounts

Durmaz, Nazif; Kim, Hyeongwoo; Lee, Hyejin; Sun, Yanfei - 2023

Book / Working Paper

Structural breaks in global stock markets : are they caused by pandemics, protests or other factors?

Ndako, Joshua A.; Kumeka, Terver Theophilus; Adedoyin, … - 2025

The study examines the impact of the COVID-19 pandemic and other global events on the global stock market, focusing on 16 countries of the world using quarterly data ranging from 1919Q1 to 2020Q2. While selected sample countries in Europe have at least ten break dates under the period of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015492252

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Structural breaks in global stock markets : are they caused by pandemics, protests or other factors?

Ndako, Joshua A.; Kumeka, Terver Theophilus; Adedoyin, … - 2022

Book / Working Paper

Structural Breaks in Global Stock Markets : Are They Caused by Pandemics, Protests or Other factors?

Ndako, Joshua; Kumeka, Terver; Adedoyin, Festus Fatai; … - 2022

Book / Working Paper