Banking Technology in a Markov Switching Economy
In: Journal of Macroeconomics, Forthcoming
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In: Journal of Macroeconomics, Forthcoming
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In: Applied Economics, Forthcoming
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In: NHH Dept. of Business and Management Science Discussion Paper No. 2017/15
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Working paper
In: NHH Dept. of Business and Management Science Discussion Paper No. 2017/7
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Working paper
In: Economics letters, Band 145, S. 202-205
ISSN: 0165-1765
In: Forthcoming in: International Journal of Finance and Economics
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Working paper
In: Journal of economic studies, Band 37, Heft 1, S. 117-144
ISSN: 1758-7387
PurposeThe purpose of this paper is to revisit the evidence for purchasing power parity (PPP) using long, low‐frequency data (over 100 years) for 23 organization for economic co‐operation and development (OECD) countries against each of four different base currencies – the Deutsch mark, the Japanese yen, the British pound, and the US dollar.Design/methodology/approachThe paper uses standard unit root tests and level and trend stationarity tests, and also investigates the robustness of the results to alternative testing methodologies from statistical physics, such as Lo's modified rescaled range statistic and the Hurst exponent.FindingsThe results indicate that the theory of PPP does not hold.Originality/valueMotivated by the mixed results from previous research on the validity of the theory of PPP, the robustness of standard unit root and stationarity tests to alternative testing methodologies are investigated. In particular, the paper uses two tests from statistical physics – Lo's modified R/S statistic and the Hurst exponent.
In: Journal of economic studies, Band 36, Heft 5, S. 541-550
ISSN: 1758-7387
PurposeThe purpose of this paper is to examine the effects of inflation uncertainty on real economic activity using data from four industrialised countries.Design/methodology/approachThe paper uses the econometric framework developed by Elder in the context of a multivariate framework in which a structural vector autoregression (VAR) is modified to accommodate multivariate GARCH‐in‐mean (MGARCH‐M) errors. It calculates the impulse response functions for the multivariate GARCH(1,1)‐in‐mean VAR in order to see whether the specification captures the fundamental dynamics.FindingsThe results show that inflation uncertainty has differential effects on output growth across these countries.Originality/valueIn the context of multivariate GARCH(1,1)‐in‐mean VAR, this paper uses a non‐recursive identification scheme and separate identification for the large and small economies.
In: Journal of economic studies, Band 36, Heft 4, S. 383-392
ISSN: 1758-7387
PurposeThis paper set out to use an autoregressive conditional heteroscedasticity (ARCH)‐type model to capture the time‐varying conditional variance of Alberta electricity prices. This is of major importance in forecasting, since ARCH‐type models allow the conditional variance to depend on elements of the information set.Design/methodology/approachThe paper uses the model to perform static and dynamic forecasts over different horizons and to compare its forecasting performance with a random walk and a moving average model.FindingsThe paper provides a study of hourly electricity prices using recent advances in the financial econometrics literature.Originality/valueThe contribution of the paper is its use of models of changing volatility to properly identify the type of heteroscedasticity in the data‐generation processes. This is of major importance in forecasting.
In: Journal of economic studies, Band 34, Heft 3, S. 194-210
ISSN: 1758-7387
PurposeTo test the Feldstein‐Horioka hypothesis that the investment‐to‐output ratio moves one‐for‐one with the saving‐to‐output ratio, suggesting international capital mobility.Design/methodology/approachThe paper uses the econometric framework developed by Fisher and Seater, interpreting the Feldstein‐Horioka hypothesis as a long‐run phenomenon, and paying particular attention to the integration properties of the data, since meaningful tests critically depend on these properties. The paper also investigates the power of the long‐horizon regression tests, using the inverse power function of Andrews.FindingsThe paper tests the Feldstein‐Horioka hypothesis for 15 European countries, as well as for the USA and Japan, using annual data for the period from 1960 to 2002. Evidence is found against the Feldstein and Horioka hypothesis of low international capital mobility.Originality/valueAlthough the findings are in contrast to those of Feldstein and Horioka, they are consistent with neoclassical growth theory according to which there is no reason to expect a relation between saving and investment if there are no barriers to capital movements.
In: Review of financial economics: RFE, Band 17, Heft 2, S. 146-155
ISSN: 1873-5924
AbstractThis paper extends the work in Serletis [Serletis, A. (1992). Unit root behavior in energy futures prices. The Energy Journal 13, 119–128] by re‐examining the empirical evidence for random walk type behavior in energy futures prices. It tests for fractional integrating dynamics in energy futures markets utilizing more recent data (from January 3, 1994 to June 30, 2005) and a new semi‐parametric wavelet‐based estimator, which is superior to the more prevalent GPH estimator (on the basis of Monte‐Carlo evidence). We find new evidence that energy prices display long memory and that the particular form of long memory is anti‐persistence, characterized by the variance of each series being dominated by high frequency (low wavelet scale) components.
In: Journal of economic studies, Band 33, Heft 5, S. 320-335
ISSN: 1758-7387
PurposeThe purpose of this paper is to investigate productivity growth and technical progress bias in the USA.Design/methodology/approachFollowing the work of Kohli in 1978 and Diewert and Wales in 1992, the paper estimates output supply and input demand functions in the context of a normalized quadratic (NQ) variable profit function using US data (over a period from 1960 to 2002) on six goods: output, exports, imports, labour, reproducible capital, and fixed capital.FindingsResults show that the NQ variable profit function with linear splines works very well and the technique for determining structural breaks is effective. Estimates show that the US productivity rate in the last decade recovered in a stepwise manner, rather than jumped overnight in 1996 (as some previous studies have suggested), and that the US productivity revival after 1995 has been volatile and fragile.Originality/valueThis paper highlights productivity trends in the USA.
In: The developing economies: the journal of the Institute of Developing Economies, Tokyo, Japan, Band 38, Heft 2, S. 141-163
ISSN: 1746-1049
In: Journal of economic dynamics & control, Band 24, Heft 5-7, S. 703-724
ISSN: 0165-1889
In: Journal of Monetary Economics, Band 44, Heft 1, S. 105-130