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Studies in Nonlinear Dynamics and Econometrics最新文献

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Age and gender differentials in unemployment and hysteresis 失业和迟滞的年龄和性别差异
4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-06-07 DOI: 10.1515/snde-2022-0068
Amy Y. Guisinger, Laura E. Jackson, Michael T. Owyang
{"title":"Age and gender differentials in unemployment and hysteresis","authors":"Amy Y. Guisinger, Laura E. Jackson, Michael T. Owyang","doi":"10.1515/snde-2022-0068","DOIUrl":"https://doi.org/10.1515/snde-2022-0068","url":null,"abstract":"Abstract We use a time-varying panel unobserved components model to estimate unemployment gaps disaggregated by age and gender. Recessions before COVID affected men’s labor market outcomes more than women’s; however, the reverse was true for the COVID recession, with effects amplified for younger workers. We introduce time-variation in both the hysteresis dynamics and the Phillips-curve coefficients on labor market slack. The aggregate Phillips curve flattens over time and hysteresis is countercyclical for all groups. We find heterogeneity in both the Phillips curve and hysteresis coefficients, with wages responding more to workers with an outside option (high school- and retirement-age) and larger effects of hysteresis for younger workers.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135409476","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Age and gender differentials in unemployment and hysteresis 失业和迟滞的年龄和性别差异
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-06-07 DOI: 10.20955/wp.2022.015
Amy Y. Guisinger, Laura E. Jackson, Michael T. Owyang
{"title":"Age and gender differentials in unemployment and hysteresis","authors":"Amy Y. Guisinger, Laura E. Jackson, Michael T. Owyang","doi":"10.20955/wp.2022.015","DOIUrl":"https://doi.org/10.20955/wp.2022.015","url":null,"abstract":"Abstract We use a time-varying panel unobserved components model to estimate unemployment gaps disaggregated by age and gender. Recessions before COVID affected men’s labor market outcomes more than women’s; however, the reverse was true for the COVID recession, with effects amplified for younger workers. We introduce time-variation in both the hysteresis dynamics and the Phillips-curve coefficients on labor market slack. The aggregate Phillips curve flattens over time and hysteresis is countercyclical for all groups. We find heterogeneity in both the Phillips curve and hysteresis coefficients, with wages responding more to workers with an outside option (high school- and retirement-age) and larger effects of hysteresis for younger workers.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46096180","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Frontmatter 头版头条
4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-06-01 DOI: 10.1515/snde-2023-frontmatter3
{"title":"Frontmatter","authors":"","doi":"10.1515/snde-2023-frontmatter3","DOIUrl":"https://doi.org/10.1515/snde-2023-frontmatter3","url":null,"abstract":"","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136177896","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Welfare cost of inflation, when credit card transaction services are included among monetary services 当信用卡交易服务被包括在货币服务中时，通货膨胀的福利成本
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-05-29 DOI: 10.1515/snde-2022-0092
William A. Barnett, Sohee Park
{"title":"Welfare cost of inflation, when credit card transaction services are included among monetary services","authors":"William A. Barnett, Sohee Park","doi":"10.1515/snde-2022-0092","DOIUrl":"https://doi.org/10.1515/snde-2022-0092","url":null,"abstract":"Abstract We investigate the welfare cost of anticipated inflation, when the volume of credit card transactions is included in measured monetary service flows. We use the credit-card-augmented Divisia monetary aggregates in a nonlinear dynamic stochastic general equilibrium (DSGE) New Keynesian model and calculate the welfare costs of inflation. The welfare costs of inflation with credit card services included are greater than without them in the New Keynesian DSGE model. Because of the complexity of the model’s dynamical structure, we are not aware of a simple explanation for the increased welfare sensitivity to inflation.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44357006","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis 欧洲天然气价格与原油价格脱钩了吗?证据来自TVP-VAR分析
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-05-01 DOI: 10.1515/snde-2022-0051
K. Szafranek, Micha l Rubaszek
{"title":"Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis","authors":"K. Szafranek, Micha l Rubaszek","doi":"10.1515/snde-2022-0051","DOIUrl":"https://doi.org/10.1515/snde-2022-0051","url":null,"abstract":"Abstract Unprecedented increases in European natural gas prices observed between late 2021 and mid 2022 raise a question about the sources of these events. In this article we investigate this topic using a time-varying parameters structural vector autoregressive model for crude oil, US and European natural gas prices. This flexible framework allows us to measure how disturbances specific to the analyzed markets propagate within the system and how this propagation mechanism evolves in time. Our findings are fourfold. First, we show that oil prices are hardly affected by shocks specific to natural gas markets, whether in the US or Europe. Second, we demonstrate that oil shocks have limited impact on US natural gas prices, which points to the decoupling of both markets. Third, we evidence that over longer horizons natural gas prices in Europe are still mostly determined by oil shocks, with idiosyncratic disturbances leading to short-lived decoupling of both commodity prices. Fourth, we illustrate that along the gradual shift from oil price indexation to gas-on-gas competition, the contribution of idiosyncratic shocks to European natural gas prices has increased. Nonetheless, we discuss why the notion that EU natural gas and crude oil prices have decoupled might be premature.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41487497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Frontmatter 头版头条
4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-04-01 DOI: 10.1515/snde-2023-frontmatter2
{"title":"Frontmatter","authors":"","doi":"10.1515/snde-2023-frontmatter2","DOIUrl":"https://doi.org/10.1515/snde-2023-frontmatter2","url":null,"abstract":"","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135464412","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging 不规则间隔高频数据的综合方差:一种基于预平均的状态空间方法
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-03-20 DOI: 10.1515/snde-2021-0093
Vitali Alexeev, Jun Chen, Katja Ignatieva
{"title":"Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging","authors":"Vitali Alexeev, Jun Chen, Katja Ignatieva","doi":"10.1515/snde-2021-0093","DOIUrl":"https://doi.org/10.1515/snde-2021-0093","url":null,"abstract":"Abstract We propose a new state space model to estimate the Integrated Variance (IV) in the presence of microstructure noise. Applying the pre-averaging sampling scheme to the irregularly spaced high-frequency data, we derive equidistant efficient price approximations to calculate the noise-contaminated realised variance (NCRV), which is used as an IV estimator. The theoretical properties of the new volatility estimator are illustrated and compared with those of the realised volatility. We highlight the robustness of the new estimator to market microstructure noise (MMN). The pre-averaging sampling effectively eliminates the influence of the MMN component on the NCRV series. The empirical illustration features the EUR/USD exchange rate and provides evidence of a superior performance in volatility forecasting at very high sampling frequencies.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47931083","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On testing for bubbles during hyperinflations 关于高膨胀过程中气泡的测试
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-03-13 DOI: 10.1515/snde-2022-0014
R. Morita, Zacharias Psaradakis, M. Solá, Patricio Yunis
{"title":"On testing for bubbles during hyperinflations","authors":"R. Morita, Zacharias Psaradakis, M. Solá, Patricio Yunis","doi":"10.1515/snde-2022-0014","DOIUrl":"https://doi.org/10.1515/snde-2022-0014","url":null,"abstract":"Abstract We consider testing for the presence of rational bubbles during hyperinflations via an analysis of the non-stationarity properties of relevant observable time series. The test procedure is based on a Markov regime-switching model with independent stochastic changes in its intercept, error variance and autoregressive coefficients. This model formulation allow us to disentangle fundamentals-driven changes in the drift, bubble-driven explosiveness, and volatility changes that may be fundamentals-driven and/or bubble-driven. The testing methodology is illustrated by applying it to data from hyperinflations in Argentina, Brazil, Germany and Poland.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43055618","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analysis of heterogeneous duopoly game with information asymmetry based on extrapolative mechanism 基于外推机制的信息不对称异质性双寡头博弈分析
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-03-06 DOI: 10.1515/snde-2022-0052
Jing Yuan, Jian-jun Zhu
{"title":"Analysis of heterogeneous duopoly game with information asymmetry based on extrapolative mechanism","authors":"Jing Yuan, Jian-jun Zhu","doi":"10.1515/snde-2022-0052","DOIUrl":"https://doi.org/10.1515/snde-2022-0052","url":null,"abstract":"Abstract Information plays an important role in decision-making process in oligopoly market. This paper establishes two Cournot duopoly games with information asymmetry based on extrapolative mechanism, and focus on the impacts of information asymmetry from the perspective of stability, complexity and profit. The results show that the extrapolative mechanism plays a different role for heterogeneous expectation firms. In general, proper prediction of rival’s output information is conducive to the improvement of firms’ profit and system stability. However, for firms adopting the adaptive adjustment mechanism, the optimal profit does not occur for the most perfect prediction. Firms who adopt gradient adjustment mechanism are worth to improve prediction accuracy to promote the system stability and the profit. In addition, it is more important for all firms to control their own output adjustment mechanism to gain more profits.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43050565","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimation and testing of the factor-augmented panel regression models with missing data 缺失数据因素增强面板回归模型的估计与检验
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-03-02 DOI: 10.1515/snde-2022-0042
Difa Xiao, Lu Wang, Jianhong Wu
{"title":"Estimation and testing of the factor-augmented panel regression models with missing data","authors":"Difa Xiao, Lu Wang, Jianhong Wu","doi":"10.1515/snde-2022-0042","DOIUrl":"https://doi.org/10.1515/snde-2022-0042","url":null,"abstract":"Abstract This paper focuses on the factor-augmented panel regression models with missing data and individual-varying factors. A so-called CCEM estimator for the slope coefficient is proposed and its asymptotic properties are investigated under some regularity conditions. Furthermore, a joint test statistic is constructed for serial correlation and heteroscedasticity in the idiosyncratic errors. Under the null hypothesis, the test statistic can be shown to be asymptotically chi-square distributed. Monte Carlo simulation results show that the proposed estimator and test statistic have desired performance in finite samples.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41481454","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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