Studies in Nonlinear Dynamics and Econometrics最新文献_第4页

Modelling volatility dependence with score copula models 用score copula模型模拟波动性相关性

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-10-07 DOI: 10.1515/snde-2022-0006

Willy Alanya-Beltran

引用次数: 0

On determination of the number of factors in an approximate factor model 关于近似因子模型中因子数量的确定

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-10-03 DOI: 10.1515/snde-2020-0055

Jinshan Liu, Jiazhu Pan, Qiang Xia, Li Xiao

引用次数: 0

Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective 实际利率平价真的有效吗?离散小波视角下的历史证据

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-09-28 DOI: 10.1515/snde-2021-0067

Mahdi Ghaemi Asl, G. Canarella, S. Miller, Hamid Reza Tavakkoli

{"title":"Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective","authors":"Mahdi Ghaemi Asl, G. Canarella, S. Miller, Hamid Reza Tavakkoli","doi":"10.1515/snde-2021-0067","DOIUrl":"https://doi.org/10.1515/snde-2021-0067","url":null,"abstract":"Abstract We test for real interest rate parity using data from six European countries (France, Germany, Italy, the Netherlands, Spain, and the United Kingdom), Japan, and the United States over a period of more than two centuries. Our contribution is threefold. First, we implement a wavelet-based analysis, which examines both frequency and time information contained in a time series. Second, we employ the United States, the United Kingdom, and Germany as alternative base countries in the wavelet regressions to ascertain the sensitivity of the results to the choice of the base country. Third, we test the real interest rate parity over the entire period (1800–2018) and for several non-contiguous subperiods that hold historical significance and relative importance. Three subperiods link to the three globalization waves (1870–1914, 1944–1971, and 1989–2018), and four subperiods connect to the exchange rate regimes. The wavelet-based results suggest that the validity of the real interest rate parity is scale-dependent. The specific evidence in most cases supports the parity at lower frequencies but not at higher frequencies, which is consistent with the idea that the purchasing power parity and uncovered interest parity, the two main ingredients of the real interest rate parity, are mostly valid in the long run.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43040886","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

Middle-income traps and complexity in economic development 中等收入陷阱与经济发展的复杂性

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-09-06 DOI: 10.1515/snde-2021-0100

Taka-aki Asano, Akihisa Shibata, M. Yokoo

引用次数: 2

Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data 英镑兑美元汇率的不确定性和已实现的跳跃：来自一个多世纪数据的证据

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-08-10 DOI: 10.1515/snde-2020-0083

Konstantinos Gkillas, Rangan Gupta, Dimitrios Vortelinos

{"title":"Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data","authors":"Konstantinos Gkillas, Rangan Gupta, Dimitrios Vortelinos","doi":"10.1515/snde-2020-0083","DOIUrl":"https://doi.org/10.1515/snde-2020-0083","url":null,"abstract":"Abstract We study the importance of economic uncertainty so as to predict realized jumps (hereafter jumps) in the pound-dollar exchange rate. The empirical analysis covers the time period from February 1900 to May 2018 on a monthly basis, incorporating several market states, including various booms and crashes. First, we apply a standard linear Granger causality test in order to identify causal effects from economic uncertainty to jumps. We show that the standard linear Granger causality test fails to capture such casual effects. Providing the misspecification of the linear model, we next make use of a nonparametric causality-in-quantiles test. This test allows us to take into account the substantial evidence of nonlinearity along with the structural breaks between economic uncertainty and jumps. In applying this data-driven robust procedure, we find strong evidence of uncertainty causing jumps of the dollar-pound exchange rate. These results are robust over the entire conditional distribution of jumps, exhibiting the strongest impact at the lowest conditional quantiles considered. In addition, our results are generally found to be robust to alternative measures of uncertainty, jumps generated at a daily frequency based on shorter samples of intraday data, and across three other dollar-based exchange rates.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"27 1","pages":"25 - 47"},"PeriodicalIF":0.8,"publicationDate":"2022-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45559740","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

Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects 增强已实现GARCH：符号跳跃、衰减偏差和长记忆效应的作用

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-08-10 DOI: 10.1515/snde-2020-0131

I. Papantonis, Leonidas S. Rompolis, Elias Tzavalis, Orestis Agapitos

引用次数: 1

Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution 分数驱动的多状态马尔可夫切换EGARCH：使用Meixner分布的经验证据

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-07-21 DOI: 10.1515/snde-2021-0101

Szabolcs Blazsek, M. Haddad

{"title":"Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution","authors":"Szabolcs Blazsek, M. Haddad","doi":"10.1515/snde-2021-0101","DOIUrl":"https://doi.org/10.1515/snde-2021-0101","url":null,"abstract":"Abstract In this paper, statistical and volatility forecasting performances of the non-path-dependent score-driven multi-regime Markov-switching (MS) exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models are explored. Three contributions to the existing literature are provided. First, we use all relevant score-driven distributions from the literature - namely, the Student’s t-distribution, general error distribution (GED), skewed generalized t-distribution (Skew-Gen-t), exponential generalized beta distribution of the second kind (EGB2), and normal-inverse Gaussian (NIG) distribution. We then introduce the score-driven Meixner (MXN) distribution-based EGARCH model to the literature on score-driven models. Second, proving the sufficient conditions of the asymptotic properties of the maximum likelihood (ML) estimator for non-path-dependent score-driven MS-EGARCH models is an unsolved problem. We provide a partial solution to that problem by proving necessary conditions for the asymptotic theory of the ML estimator. Third, to the best of our knowledge, this work includes the largest number of international stock indices from the G20 countries in the literature, covering the period of 2000–2022. We provide a discussion on the major events which caused common or non-common switching to the high-volatility regime for the G20 countries. The statistical performance and volatility forecasting results support the adoption of score-driven MS-EGARCH for the G20 countries.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47371848","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: 2

Clean energy consumption and economic growth in China: a time-varying analysis 中国清洁能源消费与经济增长的时变分析

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-07-15 DOI: 10.1515/snde-2020-0136

Pejman Bahramian, Andisheh Saliminezhad, Sami Fethi

{"title":"Clean energy consumption and economic growth in China: a time-varying analysis","authors":"Pejman Bahramian, Andisheh Saliminezhad, Sami Fethi","doi":"10.1515/snde-2020-0136","DOIUrl":"https://doi.org/10.1515/snde-2020-0136","url":null,"abstract":"Abstract Assessing the causal relationships between clean energy consumption and economic growth in China, a central actor in the world’s climate future, have received considerable attention among scholars. However, due to the lack of methodological rigour in the causality analysis, available literature failed to provide solid inferences on the links between the variables. Therefore, this study aims to re-examine the variables’ dynamic linkages with a more well-established approach from 1965 to 2020. We use a time-varying framework that relaxes the assumption of parameter stability, a remarkable feature that distinguishes our paper from the previous studies. Utilizing the conventional Granger causality test, we fail to detect causation between the variables. However, the evidence of substantial time variation in the causal relationships implies that the standard framework’s inference is unreliable. The findings of our time-varying analysis indicate different forms of causality flows in various subperiods. This can be a dependable reason for China to follow its enhanced carbon neutrality target safely. The results of our study also emphasize the significance of considering time-varying causality tests to avoid the risk of misleading inferences.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"27 1","pages":"299 - 313"},"PeriodicalIF":0.8,"publicationDate":"2022-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42927486","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 the nonlinear relationships between shadow economy and the three pillars of sustainable development: new evidence from panel threshold analysis 影子经济与可持续发展三大支柱的非线性关系——基于面板阈值分析的新证据

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-07-14 DOI: 10.1515/snde-2021-0099

Sami Saafi, Ridha Nouira, Nadia Assidi

{"title":"On the nonlinear relationships between shadow economy and the three pillars of sustainable development: new evidence from panel threshold analysis","authors":"Sami Saafi, Ridha Nouira, Nadia Assidi","doi":"10.1515/snde-2021-0099","DOIUrl":"https://doi.org/10.1515/snde-2021-0099","url":null,"abstract":"Abstract Most previous studies that examined the relationship between the size of shadow economy and the pillars of sustainable development maintained that this relationship is linear. This paper provides an empirical contribution to the literature by arguing that this relationship is likely to be nonlinear, and it might be subject to threshold effects. For this purpose, in addition to the static threshold panel model of Hansen (1999. “Threshold Effects in Non-dynamic Panels: Estimation, Testing, and Inference.” Journal of Econometrics 93 (2): 345–68), the dynamic panel threshold model suggested by Seo and Shin (2016. “Dynamic Panels with Threshold Effect and Endogeneity.” Journal of Econometrics 195 (2): 169–86) has been applied to a larger panel-data set covering 83 developed and developing countries over the 1996–2017 period. Empirical results from both models yield evidence advocating the existence of threshold effects of the shadow economy on the economic, social, and environmental dimensions of sustainable development for the global sample as well as the sub-samples of developed and developing countries. Moreover, for the global sample and developing countries, our findings show that shadow economy would spoil the three sustainable development pillars only when its size exceeds a certain threshold critical size. While, the impact for developed countries was found negative even for low levels of underground activities. These finding are shown to be robust to alternative proxies for the size of the shadow economy and have important policy implications, especially for developing countries. In these countries, a moderate size of the shadow economy might have positive spillovers on long-term growth and sustainable development. Our research also suggests that, for developing and developed countries to achieve sustainable goal 8.3, the extent of the shadow activities should be taken into account.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"27 1","pages":"355 - 375"},"PeriodicalIF":0.8,"publicationDate":"2022-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49218688","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

Panel data models with two threshold variables 具有两个阈值变量的面板数据模型

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-07-08 DOI: 10.1515/snde-2020-0048

Arturo Lamadrid-Contreras, N. Ramírez-Rondán

引用次数: 0