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    Wyświetlanie 1-7 z 7
    Tytuł:
    Poland–USA sectoral trade balances: regime shifts and the nonlinear impact of currency fluctuations
    Autorzy:
    Pruchnicka-Grabias, Izabela
    Piekunko-Mantiuk, Iwona
    Hegerty, Scott W.
    Powiązania:
    https://bibliotekanauki.pl/articles/40433428.pdf
    Data publikacji:
    2024-03-15
    Wydawca:
    Akademia Leona Koźmińskiego w Warszawie
    Tematy:
    Trade balances
    USA
    Polska
    Cointegration
    Structural breaks
    Opis:
    Purpose – The Polish economy has undergone major challenges and changes over the past few decades. The country’s trade flows, in particular, have become more firmly tied to the country’s Western neighbors as they have grown in volume. This study examines Poland’s trade balances in ten Standard International Trade Classification (SITC) sectors versus the United States of America, first testing for and isolating structural breaks in each time series. These breaks are then included in a set of the cointegration models to examine their macroeconomic determinants. Design/methodology/approach – Linear and nonlinear and nonlinear autoregressive distributed lag models, both with and without dummies corresponding to structural breaks, are estimated. Findings – One key finding is that incorporating these breaks reduces the significance of the real exchange rate in the model, supporting the hypothesis that this variable already incorporates important information. It also results in weaker evidence for cointegration of all variables in certain sectors. Research limitations/implications – This study looks only at one pair of countries, without any third-country effects. Originality/value – An important country pair’s trade relations is examined; in addition, the real exchange rate is shown to incorporate economic information that results in structural changes in the economy. The paper extends the existing literature by conducting an analysis of Poland’s trade balances with the USA, which have not been studied in such a context so far. A strong point is a broad methodology that lets compare the results the authors obtained with different kinds of models, both linear and nonlinear ones, with and without structural breaks.
    Źródło:
    Central European Management Journal; 2024, 32, 1; 116-133
    2658-0845
    2658-2430
    Pojawia się w:
    Central European Management Journal
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    The Cointegrated VAR Model with Deterministic Structural Breaks
    Autorzy:
    Gosińska, Emilia
    Welfe, Aleksander
    Powiązania:
    https://bibliotekanauki.pl/articles/2119887.pdf
    Data publikacji:
    2022
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    structural breaks
    cointegrated VAR
    WALD test
    hypothesis testing
    Opis:
    The presence of a binary variable in the cointegrated VAR (CVAR) model is most often interpreted as the structural break affecting the data generating process. It is proved in the paper that to enjoy this interpretation the binary variable must appear simultaneously inside and outside the cointegration space. In order to test for the break we advocate to employ the Wald statistic, however, its critical values and the power had to be simulated separately for the possible change of the constant, the trend, and both. The experiments were designed for different sizes of the cointegrating space, number of variables, the span of the break, normally and t-distributed errors. It is shown that the power of the test depends mostly on the magnitude of the break and the sample size while other factors are of secondary importance. In order to test for the break at unknown period the supWald statistic was proposed.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2022, 3; 335-350
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Time-series dynamics of Baltic trade flows: Structural breaks, regime shifts, and exchange-rate volatility
    Autorzy:
    Hegerty, Scott W.
    Powiązania:
    https://bibliotekanauki.pl/articles/2054532.pdf
    Data publikacji:
    2022
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Baltics
    Structural breaks
    Time series
    Trade flows
    Opis:
    Aim/purpose – In the decades since their reintegration with the West, the small open economies of Estonia, Latvia, and Lithuania have seen their trade flows grow substantially. While the mix of trade partners has evolved over time, the region has been affected by various political and economic shocks. This study examines the bilateral trade balances between the Baltic countries and nine partners to investigate whether there have been structural breaks due to political or economic events. Because these events may have been “priced into” exchange rates or increased these rates’ volatility, connections between these variables and trade balances are also considered. Design/methodology/approach – Monthly data beginning in 1994 are taken from the International Monetary Fund’s Direction of Trade Statistics [DOTS]. Trade partners include the Nordic countries of Finland, Sweden, and Norway, as well as Poland, Russia, and the United States and country groupings such as the CIS, Advanced Economies, and the World. Ratios of the export and import values are used to create bilateral trade balances. The Bai–Perron (1998) structural break test is then used to identify “break points” that can classify time periods into regimes. Baltic nominal and real effective exchange rates, both in log changes and as a GARCH-based volatility measure, show whether regimes correspond to competitiveness or risk. Correlations are calculated to show links between bilateral trade balances and real exchange rates. Findings – Each trade balance has at least one structural break; many have more. In fewer than half of the cases do these correspond to specific events such as EU accession or the Global Financial Crisis. Trade with Russia has decreased, particularly for Estonia and Latvia. But many partners with historical ties, such as Estonia-Finland, Latvia-Sweden, and Lithuania-Poland have more breaks than do other partners (such as Estonia-Poland). Structural breaks in real exchange-rate returns and volatility do not match those of trade balances, and correlations between returns and trade balances are low. Research implications/limitations – These findings open the door to future research on the macroeconomic and cultural/historical factors behind these trade linkages and any changes in regimes. However, no structural determinants have yet been estimated. Originality/value/contribution – This study isolates changes in trade regimes, which can be further explained by specific events or particular dates. It also shows that variance has changed as well as the mean, but this differs by country and by the partner.
    Źródło:
    Journal of Economics and Management; 2022, 44; 96-118
    1732-1948
    Pojawia się w:
    Journal of Economics and Management
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Asymmetric Response to Oil Price and Dynamic Covariation between Exchange Rate and Stock Price: Evidence from China
    Autorzy:
    Ahmed, Nazeer
    Dingchou, Ma
    Onodje, Patrick
    Powiązania:
    https://bibliotekanauki.pl/articles/1193400.pdf
    Data publikacji:
    2021
    Wydawca:
    Przedsiębiorstwo Wydawnictw Naukowych Darwin / Scientific Publishing House DARWIN
    Tematy:
    Asymmetric Effects
    MGARCH
    NARDL
    Spillover effects
    Structural Breaks
    Opis:
    This paper's purpose is to test for asymmetry in the effect of oil price on China's exchange rate and stock price in the presence of structural breaks. It also sought to examine if dynamic covariation and volatility spillover exists between the exchange rate and stock price. We utilized weekly time series data on Brent and WTI prices, the USD-RMB exchange rate, and Shanghai composite index ranging from 2005-07-19 to 2020-09-22. We applied the Nonlinear ARDL for asymmetry tests and the BEKK-GARCH and DCC-GARCH for volatility spilloever analysis. Our methodology also accounts for possible breaks in the time paths of exchange rate and stock price that are likely to influence cointegration. The results show that oil price has asymmetric effects on exchange rate in the long-run only and on stock price in the short-run only. We also find that oil price cointegrates significantly with exchange rate and stock price only when structural breaks in the data are accounted for. The multivariate GARCH analyses provide no evidence of spillovers between exchange rate and stock prices but the DCC estimates showed evidence of dynamic correlation between both. Although several other studies have researched the nexus among the three variables for China, none, to the best of our knowledge, has explicitly tested for short-run and long-run asymmetries in the effect of oil price on exchange rate and stock market jointly. The paper's main contribution is the evaluation of asymmetry in oil price's effects on both markets vis-à-vis the theory while accounting for structural breaks.
    Źródło:
    World Scientific News; 2021, 156; 62-86
    2392-2192
    Pojawia się w:
    World Scientific News
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Structural breaks in natural gas consumption and economic growth in Nigeria: evidence from new time series tests that allow for structural breaks
    Autorzy:
    Galadima, Mukhtar Danladi
    Aminu, Abubakar Wambai
    Powiązania:
    https://bibliotekanauki.pl/articles/1375514.pdf
    Data publikacji:
    2019
    Wydawca:
    Międzynarodowy Instytut Innowacji Nauka – Edukacja – Rozwój w Warszawie
    Tematy:
    Structural Breaks
    Structural Breaks Testing
    Estimation with Breaks
    Natural Gas Consumption
    Economic Growth
    Nigeria
    Opis:
    This paper analyzed the issue of structural breaks in natural gas consumption and economic growth in Nigeria. The newly residual augmented least squares (RALS-LM) unit root test with breaks also known as “RALS-LM test with trend breaks and non-normal errors” proposed by Meng-Lee-Payne (2017) and the new structural breaks testing proposed by Kejriwal–Perron (2010) are among the tools used for the investigation. Our empirical findings provide significant evidence that the series of natural gas consumption and economic growth are stationary with one or two trend breaks. Furthermore, the investigation identified significant incidences of structural breaks in the relationship between natural gas consumption and economic growth in 1990, 2004, 2009 and all the break dates were found to be significant. The evaluation of the sub-sample periods based on the break dates revealed that the first and second breaks are potential while the last is destructive. Moreover, the estimate of the long-run elasticity is significant where a 1% increase in natural gas consumption induces the growth of Nigerian economy by 0.15% and all the dummies that represent the breakpoints are also significant where the 2004 break had a bigger effect among other breaks. The implication of the results is that shocks in the series of natural gas consumption and economic growth in Nigeria have transitory effect, modeling the relationship between natural gas consumption and economic growth in Nigeria without taking structural breaks into consideration could produce biased and unreliable statistical results, and there is economically significant dependence of the Nigerian economy on natural gas consumption.
    Źródło:
    International Journal of New Economics and Social Sciences; 2019, 9(1); 273-290
    2450-2146
    2451-1064
    Pojawia się w:
    International Journal of New Economics and Social Sciences
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Is There A Stable Long-run Relationship Between Unemployment And Productivity? / Czy Istnieje Stabilny Długookresowy Związek Między Bezrobociem A Produktywnością?
    Autorzy:
    Jalles, João Tovar
    Powiązania:
    https://bibliotekanauki.pl/articles/632945.pdf
    Data publikacji:
    2015-06-01
    Wydawca:
    Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
    Tematy:
    stationarity
    structural breaks
    cointegration
    DOLS
    Granger causality
    stacjonarność
    załamania strukturalne
    kointegracja
    przyczynowość w sensie Grangera
    Opis:
    This paper assesses whether productivity and unemployment have a stable long-run relationship. We explore a panel of 19 OECD countries between 1970 and 2012 and rely on recently developed time series econometric methods. Our findings suggest that unemployment and productivity are non-stationary in levels and in many individual cases these series are cointegrated, even after accounting for possible structural breaks. For many individual countries the long-run effect seems to be generally positive. There is also evidence of two-way causality, but the stronger directional relationship runs from unemployment to productivity.
    Artykuł jest próbą ustalenia czy istnieje stabilny długookresowy związek między produktywnością a bezrobociem, Badania obejmują dane dotyczące 19 państw OECD, pochodzące z lat 1970-2012 i są oparte o najnowsze ekonometryczne metody analizy szeregów czasowych. Wyniki badań wskazują, że poziomy bezrobocia i produktywności cechują się niestacjonarnością a w licznych indywidualnych przypadkach szeregi te są skointegrowane, nawet po uwzględnieniu możliwych załamań strukturalnych. W przypadku wielu indywidualnych państw efekty długoterminowe wydają się być generalnie pozytywne. Istnieją również dowody występowania przyczynowości dwukierunkowej, ale silniejszy ukierunkowany związek zachodzi między bezrobociem a produktywnością.
    Źródło:
    Comparative Economic Research. Central and Eastern Europe; 2015, 18, 2; 57-75
    1508-2008
    2082-6737
    Pojawia się w:
    Comparative Economic Research. Central and Eastern Europe
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    SELECTED TECHNIQUES OF DETECTING STRUCTURAL BREAKS IN FINANCIAL VOLATILITY
    Autorzy:
    Stawiarski, Bartosz
    Powiązania:
    https://bibliotekanauki.pl/articles/599704.pdf
    Data publikacji:
    2015
    Wydawca:
    Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
    Tematy:
    volatility
    structural breaks
    financial time series
    logarithmic returns
    Threshold-GARCH model
    Opis:
    We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng’s algorithm is carried out via numerical simulation in the case of simulated T-GARCH models and two real series, namely German and US stock indices. Simulations show that the NPCPM algorithm is superior to ICSS because is not over-sensitive either to heavy tails of market returns or to their serial dependence. Some signals generated by ICSS are falsely classified as structural breaks in volatility, while Cheng’s technique works well only when a single break occurs.
    Źródło:
    Finansowy Kwartalnik Internetowy e-Finanse; 2015, 11, 1; 32-43
    1734-039X
    Pojawia się w:
    Finansowy Kwartalnik Internetowy e-Finanse
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-7 z 7

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