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Shocks And Structural Breaks
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Book Synopsis Shocks and Structural Breaks by : Mr.Eswar Prasad
Download or read book Shocks and Structural Breaks written by Mr.Eswar Prasad and published by International Monetary Fund. This book was released on 1994-11 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the effects of the labor market reforms launched in the early 1980s by the Conservative government led by Mrs. Thatcher. It is argued that the increase in the growth of labor productivity in manufacturing after 1980 as well as the improvement in the responsiveness of employment to variations in output can be largely attributed to the success of the reforms in reducing industrial disputes and removing a number of structural impediments in the labor market. However, the reforms did not succeed in moderating real wage growth or improving the tradeoff between wage inflation and unemployment. This is attributed to certain aspects of the wage bargaining system and the influence of relative wage norms in the process of wage determination.
Book Synopsis Common Trends and Shocks to Top Incomes by : Jesper Roine
Download or read book Common Trends and Shocks to Top Incomes written by Jesper Roine and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Technology Shocks, Structural Breaks and the Effects On the Business Cycle by : Vincenzo Atella
Download or read book Technology Shocks, Structural Breaks and the Effects On the Business Cycle written by Vincenzo Atella and published by . This book was released on 2014 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper contributes to the literature on the role of technology shocks as source of the business cycle in two ways. First, we document that time-series of US productivity and hours are apparently affected by a structural break in the late 60's, which is likely due to a major change in the monetary policy. Second, we show that the importance of demand shocks over the business cycle has sharply increased after the break.
Book Synopsis Structural Breaks in Stock Returns Driven by Large Shocks by : Yiannis Dendramis
Download or read book Structural Breaks in Stock Returns Driven by Large Shocks written by Yiannis Dendramis and published by . This book was released on 2013 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper employes a parametric model of structural breaks in the mean of stock returns which allows them to be endogenously driven by large positive or negative stock market return shocks. These shocks can be taken to reflect important market announcements, monetary policy regime shifts and/or changes in business conditions which affect stock market. The model assumes that both the timing and size of breaks are stochastic. The last property of the model distinguishes it from models suggested in the literature to capture structural breaks or regime shifts in the mean of stock returns. Implementation of the model to the US stock market indicates that the model can successfully capture structural breaks in the mean of the aggregate return of this market. Most of these breaks are triggered by negative large return shocks. The latter can be of smaller magnitude that the positive ones. Finally, the paper shows that the model can be employed to successfully forecast future expected stock returns.
Book Synopsis Structural Breaks in an Endogenous Growth Model by : Timothy Cogley
Download or read book Structural Breaks in an Endogenous Growth Model written by Timothy Cogley and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the effects of parameter uncertainty prompted by structural breaks. In our model, agents respond differently to uncertainty prompted by regime shifts in shock processes than they react to comparable perceived increases in shock volatility. The magnitude of the response to an increase in uncertainty about TFP associated with a structural break is greater than that of a response to a comparable perceived rise in volatility. This is because lifetime utility varies more when shocks shift beliefs and perceived wealth.
Book Synopsis Testing for Structural Breaks in Dynamic Factor Models by : Jörg Breitung
Download or read book Testing for Structural Breaks in Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2016 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks. It is shown that structural breaks severely inflate the number of factors identified by the usual information criteria. Based on the strict factor model the hypothesis of a structural break is tested by using Likelihood-Ratio, Lagrange-Multiplier and Wald statistics. The LM test which is shown to perform best in our Monte Carlo simulations, is generalized to factor models where the common factors and idiosyncratic components are serially correlated. We also apply the suggested test procedure to a US dataset used in Stock and Watson (2005) and a euro-area dataset described in Altissimo et al. (2007). We find evidence that the beginning of the so-called Great Moderation in the US as well as the Maastricht treaty and the handover of monetary policy from the European national central banks to the ECB coincide with structural breaks in the factor loadings. Ignoring these breaks may yield misleading results if the empirical analysis focuses on the interpretation of common factors or on the transmission of common shocks to the variables of interest.
Book Synopsis Unit Roots and Structural Breaks by : Pierre Perron
Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by MDPI. This book was released on 2018-04-13 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Book Synopsis Learning and Expectations in Macroeconomics by : George W. Evans
Download or read book Learning and Expectations in Macroeconomics written by George W. Evans and published by Princeton University Press. This book was released on 2012-01-06 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: A crucial challenge for economists is figuring out how people interpret the world and form expectations that will likely influence their economic activity. Inflation, asset prices, exchange rates, investment, and consumption are just some of the economic variables that are largely explained by expectations. Here George Evans and Seppo Honkapohja bring new explanatory power to a variety of expectation formation models by focusing on the learning factor. Whereas the rational expectations paradigm offers the prevailing method to determining expectations, it assumes very theoretical knowledge on the part of economic actors. Evans and Honkapohja contribute to a growing body of research positing that households and firms learn by making forecasts using observed data, updating their forecast rules over time in response to errors. This book is the first systematic development of the new statistical learning approach. Depending on the particular economic structure, the economy may converge to a standard rational-expectations or a "rational bubble" solution, or exhibit persistent learning dynamics. The learning approach also provides tools to assess the importance of new models with expectational indeterminacy, in which expectations are an independent cause of macroeconomic fluctuations. Moreover, learning dynamics provide a theory for the evolution of expectations and selection between alternative equilibria, with implications for business cycles, asset price volatility, and policy. This book provides an authoritative treatment of this emerging field, developing the analytical techniques in detail and using them to synthesize and extend existing research.
Book Synopsis Shocks and Structural Breaks by : Mr.Eswar Prasad
Download or read book Shocks and Structural Breaks written by Mr.Eswar Prasad and published by International Monetary Fund. This book was released on 1994-11-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the effects of the labor market reforms launched in the early 1980s by the Conservative government led by Mrs. Thatcher. It is argued that the increase in the growth of labor productivity in manufacturing after 1980 as well as the improvement in the responsiveness of employment to variations in output can be largely attributed to the success of the reforms in reducing industrial disputes and removing a number of structural impediments in the labor market. However, the reforms did not succeed in moderating real wage growth or improving the tradeoff between wage inflation and unemployment. This is attributed to certain aspects of the wage bargaining system and the influence of relative wage norms in the process of wage determination.
Book Synopsis Structural Breaks and Long-run Trends in Commodity Prices by : Javier León
Download or read book Structural Breaks and Long-run Trends in Commodity Prices written by Javier León and published by World Bank Publications. This book was released on 1995 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Trends and Structural Breaks in the Intensity of Metals Use by : Stephen Labson
Download or read book Stochastic Trends and Structural Breaks in the Intensity of Metals Use written by Stephen Labson and published by . This book was released on 2016 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research examines whether external shocks have a persistent affect on the relationship between metals demand and economic activity, or if there is a long term stationary relationship between the two variables - commonly called the intensity of metals demand.
Book Synopsis Econometrics of Structural Change by : Walter Krämer
Download or read book Econometrics of Structural Change written by Walter Krämer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t
Book Synopsis Social and Structural Change by : Karl Heinrich Oppenländer
Download or read book Social and Structural Change written by Karl Heinrich Oppenländer and published by Routledge. This book was released on 2019-01-04 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1998, this wide-ranging and in-depth volume from specialists in economics and statistics examines leading indicators, the timing of cyclical turning points, firm behaviour, financial indicators, economic policy recommendations, transition economies and the service sector in relation to Finland’s bid for European Monetary Union membership.
Book Synopsis Structural Breaks and Long-Run Trends in Commodity Prices by : Javier Leon
Download or read book Structural Breaks and Long-Run Trends in Commodity Prices written by Javier Leon and published by . This book was released on 2016 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time-series techniques that control for the presence of structural breaks reveal that the international price of most commodities presents a negative long-run trend for 1900-92. They also show that shocks are far less persistent than previously estimated. Both findings suggest that there may be important welfare gains from stabilization mechanisms such as commodity funds.
Book Synopsis Structural Change and External Shocks by : Lars Bergman
Download or read book Structural Change and External Shocks written by Lars Bergman and published by . This book was released on 1983 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Robustness Tests for Quantitative Research by : Eric Neumayer
Download or read book Robustness Tests for Quantitative Research written by Eric Neumayer and published by Cambridge University Press. This book was released on 2017-08-11 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: The uncertainty that researchers face in specifying their estimation model threatens the validity of their inferences. In regression analyses of observational data, the 'true model' remains unknown, and researchers face a choice between plausible alternative specifications. Robustness testing allows researchers to explore the stability of their main estimates to plausible variations in model specifications. This highly accessible book presents the logic of robustness testing, provides an operational definition of robustness that can be applied in all quantitative research, and introduces readers to diverse types of robustness tests. Focusing on each dimension of model uncertainty in separate chapters, the authors provide a systematic overview of existing tests and develop many new ones. Whether it be uncertainty about the population or sample, measurement, the set of explanatory variables and their functional form, causal or temporal heterogeneity, or effect dynamics or spatial dependence, this book provides guidance and offers tests that researchers from across the social sciences can employ in their own research.
Book Synopsis Unit Root Tests and Structural Breaks by : Paramsothy Silvapulle
Download or read book Unit Root Tests and Structural Breaks written by Paramsothy Silvapulle and published by . This book was released on 1995 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
