Search results for "Structural break"
showing 10 items of 15 documents
Testing for external sustainability under a monetary integration process. Does the Lawson doctrine apply to Europe?
2015
Monetary integration, and more specifically, the creation of a monetary union in Europe, raises new economic questions concerning its functioning and governance. In particular, we focus on the implications of high and persistent current account deficits for the economic performance of monetary union members in the medium term. Recent literature has argued that conventional measures of external sustainability are misleading because they omit the effects of capital variations on net foreign asset positions due to, among others, stock or debt market crises. In this paper we revisit external sustainability making use of the database developed by Lane and Milesi-Ferretti (2007) that includes the…
New Evidence of the Real Interest Rate Parity for OECD Countries Using Panel Unit Root Tests with Breaks
2006
This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence of multiple structural breaks. Our results strongly support the fulfillment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.
A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change
2006
Abstract This paper examines whether there is a long‐run stable equilibrium relationship between advertising and sales across the market segments of the UK car industry over the period 1971–2001. In order to achieve this goal, we allow for structural breaks in the series using cointegration techniques. The results show the existence of long‐run equilibrium relationships in all six market segments, although in four of them the relationship is not stable. In general, one structural change is detected in the late 1970s and another in the early 1990s, coinciding with two economic recessions. When we do not account for structural changes, the estimated long‐run elasticities of advertising on sal…
50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle
2021
AbstractThis paper assesses capital mobility for the Eurozone countries by studying the long-run relationship between domestic investment and savings for the period 1970-2019. Our main goal is to analyze the impact of economic events on capital mobility during this period. We apply the cointegration methodology in a setting that allows us to identify endogenous breaks in the long-run saving-investment relationship. Precisely, the breaks coincide with relevant economic events. We find a downward trend in the saving-investment retention since the 70s for the so-called “core countries”, whereas this trend is not so evident in the peripheral, where the financial and sovereign crises have had a …
Differential Effect on the Determinants of the Late Payments According to the Economic Cycle
2018
From 2004 to 2007, the Spanish financial system grew at a very rapid rate. However, from 2008 to 2012 impairment losses amounted equivalent to 25% of Spanish GDP.The objective of this paper is investigate how have affected the main problems that have suffered the Spanish economy on the late payments on Spanish credit institutions. And to check whether the effect of these problems is different on stages of growth with respect to the stages of crisis.The main results, according the test Chow, confirmed that there is a structural break in the model in 2007. Also the increase in unemployment increases the late payments and this increase is greater in the stages of growth compared to the stage…
The euro impact on trade. Long run evidence with structural breaks
2012
In this paper we present new evidence on the euro effect on trade. We use a data set containing all bilateral combinations in a panel of 26 OECD countries during the period 1967-2008. From a methodological point of view, we implement a new generation of tests that allow solving some of the problems derived from the non-stationary nature of the data. To this aim we apply panel tests that account for the presence of cross-section dependence as well as discontinuities in the non-stationary panel data. We test for cointegration between the variables using panel cointegration tests, especially the ones proposed by Banerjee and Carrióni- Silvestre (2010). We also efficiently estimate the long-run…
Unemployment Hysteresis in Transition Countries: Evidence using Stationarity Panel Tests with Breaks
2008
The authors test hysteresis versus the natural rate hypothesis in unemployment using panel data for transition countries covering the period 1991:1–2003:11.The advantages of the stationarity tests applied is that they exploit the cross-section variations of the series and, additionally, allow for a different number of endogenous breakpoints in the unemployment series. They do not impose independence on the panel members, so that the critical values are simulated based on their specific panel sizes and time periods. The findings stress the importance of accounting for exogenous shocks in the series and give support to the shifting natural-rate hypothesis of unemployment for all the countries…
Is the ‘euro effect’ on trade so small after all? New evidence using gravity equations with panel cointegration techniques
2014
In this paper we present new evidence on the aggregate effect of the euro on trade using data for 26 OECD countries for the period 1967–2008. We strive to fill the gaps present in the previous literature through a second-generation panel cointegration tests and estimators that account for both cross-section dependence in the data and discontinuities in the deterministic and the cointegrating vector in the time dimension. This approach allows us to put the adoption of the euro by EMU members in historical perspective. We argue that the creation of the EMU is best interpreted as a progression of policy changes. Once we control for all of them the euro effect decreases considerably but is stil…
Global imbalances and the intertemporal external budget constraint: A multicointegration approach
2013
Abstract This paper analyzes the external solvency of a group of 23 OECD countries for the period 1970–2012. The empirical strategy adopted underlines the increasing importance of the financial channel for the external adjustment as proposed in Gourinchas and Rey (2007) . We unify the traditional approaches to testing for external sustainability considering the stock-flow system created by the variables representing the external relationships of an open economy. External sustainability is tested using several types of cointegration and multicointegration tests. The results obtained point to weak sustainability in the flows analysis, whereas some degree of strong sustainability is found for …
Trade Openness and Income: A Tale of Two Regions
2015
In this article we present evidence of the long-run effect of trade openness on income per worker for two regions that have followed different liberalization strategies, namely Asia and Latin America. A model that re-examines these questions is estimated for two panels of Asian and Latin American countries over the 1980-2008 period using a novel empirical approach that accounts for endogeneity as well as for the time series properties of the variables involved. From an econometric point of view, we apply recent panel cointegration techniques based on factor models that account for two additional elements usually neglected in previous empirical literature: cross-dependence and structural bre…