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Book part
Publication date: 24 April 2023

Lutz Kilian and Xiaoqing Zhou

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact on the macro economy. As this literature has expanded…

Abstract

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact on the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between alternative oil market models, let alone the basis for the sometimes divergent conclusions reached in the literature. The purpose of this survey is to provide a guide to this literature. Our focus is on the econometric foundations of the analysis of oil market models with special attention to the identifying assumptions and methods of inference.

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Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications
Type: Book
ISBN: 978-1-83753-212-4

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Book part
Publication date: 26 April 2014

Panayiotis F. Diamandis, Anastassios A. Drakos and Georgios P. Kouretas

The purpose of this paper is to provide an extensive review of the monetary model of exchange rate determination which is the main theoretical framework on analyzing exchange rate…

Abstract

Purpose

The purpose of this paper is to provide an extensive review of the monetary model of exchange rate determination which is the main theoretical framework on analyzing exchange rate behavior over the last 40 years. Furthermore, we test the flexible price monetarist variant and the sticky price Keynesian variant of the monetary model. We conduct our analysis employing a sample of 14 advanced economies using annual data spanning the period 1880–2012.

Design/methodology/approach

The theoretical background of the paper relies on the monetary model to the exchange rate determination. We provide a thorough econometric analysis using a battery of unit root and cointegration testing techniques. We test the price-flexible monetarist version and the sticky-price version of the model using annual data from 1880 to 2012 for a group of industrialized countries.

Findings

We provide strong evidence of the existence of a nonlinear relationship between exchange rates and fundamentals. Therefore, we model the time-varying nature of this relationship by allowing for Markov regime switches for the exchange rate regimes. Modeling exchange rates within this context can be motivated by the fact that the change in regime should be considered as a random event and not predictable. These results show that linearity is rejected in favor of an MS-VECM specification which forms statistically an adequate representation of the data. Two regimes are implied by the model; the one of the estimated regimes describes the monetary model whereas the other matches in most cases the constant coefficient model with wrong signs. Furthermore it is shown that depending on the nominal exchange rate regime in operation, the adjustment to the long run implied by the monetary model of the exchange rate determination came either from the exchange rate or from the monetary fundamentals. Moreover, based on a Regime Classification Measure, we showed that our chosen Markov-switching specification performed well in distinguishing between the two regimes for all cases. Finally, it is shown that fundamentals are not only significant within each regime but are also significant for the switches between the two regimes.

Practical implications

The results are of interest to practitioners and policy makers since understanding the evolution and determination of exchange rates is of crucial importance. Furthermore, our results are linked to forecasting performance of exchange rate models.

Originality/value

The present analysis extends previous analyses on exchange rate determination and it provides further support in favor of the monetary model as a long-run framework to understand the evolution of exchange rates.

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Macroeconomic Analysis and International Finance
Type: Book
ISBN: 978-1-78350-756-6

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Book part
Publication date: 30 November 2011

Massimo Guidolin

I review the burgeoning literature on applications of Markov regime switching models in empirical finance. In particular, distinct attention is devoted to the ability of Markov…

Abstract

I review the burgeoning literature on applications of Markov regime switching models in empirical finance. In particular, distinct attention is devoted to the ability of Markov Switching models to fit the data, filter unknown regimes and states on the basis of the data, to allow a powerful tool to test hypotheses formulated in light of financial theories, and to their forecasting performance with reference to both point and density predictions. The review covers papers concerning a multiplicity of sub-fields in financial economics, ranging from empirical analyses of stock returns, the term structure of default-free interest rates, the dynamics of exchange rates, as well as the joint process of stock and bond returns.

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Missing Data Methods: Time-Series Methods and Applications
Type: Book
ISBN: 978-1-78052-526-6

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Book part
Publication date: 21 November 2014

Alex Maynard and Dongmeng Ren

We compare the finite sample power of short- and long-horizon tests in nonlinear predictive regression models of regime switching between bull and bear markets, allowing for time…

Abstract

We compare the finite sample power of short- and long-horizon tests in nonlinear predictive regression models of regime switching between bull and bear markets, allowing for time varying transition probabilities. As a point of reference, we also provide a similar comparison in a linear predictive regression model without regime switching. Overall, our results do not support the contention of higher power in longer horizon tests in either the linear or nonlinear regime switching models. Nonetheless, it is possible that other plausible nonlinear models provide stronger justification for long-horizon tests.

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Essays in Honor of Peter C. B. Phillips
Type: Book
ISBN: 978-1-78441-183-1

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Book part
Publication date: 15 April 2020

Alexander Chudik, M. Hashem Pesaran and Kamiar Mohaddes

This chapter contributes to the growing global VAR (GVAR) literature by showing how global and national shocks can be identified within a GVAR framework. The usefulness of the…

Abstract

This chapter contributes to the growing global VAR (GVAR) literature by showing how global and national shocks can be identified within a GVAR framework. The usefulness of the proposed approach is illustrated in an application to the analysis of the interactions between public debt and real output growth in a multicountry setting, and the results are compared to those obtained from standard single country VAR analysis. We find that on average (across countries) global shocks explain about one-third of the long-horizon forecast error variance of output growth, and about one-fifth of the long-run variance of the rate of change of debt-to-GDP. Evidence on the degree of cross-sectional dependence in these variables and their innovations are exploited to identify the global shocks, and priors are used to identify the national shocks within a Bayesian framework. It is found that posterior median debt elasticity with respect to output is much larger when the rise in output is due to a fiscal policy shock, as compared to when the rise in output is due to a positive technology shock. The cross-country average of the median debt elasticity is 1.45 when the rise in output is due to a fiscal expansion as compared to 0.76 when the rise in output follows from a favorable output shock.

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Book part
Publication date: 9 October 2019

Linda Chisholm

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Teacher Preparation in South Africa
Type: Book
ISBN: 978-1-78743-694-7

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Book part
Publication date: 6 August 2018

Ashley Sanders-Jackson, Christopher Clemens and Kristen Wozniak

Purpose: Lesbian, gay, and bisexual (LGB) young adults smoke at rates much higher than the general population. Young adults, in general, are less likely to seek medical help for

Abstract

Purpose: Lesbian, gay, and bisexual (LGB) young adults smoke at rates much higher than the general population. Young adults, in general, are less likely to seek medical help for smoking cessation and LGB individuals are less likely to seek health care generally. Alternative methods to encourage smoking cessation are necessary. This research seeks to establish whether LGB young adults in California would be willing to use social media for smoking cessation.

Approach: We conducted 41 qualitative interviews among LGB young adults in the San Francisco Bay Area and Los Angeles in Fall 2014.

Findings: The results suggest that our participants were interested in a LGB-focused social media intervention, as long as the intervention was private or anonymous and moderated. Further, across topical areas our participants spoke extensively about the import of social connections. We may be able to leverage these connections to encourage cessation.

Research Limitations: This is a qualitative, non-generalizable dataset from a fairly limited geographic area.

Public Health Implications: Online smoking cessation interventions aimed at young adults would benefit from further testing with LGB young adults to ensure efficacy among this population. In addition, states and localities concerned about young adult LGB smoking might benefit from investing in an online socially mediated cessation forum. Online interventions could be scalable and might be useful for other groups who regularly face discrimination, stigma, or other stressors that make successful smoking cessation difficult.

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eHealth: Current Evidence, Promises, Perils and Future Directions
Type: Book
ISBN: 978-1-78754-322-5

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Book part
Publication date: 30 November 2011

Massimo Guidolin

I survey applications of Markov switching models to the asset pricing and portfolio choice literatures. In particular, I discuss the potential that Markov switching models have to…

Abstract

I survey applications of Markov switching models to the asset pricing and portfolio choice literatures. In particular, I discuss the potential that Markov switching models have to fit financial time series and at the same time provide powerful tools to test hypotheses formulated in the light of financial theories, and to generate positive economic value, as measured by risk-adjusted performances, in dynamic asset allocation applications. The chapter also reviews the role of Markov switching dynamics in modern asset pricing models in which the no-arbitrage principle is used to characterize the properties of the fundamental pricing measure in the presence of regimes.

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Missing Data Methods: Time-Series Methods and Applications
Type: Book
ISBN: 978-1-78052-526-6

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Article
Publication date: 1 June 1924

WITH this issue we are commencing the twenty‐seventh year of our career as an independent Library Journal and trust that we shall carry on the tradition of our illustrious founder…

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WITH this issue we are commencing the twenty‐seventh year of our career as an independent Library Journal and trust that we shall carry on the tradition of our illustrious founder and continue to criticise or praise without fear or favour. During the past twelve months our editorial staff has successfully produced special numbers dealing with Bookbinding, Book Selection, Children's Departments, Classification, and Colonial Libraries. Judging by the correspondence we have received, our efforts have been greatly appreciated by the majority of our readers. Naturally we have not pleased everybody and we have even been dubbed the “little contemporary” in some quarters. However, we can point to an unbroken record of twenty‐six years' endeavour to serve the library profession and we ourselves are justly proud of the contemptible “little contemporary” that did not cease to appear even during the darkest hours of the dread war period.

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New Library World, vol. 27 no. 1
Type: Research Article
ISSN: 0307-4803

Available. Content available

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IDeaLs (Innovation and Design as Leadership)
Type: Book
ISBN: 978-1-80071-834-0

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