Abstract We propose a structural representation of the correlated unobserved components model, which allows for a structural interpretation of the interactions between trend and cycle shocks. We show that point identification of the full contemporaneous matrix which governs the structural interaction between trends and cycles can be achieved via heteroskedasticity. We develop an efficient Bayesian estimation procedure that breaks the multivariate problem into a recursion of univariate ones. An empirical implementation for the US Phillips curve shows that our model is able to identify the magnitude and direction of spillovers of the trend and cycle components both within-series and between-series.
{"title":"Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity","authors":"Mengheng Li, Ivan Mendieta‐Muñoz","doi":"10.1515/snde-2020-0027","DOIUrl":"https://doi.org/10.1515/snde-2020-0027","url":null,"abstract":"Abstract We propose a structural representation of the correlated unobserved components model, which allows for a structural interpretation of the interactions between trend and cycle shocks. We show that point identification of the full contemporaneous matrix which governs the structural interaction between trends and cycles can be achieved via heteroskedasticity. We develop an efficient Bayesian estimation procedure that breaks the multivariate problem into a recursion of univariate ones. An empirical implementation for the US Phillips curve shows that our model is able to identify the magnitude and direction of spillovers of the trend and cycle components both within-series and between-series.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"337 - 359"},"PeriodicalIF":0.8,"publicationDate":"2021-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2020-0027","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48872118","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}
Pub Date : 2021-06-01DOI: 10.1515/snde-2021-frontmatter3
{"title":"Frontmatter","authors":"","doi":"10.1515/snde-2021-frontmatter3","DOIUrl":"https://doi.org/10.1515/snde-2021-frontmatter3","url":null,"abstract":"","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2021-frontmatter3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48142645","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}
Abstract This study analyzes the co-integration relationship between sovereign bonds and credit default swaps (CDS) and then examines the impact of CDS-bond deviation from the relationship on market volatility using the Markov-switching approach. Our empirical sample consists of the daily CDS premium and bond yield spread obtained with the DataStream database for the period from 2008 to 2014. Our empirical results show that the absolute value of the CDS-bond deviation is positively related to the probability of a high volatility regime and negatively related to the probability of a low volatility regime. This result implies a positive association between the CDS-bond deviation and the volatility in the CDS-bond market. Our findings are consistent across mature-market and emerging-market countries. Moreover, the evidence we uncover suggests that the practice of managing default risk of bonds via the use of CDS may increase the interest rate risk of the bond, which implies both wins and woes from the introduction of CDS, particularly for mature-market countries.
{"title":"The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks?","authors":"Leon Li, F. Scrimgeour","doi":"10.1515/snde-2019-0141","DOIUrl":"https://doi.org/10.1515/snde-2019-0141","url":null,"abstract":"Abstract This study analyzes the co-integration relationship between sovereign bonds and credit default swaps (CDS) and then examines the impact of CDS-bond deviation from the relationship on market volatility using the Markov-switching approach. Our empirical sample consists of the daily CDS premium and bond yield spread obtained with the DataStream database for the period from 2008 to 2014. Our empirical results show that the absolute value of the CDS-bond deviation is positively related to the probability of a high volatility regime and negatively related to the probability of a low volatility regime. This result implies a positive association between the CDS-bond deviation and the volatility in the CDS-bond market. Our findings are consistent across mature-market and emerging-market countries. Moreover, the evidence we uncover suggests that the practice of managing default risk of bonds via the use of CDS may increase the interest rate risk of the bond, which implies both wins and woes from the introduction of CDS, particularly for mature-market countries.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"475 - 497"},"PeriodicalIF":0.8,"publicationDate":"2021-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2019-0141","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47806188","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}
Abstract A new class of multivariate nonlinear quasi-vector autoregressive (QVAR) models is introduced. It is a Markov switching score-driven model with stochastic seasonality for the multivariate t-distribution (MS-Seasonal-t-QVAR). As an extension, we allow for the possibility of having common-trends and nonlinear co-integration. Score-driven nonlinear updates of local level and seasonality are used, which are robust to outliers within each regime. We show that VAR integrated moving average (VARIMA) type filters are special cases of QVAR filters. Using exclusion, sign, and elasticity identification restrictions in MS-Seasonal-t-QVAR with common-trends, we provide short-run and long-run impulse response functions for the global crude oil market.
{"title":"Multivariate Markov-switching score-driven models: an application to the global crude oil market","authors":"Szabolcs Blazsek, A. Escribano, Adrián Licht","doi":"10.1515/snde-2020-0099","DOIUrl":"https://doi.org/10.1515/snde-2020-0099","url":null,"abstract":"Abstract A new class of multivariate nonlinear quasi-vector autoregressive (QVAR) models is introduced. It is a Markov switching score-driven model with stochastic seasonality for the multivariate t-distribution (MS-Seasonal-t-QVAR). As an extension, we allow for the possibility of having common-trends and nonlinear co-integration. Score-driven nonlinear updates of local level and seasonality are used, which are robust to outliers within each regime. We show that VAR integrated moving average (VARIMA) type filters are special cases of QVAR filters. Using exclusion, sign, and elasticity identification restrictions in MS-Seasonal-t-QVAR with common-trends, we provide short-run and long-run impulse response functions for the global crude oil market.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"313 - 335"},"PeriodicalIF":0.8,"publicationDate":"2021-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2020-0099","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42092780","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}
Abstract The Federal Reserve responded to the great financial crisis deploying new monetary policy tools, the most notable of which being the expansion of its balance sheet. In a recent paper, Weale, M., and T. Wieladek. 2016. “What Are the Macroeconomic Effects of Asset Purchases?” Journal of Monetary Economics 79 (C): 81–93 show that the asset purchases were effective in stimulating economic activity as well as inflation and asset prices. Here I show that their results are state dependent: large scale asset purchase are effective only when financial markets are impaired. Financial markets are under stress when the effective risk-bearing capacity of the financial sector is drastically reduced, i.e. when the excess bond premium (EBP) of Gilchrist, S., and E. Zakrajšek. 2012. “Credit Spreads and Business Cycle Fluctuations.” The American Economic Review 102 (4): 1692–72 exceed a certain threshold. Using an estimated threshold vector autoregressive model conditional on the EBP regime, I show that an increase in the balance sheet has expansionary effects on GDP and inflation when EBP is high, but not when it is low (as its effects become mostly insignificant). I argue that the high EBP can be interpreted as a proxy of market dis-functioning so that only when this channel of transmission is on, the unconventional policy is particularly effective. This suggests that models of transmission of unconventional policies, based on asset purchases, should focus also on the market functioning channel and not only on the portfolio balance one.
{"title":"The non-linear effects of the Fed asset purchases","authors":"Alessio Anzuini","doi":"10.1515/snde-2020-0022","DOIUrl":"https://doi.org/10.1515/snde-2020-0022","url":null,"abstract":"Abstract The Federal Reserve responded to the great financial crisis deploying new monetary policy tools, the most notable of which being the expansion of its balance sheet. In a recent paper, Weale, M., and T. Wieladek. 2016. “What Are the Macroeconomic Effects of Asset Purchases?” Journal of Monetary Economics 79 (C): 81–93 show that the asset purchases were effective in stimulating economic activity as well as inflation and asset prices. Here I show that their results are state dependent: large scale asset purchase are effective only when financial markets are impaired. Financial markets are under stress when the effective risk-bearing capacity of the financial sector is drastically reduced, i.e. when the excess bond premium (EBP) of Gilchrist, S., and E. Zakrajšek. 2012. “Credit Spreads and Business Cycle Fluctuations.” The American Economic Review 102 (4): 1692–72 exceed a certain threshold. Using an estimated threshold vector autoregressive model conditional on the EBP regime, I show that an increase in the balance sheet has expansionary effects on GDP and inflation when EBP is high, but not when it is low (as its effects become mostly insignificant). I argue that the high EBP can be interpreted as a proxy of market dis-functioning so that only when this channel of transmission is on, the unconventional policy is particularly effective. This suggests that models of transmission of unconventional policies, based on asset purchases, should focus also on the market functioning channel and not only on the portfolio balance one.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"205 - 218"},"PeriodicalIF":0.8,"publicationDate":"2021-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2020-0022","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48366985","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}
Abstract Previous studies suggested that the power of unit root and stationarity tests can be improved by augmenting a testing regression model with stationary covariates. However, one practical problem arises since such procedures require finding the variables that satisfy certain conditions. The difficulty of finding satisfactory covariate has hindered using such desired tests. In this paper, we suggest using non-normal errors to construct stationary covariates in testing for stationarity. We do not need to look for outside variables, but we utilize the distributional information embodied in a time series of interest. The terms driven from the information on non-normal errors can be employed as valid stationary covariates. For this, we adopt the framework of stationarity tests of Jansson (Jansson, M. 2004. “Stationarity Testing with Covariates.” Econometric Theory 20: 56–94). We show that the tests can achieve much-improved power. We then present the response surface function estimates to facilitate computing the critical values and the corresponding p-values. We investigate the nature of shocks to the US macro-economic series using the updated Nelson–Plosser data set through our new testing procedure. We find stronger evidence of non-stationarity than their univariate counterparts that do not use the covariates.
摘要以往的研究表明，单位根检验和平稳性检验的效力可以通过增加平稳协变量的检验回归模型来提高。但是，出现了一个实际问题，因为这些过程需要找到满足某些条件的变量。找到令人满意的协变量的困难阻碍了使用这种期望的检验。在本文中，我们建议在平稳性检验中使用非正态误差来构造平稳协变量。我们不需要寻找外部变量，而是利用感兴趣的时间序列中包含的分布信息。由非正态误差信息驱动的项可以用作有效的平稳协变量。为此，我们采用了Jansson (Jansson, M. 2004)的平稳性检验框架。“协变量平稳性检验”。计量经济学理论20:56-94)。我们表明，测试可以实现大大提高功率。然后，我们给出响应面函数估计，以便于计算临界值和相应的p值。我们通过新的测试程序，使用更新的Nelson-Plosser数据集调查美国宏观经济系列冲击的性质。我们发现比不使用协变量的单变量对应物更强的非平稳性证据。
{"title":"Testing for stationarity with covariates: more powerful tests with non-normal errors","authors":"Ş. Nazlıoğlu, Junsoo Lee, Cagin Karul, Yu You","doi":"10.1515/snde-2019-0038","DOIUrl":"https://doi.org/10.1515/snde-2019-0038","url":null,"abstract":"Abstract Previous studies suggested that the power of unit root and stationarity tests can be improved by augmenting a testing regression model with stationary covariates. However, one practical problem arises since such procedures require finding the variables that satisfy certain conditions. The difficulty of finding satisfactory covariate has hindered using such desired tests. In this paper, we suggest using non-normal errors to construct stationary covariates in testing for stationarity. We do not need to look for outside variables, but we utilize the distributional information embodied in a time series of interest. The terms driven from the information on non-normal errors can be employed as valid stationary covariates. For this, we adopt the framework of stationarity tests of Jansson (Jansson, M. 2004. “Stationarity Testing with Covariates.” Econometric Theory 20: 56–94). We show that the tests can achieve much-improved power. We then present the response surface function estimates to facilitate computing the critical values and the corresponding p-values. We investigate the nature of shocks to the US macro-economic series using the updated Nelson–Plosser data set through our new testing procedure. We find stronger evidence of non-stationarity than their univariate counterparts that do not use the covariates.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"191 - 203"},"PeriodicalIF":0.8,"publicationDate":"2021-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2019-0038","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45657080","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}
Abstract Blockchain is a new technology slowly integrating our economy with crytocurrencies such as Bitcoin and many more applications. Bitcoin and other version of it (known as Altcoins) are traded everyday at various cryptocurrency exchanges and have drawn the interest of many investors. These new type of assets are characterised by wild swings in prices and this can lead to great profit as well as large losses. To respond to these dynamics, crypto investors need adequate tools to guide them through their choice of optimal portfolio selection. This paper presents a portfolio selection based on COGARCH and regular vine copula which are able to capture features such as abrupt jumps in prices, heavy-tailed distribution and dependence structure respectively, with the optimal portfolio achieved through the stochastic heuristic algorithm differential evolution known for its global search solution ability. This method shows great performance as compared with other available models and can achieve up to 50% of total returns in some periods of optimization.
{"title":"Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach","authors":"J. Mba, Sutene Mwambetania Mwambi","doi":"10.1515/snde-2020-0072","DOIUrl":"https://doi.org/10.1515/snde-2020-0072","url":null,"abstract":"Abstract Blockchain is a new technology slowly integrating our economy with crytocurrencies such as Bitcoin and many more applications. Bitcoin and other version of it (known as Altcoins) are traded everyday at various cryptocurrency exchanges and have drawn the interest of many investors. These new type of assets are characterised by wild swings in prices and this can lead to great profit as well as large losses. To respond to these dynamics, crypto investors need adequate tools to guide them through their choice of optimal portfolio selection. This paper presents a portfolio selection based on COGARCH and regular vine copula which are able to capture features such as abrupt jumps in prices, heavy-tailed distribution and dependence structure respectively, with the optimal portfolio achieved through the stochastic heuristic algorithm differential evolution known for its global search solution ability. This method shows great performance as compared with other available models and can achieve up to 50% of total returns in some periods of optimization.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"173 - 190"},"PeriodicalIF":0.8,"publicationDate":"2021-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2020-0072","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48539093","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}
Abstract This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a rare event rather than a persistent increase in macroeconomic volatility. For forecasting, the choice among outlier-robust error structures is less important, however, when a large cross-section of information is used. Besides the error structure, this paper shows that the standard Minnesota prior calibration is an important source of changing macroeconomic transmission channels during the pandemic, altering the predictability of real and nominal variables. To alleviate this sensitivity, an outlier-robust prior calibration is proposed.
{"title":"Bayesian VARs and prior calibration in times of COVID-19","authors":"Benny Hartwig","doi":"10.2139/ssrn.3792070","DOIUrl":"https://doi.org/10.2139/ssrn.3792070","url":null,"abstract":"Abstract This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a rare event rather than a persistent increase in macroeconomic volatility. For forecasting, the choice among outlier-robust error structures is less important, however, when a large cross-section of information is used. Besides the error structure, this paper shows that the standard Minnesota prior calibration is an important source of changing macroeconomic transmission channels during the pandemic, altering the predictability of real and nominal variables. To alleviate this sensitivity, an outlier-robust prior calibration is proposed.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"0 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2021-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45761121","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}
Abstract This paper extends the threshold cointegration model developed by Gonzalo, J., and J. Y. Pitarakis. 2006. “Threshold Effects in Cointegrating Relationships.” Oxford Bulletin of Economics & Statistics 68: 813–33 and Chen, H. 2015. “Robust Estimation and Inference for Threshold Models with Integrated Regressors.” Econometric Theory 31 (4): 778–810 to allow for a time-varying threshold, which is a function of candidate variables that affect the separation of regimes. We derive the asymptotic distribution of the proposed least-square estimator of the threshold, and study the convergence rate of the threshold estimator. We also suggest test statistics for threshold effect and threshold constancy. Monte Carlo simulations point out that the convergence rate of the threshold estimator is consistent with the asymptotic theory, and the proposed tests have good size and power properties. The empirical usefulness of the proposed model is illustrated by an application to the US data to investigate the Fisher hypothesis.
本文扩展了Gonzalo, J.，和J. Y. Pitarakis. 2006的阈值协整模型。协整关系中的阈值效应《牛津经济与统计通报》(68):813-33综合回归阈值模型的鲁棒估计与推理。计量经济学理论31(4):778-810允许一个时变的阈值，这是影响制度分离的候选变量的函数。给出了阈值最小二乘估计量的渐近分布，并研究了阈值估计量的收敛速度。我们还建议对阈值效应和阈值常数进行检验统计。Monte Carlo仿真结果表明，阈值估计器的收敛速度符合渐近理论，所提出的测试具有良好的规模和功率特性。通过对美国数据的应用来研究费雪假设，说明了所提出模型的经验有用性。
{"title":"Time-varying threshold cointegration with an application to the Fisher hypothesis","authors":"Lixiong Yang","doi":"10.1515/SNDE-2018-0101","DOIUrl":"https://doi.org/10.1515/SNDE-2018-0101","url":null,"abstract":"Abstract This paper extends the threshold cointegration model developed by Gonzalo, J., and J. Y. Pitarakis. 2006. “Threshold Effects in Cointegrating Relationships.” Oxford Bulletin of Economics & Statistics 68: 813–33 and Chen, H. 2015. “Robust Estimation and Inference for Threshold Models with Integrated Regressors.” Econometric Theory 31 (4): 778–810 to allow for a time-varying threshold, which is a function of candidate variables that affect the separation of regimes. We derive the asymptotic distribution of the proposed least-square estimator of the threshold, and study the convergence rate of the threshold estimator. We also suggest test statistics for threshold effect and threshold constancy. Monte Carlo simulations point out that the convergence rate of the threshold estimator is consistent with the asymptotic theory, and the proposed tests have good size and power properties. The empirical usefulness of the proposed model is illustrated by an application to the US data to investigate the Fisher hypothesis.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"257 - 274"},"PeriodicalIF":0.8,"publicationDate":"2021-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/SNDE-2018-0101","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44530739","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}
Abstract In this paper, we look at the instability of a self-exciting regime-switching autoregressive model, specifically regime-switching models that are locally stable in each of their regimes. It turns out that the local stability of each regime is insufficient to ensure the overall stability of the model. The instability’s mechanism is described, and a sufficient condition for the instability is provided.
{"title":"Instability in regime switching models","authors":"Pu Chen, Chih-ying Hsiao, W. Semmler","doi":"10.2139/ssrn.3788501","DOIUrl":"https://doi.org/10.2139/ssrn.3788501","url":null,"abstract":"Abstract In this paper, we look at the instability of a self-exciting regime-switching autoregressive model, specifically regime-switching models that are locally stable in each of their regimes. It turns out that the local stability of each regime is insufficient to ensure the overall stability of the model. The instability’s mechanism is described, and a sufficient condition for the instability is provided.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"655 - 674"},"PeriodicalIF":0.8,"publicationDate":"2021-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42418119","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}
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