Pub Date : 2021-02-01DOI: 10.1515/snde-2021-frontmatter1
{"title":"Frontmatter","authors":"","doi":"10.1515/snde-2021-frontmatter1","DOIUrl":"https://doi.org/10.1515/snde-2021-frontmatter1","url":null,"abstract":"","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2021-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2021-frontmatter1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42634118","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 seeks to explain the high persistence in U.S. price differentials found in Cecchetti, S. G., N. C. Mark, and R. J. Sonora. 2002. “Price Index Convergence Among United States Cities.” International Economic Review 43: 1081–99, by means of the concept of change in persistence. To that end, have computed recently developed tests by Kejriwal, M., P. Perron, and J. Zhou. 2013. “Wald Tests for Detecting Multiple Structural Changes in Persistence.” Econometric Theory 29: 289–323, allowing for multiple changes in persistence under the alternative hypothesis. We conclude that change in persistence cannot be ruled out for some city price differentials.
{"title":"A note on change in persistence of U.S. city prices","authors":"J. Belaire-Franch","doi":"10.1515/snde-2019-0051","DOIUrl":"https://doi.org/10.1515/snde-2019-0051","url":null,"abstract":"Abstract This paper seeks to explain the high persistence in U.S. price differentials found in Cecchetti, S. G., N. C. Mark, and R. J. Sonora. 2002. “Price Index Convergence Among United States Cities.” International Economic Review 43: 1081–99, by means of the concept of change in persistence. To that end, have computed recently developed tests by Kejriwal, M., P. Perron, and J. Zhou. 2013. “Wald Tests for Detecting Multiple Structural Changes in Persistence.” Econometric Theory 29: 289–323, allowing for multiple changes in persistence under the alternative hypothesis. We conclude that change in persistence cannot be ruled out for some city price differentials.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"649 - 653"},"PeriodicalIF":0.8,"publicationDate":"2020-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2019-0051","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47593609","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, a new generator function is proposed and based on this function a new Archimedean copula is introduced. The new Archimedean copula along with three representatives of Archimedean copula family which are Clayton, Gumbel and Frank copulas are considered as models for the dependence structure between the returns of two stocks. These copula models are used to simulate daily log-returns based on Monte Carlo (MC) method for calculating value at risk (VaR) of the financial portfolio which consists of two market indices, Ford and General Motor Company. The results are compared with the traditional MC simulation method with the bivariate normal assumption as a model of the returns. Based on the backtesting results, describing the dependence structure between the returns by the proposed Archimedean copula provides more reliable results over the considered models in calculating VaR of the studied portfolio.
{"title":"A new bivariate Archimedean copula with application to the evaluation of VaR","authors":"Cigdem Topcu Guloksuz, Pranesh Kumar","doi":"10.1515/snde-2019-0096","DOIUrl":"https://doi.org/10.1515/snde-2019-0096","url":null,"abstract":"Abstract In this paper, a new generator function is proposed and based on this function a new Archimedean copula is introduced. The new Archimedean copula along with three representatives of Archimedean copula family which are Clayton, Gumbel and Frank copulas are considered as models for the dependence structure between the returns of two stocks. These copula models are used to simulate daily log-returns based on Monte Carlo (MC) method for calculating value at risk (VaR) of the financial portfolio which consists of two market indices, Ford and General Motor Company. The results are compared with the traditional MC simulation method with the bivariate normal assumption as a model of the returns. Based on the backtesting results, describing the dependence structure between the returns by the proposed Archimedean copula provides more reliable results over the considered models in calculating VaR of the studied portfolio.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"273 - 285"},"PeriodicalIF":0.8,"publicationDate":"2020-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2019-0096","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42423213","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 a homogenous product market, customers’ different demand elasticities may lead to different prices. This study examined price discrimination’s effect on equilibrium points in Cournot duopoly games by assuming that each firm charges K prices and adjusts its strategies based on bounded rationality. In consideration of price discrimination, two discrete dynamic game systems with 2K variables were introduced for players with homogenous or heterogenous expectations. The stability of the Nash equilibrium point was found to be independent of price discrimination. Given price discrimination, the stability of boundary stationary points for the system with homogenous players is different from that for the system with heterogenous players. Numerical simulations verified the critical point for the system with homogenous players from being stable to its bifurcation.
{"title":"The effect of price discrimination on dynamic duopoly games with bounded rationality","authors":"Q. Song, Wei-li Zhang, Yi-Rong Jiang, Juan Geng","doi":"10.1515/snde-2019-0137","DOIUrl":"https://doi.org/10.1515/snde-2019-0137","url":null,"abstract":"Abstract In a homogenous product market, customers’ different demand elasticities may lead to different prices. This study examined price discrimination’s effect on equilibrium points in Cournot duopoly games by assuming that each firm charges K prices and adjusts its strategies based on bounded rationality. In consideration of price discrimination, two discrete dynamic game systems with 2K variables were introduced for players with homogenous or heterogenous expectations. The stability of the Nash equilibrium point was found to be independent of price discrimination. Given price discrimination, the stability of boundary stationary points for the system with homogenous players is different from that for the system with heterogenous players. Numerical simulations verified the critical point for the system with homogenous players from being stable to its bifurcation.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"287 - 311"},"PeriodicalIF":0.8,"publicationDate":"2020-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2019-0137","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47175612","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 proposes a Bayesian unit root test for testing a non-stationary random walk of nonlinear exponential smooth transition autoregressive process. It investigates the performance of Bayes estimators and Bayesian unit root test due to its superiority in estimation and power properties than reported in existing literature. The proposed approach is applied to the real effective exchange rates of 10 selected countries of the organization of economic co-operation and development (OECD) and the paper observe some interesting findings which demonstrate the usefulness of the model.
{"title":"Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries","authors":"Shivam Jaiswal, A. Chaturvedi, M. Bhatti","doi":"10.1515/snde-2019-0133","DOIUrl":"https://doi.org/10.1515/snde-2019-0133","url":null,"abstract":"Abstract This paper proposes a Bayesian unit root test for testing a non-stationary random walk of nonlinear exponential smooth transition autoregressive process. It investigates the performance of Bayes estimators and Bayesian unit root test due to its superiority in estimation and power properties than reported in existing literature. The proposed approach is applied to the real effective exchange rates of 10 selected countries of the organization of economic co-operation and development (OECD) and the paper observe some interesting findings which demonstrate the usefulness of the model.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"25 - 34"},"PeriodicalIF":0.8,"publicationDate":"2020-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2019-0133","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48269933","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 By applying an endogenous switching regression model to a sample of 64 countries, this article explores whether the effect of trade openness on inflation is influenced by the adoption of inflation targeting (IT). The outcome indicates that, while there exists a significant and negative impact of trade openness on inflation in the non-IT countries with flexible exchange rate system, the effect is negligible in the IT economies. In addition, the above differential inflation effect of trade openness across IT and non-IT regimes is only present in the developing subsample with flexible exchange rate system, but not the developed counterpart. Moreover, apart from trade openness, financial openness reinforces inflation in those developing countries not adopting IT, whereas no such significant effect is found in developing countries adopting IT. Instead of inflation, further results show that trade openness lowers inflation volatility both in developing and developed countries not adopting IT, yet the impact is smaller in developed country group. However, no such statistically significant link is found in developing and developed countries that adopt IT.
{"title":"Openness-inflation Nexus in alternative monetary regimes","authors":"Pei‐Chien Lin, Ho-Chuan Huang, Xiaojian Liu","doi":"10.1515/snde-2018-0052","DOIUrl":"https://doi.org/10.1515/snde-2018-0052","url":null,"abstract":"Abstract By applying an endogenous switching regression model to a sample of 64 countries, this article explores whether the effect of trade openness on inflation is influenced by the adoption of inflation targeting (IT). The outcome indicates that, while there exists a significant and negative impact of trade openness on inflation in the non-IT countries with flexible exchange rate system, the effect is negligible in the IT economies. In addition, the above differential inflation effect of trade openness across IT and non-IT regimes is only present in the developing subsample with flexible exchange rate system, but not the developed counterpart. Moreover, apart from trade openness, financial openness reinforces inflation in those developing countries not adopting IT, whereas no such significant effect is found in developing countries adopting IT. Instead of inflation, further results show that trade openness lowers inflation volatility both in developing and developed countries not adopting IT, yet the impact is smaller in developed country group. However, no such statistically significant link is found in developing and developed countries that adopt IT.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"35 - 53"},"PeriodicalIF":0.8,"publicationDate":"2020-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2018-0052","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42358039","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 random coefficient autoregressive model has been utilized for modeling financial time series because it possesses features that are often observed in financial time series. When the mean of the random coefficient is one, it is called the stochastic unit root model. This paper proposes two Lagrange multiplier tests for the null hypotheses of random coefficient autoregressive and stochastic unit root models against a more general model. We apply our Lagrange multiplier tests to several stock index data, and find that the stochastic unit root model is rejected, whereas the random coefficient autoregressive model is not. This result indicates that it is important to check the validity of the stochastic unit root model prior to applying it to financial time series data, which may be better modeled by the random coefficient autoregressive model with the mean being not equal to one.
{"title":"Testing for random coefficient autoregressive and stochastic unit root models","authors":"Daisuke Nagakura","doi":"10.2139/ssrn.3358301","DOIUrl":"https://doi.org/10.2139/ssrn.3358301","url":null,"abstract":"Abstract The random coefficient autoregressive model has been utilized for modeling financial time series because it possesses features that are often observed in financial time series. When the mean of the random coefficient is one, it is called the stochastic unit root model. This paper proposes two Lagrange multiplier tests for the null hypotheses of random coefficient autoregressive and stochastic unit root models against a more general model. We apply our Lagrange multiplier tests to several stock index data, and find that the stochastic unit root model is rejected, whereas the random coefficient autoregressive model is not. This result indicates that it is important to check the validity of the stochastic unit root model prior to applying it to financial time series data, which may be better modeled by the random coefficient autoregressive model with the mean being not equal to one.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"27 1","pages":"117 - 129"},"PeriodicalIF":0.8,"publicationDate":"2020-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42939587","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 It is widely recognized that aggregate employment dynamics is characterized by hysteresis. In the presence of hysteresis, the long run level of employment instead of being unique and history-independent, depends on the adjustment path that is taken, which includes the monetary and fiscal measures. It is thus important to study the presence of hysteresis in the macrodynamics of employment to understand whether the recession followed 2007s financial crisis will have permanent effects, and prospectively to conduct fiscal and monetary policies. The main contribution of this paper is to analyse the relative impact of the main sources hysteresis (non-convex adjustment costs, uncertainty and the flexibility of working time arrangements) to the width of the employment band of inaction. For that purpose, a switching employment equation was estimated from a computational implementation of the linear play model of hysteresis. From our results we found significant hysteresis effects in the aggregate employment dynamics caused by the presence of non-convex adjustment costs as uncertainty. We also found that the flexibility firms may have to adjust labour input by varying the number of hours of work per employee helps to mitigate the effect of uncertainty upon the band of inaction.
{"title":"Hysteresis and sources of aggregate employment inertia","authors":"P. R. Mota, P. Vasconcelos","doi":"10.1515/SNDE-2019-0135","DOIUrl":"https://doi.org/10.1515/SNDE-2019-0135","url":null,"abstract":"Abstract It is widely recognized that aggregate employment dynamics is characterized by hysteresis. In the presence of hysteresis, the long run level of employment instead of being unique and history-independent, depends on the adjustment path that is taken, which includes the monetary and fiscal measures. It is thus important to study the presence of hysteresis in the macrodynamics of employment to understand whether the recession followed 2007s financial crisis will have permanent effects, and prospectively to conduct fiscal and monetary policies. The main contribution of this paper is to analyse the relative impact of the main sources hysteresis (non-convex adjustment costs, uncertainty and the flexibility of working time arrangements) to the width of the employment band of inaction. For that purpose, a switching employment equation was estimated from a computational implementation of the linear play model of hysteresis. From our results we found significant hysteresis effects in the aggregate employment dynamics caused by the presence of non-convex adjustment costs as uncertainty. We also found that the flexibility firms may have to adjust labour input by varying the number of hours of work per employee helps to mitigate the effect of uncertainty upon the band of inaction.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"406 1","pages":"137 - 154"},"PeriodicalIF":0.8,"publicationDate":"2020-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/SNDE-2019-0135","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41282367","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 We present the findings of a new time-series model that estimates short-term health effects of particulate matter and ozone, as applied to three U.S. cities. The model is based on observed fluctuations of daily death counts and estimates the corresponding daily subpopulations at-risk of imminent death; it also shows that virtually all elderly deaths are preceded by a brief period of extreme frailty. We augment previous research by allowing new entrants to this at-risk population to be influenced by the environment, rather than be random. The mean frail subpopulations in the three cities, each containing between 3000 and 5000 daily observations on mortality, pollution, and temperature, are estimated to be about 0.1% of those aged 65 or more, and their life expectancies in this frail status are about one week. We find losses in life expectancy due to air pollution and temperature to be at most one day. Air pollution effects on new entrants into the frail population tend to exceed those on mortality. Our results provide context to the many time-series studies that have found significant short-term relationships between air quality and survival, and they suggest that benefits of air quality improvement should be based on increased life expectancy rather than estimated numbers of excess deaths.
{"title":"Air pollution, mortality, at-risk population, new entry and life expectancy of the frail elderly in three U.S. cities","authors":"C. Murray, F. Lipfert","doi":"10.1515/snde-2019-0098","DOIUrl":"https://doi.org/10.1515/snde-2019-0098","url":null,"abstract":"Abstract We present the findings of a new time-series model that estimates short-term health effects of particulate matter and ozone, as applied to three U.S. cities. The model is based on observed fluctuations of daily death counts and estimates the corresponding daily subpopulations at-risk of imminent death; it also shows that virtually all elderly deaths are preceded by a brief period of extreme frailty. We augment previous research by allowing new entrants to this at-risk population to be influenced by the environment, rather than be random. The mean frail subpopulations in the three cities, each containing between 3000 and 5000 daily observations on mortality, pollution, and temperature, are estimated to be about 0.1% of those aged 65 or more, and their life expectancies in this frail status are about one week. We find losses in life expectancy due to air pollution and temperature to be at most one day. Air pollution effects on new entrants into the frail population tend to exceed those on mortality. Our results provide context to the many time-series studies that have found significant short-term relationships between air quality and survival, and they suggest that benefits of air quality improvement should be based on increased life expectancy rather than estimated numbers of excess deaths.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"25 1","pages":"135 - 142"},"PeriodicalIF":0.8,"publicationDate":"2020-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2019-0098","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43229202","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}
Mawuli Segnon, C. Lau, Bernd Wilfling, Rangan Gupta
Abstract We analyze Australian electricity price returns and find that they exhibit volatility clustering, long memory, structural breaks, and multifractality. Consequently, we let the return mean equation follow two alternative specifications, namely (i) a smooth transition autoregressive fractionally integrated moving average (STARFIMA) process, and (ii) a Markov-switching autoregressive fractionally integrated moving average (MSARFIMA) process. We specify volatility dynamics via a set of (i) short- and long-memory GARCH-type processes, (ii) Markov-switching (MS) GARCH-type processes, and (iii) a Markov-switching multifractal (MSM) process. Based on equal and superior predictive ability tests (using MSE and MAE loss functions), we compare the out-of-sample relative forecasting performance of the models. We find that the (multifractal) MSM volatility model keeps up with the conventional GARCH- and MSGARCH-type specifications. In particular, the MSM model outperforms the alternative specifications, when using the daily squared return as a proxy for latent volatility.
{"title":"Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data","authors":"Mawuli Segnon, C. Lau, Bernd Wilfling, Rangan Gupta","doi":"10.1515/SNDE-2019-0009","DOIUrl":"https://doi.org/10.1515/SNDE-2019-0009","url":null,"abstract":"Abstract We analyze Australian electricity price returns and find that they exhibit volatility clustering, long memory, structural breaks, and multifractality. Consequently, we let the return mean equation follow two alternative specifications, namely (i) a smooth transition autoregressive fractionally integrated moving average (STARFIMA) process, and (ii) a Markov-switching autoregressive fractionally integrated moving average (MSARFIMA) process. We specify volatility dynamics via a set of (i) short- and long-memory GARCH-type processes, (ii) Markov-switching (MS) GARCH-type processes, and (iii) a Markov-switching multifractal (MSM) process. Based on equal and superior predictive ability tests (using MSE and MAE loss functions), we compare the out-of-sample relative forecasting performance of the models. We find that the (multifractal) MSM volatility model keeps up with the conventional GARCH- and MSGARCH-type specifications. In particular, the MSM model outperforms the alternative specifications, when using the daily squared return as a proxy for latent volatility.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"73 - 98"},"PeriodicalIF":0.8,"publicationDate":"2020-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/SNDE-2019-0009","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41777001","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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