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Statistical Surveillance of Structural Breaks in Credit Rating Dynamics [PDF]
Entropy, 2020 The 2007–2008 financial crisis had severe consequences on the global economy and an intriguing question related to the crisis is whether structural breaks in the credit market can be detected.
Haipeng Xing, Ke Wang, Zhi Li, Ying Chen
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EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS
Economic Journal of Emerging Markets, 2011 This research estimates the exchange rate pass-through (ERPT) into import prices by applying an extension of the basic model of ERPT on Indonesia. It estimates models of cointegration and error-correction mechanism (ECM), with and without structural ...
Arintoko Arintoko
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Current-account breaks and stability spells in a global perspective [PDF]
Applied Economic Analysis, 2022 Purpose – This study aims to identify structural breaks in the current account and the periods between these breaks, which the authors name stability spells, and study their characteristics and determinants.
Alfonso Camba-Crespo +2 more
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Does innovation co-move with FDI? Evidence from OECD countries [PDF]
Panoeconomicus, 2022 In this study, the panel co-integration test combined with structural breaks was used to explore the long-term co-movement between FDI and patent and trademark applications, in accordance with 33 OECD countries from 1999 to 2018.
Chang Chun-Ping
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Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity [PDF]
Applied Economic Analysis, 2022 Purpose – This paper aims to test purchasing power parity (PPP) hypothesis for Greece, Italy, Ireland, Portugal and Spain, which are known as the GIIPS countries.
Saban Nazlioglu +3 more
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Adding dummy variables: A simple approach for improved volatility forecasting in electricity market
Journal of Management Science and Engineering, 2023 This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility. Considering day-of-the-week effects, structural breaks, or both, we propose three classes of HAR models to forecast electricity ...
Xu Gong, Boqiang Lin
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Detecting and Quantifying Structural Breaks in Climate
Econometrics, 2022 Structural breaks have attracted considerable attention recently, especially in light of the financial crisis, Great Recession, the COVID-19 pandemic, and war.
Neil R. Ericsson +2 more
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Are Stock Markets among BRICS Members Integrated? A Regime Shift-Based Co-Integration Analysis
Economies, 2022 Long-run relationships and structural breaks have often been confused so that many investigators ignore the structural breaks in long-run stock price relationships.
Ayesha Siddiqui +3 more
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Menguji keberadaan structural breaks pada transmisi kebijakan moneter di Indonesia
Journal of Enterprise and Development, 2019 Purpose — This paper investigates the presence of structural breaks in order to determine the regime shift in case of Indonesia economy. Research method — We use the Bai-Perron (2003) to test the breaks within the period of January 2014 – December 2018 ...
Imronjana Syapriatama +1 more
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