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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, Intan Kusuma Pratiwi   +1 more
doaj   +1 more source

Structural Breaks in an Endogenous Growth Model [PDF]

SSRN Electronic Journal, 2020
Abstract We study the effects of parameter uncertainty prompted by structural breaks. In our model, agents respond differently to uncertainty prompted by regime shifts in shock processes than they react to comparable perceived increases in shock volatility.
Cogley, Timothy, Jovanovic, Boyan
openaire   +1 more source

The Macroeconomic Impact of the Euro

Scientific Annals of Economics and Business, 2019
This paper examines whether the establishment of the euro caused structural breaks in the main macroeconomic relationships of member countries. It compares eight original members of the common currency with four European countries that did not join.
Veronika Akhmadieva, Ron P. Smith
doaj   +1 more source

ENERGY PRODUCTIVITY, ENERGY DEPENDENCE AND ECONOMIC GROWTH IN EXTENDED EUROPE

Verimlilik Dergisi, 2022
Purpose: Energy is used in all areas of production and is crucial for economic growth. This study aims to empirically analyze the relationship between energy productivity, economic growth, and energy use in 35 European countries, for the period of 1990 ...
Natalya Ketenci, Ayşe Sevencan
doaj   +1 more source

Estimating Structural Changes in the Vertical Price Relationships in U.S. Beef and Pork Markets

Journal of Agricultural and Resource Economics, 2010
This paper examines structural breaks in the vertical price relationships in U.S. beef/cattle and pork/hog sectors using monthly data of the past 40 years.
Brenda L. Boetel, Donald J. Liu
doaj   +1 more source

Long Memory and Structural Breaks: An Application to the Tehran Stock Exchange Index (TEPIX) Returns [PDF]

فصلنامه پژوهش‌های اقتصادی ایران, 2015
The aim of this study is to investigate the long memory properties along with structural breaks in the returns of the TEPIX. For this purpose, the properties of the long memory in the daily returns for three periods leading to September 23, 2013 were ...
Ahmad Gholi Barkish
doaj   +1 more source

Long Memory versus Structural Changes in the Dynamics of Europe Brent-Oil Prices [PDF]

المجلة العربية للإدارة, 2021
In this paper, we examine the potential of long memory and structural breaks properties in the Brent returns and the Brent volatility series. We analyze the series over the period 20/05/1987-22/01/2016, using long memory tests, we demonstrate strong ...
Rim Ammar Lamouchi, Suha Mahmoud Alawi
doaj   +1 more source

Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model

East Asian Economic Review, 2011
This paper explores the issue of structural breaks and long memory property in the conditional variance process of the Korean exchange rates. To analyze the above in detail, this paper examines the dynamics of the structural breaks and the long memory in
Young Wook Han
doaj   +1 more source

Structural change and output volatility reduction in OECD countries: evidence of the Second Great Moderation

Journal of Economic Structures, 2019
In this article, we provide new, novel evidence for a more recent structural break (in 2010) indicating a greater moderation of output volatility compared to the well-known break during the mid-1980s. The period of analysis runs from 1962Q2 to 2018Q3. It
Hasan Engin Duran
doaj   +1 more source

Structural Breaks in the International Dynamics of Inflation [PDF]

Review of Economics and Statistics, 2013
This paper proposes an iterative procedure to discriminate between structural breaks in the coefficients and the disturbance covariance matrix of a system of equations, with recursive procedures then identifying individual coefficient shifts and separating volatility from correlation breaks.
Erdenebat Bataa, Denise R. Osborn, Marianne Sensier, Dick van Dijk   +3 more
openaire   +3 more sources