scholarly journals Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013)

2014 ◽  
Vol 2014 ◽  
pp. 1-19 ◽  
Author(s):  
Pınar Göktaş ◽  
Cem Dişbudak
Keyword(s):  
Structural Breaks ◽  
Structural Break ◽  
Inflation Uncertainty ◽  
Macroeconomic Indicators ◽  
Asymmetric Garch ◽  
Break Points ◽  
Mean And Variance ◽  
Causality Relationship ◽  
Structural Break Test ◽  
The Relationship

In recent years, the importance attached to the concept of volatility has increased and become a phenomenon frequently encountered in every field ranging from financial markets to macroeconomic indicators. In this study, inflation data obtained from CPI index for the period of 1994:01–2013:12 in Turkey was used to determine the best representative of the inflation uncertainty. To realize this, both symmetric and asymmetric GARCH-type models were employed. Since there are many factors that may lead to structural change within the economic course of Turkey, a structural break in the series has first been investigated. By administering Bai-Perron structural break test, two different break points both in mean and variance have been detected to be in February 2002 and in June 2001, respectively. The inclusion of those break points to the related equations, appropriate forecasting models were projected. Moreover it was found that, while in the periods prior to the break in both variance and mean the inflation itself was the reason for inflation uncertainty, following the dates of the break, the relationship changed bidirectionally. In the meantime, when the series was taken as a whole without considering the break, bidirectional causality relationship was also detected in the series.

scholarly journals Causality Relationship between Central Bank Reforms and Inflation: Evidence from Developing Countries

2020 ◽  
Vol 9 (1) ◽  
pp. 15-30
Author(s):  
Cep Jandi Anwar ◽  
Okot Nicholas
Keyword(s):  
Developing Countries ◽  
Central Bank ◽  
Structural Break ◽  
Central Bank Independence ◽  
Inflation Stabilization ◽  
Causality Tests ◽  
Causality Relationship ◽  
Structural Break Test ◽  
The Relationship ◽  
Positive Effect

This study provides evidence on the relationship between central bank reforms and inflation dynamics in a sample of 37 developing countries. We use panel structural break test and Granger non‐causality tests on annual inflation and the legal index of central bank independence (CBI), as a proxy of central bank reform, over 40 years period. The empirical results indicate a positive effect of central bank independence on inflation stabilization. Besides, we find that there exists bi-directional causality between central bank reforms and inflation. These findings suggest that central bank independence is beneficial in terms of sustained macroeconomic stabilization and should harness among developing countries. In particular, reforms should design to give central banks more autonomy in the conduct of monetary policy and financial sector regulation. JEL Classifications: E31, E58How to Cite:Anwar, C. J., & Nicholas, O. (2020). Causality Relationship Between Central Bank Reforms and Inflation: Evidence from Developing Countries. Signifikan: Jurnal Ilmu Ekonomi, Vol. 9(1), 15-30. doi: http://dx.doi.org/10.15408/sjie.v9i1.10955.

Testing Structural Break in the Relationship Between Exchange Rate and Macroeconomic Variables

2019 ◽  
Vol 23 (4) ◽  
pp. 442-453 ◽  
Author(s):  
Saidia Jeelani ◽  
Joity Tomar ◽  
Tapas Das ◽  
Seshanwita Das
Keyword(s):  
Exchange Rate ◽  
Structural Breaks ◽  
Time Series Data ◽  
Structural Break ◽  
Series Data ◽  
Ripple Effect ◽  
Macroeconomic Factors ◽  
Parameter Instability ◽  
Macroeconomic Variables ◽  
The Relationship

The article aims to study the relationship between those macroeconomic factors that the affect (INR/USD) exchange rate (ER). Time series data of 40 years on ER, GDP, inflation, interest rate (IR), FDI, money supply, trade balance (TB) and terms of trade (ToT) have been collected from the RBI website. The considered model has suggested that only inflation, TB and ToT have influenced the ER significantly during the study period. Other macroeconomic variables such as GDP, FDI and IR have not significantly influenced the ER during the study period. The model is robust and does not suffer from residual heteroscedasticity, autocorrelation and non-normality. Sometimes the relationship between ER and macroeconomic variables gets affected by major economic events. For example, the Southeast Asian crisis caused by currency depreciation in 1997 and sub-prime loan crisis of 2008 severely strained the national economies. Any global economic turmoil will affect different economic variables through ripple effect and this, in turn, will affect the ER of different economies differently. The article has also diagnosed whether there is any structural break or not in the model by applying Chow’s Breakpoint Test and have obtained multiple breaks between 2003 and 2009. The existence of structural breaks during 2003–2009 is explained by the fact that volume of crude oil imported by India is high and oil price rise led to a deficit in the TB alarmingly, which caused a structural break or parameter instability.

A revisit of the unemployment rate, interest rate, GDP growth and Inflation of Pakistan: Whether Structural break or unit root?

2021 ◽  
Vol 3 (2) ◽  
pp. 80-92
Author(s):  
Sara Muhammadullah ◽  
Amena Urooj ◽  
Faridoon Khan
Keyword(s):  
Interest Rate ◽  
Unemployment Rate ◽  
Unit Root ◽  
Structural Breaks ◽  
Inflation Rate ◽  
Structural Break ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Gdp Growth ◽  
Macroeconomic Indicators

The study investigates the query of structural break or unit root considering four macroeconomic indicators; unemployment rate, interest rate, GDP growth, and inflation rate of Pakistan. The previous studies create ambiguity regarding the stationarity and non-stationarity of these variables. We employ Zivot & Andrews (1992) unit root test and Step Indicator Saturation (SIS) method for multiple break detection in mean. GDP growth and inflation rate are stationary at level whereas unit root tests fail to reject the null hypothesis of the unemployment rate and interest rate at level. However, Zivot and Andrew unit root test with a single endogenous break indicates that the unemployment rate and interest rate are stationary at level with a single endogenous break. On the other hand, the SIS method reveals that the series are stationary with multiple structural breaks. It is inferred that it is inappropriate to take the first difference of the unemployment rate and interest rate to attain stationarity. The results of this study confirmed that there exist multiple breaks in the macroeconomic variables considered in the context of Pakistan.

scholarly journals Transportation Dynamic Behaviour of Structural Break and Consumer Price Index

2019 ◽  
Vol 8 (2) ◽  
pp. 283-290
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Price Index ◽  
Dynamic Behaviour ◽  
Structural Break ◽  
Consumer Price Index ◽  
Unit Root Test ◽  
Peninsular Malaysia ◽  
Cointegration Tests ◽  
Break Points

This paper studies the dynamic behaviour of transportation price in Peninsular Malaysia and Sabah from 2004 to 2015 using disaggregated monthly price data of consumer price index (CPI). For that, unit root tests and cointegration tests with structural breaks are incorporated. The findings indicated that (i) both Zivot and Andrews unit root test and Perron unit root test provided fairly similar results; most of the break points occurred in 2008, (ii) the variables cointegrate in the Johansen cointegration test which indicates that there is a long-run relationship and (iii) the Gregory and Hansen test also demonstrated some form of cointegration with structural break(s), especially in 2008. Overall, this study intends to match the structural break points with the comparable critical economic events

EUROPEAN FISCAL DISCIPLINE BEFORE AND AFTER EMU: CRASH DIET OR PERMANENT WEIGHT LOSS?

2008 ◽  
Vol 12 (3) ◽  
pp. 404-424 ◽  
Author(s):  
ANDREW HUGHES HALLETT ◽  
JOHN LEWIS
Keyword(s):  
Weight Loss ◽  
Structural Breaks ◽  
Structural Break ◽  
Fiscal Policies ◽  
Dynamic Effects ◽  
Fiscal Discipline ◽  
Stability Pact ◽  
Before And After ◽  
Structural Break Test ◽  
The Stability

This paper studies the evolution of European fiscal policies in three periods: the pre-Maastricht phase (to 1991); the runup to monetary union (1992–1997), and the stability pact phase (1998 onward). Using three separate indicators, we search for structural breaks that could signify a change in the average level of discipline in these periods. We find increased fiscal discipline only up to 1997. We conclude the new fiscal discipline was a temporary phenomenon, a product of the sanction of being denied entry to the Euro. After EMU, fiscal policy gradually loosened. A single structural break test will miss these dynamic effects, and could easily generate the false conclusion that fiscal discipline had tightened since the start of phase two of EMU.

scholarly journals A Quantitative Study of the Interactions between Oil Price and Renewable Energy Sources Stock Prices

Energies ◽  
2019 ◽  
Vol 12 (9) ◽  
pp. 1693 ◽  
Author(s):  
Goran Dominioni ◽  
Alessandro Romano ◽  
Chiara Sotis
Keyword(s):  
Renewable Energy ◽  
Stock Prices ◽  
Structural Breaks ◽  
Renewable Energy Sources ◽  
Structural Break ◽  
Oil Price ◽  
Policy Implications ◽  
Volterra Model ◽  
Predator Prey ◽  
The Relationship

In this article, we apply an integrable nonautonomous Lotka–Volterra model to study the relationship between oil and renewable energy stock prices between 2006 and 2016. The advantage of this innovative approach is that it allows us to study the simultaneous interaction among n stock indices at any point in time. In line with previous studies, we find that the relationship between oil and renewables is characterized by major structural breaks taking place in 2008 and around 2013. The first structural break might be caused by the financial crisis, whereas more studies are required to advance a hypothesis on the causes behind the second structural break. Our main finding is that oil is always in a predator–prey relationship with wind, whereas it proceeds in mutualism with solar after 2012. Moreover, we find that solar and wind proceed in mutualism between 2008 and 2013 but have a rivalrous interaction before (competition) and after (predator–prey) that period. We explore the possible reasons behind these patterns and their policy implications.

The Relationship between GATT Membership and Structural Breaks in International Trade

2008 ◽  
Vol 8 (4) ◽  
pp. 1850148 ◽  
Author(s):  
Suleiman Abu-Bader ◽  
Aamer S. Abu-Qarn
Keyword(s):  
International Trade ◽  
Structural Breaks ◽  
Structural Break ◽  
Structural Break Tests ◽  
The Relationship

Using sequential structural break tests, we attempt to determine if and when a new GATT member experiences statistically significant changes in the paths of its trade with incumbent members. To test for the nature of a change, we compare the averages of the actual postbreak trade shares with the averages of the postbreak extrapolated trade shares. Should a significant structural break be detected, we compare the break year with the accession year of that country to GATT. Our results show that only a small fraction of countries experience significant positive structural breaks in their trade shares. Furthermore, any significant positive breaks generally occur far before or after the time of a country's accession to GATT.

scholarly journals International Real Estate Review

2007 ◽  
Vol 10 (2) ◽  
pp. 66-93
Author(s):  
Charles Ka Yui Leung ◽  
◽  
Kelvin Siu Kei Wong ◽  
Patrick Wai Yin Cheung ◽  
◽  
...  
Keyword(s):  
Structural Breaks ◽  
Structural Break ◽  
Housing Prices ◽  
Hedonic Pricing ◽  
Future Research ◽  
Large Set ◽  
Auto Regressive ◽  
Structural Break Test ◽  
Implicit Prices ◽  
Housing Attributes

Given the dramatic fluctuations in aggregate housing prices, this paper attempts to examine whether the implicit prices of different housing attributes are “stable.” Theoretically, this paper provides perhaps the first dynamic, general equilibrium model in which housing attributes’ implicit prices fluctuate. Empirically, this paper models the time paths of different implicit prices as auto-regressive processes by employing a hedonic pricing model on a large set of housing transaction data over a relatively long period of time. An endogenous structural break test is then performed. Except for a few attributes, structural breaks are not detected. Directions for future research are discussed.

PENGARUH KEPEMIMPINAN DAN MOTIVASI TERHADAP KINERJA KARYAWAN PT. ASTRA HONDA MOTOR DI CIKAMPEK

2016 ◽  
Vol 4 (3) ◽  
Author(s):  
Nuridin, SE., MM Nuridin ◽  
Winda Lia Septiani
Keyword(s):  
Research Method ◽  
Employee Performance ◽  
Research Result ◽  
Sampling Technique ◽  
Analysis Approach ◽  
Explanatory Analysis ◽  
Leadership Motivation ◽  
Saturated Sample ◽  
Causality Relationship ◽  
The Relationship

The purpose of this study was to determine how the relationship and influence of leadership and motivation to employees performance at PT. Astra Honda Motor. The research method was used with Explanatory Analysis approach that explains the causality relationship between variables. Sampling technique was using saturated sample, all members of the population were sampled. From this research result was found there is a relationship and influence which is significant between the variables of leadership motivation to employee performance at PT. Astra Honda Motor among variables by using the test F, where F count larger than F table (32.173 > 3.158). Conclusion: There is a significant effect that can be explained by the result obtained from the R-square is 0530, which means that the variables of leadership and motivation are giving contribution of 53.0% to the variable of employees performance at PT. Astra Honda Motor, while the remaining 47.0% was contributed by other variables which not researched. Suggestions which the author convey to company, leadership which was contained in the company would need to be more increased, considers motivation of employees was good enough.

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