Evaluating the Existence of Structural Change in the Brazilian Term Structure of Interest: Evidence Based on Cointegration Models with Structural Break

2011 ◽  
Author(s):  
Emerson Fernandes Marçal ◽  
Pedro L. Valls Pereira
Keyword(s):  
Structural Change ◽  
Term Structure ◽  
Structural Break ◽  
Evidence Based

scholarly journals Evaluating the existence of structural change in the Brazilian term structure of interest rate: evidence based on Hansens cointegration models with structural break

2014 ◽  
Vol 8 (2) ◽  
pp. 211
Author(s):  
Emerson F. Marcal ◽  
Pedro L. Valls Pereira
Keyword(s):  
Structural Change ◽  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Risk Premium ◽  
Structural Break ◽  
Sample Period ◽  
Data Set ◽  
Risk Premiums ◽  
Vector Autoregressive

This paper investigates whether there is evidence of struc- tural change in the Brazilian term structure of interest rates. Multivari- ate cointegration techniques are used to verify this evidence. An econo- metric model is estimated which is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using the tech- nique for both databases. The risk premium for dierent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to international stand- ards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

scholarly journals The Analysis of External Debt Sustainability by Periodic Unit Root Test with Structural Break: The Case of Turkey

2015 ◽  
Vol 7 (4) ◽  
pp. 1
Author(s):  
Ozlem Goktas ◽  
Aycan Hepsag
Keyword(s):  
Structural Change ◽  
Unit Root ◽  
Structural Break ◽  
External Debt ◽  
Unit Root Test ◽  
Periodic Process ◽  
Periodic Behavior ◽  
Debt Sustainability ◽  
Empirical Results ◽  
The Third

<p>The aim of this study is to investigate external debt sustainability using the periodic unit root<br />rest with structural break which is introduced by Boswijk and Franses (1995) and then<br />developed by Evans (2006). In order to test the hypothesis, we use quarterly Turkish data<br />measuring the ratio of external debt stock to GDP that covers the period from the first quarter<br />of 1990 to the third quarter of 2012. The empirical results support that the ratio of external<br />debt stock to GDP has the periodic behavior under structural change and follows a<br />nonstationary periodic process with structural break. According to the empirical findings, it is<br />argued that the external debt is unsustainable in Turkey.</p>

Term Structure of Interest Rates with B-Spline Model during the Money-Shortage-Event in China

2014 ◽  
Vol 989-994 ◽  
pp. 5634-5637
Author(s):  
Peng Zheng ◽  
Lian Qiang Yang ◽  
Zhen Ni Dai
Keyword(s):  
Structural Change ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curves ◽  
B Spline ◽  
Parametric Test ◽  
B Splines ◽  
Price Data ◽  
Significant Structural Change ◽  
Total Test

Using the price data of bonds’ transactions during June 2013, the discounting function is fitted by non-uniform cubic B-Splines and yield curves are modeled. Models’ single parametric test and total test are both significant. Furthermore, the structural change’s test shows that there is no significant structural change between adjacent transaction days, which means that the bonds’ market is relatively steady during June 2013.

Testing the Unit Root Hypothesis When the Alternative is a Trend Break Stationary Process: An Application to Tourist Arrivals in Fiji

2005 ◽  
Vol 11 (3) ◽  
pp. 351-364 ◽  
Author(s):  
Paresh Kumar Narayan
Keyword(s):  
New Zealand ◽  
Structural Change ◽  
Unit Root ◽  
Structural Breaks ◽  
Stationary Process ◽  
Structural Break ◽  
Unit Root Tests ◽  
Test Statistic ◽  
Seminal Contribution ◽  
The Usa

The unit root hypothesis owes much to the work of Dickey and Fuller and has gained momentum since the seminal contribution of Perron (1989), who introduced the idea of structural breaks in unit root tests. In a recent study Sen (2003), extending the work of Zivot and Andrews (1992), recommends the F-test statistic for a unit root in the presence of a structural change in the economy. The central aim of this paper is to apply the Sen test to tourist arrivals to Fiji. The idea behind this exercise is to identify the year of the structural break and, more importantly, to examine whether the break has had a permanent or temporary effect on tourist arrivals in Fiji. Among our key results, we find that visitor arrivals in Fiji from Australia, New Zealand and the USA are stationary, implying that shocks have a temporary effect.

scholarly journals The Asian crisis contagion: A dynamic correlation approach analysis

2009 ◽  
Vol 56 (2) ◽  
pp. 241-260 ◽  
Author(s):  
Essahbi Essaadi ◽  
Jamel Jouini ◽  
Wajih Khallouli
Keyword(s):  
Structural Change ◽  
Stock Market ◽  
Structural Break ◽  
Asian Crisis ◽  
Time Varying ◽  
Market Returns ◽  
Stock Market Returns ◽  
Work Shift ◽  
Dynamic Correlation ◽  
Break Points

In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron's (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.

STRUCTURAL CHANGE IN AR(1) MODELS

2001 ◽  
Vol 17 (1) ◽  
pp. 87-155 ◽  
Author(s):  
Terence Tai-Leung Chong
Keyword(s):  
Structural Change ◽  
Sample Size ◽  
Least Squares ◽  
Unit Root ◽  
Change Point ◽  
Structural Break ◽  
Break Point ◽  
Point Estimate ◽  
Least Squares Estimators ◽  
Point Estimator

This paper investigates the consistency of the least squares estimators and derives their limiting distributions in an AR(1) model with a single structural break of unknown timing. Let β1 and β2 be the preshift and postshift AR parameter, respectively. Three cases are considered: (i) |β1| < 1 and |β2| < 1; (ii) |β1| < 1 and β2 = 1; and (iii) β1 = 1 and |β2| < 1. Cases (ii) and (iii) are of particular interest but are rarely discussed in the literature. Surprising results are that, in both cases, regardless of the location of the change-point estimate, the unit root can always be consistently estimated and the residual sum of squares divided by the sample size converges to a discontinuous function of the change point. In case (iii), [circumflex over beta]2 does not converge to β2 whenever the change-point estimate is lower than the true change point. Further, the limiting distribution of the break-point estimator for shrinking break is asymmetric for case (ii), whereas those for cases (i) and (iii) are symmetric. The appropriate shrinking rate is found to be different in all cases.

scholarly journals The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity

2001 ◽  
Vol 15 (4) ◽  
pp. 117-128 ◽  
Author(s):  
Bruce E Hansen
Keyword(s):  
Time Series ◽  
Structural Change ◽  
Labor Productivity ◽  
Time Trends ◽  
Structural Break ◽  
Unit Roots ◽  
Empirical Assessment ◽  
Time Series Econometrics ◽  
The Past ◽  
The Face

We have seen the emergence of three major innovations in the econometrics of structural change in the past fifteen years: (1) tests for a structural break of unknown timing; (2) estimation of the timing of a structural break; and (3) tests to distinguish unit roots from broken time trends. These three innovations have dramatically altered the face of applied time series econometrics. In this paper, we review these three innovations, and illustrate their application through an empirical assessment of U.S. labor productivity in the manufacturing/durables sector.

scholarly journals Quantifying the data-dredging bias in structural break tests

2021 ◽  
Author(s):  
Yannick Hoga
Keyword(s):  
Structural Change ◽  
Historical Data ◽  
A Priori ◽  
Structural Break ◽  
A Priori Knowledge ◽  
Size Distortion ◽  
The Mean ◽  
Structural Break Test ◽  
Structural Break Tests ◽  
Data Dredging

AbstractStructural break tests are often applied as a pre-step to ensure the validity of subsequent statistical analyses. Without any a priori knowledge of the type of breaks to expect, eye-balling the data can indicate changes in some parameter, e.g., the mean. This, however, can distort the result of a structural break test for that parameter, because the data themselves suggested the hypothesis. In this paper, we formalize the eye-balling procedure and theoretically derive the implied size distortion of the structural break test. We also show that eye-balling a stretch of historical data for possible changes in a parameter does not invalidate the subsequent procedure that monitors for structural change in new incoming observations. An empirical application to Bitcoin returns shows that taking into account the data-dredging bias, which is incurred by looking at the data, can lead to different test decisions.

Abstraction: An alternative neurocognitive account of recognition, prediction, and decision making

2020 ◽  
Vol 43 ◽  
Author(s):  
Valerie F. Reyna ◽  
David A. Broniatowski
Keyword(s):  
Decision Making ◽  
Software Engineering ◽  
Systems Engineering ◽  
Evidence Based ◽  
Extensive Literature ◽  
Trace Theory ◽  
Fuzzy Trace Theory ◽  
Abstract Representations ◽  
Technical Systems

Abstract Gilead et al. offer a thoughtful and much-needed treatment of abstraction. However, it fails to build on an extensive literature on abstraction, representational diversity, neurocognition, and psychopathology that provides important constraints and alternative evidence-based conceptions. We draw on conceptions in software engineering, socio-technical systems engineering, and a neurocognitive theory with abstract representations of gist at its core, fuzzy-trace theory.

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