The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model

a time-varying multivariate trend-cycle mode

Univariate and multivariate GARCH models applied to the CARBS indices

Abstract: The purpose of this paper is to estimate the calibrated parameters of different univariate and multivariate GARCH family models. It is unrealistic to assume that volatility of financial returns is constant. In the empirical analysis, the symmetric GARCH, and asymmetric GJR-GARCH and EGARCH models were estimated for the CARBS indices and a global minimum variance portfolio (GMVP), the best fitting model was determined using the AIC and BIC. The asymmetric terms of the GJR-GARCH and EGARCH models indicate signs of the leverage effect. The information criterion suggest that the EGARCH model is the best fitting model for the CARBS indices and the GMVP

Unemployment by Gender: Evidence from EU Countries

This paper applies panel unit-root tests that allow for structural breaks and cross-sectional dependence to examine the validity of hysteresis in gender unemployment rates and gender unemployment gap for a panel of 15 European countries. Addressing breaks, there is evidence to reject the null hypothesis of hysteresis for the unemployment rates and unemployment gap series. Allowing for both cross-sectional dependence and heterogeneous structural breaks this result is reverted and we fail to reject the null hypothesis of unit root

Consumption of salt rich products: impact of the UK reduced salt campaign

This paper uses a leading UK supermarket’s loyalty card database to assess the effectiveness and impact of the 2004 UK reduced salt campaign. We present an econometric analysis of purchase data to assess the effectiveness of the Food Standard Agency’s (FSA) ‘reduced salt campaign’. We adopt a general approach to determining structural breaks in the time series of purchase data, using unit root tests whereby structural breaks are endogenously determined from the data. We find only limited evidence supporting the effectiveness of the FSA’s reduced salt campaign. Our results support existing findings in the literature that have used alternative methodologies to examine the impact of information campaigns on consumer choice of products with high salt content

Structural change and foreign direct investment : globalization and regional economic integration

This paper investigates flows of inward and outward foreign direct investment (FDI) and FDI-to-GDP ratios in a sample of 62 countries over a 30 year time span. Using several endogenous structural break procedures (allowing for one and two break points), we find that: (1) the great majority of the series have structural breaks in the last 15 years, (2) post-break FDI and FDI/GDP ratios are substantially higher than the pre-break values, and (3) most breaks seem to be related to globalization, regional economic integration, economic growth, or political instability. Static and dynamic panel-data analy- ses accounting for and/or addressing endogeneity, simultaneity, nonstationar- ity, heterogeneity and cross-sectional dependence show that FDI is negatively related to exchange rate volatility and GDP per capita, but positively related to some regional integration agreements, trade openness, GDP, and GDP growth. Most notably, the European Union is the only regional economic integration unit found to consistently have significant and positive effects on FDI.info:eu-repo/semantics/publishedVersio