High Inflation, Hyperinflation and Explosive Roots: The Case of Yugoslavia

The focus is on ’explosive root VAR’ modelling of money, prices, wages, and exchange rates applied to the Jugoslav high inflation/hyperinflation transition period from a centrally planned economy to a more market oriented economy. The I(2) model, which has previously been used to estimate the Cagan model for hyperinflation, is shown to yield incorrect inference when there are explosive roots in the data. The paper develops an econometric framework for the empirical analysis of hyperinflationary episodes and illustrates the importance of exploiting the system dynamics of all the variables in the system for a full understanding of the hyperinflationary mechanisms. The empirical results suggest that excessive nominal wage claims, inflationary expectations and the rate of currency depreciation were the main causes to the Yugoslav hyperinflation rather than the financing of government debt by money printing.Explosive roots; Hyperinflation; Polynomial Cointegration; Transition Economies

The role of income in money demand during hyper-inflation: the case of Yugoslavia

During extreme hyper-inflations productivity tends to fall dramatically. Yet, in models of money demand in hyper-inflation variables such as real income has been given a somewhat passive role, either assuming it exogenous or to have a negligible role. In this paper we use an empirical methodology based on cointegrated vector autoregressions to analyse data from the extreme Yugoslavian episode to investigate the role of income. The analysis suggests that even in extreme hyper-inflation the monetary variables and real income are simultaneously determined. The methodology enables a description of the short term adjustment of the variables considered.Cointegration, hyper-inflation, income, money-demand

Estimation of the value-at-risk parameter: Econometric analysis and the extreme value theory approach

In this paper different aspects of value-at-risk estimation are considered. Daily returns of CISCO, INTEL and NASDAQ stock indices are analyzed for period: September 1996 - September 2006. Methods that incorporate time varying variability and heavy tails of the empirical distributions of returns are implemented. The main finding of the paper is that standard econometric methods underestimate the value-at-risk parameter if heavy tails of the empirical distribution are not explicitly taken into account.

Relationship between inflation and inflation uncertainty: The case of Serbia

The purpose of this paper is to examine the relationship between inflation and inflation uncertainty in the Serbian economy, being particularly vulnerable to shocks in inflation rate, during transition period 2001 - 2007. Based on monthly data several GARCH specifications are estimated to provide the measure for inflation uncertainty. Derived variables are then included into VAR model to test for Granger-causality between inflation and its uncertainty. Models that consider only permanent and transitory components of prices are also estimated to investigate the inflation-uncertainty relationship in the long and in the short run. The main conclusion of the paper is that high inflation invokes high uncertainty, while high uncertainty negatively affects the level of inflation at long horizon

Cagan's paradox and money demand in hyperinflation: Revisited at daily frequency

Using daily data the Cagan money demand is estimated and accepted for the most severe portion of Serbia's 1992-1993 hyperinflation, i.e. its last 6 months. An implication is that the public adjusted daily throughout this extreme period. Moreover, the obtained semi-elasticity estimates are by far lower than those previously found using monthly data sets. Consequently, the daily estimates reject the longstanding Cagan's paradox, based on monthly studies, by showing that the economy has been on the correct, increasing side of the Laffer curve almost through the end of hyperinflation. This strongly supports the view that hyperinflation is triggered and driven all way through its end by the government's hunt for non-decreasing seigniorage. Daily adjustments of public in hyperinflation can account for the difference between the results obtained at daily and monthly frequencies, calling into question the latter. Some evidence is offered that the findings of this paper may hold for other hyperinflations.Hyperinflation Money demand Cagan's paradox Daily frequency

Characterization of maize inbred lines based on molecular markers, heterosis and pedigree data

Information about the genetic diversity of inbred lines is essential in planning maize breeding programmes. Utilization of diverse parents in the process of hybridization has the greatest influence on producing high yielding hybrids. The aim of this research was to determine genetic diversity of ten maize inbred lines of different origin on the basis of protein and RAPD markers and to compare these results with pedigree and grain yield heterosis data. Results of genetic distances, based on protein and RAPD markers were similar and in concurrence with the date on the origin of inbreds. Usefulness of protein and RAPD markers for assigning inbreds to heterotic groups was examined by the cluster analysis. Cluster analysis based on protein markers, RAPD and heterosis showed clear grouping of lines into two main heterotic groups. Only few deviations were noticed, and those among inbreds not belonging to those heterotic groups. According to the observed results it could be concluded that grouping of inbred lines based on molecular markers, generally agrees with their pedigrees and that clusters are representatives of heterotic groups. Very high and highly significant estimate of rank correlation coefficient between RAPD and heterosis (0,876**) also confirmed that.Stvaranje visokoprinosnih hibrida kukuruza u direktnoj je zavisnosti od genetičke udaljenosti roditeljskih komponenti, te je za proces selekcije neophodno poznavanje genetičke divergentnosti samooplodnih linija kukuruza. Cilj ovog rada bio je da se utvrdi genetička divergentnost 10 samooplodnih linija kukuruza različitog porekla na osnovu proteinskih i RAPD markera i da se ti podaci uporede sa podacima o heterozisu i njihovim poreklom. Izračunata genetička distanca na osnovu proteinskih i RAPD markera pokazala je podudarne rezultate, koji su takođe bili saglasnosti sa podacima o poreklu tih linija. Klasterima na osnovu heterozisa, proteinskih i RAPD markera, linije su grupisane u dve osnovne heterotične grupe. Primećeno je nekoliko odstupanja i to kod linija koje po poreklu nisu pripadale tim heterotičnim grupama. Na osnovu ovoga može se zaključiti da je karakterizacija linija putem podataka dobijenih molekularnim markerima uglavnom u saglasnosti sa podacima o njihovom poreklu i da se na osnovu klastera može dobiti jasna i precizna slika o njihovom klasifikovanju u odgovarajuće heterotične grupe. Ovo je potvrđeno i vrednostima koeficijenta korelacije ranga koji su bili visoko značajni između oba metoda markera i heterozisa, a naročito između RAPD i heterozisa (0,876**)