Testing for non-linearity in labour markets: the case of Germany and the UK

Panagiotidis, Theodore; Pelloni, Gianluigi

doi:10.1016/s0161-8938(03)00024-3

Cited by 16 publications

(8 citation statements)

References 15 publications

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“…Our results are consistent with previous studies on non-linearity, which are primarily univariate, such as Bonilla et al (2006, 2011), Romero-Meza et al (2007, Panagiotidis and Pelloni (2003) and Coronado and Gatic, (2011). For Latin American countries, few investigations have empirically studied political cycles, except for Bonilla et al (2013).…”

Section: Discussionsupporting

confidence: 93%

“…To avoid linear dependence for the innovations, we adjusted the residuals from each series to an autoregressive process AR(p); we preferred to choose the better p in accordance with the Schwarz criterion (SC). In contrast to other statistics, the Schwarz criterion is consistent for a particular AR(p) and null hypothesis that generates a linear mechanism (Panagiotidis and Pelloni, 2003). This criterion optimizes lag selection to avoid over-adjustment.…”

Section: Data Featuresmentioning

confidence: 95%

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Non-Linear Multivariate Dependence between the Mexican Stock Market Index and the Exchange Rate: Efficiency Hypothesis and Political Cycle in Mexico (1994-2012)

Coronado

Meza

Martínez

2017

REMEF

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This paper uses a multivariate extension of the non-parametric nonlinearity test from Hinich (1991) with the objective of investigating whether there is a nonlinear relation between the index of The Mexican Stock Exchange (IPC) and the peso/dollar exchange rate measured through the Cross-correlation and cross-correlation in the period 1994-2012 for three sub-periods of presidential administration. This method divides the sample into windows and provides information on nonlinear dependency. The main finding is that no significant cross-correlation windows are detected. However, time windows are observed with a significant cross bicorrelation, which suggests a non-linear and bidirectional relationship between the series. This paper concludes that for the three sub-periods of presidential administration both series maintain the same nonlinear and bidirectional relation for any change in the government with significant windows concentrated at the beginning of the presidential period regardless of the ruling party. Finally, It is important to note that the non-linear bidirectional periods were concentrated in the middle of the last Mexican presidential period, indicating that global external and economic financial factors affected this relationship. detectan ventanas de correlación cruzada significativas. No obstante se observan ventanas de tiempo con una bicorrelación cruzada significativa, lo que sugiere una relación no lineal y bidireccional entre las series. Este trabajo concluye que para los tres subperíodos de administración presidencial ambas series mantienen la misma relación no lineal y bidireccional para cualquier cambio en el gobierno con ventanas significativas concentradas al principio del período presidencial sin importar el partido gobernante. Porúltimo es importante destacar que los períodos no lineales bidireccionales se concentraron a mediados delúltimo período presidencial mexicano, lo que indica que los factores financieros externos y económicos globales afectaron esta relación.

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Section: Discussionsupporting

confidence: 93%

Section: Data Featuresmentioning

confidence: 95%

Non-Linear Multivariate Dependence between the Mexican Stock Market Index and the Exchange Rate: Efficiency Hypothesis and Political Cycle in Mexico (1994-2012)

Coronado

Meza

Martínez

2017

REMEF

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“…Evidence of nonlinearities in stock market indices, exchange rates and labour markets data have been documented in recent literature that employ nonlinearity tests developed in the last two decades (Panagiotidis and Pelloni, 2003;Lim et al, 2004;Bonilla et al, 2006).…”

Section: Related Literaturementioning

confidence: 99%

Stock returns in emerging markets and the use of GARCH models

Bonilla

Sepúlveda

2011

Applied Economics Letters

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We use the Hinich portmanteau bicorrelation test to detect for the adequacy of using GARCH (Generalized Autoregressive Conditional Heteroscedasticity) as the data-generating process to model conditional volatility of stock market index rates of return in 13 emerging economies. We find that a GARCH formulation or any of its variants fail to provide an adequate characterization for the underlying process of the 13 emerging stock market indices. We also study whether there exist evidence of ARCH effects, over windows of 200, 400 and 800 observations, using Engle's LM (Lagrange Multiplier) test, and find that there exist long periods of time with no evidence of ARCH effects. The results suggest that policymakers should use caution when using autoregressive models for policy analysis and forecast because the inadequacy of GARCH models has strong implications for the pricing of stock index options, portfolio selection and risk management. Specially, measures of spillover effects and output volatility may not be accurate when using GARCH models to evaluate economic policy.

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“…Evidence of nonlinearities in stock market indices, exchange rates, and labor markets data has been documented in recent literature that employs nonlinearity tests developed in the last two decades [Panagiotidis and Pelloni (2003); Lim et al (2004); Bonilla et al (2006)], One of the questions that nonlinearity tests answered is the adequacy of ARCH-GARCH formulations in exchange rates and stock markets and that is the aim of this paper, but with the novelty of using Latin American stock market indices data. We concentrate on two aspects of GARCH models.…”

Section: Related Literaturementioning

confidence: 99%

Nonlinearities and Garch Inadequacy for Modeling Stock Market Returns: Empirical Evidence From Latin America

Bonilla

Romero-Meza

Maquieira³

2010

Macroecon. Dynam.

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In this paper, we analyze the adequacy of using GARCH as the data-generating process to model conditional volatility of stock market index rates-of-return series. Using the Hinich portmanteau bicorrelation test, we find that a GARCH formulation or any of its variants fail to provide an adequate characterization for the underlying process of the main Latin American stock market indices. Policymakers need to be careful when using autoregressive models for policy analysis and forecast because the inadequacy of GARCH models has strong implications for the pricing of stock index options, portfolio selection, and risk management. In particular, measures of spillover effects and output volatility may not be correct when GARCH-type models are used to evaluate economic policy.

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Testing for non-linearity in labour markets: the case of Germany and the UK

Cited by 16 publications

References 15 publications

Non-Linear Multivariate Dependence between the Mexican Stock Market Index and the Exchange Rate: Efficiency Hypothesis and Political Cycle in Mexico (1994-2012)

Non-Linear Multivariate Dependence between the Mexican Stock Market Index and the Exchange Rate: Efficiency Hypothesis and Political Cycle in Mexico (1994-2012)

Stock returns in emerging markets and the use of GARCH models

Nonlinearities and Garch Inadequacy for Modeling Stock Market Returns: Empirical Evidence From Latin America

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