Vector smooth transition regression models for US GDP and the composite index of leading indicators

Camacho, Máximo

doi:10.1002/for.912

Cited by 107 publications

(82 citation statements)

References 59 publications

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“…Following McConnell and Pérez-Quirós (2000) and Camacho (2004), we compute, at any quarter t, the GMM estimates of the specification where the dummies are α are the estimators of the standard deviation. 2 Andrews (1993) and Andrews and Ploberger (1994) where F=W, LR or LM.…”

Section: Econometric Methodology: Testing For Structural Breaks In Vomentioning

confidence: 99%

“…is an unbiased estimator of the standard deviation of t ε (see McConnell andPérez-Quirós, 2000, andCamacho, 2004).…”

Section: Econometric Methodology: Testing For Structural Breaks In Vomentioning

confidence: 99%

“…We will apply this methodology following the approach proposed by McConnell and Pérez-Quirós (2000) and Camacho (2004). This approach allows us to obtain a profile of pvalues and to delimit periods of stability and instability in the variance of not only the bilateral RERs but in the variance of the effective RERs too.…”

Section: Introductionmentioning

confidence: 99%

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Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates

Morales‐Zumaquero

Sosvilla‐Rivero

2010

Journal of International Money and Finance

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This paper attempts to determine whether or not nominal exchange rate regimes affect the volatility of bilateral and effective real exchange rates. To that end, we examine the real exchange rate behaviour for a set of OECD and non-OECD countries during the 1960-2006 period, therefore covering both the Bretton Woods system of fixed exchange rates and adoption of generalised floating exchange rates from 1973. We make use of an econometric methodology based on the Hansen (1997)'s approximation to the p-values of the supreme, exponential and average statistics developed by Andrews (1993) and Andrews and Ploberger (1994). This methodology allows us to obtain a profile of pvalues and to delimit periods of stability and instability in the variance of real exchange rates. Results suggest that there is clear evidence in favour of the non-neutrality of nominal exchange rate regime regarding real exchange rate volatility for developed countries, but not in the case of developing or emerging countries. JEL Classification Numbers: F31, F33, F41

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Section: Econometric Methodology: Testing For Structural Breaks In Vomentioning

confidence: 99%

“…is an unbiased estimator of the standard deviation of t ε (see McConnell andPérez-Quirós, 2000, andCamacho, 2004).…”

Section: Econometric Methodology: Testing For Structural Breaks In Vomentioning

confidence: 99%

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Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates

Morales‐Zumaquero

Sosvilla‐Rivero

2010

Journal of International Money and Finance

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“…Following Weise (1999), we base the linearity tests on Taylor series expansions of ‫ݖ‪ሺ‬ܨ‬ ௧ ሻ around ߛ = 0. In the case of the switching variable, ‫ݖ‬ ௧ , being one of the explanatory variables, ܺ ௧ , Camacho (2004) avoids an identification problem by using a third-order Taylor expansion (as opposed to a first-order expansion, as used by Weise (1999)). We then follow Weise's (1999) three-step procedure described in Granger and Teräsvirta (1993) …”

Section: Data Data Data Datamentioning

confidence: 99%

Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach

Balcılar

Thompson

Gupta

et al. 2016

Journal of International Financial Markets, Institutions and Mo

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Abstract AbstractThe negative consequences of financial instability for the world economy during the recent financial crisis have highlighted the need for a better understanding of financial conditions. We use a financial conditions index (FCI) for South Africa previously constructed from 16 financial variables to test whether the South African economy responds in a nonlinear and asymmetric way to unexpected changes in financial conditions. To this end, we make use of a nonlinear logistic smooth transition vector autoregressive model (LSTVAR), which allows for a smooth evolution of the economy, governed by a chosen switching variable between periods of high and low financial volatility. We find that the South African economy responds nonlinearly to financial shocks, and that manufacturing output growth and Treasury Bill rates are more affected by financial shocks during upswings. Inflation responds significantly more to financial changes during recessions.

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“…We follow the specification suggested in Camacho (2004), which adapts the univariate proposal of Granger and Teräsvirta (1993) to a multiequation context, for the empirical examination of the behavior of Japanese Yen swap spreads. The first step of the estimation is to specify a linear VAR model as the basis to obtain the nonlinear results.…”

Section: Linearity Tests and The Transition Functionmentioning

confidence: 99%

Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model

Huang

Chen

Camacho

2007

Journal of Futures Markets

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This study investigates the determinants of variations in the yield spreads between Japanese yen interest rate swaps and Japan government bonds for a period from 1997 to 2005. A smooth transition vector autoregressive (STVAR) model and generalized impulse response functions are used to analyze the impact of various economic shocks on swap spreads. The volatility based on a GARCH (generalized autoregressive conditional heteroskedasticity) model of the government bond rate is identified as the transition variable that controls the smooth transition from a high volatility regime to a low volatility regime. The break We thank two anonymous reviewers and the editor, Bob Webb, for helpful comments. The views in this paper are those of the authors and do not represent the views of the Bank of Spain or the Eurosystem. point of the regime shift occurs around the end of the Japanese banking crisis. The impact of economic shocks on swap spreads varies across the maturity of swap spreads as well as regimes. Overall, swap spreads are more responsive to the economic shocks in the high volatility regime. Moreover, a volatility shock has profound effects on shorter maturity spreads, whereas the term structure shock plays an important role in impacting longer maturity spreads. Results of this study also show noticeable differences between the nonlinear and linear impulse response functions.

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Vector smooth transition regression models for US GDP and the composite index of leading indicators

Cited by 107 publications

References 59 publications

Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates

Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates

Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach

Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model

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