Why are postwar cycles smoother? Impulses or propagation?

We investigate how output fluctuates before and after these financial crises hit the E-7 countries by excluding the crisis period defined earlier from the sample. The E-7 is referred to a group of seven emerging market countries-Thailand, Malaysia, Indonesia, the Philippines, South Korea, Mexico and Argentina. The main focus of this study is on the source of change in output variability whether it is due to the shocks (impulses) or due to the structure (propagation mechanism). Thailand, Argentina and the Philippines have lower output variability after crisis, while South Korea, Mexico, Indonesia and Malaysia have higher output variance. The counterfactual Vector Autoregression (VAR) analysis shows that the source of output variability change is mainly attributable to the change in structure (propagation mechanism) rather than the change in shocks (impulses) for the E-7, except the Philippines.

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Unlocking the sources of the apparent episodic stationarity of the P/E ratio

Karras

Lee

Neuburger³

2007

Review of Accounting and Finance

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Purpose -The purpose of this paper is to investigate the sources of the apparent episodic stationarity of the P/E ratio. Design/methodology/approach -The Stock-Watson procedure is used to decompose a VAR/ VMA model into changes in structure and changes volatility. In theory, if the P/E ratio is properly anticipated and shocks are random, according to Samuelson's proof, it should exhibit the characteristics of a pure martingale and therefore it should not be possible to statistically reject trend nonstationary. Findings -Using a rolling window, the P/E ratio is shown to have episodic periods when trend nonstationarity could be rejected and that the P/E ratio was not properly anticipated. However, if there were changes in the structure of the underlying P/E ratio model or changes in the volatility of the underlying model, it suggests that the shocks impacting the P/E ratio would not be random and it might be possible to reject nonstationarity. This is investigated further with the objective of determining whether there was underlying structural change or volatility changes that are associated with these periods when trend nonstationarity in the P/E ratio could be rejected. The results are tested and found to be robust to a number of different specifications examined, including different data periods and frequencies. Research limitations/implications -Results findings should be tested in other countries and in other periods.

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Why are postwar cycles smoother? Impulses or propagation?

Cited by 3 publications

References 22 publications

Reduced macroeconomic volatility after adoption of inflation targeting: Impulses or propagation?

Reduced macroeconomic volatility after adoption of inflation targeting: Impulses or propagation?

Sources of output volatility from financial crisis in emerging markets

Unlocking the sources of the apparent episodic stationarity of the P/E ratio

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