Studies in Nonlinear Dynamics & Econometrics

Published by De Gruyter

Volume 5 Issue 3

October 2001

Issue of Studies in Nonlinear Dynamics & Econometrics

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Contents
Journal Overview

Article

October 1, 2001

Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis

Mark P. Taylor, Lucio Sarno

Abstract

We examine the behavior of the real exchange rates of nine transition economies during the 1990s. We propose an empirical model rationalized on the basis of standard economic models in the tradition of Mundell-Fleming-Dornbusch and Harrod-Balassa-Samuelson, allowing explicitly for real interest rate differentials and (implicitly) for productivity differentials to have an impact on real exchange rate equilibrium and employing nonlinear modeling techniques that are consistent with recently developed economic theories and observed regularities. Using a nonlinear multivariate generalization of the Beveridge-Nelson decomposition applied to our models, we also identify the permanent and temporary components of these real exchange rates implied by our estimates. The results have a natural interpretation and clear policy implications.

October 1, 2001

Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective

Jerry Coakley, Ana-María Fuertes, Gylfi Zoega

Abstract

This paper assesses empirically two competing unemployment theories. It identifies one structural break in U.K. and German unemployment around 1980 that is more severe in both absolute and relative terms than that for the United States in 1973. This offers support for the structuralist theory. A nonlinear (TAR) model is used to capture fast-up, slow-down unemployment dynamics. Impulse response functions suggest that the half-lives of shocks are longer in the postbreak subsamples, especially in Europe, which places the persistence theory closer to the mark. We conclude that elements from both theories are needed for an adequate account of unemployment dynamics.

October 1, 2001

Energy Shocks and Financial Markets: Nonlinear Linkages

Cetin Ciner

Abstract

This paper examines the dynamic linkages between oil prices and the stock market. Prior work argues that daily oil futures price changes and the S&P 500 stock index movements are not related. This conclusion could be due to the fact that only linear linkages have been examined. Relying on nonlinear causality tests, this study provides evidence that oil shocks affect stock index returns, which is consistent with the documented influence of oil on economic output. Moreover, the study finds that the linkage between oil prices and the stock market was stronger in the 1990s.

Algorithm

October 1, 2001

EVIM: A Software Package for Extreme Value Analysis in MATLAB

Ramazan Gençay, Faruk Selçuk, Abdurrahman Ulugülyagci

Abstract

From the practitioners' point of view, one of the most interesting questions that tail studies can answer is what are the extreme movements that can be expected in financial markets? Have we already seen the largest ones or are we going to experience even larger movements? Are there theoretical processes that can model the type of fat tails that come out of our empirical analysis? Answers to such questions are essential for sound risk management of financial exposures. It turns out that we can answer these questions within the framework of the extreme value theory. This paper provides a step-by-step guideline for extreme value analysis in the MATLAB environment with several examples.

About this journal

Objective
A peer-reviewed journal since 1996, Studies in Nonlinear Dynamics & Econometrics (SNDE) is at the forefront of statistical and theoretical approaches to economics. The journal studies ways in which econometrics and dynamical systems theory increase our understanding of economic and financial markets. The journal disseminates authors' algorithms, programs, and data sets, allowing other scholars to replicate empirical results. Authors include econometricians such as Clive Granger, James Hamilton, and Halbert White, and theorists Jess Benhabib, Alan Kirman, and Kazuo Nishimura.

Best Paper Award
Since 2015, the Society has awarded $500 each year to the best paper published in the Society’s journal: Studies in Nonlinear Dynamics and Econometrics.

The Best Paper in 2022 for Studies in Nonlinear Dynamics and Econometrics, has been awarded to Szabolcs Blazsek, Alvaro Escribano and Adrian Licht. for their paper: "Multivariate Markov-switching score-driven models: an application to the global crude oil market" Studies in Nonlinear Dynamics & Econometrics, vol. 26, no. 3, 2022, pp. 313-335.

The Best Paper in 2021 for Studies in Nonlinear Dynamics and Econometrics, has been awarded to Eric Mark Aldrich and Howard Kung for their paper: “Computational Methods for Production-Based Asset Pricing Models with Recursive Utility”, published in Volume 25, Issue 1.

The Best Paper in 2020 for Studies in Nonlinear Dynamics and Econometrics, has been awarded to Gregor Bäurle, Daniel Kaufmann, Sylvia Kaufmann and Rodney Strachan for their paper: “Constrained interest rates and changing dynamics at the zero lower bound”, published in Volume 24, Issue 2.

The Best Paper in 2019 for Studies in Nonlinear Dynamics and Econometrics, has been awarded to Chang-Jin Kim and Yunmi Kim for their paper: “A unified framework jointly explaining business conditions, stock returns, volatility and “volatility feedback news” effects”, published in Volume 23, Issue 2.

The Best Paper in 2018 for Studies in Nonlinear Dynamics and Econometrics, has been awarded to Luiggi Donayre, Yunjong Eo and James Morley for their paper: “Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples”,published in Volume 22, Issue 1 (Feb 2018)

The Best Paper in 2017 for Studies in Nonlinear Dynamics and Econometrics has been awarded to Julien Chevallier and Stephane Goutte for their paper: “On the estimation of regime-switching Levy models”, published in Volume 21, Issue 1 (Feb 2017).

The Best Paper in 2016 for Studies in Nonlinear Dynamics and Econometrics has been awarded to Mark J. Jensen for his paper: “Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility?”, published in Volume 20, Issue 4 (Sept. 2016).

The Best Paper in 2015 for Studies in Nonlinear Dynamics and Econometrics has been awarded to Markus Jochmann and Gary Koop for their paper: “Regime-switching cointegration?”, published in Volume 19, Issue 1 (Feb 2015).

Topics

Probability
Statistics
Macroeconomics
Finance
Forecasting
Econometrics

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