| 1. |
- Byusa, Vincent
(författare)
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Money demand, real effective exchange rates, and uncertainty
- 2024
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This PhD thesis consists of three distinct but interrelated research papers that collectively explore critical aspects of money demand, real effective exchange rates behavior, and uncertainty in different contexts. The first paper examines the nature of money demand in Rwanda and the rationale for the country’s monetary policy shift to inflation targeting in 2019, providing evidence of long-run money demand stability despite uncertainties affecting the global economy, and challenging the view that monetary aggregates should have no role in Rwanda’s monetary policy. The second paper investigates the complex effects of grant revenues on real effective exchange rates in Sub-Saharan African countries, revealing the outcomes of short-run depreciation and long-run appreciation. The last paper assesses how exchange rate regime choice affects the degree and persistence of real effective exchange rate misalignments, showing that, relative to a floating exchange rate regime, fixed and intermediate regimes effectively limit misalignment size, although with higher persistence. Together, these papers offer nuanced insights into the interaction between the money market, uncertainty, external grants, and exchange rate regime, underscoring the need for careful policy consideration to ensure economic stability and competitive currency values.
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| 2. |
- Hacker,, R Scott, 1964-, et al.
(författare)
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A Bootstrap Test for Causality with Endogenous Lag Length Choice : theory and application in finance
- 2010
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- Granger causality tests have become among the most popular empirical applications with time series data. Several new tests have been developed in the literature that can deal with different data generating processes. In all existing theoretical papers it is assumed that the lag length is known a priori. However, in applied research the lag length has to be selected before testing for causality. This paper suggests that in investigating the effectiveness of various Granger causality testing methodologies, including those using bootstrapping, the lag length choice should be endogenized, by which we mean the data-driven preselection of lag length should be taken into account. We provide and accordingly evaluate a Granger-causality bootstrap test which may be used with data that may or may not be integrated, and compare the performance of this test to that for the analogous asymptotic test. The suggested bootstrap test performs well and appears to be also robust to ARCH effects that usually characterize the financial data. This test is applied to testing the causal impact of the US financial market on the market of the United Arab Emirates.
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| 3. |
- Hacker, R Scott, 1964-, et al.
(författare)
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An Investigation of the Causal Relations between Exchange Rates and Interest Rates Differentials using Wavelets
- 2010
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- Monthly and quarterly data for the spot exchange rate of the Swedish Krona against major currencies have been used in this paper to investigate the causality in a Granger sense at different time scales between the spot exchange rate and the nominal interest rate differential by using wavelet analysis. Impulse response functions are also utilized to examine the signs of how one of these variables affects the other over time. One key empirical finding from the causality tests is that there is only substantial evidence of a causal relationship in the long run between the two variables. When using monthly data, this is true in both directions. When considering impulse responses on how the interest rate differential affects the exchange rate, there appears to be some evidence of more negative relationships at the shorter time scales and more positive relationships at the longer time scales.
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| 4. |
- Hacker, R. Scott, 1964-, et al.
(författare)
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Commonalities in the levels and movements of the inflation rates among countries in the East African Community
- 2022
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Ingår i: Emerging markets finance & trade. - : Taylor & Francis. - 1540-496X .- 1558-0938. ; 58:9, s. 2493-2504
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Tidskriftsartikel (refereegranskat)abstract
- In this study, we investigate the degree to which inflation rates and their movements for countries in the East African Community (EAC) have become more similar, which is an important issue for the EAC’s goal of creating a common currency. We find that the five EAC countries (excluding South Sudan) have had a tendency to converge in their inflation-rate levels, and we show through an inflation-movement similarity index that inflation-rate changes between consecutive months trended toward becoming more similar between 1995 and 2018 for most country pairs from these EAC countries. We also find that the inflation correlations between these EAC countries seem favorable for monetary union when comparing these correlations to analogous ones for the 2001 European Monetary Union countries prior to the creation of the euro and to analogous ones for the West African Economic Monetary Union countries.
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| 5. |
- Hacker, R. Scott, 1964-, et al.
(författare)
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Model selection in time series analysis : using information criteria as an alternative to hypothesis testing
- 2022
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Ingår i: Journal of economic studies. - : Emerald Group Publishing Limited. - 0144-3585 .- 1758-7387. ; 49:6, s. 1055-1075
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Tidskriftsartikel (refereegranskat)abstract
- Purpose: The issue of model selection in applied research is of vital importance. Since the true model in such research is not known, which model should be used from among various potential ones is an empirical question. There might exist several competitive models. A typical approach to dealing with this is classic hypothesis testing using an arbitrarily chosen significance level based on the underlying assumption that a true null hypothesis exists. In this paper, the authors investigate how successful the traditional hypothesis testing approach is in determining the correct model for different data generating processes using time series data. An alternative approach based on more formal model selection techniques using an information criterion or cross-validation is also investigated.Design/methodology/approach: Monte Carlo simulation experiments on various generating processes are used to look at the response surfaces resulting from hypothesis testing and response surfaces resulting from model selection based on minimizing an information criterion or the leave-one-out cross-validation prediction error.Findings: The authors find that the minimization of an information criterion can work well for model selection in a time series environment, often performing better than hypothesis-testing strategies. In such an environment, the use of an information criterion can help reduce the number of models for consideration, but the authors recommend the use of other methods also, including hypothesis testing, to determine the appropriateness of a model.Originality/value: This paper provides an alternative approach for selecting the best potential model among many for time series data. It demonstrates how minimizing an information criterion can be useful for model selection in a time-series environment in comparison to some standard hypothesis testing strategies.
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| 6. |
- Hacker, R Scott, 1964-, et al.
(författare)
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Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
- 2008
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Ingår i: Journal of Applied Statistics. - : Routledge. - 0266-4763 .- 1360-0532. ; 35:6, s. 601-615
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Tidskriftsartikel (refereegranskat)abstract
- The performance of different information criteria - namely Akaike, corrected Akaike (AICC), Schwarz-Bayesian (SBC), and Hannan-Quinn - is investigated so as to choose the optimal lag length in stable and unstable vector autoregressive (VAR) models both when autoregressive conditional heteroscedasticity (ARCH) is present and when it is not. The investigation covers both large and small sample sizes. The Monte Carlo simulation results show that SBC has relatively better performance in lag-choice accuracy in many situations. It is also generally the least sensitive to ARCH regardless of stability or instability of the VAR model, especially in large sample sizes. These appealing properties of SBC make it the optimal criterion for choosing lag length in many situations, especially in the case of financial data, which are usually characterized by occasional periods of high volatility. SBC also has the best forecasting abilities in the majority of situations in which we vary sample size, stability, variance structure (ARCH or not), and forecast horizon (one period or five). frequently, AICC also has good lag-choosing and forecasting properties. However, when ARCH is present, the five-period forecast performance of all criteria in all situations worsens.
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| 7. |
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| 8. |
- Hacker, R Scott, 1964-, et al.
(författare)
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The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing
- 2010
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- The classic Dickey-Fuller unit-root test can be applied using three different equations, depending upon the inclusion of a constant and/or a time trend in the regression equation. This paper investigates the size and power properties of a unit-root testing strategy outlined in Enders (2004), which allows for repeated testing of the unit root with the three equations depending on the significance of various parameters in the equations. This strategy is similar to strategies suggested by others for unit root testing. Our Monte Carlo simulation experiments show that serious mass significance problems prevail when using the strategy suggested by Enders. Excluding the possibility of unrealistic outcomes and using a priori information on whether there is a trend in the underlying time series, as suggested by Elder and Kennedy (2001), reduces the mass significance problem for the unit root test and improves power for that test. Subsequent testing for whether a trend exists is seriously affected by testing for the unit root first, however.
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| 9. |
- Hacker, R Scott, 1964-, et al.
(författare)
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The Relationship between Exchange Rates and Interest Rate Differentials : a Wavelet Approach
- 2010
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- This paper uses wavelet analysis to investigate the relationship between the spot exchange rate and the interest rate differential for seven pairs of countries, with a small country, Sweden, included in each of the cases. The key empirical results show that there tends to be a negative relationship between the spot exchange rate (domestic-currency price of foreign currency) and the nominal interest rate differential (approximately the domestic interest rate minus the foreign interest rate) at the shortest time scales, while a positive relationship is shown at the longest time scales. This indicates that among models of exchange rate determination using the asset approach, the sticky-price models are supported in the short-run while in the long-run the flexible-price models appear to better explain the sign of the relationship.
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| 10. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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Can the LR Test Be Helpful in Choosing the Otpimal Lag Order in the VAR Model When Information Criteria Suggest Different Lag Orders?
- 2009
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Ingår i: Applied Economics. - : Informa UK Limited. - 0003-6846 .- 1466-4283. ; 41:9, s. 1121-1125
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Tidskriftsartikel (refereegranskat)abstract
- The objective of this simulation study is to investigate whether the likelihood ratio (LR) test can pick the optimal lag order in the vector autoregressive model when the most applied information criteria (i.e. vector Schwarz--Bayesian, SBC and vector Hannan-Quinn, HQC) suggest two different lag orders. This lag-choosing procedure has been suggested by Hatemi-J (1999). The results based on the Monte Carlo simulations show that combining the LR test with SBC and HQC causes a substantial increase in the success rate of choosing the optimal lag order compared to cases when only SBC or HQC are used. This appears to be the case irrespective of homoscedasticity or conditional heteroscedasticity properties of the error-term in small sample sizes. This improvement in choosing the right lag order also tends to improve the forecasting capability of the underlying model.
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