| 1. |
- Gunduz, Lokman, et al.
(författare)
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Is the tourism-led growth hypothesis valid for Turkey?
- 2005
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Ingår i: Applied Economics Letters. - : Routledge. - 1350-4851 .- 1466-4291. ; 12:8, s. 499-504
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Tidskriftsartikel (refereegranskat)abstract
- Like many developing countries, Turkey has also given priority to the development of tourism industry as a part of its economic growth strategy. This study intends to investigate whether tourism has really contributed to the economic growth in Turkey. The interaction between tourism and economic growth is investigated by making use of leveraged bootstrap causality tests. This method is robust to the existence of non-normality and ARCH effects. Special attention is given to the choice of the optimal lag order of the empirical model. It is found that the tourism-led growth hypothesis is supported empirically in the case of Turkey.
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| 2. |
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| 3. |
- Gündüz, Lokman, et al.
(författare)
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Stock Price and Volume Relation in Emerging Markets
- 2005
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Ingår i: Emerging markets finance & trade. - : M. E. Sharpe. - 1540-496X .- 1558-0938. ; 41:1, s. 29-44
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Tidskriftsartikel (refereegranskat)abstract
- This paper explores the causal relationship between stock prices and volume figures for stock markets in the Czech Republic, Hungary, Poland, Russia, and Turkey. Prior to running causality tests, the time series properties of the data are carefully investigated and special attention is given to the choice of optimal lag order. Granger causality tests, based on the Toda-Yamamoto (1995) procedure, reveal that there is no causal relationship between the variables in the Czech Republic. In Hungary, there is a bidirectional causality irrespective of volume or market turnover tested. In Poland, while there is bidirectional causality between stock prices and volume, there exists a unidirectional causality running from market turnover to stock prices. The stock prices unidirectionally cause both volume and market turnover without any feedback in the case of Russia and Turkey. These results have important implications regarding market efficiency and the effects of different market characteristics on the stock price/volume relation.
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| 4. |
- Hacker,, R Scott, 1964-, et al.
(författare)
-
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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| 5. |
- Hacker, R. Scott, et al.
(författare)
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A bootstrap test for causality with endogenous lag length choice : theory and application in finance
- 2012
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Ingår i: Journal of economic studies. - : Emerald. - 0144-3585 .- 1758-7387. ; 39:2, s. 144-160
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Tidskriftsartikel (refereegranskat)abstract
- Purpose – In all existing theoretical papers on causality 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. The purpose of this paper is to suggest 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.Design/methodology/approach – The size and power of a bootstrap test with endogenized lag-length choice are investigated by simulation methods. A statistical software component is produced to implement the test, which is available online.Findings – The simulation results show that this test performs well. An application of the test provides empirical support for the hypothesis that the UAE financial market is integrated with the US market.Social implications – The empirical results based on this test are expected to be more precise.Originality/value – This paper considers a bootstrap test for causality with endogenous lag order. This test has superior properties compared to existing causality tests in terms of size, with similar if not better power and it is robust to ARCH effects that usually characterize financial data. Practitioners interested in causal inference based on time series data might find the test valuable.
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| 6. |
- Hacker, R Scott, et al.
(författare)
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A Test for Multivariate ARCH Effects
- 2005
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Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1350-4851 .- 1466-4291. ; 12:7, s. 411-417
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Tidskriftsartikel (refereegranskat)abstract
- This paper extends Engle's LM test for ARCH affects to multivariate cases. The size and power properties of this multivariate test for ARCH effects in VAR models are investigated based on asymptotic and bootstrap distributions. Using the asymptotic distribution, deviations of actual size from nominal size do not appear to be very excessive. Nevertheless, there is a tendency for the actual size to overreject the null hypothesis when the nominal size is 1% and underreject the null when the nominal size is 5% or 10%. It is found that using a bootstrap distribution for the multivariate LM test is generally superior in achieving the appropriate size to using the asymptotic distribution when (1) the nominal size is 5%; (2) the sample size is small (40 observations) and/or the VAR system is stable. With a small sample, the power of the test using the bootstrap distribution also appears better at the 5% nominal size.
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| 7. |
- Hacker, R Scott, et al.
(författare)
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An Alternative Method to Test for Contagion with an Application to the Asian Financial Crisis
- 2005
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Ingår i: Applied Financial Economics Letters. - : Informa UK Limited. - 1744-6546 .- 1744-6554. ; 1:6, s. 343-347
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the size properties of a test for contagion based on an asymptotic t -distribution. The simulations show that this asymptotic test does not have correct size properties. An alternative test method based on case-resampling bootstrapping is introduced to improve on the correctness of inference. The simulations show that this new test has much better size properties. It also has quite high power properties and it is robust to ARCH effects. The method is applied to testing for contagion from Thailand to Indonesia during the Asian financial crisis.
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| 8. |
- Hacker, R Scott, et al.
(författare)
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Capital Mobility in Sweden : A Time Varying Parameter Approach
- 2007
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Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1350-4851 .- 1466-4291. ; 14:15, s. 1115-1118
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Tidskriftsartikel (refereegranskat)abstract
- This article investigates the degree of capital mobility in Sweden during 1993 to 2004 using quarterly data. A time varying parameter model is estimated by the Kalman filter, and it shows that the relationship between investment as share in gross domestic product (GDP) and saving as share in GDP is much less than one (within the interval of 0.25–0.35), indicating substantial capital mobility. However, since the coefficient in each period is statistically different from zero, capital is still not perfectly mobile. Nevertheless, capital mobility seems to have increased until 1995 when Sweden became a member of EU and after membership there seems to be no significant increase in capital mobility.
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| 9. |
- Hacker, R Scott, et al.
(författare)
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How Productivity and Domestic Output Are Related to Exports and Foreign Output in the Case of Sweden
- 2003
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Ingår i: Empirical Economics. - : Springer Science and Business Media LLC. - 0377-7332 .- 1435-8921. ; 28:4, s. 767-782
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Tidskriftsartikel (refereegranskat)abstract
- In this paper we examine the relationships between two sets of three variables: Swedish real exports, Swedish real GDP, and foreign real GDP in one set; and Swedish real exports, Swedish total factor productivity, and foreign real GDP in the other set. The foreign real GDP facing Sweden is proxied by total OECD real GDP minus Sweden's real GDP. Multivariate tests for integration and cointegration show that the variables in each model are cointegrated. We also perform Granger causality tests on these variables in our examination using the Toda-Yamamoto procedure. We discover bi-directional causality between Swedish real exports and Swedish real GDP (or Swedish total factor productivity). Foreign real GDP is shown to Granger cause Swedish real exports, but no significant causation of foreign real GDP on either domestic GDP or total factor productivity was found. A change in foreign real GDP thus appears to affect Swedish output and productivity only indirectly, through changes in Swedish exports.
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| 10. |
- Hacker, R Scott, et al.
(författare)
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Is the J-Curve Effect Observable for Small North European Economies?
- 2003
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Ingår i: Open Economies Review. - 0923-7992 .- 1573-708X. ; 14:2, s. 119-134
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Tidskriftsartikel (refereegranskat)abstract
- The present study tests for the J-curve for five North European countries—Belgium, Denmark, The Netherlands, Norway, and Sweden—using generalized impulse response functions. The results provide empirical support for the J-curve. Each country has an impulse response function generated from a vector error-correction model that suggests that after a depreciation, there will be a dip in the export-import ratio within the first half-year after the depreciation. The long-run export-import ratio appears to be higher than the low point of this early dip in almost all cases. Also, in most cases, the export-import ratio appears in many periods after the depreciation to be converging from below to a higher long-run equilibrium.
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| 11. |
- 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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| 12. |
- Hacker, R. Scott, et al.
(författare)
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Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing
- 2014
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Ingår i: Empirical Economics Review. - 2222-9736. ; 3:1, s. 83-97
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Tidskriftsartikel (refereegranskat)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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| 13. |
- Hacker, R Scott, et al.
(författare)
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Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions : Theory and Application
- 2006
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Ingår i: Applied Economics. - : Informa UK Limited. - 0003-6846 .- 1466-4283. ; 38:13, s. 1489-1500
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Tidskriftsartikel (refereegranskat)abstract
- Causality tests in the Granger's sense are increasingly applied in empirical research. Since the unit root revolution in time-series analysis, several modifications of tests for causality have been introduced in the literature. One of the recent developments is the Toda-Yamamoto modified Wald (MWALD) test, which is attractive due to its simple application, its absence of pre-testing distortions, and its basis on a standard asymptotical distribution irrespective of the number of unit roots and the cointegrating properties of the data. This study investigates the size properties of the MWALD test and finds that in small sample sizes this test performs poorly on those properties when using its asymptotical distribution, the chi-square. It is suggested that use be made of a leveraged bootstrap distribution to lower the size distortions. Monte Carlo simulation results show that an MWALD test based on a bootstrap distribution has much smaller size distortions than corresponding cases when the asymptotic distribution is used. These results hold for different sample sizes, integration orders, and error term processes (homoscedastic or ARCH). This new method is applied to the testing of the efficient market hypothesis
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| 14. |
- Hacker, R Scott, et al.
(författare)
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The Effect of Exchange Rate Changes on Trade Balances in the Short and Long Run : Evidence from German Trade with Transitional Central European Economies
- 2004
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Ingår i: The Economics of Transition. - : Wiley. - 0967-0750 .- 1468-0351. ; 12:4, s. 777-799
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Tidskriftsartikel (refereegranskat)abstract
- Using generalized impulse response functions, this study tests for the trade J-curve for three transitional central European countries – the Czech Republic, Hungary, and Poland – in their bilateral trade with respect to Germany. Our findings suggest that for each country there are some characteristics associated with a J-curve effect: after a (real or nominal) depreciation the export-to-import ratio briefly drops to below its initial value within a few months and then rises to a long run equilibrium value higher than the initial one.
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| 15. |
- Hacker, R Scott, et al.
(författare)
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The Effect of Regime Shifts on the Long-Run Relationships for Swedish Money Demand
- 2005
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Ingår i: Applied Economics. - : Informa UK Limited. - 0003-6846 .- 1466-4283. ; 37:15, s. 1731-1736
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Tidskriftsartikel (refereegranskat)abstract
- When the possibility of an unknown structural break is allowed and it is taken into account we find a significant long-run relationship between Swedish money demand and its determinants that is not found when no break is considered. The estimated elasticities show that money demand is more responsive to its determinants in the period after the break than before. Possible underlying reasons for the occurrence of this break and its implications are explained.
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| 16. |
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| 17. |
- 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
-
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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| 18. |
- Hacker, R Scott, et al.
(författare)
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Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter : Journal of the Institute for International Economics
- 2005
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Ingår i: Economia Internazionale/International Economics. - : Camera di commercio, industria e agricoltura.. - 0012-981X. ; 58:3, s. 327-336
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Tidskriftsartikel (refereegranskat)abstract
- The objective of this study is to provide estimates of the Phillips curve in the US during the period 1951-2001 using some time-varying parameters and the Kalman filter. Time-varying estimates for the sensitivity of inflation to the unemployment rate are provided in addition to time-varying estimates for the NAIRU (the non-accelerating inflation rate of unemployment). Our results for the NAIRU do not significantly differ from that of others with time-varying estimates of it, with it peaking around 1980 (1979 in our case). Inflation is found to have become increasingly sensitive to unemployment in the late 1950s through the early 1970s, and peaked in the late 1970s – early 1980s. After that, the sensitivity decreased only slightly.
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| 19. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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A bootstrap-corrected causality test : another look at the money–income relationship
- 2006
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Ingår i: Empirical Economics. - : Springer. - 0377-7332 .- 1435-8921. ; 31:1, s. 207-216
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Tidskriftsartikel (refereegranskat)abstract
- Previous studies of the causal relationship between money supply and real output are based on asymptotic distributions. If the assumption of normality is not fulfilled and if ARCH effects are present, asymptotic distributions perform inaccurately. In this paper, we reinvestigate the potential causal relationship between money and output by applying an alternative methodology based on the leveraged bootstrapped simulation techniques using data from Denmark, Japan, Sweden, and the US. We find unidirectional causality from money to output for the sample countries except for Sweden for which causality is bi-directional. This finding of unidirectional causality between money and output supports monetary business-cycle models and reveals one important policy implication—that is, in looking for the sources of output fluctuations, money might be a major factor.
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| 20. |
- Hatemi-J, Abdulnasser
(författare)
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A new method to choose optimal lag order in stable and unstable VAR models
- 2003
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Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1466-4291 .- 1350-4851. ; 10:3, s. 135-137
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Tidskriftsartikel (refereegranskat)abstract
- A crucial aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inference in the VAR model is based on the chosen lag order. Here, a new information criterion is introduced for this purpose. The conducted Monte Carlo simulation experiments show that this new information criterion performs well in picking the true lag order in stable as well as unstable VAR models.
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| 21. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
- 2006
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Ingår i: Economic Modelling. - : Elsevier. - 0264-9993 .- 1873-6122. ; 23:6, s. 993-1007
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Tidskriftsartikel (refereegranskat)abstract
- This article investigates the issue of international portfolio diversification with respect to the three largest financial markets in the world-namely the US, Japan and the UK. In addition to making use of traditional portfolio analysis, we also suggest a procedure to calculate bootstrap correlation coefficients that can take into account the dynamic structure between the markets as measured by bootstrapped causality tests. Weekly data is used. The results from the first approach are supporting international diversification. The bootstrapped causality tests provide additional empirical support for this conclusion since the size of the causal effects is negligible and the bootstrap correlations are similar as the standard ones. (c) 2006 Elsevier B.V. All rights reserved.
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| 22. |
- Hatemi-J, Abdulnasser
(författare)
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A re-examination of the Fisher effect using an alternative approach
- 2011
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Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1466-4291 .- 1350-4851. ; 18:9, s. 855-858
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Tidskriftsartikel (refereegranskat)abstract
- The Fisher Effect (FE) is of fundamental importance in financial markets. The majority of previous studies have not managed to obtain the expected one-for-one reaction of the nominal interest rate to the inflation rate. The aim of this article is to reinvestigate the FE for the USA and the UK using a case-wise bootstrap approach developed by Hatemi-J and Hacker (2005). This method is robust to nonnormality or heteroscedasticity and it is used to calculate and test the statistical significance of the coefficients. The results support a tax-adjusted FE in the presence of a structural break.
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| 23. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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An Alternative Method to Measure Contagion with an Application to the Asian Financial Crisis
- 2005
-
Ingår i: Applied Financial Economics Letters. - : Routledge. - 1744-6546 .- 1744-6554. ; 1:6, s. 343-347
-
Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the size properties of a test for contagion based on an asymptotic t-distribution. The simulations show that this asymptotic test does not have correct size properties. An alternative test method based on case-resampling bootstrapping is introduced to improve on the correctness of inference. The simulations show that this new test has much better size properties. It also has quite high power properties and it is robust to ARCH effects. The method is applied to testing for contagion from Thailand to Indonesia during the Asian financial crisis.
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| 24. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method
- 2004
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Ingår i: The European Journal of Finance. - : Routledge. - 1466-4364 .- 1351-847X. ; 10:6, s. 475-488
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Tidskriftsartikel (refereegranskat)abstract
- The paper examines the equity market price interaction between Australia and the European Union - represented by the UK, Germany and France - based on the Toda-Yamamoto causality test, which is bootstrapped with leveraged adjustments. A new information criterion is used to choose the optimal lag order. Weekly MSCI data covering the period 1988 to 2001 is used, divided into two subperiods to allow for a structural break arising from the ERM crisis of 1992. Results show that, during the period before the ERM crisis, no significant causal links exist between Australia and any of three EU countries. During the period after the ERM crisis, Australia also had no causal links with Germany and France but it had with the UK, with causality running from the UK to Australia but not vice-versa. Thus, Australian investors may find the German and French, but not the UK, equity markets, attractive venues for their international diversification. German and French, but not British, investors may also obtain the same benefit from the Australian equity market.
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| 25. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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Bilateral trade elasticities : Sweden versus her trade partners
- 2005
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Ingår i: American Review of Political Economy. - : ARPE Journal. - 1551-1383. ; 3:2, s. 38-50
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Tidskriftsartikel (refereegranskat)abstract
- This study explores the long-run bilateral trade elasticities between Sweden and its six major trading partners for the period 1960-1999. Tests for unit roots and cointegration in a panel perspective are conducted. The estimated cross sectional trade elasticities show that trade is highly sensitive to changes in income but less sensitive to real exchange rate fluctuations. The bilateral trade elasticities disclose that the Marshall-Lerner condition is not satisfied (except for Germany) and real depreciation of the Swedish currency has less favorable impact on the trade balance. The policy implications of our findings are also discussed.
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