Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group
AbstractThe authors analyze several monthly and quarterly macroeconomic time series for the Czech Republic, Poland, Hungary, and Slovakia. These countries embarked on an economic transition in the early 1990s which ultimately led to their membership in the European Union, with Slovakia joining the euro area in 2009. It is natural to assume that changes of such a magnitude should also influence the major macroeconomic indicators. The authors explore the characteristics of these series by endogenously identifying their volatility regimes. In the course of their analysis, they show the difficulties in the handling of unit roots as a necessary step preceding volatility modeling. The final set of breaks identified shows very few changes near the beginning of the series, which corresponds to the transition period.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.
Volume (Year): 61 (2011)
Issue (Month): 6 (December)
macroeconomic fluctuations; economic transition; structural breaks; volatility regimes; cumulative sum of squares; unit root testing;
Find related papers by JEL classification:
- O11 - Economic Development, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E00 - Macroeconomics and Monetary Economics - - General - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marianne Sensier & Dick van Dijk, 2004.
"Testing for Volatility Changes in U.S. Macroeconomic Time Series,"
The Review of Economics and Statistics,
MIT Press, vol. 86(3), pages 833-839, August.
- M Sensier & D van Dijk, 2003. "Testing for Volatility Changes in US Macroeconomic Time Series," Centre for Growth and Business Cycle Research Discussion Paper Series 36, Economics, The Univeristy of Manchester.
- James H. Stock & Mark W. Watson, 2002.
"Has the Business Cycle Changed and Why?,"
NBER Working Papers
9127, National Bureau of Economic Research, Inc.
- Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008.
"Is the Great Moderation Ending? UK and US Evidence,"
2008-24, University of Connecticut, Department of Economics.
- Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working Papers 0801, University of Nevada, Las Vegas , Department of Economics.
- Kenneth D. West & Whitney K. Newey, 1995.
"Automatic Lag Selection in Covariance Matrix Estimation,"
NBER Technical Working Papers
0144, National Bureau of Economic Research, Inc.
- Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Wiley Blackwell, vol. 61(4), pages 631-53, October.
- WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2007.
"Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models,"
2007-20, University of Connecticut, Department of Economics, revised Mar 2008.
- WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008. "Cross-Country Evidence On Output Growth Volatility: Nonstationary Variance And Garch Models," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(4), pages 509-541, 09.
- G. William Schwert, 1988.
"Tests For Unit Roots: A Monte Carlo Investigation,"
NBER Technical Working Papers
0073, National Bureau of Economic Research, Inc.
- Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
- Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(2), pages 147-59, April.
- Bart Hobijn & Philip Hans Franses & Marius Ooms, 2004. "Generalizations of the KPSS-test for stationarity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 483-502.
- Junsoo Lee & Mark C. Strazicich, 2004.
"Minimum LM Unit Root Test with One Structural Break,"
04-17, Department of Economics, Appalachian State University.
- Junsoo Lee & Mark C. Strazicich, 2013. "Minimum LM unit root test with one structural break," Economics Bulletin, AccessEcon, vol. 33(4), pages 2483-2492.
- Tom Doan, . "LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks," Statistical Software Components RTS00112, Boston College Department of Economics.
- Wang, Jiahui & Zivot, Eric, 2000. "A Bayesian Time Series Model of Multiple Structural Changes in Level, Trend, and Variance," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 374-86, July.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
"Efficient Tests for an Autoregressive Unit Root,"
NBER Technical Working Papers
0130, National Bureau of Economic Research, Inc.
- Saul Estrin & Jan Hanousek & Evzen Kocenda & Jan Svejnar, 2009. "The Effects of Privatization and Ownership in Transition Economies," Journal of Economic Literature, American Economic Association, vol. 47(3), pages 699-728, September.
- Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2011. "Unit-root and stationarity testing with empirical application on industrial production of CEE-4 countries," MPRA Paper 29648, University Library of Munich, Germany.
- E. Baumohl & S. Lyocsa & T. Vyrost, 2011. "Shift contagion with endogenously detected volatility breaks: the case of CEE stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 18(12), pages 1103-1109.
- Kocenda, Evzen, 2005. "Beware of breaks in exchange rates: Evidence from European transition countries," Economic Systems, Elsevier, vol. 29(3), pages 307-324, September.
- Zorica Mladenović & Kosta Josifidis & Slađana Srdić, 2013. "The Purchasing Power Parity in Emerging Europe: Empirical Results Based on Two-Break Analysis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(2), pages 179-202, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lenka Herrmannova).
If references are entirely missing, you can add them using this form.