Trend Breaks and Seasonality in the Yugoslav Black Market for Dollars, 1974-1987
AbstractWe estimate a model of the black market premium for dollars in Yugoslavia from 1974-1987. Unlike previous applications of the model, our analysis addresses nonstationarity in the underlying data by allowing for trend breaks. Endogenous structural break tests indicate the presence of breaks closely associated with the death of Tito and changes in laws affecting the operation of the black market. After accounting for these breaks, we find strong support for the underlying model. In addition, we find evidence consistent with the era of increased government involvement in the black market leading to greater volatility of the premium following regime change.
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Bibliographic InfoPaper provided by Department of Economics, Appalachian State University in its series Working Papers with number 04-04.
Date of creation: 2004
Date of revision: 2005
Publication status: forthcoming, Applied Economics
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