Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Balcilar, Mehmet & Thompson, Kirsten & Gupta, Rangan & van Eyden, Reneé, 2016. "Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 30-43.
- Mehmet Balcilar & Kirsten Thompson & Rangan Gupta & Renee van Eyden, 2014. "Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach," Working Papers 15-11, Eastern Mediterranean University, Department of Economics.
- Mehmet Balcilar & Kirsten Thompson & Rangan Gupta & Renee van Eyden, 2014. "Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach," Working Papers 201414, University of Pretoria, Department of Economics.
References listed on IDEAS
- Maximo Camacho, 2004. "Vector smooth transition regression models for US GDP and the composite index of leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 173-196.
- Ciccarelli, Matteo & Jeanfils, Philippe & Haavio, Markus & Ĉervená, Marianna & Guarda, Paolo & Mendicino, Caterina & D'Agostino, Antonello & Valderrama, Maria Teresa & Ortega, Eva & Hubrich, Kirstin &, 2013. "Financial shocks and the macroeconomy: heterogeneity and non-linearities," Occasional Paper Series 143, European Central Bank.
- Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 119-136, Suppl. De.
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2014.
"Uncertainty and Monetary Policy in Good and Bad Times,"
"Marco Fanno" Working Papers
0188, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017. "Uncertainty and Monetary Policy in Good and Bad Times," Melbourne Institute Working Paper Series wp2017n09, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017. "Uncertainty and Monetary Policy in Good and Bad Times," CESifo Working Paper Series 6630, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017. "Uncertainty and Monetary Policy in Good and Bad Times," RBA Research Discussion Papers rdp2017-06, Reserve Bank of Australia.
- Caggiano, Giovanni & Castelnuovo, Efrem & Nodari, Gabriela, 2017. "Uncertainty and monetary policy in good and bad times," Research Discussion Papers 8/2017, Bank of Finland.
- Ball, Laurence & Mankiw, N Gregory, 1994.
"Asymmetric Price Adjustment and Economic Fluctuations,"
Economic Journal, Royal Economic Society, vol. 104(423), pages 247-261, March.
- Laurence Ball & N. Gregory Mankiw, 1992. "Asymmetric Price Adjustment and Economic Fluctuations," NBER Working Papers 4089, National Bureau of Economic Research, Inc.
- Ball, L. & Mankiw, N.G., 1992. "Asymmetric Price Adjustment and Economic Fluctuations," Harvard Institute of Economic Research Working Papers 1602, Harvard - Institute of Economic Research.
- Matteo Ciccarelli & Benoît Mojon, 2010.
"Global Inflation,"
The Review of Economics and Statistics, MIT Press, vol. 92(3), pages 524-535, August.
- Ciccarelli, Matteo & Mojon, Benoît, 2005. "Global inflation," Working Paper Series 537, European Central Bank.
- Flora Budianto & Giovanni Lombardo & Benoit Mojon & Daniel Rees, 2021. "Global reflation ?," BIS Bulletins 43, Bank for International Settlements.
- Ciccarelli, Matteo & Mojon, Benoît, 2006. "Global Inflation," Kiel Working Papers 1337, Kiel Institute for the World Economy (IfW Kiel).
- Matteo Ciccarelli & Benoit Mojon, 2008. "Global inflation," Working Paper Series WP-08-05, Federal Reserve Bank of Chicago.
- Matteo Ciccarelli & Benoît Mojon, 2005. "Global Inflation," Working Papers Central Bank of Chile 357, Central Bank of Chile.
- Koop, Gary & Korobilis, Dimitris, 2014.
"A new index of financial conditions,"
European Economic Review, Elsevier, vol. 71(C), pages 101-116.
- Gary Koop & Dimitris Korobilis, "undated". "A new index of financial conditions," Working Papers 2013_06, Business School - Economics, University of Glasgow.
- Koop, Gary & Korobilis, Dimitris, 2013. "A New Index of Financial Conditions," MPRA Paper 45463, University Library of Munich, Germany.
- Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
- Gary, Koop & Dimitris, Korobilis, 2013. "A New Index of Financial Conditions," SIRE Discussion Papers 2013-48, Scottish Institute for Research in Economics (SIRE).
- Jushan Bai & Pierre Perron, 2003. "Critical values for multiple structural change tests," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 72-78, June.
- Laurence Ball & N. Gregory Mankiw & David Romer, 1988. "The New Keynsesian Economics and the Output-Inflation Trade-off," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 19(1), pages 1-82.
- Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2015.
"Estimating Fiscal Multipliers: News From A Non‐linear World,"
Economic Journal, Royal Economic Society, vol. 0(584), pages 746-776, May.
- Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2014. "Estimating Fiscal Multipliers: News from a Nonlinear World," Melbourne Institute Working Paper Series wp2014n26, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2015. "Estimating Fiscal Multipliers:News From a Nonlinear World," Department of Economics - Working Papers Series 1196, The University of Melbourne.
- Kirsten Thompson & Renee van Eyden & Rangan Gupta, 2013. "Identifying a financial conditions index for South Africa," Working Papers 201333, University of Pretoria, Department of Economics.
- Terasvirta, Timo & Yang, Yukai, 2014.
"Specification, estimation and evaluation of vector smooth transition autoregressive models with applications,"
LIDAM Discussion Papers CORE
2014062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Timo Teräsvirta & Yukai Yang, 2014. "Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications," CREATES Research Papers 2014-08, Department of Economics and Business Economics, Aarhus University.
- Hubrich, Kirstin & D’Agostino, Antonello & Cervená, Marianna & Ciccarelli, Matteo & Guarda, Paolo & Haavio, Markus & Jeanfils, Philippe & Mendicino, Caterina & Ortega, Eva & Valderrama, Maria Teresa &, 2013. "Financial shocks and the macroeconomy: heterogeneity and non-linearities," Occasional Paper Series 143, European Central Bank.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
- Serena Ng & Pierre Perron, 2001.
"LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
- Rahman, Sajjadur & Serletis, Apostolos, 2010. "The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach," Energy Economics, Elsevier, vol. 32(6), pages 1460-1466, November.
- Kirsten Thompson & Reneé van Eyden & Rangan Gupta, 2015.
"Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(3), pages 486-501, May.
- Kirsten Thompson & Renee van Eyden & Rangan Gupta, 2013. "Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa," Working Papers 201383, University of Pretoria, Department of Economics.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Weise, Charles L, 1999. "The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(1), pages 85-108, February.
- Daniel Tsiddon, 1993. "The (Mis)Behaviour of the Aggregate Price Level," Review of Economic Studies, Oxford University Press, vol. 60(4), pages 889-902.
- Neely, Christopher J. & Rapach, David E., 2011. "International comovements in inflation rates and country characteristics," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1471-1490.
- Jushan Bai & Pierre Perron, 2003.
"Computation and analysis of multiple structural change models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
- Tom Doan, "undated". "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.
- Tom Doan, "undated". "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.
- Christiane Baumeister & Eveline Durinck & Gert Peersman, 2008.
"Liquidity, inflation and asset prices in a time-varying framework for the euro area,"
Working Paper Research
142, National Bank of Belgium.
- Christiane Baumeister & Eveline Durinck & Gert Peersman, 2008. "Liquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area," Discussion Papers 08/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Kim, Joseph H.T. & Li, Johnny S.H., 2017. "Risk-neutral valuation of the non-recourse protection in reverse mortgages: A case study for Korea," Emerging Markets Review, Elsevier, vol. 30(C), pages 133-154.
- Jiang, Yong & Wang, Gang-Jin & Ma, Chaoqun & Yang, Xiaoguang, 2021. "Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 1-15.
- repec:ipg:wpaper:2014-492 is not listed on IDEAS
- repec:ipg:wpaper:2014-474 is not listed on IDEAS
- Li, Zhenghui & Zhong, Junhao, 2020. "Impact of economic policy uncertainty shocks on China's financial conditions," Finance Research Letters, Elsevier, vol. 35(C).
- Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020.
"Fed’s unconventional monetary policy and risk spillover in the US financial markets,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 42-52.
- Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir & Mark E. Wohar, 2019. "Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets," Working Papers 15-47, Eastern Mediterranean University, Department of Economics.
- Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018.
"Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty,"
Journal of Macroeconomics, Elsevier, vol. 57(C), pages 317-337.
- Rangan Gupta & Jun Ma & Marian Risse & Mark E. Wohar, 2017. "Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty," Working Papers 201766, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Theshne Kisten, 2020. "The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes," Working Papers 202046, University of Pretoria, Department of Economics.
- Mehmet Balcilar & David Roubaud & Ojonugwa Usman & Mark E. Wohar, 2019. "Testing the Asymmetric Effects of Exchange Rate and Oil Price Pass-Through in BRICS Countries: Does the state of the economy matter?," Working Papers 15-49, Eastern Mediterranean University, Department of Economics.
- repec:ipg:wpaper:2014-548 is not listed on IDEAS
- Paetz, Michael & Gupta, Rangan, 2016.
"Stock price dynamics and the business cycle in an estimated DSGE model for South Africa,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 166-182.
- Michael Paetz & Rangan Gupta, 2014. "Stock Price Dynamics and the Business Cycle in an Estimated DSGE Model for South Africa," Working Papers 201441, University of Pretoria, Department of Economics.
- repec:ipg:wpaper:2014-471 is not listed on IDEAS
- repec:ipg:wpaper:2014-562 is not listed on IDEAS
- Balcilar, Mehmet & Gupta, Rangan & van Eyden, Reneé & Thompson, Kirsten & Majumdar, Anandamayee, 2018.
"Comparing the forecasting ability of financial conditions indices: The case of South Africa,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 245-259.
- Mehmet Balcilar & Rangan Gupta & Renee van Eyden & Kirsten Thompson & Anandamayee Majumdar, 2015. "Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa," Working Papers 201517, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Renee van Eyden & Kirsten Thompson, 2015. "Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa," Working Papers 15-06, Eastern Mediterranean University, Department of Economics.
- repec:ipg:wpaper:2014-516 is not listed on IDEAS
- Alain Kabundi & Asithandile Mbelu, 2021.
"Estimating a time-varying financial conditions index for South Africa,"
Empirical Economics, Springer, vol. 60(4), pages 1817-1844, April.
- Alain Kabundi & Asi Mbelu, 2017. "Estimating a timevarying financial conditions index for South Africa," Working Papers 8008, South African Reserve Bank.
- Balcilar, Mehmet & Roubaud, David & Usman, Ojonugwa & Wohar, Mark E., 2021. "Moving out of the linear rut: A period-specific and regime-dependent exchange rate and oil price pass-through in the BRICS countries," Energy Economics, Elsevier, vol. 98(C).
- Adél Bosch & Steven F. Koch, 2020. "The South African Financial Cycle and its Relation to Household Deleveraging," South African Journal of Economics, Economic Society of South Africa, vol. 88(2), pages 145-173, June.
- repec:ipg:wpaper:2014-475 is not listed on IDEAS
- repec:ipg:wpaper:2014-462 is not listed on IDEAS
- Evgenidis, Anastasios & Tsagkanos, Athanasios, 2017. "Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 69-81.
- Mansour-Ichrakieh, Layal & Zeaiter, Hussein, 2019. "The role of geopolitical risks on the Turkish economy opportunity or threat," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:ipg:wpaper:2014-468 is not listed on IDEAS
- Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020.
"Fed’s unconventional monetary policy and risk spillover in the US financial markets,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 42-52.
- Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir & Mark E. Wohar, 2019. "Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets," Working Papers 15-47, Eastern Mediterranean University, Department of Economics.
- Hasanov, Mübariz & Araç, Aysen & Telatar, Funda, 2010.
"Nonlinearity and structural stability in the Phillips curve: Evidence from Turkey,"
Economic Modelling, Elsevier, vol. 27(5), pages 1103-1115, September.
- Mubariz Hasanov & Aysen Arac & Funda Telatar, 2012. "Nonlinearity and Structural Stability in the Phillips Curve: Evidence from Turkey," Hacettepe University Department of Economics Working Papers 20123, Hacettepe University, Department of Economics.
- Schleer, Frauke & Semmler, Willi, 2015.
"Financial sector and output dynamics in the euro area: Non-linearities reconsidered,"
Journal of Macroeconomics, Elsevier, vol. 46(C), pages 235-263.
- Frauke Schleer & Willi Semmler, 2014. "Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered," SCEPA working paper series. 2014-5, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
- Schleer, Frauke & Semmler, Willi, 2014. "Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100578, Verein für Socialpolitik / German Economic Association.
- Ubilava, David, 2017.
"The ENSO Effect and Asymmetries in Wheat Price Dynamics,"
World Development, Elsevier, vol. 96(C), pages 490-502.
- Ubilava, David, 2014. "The ENSO Effect and Asymmetries in Wheat Price Dynamics," Working Papers 2014-06, University of Sydney, School of Economics, revised Apr 2017.
- Schleer, Frauke & Semmler, Willi, 2013.
"Financial sector-output dynamics in the euro area: Non-linearities reconsidered,"
ZEW Discussion Papers
13-068, ZEW - Leibniz Centre for European Economic Research.
- Schleer, Frauke & Semmler, Willi, 2014. "Financial sector-output dynamics in the euro area: Non-linearities reconsidered," ZEW Discussion Papers 13-068 [rev.], ZEW - Leibniz Centre for European Economic Research.
- Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
- Balcilar, Mehmet & Roubaud, David & Usman, Ojonugwa & Wohar, Mark E., 2021. "Moving out of the linear rut: A period-specific and regime-dependent exchange rate and oil price pass-through in the BRICS countries," Energy Economics, Elsevier, vol. 98(C).
- Mehmet Balcilar & David Roubaud & Ojonugwa Usman & Mark E. Wohar, 2019. "Testing the Asymmetric Effects of Exchange Rate and Oil Price Pass-Through in BRICS Countries: Does the state of the economy matter?," Working Papers 15-49, Eastern Mediterranean University, Department of Economics.
- Altansukh, Gantungalag & Becker, Ralf & Bratsiotis, George J. & Osborn, Denise R., 2017.
"What is the Globalisation of Inflation?,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 1-27.
- Altansukh, Gantungalag & Becker, Ralf & Bratsiotis, George & Osborn, Denise R., 2017. "What is the globalisation of inflation?," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 1-27.
- Gantungalag Altansukha & Ralf Becker & George Bratsiotis & Denise R. Osborn, 2016. "What is the Globalisation of Inflation? ," Centre for Growth and Business Cycle Research Discussion Paper Series 224, Economics, The University of Manchester.
- Britta Gehrke & Brigitte Hochmuth, 2021.
"Counteracting Unemployment in Crises: Non‐Linear Effects of Short‐Time Work Policy,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(1), pages 144-183, January.
- Gehrke, Britta & Hochmuth, Brigitte, 2017. "Counteracting unemployment in crises : non-linear effects of short-time work policy," IAB-Discussion Paper 201727, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Gehrke, Britta & Hochmuth, Brigitte, 2018. "Counteracting Unemployment in Crises: Non-Linear Effects of Short-Time Work Policy," IZA Discussion Papers 11472, Institute of Labor Economics (IZA).
- Karamé, Frédéric, 2015.
"Asymmetries and Markov-switching structural VAR,"
Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 85-102.
- Frédéric Karamé, 2015. "Asymmetries and Markov-switching structural VAR," Post-Print hal-02296101, HAL.
- Vinícius dos Santos Cerqueira & Márcio Bruno Ribeiro & Thiago Sevilhano Martinez, 2011. "Propagação Assimétrica de Choques Monetários na Economia Brasileira: Evidências com Base em um Modelo Vetorial não Linear de Transição Suave," Discussion Papers 1639, Instituto de Pesquisa Econômica Aplicada - IPEA.
- Kotz Hans-Helmut & Semmler Willi & Tahri Ibrahim, 2018. "Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-19, December.
- Arghyrou, Michael G. & Gadea, Maria Dolores, 2012.
"The single monetary policy and domestic macro-fundamentals: Evidence from Spain,"
Journal of Policy Modeling, Elsevier, vol. 34(1), pages 16-34.
- Arghyrou, Michael G & Gadea, Maria Dolores, 2008. "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Cardiff Economics Working Papers E2008/23, Cardiff University, Cardiff Business School, Economics Section.
- Michael G. Arghyrou & Maria Dolores Gadea, 2008. "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Documentos de Trabajo dt2008-05, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
- Tsagkanos, Athanasios & Evgenidis, Anastasios & Vartholomatou, Konstantina, 2018. "Financial and monetary stability across Euro-zone and BRICS: An exogenous threshold VAR approach," Research in International Business and Finance, Elsevier, vol. 44(C), pages 386-393.
- Saki Bigio & Jorge Salas, 2006. "Non-Linear Effects of Monetary Policy and Real Exchange Rate Shocks in Partially Dollarized Economies: An Empirical Study for Peru," Working Papers 2006-008, Banco Central de Reserva del Perú.
- Jui-Chuan (Della) Chang & Dennis W. Jansen, 2005. "The Effect of Monetary Policy on Bank Lending and Aggregate Output: Asymmetries from Nonlinearities in the Lending Channel," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 129-153, May.
- Ayşen SİVRİKAYA & Mübariz HASANOV, 2019. "Time-Varying and Asymmetric Relationship between Energy Use and Macroeconomic Activity," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(41).
- Donayre, Luiggi & Panovska, Irina, 2016. "State-dependent exchange rate pass-through behavior," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 170-195.
- Seewon Kim, 2018. "Effects of Monetary Policy during Financial Market Crises and Regime Changes: An Empirical Evaluation Using a Nonlinear Vector Autoregression Model," Asian Economic Journal, East Asian Economic Association, vol. 32(2), pages 105-123, June.
More about this item
Keywords
Financial conditions index; nonlinear vector autoregression; LSTVAR; asymmetry;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G01 - Financial Economics - - General - - - Financial Crises
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2015-09-05 (Macroeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:emu:wpaper:15-18.pdf. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/deemuty.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mehmet Balcilar (email available below). General contact details of provider: https://edirc.repec.org/data/deemuty.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.