Empirical search and characterization of contemporaneity using breaks and regime switching
This paper describes a technique to determine the contemporaneity of two economic events. It is also possible to determine some characteristics of the contemporaneity, as a descriptive stage previous to causality analysis and model estimations. As an illustration, a case of contemporaneity between n...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2017 |
| País: | Argentina |
| Institución: | Consejo Nacional de Investigaciones Científicas y Técnicas |
| Repositorio: | CONICET Digital (CONICET) |
| Idioma: | inglés |
| OAI Identifier: | oai:ri.conicet.gov.ar:11336/62732 |
| Acceso en línea: | http://hdl.handle.net/11336/62732 |
| Access Level: | acceso abierto |
| Palabra clave: | STRUCTURAL BREAKS REGIME SWITCHING CONTEMPORANEITY AND MARKET VOLATILITY https://purl.org/becyt/ford/5.2 https://purl.org/becyt/ford/5 |
| Sumario: | This paper describes a technique to determine the contemporaneity of two economic events. It is also possible to determine some characteristics of the contemporaneity, as a descriptive stage previous to causality analysis and model estimations. As an illustration, a case of contemporaneity between news and volatility in financial markets is shown. The main result of the exercise is a Laffer curve relationship between corruption and volatility given news. |
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