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Hacker, R. Scott
Alternative names
Publications (10 of 30) Show all publications
Hacker, R. S., Kim Karlsson, H. & Månsson, K. (2014). An investigation of the causal relations between exchange rates and interest rate differentials using wavelets. International Review of Economics and Finance, 29, 321-329
Open this publication in new window or tab >>An investigation of the causal relations between exchange rates and interest rate differentials using wavelets
2014 (English)In: International Review of Economics and Finance, ISSN 1059-0560, E-ISSN 1873-8036, Vol. 29, p. 321-329Article in journal (Refereed) Published
Abstract [en]

This paper uses wavelet analysis to investigate causality between the spot exchange rate and the nominal interest rate differential for seven country pairs, which includes Sweden. Impulse response functions are also utilized to examine the signs of how one of these variables affects the other over time. One key empirical finding from the causality tests is that there is strengthening evidence of the nominal interest rate differential Granger causing the exchange rate as the wavelet time scale increases. When considering impulse responses on how the interest rate differential affects the exchange rate, there appears to be some evidence of more negative relationships at the shorter time scales (i.e. an increase in the Swedish interest rate compared to that of another country is associated with a lower Swedish krona price of the other country's currency) and more positive relationships at the longer time scales.

Keywords
Exchange rate, Intererst rate differential, Granger causality, Wavelet analysis, Uncovered interest rate parity
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-21837 (URN)10.1016/j.iref.2013.06.004 (DOI)000329597100022 ()2-s2.0-84888291357 (Scopus ID)
Available from: 2013-08-28 Created: 2013-08-28 Last updated: 2017-12-06Bibliographically approved
Hacker, R. S. & Hatemi-J, A. (2014). Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing. Empirical Economics Review, 3(1), 83-97
Open this publication in new window or tab >>Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing
2014 (English)In: Empirical Economics Review, ISSN 2222-9736, Vol. 3, no 1, p. 83-97Article in journal (Refereed) Published
Abstract [en]

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.

National Category
Probability Theory and Statistics Economics
Identifiers
urn:nbn:se:hj:diva-24440 (URN)IHHEFSIS (Local ID)IHHEFSIS (Archive number)IHHEFSIS (OAI)
Available from: 2014-08-26 Created: 2014-08-26 Last updated: 2016-01-22Bibliographically approved
Hacker, S. R., Klaesson, J., Pettersson, L. & Sjölander, P. (2013). Regional economic concentration and growth. In: Johan Klaesson, Börje Johansson, Charlie Karlsson (Ed.), Metropolitan regions: Knowledge infrastructures of the global economy (pp. 117-139). Berlin: Springer
Open this publication in new window or tab >>Regional economic concentration and growth
2013 (English)In: Metropolitan regions: Knowledge infrastructures of the global economy / [ed] Johan Klaesson, Börje Johansson, Charlie Karlsson, Berlin: Springer, 2013, p. 117-139Chapter in book (Refereed)
Abstract [en]

The regional relationships between agglomeration and economic growth are expected to be different in different types of regions. In the literature of the new economic geography it is common to stress the importance of access to cities with agglomeration of economic activities in the form of firms and households in order to be able to explain regional growth. However, it is also well known that many rural areas are performing fairly well in terms of employment and economic opportunities.

The purpose of the present research is to analyze if concentration of population drives economic growth or if it is the other way around. A second question is if this relationship between concentration of population and growth is different in different types of regions.

In order to shed light on these two questions the economic performance of three types of Swedish regions (metropolitan-, cities- and rural regions) is related to changes in population densities.

In the empirical analysis the Shannon index is used in the measurement of regional concentration. By considering the effect of previous levels of the Shannon index on average wages we extract information on how regional concentration affects regional economic growth (expressed as growth in average wages). In the empirical analysis we employ a VAR Granger causality approach on regional Swedish yearly data from 1987 to 2006. From this analysis we are able to conclude that there are strong empirical indications that geographic agglomeration of population unidirectionally drives economic growth in metropolitan- and city regions. Concerning the rural regions no such indication is found in either direction. This is a fairly strong indication that urban regions are more dependent on economies of agglomeration compared to rural areas.

Place, publisher, year, edition, pages
Berlin: Springer, 2013
Series
Advances in Spatial Science, ISSN 1430-9602
Keywords
Agglomeration economies, Productivity, Regions, Granger causality, Sweden
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-22909 (URN)10.1007/978-3-642-32141-2_6 (DOI)978-3-642-32140-5 (ISBN)
Available from: 2013-12-30 Created: 2013-12-30 Last updated: 2018-07-03Bibliographically approved
Kim Karlsson, H. & Hacker, R. S. (2013). Time-varying betas of sectoral returns to market returns and exchange rate movements. Applied Financial Economics, 23(14), 1155-1168
Open this publication in new window or tab >>Time-varying betas of sectoral returns to market returns and exchange rate movements
2013 (English)In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 23, no 14, p. 1155-1168Article in journal (Refereed) Published
Abstract [en]

The time-varying behaviour of the market and exchange risk betas of the US sectoral returns are estimated using a random walk process in connection with the Kalman filter. The empirical findings, in general, show that the market risks tend to shrink over longer time horizons, and that during the dot-com bubble burst and during the subprime financial crisis they tended to rise. During these crises they rose most notably in those industries most related to the crisis. Regarding exchange risk, industry returns appear in this study to be positively related to dollar appreciation, but that relationship declines with longer time horizons, in some cases resulting ultimately in a negative relationship between the US dollar and the industry returns. This latter result is consistent with the idea that the effect of a US dollar appreciation on competitiveness of the US exports becomes stronger with the longer time horizons. During the subprime financial crisis, the relation between excess returns and the exchange rate tended to fall, as was notably the case for the Technology sector during the dot-com bubble burst.

Place, publisher, year, edition, pages
Taylor & Francis, 2013
Keywords
exchange rates risk, time-varying beta, Kalman filter, sectoral returns
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-17941 (URN)10.1080/09603107.2013.797555 (DOI)2-s2.0-84878118163 (Scopus ID)
Available from: 2012-04-17 Created: 2012-04-17 Last updated: 2019-02-25Bibliographically approved
Hacker, R. S. & Hatemi-J, A. (2012). A bootstrap test for causality with endogenous lag length choice: theory and application in finance. Journal of economic studies, 39(2), 144-160
Open this publication in new window or tab >>A bootstrap test for causality with endogenous lag length choice: theory and application in finance
2012 (English)In: Journal of economic studies, ISSN 0144-3585, E-ISSN 1758-7387, Vol. 39, no 2, p. 144-160Article in journal (Refereed) Published
Abstract [en]

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.

National Category
Economics Probability Theory and Statistics
Identifiers
urn:nbn:se:hj:diva-20471 (URN)10.1108/01443581211222635 (DOI)2-s2.0-84860856886 (Scopus ID)IHHEFSIS (Local ID)IHHEFSIS (Archive number)IHHEFSIS (OAI)
Available from: 2013-01-25 Created: 2013-01-25 Last updated: 2019-02-21Bibliographically approved
Hacker, R. S., Kim Karlsson, H. & Månsson, K. (2012). The relationship between exchange rates and interest rate differentials: A wavelet approach. The World Economy, 35(9), 1162-1185
Open this publication in new window or tab >>The relationship between exchange rates and interest rate differentials: A wavelet approach
2012 (English)In: The World Economy, ISSN 0378-5920, E-ISSN 1467-9701, Vol. 35, no 9, p. 1162-1185Article in journal (Refereed) Published
Abstract [en]

This paper uses wavelet analysis to investigate the relationship between the spot exchange rate and  interest rate differential for seven pairs of countries, with a small country, Sweden, included in each case. The key empirical results show that there tends to be a negative relationship between the spot exchange rate (domestic-currency price of foreign currency) and the nominal interest rate differential (approximately the domestic interest rate minus the foreign interest rate) at the shortest time scales, while a positive relationship is shown at the longest time scales. This indicates that among models of exchange rate determination using the asset approach, the sticky-price models are supported in the short-run and flexible-price models in the long-run.

National Category
Economics
Identifiers
urn:nbn:se:hj:diva-17940 (URN)10.1111/j.1467-9701.2012.01466.x (DOI)000308637800006 ()2-s2.0-84866161789 (Scopus ID)
Available from: 2012-04-17 Created: 2012-04-17 Last updated: 2019-02-22Bibliographically approved
Hacker,, R. S. & Hatemi-J, A. (2010). A Bootstrap Test for Causality with Endogenous Lag Length Choice: theory and application in finance. Stockholm, Sweden: Centre of Excellence for Science and Innovation Studies, The Royal Institute of Technology
Open this publication in new window or tab >>A Bootstrap Test for Causality with Endogenous Lag Length Choice: theory and application in finance
2010 (English)Report (Other academic)
Abstract [en]

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.

Place, publisher, year, edition, pages
Stockholm, Sweden: Centre of Excellence for Science and Innovation Studies, The Royal Institute of Technology, 2010. p. 21
Series
CESIS Electronic Working Paper Series in Economics and Institutions of Innovation ; 223
Keywords
Causality, VAR Model, Stability, Endogenous Lag, ARCH, Leverages
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-12137 (URN)
Available from: 2010-05-15 Created: 2010-05-15 Last updated: 2010-05-18Bibliographically approved
Hacker, R. S., Kim, H. & Månsson, K. (2010). An Investigation of the Causal Relations between Exchange Rates and Interest Rates Differentials using Wavelets. Stockholm, Sweden: Centre of Excellence for Science and Innovation Studies, The Royal Institute of Technology
Open this publication in new window or tab >>An Investigation of the Causal Relations between Exchange Rates and Interest Rates Differentials using Wavelets
2010 (English)Report (Other academic)
Abstract [en]

Monthly and quarterly data for the spot exchange rate of the Swedish Krona against major currencies have been used in this paper to investigate the causality in a Granger sense at different time scales between the spot exchange rate and the nominal interest rate differential by using wavelet analysis. Impulse response functions are also utilized to examine the signs of how one of these variables affects the other over time. One key empirical finding from the causality tests is that there is only substantial evidence of a causal relationship in the long run between the two variables. When using monthly data, this is true in both directions. When considering impulse responses on how the interest rate differential affects the exchange rate, there appears to be some evidence of more negative relationships at the shorter time scales and more positive relationships at the longer time scales.

Place, publisher, year, edition, pages
Stockholm, Sweden: Centre of Excellence for Science and Innovation Studies, The Royal Institute of Technology, 2010. p. 19
Series
CESIS Electronic Working Paper Series ; 215
Keywords
exchange rate, interest rate differential, Granger causality, wavelet analysis, uncovered interest rate parity
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-12141 (URN)
Available from: 2010-05-15 Created: 2010-05-15 Last updated: 2012-04-17
Hacker, R. S. & Hatemi-J, A. (2010). The Effectiveness of Information Criteria in Determining Unit Root and Trend Status. Stockholm,Sweden: Centre of Excellence for Science and Innovation Studies, The Royal Institute of Technology
Open this publication in new window or tab >>The Effectiveness of Information Criteria in Determining Unit Root and Trend Status
2010 (English)Report (Other academic)
Place, publisher, year, edition, pages
Stockholm,Sweden: Centre of Excellence for Science and Innovation Studies, The Royal Institute of Technology, 2010. p. 32
Series
CESIS Electronic Working Paper Series ; 213
Keywords
Unit Root, Stationarity, Model Selection, Minimax regret, Information Criteria
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-12139 (URN)
Available from: 2010-05-15 Created: 2010-05-15 Last updated: 2010-05-18Bibliographically approved
Hacker, R. S. & Hatemi-J, A. (2010). The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing. Stockholm,Sweden: Centre of Excellence for Science and Innovation Studies, The Royal Institute of Technology.
Open this publication in new window or tab >>The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing
2010 (English)Report (Other academic)
Abstract [en]

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.

Place, publisher, year, edition, pages
Stockholm,Sweden: Centre of Excellence for Science and Innovation Studies, The Royal Institute of Technology., 2010. p. 19
Series
CESIS Electronic Working Paper Series ; 214
Keywords
Unit Roots, Deterministic Components, Model Selection
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-12138 (URN)
Available from: 2010-05-15 Created: 2010-05-15 Last updated: 2010-05-18Bibliographically approved
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