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Publications (8 of 8) Show all publications
Habimana, O. (2018). Asymmetry and multiscale dynamics in macroeconomic time series analysis. (Doctoral dissertation). Jönköping: Jönköping University, Jönköping International Business School
Open this publication in new window or tab >>Asymmetry and multiscale dynamics in macroeconomic time series analysis
2018 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

This thesis consists of three independent articles preceded by an introductory chapter. The first two articles focus on exchange rate dynamics in emerging market and developing economies, taking into account nonlinearities and asymmetries which are relevant for these countries and are potentially due to (i) transaction costs and other market frictions, and (ii) official intervention in the foreign exchange market. The third article is devoted to the analysis of the effects of monetary policy at different time horizons.

The first article evaluates the purchasing power parity (PPP) theory in a panel of Sub-Saharan African countries. Unit root tests that are based on exponential smooth transition autoregressive (ESTAR) models are applied to account for nonlinearities and asymmetries in real exchange rate adjustment towards its equilibrium (mean) value. The results indicate empirical support for the PPP theory.

The second article examines the relationship between current account adjustment and exchange rate flexibility in a panel of emerging market and developing economies. The purpose of this article is to (i) obtain a measure of exchange rate flexibility that considers autoregressive conditional heteroscedasticity and possible asymmetric responses of the exchange rate to shocks, and (ii) apply suitable dynamic panel data estimators to investigate this relationship. The results indicate that more flexible exchange rates are associated with faster current account adjustment.

By means of wavelets the third article investigates the liquidity effect and the long-run neutrality of money at detailed timescales using time series data for Sweden and the US. The results indicate a significant liquidity effect at horizons of one to four years, but there is no evidence of monetary neutrality.

Place, publisher, year, edition, pages
Jönköping: Jönköping University, Jönköping International Business School, 2018. p. 29
Series
JIBS Dissertation Series, ISSN 1403-0470 ; 122
National Category
Economics Probability Theory and Statistics
Identifiers
urn:nbn:se:hj:diva-39452 (URN)978-91-86345-84-6 (ISBN)
Public defence
2018-06-13, B1014, Jönköping International Business School, Jönköping, 10:00 (English)
Opponent
Supervisors
Available from: 2018-05-16 Created: 2018-05-16 Last updated: 2018-05-16Bibliographically approved
Umulisa, Y. & Habimana, O. (2018). Business cycle synchronization and core-periphery patterns in the East African community: A wavelet approach. Journal of economic integration, 33(4), 629-658
Open this publication in new window or tab >>Business cycle synchronization and core-periphery patterns in the East African community: A wavelet approach
2018 (English)In: Journal of economic integration, ISSN 1225-651X, Vol. 33, no 4, p. 629-658Article in journal (Refereed) Published
Abstract [en]

Optimum currency area theory suggests that various characteristics are needed for a successful monetary union, including similarities in economic structures for both shocks and business cycles. Accordingly, this study uses continuous wavelets to investigate business cycle synchronization among countries of the East African Community, which is. a region working toward the establishment of a monetary union by 2024. Wavelet decomposition is an alternative and powerful tool for analyzing the comovement of business cycles. Crosswavelet coherency suggests that the business cycles of Tanzania and Uganda were in phase with that of Kenya's at high and medium frequencies in the early 1990s and after the establishment of the customs union in 2005. Wavelet spectra clustering shows that Kenya, Tanzania, and Uganda form the core of the monetary union, whereas Burundi and Rwanda form the periphery. Overall, the wavelet analysis highlights the significance of asymmetric shocks and the prevalence of core-periphery patterns, which casts doubts on the eventual viability of the East African Monetary Union.

Place, publisher, year, edition, pages
Center for Economic Integration, Sejong Institution, Sejong University, 2018
Keywords
Business cycle synchronization, East African monetary union, Optimum currency area, Wavelet analysis
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-42296 (URN)10.11130/jei.2018.33.4.629 (DOI)000451883900002 ()2-s2.0-85064954568 (Scopus ID)IHHÖvrigtIS (Local ID)IHHÖvrigtIS (Archive number)IHHÖvrigtIS (OAI)
Available from: 2018-12-13 Created: 2018-12-13 Last updated: 2019-05-27Bibliographically approved
Habimana, O., Månsson, K. & Sjölander, P. (2018). Testing for nonlinear unit roots in the presence of a structural break with an application to the qualified PPP during the 1997 Asian financial crisis. International journal of finance and economics, 23(3), 221-232
Open this publication in new window or tab >>Testing for nonlinear unit roots in the presence of a structural break with an application to the qualified PPP during the 1997 Asian financial crisis
2018 (English)In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 23, no 3, p. 221-232Article in journal (Refereed) Published
Abstract [en]

This paper applies Monte Carlo simulations to evaluate the size and power properties in the presence of a structural break, for the standard Augmented Dickey-Fuller (ADF) test versus nonlinear exponential smooth transition autoregressive unit root tests. The break causes the tests to be undersized, and the statistical power considerably decreases. Moreover, the effect is intensified in small samples and very much increased for more persistent nonlinear series. As a remedy, we modify the standard ADF and exponential smooth transition autoregressive unit root tests in order to adjust for a structural break. This improves both the power and the size considerably, even though the empirical size still is lower than the nominal one. More persistent series are more affected by structural breaks, and the new tests are most powerful under the existence of a rather persistent nonlinear data generating process (which is an empirically relevant and common type of data generating process). The proposed tests are applied to investigate mean reversion in the real effective exchange rates of 5 East and Southeast Asian countries, taking into account the structural change in exchange rate regime brought about by the 1997 Asian financial crisis. The empirical findings corroborate our simulation results; the modified more powerful tests are able to reject the unit root in all 5 countries, whereas the tests that do not consider the structural break could only reject in one of these cases.

Place, publisher, year, edition, pages
John Wiley & Sons, 2018
Keywords
exchange rates, Monte Carlo simulations, nonlinearity, qualified PPP, structural break, unit root test
National Category
Probability Theory and Statistics
Identifiers
urn:nbn:se:hj:diva-38379 (URN)10.1002/ijfe.1613 (DOI)000437117000001 ()2-s2.0-85041171914 (Scopus ID)IHHÖvrigtIS (Local ID)IHHÖvrigtIS (Archive number)IHHÖvrigtIS (OAI)
Available from: 2018-01-09 Created: 2018-01-09 Last updated: 2018-08-22Bibliographically approved
Habimana, O. (2017). Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility. International Economics and Economic Policy, 14(4), 625-642
Open this publication in new window or tab >>Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility
2017 (English)In: International Economics and Economic Policy, ISSN 1612-4804, E-ISSN 1612-4812, Vol. 14, no 4, p. 625-642Article in journal (Refereed) Published
Abstract [en]

This paper revisits the claim that flexible exchange rates facilitate external adjustment. While previous studies have used exchange rate regime as a proxy for exchange rate flexibility, in this study there is evidence of ARCH effects in exchange rate, and thus GARCH models are employed to estimate volatility. A dynamic panel data model is then specified, and the Arellano-Bond estimator and the Blundell-Bond estimator are employed to estimate the effect of exchange rate flexibility on the speed of adjustment of current account in a panel of 28 emerging and developing economies. There is robust evidence that flexible exchange rates indeed facilitate smoother adjustment of current account imbalances.

Place, publisher, year, edition, pages
Springer, 2017
Keywords
Arellano-Bond estimator, Current account adjustment, Exchange rate volatility, Flexible exchange rates, GARCH, Leverage effect
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-34621 (URN)10.1007/s10368-016-0341-7 (DOI)2-s2.0-84966312491 (Scopus ID)
Available from: 2017-01-05 Created: 2017-01-05 Last updated: 2018-01-24Bibliographically approved
Habimana, O. (2016). Asymmetric nonlinear mean reversion in real effective exchange rates: A Fisher-type panel unit root test applied to Sub-Saharan Africa. Journal of Economic Asymmetries, 14, 189-198
Open this publication in new window or tab >>Asymmetric nonlinear mean reversion in real effective exchange rates: A Fisher-type panel unit root test applied to Sub-Saharan Africa
2016 (English)In: Journal of Economic Asymmetries, ISSN 1703-4949, Vol. 14, p. 189-198Article in journal (Refereed) Published
Abstract [en]

This study investigates the nonlinear data generating processes of real effective exchange rates in a panel of Sub-Saharan African countries; the region with the highest transportation costs, trade barriers in international arbitrage and frequent central bank intervention in the foreign exchange market, which are plausible main sources of nonlinear and asymmetric deviations from purchasing power parity. By means of Monte Carlo simulations, we use the empirical distributions of the exponential smooth transition autoregressive (ESTAR), and the asymmetric ESTAR data generating processes to test for mean reversion in monthly real effective exchange rates. We then apply Fisher's inverse chi-square test that combines the observed significance levels of independent univariate unit root tests to test for panel unit roots. The findings suggest that once nonlinearities and asymmetries are taken into account, there is more evidence in favor of the purchasing power parity hypothesis. 

Keywords
Asymmetry, Nonlinearity, Purchasing power parity
National Category
Economics Probability Theory and Statistics
Identifiers
urn:nbn:se:hj:diva-34234 (URN)10.1016/j.jeca.2016.08.002 (DOI)2-s2.0-84996565823 (Scopus ID)
Available from: 2016-12-09 Created: 2016-12-09 Last updated: 2017-08-24Bibliographically approved
Habimana, O., Månsson, K. & Sjölander, P. (2015). Testing for nonlinear unit roots in the presence of a structural break. In: Thomas Holgersson (Ed.), Festschrift in honor of Professor Ghazi Shukur on the occasion of his 60th birthday: . Växjö: Linnaeus University Press
Open this publication in new window or tab >>Testing for nonlinear unit roots in the presence of a structural break
2015 (English)In: Festschrift in honor of Professor Ghazi Shukur on the occasion of his 60th birthday / [ed] Thomas Holgersson, Växjö: Linnaeus University Press , 2015Chapter in book (Other academic)
Place, publisher, year, edition, pages
Växjö: Linnaeus University Press, 2015
National Category
Probability Theory and Statistics
Identifiers
urn:nbn:se:hj:diva-34622 (URN)978-91-87925-90-0 (ISBN)
Available from: 2017-01-05 Created: 2017-01-05 Last updated: 2017-08-24Bibliographically approved
Habimana, O. Asymmetric Nonlinear Mean Reversion in Real Effective Exchange Rates: Evidence from Sub-Saharan Africa.
Open this publication in new window or tab >>Asymmetric Nonlinear Mean Reversion in Real Effective Exchange Rates: Evidence from Sub-Saharan Africa
(English)Manuscript (preprint) (Other academic)
Abstract [en]

This paper evaluates the purchasing power parity (PPP) theory in a panel of Sub-Saharan African (SSA) countries. The study applies unit root tests that are based on exponential smooth transition autoregressive (ESTAR) models to account for nonlinearities and asymmetries in real exchange rate adjustment towards its equilibrium (mean) value. Nonlinearities and asymmetries are very relevant for these countries and are potentially due to transaction costs, trade barriers and other market frictions, and frequent official interventions in the foreign exchange market. Results indicate that once nonlinearities and asymmetries are taken into account there is more empirical support for the PPP theory in SSA.

National Category
Economics Probability Theory and Statistics
Identifiers
urn:nbn:se:hj:diva-39447 (URN)
Note

An earlier version of this article was published in The Journal of Economic Asymmetries.

Available from: 2018-05-16 Created: 2018-05-16 Last updated: 2018-05-16
Habimana, O. Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility.
Open this publication in new window or tab >>Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility
(English)Manuscript (preprint) (Other academic)
Abstract [en]

This paper revisits the claim that flexible exchange rates facilitate external adjustments, in a panel of emerging market and developing economies. In contrast to previous studies which mainly use the exchange rate regime classification as a proxy for exchange rate flexibility, the present study estimates a measure of exchange rate flexibility that considers autoregressive conditional heteroskedasticity (ARCH) effects and possible asymmetric responses of the exchange rate to shocks. Generalized method of moments (GMM) estimators are employed to estimate the dynamic relationship between exchange rate flexibility and the speed of current account adjustment. The results suggest that more flexible exchange rates are associated with faster adjustment of current account imbalances, and when the possibility of an asymmetric response of exchange rate to shocks is taken into account, the estimated speed of adjustment is even higher.

Keywords
Arellano-Bond estimator, Current account adjustment, Exchange rate volatility, Flexible exchange rates, GARCH, Leverage effect
National Category
Economics Probability Theory and Statistics
Identifiers
urn:nbn:se:hj:diva-39449 (URN)
Note

An earlier version of this article was published in International Economicsand Economic Policy.

Available from: 2018-05-16 Created: 2018-05-16 Last updated: 2018-05-16
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ORCID iD: ORCID iD iconorcid.org/0000-0001-6611-4762

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