Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Asymmetry and multiscale dynamics in macroeconomic time series analysis
Jönköping University, Jönköping International Business School, JIBS, Economics.ORCID iD: 0000-0001-6611-4762
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: urn:nbn:se:hj:diva-39452ISBN: 978-91-86345-84-6 (print)OAI: oai:DiVA.org:hj-39452DiVA, id: diva2:1206328
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
List of papers
1. 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
2. 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
3. Wavelet multiresolution analysis of the liquidity effect and monetary neutrality
Open this publication in new window or tab >>Wavelet multiresolution analysis of the liquidity effect and monetary neutrality
(English)Manuscript (preprint) (Other academic)
Abstract [en]

This paper employs wavelets to examine the relationship between money, interest and output on a scale-by-scale basis using data for the US and Sweden during 1985-2017. First, series are decomposed into orthogonal timescale components using the discrete wavelet transform (DWT) together with the Daubechies least asymmetric wavelet filter, and then causality analysis (in the Granger sense) is performed at each scale of variations. The dynamics at the finest scale of one-year movements indicate that interest rate and real output respond to movements in the quantity of money. At horizons of four years and above, there is a feedback mechanism. This pattern is very similar in both countries at the mentioned scales and suggests that monetary disturbances have significant real effects and these effects last longer than is assumed in pure real-business cycle models. Further, a locally weighted regression analysis suggests that not only are the direction and strength of the relationship among these variables scale-dependent but also the shape of the relationship may change from one scale to another. This method suggests a negative relationship between money and the short-term interest rate, as predicted by the liquidity preference theory, at cycles of one to four-year periods. Overall, these findings highlight the relevance of timescale decomposition in macroeconomic analysis.

National Category
Economics Probability Theory and Statistics
Identifiers
urn:nbn:se:hj:diva-39450 (URN)
Note

An earlier version of this article was published in Computational Economics.

Available from: 2018-05-16 Created: 2018-05-16 Last updated: 2018-05-16

Open Access in DiVA

Kappa(853 kB)56 downloads
File information
File name FULLTEXT01.pdfFile size 853 kBChecksum SHA-512
7d9bc2d386ce77b50fd67463ceca3116c052bc5096d5aff7eecf28987dfe2f8faf8f021652712a0a506047dd498bb2bf414d9193b1729399c1c92c06a3cfdfda
Type fulltextMimetype application/pdf

Authority records BETA

Habimana, Olivier

Search in DiVA

By author/editor
Habimana, Olivier
By organisation
JIBS, Economics
EconomicsProbability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 56 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

isbn
urn-nbn

Altmetric score

isbn
urn-nbn
Total: 1055 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf