Ändra sökning
Avgränsa sökresultatet
1 - 11 av 11
RefereraExporteraLänk till träfflistan
Permanent länk
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Träffar per sida
  • 5
  • 10
  • 20
  • 50
  • 100
  • 250
Sortering
  • Standard (Relevans)
  • Författare A-Ö
  • Författare Ö-A
  • Titel A-Ö
  • Titel Ö-A
  • Publikationstyp A-Ö
  • Publikationstyp Ö-A
  • Äldst först
  • Nyast först
  • Skapad (Äldst först)
  • Skapad (Nyast först)
  • Senast uppdaterad (Äldst först)
  • Senast uppdaterad (Nyast först)
  • Disputationsdatum (tidigaste först)
  • Disputationsdatum (senaste först)
  • Standard (Relevans)
  • Författare A-Ö
  • Författare Ö-A
  • Titel A-Ö
  • Titel Ö-A
  • Publikationstyp A-Ö
  • Publikationstyp Ö-A
  • Äldst först
  • Nyast först
  • Skapad (Äldst först)
  • Skapad (Nyast först)
  • Senast uppdaterad (Äldst först)
  • Senast uppdaterad (Nyast först)
  • Disputationsdatum (tidigaste först)
  • Disputationsdatum (senaste först)
Markera
Maxantalet träffar du kan exportera från sökgränssnittet är 250. Vid större uttag använd dig av utsökningar.
  • 1.
    Habimana, Olivier
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi. Department of Applied Statistics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Asymmetric nonlinear mean reversion in real effective exchange rates: A Fisher-type panel unit root test applied to Sub-Saharan Africa2016Ingår i: Journal of Economic Asymmetries, ISSN 1703-4949, Vol. 14, s. 189-198Artikel i tidskrift (Refereegranskat)
    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. 

  • 2.
    Habimana, Olivier
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi. Department of Applied Statistics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Asymmetric Nonlinear Mean Reversion in Real Effective Exchange Rates: Evidence from Sub-Saharan AfricaManuskript (preprint) (Övrigt vetenskapligt)
    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.

  • 3.
    Habimana, Olivier
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Asymmetry and multiscale dynamics in macroeconomic time series analysis2018Doktorsavhandling, sammanläggning (Övrigt vetenskapligt)
    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.

    Ladda ner fulltext (pdf)
    Kappa
  • 4.
    Habimana, Olivier
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi. Department of Applied Statistics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility2017Ingår i: International Economics and Economic Policy, ISSN 1612-4804, E-ISSN 1612-4812, Vol. 14, nr 4, s. 625-642Artikel i tidskrift (Refereegranskat)
    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.

  • 5.
    Habimana, Olivier
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi. Department of Applied Statistics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatilityManuskript (preprint) (Övrigt vetenskapligt)
    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.

  • 6.
    Habimana, Olivier
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi. Department of Applied Statistics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Wavelet multiresolution analysis of the liquidity effect and monetary neutralityManuskript (preprint) (Övrigt vetenskapligt)
    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.

  • 7.
    Habimana, Olivier
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi. Department of Applied Statistics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Wavelet multiresolution analysis of the liquidity effect and monetary neutrality2019Ingår i: Computational Economics, ISSN 0927-7099, E-ISSN 1572-9974, Vol. 53, nr 1, s. 85-110Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper employs the maximum overlap discrete wavelet transform to obtain timescale decompositions of monetary aggregates, short-term interest rates and output to investigate two propositions in monetary economics: the liquidity effect and the long-run neutrality of money. Evidence from correlation and Granger causality over five timescales suggests that the liquidity effect is statistically significant in both the US and Sweden’s economies, with a shorter time horizon in the US than in Sweden. There is no evidence of monetary neutrality in both economies; at finest timescales, output Granger causes money in Sweden, whereas it is the other way around in the US. At long time horizons, there is a feedback between money and output in both economies. Key to our findings is that monetary disturbances have significant real effects and these effects last longer than it is assumed in real business cycle models.

    Ladda ner fulltext (pdf)
    Fulltext
  • 8.
    Habimana, Olivier
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi. Department of Applied Statistics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Månsson, Kristofer
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Statistik.
    Sjölander, Pär
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Statistik.
    Testing for nonlinear unit roots in the presence of a structural break2015Ingår i: Festschrift in honor of Professor Ghazi Shukur on the occasion of his 60th birthday / [ed] Thomas Holgersson, Växjö: Linnaeus University Press , 2015Kapitel i bok, del av antologi (Övrigt vetenskapligt)
  • 9.
    Habimana, Olivier
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi. Department of Applied Statistics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Månsson, Kristofer
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Statistik.
    Sjölander, Pär
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Statistik.
    Testing for nonlinear unit roots in the presence of a structural break with an application to the qualified PPP during the 1997 Asian financial crisis2018Ingår i: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 23, nr 3, s. 221-232Artikel i tidskrift (Refereegranskat)
    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.

  • 10.
    Umulisa, Yvonne
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi. Sweden School of Economics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Habimana, Olivier
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi. Sweden School of Economics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Business cycle synchronization and core-periphery patterns in the East African community: A wavelet approach2018Ingår i: Journal of economic integration, ISSN 1225-651X, Vol. 33, nr 4, s. 629-658Artikel i tidskrift (Refereegranskat)
    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.

  • 11.
    Umulisa, Yvonne
    et al.
    Jönköping University, Internationella Handelshögskolan, IHH, Nationalekonomi. Sweden School of Economics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Habimana, Olivier
    Jönköping University, Internationella Handelshögskolan, IHH, Nationalekonomi. Sweden School of Economics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Business cycle synchronization and core-periphery patterns in the East African community: A wavelet approachManuskript (preprint) (Övrigt vetenskapligt)
    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 analysing the comovement of business cycles. Cross-wavelet 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 a monetary union in the EAC as a whole. However, the three countries that form its core seem the most potential candidates for the proposed EAMU.

1 - 11 av 11
RefereraExporteraLänk till träfflistan
Permanent länk
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf