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  • 1.
    Hacker, R Scott
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Mobility and Regional Economic Downturns2000Ingår i: Journal of regional science, ISSN 0022-4146, E-ISSN 1467-9787, Vol. 40, nr 1, s. 45-65Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this paper I show how higher unemployment in a region may reduce thepopulation's residential mobility within that region. A period of higher unemployment creates more uncertainty among individuals about future income and place of employment so those with significant moving costs are more likely to consider delaying a move. Periods of relatively higher unemployment may also be characterized by fewer new hirings and fewer job quits, both of which tend to dampen mobility. A multinomial logit analysis using Panel Study of Income Dynamics data is used to examine the effect of state unemployment rates on the decision to move.

  • 2.
    Hacker, R Scott
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    The Effect of Residential Crowding on Labor Productivity with Evidence from the Twilight of Polish Socialism1999Ingår i: Real estate economics (Print), ISSN 1080-8620, E-ISSN 1540-6229, Vol. 27, nr 1, s. 135-167Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper considers the effect of low per capita housing stock on labor productivity. Theoretically, a negative effect may be expected. Low per capita housing leads to greater difficulty in finding housing, which in turn leads to reduced labor mobility and a less productive allocation of labor. A dynamic model is developed which displays this relationship and which takes into account inter-regional migratory flows induced by regional labor productivity differentials. The empirical part of the paper focuses on cross-sectional information, using primarily 1989 Polish data aggregated at the regional level.

  • 3.
    Hacker, R Scott
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    The Impact of International Capital Mobility on the Volatility of Labor Income2000Ingår i: The annals of regional science, ISSN 0570-1864, E-ISSN 1432-0592, Vol. 34, nr 2, s. 157-172Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    If project risk is positively related to project return, then the greater diversification available from international capital mobility also leads to more investment in the riskier projects with high expected returns. This results in internationally immobile laborers facing greater risk in the demand for their services, since these services are provided to riskier projects and the laborers do not receive the diversification benefit that capitalists do. This paper develops a model which shows that when there is more capital mobility between two countries, there is a tendency for both countries to experience an increase in the volatility of labor income under perfect wage flexibility, and this impact is stronger in the country less richly endowed with labor and financial wealth.

  • 4.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Einarsson, Henrik
    The Pattern, Pull, and Potential of Baltic Sea Trade2003Ingår i: The annals of regional science, ISSN 0570-1864, E-ISSN 1432-0592, Vol. 37, nr 1, s. 15-29Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper describes the current conditions of trade in the Baltic Sea region and considers the strength of trade affinities between countries and country groups within that region. The evidence supports a strong affinity between Estonia, Latvia, and Lithuania to the Baltic Nordic countries. The paper also considers how sensitive Swedish exports are to per capita GDP of importing countries and how that varies across industries. Some of the evidence supports a positive relation between product differentiation and the per-capita GDP sensitivity. Among this evidence is the finding that for Swedish exports, distance sensitivity and per-capita GDP sensitivity are negatively related.

  • 5.
    Hacker,, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    UAE University.
    A Bootstrap Test for Causality with Endogenous Lag Length Choice: theory and application in finance2010Rapport (Övrigt vetenskapligt)
    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.

  • 6.
    Hacker, R. Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Hatemi-J, Abdulnasser
    UAE University, Department of Economics and Finance.
    A bootstrap test for causality with endogenous lag length choice: theory and application in finance2012Ingår i: Journal of economic studies, ISSN 0144-3585, E-ISSN 1758-7387, Vol. 39, nr 2, s. 144-160Artikel i tidskrift (Refereegranskat)
    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.

  • 7.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    A Test for Multivariate ARCH Effects2005Ingår i: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 12, nr 7, s. 411-417Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper extends Engle's LM test for ARCH affects to multivariate cases. The size and power properties of this multivariate test for ARCH effects in VAR models are investigated based on asymptotic and bootstrap distributions. Using the asymptotic distribution, deviations of actual size from nominal size do not appear to be very excessive. Nevertheless, there is a tendency for the actual size to overreject the null hypothesis when the nominal size is 1% and underreject the null when the nominal size is 5% or 10%. It is found that using a bootstrap distribution for the multivariate LM test is generally superior in achieving the appropriate size to using the asymptotic distribution when (1) the nominal size is 5%; (2) the sample size is small (40 observations) and/or the VAR system is stable. With a small sample, the power of the test using the bootstrap distribution also appears better at the 5% nominal size.

  • 8.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    An Alternative Method to Test for Contagion with an Application to the Asian Financial Crisis2005Ingår i: Applied Financial Economics Letters, ISSN 1744-6546, Vol. 1, nr 6, s. 343-347Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper investigates the size properties of a test for contagion based on an asymptotic t -distribution. The simulations show that this asymptotic test does not have correct size properties. An alternative test method based on case-resampling bootstrapping is introduced to improve on the correctness of inference. The simulations show that this new test has much better size properties. It also has quite high power properties and it is robust to ARCH effects. The method is applied to testing for contagion from Thailand to Indonesia during the Asian financial crisis.

  • 9.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    Capital Mobility in Sweden: A Time Varying Parameter Approach2007Ingår i: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 14, nr 15, s. 1115-1118Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This article investigates the degree of capital mobility in Sweden during 1993 to 2004 using quarterly data. A time varying parameter model is estimated by the Kalman filter, and it shows that the relationship between investment as share in gross domestic product (GDP) and saving as share in GDP is much less than one (within the interval of 0.25–0.35), indicating substantial capital mobility. However, since the coefficient in each period is statistically different from zero, capital is still not perfectly mobile. Nevertheless, capital mobility seems to have increased until 1995 when Sweden became a member of EU and after membership there seems to be no significant increase in capital mobility.

  • 10.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    How Productivity and Domestic Output Are Related to Exports and Foreign Output in the Case of Sweden2003Ingår i: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 28, nr 4, s. 767-782Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this paper we examine the relationships between two sets of three variables: Swedish real exports, Swedish real GDP, and foreign real GDP in one set; and Swedish real exports, Swedish total factor productivity, and foreign real GDP in the other set. The foreign real GDP facing Sweden is proxied by total OECD real GDP minus Sweden's real GDP. Multivariate tests for integration and cointegration show that the variables in each model are cointegrated. We also perform Granger causality tests on these variables in our examination using the Toda-Yamamoto procedure. We discover bi-directional causality between Swedish real exports and Swedish real GDP (or Swedish total factor productivity). Foreign real GDP is shown to Granger cause Swedish real exports, but no significant causation of foreign real GDP on either domestic GDP or total factor productivity was found. A change in foreign real GDP thus appears to affect Swedish output and productivity only indirectly, through changes in Swedish exports.

  • 11.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    Is the J-Curve Effect Observable for Small North European Economies?2003Ingår i: Open Economies Review, ISSN 0923-7992, E-ISSN 1573-708X, Vol. 14, nr 2, s. 119-134Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The present study tests for the J-curve for five North European countries—Belgium, Denmark, The Netherlands, Norway, and Sweden—using generalized impulse response functions. The results provide empirical support for the J-curve. Each country has an impulse response function generated from a vector error-correction model that suggests that after a depreciation, there will be a dip in the export-import ratio within the first half-year after the depreciation. The long-run export-import ratio appears to be higher than the low point of this early dip in almost all cases. Also, in most cases, the export-import ratio appears in many periods after the depreciation to be converging from below to a higher long-run equilibrium.

  • 12.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    Optimal Lag Length Choice in Stable and Unstable VAR Models under Situations of Homoscedasticity and ARCH2008Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 35, nr 6, s. 601-615Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The performance of different information criteria - namely Akaike, corrected Akaike (AICC), Schwarz-Bayesian (SBC), and Hannan-Quinn - is investigated so as to choose the optimal lag length in stable and unstable vector autoregressive (VAR) models both when autoregressive conditional heteroscedasticity (ARCH) is present and when it is not. The investigation covers both large and small sample sizes. The Monte Carlo simulation results show that SBC has relatively better performance in lag-choice accuracy in many situations. It is also generally the least sensitive to ARCH regardless of stability or instability of the VAR model, especially in large sample sizes. These appealing properties of SBC make it the optimal criterion for choosing lag length in many situations, especially in the case of financial data, which are usually characterized by occasional periods of high volatility. SBC also has the best forecasting abilities in the majority of situations in which we vary sample size, stability, variance structure (ARCH or not), and forecast horizon (one period or five). frequently, AICC also has good lag-choosing and forecasting properties. However, when ARCH is present, the five-period forecast performance of all criteria in all situations worsens.

  • 13.
    Hacker, R. Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Hatemi-J, Abdulnasser
    United Arab Emirates University.
    Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing2014Ingår i: Empirical Economics Review, ISSN 2222-9736, Vol. 3, nr 1, s. 83-97Artikel i tidskrift (Refereegranskat)
    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.

  • 14.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application2006Ingår i: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 38, nr 13, s. 1489-1500Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Causality tests in the Granger's sense are increasingly applied in empirical research. Since the unit root revolution in time-series analysis, several modifications of tests for causality have been introduced in the literature. One of the recent developments is the Toda-Yamamoto modified Wald (MWALD) test, which is attractive due to its simple application, its absence of pre-testing distortions, and its basis on a standard asymptotical distribution irrespective of the number of unit roots and the cointegrating properties of the data. This study investigates the size properties of the MWALD test and finds that in small sample sizes this test performs poorly on those properties when using its asymptotical distribution, the chi-square. It is suggested that use be made of a leveraged bootstrap distribution to lower the size distortions. Monte Carlo simulation results show that an MWALD test based on a bootstrap distribution has much smaller size distortions than corresponding cases when the asymptotic distribution is used. These results hold for different sample sizes, integration orders, and error term processes (homoscedastic or ARCH). This new method is applied to the testing of the efficient market hypothesis

  • 15.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    The Effect of Exchange Rate Changes on Trade Balances in the Short and Long Run: Evidence from German Trade with Transitional Central European Economies2004Ingår i: The Economics of Transition, ISSN 0967-0750, E-ISSN 1468-0351, Vol. 12, nr 4, s. 777-799Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Using generalized impulse response functions, this study tests for the trade J-curve for three transitional central European countries – the Czech Republic, Hungary, and Poland – in their bilateral trade with respect to Germany. Our findings suggest that for each country there are some characteristics associated with a J-curve effect: after a (real or nominal) depreciation the export-to-import ratio briefly drops to below its initial value within a few months and then rises to a long run equilibrium value higher than the initial one.

  • 16.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    The Effect of Regime Shifts on the Long-Run Relationships for Swedish Money Demand2005Ingår i: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 37, nr 15, s. 1731-1736Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    When the possibility of an unknown structural break is allowed and it is taken into account we find a significant long-run relationship between Swedish money demand and its determinants that is not found when no break is considered. The estimated elasticities show that money demand is more responsive to its determinants in the period after the break than before. Possible underlying reasons for the occurrence of this break and its implications are explained.

  • 17.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    UAE University.
    The Effectiveness of Information Criteria in Determining Unit Root and Trend Status2010Rapport (Övrigt vetenskapligt)
  • 18.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    UAE University.
    The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing2010Rapport (Övrigt vetenskapligt)
    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.

  • 19.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hatemi-J, Abdulnasser
    Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter: Journal of the Institute for International Economics2005Ingår i: Economia Internazionale/International Economics, ISSN 0012-981X, Vol. 58, nr 3, s. 327-336Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The objective of this study is to provide estimates of the Phillips curve in the US during the period 1951-2001 using some time-varying parameters and the Kalman filter. Time-varying estimates for the sensitivity of inflation to the unemployment rate are provided in addition to time-varying estimates for the NAIRU (the non-accelerating inflation rate of unemployment). Our results for the NAIRU do not significantly differ from that of others with time-varying estimates of it, with it peaking around 1980 (1979 in our case). Inflation is found to have become increasingly sensitive to unemployment in the late 1950s through the early 1970s, and peaked in the late 1970s – early 1980s. After that, the sensitivity decreased only slightly.

  • 20.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hussain, Qaizar
    Trading Blocs and Market Performance under Duopolistic Competition2005Ingår i: Journal of Economic Integration, ISSN 1225-651X, Vol. 20, nr 2, s. 294-317Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper uses a three-country duopoly model to examine the effects of lowered trade barriers when a new entrant joins a trading bloc. There are two firms - a small-country firm and a large-country firm within the bloc - and three markets -two within and one (new entrant) outside the bloc. The results from trade bloc expansion vary for when marginal cost is falling with respect to output, but are clear when marginal cost is rising. In the latter case, profits improve more for the small-country firm than for the large-country firm. Consequences on prices, production, and trade are also considered.

  • 21.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Johansson, Börje
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Sweden and the Baltic Sea Region: Transaction Costs and Trade Intensities2001Ingår i: Spatial Change and Interregional Flows in the Integrating Europe: Essays in Honour of Karin Peschel, Heidelberg: Physica-Verlag , 2001, s. 75-85Kapitel i bok, del av antologi (Övrigt vetenskapligt)
  • 22.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Johansson, BörjeHögskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.Karlsson, CharlieHögskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Emerging Market Economies and European Economic Integration2004Samlingsverk (redaktörskap) (Övrigt vetenskapligt)
  • 23.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Johansson, Börje
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Karlsson, Charlie
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Emerging Market Economies in an Integrating Europe: An Introduction2004Ingår i: Emerging Market Economies and European Economic Integration, Cheltanham UK: Edward Elgar , 2004, s. 1-27Kapitel i bok, del av antologi (Övrigt vetenskapligt)
  • 24.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Kim, Hyunjoo
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Månsson, Kristofer
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    An Investigation of the Causal Relations between Exchange Rates and Interest Rates Differentials using Wavelets2010Rapport (Övrigt vetenskapligt)
    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.

  • 25.
    Hacker, R Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Kim, Hyunjoo
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Månsson, Kristofer
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    The Relationship between Exchange Rate and Interest Rate Differentials: A Wavelet approach2010Rapport (Övrigt vetenskapligt)
    Abstract [en]

    This paper uses wavelet analysis to investigate the relationship between the spot exchange rate and the interest rate differential for seven pairs of countries, with a small country, Sweden, included in each of the cases. 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 while in the long-run the flexible-price models appear to better explain the sign of the relationship.

  • 26.
    Hacker, R. Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Kim Karlsson, Hyunjoo
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Månsson, Kristofer
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    An investigation of the causal relations between exchange rates and interest rate differentials using wavelets2014Ingår i: International Review of Economics and Finance, ISSN 1059-0560, E-ISSN 1873-8036, Vol. 29, s. 321-329Artikel i tidskrift (Refereegranskat)
    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.

  • 27.
    Hacker, R. Scott
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Kim Karlsson, Hyunjoo
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Månsson, Kristofer
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    The relationship between exchange rates and interest rate differentials: A wavelet approach2012Ingår i: The World Economy, ISSN 0378-5920, E-ISSN 1467-9701, Vol. 35, nr 9, s. 1162-1185Artikel i tidskrift (Refereegranskat)
    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.

  • 28.
    Hacker, Scott R.
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Klaesson, Johan
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Pettersson, Lars
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Sjölander, Pär
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Regional economic concentration and growth2013Ingår i: Metropolitan regions: Knowledge infrastructures of the global economy / [ed] Johan Klaesson, Börje Johansson, Charlie Karlsson, Berlin: Springer, 2013, s. 117-139Kapitel i bok, del av antologi (Refereegranskat)
    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.

  • 29.
    Hatemi-J, Abdulnasser
    et al.
    Economics, UAE University.
    Hacker, R Scott
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Can the LR Test Be Helpful in Choosing the Otpimal Lag Order in the VAR Model When Information Criteria Suggest Different Lag Orders?2009Ingår i: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 41, nr 9, s. 1121-1125Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The objective of this simulation study is to investigate whether the likelihood ratio (LR) test can pick the optimal lag order in the vector autoregressive model when the most applied information criteria (i.e. vector Schwarz--Bayesian, SBC and vector Hannan-Quinn, HQC) suggest two different lag orders. This lag-choosing procedure has been suggested by Hatemi-J (1999). The results based on the Monte Carlo simulations show that combining the LR test with SBC and HQC causes a substantial increase in the success rate of choosing the optimal lag order compared to cases when only SBC or HQC are used. This appears to be the case irrespective of homoscedasticity or conditional heteroscedasticity properties of the error-term in small sample sizes. This improvement in choosing the right lag order also tends to improve the forecasting capability of the underlying model.

  • 30.
    Kim Karlsson, Hyunjoo
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Hacker, R. Scott
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Time-varying betas of sectoral returns to market returns and exchange rate movements2013Ingår i: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 23, nr 14, s. 1155-1168Artikel i tidskrift (Refereegranskat)
    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.

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