A new unit root test against ESTAR based on a class of modified statistics
In: Statistical papers, Band 52, Heft 1, S. 71-85
ISSN: 1613-9798
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In: Statistical papers, Band 52, Heft 1, S. 71-85
ISSN: 1613-9798
In: Scottish Journal of Political Economy, Band 66, Heft 1, S. 139-153
SSRN
In: Kruse, Robinson and Wegener, Christoph orcid:0000-0002-9508-7131 (2019). Explosive behaviour and long memory with an application to European bond yield spreads. Scott. J. Polit. Econ., 66 (1). S. 139 - 154. HOBOKEN: WILEY. ISSN 1467-9485
This article deals with the interplay of explosive behaviour and long memory. We conduct Monte Carlo simulations and study the finite-sample properties of the popular unit root test by Phillips et al. (2011) against explosive alternatives. This test exhibits severe upward size distortions under the presence of strongly autocorrelated residuals. We propose the usage of a set of adjusted critical values which leads to a size-controlled test with increased power. As a complement, we consider the Lagrange Multiplier test against long memory by Tanaka (1999). We study European government bond yield spreads during the financial crisis.
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In: Scottish journal of political economy: the journal of the Scottish Economic Society, Band 66, Heft 1, S. 139-153
ISSN: 1467-9485
AbstractThis article deals with the interplay of explosive behaviour and long memory. We conduct Monte Carlo simulations and study the finite‐sample properties of the popular unit root test by Phillips et al. (2011) against explosive alternatives. This test exhibits severe upward size distortions under the presence of strongly autocorrelated residuals. We propose the usage of a set of adjusted critical values which leads to a size‐controlled test with increased power. As a complement, we consider the Lagrange Multiplier test against long memory by Tanaka (1999). We study European government bond yield spreads during the financial crisis.
In: Journal of policy modeling: JPMOD ; a social science forum of world issues, Band 37, Heft 6, S. 990-1004
ISSN: 0161-8938
In: Statistical papers, Band 54, Heft 4, S. 911-930
ISSN: 1613-9798
In: CREATES Research Paper 2009-23
SSRN
Working paper
In: Wegener, Christoph orcid:0000-0002-9508-7131 , Kruse, Robinson and Basse, Tobias (2019). The walking debt crisis. J. Econ. Behav. Organ., 157. S. 382 - 403. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1879-1751
This article sheds light on the question whether arising sovereign credit risk in the EMU has been triggered by the US subprime crunch. By adapting recent econometric methodologies suggested in the related field of speculative bubbles, we find clear evidence for fast diverging (and even explosive) behavior of EMU government bond yields of peripheral countries relative to Germany during the financial and the European debt crisis. This might be caused by flight-to-quality effects to German government bonds coincident with the collapse of Lehman Brothers and by a loss of confidence in the fiscal stability of Greece, Ireland, Italy, Portugal and Spain during the European debt crisis. First, we find compelling evidence for bubbles in the Dow Jones Equity Real Estate Investment Trusts (REITs) index which serves as a weekly measure of economic activity in the North American real estate sector. Second, in our main analysis, we test whether the collapsing bubble in the housing market triggered the diverging government bond yields during two crisis regimes. Our findings indicate that this was the case in the course of the financial crisis, but not during the EMU sovereign debt crisis. These results suggest that the severe fiscal problems in peripheral countries are homemade rather than imported from the US. (C) 2017 Elsevier B.V. All rights reserved.
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In: Basse , T , Kruse , R & Wegener , C 2017 ' The Walking Debt Crisis ' Institut for Økonomi, Aarhus Universitet , Aarhus .
This article sheds light on the question whether arising sovereign credit risk in the EMU has been triggered by the US subprime crunch. By adapting recent econometric methodologies suggested in the related field of speculative bubbles, we find clear evidence for fast diverging (and even explosive) behavior of EMU government bond yields of peripheral countries relative to Germany during the financial and the European debt crisis. This might be caused by flight-to-quality effects to German government bonds coincident with the collapse of Lehman Brothers and by a loss of confidence in the fiscal stability of Greece, Ireland, Italy, Portugal and Spain during the European debt crisis. First, we find compelling evidence for bubbles in the Dow Jones Equity Real Estate Investment Trust (REITs) index which serves as a weekly measure of economic activity in the North American real estate sector. Second, in our main analysis, we test whether the collapsing bubble in the housing market triggered the diverging government bond yields during two crisis regimes. Our findings indicate that this was the case in the course of the financial, but not during the EMU sovereign debt crisis. These results suggest that the severe fiscal problems in peripheral countries are homemade rather than imported from the US.
BASE
In: Statistical papers, Band 54, Heft 4, S. 977-991
ISSN: 1613-9798
In: Discussion paper Nr. 2021, 6