This paper investigates how financial weakness among Japanese banks in the second half of the 1990s was reflected in pricing in the financial markets. Two indicators, the Japan premium (JP) and the stock price spread (SP)}deviation between the bank stock index (BINDEX) and stock price index excluding banks (NINDEX)}were examined. The structural change occurring in the relationship between BINDE...

Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with “out-of-sample Granger causality”. In particular, it is often of interest to assess whether historical data from one variable are useful when constructing a forecasting model for another variable,...

The present paper seeks to cast scepticism on the validity and value of the results of all earlier studies in India on energy demand analysis and forecasting based on time series regression, on three grounds. (i) As these studies did not care for model adequacy diagnostic checking, indispensably required to verify the empirical validity of the residual whiteness assumptions underlying the very ...

By using the recent Gertler and Kiyotaki’s (2010) setup, this paper explores the interaction between real distortions stemming from the labor market institutions and …nancial shocks. We …nd that neither labor market imperfections nor …scal institutions determining tax wedges have an impact on the volatility of the real economy induced by a …nancial shock. By contrast, real wage rigidities matte...

This paper examines the dynamic effects of government outlays on economic growth and the unemployment rate. Using vector autoregression and data from twenty OECD countries over three recent decades, we found: (1) positive shocks to government outlays slow down economic growth and raise the unemployment rate; (2) different types of government outlays have different effects on growth and unemploy...

abstract the aim of this study is of the effect of structural changes in higher education on changes of output in sistan and baluchestan province using structural decomposition analysis (sda). the input-output tables of this region for the period 2006-2011 have been employed as the database of the model. the structural changes were decomposed into two factors: changes in share of specific secto...

abstract in this paper, income per capita convergence hypothesis is tested in selected oic countries. for this purpose, we use the time series model and univariate kpss stationary test with multiple structural breaks (carrion-i-silvestre et al. (2005)) over the period 1950-2008. the results show that most oic countries could not catch up toward usa. although because of some positive term of tra...

Article history: Received 29 March 2013 Available online 10 February 2014 JEL classification: C72 D83 D85

Article history: Received 30 November 2007 Available online 31 August 2011 JEL classification: D82 D83