Testing PPP hypothesis under temporary structural breaks and asymmetric dynamic adjustments

ABSTRACT

We test the empirical validity of the PPP proposition under temporary structural breaks and dynamic nonlinear adjustments. Although several testing procedures have recently been proposed in the existing literature to investigate stochastic properties of the series under gradual breaks and nonlinear adjustments, none of these tests are compatible with the PPP proposition. Therefore, we propose new testing procedures that restrict the break to be temporary while simultaneously allowing for asymmetric dynamic nonlinear adjustment towards equilibrium. Using these newly proposed tests, we test stationarity of real exchange rate of 24 OECD countries vis-à-vis USA, and find support in favour of PPP proposition in majority of the countries.     

Global Imbalances and Petrodollars

Oil exporters have run large current account surpluses. We explore oil exporters’ role in the global imbalances debate. Current account dynamics are estimated for oil‐exporting countries and the rest of the world. We find that fiscal policy has a much stronger effect on the current account of oil exporters than on current accounts of other countries. The current account adjustment of oil‐exporting countries is also faster. Fiscal policy of oil exporters can have a significant and speedy impact on global imbalances. The impact via the adjustment of exchange rates might not be effective.     

A Clustering Approach to Some Monetary Facts: A Long-Run Analysis of Cross-Country Data

Long-run dependencies among inflation, growth rates of money, real output and real output per capita are analysed. For a cross-section of 119 countries, clusters are obtained, and correlations among these variables within each cluster are calculated. Unlike the correlations obtained using data from the full sample, correlations of growth rates of real output and real output per capita with money growth and inflation are dissimilar across clusters. In particular, for some clusters of countries positive long-run relationships of money growth and inflation with growth rates of real output are observed.
JEL Classification Numbers: E5, F01, C69.     

Merger waves,entry-timing,and cross-border acquisition completion: A frictional lens perspective

We study the impact of deal announcement and entry-timing within a cross-border acquisition (CBA) wave on the likelihood of acquisition completion. Drawing upon the frictional lens perspective, we identify two types of frictional forces- wave-friction and partner-friction within merger waves. We follow a simulation-based methodology and identify three CBA waves for Indian acquirers between 1995 and 2015. Our findings suggest that acquisition announcement within a merger wave as compared to outside of a wave is negatively related to the likelihood of deal completion. Further, within a merger wave, we find an inverted U-shaped relationship between entry-timing and the likelihood of deal completion.     

Social capital and entrepreneurial process

The paper examines the relationship between social capital and entrepreneurial engagement of individuals in 35 nations from Europe and Asia. To the best of our knowledge, this is the first empirical research that attempts to investigate the influence of three-dimensional social capital concept – trust, networks and norms – on three stages of entrepreneurial process – preference, trial and success – using such large and comprehensive cross-sectional micro data. In general, we find that all three dimensions of social capital matter in the entrepreneurship context, albeit differently. They become beneficial in different ways and at different stages of entrepreneurial involvement. For example, among trust variables, institutional trust in general, and trust in business-oriented and business-supporting actors in particular, exert significant positive effect on entrepreneurial process. Individuals with formal membership in professional associations are more likely to perceive entrepreneurial opportunities, while some close or strong-tie networks might prevent them from progressing in the entrepreneurship ladder. Finally, individual level civic norms appear to be negatively associated with early-stage entrepreneurship, while the success in becoming an entrepreneur is not found to be bound by people’s civic norms.     

Nonlinearity and structural stability in the Phillips curve: Evidence from Turkey

In this paper, we investigate possible nonlinearities in the inflation–output relationship in Turkey for the 1980–2008 period. We first estimate a linear bivariate model for the inflation rate and output gap, and test for linearity of the estimated model against nonlinear alternatives. Linearity test results suggest that the relationship between the inflation rate and output gap is highly nonlinear. We estimate a bivariate time-varying smooth transition regression model, and compute dynamic effects of one variable on the other by generalized impulse response functions. Computed impulse response functions indicate that inflation–output relationship in Turkey during the analyzed period was regime dependent and varied considerably across time.     

浅议丝绸之路的重建

本文旨在说明如何利用昔日丝绸之路来建立当今世界的国际经济关系.在古代我们的祖先开拓了古老的丝绸之路,成功连接了亚欧及其它各大陆的贸易往来.现今重新审视研究丝绸之路,对于思考如何提高改善亚欧大陆贸易往来,缩短货物运输时间有至关重要的影响.在达成这一目标的道路上仍然存在一些障碍需要面对.     

The asymmetric effects of monetary shocks: the case of Turkey

This paper examines whether there is an asymmetry in the effects of positive versus negative and small versus big money supply shocks, and whether the effects of the shocks on output and prices vary over the business cycles in the case of Turkey. Negative shocks to money are found to have greater output and smaller price effects compared to the effects of positive shocks, irrespective of the initial state of the economy. It is also found that monetary shocks of different size affect output growth and inflation rates proportionately. These findings can be interpreted as evidence for the view that the short run aggragate supply curve is convex in such a country like Turkey.