Common cycles in seasonal non-stationary time series

Cubadda, Gianluca

doi:10.1002/(sici)1099-1255(199905/06)14:3<273::aid-jae498>3.0.co;2-n

Cited by 51 publications

(17 citation statements)

References 39 publications

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“…As a robustness check, we also conduct the test with an optimal general method of moments (GMM) estimation as proposed by Cubadda (1999, 2007), who argues that GMM is more appropriate for testing for common cycles, due to its relative efficiency. Panel B in Table 3, Column CF, shows that with this alternative estimation method, none of the countries shares a common serial correlation feature with the United States.…”

Section: Mundell Frameworkmentioning

confidence: 99%

“…In order to address this issue, we investigate in the first part of our paper whether there exist common cyclical reactions to a standard shock in the Central American countries and the United States, using the test for common serial correlation that was first developed by Engle and Kozicki (1993) and Vahid and Engle (1993) and later extended by Cubadda (1999, 2007). 5 The authors show that it is possible to test for common serial correlation (i.e.…”

Section: Introductionmentioning

confidence: 99%

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How strong is the case for dollarization in Central America? An empirical analysis of business cycles, credit market imperfections and the exchange rate

Lindenberg¹,

Westermann²

2011

Int. J Fin Econ

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractIn this paper, we contrast two different views in the debate on official dollarization. The Mundell (1961) framework of optimal currency areas and a model on boom-bust cycles, by Schneider and Tornell (2004), who take account of credit market imperfections prevalent in middle income countries. We highlight that the role of the exchange rate is strikingly different in the two models. While in the Mundell framework the exchange rate is expected to smooth the business cycle, the other model predicts that the exchange rate plays an amplifying role. We empirically evaluate both models for eight highly dollarized Central American economies, and find that the main benefit of official dollarization derives from avoiding a mismatch between foreign currency liabilities and domestic revenues, as well as the boom-bust episodes that are likely to follow from it. Using a new method of Cubadda (1999Cubadda ( , 2007, we furthermore test for cyclical comovement and reject the hypothesis that the countries form an optimal currency area with the United States according to the Mundell definition.

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Section: Mundell Frameworkmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

How strong is the case for dollarization in Central America? An empirical analysis of business cycles, credit market imperfections and the exchange rate

Lindenberg¹,

Westermann²

2011

Int. J Fin Econ

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“…The technique for finding such patterns, known as common seasonal features, is based on earlier contributions by Engle and Kozicki (1993) and Vahid and Engle (1993), defining common features. The common seasonal features were introduced by Engle and Hylleberg (1996), and further developed by Cubadda (1999).…”

Section: The Evolving Seasonals Model the Evolving Seasonals Model Wmentioning

confidence: 99%

Seasonality in Economic Models

et al. 2004

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Seasonality has been a major research area in economics for several decades. The paper assesses the recent development in the literature on the treatment of seasonality in economics, and divides it into three interrelated groups. The first group, pure noise models, consists of methods based on the view that seasonality is noise contaminating the data or, more correctly, contaminating the information of interest for the economists. The second group, time-series models, treats seasonality as a more integrated part of the modeling strategy, with the choice of model being data driven. The third group, economic models of seasonality, introduces economic theory, that is, optimizing behavior, into the modeling of seasonality.

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“…Particularly, the frequent use of annual or seasonally adjusted data have obscured the strong seasonal behavior displayed by many international output measures [see, e.g., Cecchetti and Kashyap (1996)]. Moreover, cyclical comovements of economic time series are not invariant to temporal aggregation and seasonal adjustment [Hecq (1998), Cubadda (1999), Marcellino (1999)]. Second, the difficulties in finding a data set fully coherent with the predictions of theoretical models has obliged empirical literature to use proxies of the relevant economic variables, such as values added or industrial production indices.…”

Section: Introductionmentioning

confidence: 99%

Seasonality, Productivity Shocks, and Sectoral Comovements in a Real Business Cycle Model for Italy

2002

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This paper investigates the degree of comovements in quarterly Italian time series of sectoral output. A recently developed multivariate technique for the empirical analysis of long-run, cyclical and seasonal comovements is used in the context of a multisectoral real-business-cycle model augmented with persistent seasonal shocks in productivity. Our empirical results emphasize the role of input-output relations in the propagation mechanism and indicate that sectoral outputs have a relatively low number of common stochastic trends, in conflict with the hypothesis of independent productivity shocks. In contrast, stochastic seasonals seem to move idiosyncratically. Furthermore, our findings suggest that the theoretical model should be extended to allow for deterministic seasonal shifts in preferences.

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Common cycles in seasonal non-stationary time series

Cited by 51 publications

References 39 publications

How strong is the case for dollarization in Central America? An empirical analysis of business cycles, credit market imperfections and the exchange rate

How strong is the case for dollarization in Central America? An empirical analysis of business cycles, credit market imperfections and the exchange rate

Seasonality in Economic Models

Seasonality, Productivity Shocks, and Sectoral Comovements in a Real Business Cycle Model for Italy

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