Journal articles: 'Structural break analysi'

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Czech, Katarzyna. "Structural Changes in Wheat Market." Zeszyty Naukowe SGGW w Warszawie - Problemy Rolnictwa Światowego 16, no. 4 (December 31, 2016): 92–98. http://dx.doi.org/10.22630/prs.2016.16.4.102.

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Time series analysis is based on the assumption of stationarity. Stationarity implies the parameters are constant over time. Structural break occurs when at least one of the parameters changes at some date. Structural breaks can lead to huge forecasting errors and unreliability of the model. Modelling structure breaks is very popular in the literature of macroeconomics and finance. However, there are still too few publications about structural breaks in agricultural market. The goal of research is to identify structural breaks in wheat prices time series. A few structural break tests are applied. It has been shown that there is at least one significant structural break in the analysed time series. Both Quandt-Andrews and Bai-Perron tests show that there is a significant breakpoint in 12.09.2007. The estimated break date is associated with the beginning of global financial crisis. It may imply that wheat prices have become more prone to changes in global financial market.

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Ricci, Elena, Massimo Peri, and Lucia Baldi. "The Effects of Agricultural Price Instability on Vertical Price Transmission: A Study of the Wheat Chain in Italy." Agriculture 9, no. 2 (February 15, 2019): 36. http://dx.doi.org/10.3390/agriculture9020036.

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In this paper we analyse vertical price transmission in two typical Italian wheat chains, the pasta and bread chains, that were particularly affected by strong market fluctuations during the last years. After having split the chains into two sides, upstream (farm–wholesale) and downstream (wholesale–retail), we apply a cointegration methodology allowing for the presence of potentially unknown structural breaks. Then, for the different subperiods detected by the break dates, we investigate the evolving price transmission elasticities finding evidence of asymmetric price transmission. In the pasta chain, farmers seem to be price-takers, while in the bread chain price transmission is related to market structure and to the coexistence of small and large retailers.

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Tsuji, Chikashi. "A Multivariate Analysis of the Effects of Structural Breaks on Stock Return Volatility Persistence: The Case of the US and Japan." International Journal of Business Administration 10, no. 3 (March 27, 2019): 39. http://dx.doi.org/10.5430/ijba.v10n3p39.

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This paper quantitatively inspects the effects of structural breaks in stock returns on their volatility persistence by using the stock return data of the US and Japan. More concretely, applying the diagonal BEKK-MGARCH model with and without structural break dummies to the returns of S&P 500 and TOPIX, we reveal the following interesting findings. (1) First, we clarify that for both the US and Japanese stock returns, the values of the GARCH parameters, namely, the values of the volatility persistence parameters in the diagonal BEKK-MGARCH models decrease when we include the structural break dummies in the models. (2) Second, we further find that interestingly, during the Lehman crisis in 2008, the estimated time-varying volatilities from the diagonal BEKK-MGARCH model with structural break dummies are slightly higher than those from the no structural break dummy model. (3) Third, we furthermore reveal that also very interestingly, the estimated time-varying correlations from the diagonal BEKK-MGARCH model with no structural break dummy are slightly higher than those from the structural break dummy model.

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Khan, Muhammad Zaheer. "Revisiting the Environmental Kuznets Curve Hypothesis in Pakistan." Market Forces 16, no. 1 (June 1, 2021): 18. http://dx.doi.org/10.51153/mf.v16i1.446.

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A number of studies have already determined the existence of inverted U-shaped environmental Kuznets curve in Pakistan however the role of structural breaks in determining the relationship is yet to be investigated. The objective of this study was to determine if the presence of possible structural breaks explain the existence of environmental Kuznets curve type relationship in Pakistan for the period 1980-2016 by using data of total energy consumption, Real GDP per capita, foreign direct investment and trade openness. For the analysis the study first used the conventional time series econometric methods to determine the order of integration and Cointegration in the model. Second; as it is evident from the literature that presence of structural break in the model can have a significant impact, so the study used the Zivot and Andrews unit root test with one structural break to determine the order of integration in the model and Gregory-Hansen -Cointegration method to determine the presence of structural break within Cointegration framework. The results of the study not only confirm the existence of environmental Kuznets curve in the model, it also confirms the presence of structural break in the model.

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Kiraci, Kasim. "Analysis of the Determinant Factors of the Historical Development of Air Transport: An Empirical Application to Turkey." Studies in Business and Economics 13, no. 3 (December 1, 2018): 74–90. http://dx.doi.org/10.2478/sbe-2018-0036.

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Abstract The aim of this study was to empirically examine the development of air transport in Turkey in the period between 1980 and 2015. The study intended, within its scope, to determine the developments experienced in air transport in Turkey and the probable causes of the structural changes. Moreover, it was aimed at highlighting the years in which the structural changes in air transport were realized. In line with this objective, the one-break Zivot Anderews (1992) unit root test, the two-break Clemente-Montañés-Reyes (1998) unit root test, and the one-break and two-break LM were applied to the domestic and international air transport data of the 1980-2015 period. The results of the study show that there were substantial economic and political developments both at home and abroad in the years that the significant structural breaks that affect air transport took place.

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Canarella, Giorgio, and Stephen M. Miller. "Inflation persistence and structural breaks." Journal of Economic Studies 43, no. 6 (November 14, 2016): 980–1005. http://dx.doi.org/10.1108/jes-10-2015-0190.

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Purpose The purpose of this paper is to report on a sequential three-stage analysis of inflation persistence using monthly data from 11 inflation targeting (IT) countries and, for comparison, the USA, a non-IT country with a history of credible monetary policy. Design/methodology/approach First, the authors estimate inflation persistence in a rolling-window fractional-integration setting using the semiparametric estimator suggested by Phillips (2007). Second, the authors use tests for unknown structural breaks as a means to identify effects of the regime switch and the global financial crisis on inflation persistence. The authors use the sequences of estimated persistence measures from the first stage as dependent variables in the Bai and Perron (2003) structural break tests. Finally, the authors reapply the Phillips (2007) estimator to the subsamples defined by the breaks. Findings Four countries (Canada, Iceland, Mexico, and South Korea) experience a structural break in inflation persistence that coincide with the implementation of the IT regime, and three IT countries (Sweden, Switzerland, and the UK), as well as the USA experience a structural break in inflation persistence that coincides with the global financial crisis. Research limitations/implications The authors find that in most cases the estimates of inflation persistence switch from mean-reversion nonstationarity to mean-reversion stationarity. Practical implications Monetary policy implications differ between pre- and post-global financial crisis. Social implications Global financial crisis affected the persistence of inflation rates. Originality/value First paper to consider the effect of the global financial crisis on inflation persistence.

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Perez, Maria, Marco Palma, Bridget Behe, and Charles Hall. "Structural Breaks and Future Growth of the Green Industry." Journal of Environmental Horticulture 34, no. 2 (June 1, 2016): 52–55. http://dx.doi.org/10.24266/0738-2898-34.2.52.

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Every industry undergoes changes, but structural changes can abruptly and radically alter business for many firms in that industry. Identifying the substantial shifts in the green industry with regard to consumer spending can help the industry better understand its history. Using an econometric model of that same consumer spending data to look forward to the future can show firms what might lie ahead. We analyzed the personal consumption expenditures for two items measured by the U.S. Bureau of Economic Analysis to identify structural breaks in the green industry. We then conducted an econometric forecast using that same data to predict future consumer spending projections to the year 2020. To accomplish this, we analyzed household expenditures for Tools (including gardening tools and equipment) and Plants (including seeds, flowers, and plants) from 1959 to 2014. We identified one industry structural break using the Schwarz criteria for Tools in 2006 and another one for Plants in 2007 and (separately) identified four breaks using Bayesian Information criteria: one break for Tools in 2006 and three breaks in Plants in 1986, 2003, and 2008. The potential causes of these breaks are discussed (e.g. housing bubble, financial market stress). Lastly, we employed an econometric model to forecast spending and show that it will grow from $65.15 and $86.52 in 2015 to $71.17 and $96.97, for Tools and Plants respectively, in 2020.

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Kumar, Saurabh, Jitendra Kumar, Vikas Kumar Sharma, and Varun Agiwal. "Random order autoregressive time series model with structural break." Model Assisted Statistics and Applications 15, no. 3 (October 9, 2020): 225–37. http://dx.doi.org/10.3233/mas-200490.

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This paper deals with the problem of modelling time series data with structural breaks occur at multiple time points that may result in varying order of the model at every structural break. A flexible and generalized class of Autoregressive (AR) models with multiple structural breaks is proposed for modelling in such situations. Estimation of model parameters are discussed in both classical and Bayesian frameworks. Since the joint posterior of the parameters is not analytically tractable, we employ a Markov Chain Monte Carlo method, Gibbs sampling to simulate posterior sample. To verify the order change, a hypotheses test is constructed using posterior probability and compared with that of without breaks. The methodologies proposed here are illustrated by means of simulation study and a real data analysis.

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Mayon, Robert Brian, Zoheir Sabeur, Mingyi Tan, and Kamal Djidjeli. "ANALYSIS OF FLUID FLOW IMPACT OSCILLATORY PRESSURES WITH AIR ENTRAPMENT AT STRUCTURES." Coastal Engineering Proceedings, no. 35 (June 23, 2017): 31. http://dx.doi.org/10.9753/icce.v35.structures.31.

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Hydrodynamic wave loading at coastal structures is a complex phenomenon to quantify. The chaotic nature of the fluid flow field as waves break against such structures has presented many challenges to Scientists and Engineers for the design of coastal defences. The provision of installations such as breakwaters to resist wave loading and protect coastal areas has evolved predominantly through empirical and experimental observations. This is due to the challenging understanding and quantification of wave impact energy transfer processes with air entrainment at these structures. This paper presents a numerical investigation on wave loading at porous formations including the effects of air entrapment. Porous morphologies generated from cubic packed spheres with varying characteristics representing a breakwater structure are incorporated into the numerical model at the impact interface and the effect on the pressure field is investigated as the wave breaks. We focus on analysing the impulse impact pressure as a surging flow front impacts a porous wall. Thereafter we investigate the multi-modal oscillatory wave impact pressure signals which result from a transient plunging breaker wave impinging upon a modelled porous coastal protective structure. The high frequency oscillatory pressure effects resulting from air entrapment are clearly observed in the simulations. A frequency domain analysis of the impact pressure responses is undertaken. We show that the structural morphology of the porous assembly influences the pressure response signal recorded during the impact event. The findings provide good confidence on the robustness of our numerical model particularly for investigating the air bubbles formation and their mechanics at impact with porous walls.

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10

Lahiri, Sajal. "Structural Break, Indivisibilities and Input–Output Analysis." Economic Systems Research 1, no. 2 (January 1989): 155–66. http://dx.doi.org/10.1080/09535318900000012.

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Biswas, Debolina. "Understanding the Economic Growth of West Bengal: A Multiple Structural Breaks Approach." Indian Journal of Human Development 14, no. 1 (April 2020): 62–75. http://dx.doi.org/10.1177/0973703020923444.

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This article tries to understand the economic growth of West Bengal by using the Bai–Perron method of multiple structural break analysis. It is found that between 1960 and 2014, the Bengal economy had witnessed two breaks in its output growth. The first break occurred in 1983 and was influenced by a break in the agrarian sector, an outcome propelled by the shift in the political regime and changes in policy prescriptions. The second break happened in 1993; it was preceded by the break in the service sector and a shift in the policy paradigm within the same political dispensation. This study has further investigated the characteristics of the various growth phases in terms of sectoral composition and policies. It is identified that the West Bengal economy has moved from a low growth phase to a medium or balanced growth phase followed by a high growth phase. The low growth phase had witnessed an agrarian impasse, industrial deceleration and political instability. In contrast, the medium growth phase recorded an unprecedented agrarian growth and political stability. The high growth phase has seen a huge growth in the tertiary sector and political instability during its later half. JEL Classification: R11

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Yusof, F., I. L. Kane, and Z. Yusop. "Structural break or long memory: an empirical survey on daily rainfall data sets across Malaysia." Hydrology and Earth System Sciences 17, no. 4 (April 8, 2013): 1311–18. http://dx.doi.org/10.5194/hess-17-1311-2013.

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Abstract. A short memory process that encounters occasional structural breaks in mean can show a slower rate of decay in the autocorrelation function and other properties of fractional integrated I (d) processes. In this paper we employed a procedure for estimating the fractional differencing parameter in semiparametric contexts proposed by Geweke and Porter-Hudak (1983) to analyse nine daily rainfall data sets across Malaysia. The results indicate that all the data sets exhibit long memory. Furthermore, an empirical fluctuation process using the ordinary least square (OLS)-based cumulative sum (CUSUM) test for the break date was applied. Break dates were detected in all data sets. The data sets were partitioned according to their respective break date, and a further test for long memory was applied for all subseries. Results show that all subseries follows the same pattern as the original series. The estimate of the fractional parameters d1 and d2 on the subseries obtained by splitting the original series at the break date confirms that there is a long memory in the data generating process (DGP). Therefore this evidence shows a true long memory not due to structural break.

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O. Okon, Emmanuel, and Halirat Umar. "Debt-Growth Bond in Nigeria: Structural Break Analysis." Asian Finance & Banking Review 2, no. 1 (January 11, 2018): 1–6. http://dx.doi.org/10.46281/asfbr.v2i1.6.

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This study examined the structural break relationship between external debt and economic growth from 1985 to 2016 with a view to examine the effect of external debt relief on economic growth in Nigeria. The study used the ordinary least square technique. In addition, it employed the chow test and also adopted the similarity of error variances test in its analysis. From the results and analysis, it was revealed that external debt stock (EXD) is positively and insignificantly related to RGDP. It was concluded that the 2005 external debt relief did significantly caused a change in external debt, external debt service relations with economic growth in Nigeria. Based on these findings, the study suggested that external finance should be used only for projects of highest priority. Spending of external debt on productive self-liquidating investments must be strictly adhered to while projects to be financed with external loan must be properly appraised.

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Xing, Haipeng, and Yang Yu. "Firm’s Credit Risk in the Presence of Market Structural Breaks." Risks 6, no. 4 (December 1, 2018): 136. http://dx.doi.org/10.3390/risks6040136.

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The financial crises which occurred in the last several decades have demonstrated the significant impact of market structural breaks on firms’ credit behavior. To incorporate the impact of market structural break into the analysis of firms’ credit rating transitions and firms’ asset structure, we develop a continuous-time modulated Markov model for firms’ credit rating transitions with unobserved market structural breaks. The model takes a semi-parametric multiplicative regression form, in which the effects of firms’ observable covariates and macroeconomic variables are represented parametrically and nonparametrically, respectively, and the frailty effects of unobserved firm-specific and market-wide variables are incorporated via the integration form of the model assumption. We further develop a mixtured-estimating-equation approach to make inference on the effect of market variations, baseline intensities of all firms’ credit rating transitions, and rating transition intensities for each individual firm. We then use the developed model and inference procedure to analyze the monthly credit rating of U.S. firms from January 1986 to December 2012, and study the effect of market structural breaks on firms’ credit rating transitions.

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Akhmadieva, Veronika, and Ron P. Smith. "THE MACROECONOMIC IMPACT OF THE EURO." Scientific Annals of Economics and Business, Special Issue (2019): 229–49. http://dx.doi.org/10.47743/saeb-2019-0037.

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This paper examines whether the establishment of the euro caused structural breaks in the main macroeconomic relationships of member countries. It compares eight original members of the common currency with four European countries that did not join. The analysis constructs counterfactuals using both single equation models and a six equation vector autoregression with foreign exogenous variables, VARX*, explaining output, inflation, equity prices, exchange rates and short and long interest rates. It considers which equations changed the most and the most likely dates for any structural break.

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Chifurira, Retius, Knowledge Chinhamu, and Dorah Dubihlela. "Co-integration analysis with structural breaks: South Africa’s gold mining index and USD/ZAR exchange rate." Banks and Bank Systems 11, no. 3 (October 12, 2016): 109–19. http://dx.doi.org/10.21511/bbs.11(3).2016.11.

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This paper examines the presence of cointegration between South African gold mining index and USD/ZAR exchange rate. The results show that gold index and USD/ZAR exchange rate series are both I(1) and are cointegrated. The Granger causality test shows a two-way directional causality between gold index and USD/ZAR exchange rate for the period 9 June 2005-9 June 2015. By accounting for possible structural breaks, the Zivot-Andrews unit root test suggests two different breaking points in the data. By using the breaking dates to divide the dataset into 3 sub-periods, the results show that gold index and USD/ZAR exchange rate series are not cointegrated. The Granger causality test shows no causality between the two variables. This finding suggests that gold mining index does not play a key role in explaining the trends in the exchange rate and likewise exchange rate does not affect gold mining index. Keywords: USD/ZAR exchange rate, gold mining index, unit root tests, breaking points, cointegration. JEL Classification: F3, F4, F63, O47

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Saurabh Kumar Bhattacharya, Radha Saraswathy, and E. Sivakumar. "Genotoxic assessment in peripheral blood lymphocytes of post-polio individuals using sister chromatid exchange analysis and micronucleus assay." Human & Experimental Toxicology 30, no. 7 (July 14, 2010): 636–48. http://dx.doi.org/10.1177/0960327110376983.

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Environmental pollution is a complex issue because of the diversity of anthropogenic agents, both chemical and physical, that have been detected and catalogued. The consequences to biota from exposure to genotoxic agents present an additional problem because of the potential for these agents to produce adverse change at the cellular and organism levels. Past studies in virus have focused on structural damage to the DNA of environmental species that may occur after exposure to genotoxic agents and the use of this information to document exposure and to monitor remediation. In an effort to predict effects at the population, community and ecosystem levels, in the present study, we attempt to characterize damage occurring through genotoxic agents like 5-bromo-2-deoxyuridine, BrdU, using sister chromatid exchange technique and the formation of micronuclei (MN) in the peripheral lymphocytes of the post-polio syndrome sequelae affected by poliovirus. Analysis of structural chromosomal aberrations (CAs) and involvement of the specific chromosome break were pursued in this study. They revealed a significantly higher incidence of CAs (chromatid and chromosome breaks) in patients compared with controls, where the specific chromosome break has emerged as specific. Also, the maximum numbers of breaks were found to be in chromosome 1 at the position 1p36.1. The results also suggest a correlation between CAs and content of MN.

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Sorhun, Engin. "Is Economic Integration a Historical Shock to City-size Distribution?" Comparative Economic Research. Central and Eastern Europe 21, no. 1 (April 27, 2018): 83–100. http://dx.doi.org/10.2478/cer-2018-0005.

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Based on the assumption that the economic integration process contributes, via market reforms, to the dynamics of the space distribution in candidate countries, this study examines (i) whether agglomeration forces or dispersion forces are dominant; (ii) whether EU-integration causes a structural break to the space distribution over time; (iii) whether EU-integration makes the city-size distribution more even or uneven in eight eastern European Union members (EU–8). To carry out the analysis, the Ziwot-Andrew and Cusum Square tests are used to detect structural breaks; the ARDL Bound test is used to reveal the interaction between long-run and short-run equilibrium; and the Granger test is used to determine the direction of the causality among the variables. The main results are: the integration with the EU (i) caused a structural break to the city-size distribution, (ii) made the city-size distribution more uneven and (iii) stimulated the agglomerating forces over the spreading forces in the EU–8.

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Lestari, Murti, and Lincolin Arsyad. "The Response of Performance to Merger Strategy in Indonesian Banking Industry: Analyses on Bank Mandiri, Bank Danamon, and Bank Permata." Gadjah Mada International Journal of Business 12, no. 2 (May 12, 2010): 231. http://dx.doi.org/10.22146/gamaijb.5510.

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This study analyzes the responses of performances of BankMandiri, Bank Danamon, and Bank Permata to merger strategy.This paper harnesses the quantitative approach with structuralbreak analysis method and impulse response function. Theplausible findings indicate that the merger of Bank Permataproduces a better performance response in comparison to theconsolidation of Bank Mandiri and the merger of Bank Danamon.The merger of Bank Permata does not result in performanceshocks, and the structural break does not prevail either. On theother hand, the consolidation of Bank Mandiri and the mergerof Bank Danamon result in structural breaks, particularly in thespread performance. In order to return to the stable position, themergers of Bank Mandiri and Bank Danamon require a longertime than does the merger of Bank Permata. This researchindicates that for large banks, the mergers and acquisitions(retaining one existing bank) will deliver a better performanceresponse than will the consolidations (no existing bank).Keywords: impulse response function; merger; structural break

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Su, Liangjun, and Xia Wang. "TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION." Econometric Theory 36, no. 6 (May 12, 2020): 1127–58. http://dx.doi.org/10.1017/s0266466619000446.

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We propose a model-free test for structural changes in factor models. The basic idea is to regress the data on commonly estimated factors by local smoothing and compare the fitted values of time-varying factor loadings with those of time-invariant factor loadings estimated via principal component analysis. By construction, the test is designed to be powerful against both smooth structural changes and sudden structural breaks with a possibly unknown number of breaks and unknown break dates in the factor loadings. No restrictions on the form of alternatives or trimming of boundary regions near the beginning or end of the sample period is required for the test. The test has power to detect the usual nonparametric rate of local alternatives. Monte Carlo studies demonstrate excellent power of the test in detecting both smooth and sudden structural changes in the factor loadings. In an application using U.S. asset returns, we find significant evidence against time-invariant factor loadings.

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Muthuramu, P., and T. Uma Maheswari. "Tests for Structural Breaks in Time Series Analysis: A Review of Recent Development." Shanlax International Journal of Economics 7, no. 4 (August 31, 2019): 66–79. http://dx.doi.org/10.34293/economics.v7i4.628.

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The issue related to a structural break or change point in the econometric and statistics literature is relatively vast. In recent decades it was increasing, and it got recognized by various researchers. The debates are about a structural break or parameter instability in the econometric models. Over some time, there has been a different mechanism, and theoretical development stretching the fundamental change and strengthen the econometric literature. Estimation of structural break has undergone significant changes. Instead of exploring the presence of a known structural break, now the emphasis is on tracing multiple unknown cracks using dynamic programming. The paper an attempt has been made to review the different forms of the presence of structural break(s) over the past.

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Fiteni, Inmaculada. "ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS." Econometric Theory 18, no. 2 (April 2002): 349–86. http://dx.doi.org/10.1017/s0266466602182065.

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This paper proposes robust M-estimators of dynamic linear models with a structural break of unknown location. Rates of convergence and limiting distributions for the estimated shift point and the estimated regression parameters are derived. The analysis is carried out in the framework of possibly dependent observations and also with trending regressors. The asymptotic distribution of the break location estimator is obtained both for fixed magnitude of shift and for shift with magnitude converging to zero as the sample size increases. The latter is essential for the derivation of feasible confidence intervals for the break location. Monte Carlo simulations illustrate the performance of asymptotic inferences in practice.

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Umit, A. Oznur. "Stationarity of Real Exchange Rates in the “Fragile Five”: Analysis with Structural Breaks." International Journal of Economics and Finance 8, no. 4 (March 23, 2016): 254. http://dx.doi.org/10.5539/ijef.v8n4p254.

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In this study the stationarity of monthly real exchange rate data for the “fragile five” countries which are among the emerging market economies, is analyzed for the period of 2003:01-2015:10, using traditional unit root tests and unit root tests with structural breaks. According to the results of traditional Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root test results, it has been determined that the real exchange rate series of the fragile five countries had a unit root and therefore the Purchasing Power Parity (PPP) hypothesis does not hold true in these countries. The results of a Zivot-Andrews unit root test, which allows for a single structural break, show that real exchange rate series were stationary for Brazil and India, and hence the PPP hypothesis is valid in these countries. According to the results of a Lee-Strazicich unit root test, which allows for two structural breaks, it has been concluded that the hypothesis is valid only for India. Likewise, using the Carrion-i- Sivestre (CS) unit root test, which allows for five structural breaks in the time series, it has been determined that only South Africa’s and India’s real exchange rate series are not stationary, and therefore the PPP hypothesis is not valid for these countries. In line with the results of the CS unit root test it can be claimed that, due to the fact that South African and Indian central banks are not under the pressure of establishing exchange rate stability, they have the possibility of implementing an independent monetary policy.

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Narmadha, N., and K. R. Karunakaran. "Structural break analysis on specific horticultural crops in India." Current Horticulture 10, no. 2 (2022): 52–55. http://dx.doi.org/10.5958/2455-7560.2022.00030.9.

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Jakučionytė, Eglė. "THE IMPACT OF THE EURO ADOPTION ON NASDAQ OM X BALTIC STOCK EXCHANGE. ANALYSIS BY STRUCTURAL BREAK TESTS." Ekonomika 90, no. 3 (January 1, 2011): 73–92. http://dx.doi.org/10.15388/ekon.2011.0.934.

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Although the euro adoption in Estonia in 2011 and changing the trading and clearing currency at the NASDAQ OMX Vilnius for euro on 22 November 2010 were foreseen as a possibility to attract more foreign investors, last year the Baltic stock exchange underwent some extreme fluctuations, both positive and negative.In this paper, shown are statistically significant euro adoption-caused trend breaks underlying the data set of NASDAQ OMX stock exchanges in Tallinn and Vilnius. Also, the possible factors that may have been driving them are discussed. The assessment is carried out using three different structural break tests.

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de Boyrie, Maria E. "Structural Changes, Causality, and Foreign Direct Investments: Evidence from the Asian Crises of 1997." Global Economy Journal 9, no. 4 (October 2009): 1850180. http://dx.doi.org/10.2202/1524-5861.1529.

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This study attempts to determine three things: (1) whether structural changes or shifts exist in the outward foreign direct investment (FDI) data from OECD countries to eight Asian countries, (2) if a linkage exists across OECD FDI flow patterns, and (3) whether the determinants of FDI are consistently the same during the different periods as determined by structural breaks. In order to estimate the structural breaks, Bai and Perron's (1998, 2003) model is utilized because it allows for more than one break in the data. Because the time of the 1997–1998 Asian financial crisis is of interest, the breaks are associated with this event. The results of the principal component analysis show that the signs of the explanatory variables differ from those previously found in the literature. The correlation coefficients between FDI and trade openness, the most significant explanatory variable in the study, are positive and significant for all countries and all periods with the exception of Thailand during the pre pre-crisis period. For most of the periods studied, some sort of Granger causality seemed to exist between FDI and trade openness, mostly in the form of feedback.

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Princ, Michael. "Structural Distress Index: Structural Break Analysis of the Czech and Polish Stock Markets." European Financial and Accounting Journal 11, no. 3 (October 1, 2016): 125–37. http://dx.doi.org/10.18267/j.efaj.167.

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Menezes, Rui, Álvaro Oliveira, and Sofia Portela. "Investigating detrended fluctuation analysis with structural breaks." Physica A: Statistical Mechanics and its Applications 518 (March 2019): 331–42. http://dx.doi.org/10.1016/j.physa.2018.12.006.

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Usman, Owolabi A., and Dauda Gbolagade Adebisi. "A Structural Break Analysis of Fiscal Deficit Process in Nigeria." Review of Black Political Economy 44, no. 3-4 (January 2017): 341–52. http://dx.doi.org/10.1007/s12114-017-9261-1.

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Oladosu, Gbadebo A., Keith L. Kline, and Johannes W. A. Langeveld. "Structural Break and Causal Analyses of U.S. Corn Use for Ethanol and Other Corn Market Variables." Agriculture 11, no. 3 (March 20, 2021): 267. http://dx.doi.org/10.3390/agriculture11030267.

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The causal basis for many of the relationships in models used to estimate the indirect effects of U.S. biofuels on global agricultural markets has not been adequately established. This paper addresses this gap by examining causal interactions among corn market variables through which the indirect effects of U.S. corn use for ethanol would be transmitted. Specifically, structural break and causal analyses of U.S. corn supply, uses, trade, and price are performed using quarterly data for marketing years 1986 to 2017. The structural break analysis identifies three breaks in corn use for ethanol that reflect the policy-driven evolution of U.S. corn ethanol production and other market factors. The causality analysis finds that U.S. corn use for ethanol is not a driver of the corn price and net corn exports. Changes in corn supply and domestic corn use are found to be the key factors in accommodating the large increase in corn use for ethanol between 2003 and 2010. These results mean that common assumptions linking U.S. corn ethanol production to large reductions in corn availability and exports, and higher global corn prices merit reconsideration.

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Longe, Adedayo Emmanuel, Emmanuel Olajide Adebayo, Shehu Muhammad, and Oluwole Oluniyi Adelokun. "Energy Consumption and Foreign Direct Investment in Nigeria: A Structural Break Analysis." Economic Themes 58, no. 2 (June 1, 2020): 187–201. http://dx.doi.org/10.2478/ethemes-2020-0011.

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AbstractThe study analyses the structural break impact on the relationship between energy consumption and foreign direct investment in Nigeria from 1970 to 2015. The study accounts for the structural break and estimates the short-run and long-run relationship between energy consumption and foreign direct investment using ARDL estimation technique and Bai-Perron Least Squares Break Point. It was observed from the findings that a strong long-run cointegrating relationship exist between energy consumption and foreign direct investment with and without structural break. The structural break test reveals a break period of 1995 which supports the occurrence of oil price review by OPEC in 1995. Also, the ARDL estimate result revealed that energy consumption, trade and exchange rate adversely attract foreign direct investment, while GDP positively attract foreign direct investment both in the short-run and long-run in Nigeria. The study concludes that even though Nigeria’s GDP is trending towards attracting FDI into the economy, energy consumption, trade and exchange rate obstruct the attraction through the additional cost incurred as a result of imbalances in the variables. A major recommendation from the findings is that energy policies need quick re-visit in Nigeria. However, they will - due to the pressure exerted by the constant growth of the population, i.e. on the demand side, demand inflation will constantly manifest.

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Lovreta, Lidija, and Joaquín López Pascual. "Structural breaks in the interaction between bank and sovereign default risk." SERIEs 11, no. 4 (August 12, 2020): 531–59. http://dx.doi.org/10.1007/s13209-020-00219-z.

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AbstractThe recent financial and sovereign debt crises emphasized the interdependence between bank and sovereign default risk and showed that major shocks may lead to a self-reinforcing negative spiral. In this paper, we analyse the pattern of interaction between bank and sovereign default risk by endogenously estimating the timing of structural breaks. The endogenous approach avoids the problem of choosing the number and the location of important turning points associated with the exogenous selection of break dates, commonly applied in the literature. In addition, it provides additional insight to which (if any) of the many exogenously proposed breaks are of particular importance to one specific economy, which can help policy makers to structure their actions accordingly. Using Spain during the 2008–2012 period as an illustrative example, we find supporting evidence for the three distinctive phases, marked by the breaks in the early-January and mid-May 2010. The three phases are characterized with an evident change in the bank–sovereign interaction, and we detect a bi-directional relationship only during the interim phase, i.e. at the very peak of the European sovereign debt crisis. We show that endogenously identified turning points coincide with important public events that affect investors’ perception about the government’s capacity and willingness to repay debt and support distressed banks. Finally, we provide evidence that structural dependence in the system extends to the interaction between bank and sovereign default risk volatility.

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Sharma, Chandan, and Rajat Setia. "Macroeconomic fundamentals and dynamics of the Indian rupee-dollar exchange rate." Journal of Financial Economic Policy 7, no. 4 (November 2, 2015): 301–26. http://dx.doi.org/10.1108/jfep-11-2014-0069.

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Purpose – This paper aims to examine the relationship between Indian rupee-US dollar exchange rate and the macroeconomic fundamentals for the post-economic reform period. Design/methodology/approach – The authors have used an empirical model which includes a range of important macroeconomic variables based on the basic monetary theories of exchange rate determination. At the first stage of the analysis, they have tested structural break in the data. Subsequently, they have employed the fully modified ordinary least square, Wald’s coefficient restriction and impulse response functions (IRF) to estimate the monetary model in the long- and short-run horizons. Findings – Results of analyses indicate that the macroeconomic fundamentals determine exchange rate in a significant way, but their effect varies sizably across the periods. The IRF illustrate the importance of interest rate in controlling exchange rate volatility. Practical implications – The analysis of the behavior of inter-relationship among macroeconomic variables will help policymakers in a deep-rooted understanding of this complex and time-varying relationship. Originality/value – Most of the existing studies have tested the impact of a single or a few macroeconomic fundamentals on exchange rate. But in the present study, we have tested the impact of a range of important variables, i.e. money supply, real income or output, price level and trade balance. Further, considering the importance of structural breaks in data, they authors have employed standard tests of structural break and incorporated the issue in the cointegration analysis.

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Sultanov, K. S., S. I. Ismoilova, and S. E. Tulanov. "COTTON YARN BREAKING MECHANISM UNDER STRETCHING." Technologies & Quality, no. 3 (2019): 17–21. http://dx.doi.org/10.34216/2587-6147-2019-3-45-17-21.

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Topical issues of textile yarn breakage in technological processes are considered in the paper. Based on a comparative analysis of cotton yarns specific breaking load with cotton fibre specific breaking load obtained in experiments, it was concluded that when the yarn breaks, the cotton fibres do not. This conclusion contradicts hypothesis of Aleksey Solov'yov that some of the cotton fibres are torn when the yarn is stretched to a break. Experimental results show that when the yarn is stretched to a break, all cotton fibres slip out of the yarn. So, the main force of resistance to external tensile force is the friction force between the fibres in the yarn. These results require the study of internal forces in the yarn at the meso-structural level. Experimental and theoretical studies of the meso-mechanics of cotton yarn can lead to new technologies for producing textile yarns of higher strength.

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Alexandru, Petrica, Tamara Radu, Florentina Potecasu, Maria Vlad, Gina Genoveva Istrate, Daniela L. Buruiana, and Bogdan-Gabriel Carp. "Structural Analysis of Thin Ni-P Layers." Revista de Chimie 70, no. 4 (May 15, 2019): 1466–70. http://dx.doi.org/10.37358/rc.19.4.7150.

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The deposition mechanism by autocatalytic reduction method is a chemical one, which does not lead to structures as shown in the Ni-P balance diagram. In the experiments of the present work, Ni-P layers were made deposited on thin steel strip with low carbon content. By optical microscopy and scanning electron microscopy by (SEM) it was analyzed the appearance and surface morphology of the deposited layers depending on the content of phosphorus and working parameters (temperature, pH, stirring speed). The layer structure was analyzed in the cross section and on the break surface. The analysis results show that thin coatings of Ni-P have a surface topography that follows faithfully the steel support. Depending on the content of phosphorus, on the layer surface of low phosphorus content, spherical particles of different sizes can be seen while high and average phosphorus content coatings feature a smooth surface with nanometer-sized grains. Analysis of the cut-off /break section of the Ni-P layer structure, show a more or less porous structure depending on the stirring speed and pH level.

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Cheong, Chin Wen. "A Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural Break." American Journal of Applied Sciences 5, no. 10 (October 1, 2008): 1291–95. http://dx.doi.org/10.3844/ajassp.2008.1291.1295.

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Ozpence, Aylin Idikut. "ANALYSIS OF UNEMPLOYMENT HYSTERESIS IN TURKEY: STRUCTURAL BREAK UNIT ROOT TEST." Pressacademia 4, no. 4 (December 30, 2017): 368–76. http://dx.doi.org/10.17261/pressacademia.2017.747.

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Shuaibu, Mohammed, and Mutiu Abimbola Oyinlola. "An Empirical Analysis of Nigeria’s Current Account Sustainability." Margin: The Journal of Applied Economic Research 11, no. 1 (February 2017): 54–76. http://dx.doi.org/10.1177/0973801016676015.

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This study reexamines the sustainability of the current account in Nigeria over four decades using time-series analysis on annual data from 1981 to 2013. We focus on two analytical distinctions to the inter-temporal budget constraint (IBC) hypothesis in relation to previous studies. First, we extend the standard bivariate approach to a multivariate framework that accounts for the roles of oil price variations and financial deepening, which have important implications for resource allocation. Second is the use of the Toda–Yamamoto modified Wald (MWALD)-based causality test that is also carried out to arbitrage between the results with and without a structural break. It employs both the conventional unit root test (augmented Dickey–Fuller [ADF] and Phillips–Perron [PP]) and the unit root test with a structural break (Perron, 2006; Zivot & Andrews, 1992). It also carries out the conventional residual-based cointegration test (Engle & Granger, 1987) and the residual-based cointegration test with a structural break (Gregory & Hansen, 1995). Findings suggest that there is current account sustainability in Nigeria and structural changes were not very potent during the period under consideration. This implies that the Nigerian economy complied with the IBC hypothesis, suggesting that exports could actually finance imports. JEL Classification: F30, F32

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Chakraborty, Debashis, Jaydeep Mukherjee, and Tanaya Sinha. "Is there any Long-run Relationship between India’s Current and Capital Account Balance? A Time Series Analysis." Global Business Review 13, no. 3 (October 2012): 433–47. http://dx.doi.org/10.1177/097215091201300306.

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The long-run relationship between current account balance (CAB) and capital account balance (KAB) and the repercussions of capital account convertibility (KAC) on the growth process of a country is a much-debated issue. In particular, in the aftermath of the Southeast Asian crisis, the limitation of the liberal capital regime for a developing country like India is often highlighted in the literature. However, the probable impact of introducing KAC on CAB in India is generally discussed theoretically. Though some empirical studies in India have recently focused on this research question, the current paper contributes to the literature first, by exploring the presence of any endogenous structural breaks in the individual series of CAB and KAB and then examining the nature of long-run relationship between them. Applying the ARDL method of co-integration, the empirical findings support the presence of a long term co-integrating relationship between capital and current account balance and reveals that a significant structural break is observed during 2002–03 for both the series.

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Han, Kun-Yeun, Jong-Tae Lee, and Jae-Hong Park. "Flood inundation analysis resulting from Levee-break." Journal of Hydraulic Research 36, no. 5 (September 1998): 747–59. http://dx.doi.org/10.1080/00221689809498600.

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Essaadi, Essahbi, Jamel Jouini, and Wajih Khallouli. "The Asian crisis contagion: A dynamic correlation approach analysis." Panoeconomicus 56, no. 2 (2009): 241–60. http://dx.doi.org/10.2298/pan0902241e.

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In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron's (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.

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Barboza Martignone, Gustavo, Karl Behrendt, and Dimitrios Paparas. "Price Transmission Analysis of the International Soybean Market in a Trade War Context." Economies 10, no. 8 (August 19, 2022): 203. http://dx.doi.org/10.3390/economies10080203.

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This study analysed the dynamics of the international soybean market using econometric techniques and economic models to study the impacts of the US–China trade war. It considered the analysis of “spatial” (horizontal) price transmission during an approximately ten-year period from September 2009 to May 2019 using monthly time-series data. The research focused on the leaders in the international soybean market, namely, China, the USA, the EU, Brazil and Argentina. Several econometric techniques were employed. The stationarity of the price time series was determined using the augmented Dickey–Fuller (ADF) unit root test. Structural breaks were inferred using the ADF test with a breaks test and a Bai–Perron multiple break test. The long-term relation/cointegration amongst the series was determined using the Johansen cointegration test (1988), with the previous breaks input as dummy variables. The direction of the causality was inferred using the Granger causality test (1969). The long-term and short-term causal relations were determined using the vector autoregression model (VAR) and the vector error correction model (VECM). The results showed a highly efficient and cointegrated market. The incidents of the trade war, as represented by tariffs and subsidies, had minor effects on the market efficacy, cointegration and price transmission. The arbitrage process of the studied market managed to get around the tariffs. In other words, there was no empirical evidence to support the claim that the law of one price (LOOP) did not hold.

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Yao, Jiaxiong, and Yunhui Zhao. "Structural Breaks in Carbon Emissions: A Machine Learning Analysis." IMF Working Papers 2022, no. 009 (January 2022): 1. http://dx.doi.org/10.5089/9798400200267.001.

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Furno, Marilena. "Quantile regression estimates and the analysis of structural breaks." Quantitative Finance 14, no. 12 (February 15, 2012): 2185–92. http://dx.doi.org/10.1080/14697688.2011.653387.

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Park, Jin Suk. "The duration analysis of structural breaks: is stability destabilizing?" Applied Economics 47, no. 9 (November 28, 2014): 940–54. http://dx.doi.org/10.1080/00036846.2014.985370.

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El-Shazly, Alaa. "Structural breaks and monetary dynamics: A time series analysis." Economic Modelling 53 (February 2016): 133–43. http://dx.doi.org/10.1016/j.econmod.2015.11.019.

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Castle, Jennifer L., Jurgen A. Doornik, and David F. Hendry. "Selecting a Model for Forecasting." Econometrics 9, no. 3 (June 25, 2021): 26. http://dx.doi.org/10.3390/econometrics9030026.

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We investigate forecasting in models that condition on variables for which future values are unknown. We consider the role of the significance level because it guides the binary decisions whether to include or exclude variables. The analysis is extended by allowing for a structural break, either in the first forecast period or just before. Theoretical results are derived for a three-variable static model, but generalized to include dynamics and many more variables in the simulation experiment. The results show that the trade-off for selecting variables in forecasting models in a stationary world, namely that variables should be retained if their noncentralities exceed unity, still applies in settings with structural breaks. This provides support for model selection at looser than conventional settings, albeit with many additional features explaining the forecast performance, and with the caveat that retaining irrelevant variables that are subject to location shifts can worsen forecast performance.

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Phiri, Elias, and Wei Wang. "Time Series Analysis and structural break detection: A case of Zambia’s CPI." International Journal of Economic Policy 2, no. 1 (July 8, 2022): 33–43. http://dx.doi.org/10.47941/ijecop.914.

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Purpose: By empirically examining Zambia’s CPI between 2010 and 2020, the study attempts to determine the structural change in the time series. The CPI is one of the most important variables for analyzing inflation in macroeconomics, therefore any change in the dynamic must be determined. In this paper change points and dates are highlighted and statistical analysis methods have been employed to explore and discover the underlying patterns and trends of Zambia’s CPI for the past 10 years. Methodology/approach: Secondary Data from Zambia Statistics Agency (ZamStats.gov.zm) was used for the Study. From 132 elements of observations of time series for 10 years, the detection methods of structural change were employed. The Cumulative Sum Tests (CUSUM test) of Ordinary Least Squares (OLS), Andrew Sup F test, Bai and Perron test, and Chow test were used to detect the model stability and verify the hypothesis using P-value. Results: The results show that there were five (5) Structural changes or breaks in mean and variance and these were February 2012, February 2014, October 2015, October 2017, and May 2019. The structural breaks are highly suggestive as they appear to broadly coincide with readily identifiable macroeconomic events, increased stock of external debt following the issuance of Eurobonds in 2012, 2014, and 2015, rise increased food prices arising from the adverse impact of erratic rainfall on agricultural output and the pass-through from the depreciation of the Kwacha. Policy Implication: Based on the study, strong and sound macroeconomic policies are needed to be implemented: Such as debt management and diversification of foreign exchange sources, and increased earnings.

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Maekawa, Koichi, Zonglu He, and Kianheng Tee. "Estimating break points in a time series regression with structural changes." Mathematics and Computers in Simulation 64, no. 1 (January 2004): 95–101. http://dx.doi.org/10.1016/s0378-4754(03)00123-x.

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Ayouni, Saif Eddine, Ramzi Farhani, and Mekki Hamdaoui. "External factors and economic growth in Tunisia: ARDL approach with structural change analysis." Frontiers in Management and Business 3, no. 1 (2022): 178–93. http://dx.doi.org/10.25082/fmb.2022.01.004.

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This paper examined the effect of external factors on economic growth in Tunisia. The economic analysis was carried out using recent quantitative technique of annual time series data from 1976 to 2017. Based on co-integration test with unknown structural breaks and ARDL bound testing we investigated importance of each factor in stimulating economic growth. Our results show that in the long-run FDI does not affect economic growth. Remittances and imports negatively affect economic growth. Exports promote economic growth such that a 1% increase stimulates economic activity by 0.702%. In the short term, our estimates emphasize a structural break in 1988 linked to the structural adjustment program. Likewise, FDI does not have a significant effect on economic growth while remittances and imports slow economic growth significantly at the conventional level. On the other hand, exports form a relevant engine of economic growth. Therefore, our conclusions imply that political decision-makers in Tunisia must guarantee certain level of training and infrastructure to ensure the gain of transfers of new technologies and experiences related to the FDI. Thus, Tunisia must encourage peoples living aboard to create new investment opportunities instead of just supporting their families for consumption. In addition, the state must develop financial system capable of transferring funds for investment in order to better benefit from remittances. Finally, the government must restrict import of consumer goods and allow import of equipment and machinery goods that promote production and economic growth.

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Journal articles on the topic 'Structural break analysi'

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