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Full-Text Articles in Social and Behavioral Sciences
Periodically Collapsing Bubbles In The Asian Emerging Stock Markets, Ako Doffou
Periodically Collapsing Bubbles In The Asian Emerging Stock Markets, Ako Doffou
WCBT Faculty Publications
This paper investigates empirically the existence of periodically collapsing bubbles in the Asian emerging stock markets using the Enders-Siklos (2001) momentum threshold autoregressive model. As explained in Bohl (2003), this non-linear time series technique can be used to analyze bubble driven run-ups in stock prices followed by a crash in a non- cointegration framework with asymmetric adjustment. This technique offers a more potent insight in the stock prices behavior than can possibly be obtained using conventional non-cointegration tests. The empirical findings for ten Asian emerging stock markets from 1993 to 2005 refute the bubble hypothesis.
Implications Of Erm2 For Poland's Monetary Policy, Lucjan Orlowski, Krzysztof Rybinski
Implications Of Erm2 For Poland's Monetary Policy, Lucjan Orlowski, Krzysztof Rybinski
WCBT Faculty Publications
We propose an extension to the inflation targeting regime currently pursued by Poland. It incorporates the exchange rate stability constraints as imposed by the obligatory participation in the ERM2 that Poland needs to satisfy prior to adopting the euro. The modified policy is based on the forward-looking inflation targeting supplemented with the exchange rate stability objective. Its effective implementation depends on the determined long-term equilibrium exchange rate and the observed degree of exchange rate volatility. Both are empirically estimated by employing the Johansen cointegration tests and the threshold generalized autoregressive heteroscedasticity model with the in-mean extension and generalized error distribution …