Essays on Applied Econometrics
| Autor: | Che-Yi Su, 蘇哲逸 |
|---|---|
| Rok vydání: | 2014 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 102 The purpose of this study is to understand the fulfillment of the real interest rate parity (RIRP) for G7 countries by using panel data on short-term real interest rate differentials (RIRD). Two modern econometric approaches, sharp transition and smooth transition, are employed to examine the dynamic processes of RIRP in the work. More specifically, the novel approaches which specify a trend function and Fourier function are adopted to re-examine the RIRD. Some major findings are summarized as: Firstly, there are dramatic sharp drifts and smooth breaks in the processes of RIRD; Secondly, the empirical results are remarkably consistent even using distinct numéraire countries or/and using alternative definitions of the real interest rates; Finally, we obtain in favor of RIRP fulfillment in most cases whether adopt the panel or univariate stationarity tests. This study examines the hysteresis hypothesis in unemployment for Taiwan’s educational attainment categories. Both nonlinear dynamics and structural breaks in unemployment are applied in our examinations. Our major tests integrate the Panel KSS unit root test using the Sequential Panel Selection Method and the Fourier function. The empirical results without structural changes show that the unemployment hysteresis hypothesis cannot be rejected in all educational attainment categories. After incorporating simultaneously nonlinear processes and smooth structural changes, we find that only the unemployment of the junior college graduate reveal mean reverting to the natural rate in the long-run, whereas all other series still support the hysteresis hypothesis. The results indicate that: i) the shocks have only temporary effects on the unemployment rate of the junior college graduate; ii) the labor or macroeconomic stabilization policies could have long lasting effects on unemployment rates of the other educational attainment categories; and iii) practical and occupational training mechanisms should be implemented and strengthened in the higher education system to alleviate the increasingly serious problem of unemployment. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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