Measurements of Financial Contagion: A Primary Review from the Perspective of Structural Break

Testing for Global Volatility Spillover, Financial Contagion and Structural Break in Fifteen Economies from Two Regions: A Diagonal VECH Matrix and EGARCH (1,1) Approach

International Journal of Economics and Finance ◽

10.5539/ijef.v5n5p159 ◽

2013 ◽

Vol 5 (5) ◽

Cited By ~ 2

Author(s):

Raisul Islam ◽

M Talhatul Islam ◽

Abdul Hannan Chowdhury

Keyword(s):

Structural Break ◽

Financial Contagion ◽

Volatility Spillover ◽

Diagonal Vech

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The relationship between output growth and unemployment in the Philippines economy (1990-2014):

Journal of Emerging Economies and Islamic Research ◽

10.24191/jeeir.v5i1.8796 ◽

2017 ◽

Vol 5 (1) ◽

pp. 49

Author(s):

Marlon A. Mojica ◽

Virgilio M. Tatlonghari

Keyword(s):

Labor Force ◽

Structural Break ◽

Empirical Relationship ◽

Trade Openness ◽

Negative Relationship ◽

Participation Rate ◽

The Philippines ◽

Output Growth ◽

Recursive Least Squares ◽

Parameter Instability

This paper examines the empirical relationship between unemployment and real output in the Philippines utilizing quarterly data from the Labor Force Survey by the Philippine Statistics Authority for the period from 1990-2014. The study employed three variants of Okun’s Law – the “gap” approach, the “first difference” approach, and a dynamic approach. Findings show that the Okun’s coefficients based on the gap approach are consistent with the theoretical expectation of a negative relationship. In the ARDL model, labor force participation rate and trade openness were found to be significantly related to unemployment. The result of dummy variable test revealed the presence of structural break following the re-definition of unemployment in the Philippines in 2005. Recursive least squares and rolling regressions show evidence of parameter instability in several sub-periods.

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KOINTEGRASI EKSPOR IMPOR INDONESIA, 1970 - 2013

Buletin Ilmiah Litbang Perdagangan ◽

10.30908/bilp.v8i2.88 ◽

2014 ◽

Vol 8 (2) ◽

pp. 229-246

Author(s):

Azis Muslim

Keyword(s):

Structural Break ◽

Trade Deficit ◽

Budget Constraint ◽

Cointegration Analysis ◽

Annual Data ◽

Short Term ◽

Data Period

Penelitian ini bertujuan untuk mengetahui apakah terdapat kointegrasi antara ekspor dan impor di Indonesia. Metode yang digunakan dalam penelitian ini adalah Uji Kointegrasi Gregory-Hansen dengan pertimbangan adanya structural break berdasarkan pada data tahunan ekspor impor Indonesia dari tahun 1970 sampai dengan 2013. Hasil penelitian memperlihatkan bahwa tidak terjadi kointegrasi antara ekspor dan impor. Hal ini berarti bahwa Indonesia menghadapi masalah neraca pembayaran, serta defisit perdagangan yang terjadi bukan merupakan fenomena jangka pendek. This research aims to investigate empirically the existence of Indonesian export import cointegration. This Research used the Gregory-Hansen cointegration analysis due to structural break based on Indonesia Export import annual data (period of 1970-2013 ). The results showed that there is no-cointegration of Indonesia export and import which means that Indonesia is facing international budget constraint and trade deficit isn’t a short term phenomenon.

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