scholarly journals End-of-the-year economic growth and time-varying expected returns

2015 ◽  
Vol 115 (1) ◽  
pp. 136-154 ◽  
Author(s):  
Stig V. Møller ◽  
Jesper Rangvid
Keyword(s):  
Economic Growth ◽  
Expected Returns ◽  
Time Varying

What Matters When? Time-Varying Sparsity in Expected Returns

2019 ◽  
Author(s):  
Daniele Bianchi ◽  
Matthias Büchner ◽  
Andrea Tamoni
Keyword(s):  
Expected Returns ◽  
Time Varying ◽  
What Matters

scholarly journals Bank-Based Financial Development and Economic Growth: Time-Varying Causality Analysis for Egypt

2018 ◽  
Vol 10 (4) ◽  
pp. 123
Author(s):  
Amira Akl Ahmed
Keyword(s):  
Economic Growth ◽  
Financial Development ◽  
Structural Breaks ◽  
Growth Time ◽  
Time Varying ◽  
Causality Analysis ◽  
Causality Test ◽  
Full Sample ◽  
Rolling Window ◽  
The Government

The bootstrap approach to Toda-Yamamoto (1995) modified causality test is applied in a rolling window of fixed size onto Egyptian data during 1960-2016 to examine time-varying links between economic growth (EG) and bank-based financial development (BBFD). Full sample results indicated the existence of unidirectional causality running from BBFD to EG, however; instability tests revealed the presence of structural breaks. Given the misleading inferences made using the full sample, the rolling window procedure is applied. Bidirectional time-varying causality between EG and BBFD was detected. Reasons behind declining the fraction of credit provided to private business sector to GDP in recent years include, mainly, credit crunch and expansion of credit to the government and partially to economic slowdown. Adoption of fiscal reforms and promotion of innovative financial tools suitable for the needs of small and medium-sized enterprises is highly recommended to enhance the role of banking system in promoting economic growth.

scholarly journals A TIME-VARYING MARKOV-SWITCHING MODEL FOR ECONOMIC GROWTH

2015 ◽  
Vol 20 (6) ◽  
pp. 1550-1580 ◽  
Author(s):  
Bruno Morier ◽  
Vladimir Kühl Teles
Keyword(s):  
Economic Growth ◽  
Transition Matrix ◽  
Markov Switching ◽  
Institutional Quality ◽  
Growth Patterns ◽  
Time Varying ◽  
Markov Switching Model ◽  
Investment Level ◽  
Stable Growth ◽  
Over Time

This paper investigates patterns of variation in economic growth across and within countries using a time-varying transition matrix Markov-switching approach. The model developed here explains the dynamics of growth based on a collection of different states that countries pass into and out of over time; in addition, these states are characterized by their own submodels and growth patterns. The transition matrix among the different states varies over time—depending on the conditioning variables of each country—with a linear dynamic for each state. We develop a generalization of Diebold's EM algorithm and estimate a sample model in a panel with a transition matrix conditioned on institutional quality and the investment level. We find three states of growth: stable growth, miraculous growth, and stagnation. The results show that institutional quality is an important determinant of long-term growth, whereas the investment level plays a variety of roles: it contributes positively in countries with high-quality institutions but is of little relevance in countries with medium- or low-quality institutions.

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