EUROPEAN FISCAL DISCIPLINE BEFORE AND AFTER EMU: CRASH DIET OR PERMANENT WEIGHT LOSS?

2008 ◽  
Vol 12 (3) ◽  
pp. 404-424 ◽  
Author(s):  
ANDREW HUGHES HALLETT ◽  
JOHN LEWIS
Keyword(s):  
Weight Loss ◽  
Structural Breaks ◽  
Structural Break ◽  
Fiscal Policies ◽  
Dynamic Effects ◽  
Fiscal Discipline ◽  
Stability Pact ◽  
Before And After ◽  
Structural Break Test ◽  
The Stability

This paper studies the evolution of European fiscal policies in three periods: the pre-Maastricht phase (to 1991); the runup to monetary union (1992–1997), and the stability pact phase (1998 onward). Using three separate indicators, we search for structural breaks that could signify a change in the average level of discipline in these periods. We find increased fiscal discipline only up to 1997. We conclude the new fiscal discipline was a temporary phenomenon, a product of the sanction of being denied entry to the Euro. After EMU, fiscal policy gradually loosened. A single structural break test will miss these dynamic effects, and could easily generate the false conclusion that fiscal discipline had tightened since the start of phase two of EMU.

Fiskalische Effekte der Kommunalverfassungsreformen der 1990er Jahre in Deutschland / Reforming Local Constitutions in Germany during the 1990s – Their Fiscal Effects

2008 ◽  
Vol 228 (4) ◽  
Author(s):  
Lorenz Blume ◽  
Thomas Döring ◽  
Stefan Voigt
Keyword(s):  
Government Spending ◽  
Direct Democracy ◽  
Structural Break ◽  
Fiscal Policies ◽  
Entry Barriers ◽  
Direct Election ◽  
German States ◽  
The Difference ◽  
Structural Break Test ◽  
The U.S

SummaryMost German states changed their local constitutions during the 1990s in order to become more citizen-friendly. To reach that goal, many local constitutions now allow for the direct election of mayors, initiatives and referenda, and vote-aggregation as well as vote-splitting. Simultaneously, the five-percent threshold was abolished lowering entry barriers. This contribution asks whether these reforms had any effects on local fiscal policies. Based on the reforms that took place in Schleswig-Holstein, Bavaria and Hesse and drawing on a structural break test it is shown that the direct election of mayors has led to lower government spending. The introduction of direct democratic elements, on the other hand, has led to higher expenditures. The empirical results concerning direct democracy substantially deviate from the findings regarding both Switzerland and the U.S.. It is argued that the difference might be due to the lack of fiscal referenda in Germany.

scholarly journals Structural breaks in finance growth nexus: the study of Indonesia

2011 ◽  
Vol 1 (1) ◽  
pp. 1-6 ◽  
Author(s):  
Bidisha Mukhopadhyay
Keyword(s):  
Economic Growth ◽  
Causal Relationship ◽  
Financial Development ◽  
Structural Breaks ◽  
Structural Break ◽  
Break Point ◽  
Annual Data ◽  
Data Set ◽  
The Stability ◽  
Finance Growth Nexus

This paper empirically investigates the finance-growth nexus for an annual data set of Indonesia during the last two decades. The purpose is to examine the causal relationship between financial development and economic growth in Indonesia and also to test the structural breaks in the finance-growth relationship to investigate the change in policy regimes. To examine the causal relationship between financial development and economic growth, the newly proposed ARDL bound testing approach by Pesaran et al. (1996) has been applied .The estimated results support the view of Lucas (1988) that finance doesn’t matter for economic growth. Structural break is identified in the year 1997 in Indonesia with the estimated finance-growth relationship. The stability of the estimated relationship is examined with break-point Chow tests (F tests).

scholarly journals The effect of the introduction of market makers on stock liquidity: evidence from the Brazilian stock market

2021 ◽  
Vol 13 (2) ◽  
Author(s):  
Gabriel Augusto de Carvalho ◽  
João Eduardo Ribeiro ◽  
Laíse Ferraz Correia
Keyword(s):  
Stock Market ◽  
Confidence Level ◽  
Trading Volume ◽  
Stock Exchange ◽  
Structural Break ◽  
Market Liquidity ◽  
Market Makers ◽  
Turnover Ratio ◽  
Before And After ◽  
Structural Break Test

Purpose: This study aimed to analyze whether the introduction of market makers as specialized intermediaries in the trading of stocks listed on the Brazilian stock exchange is a useful procedure for increasing the market liquidity of these assets. Methodology: The Chow structural break test was performed in the time series of the liquidity proxies, average spread, turnover ratio, and financial volume on a sample of 55 stocks. We chose to consider data in the window of 260 days before and after the start of the market maker's activity, because it represents the approximate number of trading sessions in a year, and to avoid erroneous conclusions due to the volatility of the Brazilian stock market. Results: The results showed with a 99% confidence level that after the introduction of market makers, (i) 67% of the stocks analyzed had abrupt and statistically significant changes in the average spread; (ii) 47% in the turnover ratio; and (iii) 60% had changes in the volume transactions. At the confidence level of 95%, (i) 76% of the stocks analyzed showed abrupt changes in the average spread; (ii) 65% had changes in turnover; (iii) and 69% had changes in the trading volume. Using a lower confidence level of 90%, the results revealed 85% of the stocks had abrupt and statistically significant changes in the average spread, 78% in the turnover ratio, and 73% in the trading volume. Contributions of the Study: This paper provides strong evidence on the performance of market makers and the influence they have on the market liquidity of stocks traded on the Brazilian stock exchange. We found that contracting market makers increase market liquidity and contribute significantly to the assets’ transactions.

scholarly journals The Stability Pact: Safeguarding the Credibility of the European Central Bank

1998 ◽  
Vol 163 ◽  
pp. 87-98 ◽  
Author(s):  
Michael Artis ◽  
Bernhard Winkler
Keyword(s):  
Central Bank ◽  
Monetary Union ◽  
European Monetary Union ◽  
European Central Bank ◽  
Policy Coordination ◽  
European Monetary ◽  
Fiscal Discipline ◽  
European Central ◽  
Stability Pact ◽  
The Stability

The ‘Stability Pact’ agreed at the Dublin Summit in December 1996 and concluded at the Amsterdam European Council in June 1997 prescribes sanctions for countries that breach the Maastricht deficit ceiling in stage three of European Monetary Union. This paper explores the central provisions and possible motivations of the Stability Pact as an incentive device for fiscal discipline and as a partial substitute for policy coordination and a common 'stability culture’.

scholarly journals Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013)

2014 ◽  
Vol 2014 ◽  
pp. 1-19 ◽  
Author(s):  
Pınar Göktaş ◽  
Cem Dişbudak
Keyword(s):  
Structural Breaks ◽  
Structural Break ◽  
Inflation Uncertainty ◽  
Macroeconomic Indicators ◽  
Asymmetric Garch ◽  
Break Points ◽  
Mean And Variance ◽  
Causality Relationship ◽  
Structural Break Test ◽  
The Relationship

In recent years, the importance attached to the concept of volatility has increased and become a phenomenon frequently encountered in every field ranging from financial markets to macroeconomic indicators. In this study, inflation data obtained from CPI index for the period of 1994:01–2013:12 in Turkey was used to determine the best representative of the inflation uncertainty. To realize this, both symmetric and asymmetric GARCH-type models were employed. Since there are many factors that may lead to structural change within the economic course of Turkey, a structural break in the series has first been investigated. By administering Bai-Perron structural break test, two different break points both in mean and variance have been detected to be in February 2002 and in June 2001, respectively. The inclusion of those break points to the related equations, appropriate forecasting models were projected. Moreover it was found that, while in the periods prior to the break in both variance and mean the inflation itself was the reason for inflation uncertainty, following the dates of the break, the relationship changed bidirectionally. In the meantime, when the series was taken as a whole without considering the break, bidirectional causality relationship was also detected in the series.

scholarly journals International Real Estate Review

2007 ◽  
Vol 10 (2) ◽  
pp. 66-93
Author(s):  
Charles Ka Yui Leung ◽  
◽  
Kelvin Siu Kei Wong ◽  
Patrick Wai Yin Cheung ◽  
◽  
...  
Keyword(s):  
Structural Breaks ◽  
Structural Break ◽  
Housing Prices ◽  
Hedonic Pricing ◽  
Future Research ◽  
Large Set ◽  
Auto Regressive ◽  
Structural Break Test ◽  
Implicit Prices ◽  
Housing Attributes

Given the dramatic fluctuations in aggregate housing prices, this paper attempts to examine whether the implicit prices of different housing attributes are “stable.” Theoretically, this paper provides perhaps the first dynamic, general equilibrium model in which housing attributes’ implicit prices fluctuate. Empirically, this paper models the time paths of different implicit prices as auto-regressive processes by employing a hedonic pricing model on a large set of housing transaction data over a relatively long period of time. An endogenous structural break test is then performed. Except for a few attributes, structural breaks are not detected. Directions for future research are discussed.

scholarly journals Impact of Covid-19 on the Performance of The Nigeria`s Stock Market

2021 ◽  
Vol 65 (3) ◽  
pp. 294-308
Author(s):  
Muideen Isiaka ◽  
◽  
Modinat Ogunmolu ◽  
Lukuman Lamidi ◽  
Saheed Ogunmolu ◽  
...  
Keyword(s):  
Capital Market ◽  
Structural Break ◽  
Modified Model ◽  
Daily Data ◽  
Before And After ◽  
Augmented Dickey Fuller ◽  
The Mean ◽  
Structural Break Test ◽  
The Impact ◽  
Break Period

This study identifies the structural break date in the series of All Share Index (ASI) of the Nigeria’s capital market using innovational outlier methodology with the Augmented Dickey-Fuller unit root with structural break test. The study also examines the descriptive characteristics and model structure of ASI before and after the identified break date using ARIMA methodology. It uses daily data of ASI from November 27, 2018 to November 24, 2020. The results indicate that the break date is March 6, 2020. The mean results decreased after the break. The series before the break follows ARIMA (3,1,12), while it follows ARIMA (7,1,9) after the break. The diagnostic test revealed that the ARIMA (7,1,9) fails to capture the entire variation in the series. The modified model for post break period is AR(7), MA(8) and MA(9) process. However, the estimated volatility of the series decreased after the break. The study recommends that capital market studies and policies going forward should incorporate the impact of Covid-19 induced structural break.

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