Empirical search and characterization of contemporaneity using breaks and regime switching

Fernando Delbianco; Andrés Fioriti

doi:10.52292/j.estudecon.2017.713

Autores/as

Fernando Delbianco Universidad Nacional del Sur
Andrés Fioriti Universidad Nacional del Sur

DOI:

https://doi.org/10.52292/j.estudecon.2017.713

Palabras clave:

Quiebres Estructurales, Cambio de Régimen, Contemporaneidad y Volatilidad de Mercados

Resumen

El presente trabajo describe una nueva técnica para determinar la contemporaneidad de dos eventos económicos. Luego de ello es posible determinar algunas características de la contemporaneidad, siendo esta metodología un análisis descriptivo previo a considerar causalidad y estimar un modelo. Como ilustración, analizamos un caso de contemporaneidad entre noticias y volatilidad en mercados financieros. El principal resultado es una curva de Laffer para representar la relación entre corrupción y volatilidad dadas las noticias.

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