Empirical search and characterization of contemporaneity using breaks and regime switching

Autores

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

DOI:

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

Palavras-chave:

Structural Breaks, Regime Switching, Contemporaneity and Market Volatility

Resumo

This paper describes a technique to determine the contemporaneity of two economic events. It is also possible to determine some characteristics of the contemporaneity, as a descriptive stage previous to causality analysis and model estimations. As an illustration, a case of contemporaneity between news and volatility in finan- cial markets is shown. The main result of the exercise is a Laffer curve relationshipbetween corruption and volatility given news.

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Publicado

2017-06-05

Como Citar

Delbianco, F., & Fioriti, A. (2017). Empirical search and characterization of contemporaneity using breaks and regime switching. Estudios económicos, 34(68), 75–92. https://doi.org/10.52292/j.estudecon.2017.713

Edição

v. 34 n. 68 (2017)

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Artigos

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