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Advances in Non-linear Economic Modeling

Theory and Applications

  • Book
  • © 2014

Overview

Editors:
  1. Frauke Schleer-van Gellecom

    1. Centre for European Economic Research (ZEW), Mannheim, Germany

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  • Highlights various fields of economics in which nonlinearities may play a crucial role
  • Brings together theoretical, computational and applied work
  • Puts emphasis on the link between financial markets and the macroeconomy which is highly topical and an open and evolving field of research in economics
  • Includes supplementary material: sn.pub/extras

Part of the book series: Dynamic Modeling and Econometrics in Economics and Finance (DMEF, volume 17)

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Table of contents (7 chapters)

  1. Front Matter

    Pages I-IX
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  2. Non-linearities Related to the Financial Sector

    1. Front Matter

      Pages 1-1
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    2. Estimating a Banking-Macro Model Using a Multi-regime VAR

      • Stefan Mittnik, Willi Semmler
      Pages 3-40

    3. U.S. Business Cycles, Monetary Policy and the External Finance Premium

      • Enrique Martínez-García
      Pages 41-114

    4. Early Warning Signals of Financial Stress: A “Wavelet-Based” Composite Indicators Approach

      • Marco Gallegati
      Pages 115-138

  3. Non-linearities in Other Fields of Research

    1. Front Matter

      Pages 139-139
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    2. Least Absolute Deviation Based Unit Root Tests in Smooth Transition Type of Models

      • Rickard Sandberg
      Pages 141-166

    3. The Time-Varying Beveridge Curve

      • Luca Benati, Thomas A. Lubik
      Pages 167-204

    4. Bilinear Forecast Risk Assessment for Non-systematic Inflation: Theory and Evidence

      • Wojciech W. Charemza, Yuriy Kharin, Vladislav Maevskiy
      Pages 205-232

    5. Currency Crises, Exchange Rate Regimes and Capital Account Liberalization: A Duration Analysis Approach

      • Mohammad Karimi, Marcel-Cristian Voia
      Pages 233-262
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Keywords

About this book

In recent years nonlinearities have gained increasing importance in economic and econometric research, particularly after the financial crisis and the economic downturn after 2007. This book contains theoretical, computational and empirical papers that incorporate nonlinearities in econometric models and apply them to real economic problems. It intends to serve as an inspiration for researchers to take potential nonlinearities in account. Researchers should be aware of applying linear model-types spuriously to problems which include non-linear features. It is indispensable to use the correct model type in order to avoid biased recommendations for economic policy.

Editors and Affiliations

  • Centre for European Economic Research (ZEW), Mannheim, Germany

    Frauke Schleer-van Gellecom

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