Empirical search and characterization of contemporaneity using breaks and regime switching

Búsqueda empírica y caracterización de contemporaneidad utilizando quiebres estructurales y cambios de régimen

Fernando Delbianco () and Andrés Fioriti ()

Estudios Economicos, 2017, vol. 034 (Nueva Serie), issue 68, 75-91

Abstract: 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

Keywords: structural breaks; regime switching; contemporaneity and market volatility; quiebres estructurales; cambio de régimen; contemporaneidad y volatilidad de mercados (search for similar items in EconPapers)
JEL-codes: C13 C52 G14 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:uns:esteco:v:34:y:2017:i:68:p:75-91

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