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Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group

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Abstract

The authors analyze several monthly and quarterly macroeconomic time series for the Czech Republic, Poland, Hungary, and Slovakia. These countries embarked on an economic transition in the early 1990s which ultimately led to their membership in the European Union, with Slovakia joining the euro area in 2009. It is natural to assume that changes of such a magnitude should also influence the major macroeconomic indicators. The authors explore the characteristics of these series by endogenously identifying their volatility regimes. In the course of their analysis, they show the difficulties in the handling of unit roots as a necessary step preceding volatility modeling. The final set of breaks identified shows very few changes near the beginning of the series, which corresponds to the transition period.

Suggested Citation

  • Eduard Baumöhl & Štefan Lyócsa & Tomáš Výrost, 2011. "Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 530-544, December.
    • Handle: RePEc:fau:fauart:v:61:y:2011:i:6:p:530-544
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    Cited by:

    1. Zorica Mladenović & Kosta Josifidis & Slađana Srdić, 2013. "The Purchasing Power Parity in Emerging Europe: Empirical Results Based on Two-Break Analysis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(2), pages 179-202, April.
    2. Zarembova, Andrea & Lyocsa, Stefan & Baumöhl, Eduard, 2012. "The Real Convergence of CEE Countries: A Study of Real GDP per capita," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 60(6), pages 642-656.

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    More about this item

    Keywords

    macroeconomic fluctuations; economic transition; structural breaks; volatility regimes; cumulative sum of squares; unit root testing;
    All these keywords.

    JEL classification:

    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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