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Trend Breaks and Seasonality in the Yugoslav Black Market for Dollars, 1974-1987

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  • John Dawson
  • Steven Millsaps
  • Mark Strazicich

Abstract

We estimate a model of the black market premium for dollars in Yugoslavia from 1974-1987. Unlike previous applications of the model, our analysis addresses nonstationarity in the underlying data by allowing for trend breaks. Endogenous structural break tests indicate the presence of breaks closely associated with the death of Tito and changes in laws affecting the operation of the black market. After accounting for these breaks, we find strong support for the underlying model. In addition, we find evidence consistent with the era of increased government involvement in the black market leading to greater volatility of the premium following regime change.

Suggested Citation

  • John Dawson & Steven Millsaps & Mark Strazicich, 2004. "Trend Breaks and Seasonality in the Yugoslav Black Market for Dollars, 1974-1987," Working Papers 04-04, Department of Economics, Appalachian State University, revised 2005.
    • Handle: RePEc:apl:wpaper:04-04
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    File URL: http://econ.appstate.edu/RePEc/pdf/wp0404.pdf
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    References listed on IDEAS

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    Cited by:

    1. Onour, Ibrahim, 2020. "Modeling the impact of economic sanctions on a small open economy: A dynamic approach," MPRA Paper 116005, University Library of Munich, Germany.

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