Showing papers by "Melvin J. Hinich published in 2007"

Nonlinear event detection in the Chilean stock market

Abstract: This study searches for economic and political events that may explain the episodic nonlinearities detected in the returns series of the Chilean stock market index. This methodology is a reverse form of event study. After applying the Hinich portmanteau bicorrelation test to detect episodes of nonlinear behaviour of the index, we investigate what might be the explanation of this behaviour. Our findings may help to explain the difficulty to forecast asset returns. We also shed some light into the major political and economic events that contribute to the numerous short bursts of nonlinear dependence in the Chilean stock market.

Episodic Nonlinear Event Detection in the Canadian Exchange Rate

Abstract: This article uses daily observations for the Canadian dollar–U.S. dollar nominal exchange rate over the recent flexible exchange rate period and a new statistical technique, recently developed by Hinich, to detect major political and economic events that have affected the exchange rate.

GARCH inadequacy for modelling exchange rates: empirical evidence from Latin America

Abstract: This article checks for the adequacy of using GARCH models in exchange rate series. Using the Hinich portmanteau bicorrelation test, we find that a GARCH formulation or any of its variants fails to capture the data generating process of the main Latin American exchange rates. Our results highlight the potential of having misleading public policy when estimates are based in GARCH types of models. This article also complements recent similar findings encountered in European and Asian economies.

Topics in analytical political economy

Abstract: The nine papers in this volume are a diverse set of quality contributions to the field in economics that is called political economy. It is important to understand that social scientists hold different interpretations of the term political economy. Most mainstream economists expect a paper in the field to use the same models as are used in neoclassical economics, be it micro or macro. The field of political economy is seen by most economists to be exclusively the purview of their field. However, the political system of a country determines the nature of its economics system. The economy feeds back to the political system but the rules of the game are determined by the political system.The study of politics is the hardest task in the social sciences. The political system defines the scope of the economics system while taking resources from the economy in order to run campaigns and produce the types of compromises that are required of a stable political system that allows economic agents to make sensible investments. The interaction between the highly inter-dependant yet very different fields of politics and economics forms the basis of this volume. It contains a collection of key papers on the topic of analytical political economy. The papers authored by some of the foremost experts in the field. It is part of the "ISETE" series.