Open AccessEmpirical search and characterization of contemporaneity using breaks and regime switching
Author(s) -
Fernando Delbianco,
Andrés Fioriti
Publication year - 2017
Publication title -
estudios económicos
Language(s) - English
Resource type - Journals
eISSN - 2525-1295
pISSN - 0425-368X
DOI - 10.52292/j.estudecon.2017.713
Subject(s) - volatility (finance) , economics , econometrics , causality (physics) , characterization (materials science) , financial economics , physics , quantum mechanics , optics
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.