Yamin Ahmad

Yamin Ahmad
University of Wisconsin - Whitewater | UWW · Department of Economics

PhD

About

21
Publications
660
Reads
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94
Citations
Citations since 2016
4 Research Items
53 Citations
2016201720182019202020212022024681012
2016201720182019202020212022024681012
2016201720182019202020212022024681012
2016201720182019202020212022024681012

Publications

Publications (21)
Article
This paper examines the impact of time averaging and interval sampling data assuming that the data generating process for a given series follows a random walk with iid errors. We provide exact expressions for the corresponding variances, and covariances, for both levels and higher order differences of the aggregated series, as well as that for the...
Article
This paper investigates nonlinearities in the dynamics of real exchange rates. We use Monte Carlo simulations to establish the size properties of the Teräsvirta-Anderson test, when the dynamics of the real exchange rate is influenced by an exogenous process. In addition, we show that a modified nonlinearity test, which includes additional right-han...
Article
Full-text available
Purpose This study aims to examine the relationship between tourism development and economic growth while considering exports simultaneously. Governments in many countries have been developing and deploying strategies to attract tourism receipts as a means for economic growth. However, assessing the potential impact of tourism on economic growth a...
Article
Standard closed-economy DSGE models have difficulty replicating the persistence of inflation. We use a multicountry dataset to establish some empirical regularities on persistence and volatility of aggregate consumer prices for 135 countries since 1993. We find both persistence and volatility to be low (high) in developed (developing) countries rel...
Article
This paper uses Monte Carlo simulations to investigate the effects of outlier observations on the properties of linearity tests against threshold autoregressive (TAR) processes. By considering different specifications and levels of persistence for the data-generating processes, we find that additive outliers distort the size of the test and that th...
Article
This paper investigates the ability of econometric tests to correctly identify nonlinearities in the dynamics of real exchange rates. We demonstrate that test outcomes depend critically on the underlying data generating process. More specifically, in those cases where the real exchange rate is driven by one or more exogenous variables, test misspec...
Article
This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows....
Article
This chapter examines the consequences of model misspecification of nonlinear time series models in being able to appropriately characterize the data generating process of a particular economic time series. We conduct two sets of Monte Carlo experiments in order to examine how two classes of nonlinear models-Markov switching (MS) and smooth transit...
Article
We investigate the time series properties of both filtered and unfiltered real exchange rate series produced by DSGE models that feature local currency pricing, home bias, nontraded goods, and incomplete markets. Detrended series produced by several specifications approach the empirically observed volatility, although none of the models generates e...
Article
This paper uses a unique new monthly US-UK real exchange rate series for the January 1794-December 2009 period to reexamine the academic debate over purchasing power parity (PPP). The consensus view described by Rogoff (1996) is that PPP holds in the long-run, but short-run deviations are very persistent, with half-lives ranging from 3 to 5 years....
Article
This paper investigates the time series properties of real exchange rates series produced by DSGE models. We simulate a variety of new open economy DSGE models that incorporate features such as local currency pricing, home bias, non-traded goods and incomplete markets. We attempt to ascertain whether the dynamics of the real exchange rate in this c...
Article
Full-text available
This paper investigates the characteristics possessed by credit unions who have converted to mutual savings institutions, which might lead them to demutualize and become publicly traded banks. We adopt a duration model framework to examine these characteristics. Our key findings are as follows. First, we find evidence of positive duration dependenc...
Article
This paper investigates Threshold Autoregressive (TAR) models that contain a limited number of observations in some regimes. Simulations show that within the context of the real exchange rate literature, parameter estimates exhibit significant small sample bias even with long time series data. These distortions create substantial power losses in at...
Article
A recent innovation in modelling exchange rates has been the use of nonlinear techniques such as threshold autoregressive models and its smooth transition variants. This article investigates the Smooth Transition Autoregressive (STAR) modelling strategy in an application to real exchange rates. The key findings are as follows. First, using the meth...
Article
This paper investigates the properties of a class of models which incorporate nonlinear dynamics, known as Threshold Autoregressive (TAR) models. Simulations show that within the context of the real exchange rate literature, a threshold model of exchange rates exhibits significant small sample bias even with long time series data. The results of th...
Article
This paper examines the transmission mechanism of monetary policy in New Neoclassical Synthesis (NNS) models, using data from six of the G7 countries. NNS models equate the instrument of monetary policy to the interest rate implied by the consumption Euler equation. The key result is that an increase in the nominal interest rate leads to a fall in...
Article
We present a model of investment under uncertainty about fundamentals, using a global games approach. Goldstein & Razin (2003) show that there is an information based trade-off between foreign direct investment (FDI) and portfolio investment (PI) which rationalizes some well known stylised facts in the literature - the relative volatility and rever...
Article
I identify twenty observations of monetary policy periods within six of the G7 countries, following the spirit of the Narrative Approach used by Romer and Romer (1989). Statistics are used to characterize the state of these economies from the 1970's until 2001. Major historical events and narrative evidence are then used as a guide to identify thes...
Article
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight from emerging markets) prior to and during the 2008 fi...
Article
This paper incorporates heterogeneous agents into a NNS model with nominal inertia. Het- erogeneous households are introduced into NNS models to try and reconcile the movements in interest rates, consumption and in‡ation. The key …ndings here are that heterogeneity and wage inertia are needed to help reconcile these observations. Aggregate consumpt...

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