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• The Rigidity of Labor Markets and the Unit Root in the Time Series of Unemployment rate: Raising a Problem

  103-114

  Janos Kormos

  Pal Czegledi

  Views:

  140

  The article is a review of the literature concerning the time series of the unemployment rate, and of the economic explanations behind the tests of these time series. We seek to identify the theoretical explanations behind a possible unit root in unemployment time series. We argue that the main difficulty faced by these unit root tests is the change in labor market institutions. The ffects of institutional changes make the traditional tests rather weak, while the panel unit root tests oversimplify the economics of the question. Our conclusion is that the possible application of the tests developed theoretically for nearly unit root processes seems to offer a way out of this dilemma.

  Journal of Economic Literature (JEL) classifications: C22, E24

• Testing the long run equilibrium relationship between the nominal exchange rate and monetary macro-fundamentals

  36-58

  Andrea Szabo

  Views:

  129

  The pure time series testing of long-run monetary models of exchange rate determination and its fundamental building block, purchasing power parity, in the most cases fails to support the conjectures of the theory. Thus, the empirical literature increasingly uses the panel technique when testing both models because the power of the panel unit root and panel cointegration tests seems higher than their time series obverse. In the article we examine the validity of the monetary exchange rate models and purchasing power parity over the period 1996Q1-2011Q4 for US dollar exchange rates of 15 OECD countries using
  panel cointegration tests. The results show moderate empirical support for monetary exchange rate models and also purchasing power parity.

  Journal of Economic Literature (JEL) codes: F31, F41, C33

• Market efficiency in relation to the financial crisis of 2008

  31-50

  Balázs Bakosi

  Ákos Szűcs

  Views:

  379

  After the financial crisis of 2008 many scholars criticised the validity of the market efficiency hypothesis of the modern financial literature. The purpose of this paper is to investigate the adequacy of market efficiency based on Hungarian, and as a reference, on American securities. Besides classical statistical tools (autocorrelation function, Ljung-Box test, Augmented Dickey-Fuller test), we also used new approaches of the literature (Variance Ratio test). In addition to the simple hypothesis tests we tried to separate the different type of time series and explain the reasons for the different behaviours.

  Journal of Economic Literature (JEL) codes: G140