WorldCat Identities

Lanne, Markku

Overview
Works: 90 works in 146 publications in 2 languages and 205 library holdings
Roles: Author
Classifications: HG3145, 332.40101519536
Publication Timeline
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Most widely held works by Markku Lanne
Identifying monetary policy shocks via changes in volatility by Markku Lanne( Book )

7 editions published in 2006 in English and held by 16 WorldCat member libraries worldwide

A central issue of monetary policy analysis is the specification of monetary policy shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying the shocks because standard theories do not provide enough information to fully identify monetary policy shocks. In fact, to compare different theories it would even be desirable to have over-identifying restrictions which would make statistical tests of different theories possible. It is pointed out that some progress towards overidentifying monetary policy shocks can be made by using specific data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification. Based on monthly US data from 1965-1996 different theories are tested and it is found that associating monetary policy shocks with shocks to nonborrowed reserves leads to a particularly strong rejection of the model whereas assuming that the Fed accommodates demand shocks to total reserves cannot be rejected
Structural vector autoregressions with nonnormal residuals by Markku Lanne( Book )

6 editions published between 2005 and 2006 in English and German and held by 14 WorldCat member libraries worldwide

In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is pointed out that specific distributional assumptions can also help in identifying the structural shocks. In particular, a mixture of normal distributions is considered as a plausible model that can be used in this context. Our model setup makes it possible to test restrictions which are just-identifying in a standard SVAR framework. In particular, we can test for the number of transitory and permanent shocks in a cointegrated SVAR model. The results are illustrated using a data set from King, Plosser, Stock and Watson (1991) and a system of US and European interest rates
Stock prices and economic fluctuations : a markov switching structural vector autoregressive analysis by Markku Lanne( Book )

4 editions published in 2008 in English and held by 11 WorldCat member libraries worldwide

Essays on inference in time series models with near unit roots applications to interest rates by Markku Lanne( Book )

4 editions published in 1997 in English and held by 9 WorldCat member libraries worldwide

Trading Nokia : the roles of the Helsinki vs the New York stock exchanges by Esa Jokivuolle( Book )

7 editions published in 2004 in English and held by 7 WorldCat member libraries worldwide

Tiivistelmä: Kaupankäynti Nokian osakkeilla
Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift by Markku Lanne( Book )

6 editions published in 1999 in English and held by 7 WorldCat member libraries worldwide

Tiivistelmä: Korkojen aikarakenteen testaaminen mahdollisten regiimimuutosten tapauksessa
Comparison of unit root tests for time series with level shifts by Markku Lanne( Book )

3 editions published in 1999 in English and German and held by 6 WorldCat member libraries worldwide

Unit root tests are considered for time series which have a level shift at a known point in time. The shift can have a very general nonlinear form and additional deterministic mean and trend terms are allowed for. Prior to the tests the deterministic parts and other nuisance parameters of the data generation process are estimated in a first step. Then the series are adjusted for these terms and unit root tests of the Dickey-Fuller type are applied to the adjusted series. The properties of previously suggested tests of this sort are analyzed and a range of modifications is proposed which take into account estimation errors in the nuisance parameters. An important result is that estimation under the null hypothesis is preferable to estimation under local alternatives. This contrasts with results obtained by other authors for time series without level shifts
Unit root tests in the presence of innovational outliers by Markku Lanne( Book )

3 editions published in 2001 in English and held by 6 WorldCat member libraries worldwide

Unit root tests are considered for time series with innovational outliers. The function representing the outliers can have a very general nonlinear form and additional deterministic mean and trend terms are allowed for. Prior to the tests the deterministic parts and other nuisance parameters of the data generation process are estimated in a first step. Then the series are adjusted for these terms and unit raot tests of the Dickey-Fuller type are applied to the adjusted series. The properties of previously suggested tests of this sort are analyzed and modifications are proposed which take into account estimation errors in the nuisance parameters. An important result is that estimation under the null hypothesis is preferable to estimation under local alternatives. This contrasts with results obtained by other authors for time series without outliers. A comparison with additive outlier models is also performed. -- Univariate time series ; unit root ; structural shift ; autoregression
Test procedures for unit roots in time series with level shifts at unknown time by Markku Lanne( Book )

3 editions published in 2001 in English and held by 6 WorldCat member libraries worldwide

Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under the known break date assumption. Different estimators of the break date are compared in a Monte Carlo experiment and a recommendation for choosing the break date in small samples is given. It is also shown that ignoring the fact that a break has occurred and applying a standard unit root test may lead to substantial size distortion and total loss of power. Example series from the Nelson-Plosser data set are used to illustrate the performance of our tests. -- Univariate time series ; unit root ; structural shift ; autoregression
Modeling the U.S. short-term interest rate by mixture autoregressive processes by Markku Lanne( Book )

3 editions published in 2000 in English and held by 5 WorldCat member libraries worldwide

A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the paper and further informal checks the model is capable of capturing both of the typical characteristics of the short-term interest rate: volatility persistence and the dependence of volatility on the level of the interest rate. The model also allows for regime switches whose presence has been a third central result emerging from the recent empirical literature on the U.S. short-term interest rate. Realizations generated from the estimated model seem stable and their properties resemble those of the observed series closely. The drift and diffusion functions implied by the new model are in accordance with the results in much of the literature on continuous-time diffusion models for the short-term interest rate, and the term structure implications agree with historically observed patterns
Nonlinear GARCH models for highly persistent volatility by Markku Lanne( Book )

3 editions published in 2002 in English and held by 5 WorldCat member libraries worldwide

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility persistence and exhibit poor forecasting ability. Our main emphasis is on models that are similar to previously introduced smooth transition GARCH models except for the novel feature that a lagged value of conditional variance is used as the transition variable. This choice of the transition variable corresponds to the idea that high persistence in conditional variance is related to relatively infrequent changes in regime. U sing the theory of Markov chains we provide sufficient conditions for the stationarity and existence of moments of the considered smooth transition GARCH models and even some more general nonlinear GARCH models. Empirical applications to two exchange rate return series show that the new models can be superior to conventional GARCH models especially in longer term forecasting
Nonlinear dynamics of interest rate and inflation by Markku Lanne( Book )

4 editions published in 2002 in English and held by 4 WorldCat member libraries worldwide

Tiivistelmä: Koron ja inflaation epälineaarinen dynamiikka
Reducing size distortions of parametric stationary tests by Markku Lanne( Book )

2 editions published in 2000 in English and held by 4 WorldCat member libraries worldwide

Structural vector autoregressions with nonnormal residuals( )

2 editions published between 2005 and 2006 in English and held by 4 WorldCat member libraries worldwide

In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is pointed out that specific distributional assumptions can also help in identifying the structural shocks. In particular, a mixture of normal distributions is considered as a plausible model that can be used in this context. Our model setup makes it possible to test restrictions which are just-identifying in a standard SVAR framework. In particular, we can test for the number of transitory and permanent shocks in a cointegrated SVAR model. The results are illustrated using a data set from King, Plosser, Stock and Watson (1991) and a system of US and European interest rates
Identifying monetary policy shocks via changes in volatility( )

2 editions published in 2006 in English and held by 4 WorldCat member libraries worldwide

Nonlinear dynamics of interest rate and inflation by Markku Lanne( Book )

3 editions published in 2002 in English and held by 4 WorldCat member libraries worldwide

According to several empirical studies, US inflation and nominal interest rates, as well as the real interest rate, can be described as unit root processes. These results imply that nominal interest rates and expected inflation do not move one-for-one in the long run, which is not consistent with the theoretical models. In this paper we introduce a nonlinear bivariate mixture autoregressive model that seems to fit quarterly US data (1952 Q1 - 2000 Q2) reasonably well. It is found that the three-month treasury bill rate and inflation share a common nonlinear component that explains a large part of their persistence. The real interest rate is devoid of this component, indicating one-for-one movement of the nominal interest rate and inflation in the long run and thus stationarity of the real interest rate. Comparisons with a linear vector autoregressive model reveal that in policy analysis the consequences of neglecting nonlinearities can be substantial
Unit root tests for time series with level shifts : a comparison of different proposals by Markku Lanne( Book )

2 editions published between 2000 and 2001 in English and held by 4 WorldCat member libraries worldwide

Stock prices and economic fluctuations a Markov switching structural vector autoregressive analysis( )

2 editions published in 2008 in English and held by 4 WorldCat member libraries worldwide

The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bi-variate systems comprising U.S. stock prices and total factor productivity. The former variable is viewed as reflecting expectations of economic agents about future productivity. It is found that some previously used identification schemes can be rejected in our model setup. The results crucially depend on the measure used for total factor productivity. -- Cointegration ; Markov regime switching model ; vector error correction model ; structural vector autoregression ; mixed normal distribution
Realized volatility and overnight returns by Katja Ahoniemi( )

1 edition published in 2010 in English and held by 3 WorldCat member libraries worldwide

The effect of a transaction tax on exchange rate volatility( )

2 editions published between 2005 and 2006 in English and held by 3 WorldCat member libraries worldwide

 
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Alternative Names
Lanne, M.

Markku Lanne Finnish professor of Economics (University of Helsinki)

Markku Lanne suomalainen taloustieteen professori (Helsingin yliopiston Valtiotieteellisen tiedekunnan Politiikan ja taloudellisen tutkimisen laitos)

Languages
English (67)

German (2)