Trend breaks and non-stationarity in the Yugoslav black market for dollars, 1974–1987
- ASU Author/Contributor (non-ASU co-authors, if there are any, appear on document)
- Mark Strazicich Ph.D., Professor (Creator)
- Institution
- Appalachian State University (ASU )
- Web Site: https://library.appstate.edu/
Abstract: We estimate a model of the black market premium for dollars in
Yugoslavia from 1974 to 1987. Unlike previous applications of the model,
our analysis addresses non-stationarity in the underlying data by allowing
for trend breaks. Endogenous structural break tests indicate the presence
of breaks closely associated with the death of Tito and changes in laws
affecting the operation of the black market. After accounting for these
breaks, we find strong support for the underlying model. In addition, we
find evidence consistent with the era of increased government involvement
in the black market leading to greater volatility of the premium following
regime change.
Trend breaks and non-stationarity in the Yugoslav black market for dollars, 1974–1987
PDF (Portable Document Format)
374 KB
Created on 6/3/2013
Views: 1622
Additional Information
- Publication
- Dawson, J.W., Millsaps, S.W., & Strazicich, M.C. (2007). Trend breaks and non-stationarity in the Yugoslav black market for dollars, 1974-1987, Applied Economics, 39(1): 43-51. Published by Taylor & Francis (ISSN: 0003-6846). DOI: 10.1080/00036840500427932
- Language: English
- Date: 2007