Commentary on a method for testing resistance to shocks

Paresh Kumar Narayan

doi:10.1016/j.mex.2020.101194

Commentary on a method for testing resistance to shocks

Paresh Kumar Narayan

Research output: Contribution to journal › Article › Other › peer-review

4 Citations (Scopus)

Abstract

This note tours the Narayan (2020a: Has COVID-19 Changed Exchange Rate Resistance to Shocks?) approach to testing for resistance of a time-series variable to shocks. We take a step-by-step account of this approach and demonstrate its applicability with respect to the crude oil price. • The approach entails steps (1) to (8), as outline in the paper. • Future researchers will find this method useful in evaluating the resistance of variables to not only COVID-19 shocks but to any shock which has had a sufficiently long life.

Original language	English
Article number	101194
Number of pages	5
Journal	MethodsX
Volume	8
DOIs	https://doi.org/10.1016/j.mex.2020.101194
Publication status	Published - Jan 2021
Externally published	Yes

Keywords

Coronavirus
COVID-19
Crude oil prices
Exchange rates
Narayan–Popp (2010) test
Narayan–Popp test
Persistency
Shock resistance
Time series
Unit roots

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KW - Persistency

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KW - Time series

KW - Unit roots

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Commentary on a method for testing resistance to shocks

Abstract

Keywords

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