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Trend breaks and non-stationarity in the Yugoslav black market for dollars, 1974-1987

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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.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840500427932

Affiliations: Department of Economics, Appalachian State University, Boone, NC 28608-2051, USA

Publication date: January 1, 2007

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