Players allocate their budgets to links, a local public good, and a private good. A player links in order to free ride on public good provided by others. We derive sufficient conditions for the existence of a Nash equilibrium, in which large contributors link to each other, while others link to them. If linking costs are sufficiently high, poorer players may contribute more and have more central positions in the network than richer ones do. In large societies, free riding reduces inequality only in networks in which it is initially low. Otherwise, richer players free ride more, as they can afford more links. Finally, we derive the policy implications for income redistribution.

This paper uses fractional integration to assess the impact of US policy responses to the COVID-19 pandemic on 10 US sectoral stock indices from 1 January 2020 to 11 June 2021. The results provide evidence of mean reversion in most cases and suggest that the Effective Federal Funds Rate and monetary and fiscal announcements are the most effective policy tools.

Widespread analysis of the link between natural resources and conflicts has shown how positive income shocks in agriculture usually reduce violence (opportunity cost effect), while positive shocks in extractive commodities intensify it (rapacity/lootability effect). However, recent works have found cases where pos-itive income shocks in agriculture lead to more violence. We examine the expansion of palm oil in Colombia to document another case where higher expected profits in agriculture led to more violence. Furthermore, we explore the institutional framework that explains the direction of this effect. Using a difference-in-difference strategy, we find that a 1 log point increase in palm oil prices raises the forced internal displacement rate in palm municipalities by 0.42 standard deviations. We show evidence sup-porting the hypothesis that the need for new lands explained the violence linked to the palm expansion within a framework in which weak property rights and illegal institutions were predominant. Likewise, we shed light on how the institutional framework shapes the relationship between income shocks and conflict.(c) 2022 The Author(s). Published by Elsevier Ltd. This is an open access Artículo under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).

This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration techniques, that are more general than those based on the classical I(0) vs. I(1) dichotomy. Further, we carry out break tests to detect any shifts in the degree of persistence, and also run rolling-window and recursive regressions to investigate its evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively stable following the Bretton Woods period, despite the adoption of different monetary regimes. The estimation of an unobserved¿components stochastic volatility model sheds further light on the issues of interest by showing that post¿Bretton Woods changes in UK inflation are attributable to a fall in the volatility of permanent shocks. The same type of analysis carried out for US inflation, for comparison purposes, leads to broadly similar conclusions.

This paper deals with the relationship between Foreign Direct Investment from China in Africa and the growth level in five African countries. Based on the high degrees of persistence observed in the data, we use techniques based on long memory models, and our results indicate that of the five countries examined, namely Kenya, Zimbabwe, Zambia, Nigeria and South Africa, only for Nigeria do we find a significant positive relationship between the two variables though under some assumptions, this evidence is also found in the cases of Kenya and South Africa. Several arguments are put forward at the end of the article to justify these results.

In this paper, we analyze the temporal dependence in energy prices and demand using daily data of Portugal and Spain over the period 2007-2017. The methodology used is based on a stochastic Hidden Markov Model and the results indicate first that all significant relationships between energy prices and demands were found to be positive; second, spot prices are only time dependent on future prices and spot energy, while future energy is solely time dependent on spot energy behavior; third, future prices are not only autocorrelated but also time-dependent with spot energy and future energy demands level; and finally, spot energy is autocorrelated and time-dependent with future prices and future energy. Policy implications of the results obtained are presented at the end of the article.

We examine in this note the impact of COVID-19 on the Spanish tourism sector by using a strong dependence model. Daily data from five equity markets are used and we find that the coronavirus crisis has increased the persistence in the data, moving in some of the series from a mean reverting process to a non-mean reverting one. Thus, shocks that were expected to be transitory have become permanent, implying the need of strong policy measures to come the series back to their long-term projections.

This paper investigates unemployment persistence in the 27 EU member states by applying fractional integration methods to quarterly data (both seasonally adjusted and unadjusted) from 2000q1 to 2020q4. The obtained evidence points to high levels of persistence in all cases. With seasonally adjusted data, a small degree of mean reversion is found in the case of Belgium, Luxembourg and Malta, but this evidence disappears under the assumption of weakly correlated disturbances. More cases of mean reversion are found instead when analysing the unadjusted series. In particular, countries such as Belgium, France, Croatia, Italy, Luxembourg and Malta display orders of integration significantly lower than 1. In addition, significant negative time trends are found in the case of Bulgaria, Croatia, Malta and Romania, and a positive one for Luxembourg. Finally, the Covid-19 pandemic had mixed effects, with (seasonal) persistence increasing in some countries whilst decreasing in others and not changing in a minority of cases. On the whole, our results support the hysteresis hypothesis for the European economies.

This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the effects of the pandemic are assessed by comparing the pre-pandemic estimates (over the period 2005-2019) to those from a sample extended until July 2021 which includes the pandemic period. The approach used is more general than the standard one based on the stationarity versus non-stationarity dichotomy and allows for a wider range of dynamic processes. Three different model specifications are considered, and these are estimated under two alternative assumptions for the disturbances (white noise and autocorrelation). The findings indicate that there has not been any significant impact of the Covid-19 pandemic on the degree of persistence of the European stock market indices, though their volatility persistence has decreased.

This paper investigates the long memory properties of the prices series of two major precious metals (gold and silver) and six non-precious metals (aluminium, copper, lead, zinc, tin and nickel) by using a fractional integration modelling framework, while controlling for structural breaks and non-linearities. We use daily data in a range from November 01, 2007 to March 20, 2020. From the results, Copper and Tin exhibit a very small degree of mean reversion. However, if autocorrelation is permitted, the unit root null hypothesis cannot be rejected in any of the series. We also account for structural breaks and non-linearities. We observe that all the series under investigation are exposed to multiple breaks. Results obtained under white noise errors shows some evidence of mean reversion for silver aluminium, copper, tin and zinc in some of the subsamples. However, under the assumption of Bloomfield autocorrelated errors the confidence intervals are so wide that we cannot confirm this evidence in any single case.

This paper investigates the time series properties of the temperature and precipitation anomalies in the contiguous USA by using fractional differentiation. This methodology allows to capture time trend components along with properties such as long-range dependence and the degree of persistence. For aggregated data, we find out that long memory is present in both precipitation and temperature since the integration order is significantly positive in the two cases. The time trend is also positive, being higher for the temperature. In addition, observing disaggregated data by states, for the temperature, there are only seven states where the time trend is not significant, with most of them located in Southeast areas, while for the rest of cases, the time trend is significantly positive. All cases exhibit long-range dependence, though the differencing parameter substantially changes from one state to another, ranging from 0.09 in Nebraska and Kansas to 0.18 in Florida and Michigan. For precipitation, the time trend is insignificant in a large number of cases, and the integration order is smaller than for the temperature. In fact, short memory cannot be rejected in fourteen states, and the highest orders of differencing are obtained in Arizona (d = 0.11) and Texas (0.12). In general, we highlight that one cannot draw conclusions about persistence and trends in these two climate-related variables based on aggregate information of the overall USA, given widespread heterogeneity across the states. Tentatively, the degree of dependence across the states seems to be negatively correlated with their level of climate-related risks and the associated preparedness in terms of handling climate change, but this conclusion requires more elaborate research in the future.

This paper analyses US sea level data using long memory and fractional integration methods. Specifically, monthly data for 41 US stations covering the period from January 1950 to December 2018 are examined. Fractional integration methods suggest that all series exhibit orders of integration in the interval (0, 1), which implies long-range dependence with positive values of the differencing parameter; further, significant positive time trends are found in the case of 29 stations located on the East Coast and the Gulf of Mexico, and negative ones in the case of four stations on the North West Coast, but none for the remaining 8 on the West Coast. The highest degree of persistence is found for the West Coast stations and the lowest for the East Coast ones. Thus, in the event of shocks, more decisive action is required in the case of West Coast stations for the series to revert to their original trend.

This paper investigates whether the real interest rate parity (RIRP) is valid during the three waves of globalizations that occurred in the last 150 years (1870-1914, 1944-1971, 1989 to the present). If any, these periods should favor RIRP, since globalization is a process where economies and financial markets become increasingly integrated into a global economic system. In contrast to the existing literature, we model the departures from RIRP as a long-term memory process and apply fractional integration methods on a sample of real interest rate differentials of seven developed countries: France, Germany, Holland, Italy, Japan, Spain, and the UK across the three globalization waves paired against the USA. We compute impulse response functions (IRF) to gain further insight into the memory characteristics of the RIRP differential processes and provide half-life estimates. We find that deviations from RIRP are mean reverting, providing robust evidence of real interest rate convergence during the three globalization waves. We shed further light on financial and commodity market integration during the three globalization waves by assessing the memory properties of uncovered interest rate parity (UIP) and relative purchasing power parity (PPP) differential processes. We find that deviations from relative PPP and UIP are not always mean-reverting processes. RIRP, relative PPP, and UIP hold simultaneously only in 7 out of 21 cases; RIRP and UIP hold in 11 out of 21 cases; RIRP hold without the support of relative PPP and UIP in 3 out of 21 cases. Thus, the evidence in favor of real interest rate convergence appears to be driven more by UIP than relative PPP. All these results are, to the authors knowledge, new to the literature.

Two features in time series data: the existence of time trends and the degree of persistence, are examined in this work on the nitrogen oxides emissions from 37 OECD countries. Updated techniques in time series are used that allow for fractional degrees of differentiation in the data. Thus, if the number of differences required is one, nitrogen oxides emissions are not mean reverting in the sense that if there is an exogenous shock (resulting from a technological advancement to change nitrogen oxides emissions), the effect of such shock on nitrogen oxides emissions will be permanent. Time trends are observed in half of the series. For these countries the trend coefficient is found to be positive in all cases. This is an indication that continuous technological progress is needed in taming NOx emissions. In addition to developing their own local technologies, less technologically endowed OECD countries should engage in collaboration with the more technologically endowed countries in order to facilitate increase in trans-border transfer of technology. The technologically advanced countries should also strive to continue to introduce better technologies in a bid to reduce NOx emissions. Most of the results show evidence for persistence of nitrogen oxides emissions.

This paper analyses the persistence of research intensity in the OECD over the period 1870-2018. The goal is to test if the conclusion of the study conducted by Ang and Madsen (Ang, J. B., & Madsen, J. B. (2011). Can second-generation endogenous growth models explain the productivity trends and knowledge production in the Asian miracle economies? The Review of Economics and Statistics 2011, 93(4), 1360-1373), namely that the Schumpeterian growth models predict that research intensity is stationary, is correct. Using fractional integration methods on annual research intensity from 16 OECD countries, we observe that the series are very persistent. The order of integration is observed to be statistically higher than 1 in all the countries except Spain, rejecting thus the hypothesis of stationarity. When the likelihood of non-linear trends is considered in the analysis, the results are not materially different. An implication of the results is that policies aimed at boosting research activities will have a long-term impact on research intensity.

This paper examines volatility persistence in leverage loan market price series for Australia, Canada, Europe, Japan, Singapore, UK and USA in the presence of structural breaks. To the best of our knowledge, this is the first empirical study to examine volatility persistence in the leveraged loan markets. To this end, using fractional integration methods, the results indicate that both absolute and squared returns display long memory features, with orders of integration confirming the long memory hypothesis. However, after accounting for structural breaks, we find a reduction in the degree of persistence in the leveraged loan market. The evidence of persistence in volatility implies that market participants who want to make gains across trading scales need to factor the persistence properties of leveraged loan price series in their valuation and forecasting models since that will help improve long-term volatility market forecasts and optimal hedging decisions.

This research note examines data on US citizens' overseas air passenger travel with respect to the degree of persistence, seasonality, nonlinearities, and fractional integration. Based on seasonally differenced data with allowance for autocorrelated errors, we find evidence of nonlinearity with moderate persistence and mean reversion in US overseas air travel. The results suggest that shocks to US overseas air travel will dissipate over time, and as such, the observed persistence and nonlinearity can provide useful information in the modeling and forecasting of future behavior.

The main cause of climate change are carbon dioxide emissions. In the context of the COVID-19 pandemic, the number of emissions has been significantly reduced for the first time in many years. Now it is necessary to answer the question of whether CO2 emissions are stationary or not, because the results will let us know whether environmental policies have to be strengthened rather than relaxed in intensity. To this end, this paper in-vestigates the persistence in CO2 emissions in a group of countries to determine if shocks in the series have permanent or transitory effects. The results, based on fractional integration indicate evidence of mean reversion, with values of the differencing parameter constrained between 0 and 1 in all cases, independently of the assumption made about the error term (white noise or autocorrelation). Focusing on the areas under examina-tion, it is obtained that the EU27+UK, Japan and the US present the lowest degrees of integration, while Russia, China and India display the highest values. Decreasing time trends are only observed for the EU27+UK and US.

This article investigates the statistical properties of the economic complexity data in a group of 29 OECD countries, testing for their degree of persistence by looking at the order of integration of the series from a fractional integration viewpoint. The results vary substantially depending on the assumptions made on the error term; in particular, mean reversion is only found in the case of Chile if the errors are uncorrelated; however, if autocorrelation is permitted, mean reversion is found in a group of ten countries, namely, Australia, Canada, Colombia, France, Greece, Ireland, Israel, Norway, New Zealand and South Korea. Robust estimation is conducted by means of non-parametric methods and non-linear structures, which are also incorporated in the model. Policy implications are derived at the end of the article.

We introduce weighted links in a local public good game in an endogenous network with heterogeneous players. We find that the equilibrium predictions are sharper than when links are not weighted. In particular, active players form a complete core-periphery graph, where they are either in the core of interconnected players, or connected to every player in the core. Furthermore, a player's type is tightly related to her public good provision and her position in the network. (C) 2022 Elsevier Inc. All rights reserved.

Purpose Using data from 1820 onwards in a group of seven countries, namely, Australia, Chile, Denmark, France, the UK, Italy and the USA, the authors investigate if there is a long-run equilibrium relationship between the two variables (GDP and population). Design/methodology/approach Using fractional integration and cointegration methods, this paper deals with the analysis of the relationship between GDP and population using historical data. Findings The authors' results show first that the two series are highly persistent, presenting orders of integration close to or above 1 in practically all cases. Testing cointegration between the two variables, the results are quite variable depending on the methodology and the bandwidth numbers used, but if cointegration takes places, it only occurs in the cases of France, Italy and the UK. Research limitations/implications The fact that the orders of integration of all series is close to 1 indicate high levels of persistence with shocks having permanent effects and requiring strong measures to recover the original trends. Practical implications Any shock affecting the series will have a permanent nature, persisting forever. Originality/value Updated time series techniques based on concepts such as fractional integration and cointegration are used.

This paper deals with the relationship between the CO2 emissions and the global temperatures across the various pandemic episodes that have been taken place in the last 100 years. To carry out the analysis, first we conducted unit root tests finding evidence of nonstationary I(1) behavior, which means that a shift in time causes a change in the shape of distribution. However, due to the low statistical power of unit root tests, we also used a methodology based on long memory and fractional integration. Our results indicate that the emissions display very heterogeneous behavior in relation to the degree of persistence across pandemics. The temperatures are more homogeneous, finding values for the orders of integration of the series smaller than 1 in all cases, thus showing mean reverting behavior.

This research note examines the change in the degree of persistence in the Croatian tourism indicators, foreign arrivals, and overnight stays, due to the COVID-19 pandemic using recursive estimation of a fractional integration model. The results indicate that the shock from the COVID-19 pandemic can be viewed as permanent in nature. The policy response to restore tourism to its original trend should consider whether such policies proceed as in the past with the promotion of the traditional tourism growth model or support the transformation toward a more sustainable tourism model.

This paper investigates inequality persistence in a group of 21 OECD countries using linear and non-linear fractionally integrated methods. Using linear models, the results show that the series are strongly persistent which implies lack of average reversal and permanency of shocks. Mean reversion is only found in the case of Finland and partial evidence of mean reversion is detected for Belgium, Greece, Austria and the Netherlands. The results are similar using non-linear methods. Mean reversion is only found in the case of Finland, Belgium, Greece and Spain. Although, most countries show no evidence of non-linear structures except for four countries, namely, Finland, Spain, the United Kingdom and the United States. The implications of the empirical findings are reported at the end of the manuscript.

This paper investigates the persistence in the US Treasury bond rate returns from 1946 to 2019 by using fractional integration. It is shown that the degree of integration of the series (and thus the level of persistence) reduces as we increase the time of the maturity rate from the 1-and 2-year rates to the 20-and 30-year bond rates.

This paper examines stock market integration between the five ASEAN countries and both the US and China in turn, over the period from November 2002 to August 2020. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analyzed using fractional integration and fractional cointegration methods. Further, recursive cointegration analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China stock market crash on the pattern of stock market co-movement. The main findings are the following. All stock indices exhibit long-range dependence. There is cointegration between the five ASEAN countries and the US but almost none between the former and China, except between Indonesia and China in the case of the financial sector. The 2007-8 global financial crisis and the 2015 Chinese stock market plunge weakened the linkages between the ASEAN five and both China and the US. The implications of these results for market participants and policy makers are discussed.

In this article, we carry out a study of the degree of persistence of a time series of data on freshwater use in the long term, using fractional integration or I(d) techniques. Using annual data from 1901 to 2014, we observe that the order of integration of the series is close to 1 if the errors are not correlated, and if they are correlated, then it is greater than 1. This shows that the series is highly persistent. On the other hand, we detect two structural breaks, one at 1951 and the other one at 1980. In these cases, we observe a reversion to the mean since the integration orders are much lower in the subsamples. This supports the hypothesis that when these breaks are not taken into account, there is an overestimation of the differentiation parameter, misspecifying the reversion to the mean of the data. The series also shows segmented trends with the higher time trend coefficient observed during the years 1951 and 1980.

This study re-examines the empirical relationship between risk and return from 1994m12 to 2020m08 in fifteen international equity markets employing the novel time-varying Markov switching copula models. We provide first-time insightful evidence of time-varying Markov tail dependence structure and dynamics between risk and return in international equity markets. Results show that the dependence structure is positive for USA, UK, Germany, Italy, Brazil, Australia, Taiwan, Canada, Mexico, Japan, France and South Africa and negative for Singapore, India, Japan and China. Finally, we document the effects of policy uncertainty, geopolitical risk and VIX conditional on different markets states.

The outbreak of the novel corona virus has heightened concerns surrounding the adverse financial effects of the outbreak on stock market liquidity and economic policies. This paper contributes to the emerging strand of studies examining the adverse effects of the virus on varied aspect of global markets. The paper examines the causality and co-movements between COVID-19 and the aggregate stock market liquidity of China, Australia and the G7 countries (Canada, France, Italy, Japan, Germany, the UK and the US), using daily three liquidity proxies (Amihud, Spread and Traded Value) over the period December 2019 to July 2020. Our empirical analysis encompasses wavelet coherence and phase-differences as well as a linear Granger causality test. Linear cau-sality test results suggest that a causal relationship exists between the number of cases of COVID 19 infections and stock market liquidity. To quantitatively examine the degree of causality be-tween COVID-19 outbreak and stock market liquidity, we employ the continuous wavelet coherence approach with results revealing the unprecedented impact of COVID-19 on stock market liquidity during the low frequency bands for countries that were hard hit with the COVID-19 outbreak, i.e., Italy, Germany, France, the UK and the US. Further, evidence shows that there is a heterogeneous lead-lag nexus across scales for the entire period of the study.

This paper assesses the impact of US policy responses to the Covid-19 pandemic on various technology-related assets such as cryptocurrencies, financial technology, and artificial intelligence stocks using fractional integration techniques. More precisely, it analyzes the behavior of the percentage returns in the case of nine major coins (Bitcoin-BITC, Stella-STEL, Litecoin-LITE, Ethereum-ETHE, XRP (Ripple), Dash, Monero-MONE, NEM, Tether-TETH) and two technology-related stock market indices (the KBW NASDAQ Technology Index-KFTX, and the NASDAQ Artificial Intelligence index-AI) over the period 1 January 2020-5 March 2021. The results suggest that fiscal measures such as debt relief and fiscal policy announcements had positive effects on the series examined during the pandemic, when an increased mortality rate tended instead to drive them down; by contrast, monetary measures and announcements appear to have had very little impact and the Covid-19 containment measures none at all.

This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to examine whether or not persistence has changed during the following pandemic period (up to February 2021). We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more persistent, although there is evidence of mean reversion in case of 1-year yields under the assumption of autocorrelated errors. The recursive analysis shows no impact of the Covid-19 pandemic on the persistence of stock prices, whilst there is an increase in the case of both 10- and 1- year bond yields but not of their spread.(c) 2022 The Author(s). Published by Elsevier Inc. on behalf of Board of Trustees of the University of Illinois. CC_BY_4.0

This paper proposes a new modeling framework capturing both the long-run and the cyclical components of a time series. As an illustration, we apply it to four US macro series, namely, annual and quarterly real gross domestic product (GDP) and GDP per capita. The results indicate that the behavior of US GDP can be captured accurately by a model incorporating both stochastic trends and stochastic cycles that allows for some degree of persistence in the data. Both appear to be mean reverting, although the stochastic trend is nonstationary, while the cyclical component is stationary, with cycles repeating themselves every 6-10 years.

The aim of this paper is to analyze whether the profound effects of COVID-19 on Turkey's tourism sector will be permanent or transitory. Such an investigation deserves attention during the ongoing pandemic due to the importance of Turkey in the international tourism industry. To better understand and analyze the dynamics of tourism, we examine a long period of time spanning from January 1977 to March 2021 using a fractional integration approach. The findings provide clear-cut evidence that the shocks to the tourism sector display very low degrees of persistence in the pre-pandemic period whereas degrees of persistence in the post-pandemic period are very high. We also identify the changes in the persistence of tourism month by month. Overall, the impacts of COVID-19 on Turkey's tourism will not be transitory. Therefore, the government should be actively involved in the recovery process of the tourism sector if Turkey wants to reach the number of tourist arrivals it once used to host. Also, the methodology employed in this study could be used as a benchmark to explore the impacts of the ongoing pandemic on other sectors (JEL: C22: I15: L83: Z32).

This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from Bloomberg including end-of-the-month values over the period January 1962-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation results indicate that both are highly persistent and exhibit non-linearities, the latter being more pronounced in the case of the ECB series. Also, there is no conclusive evidence of the presence of structural breaks.

This paper deals with the analysis of world commodity prices by examining 15 categories ofcommodity prices using fractional integration and including thus fractional points. We use datacorresponding to the 1960-2018 period obtained from the World Bank, and the results indicatehigh degrees of persistence in the majority of the series, especially when using parametricmethods. However, mean reversion is obtained in many cases when using semiparametricapproaches. The possibility of structural breaks is also considered, and our results confirm thehigh degree of persistence in the data, which seems to have increased across time

Consequences of social trust are comparatively well studied, while its societal determinants are often subject to debate. This paper studies both in the context of Catalan attempts to secede from Spain: First, we test whether Catalonia enjoys higher levels of social capital that it is prevented from capitalizing on. Second, the paper examines whether secessionist movements create animosity and political divisions within society that undermine trust. Employing the nine available waves of the European Social Survey for Spain, we only find weak indications that social trust levels are higher in Catalonia than in the rest of the country. Interestingly, we further find testimony of a purely transient "exuberance effect" after secession became a real option, indicating that the long-run evolution of social trust may best be thought of as a stable punctuated equilibrium.

In this paper we examine the statistical properties of the monetary aggregates in Chile in order to know if the time series display mean reverting behaviour. For this purpose, we use techniques based on fractional integration. Monthly data of various Chilean monetary aggregates from January 1986 until August 2019 are used, and the results indicate very weak evidence of mean reversion. In fact, this property is only found in the case of the currency on circulation and M1 for some of the series examined; however, for M2 and M3 the results clearly show high persistence with orders of integration substantially higher than 1. Thus, shocks are expected to have a permanent nature in these cases. Another remarkable feature observed in the results is that the level of persistence in the series seems to grow with the amount of the monetary aggregate. In a multivariate context, performing a FCVAR model, evidence of cointegration is found among the monetary aggregates, finding a long run equilibrium relationship between them.

Detection of the type of trend in temperature data, by distinguishing between deterministic and stochastic trends, has important implications for understanding climate change. The Unit root tests (URTs) have been widely used for detecting the type of trend, but they do not consider the possibility of fractional integration and its influences. In this study, we detected the type of trends in observed surface air temperature during 1960-2019 at 558 stations across China, by considering fractional integration. The whole period was divided into three sub-periods by two structural breakpoints (denoted as SBP1 and SBP2). The fractional differencing parameter d was estimated by the Local Whittle (LW) function, and then three URTs (namely PP, KPSS, and ZA) were used to detect the type of trends in the temperature data during different sub-periods. The results indicated that the de-seasoned monthly temperature (DMT) series were fractionally integrated and, thus, exhibited long-range dependence characteristics, which significantly influenced the estimation of the slope of trend and detection of the type of trend. Compared with the LW function, the ordinary least squares method yielded biased estimation of the slope of trend, as it could not eliminate the influence of long-range dependence of the DMT series. The DMT series with weak long-range dependence or anti-persistent characteristics during 1960-SBP1, SBP1-SBP2, and SBP2-2019 were accurately detected as deterministic trends. However, the DMT series with strong long-range dependence during SBP1-2019 and 1960-2019 were detected to have stochastic trends by the KPSS test. Following the results of the fractional integration and URTs together, temperature over short periods in China were detected to have deterministic trends, but those at long periods were detected to have a combination of long-range dependence and deterministic trends.

In this paper, we present a testing procedure for fractional orders of integration in the context of non-linear terms approximated by Fourier functions. The test statistic has an asymptotic standard normal distribution and several Monte Carlo experiments conducted in the paper show that it performs well in finite samples. Various applications using real life time series, such as US unemployment rates, US GNP and Purchasing Power Parity (PPP) of G7 countries are presented at the end of the paper.

In this paper, the degree of persistence of the sulfur dioxide emissions in a group of 37 OECD countries is examined by looking at the order of integration of the series. However, instead of using integer degrees of differentiation (i.e., 1 in case of unit roots and 0 for stationarity), fractional values are also considered. The results indicate high degrees of persistence and very little evidence of mean reversion. This property only holds for the three Latin American countries examined, namely Chile, Colombia and Mexico if the error follows a white noise process. If autocorrelation is permitted, however, the confidence intervals are wider and mean reversion is not found in any single case. Thus, shocks in the series are expected to be permanent in the majority of the cases examined.

This paper examines the statistical properties of daily PM10 in eight European capitals (Amsterdam, Berlin, Brussels, Helsinki, London, Luxembourg, Madrid and Paris) over the period 2014-2020 by applying a fractional integration framework; this is more general than the standard approach based on the classical dichotomy between I(0) stationary and I(1) non-stationary series used in most other studies on air pollutants. All series are found to be characterised by long memory and fractional integration, with orders of integration in the range (0, 1), which implies that mean reversion occurs and shocks do not have permanent effects. Persistence is the highest in the case of Brussels, Amsterdam and London. The presence of negative trends in Brussels, Paris and Berlin indicates some degree of success in reducing pollution in these capitals.

The present study aims at proving the existence of long memory (or long-range dependence) in the earthquake process through the analysis of time series of induced seismicity. Specifically, we apply alternative statistical techniques borrowed from econometrics to the seismic catalog of The Geysers geothermal field (California), the world's largest geothermal field. The choice of the study area is essentially guided by the completeness of the seismic catalog at smaller magnitudes (a drawback of conventional catalogs of natural seismicity). Contrary to previous studies, where the long-memory property was examined by using non-parametric approaches (e.g., rescaled range analysis), we assume a fractional integration model for which the degree of memory is defined by a real parameter d, which is related to the best known Hurst exponent. In particular, long-memory behavior is observed for d > 0. We estimate and test the value of d (i.e., the hypothesis of long memory) by applying parametric, semi-parametric, and non-parametric approaches to time series describing the daily number of earthquakes and the logarithm of the (total) seismic moment released per day. Attention is also paid to examining the sensitivity of the results to the uncertainty in the completeness magnitude of the catalog, and to investigating to what extent temporal fluctuations in seismic activity induced by injection operations affect the value of d. Temporal variations in the values of d are analyzed together with those of the b-value of the Gutenberg and Richter law. Our results indicate strong evidence of long memory, with d mostly constrained between 0 and 0.5. We observe that the value of d tends to decrease with increasing the magnitude completeness threshold, and therefore appears to be influenced by the number of information in the chain of intervening related events. Moreover, we find a moderate but significant negative correlation between d and the b-value. A negative, albeit weaker correlation is found between d and the fluid injection, as well as between d and the annual number of earthquakes.

This paper focusses on the examination of the fishing ground footprint in a group of 89 countries using fractional integration. The fishing ground footprint is one of the components of the ecological footprint. Nevertheless, it has not been investigated verymuch froman empirical viewpoint. Wecontribute to the existing literature on fishing ground footprint by using fractional integration techniques to examine the persistence of the series. Our results are very heterogeneous across countries thoughwe find that most of the series are nonstationary and non-mean reverting, with most of the countries belonging to the upper-middle and high income levels. On the other hand, most of the 14.4% of countries that show a stationary pattern belong to lower-middle and low income countries. One of the implications of the study is that policies aimed at reducing fishing grounds footprint are likely to be effective in most of the investigated countries. (C) 2020 Elsevier B.V. All rights reserved.

This paper deals with the analysis of (spatial) crude oil production divergence in the United States, paying particular attention to the domestic crude oil production between PADD 2 and PADD 3, which are the areas in which the bottleneck occurs and has a direct implication on the price of West Texas Intermediate (WTI). To this purpose, we use techniques based on fractional integration, fractional cointegration VAR (FCVAR) and wavelet analysis. Monthly data related to the oil production in the U.S. by regions (Anadarko, Appalachia, Bakken, Eagle Ford, Haynesville, Niobrara and Permian) from January 2007 to June 2020 are used. The results, using fractional integration and cointegration techniques, indicate that the time series analyzed are highly persistent and there is evidence of long run equilibrium relationships in some of the series. Finally, using wavelet analysis, we conclude that the most affected areas are Anadarko, Appalachia, Haynesville and Niobrara where an increase in the shale oil production is followed a decrease in WTI crude oil prices. (c) 2021 Elsevier Ltd. All rights reserved.

In this paper, we propose a game in which each player decides with whom to establish a costly connection and how much local public good is provided when benefits are shared among neighbors. We show that, when agents are homogeneous, Nash equilibrium networks are nested split graphs. Additionally, we show that the game is a potential game, even when we introduce heterogeneity along several dimensions. Using this result, we introduce stochastic best reply dynamics and show that this admits a unique and stationary steady state distribution expressed in terms of the potential function of the game. Hence, even if the set of Nash equilibria is potentially very large, the long run predictions are sharp.

This paper examines GDP per capita in sub-Saharan Africa, studying its properties through fractional integration. This approach enables us to study issues such as trends, mean-reversion, nonstationarity and breaks in a more flexible way than standard methods. We find negative relationships between level of income and persistence, implying that countries with higher levels of GPD display lower degrees of integration, and thus effects of shocks disappearing faster than those in poorer countries. The paper examines the comparative institutional characteristics underpinning the time series growth properties of the selected African countries also contributing to the literature on institutions and growth.

This paper uses fractional integration techniques to explore the stochastic properties of the Financial Stress Indices (FSIs) of 10 Asian countries, further investigating the bilateral linkages between them to ascertain how financial stress spreads among countries in the region. For the FSIs of each country, the results show that all the estimated orders of integration are in the interval (0, 1) implying fractional integration and a long memory pattern. Thus, shocks will have transitory though long-lasting effects. For the cross-country spillovers of the FSIs, we find that convergence is satisfied in all cases with values of the differencing parameter around 0 and thus showing short memory behavior. It is worth noting that for the larger economies in the region, Japan and China, financial stress transmission between Japan and the smaller economies was faster than with respect to China. Overall, the results provide valuable information on the financial market activity of the countries in the region. To check for the robustness of the baseline results we also use systemic risk measures for these countries, CoVaR with the results showing evidence of fractional integration for the individual series, with all values of the differencing parameter in the range (0, 1). For convergence, there is a substantial reduction in the degree of integration, though the results are not as clear as with the FSIs.

In this article, we examine the statistical properties of the time series corresponding to the number of national and international visitors in Spain using fractional integration. This methodology allows us to examine the degree of persistence of the series, and thus, infer some conclusions about the nature of the shocks. According to the results reported in this work, seasonality matters in both cases, being more important in international tourism. Moreover, we observe significant differences in the degree of persistence between national and international tourism. Although both series seem to be mean reverting, with shocks having a transitory nature, higher orders of integration are observed in the case of the international arrivals.

This paper analyzes the dynamics of U.S. lithium mining companies, the lithium industry and West Texas Intermediate (WTI) crude oil prices using a Fractional Cointegration Vector AutoRegressive model (FCVAR model) and a Continuous Wavelet Transform (CWT) for its resolution. The results indicate evidence of a negative relationship between FMC Corp with Albermale and SQM stock prices. These results are similar if we analyze the risk based on the beta term structure of each company. Analyzing the fractional differencing parameter for the stock prices and their logs, we observe that they are very persistent, and there are no long-term deviations in the stock prices. The same happens when analyzing the beta term structure. Based on Continuous Wavelet Transform (CWT) methods, our results show that lithium mining companies and the lithium industry are weakly correlated with WTI crude oil prices at higher frequencies (short-run) and persist through the sample period. At lower frequencies (long-term) the time series reached a high level of dependence between late 2012 to mid 2016, concluding that the lithium mining companies and the lithium industry reflect and foreshadow the responsiveness of the WTI crude oil prices during the period mentioned above.

Ever since the spectacular boom and bust cycle of the Spanish real estate industry, endemic corruption at the local level has become a widely recognized problem in the national public discourse. In an effort to expose an under-explored political determinant, this paper investigates the effect of local and regional alignment in fomenting corruption at the Spanish municipal level. To do so, we construct an ample panel dataset on the prevalence of corrupt practices by local politicians, which is employed to test the possible impact of partisan alignment in three consecutive joint municipal and regional elections. Findings show aligned municipalities to be more corrupt than non-aligned ones, an effect that is further associated with absolute majorities at both levels of government and higher capital transfers. By contrast, we also show that ¿throwing the rascals out¿ could be an effective strategy for curbing the corrupt practices of aligned municipalities. This indicates that the democratic political process may be effective in corruption control if agreements can be reached to remove corrupt politicians or parties from power.