Revistas
Revista:
JOURNAL OF ECONOMIC STUDIES
ISSN 0144-3585
Vol. 49
N° 2
Año 2022
Págs.379 - 393
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.
Revista:
INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE
ISSN 1059-0560
Vol. 78
Año 2022
Págs.141 - 152
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.
Revista:
APPLIED ECONOMICS LETTERS
ISSN 1350-4851
Vol. 29
N° 4
Año 2022
Págs.366 - 370
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.
Revista:
INTERNATIONAL JOURNAL OF FINANCE AND ECONOMICS
ISSN 1076-9307
Vol. 27
N° 1
Año 2022
Págs.439 - 454
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.
Revista:
THEORETICAL AND APPLIED CLIMATOLOGY
ISSN 0177-798X
Vol. 148
N° 1-2
Año 2022
Págs.481 - 489
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.
Revista:
JOURNAL OF AGRICULTURAL AND RESOURCE ECONOMICS
ISSN 1068-5502
Vol. 47
N° 2
Año 2022
Págs.262 - 277
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
Revista:
FINANCE RESEARCH LETTERS
ISSN 1544-6123
Vol. 45
Año 2022
Págs.102189
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.
Autores:
Abakah, E. J. A.; Tiwari, A. K.; Alagidede, I. P. (Autor de correspondencia); et al.
Revista:
FINANCE RESEARCH LETTERS
ISSN 1544-6123
Vol. 47
N° A
Año 2022
Págs.102535
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.
Revista:
EMERGING MARKETS FINANCE AND TRADE
ISSN 1540-496X
Vol. 58
N° 5
Año 2022
Págs.1502 - 1514
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.
Revista:
EMERGING MARKETS FINANCE AND TRADE
ISSN 1540-496X
Vol. 58
N° 6
Año 2022
Págs.1753 - 1770
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.
Autores:
Yucel, A. G.; Koksal, C. (Autor de correspondencia); Acar, S.; et al.
Revista:
APPLIED ECONOMICS
ISSN 0003-6846
Vol. 54
N° 27
Año 2022
Págs.3074 - 3087
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).
Revista:
TOURISM ECONOMICS
ISSN 1354-8166
Vol. 28
N° 3
Año 2022
Págs.646 - 653
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.
Revista:
INTERNATIONAL JOURNAL OF ENVIRONMENTAL RESEARCH
ISSN 1735-6865
Vol. 16
N° 3
Año 2022
Págs.27
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.
Revista:
BULLETIN OF ECONOMIC RESEARCH
ISSN 0307-3378
Vol. 74
N° 1
Año 2022
Págs.123 - 134
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.
Revista:
ANNALS OF OPERATIONS RESEARCH
ISSN 0254-5330
Vol. 313
N° 1
Año 2022
Págs.191 - 229
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.
Autores:
Yaya, O. S. (Autor de correspondencia); Ogbonna, A. E. ; Furuoka, F.; et al.
Revista:
OXFORD BULLETIN OF ECONOMICS AND STATISTICS
ISSN 0305-9049
Vol. 83
N° 4
Año 2021
Págs.960 - 981
This paper proposes a nonlinear unit root test based on the autoregressive neural network process for testing unemployment hysteresis. In this new unit root testing framework, the linear, quadratic and cubic components of the neural network process are used to capture the nonlinearity in a given time series data. The theoretical properties of the test are developed, while the size and the power properties are examined in a Monte Carlo simulation study. Various empirical applications with unemployment and inflation rates across a number of countries are carried out at the end of the article.
Revista:
HELIYON
ISSN 2405-8440
Vol. 7
N° 10
Año 2021
Págs.e08105
The degree of persistence in daily PM25 and O-3 in the ten most populated US cities, namely New York, Los Angeles, Chicago, Houston, Phoenix, Philadelphia, San Antonio, San Diego, Dallas and San Jose is examined in this work. We employ a methodology based on fractional integration, using the order of integration as a measure of the degree of persistence. Using data for the time period from January 1, 2019 to December 31, 2020, our results indicate that fractional integration and long memory features are both present in all the examined cases, with the integration order of the series being constrained in the (0, 1) interval. Based on this, the estimation of the coefficients for the time trend produces results which are substantially different from those obtained under the I (0) assumption.
Autores:
Li, X. X.; Sang, Y. F.; Sivakumar, B.; et al.
Revista:
JOURNAL OF HYDROLOGY
ISSN 0022-1694
Vol. 596
Año 2021
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.
Revista:
REVIEW OF FINANCIAL ECONOMICS
ISSN 1058-3300
Año 2021
Págs.146 - 162
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.
Revista:
TELLUS. SERIES A: DYNAMIC METEOROLOGY AND OCEANOGRAPHY (ONLINE)
ISSN 1600-0870
Vol. 73
N° 1
Año 2021
Págs.1 - 9
This paper deals with the time series analysis of precipitation patterns in Africa's most populated nation using recently developed flexible modelling techniques to study the monthly precipitation data of some major economically viable and highly populated regions in Nigeria. The results indicate that there is a significant trend for Lagos rainfall data, implying that precipitations have systematically increased over time in this city. Additionally, the seasonal component is more prominent in the cases of Kano and Kaunda than for Ibadan and Lagos. The findings of this study have relevant policy implications for forecasting, agricultural planning, relating precipitation variability in Nigeria with standard climate drivers, as well as for disaster or risk reduction in the context of climate change, global warming and migration in the post-pandemic era.
Revista:
SOCIAL INDICATORS RESEARCH
ISSN 0303-8300
Vol. 155
Año 2021
Págs.563 - 581
This paper examines income poverty in Africa by looking at the time series properties of the series corresponding to the household consumer expenditures in 53 African countries. Using fractional integration the results indicate that the series are highly persistent, displaying orders of integration in the interval (0, 1) in some countries or values equal to or higher than 1 in some others. The main implication of the empirical findings is that long term policies aimed at addressing income poverty in the continent such as the policies on expansion of infrastructure and social amenities will have have long-lasting effects on poverty reduction.
Revista:
INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE
ISSN 1059-0560
Vol. 72
Año 2021
Págs.175 - 190
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.
Revista:
JOURNAL OF ECONOMIC INTEGRATION
ISSN 1225-651X
Vol. 36
N° 2
Año 2021
Págs.185 - 202
This paper investigates if financial markets in emerging Asia have become more globally or regionally integrated since the Asian financial crisis in the late 1990s. It employs a price-based measure of integration, namely, stock return differentials, between 10 emerging Asian economies and the United Stated (US) (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean reversion and draw inferences regarding financial integration. This paper makes a three-fold contribution to the literature. It uses not only aggregate but also industry-level data on stock returns, it examines the impact of the 2008 crisis, and it adopts a more general fractional integration approach. The evidence suggests that in emerging Asia, on both the aggregate and industry (especially for the financial sector) levels, there is more regional than global integration, and that the former became even stronger during the post-2008 crisis period. Furthermore, Japan's influence has been declining and the Chinese stock market has become more integrated, both regionally and globally.
Revista:
FRONTIERS IN PHYSICS
ISSN 2296-424X
Vol. 9
Año 2021
Págs.797402
Global mean sea level data are examined in this work by looking at the presence of time trends in the context of long memory or long range dependent processes. By looking at both seasonal signals retained and seasonal signals removed data from 1992 to 2020, the results show that the two series display significant time trend coefficients and high levels of persistence.
Revista:
REVIEW OF DEVELOPMENT FINANCE
ISSN 1879-9337
Vol. 11
N° 1
Año 2021
Págs.26 - 34
Is lithium affecting business strategies in the sector? We employ methodologies based on Continuous Wavelet Transform (CWT) and fractional integration and cointegration vector autoregressive models (FCVAR) models to analyze how lithium prices influence mergers and acquisitions (M&A) in the lithium industry over the world. The univariate and the multivariate results obtained using long memory methods support the nonstationary nature of the data, but they seem to be linked in the long-term through a fractional cointegrated relationship. In addition, analysis in the time-frequency domain indicates that both series are highly correlated from 2015 to 2017, finding that the lithium prices explain the M&A behavior after mid-2016 until early 2017.
Revista:
OECONOMIA COPERNICANA
ISSN 2083-1277
Vol. 12
N° 4
Año 2021
Págs.863 - 888
Research background: China's economic growth, however remarkable, is due to the Harrod-Domar nature of economic growth and, therefore, limited. The main limitation lies in the extension of the neoclassical growth model and the government need to decrease regional disparities using new migration, urbanization and social policy. Purpose of the article: It is the rising regional disparity in the total factor productivity to cause the income inequality increase (measured by GINI index) in China from 1952-2017. Our paper brings new insight into the main inequality determinants and causes in China, using a fractional integration modeling framework. Methods: Using fractional integration, we find total factor productivity (TFP), real gross domestic product per capita and growth and expenditures for the social safety net and employment effort to have a statistically significant impact on GINI. Income inequality in China is of a persistent nature with the effects of the shocks affecting the GINI index enduring over time. Findings & value added: The results of this study highlight the importance for model/policy changes by the policy makers and practitioners in China to deal with the inequality issue. This involves improving the growth model through innovation and technological advancement, relaxing TFP dependence on the physical inputs (labor and capital) to reduce income inequality.
Revista:
JOURNAL OF RISK AND FINANCIAL MANAGEMENT
ISSN 1911-8066
Vol. 14
N° 12
Año 2021
The economic literature provides evidence that inflation rates can co-move across nations because of a host of reasons, ranging from low frequency changes in monetary policy to similar high frequency shocks. Hence, this paper investigates inflation rate co-movements between nine (9) African countries and their bilateral linkages with five (5) developed economies using continuous wavelets at different time scales or frequencies. Specifically, we examine the coherency and the phase relationship in time-frequency space in inflation rates of the selected countries. Several findings are documented. First, inflation rates co-movements in the nine African countries are time varying, multi-scale, and characterized by structural breaks. In addition, we find that inflation co-movements across countries in the Africa sub-region is weak at low frequencies. Furthermore, we find evidence of inflation co-movement between Africa and developed economies, suggesting that central banks and policy-makers in Africa need to monitor international price developments, and analyze their implications for their domestic economies. Second, we find that inflation rates in the selected African countries explain, on average, almost 80% of their own inflation variance over the whole sample period. Spillover analysis reveals that China and Canada account for a greater percentage of inflation variation in Africa.
Revista:
INTERNATIONAL ECONOMICS
ISSN 2110-7017
Vol. 167
Año 2021
Págs.29 - 38
Existing empirical evidence on the effect of inflation-targeting on inflation volatility is, at best, mixed. However, comparing inflation volatility across alternative monetary policy regimes, i.e., pre- and post-inflation-targeting, begs the question. The question is not whether the volatility of inflation has changed, but instead whether the volatility is different than it otherwise would have been. Given this, our paper uses the cosine-squared cepstrum to provide overwhelming international evidence that inflation targeting has indeed reduced inflation volatility in 22 out of the 24 countries considered in our sample of established inflation-targeters, than it would have been the case if the central banks in these countries did not decide to set a target for inflation.
Revista:
RESOURCES POLICY
ISSN 0301-4207
Vol. 72
Año 2021
Págs.102040
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.
Autores:
Barani, S. (Autor de correspondencia); Cristofaro, L.; Taroni, M.; et al.
Revista:
FRONTIERS IN EARTH SCIENCE
ISSN 2296-6463
Vol. 9
Año 2021
Págs.563649
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.
Revista:
APPLIED ECONOMICS
ISSN 0003-6846
Vol. 53
N° 13
Año 2021
Págs.1572 - 1584
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.
Revista:
FINANCE RESEARCH LETTERS
ISSN 1544-6123
Vol. 41
Año 2021
Págs.101865
Global financial markets experienced distinct collapses during the global financial crisis in 2008 and the COVID-19 pandemic in 2020, and similarity in the underlying nature is still a hot topic to be investigated. This paper investigates their degree of persistence in order to detect whether the shocks affecting them have temporary or permanent effects by examining the closing prices of the Shanghai and Shenzhen Composite Indices from 1991 to 2020. The results before the coronavirus indicate large degrees of persistence with shocks having permanent effects, while during the coronavirus the results indicate a mean reversion with shocks having temporary effects.
Revista:
AIR QUALITY, ATMOSPHERE AND HEALTH
ISSN 1873-9318
N° 14
Año 2021
Págs.1097 - 1102
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.
Revista:
URBAN STUDIES
ISSN 0042-0980
Vol. 58
N° 1
Año 2021
Págs.53 - 72
This paper provides a new and unique look at the dynamics and persistence of historical house prices in the USA and the UK using fractional integration techniques not previously applied to housing markets. Unlike previous research, we consider two components of persistence of house prices: the component associated with the long-run trend and the component associated with the cycle. We find evidence of cyclical and long-run persistence in the UK housing markets. In contrast, we fail to find evidence of cyclical persistence for the USA. For the sub-samples, which account for a structural break in each series, an important difference is the asynchronous pattern of the breaks, an indication of heterogeneity in the house price dynamics of the two countries and a sign that national rather than global events have played an important role. Although the house price movements of the last decade are dramatic, the greatest structural changes in the overall nominal and real price dynamics of the UK and the USA appear to have taken place much earlier, in the late 1970s and early 1980s in the UK and in the mid-1950s and early 1970s in the USA. An important result, common to the whole and sub-samples, is that long-run persistence plays a greater role than cyclical persistence in explaining the dynamics of house prices in both countries. These findings have substantial implications for policy decisions.
Revista:
ECOLOGICAL INDICATORS
ISSN 1470-160X
Vol. 123
N° 107372
Año 2021
This paper deals with the analysis of the degree of persistence and non-stationarity in the built-up land footprint time series referring to 89 countries all over the world. Using long memory and fractional integration methods the results indicate the existence of positive trends in 57 of the countries examined, while 7 series display negative trends. Dealing with persistence we observe a large of degree of heterogeneity across countries, with some countries displaying short memory patterns, while others showing orders of integration significantly higher than 1.
Revista:
SCIENCE OF THE TOTAL ENVIRONMENT
ISSN 0048-9697
Vol. 751
N° 141594
Año 2021
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.
Revista:
JOURNAL OF ECONOMICS AND FINANCE
ISSN 1055-0925
Vol. 45
N° 3
Año 2021
Págs.413 - 427
This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers different time horizons (2, 5 and 10 years) and frequencies (monthly and weekly). The empirical findings in most cases imply that the market risk premium is a highly persistent variable which can be characterized as a random walk process, whilst its volatility is less persistent and exhibits stationary long-memory behaviour. There is also evidence that in the case of the US the degree of persistence has changed as a results of various events; this is confirmed by both endogenous break tests and the associated subsample estimates. Market participants should take this evidence into account when designing their investment strategies.
Revista:
APPLIED ECONOMICS
ISSN 0003-6846
Vol. 53
N° 43
Año 2021
Págs.5018 - 5027
This paper investigates the degree of persistence of the private debt-to-GDP ratio in 43 OECD countries by estimating the fractional integration parameter of each series. Almost all of them are found to be highly persistent, with orders of integration around or above 1. The only exception is Argentina, where the series appears to be mean-reverting. These results highlight the key importance of macroprudential policy as one of the pillars of macro policy.
Revista:
ENVIRONMENTAL MODELING AND ASSESSMENT
ISSN 1420-2026
Vol. 26
N° 4
Año 2021
Págs.497 - 509
Anthropogenic methane emission is the most important greenhouse gas, after CO2 emission. However, various aspects of methane emission have not been adequately examined in the existing literature including its persistence, methane emission, which is a measure of the extent to which short-term shocks (resulting from new government initiatives) are able to generate permanent future changes. It is important to determine the persistence of methane emissions. The existence of persistence of methane emissions implies that any temporary shock will have a permanent impact on methane emissions and the methane emission level will not move back to its steady long-term growth path. The persistence of the methane emissions in a group of 36 OECD countries has been examined in this work for the time period 1750-2014 using techniques based on fractional integration. This allows us to determine the degree of persistence of the series and the potential presence of trends in the data. Our results indicate that all series are highly persistent, with orders of integration above 1 in the majority of the cases. Linear (positive) trends are observed in approximately half of the cases. One of the implications of these findings is that policies designed for decreasing methane emissions will have a long-term impact in these countries. The methane emission policies include improvement in the equipment employed to generate, store and convey natural gas and oil; changing manure management policies; modifications to animal feeding strategies and introduction of emission controls that capture landfill methane.
Revista:
INTERNATIONAL JOURNAL OF ENVIRONMENTAL RESEARCH
ISSN 1735-6865
Vol. 15
N° 4
Año 2021
Págs.701 - 708
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.
Revista:
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
ISSN 1057-5219
Vol. 74
Año 2021
Págs.101678
The finance literature provides substantial evidence on the dependence between international bond markets across developed and emerging countries. Early works in this area were based on linear models and multivariate GARCH models. However, based on the limitations of these models this paper re-examines the non-linearity, multivariate and tail dependence structure between government bond markets of the US, UK, Japan, Germany, Canada, France, Italy, Australia and the Eurozone, from January 1970 to February 2019 using ARMA-GARCH based pair-copula models. We find that the bond markets in our sample tend to have both upper tail dependence in terms of positive shocks and lower tail dependence in terms of negative shocks. The estimated C-vine shows Eurozone has the highest average dependency. The D-vine, with optimal chain dependency structure shows the best order of connectedness to be the UK, the USA, Italy, Japan, Eurozone, France, Canada, Germany and Australia. The R-vine copula results underline the complex dynamics of bond market relations existing between the selected economies. The estimated R-vine shows Eurozone, Germany and Australia are the most inter-connected nodes. The multivariate distribution structure (interdependency) of bond markets for all countries were modelled with the C-vine, D-vine and R-vine copulas. In this application, the R-vine copula allows for detailed modelling of all bond markets and hence provides a more accurate goodness of fit and mean square error for the interdependency between all markets. In light of the changing volatility in bond markets, we conduct additional tests using time-varying copulas and find that the dependence structure among the bond markets examined is time-varying with the dynamic dependence parameter plots revealing that the nature of the dependence structure is intense during crisis periods.
Revista:
IATSS RESEARCH
ISSN 0386-1112
Vol. 45
N° 3
Año 2021
Págs.317 - 325
Traffic accidents involve great costs both at an economic and a human level. This demands that governments implement strategies to reduce their number and impact. The knowledge of the nature of the phenomenon through the study of time series of accidents enables the design of suitable policies for the desired objectives to be achieved. Thus, this paper deals with the analysis of the statistical properties of the number of road accidents on Spanish roads by using time series techniques based on the concept of fractional integration. The results indicate that the series examined display very low degrees of persistence, with the orders of integration being around 0 and thus showing a short memory pattern. This implies that shocks will be transitory, disappearing fast, and requiring strong policy measures in the case of positive shocks that reduce the number of deaths if we want to maintain that effect in the long run.
Revista:
ENERGY
ISSN 0360-5442
Vol. 232
Año 2021
Págs.121034
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.
Revista:
JOURNAL OF APPLIED STATISTICS
ISSN 0266-4763
Vol. 48
N° 13 - 15
Año 2021
Págs.2542 - 2559
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.
Revista:
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN 0378-4371
Vol. 568
Año 2021
Págs.125698
In the wake of the recent global financial crisis, Arab spring, serial crises in the Eurozone, and ongoing trade wars among the leading countries in the world, concerns about economic policy uncertainty have heightened. However, there are several aspects of economic policy uncertainty that have not been adequately researched including the persistence of the series. The examination of the persistence of economic policy uncertainty is important. For instance, the size of the uncertainty' persistence will determine how big the negative effect of an uncertainty shock is on the financial market as well as on the economy. This paper deals with the analysis of economic policy uncertainty for 23 countries, which include developed and developing ones. We focus on persistence by using fractional integration. This is a more general approach than the standard methods based on integer differentiation. The results indicate that the orders of integration are in the interval (0, 1) in all countries, implying long memory and mean reverting behaviour. Thus, shocks will have temporary though long lasting effects. Nevertheless, substantial differences are observed across the countries. (C) 2020 Elsevier B.V. All rights reserved.
Revista:
INTERNATIONAL JOURNAL OF CLIMATOLOGY
ISSN 0899-8418
Vol. 41
N° 9
Año 2021
Págs.4619 - 4636
This paper looks at the level of persistence in the temperature anomalies series of 114 European cities. Once this level of persistence has been identified, the time trend coefficients are estimated and the results indicate that most of the series examined display positive trends, supporting thus climate warming. Moreover, the results obtained confirm the hypothesis that long-memory behaviour cannot be neglected in the study of temperature time series, changing, therefore, the estimated effect of global warming.
Revista:
TOURISM ECONOMICS
ISSN 1354-8166
Vol. 27
N° 4
Año 2021
Págs.614 - 625
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.
Revista:
THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
ISSN 1062-9408
Vol. 51
Año 2020
Págs.100848
In their seminal work, Baillie and Bollerslev (1994) carried out an analysis of deviations from the cointegrating relationship of seven important exchange rates. They suggested that the exchange rate series possess long memory and therefore such processes could be well described as fractionally integrated processes. Hence, the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons. In this work we analyze the cointegrating structure of five exchange rates to the US dollar, namely the British pound, the Euro, the Swedish Krona, the Canadian Dollar and the Swiss Franc. The series possess long memory and we show that they can be modeled through fractional integration. In fact, standard cointegration is rejected with the more traditional Johansen CVAR methodology. By using the recently introduced Fractionally Cointegrated VAR by Johansen and Nielsen (2012) we provide a cointegrating relationship taking into account fractional integration.
Revista:
THEORETICAL AND APPLIED CLIMATOLOGY
ISSN 0177-798X
Vol. 142
N° 1-2
Año 2020
Págs.103 - 115
The poor air quality in the London metropolis has sparked our interest in studying the time series dynamics of air pollutants in the city. The dataset consists of roadside and background air quality for seven standard pollutants: nitric oxide (NO), nitrogen dioxide (NO2), oxides of nitrogen (NOx), ozone (O-3), particulate matter (PM(10)and PM2.5) and sulphur dioxide (SO2), using fractional integration to investigate issues such as persistence, seasonality and time trends in the data. Though we notice a large degree of heterogeneity across pollutants and a persistent behaviour based on a long memory pattern is observed practically in all cases. Seasonality and decreasing linear trends are also found in some cases. The findings in the paper may serve as a guide to air pollution management and European Union (EU) policymakers.
Revista:
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN 0378-4371
Vol. 541
Año 2020
Págs.123705
This paper deals with the analysis of the world, OPEC and non-OPEC oil production by testing the degree of persistence of the series throughout fractional integration. The analysis is relevant in the sense that it allows us to determine if shocks in the series have permanent or transitory effects. The results indicate evidence of mean reversion in the three series, especially for the world and OPEC production. We also notice evidence of multiple breaks though the degree of persistence seems to be relatively stable across the subsamples, with most of the values in the range [0.5, 1) implying non-stationary and mean reverting behavior. (C) 2019 Elsevier B.V. All rights reserved.
Revista:
ENERGY
ISSN 0360-5442
Vol. 195
Año 2020
Págs.116933
Despite the rising profiles of both shale oil and shale gas plays in the U.S. and the importance of testing for their persistence, no study has examined the persistence of the availability of shale oil and shale gas plays in the country. This paper focuses on the analysis of shale oil and shale gas production using long range dependence techniques in the U.S. for the period, January 2000 to April 2019. The empirical findings illustrate that the series examined are highly persistent, finding very little evidence of mean reverting patterns. Among the implications of the results, which are discussed in the paper, is that there is a hysteresis in shale oil and gas production in U.S., and therefore shocks resulting from new government policies relating to shale oil and gas in U.S. will have lasting impacts on their production. Besides, it will not be feasible to use forecasting as a basic instrument for unconventional energy sources as the previous values of shale oil and gas production cannot be utilised to accurately forecast their subsequent values. (C) 2020 Elsevier Ltd. All rights reserved.
Revista:
APPLIED ECONOMICS
ISSN 0003-6846
Vol. 52
N° 57
Año 2020
Págs.6171 - 6182
We analyse bilateral linkages between Central Bank Policy Rates in Africa and the US, the UK, Japan, Canada, China and the Eurozone using fractional integration and cointegration. Univariate analysis documents evidence of higher than 1 integration for the African countries. For the developed countries, the orders of integration are also above 1 in all markets except for Japan. On bivariate relationships among the countries, we find evidence of cointegration in a number of cases. The article reinforces the view that it will be difficult for many African countries to pursue independent monetary policies that do not consider global policy rate developments.
Revista:
APPLIED ECONOMICS
ISSN 0003-6846
Vol. 52
N° 22
Año 2020
Págs.2339 - 2352
The structure of the nominal exchange rates in South Africa is examined by using fractional integration. We investigate the levels and the volatilities against the US dollar, the British pound, the Euro, the Japanese yen, the Chinese yuan, the Australian dollar, and the Botswanan pula. The results indicate that most series are unit root, I(1) and though there is some evidence of mean reversion, the orders of integration are close to 1, implying high levels of persistence. However, there is evidence of mean reversion for Bostwana Pula in various subsamples. For the volatilities, the stationary long memory is observed in all cases.
Revista:
ECONOMIC PAPERS
ISSN 0812-0439
Vol. 39
N° 2
Año 2020
Págs.162 - 166
This note examines the degree of persistence of UK inflation by applying fractional integration methods to historical data spanning the period 1210-2016; the chosen approach is more general than the popular ARMA models based on the classical I(0) vs. I(1) dichotomy. The full-sample results do not suggest that UK inflation is a persistent process; however, the recursive analysis indicates an increase in the degree of persistence in the 16th century and more recently after WWI and in the last quarter of the 20th century. On the whole, monetary and exchange rate regime changes do not appear to have had a significant impact on the stochastic behaviour of inflation if one takes a long-run, historical perspective.
Revista:
INTERNATIONAL JOURNAL OF CLIMATOLOGY
ISSN 0899-8418
Vol. 40
N° 15
Año 2020
Págs.6603 - 6611
This paper deals with the analysis of the relationship between CO2 emissions and temperatures. For this purpose, global CO2 emissions and four measures of global temperatures (land, land and ocean, northern and southern temperatures) are used. We used techniques based on fractional integration and cointegration. The results indicate first that the orders of integration differ in the two variables. Thus, while emissions are I(1) or I(d) with d higher than 1, temperatures display orders of integration strictly smaller than 1 and thus invalidating the hypothesis of cointegration between the two variables. Due to this, another approach is conducted where we suppose that the emissions are weakly exogenous in relation to the temperatures. The results using this approach show a significantly positive relationship between the two variables with a long memory pattern.
Revista:
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN 0378-4371
Vol. 540
Año 2020
Págs.123093
Using annual data spanning the period of 1258-2018, we test the safe haven characteristic of gold in the wake of global crises. We find that, when we allow for regime-switching to capture nonlinearity and structural breaks, gold serves as a strong hedge against crises, especially during the bullish regime of the market, and in particular from the however, does not seem to possess the safe haven property over the historical period of 1688-2018. Finally, we also find that global crises can accurately predict real gold returns over a long-span (1302-2018) out-of-sample period. (C) 2019 Elsevier B.V. All rights reserved.
Revista:
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
ISSN 0275-5319
Vol. 52
Año 2020
This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically, monthly, weekly and daily data on the following five European stock market indices are analysed: DAX30 (Germany), FTSE100 (UK), CAC40 (France), FTSE MIB40 (Italy) and IBEX35 (Spain). In all cases, the order of integration of the range is lower than that of the original series, which implies the existence of a long-run equilibrium relationship between high and low prices. Further, multiple breaks are found in the high and low-price series but no breaks in the range, and the estimated fractional differencing parameter is positive in all cases, which represents evidence of long memory.
Revista:
INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE
ISSN 1059-0560
Vol. 69
Año 2020
Págs.93 - 101
This paper investigates BRICS markets' integration and segmentation between real estate indices and stock indices, and the possibility of establishing "wealth" and "credit" effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional integration and cointegration and Granger causality. This allows us to look at market efficiency and bi-directional long-run equilibrium relationships between the two variables in the five countries. The results indicate that all the series are highly persistent, with orders of integration around 1 implying the possibility of markets to be efficient. However, we do not find any evidence suggesting long run equilibrium relationships between the real estate stock indices and the stocks indices. Meanwhile, causality is bi-directional in the case of South Africa, thus both "wealth effect" and "credit effect" exist, while only "credit effect" is established in India and Russia.
Revista:
JOURNAL OF APPLIED METEOROLOGY AND CLIMATOLOGY
ISSN 1558-8424
Vol. 59
N° 8
Año 2020
Págs.1351 - 1367
This paper focuses on the analysis of the time series behavior of the air quality in the 50 U.S. states by looking at the statistical properties of particulate matter (PM10 and PM2.5) datasets. We use long daily time series of outdoor air quality indices to examine issues such as the degree of persistence as well as the existence of time trends in data. For this purpose, we use a long-memory fractionally integrated framework. The results show significant negative time trend coefficients in a number of states and evidence of long memory in the majority of the cases. In general, we observe heterogeneous results across counties though we notice higher degrees of persistence in the states on the west with respect to those on the east, where there is a general decreasing trend. It is hoped that the findings in the paper will continue to assist in quantitative evidence-based air quality regulation and policies.
Revista:
APPLIED ECONOMICS LETTERS
ISSN 1350-4851
Vol. 27
N° 10
Año 2020
Págs.831 - 835
Researchers utilizing the U.S economic policy uncertainty index and its sub-categories need to be cognizant of the unique persistence profile of each index. We use fractional integration techniques to estimate the degree of persistence in the U.S. economic policy uncertainty index and its 11 sub-categories. The results indicate the estimated values of the differencing parameter, d, are in the interval (0, 1) supporting fractional integration and rejecting the classical models based on stationarity (d = 0) or unit roots (d = 1). Though there is a fair amount of heterogeneity across indices, shocks will be persistent, but mean reverting.
Revista:
REVIEW OF DEVELOPMENT FINANCE
ISSN 1879-9337
Vol. 10
N° 2
Año 2020
Págs.31 - 37
Lithium has a strategic role as a natural resource as more and more clean technologies emerge. This paper aims to analyze the time-series properties of the mergers and acquisitions (M&A) activity in the behavior of the lithium sector, applying statistical methods based on long memory and fractional integration models. Our results indicate that the series has a long memory and fractionally integrated behavior with an order of integration strictly smaller than 1, thus we can conclude that the impacts will be transient and are expected to disappear on their own in the long term.
Revista:
EMPIRICAL ECONOMICS
ISSN 0377-7332
Vol. 58
N° 4
Año 2020
Págs.1491 - 1511
We consider two important features of the historical US price data (1774-2015), namely the data's persistence and cyclical structure. We first consider the persistence of the series and focus on standard long-memory models that incorporate a peak at the zero frequency. We examine different models with respect to the deterministic terms, including nonlinear deterministic trends of the Chebyshev form. Then, we investigate a more general model that includes both persistence and cyclicality of the series and, thus, includes two fractional integration parameters, one at the zero (long-run) frequency and the other at the nonzero (cyclical) frequency. We model the cyclical structure as a Gegenbauer process. This specification outperforms the standard long-memory specifications. We find that the order of integration at the zero frequency is about 0.5, and the one at the cyclical frequency is about 0.2 with cycles repeating approximately every 6 years, producing mean-reverting long-memory effects at both the zero and cyclical frequencies. Fitting the values to this model, however, we discover the presence of a break that, according to the methods employed, takes place at around 1940-1941. The results indicate the prevalence of the long-run or zero component with a much higher degree of persistence during the second post-1940-1941 subsample, suggesting important implications for monetary policy.
Revista:
INTERNATIONAL ADVANCES IN ECONOMIC RESEARCH
ISSN 1083-0898
Vol. 26
N° 3
Año 2020
Págs.303 - 315
Infant mortality rates in 34 Sub-Saharan African countries (1960-2016), obtained from the Federal Reserve Bank of St. Louis database, were examined in this paper by focusing on the degree of persistence and non-linearities in the growth rate series. Persistence deals with the degree of association between the observations. Non-linearity occurs when departing from the linear assumption as in a time trend. These two issues are relevant in this context because they are intimately related. Based on the high degree of persistence observed in the series examined, instead of investigating structural breaks, which produce abrupt changes in the data, a non-linear approach was used based on Chebyshev polynomials in time, producing smooth rather than abrupt changes. This approach has never been examined in a unified framework in the treatment of infant mortality rates. The results indicate that half of the countries examined display non-linearities and the orders of integration of the series are extremely large in all cases, being around two in the majority of them. Looking at the growth rate series, significant negative trends were observed for: Chad, Equatorial Guinea and Mozambique. Evidence of mean reversion and thus transitory shocks, were observed for Lesotho, Rwanda, Botswana and Mozambique. Time dynamics of the series were expected to persist in order to ascertain the decline in mortality rates. Therefore, serious government interventions are required in managing infant health in these countries.
Revista:
RESOURCES POLICY
ISSN 0301-4207
Vol. 69
Año 2020
Págs.101857
This paper deals with the analysis of silver prices and the influence of solar energy on its behaviour. For this purpose, the analysis uses long memory methods based on fractional integration and cointegration. The results indicate that the two variables are very persistent, though any long run equilibrium relationship between them is not observed. Nevertheless, the results illustrate some short-run negative effects from solar energy capacity on silver prices.
Revista:
SOCIAL INDICATORS RESEARCH
ISSN 0303-8300
Vol. 147
N° 3
Año 2020
Págs.825 - 841
This paper deals with the analysis of the misery index in a group of 55 African countries by using fractional integration or I(d) techniques. In doing so, we can measure the degree of persistence of the index in a more flexible way than with other methods that simply use integer degrees of differentiation (zero or one). Our results indicate a large degree of heterogeneity across the countries, with some showing short memory behaviour (d = 0); others long memory mean reverting behaviour (0 < d < 1) and others indicating the presence of unit roots (d = 1). Thus, shocks will have different effects depending on the country examined. Generally, we also find a positive relationship between the levels of persistence and income.
Revista:
THE QUARTERLY REVIEW OF ECONOMICS AND FINANCE
ISSN 1062-9769
Vol. 77
Año 2020
Págs.50 - 61
This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no evidence of non-linearities in either prices or returns; the former are found to exhibit unit roots and the latter to be I(0) in most cases. Further, between 2 and 4 structural breaks are found for each of the return series, and mean reversion in some subsamples. (C) 2020 The Author(s). Published by Elsevier Inc. on behalf of Board of Trustees of the University of Illinois.
Revista:
TOURISM ECONOMICS
ISSN 1354-8166
Vol. 28
N° 3
Año 2020
Págs.654 - 660
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.
Revista:
SOUTH AFRICAN JOURNAL OF ECONOMICS
ISSN 0038-2280
Vol. 88
N° 2
Año 2020
Págs.174 - 185
This paper examines generalised purchasing power parity (G-PPP) and business cycle synchronisation in the East Africa Community with the aim of assessing the prospects for a monetary union. The univariate fractional integration analysis shows that the individual series exhibit unit roots and are highly persistent. The fractional bivariate cointegration tests suggest that there exist bivariate fractional cointegrating relationships between the exchange rate of the Tanzanian shilling and those of the other EAC countries, and also between the exchange rates of the Rwandan franc, the Burundian franc and the Ugandan shilling. The Fractionally Cointegrated Vector AutoRegressive (FCVAR) results imply the existence of a single cointegrating relationship between the exchange rates of the EAC countries. On the whole, there is evidence in favour of G-PPP. In addition, there appears to be a high degree of business cycle synchronisation between these economies. On both grounds, one can argue that a monetary union should be feasible.
Revista:
EMPIRICA
ISSN 0340-8744
Vol. 47
Año 2020
Págs.181 - 204
In this paper we aim to analyse the degree of mean reversion of public expenditure, revenue and the difference between them, over GDP for 27 European Union (EU) countries. To gain flexibility in the analysis of the order of integration of the variables we apply fractional integration techniques. In general, we find evidence of mean reversion in all countries.
Revista:
APPLIED ECONOMICS
ISSN 0003-6846
Vol. 52
N° 5
Año 2020
Págs.459 - 474
Full employment remains at the center of any economic policy. Following Okun's conclusion regarding the trade-off relation between unemployment and real gross national product growth, new studies on different aspects of variable and methodological issues have brought new light to the theory. The purpose of this paper is to investigate the unemployment/GDP relationship, i.e. Okun's Law, in order to test the basic Okun's assumption taking into account modern economic circumstances and new methodological specifications. This study analyzes the series for 24 selected countries using fractionally integrated methods. Using these techniques, the results substantially change across countries and also depending on the specification of the error term. Unemployment and output growth rates series show some degree of long memory behavior for most countries while the stability of Okun's coefficient is also challenged since it changes drastically. Estimated gaps are quite high, not only for -0.30 standard coefficient values but also when compared with other studies' results. Policy makers can be assisted with these techniques in their efforts to design optimal economic policy to achieve full employment.
Revista:
RISKS
ISSN 2227-9091
Vol. 8
N° 4
Año 2020
Págs.130
According to a statement made in the BP Energy Outlook report in 2017, most of the world's liquid fuel (petroleum) is being consumed by the transportation industry. The mechanisms used to stimulate changes in the energy markets are affected by government policies that act in more ambitious ways than purely market-driven forces; different governments have promoted incentives involving electric mobility, especially in urban areas. The substitution for crude oil by renewable energy inputs in the transport sector is a major concern for oil producers. Among the different types of clean energies, lithium (Li) is currently assuming an increasingly strategic role. The goals of this paper are two-fold: First, we study the dynamics of the lithium industry and then the beta risk behavior of the 10 largest oil companies in the world for the time period between 11 February 2008 and 10 January 2019. We use an approach based on the continuous wavelet transform (CWT) method. The results indicate that there is a period of dependence between late 2013 and 2016 that occurs in the long-run frequencies of between 32 and 198 days for all cases, except for in the case of PetroChina, thereby demonstrating that the beta term is time-varying. We also find evidence that the beta term reflects and advances oil companies' responsiveness to movements in the lithium market. In the second part of the paper, we study the dynamics of the beta series by using long-run dependence approaches. The results indicate that the betas are highly persistent, with the order of integration found to be significantly above 1 in all cases.
Revista:
ENERGY STRATEGY REVIEWS
ISSN 2211-467X
Vol. 31
Año 2020
Págs.100522
Slow economic recovery, market concentration, and scant alternative energy sources make the Iberian energy market quite idiosyncratic when compared to the rest of the EU. This paper focusses on the Iberian energy market by dealing with the analysis of the relationship between energy consumption and energy prices by using fractional integration in the Iberian market. This technique is used in order to examine the degree of persistence of the series, looking at the spot and futures markets in Spain and Portugal. The results indicate that all the series are fractionally integrated, showing long memory and mean reverting behaviour. Moreover, a close relation between energy consumption and energy prices is found in the spot market whereas it is not found in the futures market. In fact, there is a weak relationship between the futures market and energy consumption. However, regarding energy pricing, the relationship is stronger but with the spot market itself.
Revista:
APPLIED ECONOMICS
ISSN 0003-6846
Vol. 52
N° 46
Año 2020
Págs.5077 - 5087
Issues such as seasonality, persistence and trends are examined in the series referring to the number of UK arrivals and departures using techniques based on fractional integration. This methodology is much more flexible than others based on integer degrees of differentiation and permits us to describe in a more general way the effects of shocks in the series. Our results indicate that the series display significant time trends; they show high persistence with orders of integration in the fractional range, thus showing long-lasting effects of shocks; seasonality is an important issue, and in removing the seasonality through seasonal differentiation, the time trends disappear though persistence remains as a relevant feature of the data. Policy implications of the results obtained are displayed at the end of the article.
Revista:
SOCIAL INDICATORS RESEARCH
ISSN 0303-8300
Vol. 152
N° 3
Año 2020
Págs.1177 - 1196
The paper examines the relationship between the unemployment rate and the fertility rate in a number of European countries along with Japan and the US. We use fractional integration and cointegration techniques to establish this long run relationship. The analysis shed some light on the degree of persistence of the series, and on whether policy actions are required for highly persistent series. The evidence suggests that these two variables (unemployment and fertility rates) are not related in the long run. However, in the short run, assuming that unemployment rate is weakly exogenous, the coefficient relating the two variables is found to be negative in four countries: the Netherlands, Portugal, Spain and the US.
Revista:
INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE
ISSN 1059-0560
Vol. 69
Año 2020
Págs.680 - 691
This paper deals with the analysis of volatility persistence in 12 main cryptocurrencies (Bitcoin, Bitshare, Bytecoin, Dash, Ether, Litecoin, Monero, Nem, Ripple, Siacoin, Stellar and Tether) taking into account the possibility of structural breaks. 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 cryptocurrency market. The evi-dence of persistence in volatility imply that market participants who want to make gains across trading scales need to factor the persistence properties of cryptocurrencies in their valuation and forecasting models since that will help improve long-term volatility market forecasts and optimal hedging decisions.
Revista:
FINANCE RESEARCH LETTERS
ISSN 1544-6123
Vol. 32
Año 2020
This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility indices (namely the originally created RTSVX and the new RVI that has replaced it) using daily data over the period 2010-2018. The empirical findings are consistent and imply in all cases that the two series are mean-reverting, i.e. they are not highly persistent and the effects of shocks disappear over time. This is true regardless of whether the errors are assumed to follow a white noise or autocorrelated process; this is confirmed by the rolling window estimation, and it holds for both subsamples, before and after the detected break. On the whole, it seems shocks do not have permanent effects on volatility in the Russian stock market.
Revista:
WATER POLICY
ISSN 1366-7017
Vol. 22
N° 6
Año 2020
Págs.1200 - 1216
Time series referring to water prices at different regions all over the world are examined in this paper by using fractionally integrated methods. We look at series corresponding to the following regions: Asia Pacific and Russia, Europe, United States and Latin America as well as global data. The results indicate large degrees of persistence, with the values of the differencing parameter being close to one in all cases and higher under the assumption of uncorrelated errors. If autocorrelation is permitted, a small degree of mean reversion is found in all except the Latin American series. The possibility of structural breaks is also investigated and the results indicate the presence of multiple breaks in the data: three in the case of Latin America and global data; four in Europe and USA and five for the Asian Pacific and Russia. Nevertheless, we do not observe a significant change in the degree of persistence across subsamples and once more mean reversion is found if autocorrelation is permitted.
Revista:
INTERNATIONAL ECONOMICS
ISSN 2110-7017
Vol. 158
Año 2019
Págs.64 - 76
Since recent literature has quantified the persistence of changes in the real exchange rate (RER) using trade-weighted data, in this paper we ask whether the trade-weighted RER is mean reverting. We focus on post-Bretton Woods data for the G7 countries and, after revising the strong correlation between the RER and the nominal exchange rate over that period, we follow a fractional integration approach. We consider different assumptions for the residuals and allow for breaks at unknown dates. We conclude that the nonstationary behaviour of the RER is mean reverting (i.e., it is integrated of order ) for about half of the G7 countries and that allowing for structural breaks affects the test results obtained in absence of breaks but do not invalidate them.
Revista:
APPLIED ECONOMICS LETTERS
ISSN 1350-4851
Vol. 26
N° 13
Año 2019
Págs.1104 - 1110
In this paper, we focus on the stochastic (chaotic) attributes of the US dollar-based exchange rates for Brazil, Russia, India, China and South Africa (BRICS) using a long-run monthly dataset covering 1812M01-2017M12, 1814M01-2017M12, 1822M07-2017M12, 1948M08-2017M12, and 1844M01-2017M12, respectively. For our purpose, we consider the Lyapunov exponents, robust to nonlinear and stochastic systems, in both full - samples and in rolling windows. For comparative purposes, we also evaluate a long-run dataset of a developed currency market, namely British pound over the period of 1791M01-2017M12. Our empirical findings detect chaotic behavior only episodically for all countries before the dissolution of the Bretton Woods system, with the exception of the Russian ruble. Overall, our findings suggest that the establishment of the free floating exchange rate system have altered the path of exchange rates removing chaotic dynamics from the phenomenon, and hence, the need for policymakers to intervene in the currency markets for the most important emerging market bloc, should be carefully examined.
Revista:
ENERGY
ISSN 0360-5442
Vol. 169
Año 2019
Págs.489 - 495
This paper deals with the analysis of persistence in the prices of two technologically important metals, namely, lithium and cobalt. Along with them, we also examine four additional series corresponding to World, European, US and Japanese automobiles and component indices. For this purpose, we use long memory techniques based on fractional integration and cointegration. The results indicate that all the series are highly persistent, though we do not find any evidence supporting long run equilibrium relationships between the variables examined. (C) 2018 Elsevier Ltd. All rights reserved.
Revista:
JOURNAL OF INTERNATIONAL DEVELOPMENT
ISSN 0954-1748
Vol. 31
N° 1
Año 2019
Págs.101 - 116
This paper decomposes the term spread into the expectation and the term premium components using a fractional integration approach and subsequently uses same with the economic policy uncertainty index to forecast the probability of recession in South Africa. We use different specifications of the probit model and quarterly data from 1990:1 to 2012:1. Our out-of-sample results show that the model that incorporates the expectation component and economic policy uncertainty provides the best forecast of recession. All three recession periods in our sample were accurately dictated by the prediction models and the best forecast occurred at the four quarters ahead horizon. A robustness check with a longer sample from 1946q1 to 2017q4 but excluding the factors and economic policy uncertainty due to data limitation provided justification for decomposing the term spread as the model with the expected spread turned out to be the best. We draw the implications of these findings. (c) 2018 John Wiley & Sons, Ltd.
Revista:
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN 0378-4371
Vol. 523
Año 2019
Págs.1227 - 1236
This paper deals with the analysis of the relationship between cryptocurrencies and gold prices. In particular, we use fractional integration and cointegration techniques to examine the degree of persistence of the series and the possibility of short and long run equilibrium relationships between them. Our results indicate that there is evidence of mean reversion in gold prices and also in some of the cryptocurrencies; however, cointegration is only found in a few cases with a very small degree of cointegration in the long run relationship. Testing the hypothesis of convergence throughout the ratios, again we only found evidence of mean reversion in the cases of Bytecoin, Dash, Ether, Monero and Ether. (C) 2019 Elsevier B.V. All rights reserved.
Revista:
EASTERN ECONOMIC JOURNAL
ISSN 0094-5056
Vol. 45
N° 2
Año 2019
Págs.204 - 223
This paper deals with the analysis of the persistence in the inflation rate in Argentina. For this purpose, we use fractionally integrated techniques based on monthly and annual data. The results show evidence of fractional integration and long memory behavior in both cases, being especially noticeable in the case of monthly data with shocks having long-lived effects.
Revista:
JOURNAL OF ECONOMICS AND FINANCE
ISSN 1055-0925
Vol. 43
Año 2019
Págs.398 - 408
This paper investigates the behavior of the inflation rate in Iran for the time period 1992¿2017 using fractional integration. The results indicate an extremely large degree of persistence in the series, with an order of integration of about 2. The consequences of such a degree of dependence are examined in the paper along with some suggestions to reduce it in the future.
Revista:
RESOURCES POLICY
ISSN 0301-4207
Vol. 60
Año 2019
Págs.198 - 202
Understanding the behavior of the lithium supply and the estimated consumption and flows is important for social and economic development. We focus on estimating persistence and for this purpose, we use techniques based on fractional integration. The empirical results provide evidence of mean reversion for the data corresponding to the global lithium production from 1925 to 2014 but not for U.S. lithium-related series such as production (1900-2008), estimated consumption (1900-2014), imports (1960-2015), and exports (1971-2015).
Revista:
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
ISSN 0094-9655
Vol. 89
N° 10
Año 2019
Págs.1763 - 1779
This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory approaches (R/S analysis and fractional integration) for robustness purposes. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true of the stock markets (both developed and emerging) and partially of the FOREX and commodity markets examined. Such evidence against the random walk behaviour implies predictability and is inconsistent with the Efficient Market Hypothesis (EMH), since abnormal profits can be made using trading strategies based on trend analysis.
Revista:
EMERGING MARKETS FINANCE AND TRADE
ISSN 1540-496X
Vol. 55
N° 1
Año 2019
Págs.201 - 217
In this article we have examined the unemployment rate series in Turkey by using long memory models and in particular employing fractionally integrated techniques. Our results suggest that unemployment in Turkey is highly persistent, with orders of integration equal to or higher than 1 in the majority of the cases. This implies lack of mean reversion and persistence of the shocks. We found evidence in favor of mean reversion in the case of female unemployment and this happens for all the groups of non-agricultural, rural, urban, and youth unemployment series. The possibility of nonlinearities are observed only in the case of female unemployment and the degree of persistence is higher in the cases of female and youth unemployment series. Important policy implications emerge from our empirical results. Thus, for example, positive shocks reducing unemployment will have permanent effects being good for the economy, but negative shocks increasing unemployment will also have permanent effects and strong measures should then be adopted to reduce it. Labor and macroeconomic policies will most likely have long-lasting effects on the unemployment rates.
Revista:
INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE
ISSN 1059-0560
Vol. 61
Año 2019
Págs.170 - 178
This paper uses fractional integration/cointegration techniques to examine the stochastic behaviour of long-term interest rates (on government securities with 10-year maturity) in 23 European countries as well as their long-run linkages on a pairwise basis over the period January 2001-February 2018. The results are mixed and sensitive to the (parametric and semi-parametric) estimation methods. Evidence is found for both unit roots and mean reversion in the series analysed. Various rates (especially in the case of smaller economies) appear to be fractionally cointegrated, but interestingly German, French and UK rates are not found to be linked to any other European rates.
Revista:
JOURNAL OF ECONOMICS AND FINANCE
ISSN 1055-0925
Vol. 43
N° 4
Año 2019
Págs.657 - 680
This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, a number of statistical tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so-called ¿inertia anomaly¿. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter cannot be seen as inconsistent with the EMH.
Revista:
THE QUARTERLY REVIEW OF ECONOMICS AND FINANCE
ISSN 1062-9769
Vol. 72
Año 2019
Págs.65 - 72
This paper investigates persistence of income inequality and its major determinants in 26 OECD countries. We use fractional integration and select GDP per capita, inflation and employment as major macroeconomic determinants of income inequality. We find income inequality is highly persistent in all the countries examined. There is a significant long-run equilibrium relationship between GDP growth and income inequality. Our results challenge the standard 'trickle-down' theory finding evidence of a negative and robust relationship between GDP per capita growth and the Gini index. Thus, GDP per capita growth shows large redistributive effects while inflation and employment are statistically insignificant. (C) 2019 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.
Revista:
INTERNATIONAL JOURNAL OF FINANCE AND ECONOMICS
ISSN 1076-9307
Vol. 24
N° 1
Año 2019
Págs.412 - 426
Motivated by the emergence of Bitcoin as a speculative financial investment, the purpose of this paper is to examine the persistence in the level and volatility of Bitcoin price, accounting for the impact of structural breaks. Using parametric and semiparametric techniques, we find strong evidence in favour of a permanency of the shocks and lack of mean reversion in the level series. We also reveal evidence of structural changes in the dynamics of Bitcoin. After accounting for the structural breaks in the level series, evidence of mean reversion is uncovered in some cases. Further analyses show evidence of a long memory in the two measures of volatility (absolute and the squared returns), whereas some cases of short memory are revealed in the squared returns series in particular. Practical implications are discussed on the inefficiency in the Bitcoin market and its importance for Bitcoin users and investors.
Revista:
CARBON MANAGEMENT
ISSN 1758-3004
Vol. 10
N° 4
Año 2019
Págs.405 - 415
The existing studies on persistence of ecological footprint have largely concentrated on the aggregate ecological footprint without adequately considering its components. The aim of this paper is to contribute to the existing papers on ecological footprint by examining the persistence of carbon footprint emissions for a group of 92 countries. Unlike the extant papers, this paper uses fractional integration, which allows the consideration of stationary I(0) and nonstationary I(1) cases as particular models of interest, being therefore more general and flexible than these two classical representations. The results indicate that only 25 of the 92 countries display mean reversion, with orders of integration strictly below 1 and showing transitory shocks, most of them belonging to lower middle- and low-income countries. In these 25 countries it might not be easy to change the long-run path of the carbon footprint as any policy shocks will have temporary effects. The foregoing findings can help policymakers in each nation to design efficient emission-reducing policies.
Revista:
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN 0378-4371
Vol. 514
Año 2019
Págs.345 - 354
This study examines the persistence in gold and silver prices covering the historical periods of 1257 to 2016 and 1687 to 2016 respectively, by means of simultaneously estimating two differencing parameters for the long run trend and the cyclical behavior in a fractional integration framework. As opposed to many previous papers in the literature, once the cyclical differencing parameter is taken into account, mean reversion is detected in the long run trend of both gold and silver prices. The same result is obtained when structural breaks are taken into account. As far as the cyclical behavior of gold and silver prices is concerned, we find that cycles have a higher periodicity for gold (around 7 years) than for silver (4-5 years). (C) 2018 Elsevier B.V. All rights reserved.
Revista:
MANCHESTER SCHOOL
ISSN 1463-6786
Vol. 87
N° 1
Año 2019
Págs.24 - 36
This study examines inflation over one century of data for 29 countries based on fractional integration incorporating nonlinearities to account for structural breaks and asymmetry in the process of inflation. The results suggest that the degree of persistence is that, while there is evidence of long-memory behavior in the inflation rates of 17 countries, barring Russia, none of the remaining 28 countries indicate evidence of unit roots. The result implies that monetary authorities in these countries can play a role in controlling inflation, though the extent of intervention required will tend to vary, with the strongest being in Russia.
Revista:
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
ISSN 0275-5319
Vol. 49
Año 2019
Págs.269 - 281
In this paper we study the presence of rational bubbles in the IGP and IAR real housing stock indexes of Chile during the period 2003:01 to 2016:03 using a methodology based on fractionally integrated and cointegrated processes. Our findings suggest strong evidence in favour of bubbles in the Chilean housing stock market when no breaks are taken into account. Testing for structural breaks, three break dates are detected at 2007, 2011 and 2014, and the same evidence in favour of bubbles holds. This can be explained by the high level of debt of the Chilean people.
Revista:
JOURNAL OF ATMOSPHERIC AND OCEANIC TECHNOLOGY
ISSN 0739-0572
Vol. 36
N° 12
Año 2019
Págs.2257 - 2266
This paper addresses analysis of the global monthly sea surface temperatures using a reconstructed dataset that goes back to 1884. We use fractional integration methods to examine features such as persistence, seasonality, and time trends in the data. The results show that seasonality is a relevant issue, finding evidence of seasonal unit roots. With the seasonal component removed, persistence is also very significant, and, when looking at the data month by month, evidence of significant linear trends is detected in all cases. According to these results, monthly sea surface temperatures increase by between 0.07 degrees and 0.11 degrees C every 100 years.
Revista:
TOURISM MANAGEMENT
ISSN 0261-5177
Vol. 74
Año 2019
Págs.207 - 211
This paper analyzes the structural pattern of Brazilian monthly tourism revenue over the course of 20 years. This research contributes to the literature on the benefits of sports mega-events by showing that in developing countries the benefits derived from them may be jeopardized by economic structural problems reflected in currency fluctuation. Policy implications in terms of a specific tourism exchange rate for developing countries that host mega sport events are derived.
Revista:
CLIMATIC CHANGE
ISSN 0165-0009
Vol. 157
Año 2019
Págs.355 - 364
This paper deals with the analysis of the temperatures in a group of 29 stations located in twelve European countries by looking at the coefficients in a linear time trend regression model and allowing for long memory patterns in the error term. The results indicate that long memory is present in practically all cases, and the time trend coefficients are statistically significant in the majority of the cases implying evidence of increasing warming trends. This pattern is particularly noticeable in the case of several stations located across Italy and France, which might be related with micro climates affecting these regions.
Revista:
INTERNATIONAL ECONOMICS
ISSN 2110-7017
Vol. 159
Año 2019
Págs.140 - 150
This paper revisits the Fisher hypothesis concerning the determination of real rates by estimating fractional integration and cointegration models for nominal interest rates and expected inflation in the G7 countries. Two sets of results are obtained under the alternative assumptions of white noise and Bloomfield (1973) autocorrelated errors respectively. The univariate analysis suggests that the differencing parameter is higher than 1 for most series in the former case, whilst the unit root null cannot be rejected for the majority of them in the latter case. The multivariate results imply that there exists a positive relationship, linking nominal interest rates to inflation; however, there is no evidence of the full adjustment of the former to the latter required by the Fisher hypothesis.
Revista:
INTERNATIONAL REVIEW OF FINANCE
ISSN 1369-412X
Vol. 19
N° 1
Año 2019
Págs.237 - 244
We assess the persistence of the credit¿to¿GDP ratio over more than 130¿years of data for 11 advanced economies, employing an approach based on fractional integration and allowing for nonlinearities. We show how the time series properties of the data changed around World War II (WWII). Moreover, our findings are consistent with the idea that the supply of mortgage loans has been particularly strong since WWII, in the sense that the degree of integration of the leverage ratio obtained with only these loans is larger than that of the ratio obtained with the total loans for almost all the studied countries. Nevertheless, it is generally the case that both types of ratios show a higher degree of integration after WWII than before it, though often insignificantly, and that their time trends are significant only after WWII.
Revista:
ECONOMICS LETTERS
ISSN 0165-1765
Vol. 181
Año 2019
Págs.182 - 185
In this paper, we examine the cyclical structure of the UK inflation rate using historical data dating back to 1210. Based on a methodology that allows for fractional orders of integration at a non-zero frequency and stochastic cycles, the results indicate the presence of cycles that repeat themselves approximately every 4 years and that the order of integration is constrained between 0.10 and 0.20, implying long memory. Moreover, this pattern seems to be stable over time. (C) 2019 Elsevier B.V. All rights reserved.
Revista:
APPLIED ECONOMICS
ISSN 0003-6846
Vol. 51
N° 50
Año 2019
Págs.5482 - 5489
This article deals with the modelling of growth rate time series in Nigeria with a view of detecting its statistical properties, structural breaks and non-linearities. We employ both fractional integration and structural break time series techniques in modelling the annual growth rate series of the Nigerian GDP growth rate for about 55 years. The data span between 1960 and 2017. The results show that Nigerian growth rate is unstable with non-linearities and long-range dependence structures. We also investigate what might explain these features and conclude that erratic political institutions, associated with poor economic management and insecurity in Nigeria, among others, in the decades after independence are the root causes of non-linearities observed, which have also led to the subsequent recent economic recession in Nigeria.
Revista:
THEORETICAL AND APPLIED CLIMATOLOGY
ISSN 0177-798X
Vol. 137
N° 1-2
Año 2019
Págs.61 - 76
In this paper, we examine the statistical properties of rainfall data and temperature in six sub-Saharan African countries in the western, eastern, and southern regions (Botswana, Ethiopia, Ghana, Nigeria, Uganda, and South Africa) using time series data spanning between 1900 and 2012. By using linear trends, seasonality, and long-range dependence models, in fractional or I(d) frameworks, the results first indicate that time trends are required in most cases to explain the time series properties of the climatic series. Evidence of anti-persistence (d<0) or I(0) behavior is found for the rainfall data, while long memory (d>0) is found for the temperature data. Evidence of structural breaks are only found in the cases of Ethiopia, Ghana, and Uganda for the temperature data. With both series displaying significant evidence of seasonality and by working with the seasonally differenced data, the results show evidence of I(0) behavior or anti-persistence (d<0) for the rainfall data but long memory (d>0) for the temperature data. Testing the causality between the two variables, the results indicate evidence of causality in the two directions in all cases except for the case of the temperature on the rainfall in South Africa. The implication of the results obtained here is that erratic or constant rainfall is expected in Africa in the future while temperature is likely to continue to increase, and these subsequently lead to future warming experiences.
Revista:
ENVIRONMENTAL AND RESOURCE ECONOMICS
ISSN 0924-6460
Vol. 73
N° 1
Año 2019
Págs.213 - 228
We analyze the evolution across time of CO2 emissions in the European Union (EU) using advanced econometric techniques in time series analysis. We estimate the time trends along with the orders of integration of series corresponding to global CO2 emissions in EU member states using both parametric and semiparametric methods. The results show that there is a significantly negative trend only in the case of the UK, this being also a country where the trend shows mean reversion. At the other extreme, Spain, Italy, Greece and Bulgaria are some of the countries where CO2 emissions show positive trends and orders of integration that are substantially above unity. Moreover, we examine the CO2 emissions of the EU as a whole, China and the US, finding some support for mean reversion only in the second case. Therefore, there is less urgent need for policy reforms in the U.K. and somehow China than in the rest of the EU or the US.
Revista:
CLIMATE RESEARCH
ISSN 0936-577X
Vol. 79
N° 1
Año 2019
Págs.55 - 62
This paper deals with the analysis of time trends for European average temperature anomalies for the period from 1655 to 2017 using a dataset based on the Central England Temperatures (CET) and other meteorological stations. The reason for this study is to determine first if long memory is present in the data, and then to estimate the time trends in a more rigorous way. The results indicate that the series display long memory behavior. Based on this and using recursive methods, we show that the time trend becomes statistically significant when the data from 2010 onwards is incorporated, indicating the importance of the last few years in the evidence for warming. It should be noted, however, that this last result may be a consequence of the statistical method employed and should, therefore, be treated with caution.
Revista:
TOURISM ECONOMICS
ISSN 1354-8166
Vol. 25
N° 5
Año 2019
Págs.827 - 831
This article analyses seasonality and persistence in the number of UK overseas visitors applying a fractional integration framework to (monthly and quarterly) data from 1986 to 2017. The results indicate that long memory is present in the series and the degree of persistence is higher for seasonally adjusted data, with shocks having transitory but long-lasting effects.
Revista:
INTERNATIONAL JOURNAL OF CLIMATOLOGY
ISSN 0899-8418
Vol. 39
N° 13
Año 2019
Págs.5091 - 5103
This paper investigates the time trend coefficients in the temperatures in 48 US states using monthly data from January 1895 to December 2017, as well as in their anomalies with respect to the base period 1901-2000. For this purpose, we use techniques based on fractional integration, which is a more general approach than the standard methods used in the literature based on integer differentiation. The results indicate that with the exception of 10 states, in the remaining 38, the temperature anomalies have increased across time, with the increase being higher than the one expected under the other more standard approaches. The highest increases correspond to New Jersey and Rhode Island, with an increase of approximately 2.9 degrees C over the last 100years.
Revista:
EUROPEAN JOURNAL OF POPULATION
ISSN 0168-6577
Vol. 35
N° 4
Año 2019
Págs.675 - 694
This paper deals with the analysis of the under-5 mortality rate series in the G7 countries by using fractional integration techniques, including structural breaks and potential nonlinearities in the data. Several features were detected in the results: Firstly, we observed that for the neonatal data, the order of integration is equal to or higher than one in all cases, contrary to what happens for the remaining cases (< 1- < 5 years) where mean reversion is found in many cases, especially as we increase the age of death. Thus, shocks affecting the neonatal (< 1 month from delivery) mortality rates will have permanent effects requiring special attention to recover the original trends. As expected, all the time trend coefficients were significantly negative and the highest reduction in the mortality rates was obtained in Japan, which might be related with the 17-year increase in life expectancy for the country. Due to the sensitivity of the methodological approaches, the use of robust time series approaches when analyzing child mortality rates is highly recommended.
Revista:
APPLIED ECONOMICS LETTERS
ISSN 1350-4851
Vol. 25
N° 13
Año 2018
Págs.941 - 944
This article examines the relationship between selected monetary aggregates and inflation and output in Brazil. Impulse responses under VAR and local projections were used to discover the leading or lagging role of the monetary aggregates. In addition, the information provided by the monetary aggregates as predictors of output and inflation was examined. This was assessed by examining their predictive power for subsequent observations on an in-sample basis. Overall, the results indicate that in order to control inflation rates, Brazilian authorities should focus on restricting money supply rather than increasing interest rates.
Revista:
INTERNATIONAL JOURNAL OF FINANCIAL STUDIES
ISSN 2227-7072
Vol. 6
N° 1
Año 2018
Págs.21 - 29
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound's implied volatilities (IVs) vis-a-vis the main currencies traded in the FOREX (foreign exchange market), namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the European Union (EU) to achieve an appropriate Brexit deal.
Revista:
TOURISM ECONOMICS
ISSN 1354-8166
Vol. 24
N° 1
Año 2018
Págs.41 - 50
This research note examines the change in data measurement for international tourist arrivals to the United States due to the requirement that all tourists must complete the INS I-94 entry form and its impact on tourist arrivals in the aftermath of the September 2001 terrorist attacks. Using fractional integration techniques, we find that the majority of tourist arrivals from various regions around the world are mean reverting, but the degree of persistence increased in the post-September 2001 period.
Revista:
INTERNATIONAL JOURNAL OF ENERGY SECTOR MANAGEMENT
ISSN 1750-6220
Vol. 12
N° 4
Año 2018
Págs.566 - 580
Purpose This paper aims to investigate the production of sugar cane ethanol in Brazil for the time period 1983-2016, separating the data by geographical location. Design/methodology/approach For this purpose, the authors use techniques based on the concept of fractional integration. Findings The authors show that the data corresponding to the total production is highly persistent, with an integration order smaller than 1 but close to it. In fact, the unit root hypothesis cannot be rejected implying that shocks have a permanent nature, and thus requiring policy measures to recover the level from exogenous shocks. Separating the data into two sub-regions, namely, North-Northeast and Central-South, higher levels of persistence are detected in the latter, while the former presents some evidence of mean reverting behavior, implying that shocks will disappear by themselves in the long run in the former regions. These results are obtained from all the different methods used. Originality/value The originality is based on the time series techniques used in the paper that departs from the classical methods based on unit roots and integer degrees of differentiation.
Revista:
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
ISSN 0275-5319
Vol. 44
Año 2018
Págs.227 - 238
This paper investigates whether the RMB is in the process of replacing the US dollar as the anchor currency in nine ASEAN countries, and also the linkages between the ASEAN currencies and a regional currency unit. A long-memory (fractional integration) model allowing for endogenously determined structural breaks is estimated for these purposes (Gil-Alana, 2008). The results suggest that the ASEAN currencies are much more interlinked than previously thought, whether or not breaks are taken into account, which provides support for a regional currency index as an anchor. Moreover, incorporating a break shows that the linkages between these currencies and the RMB and the US dollar respectively are equally important, and in fact in recent years the former have become stronger than the latter. Therefore including the RMB in the regional index should be considered.
Revista:
ATMOSPHERIC POLLUTION RESEARCH
ISSN 1309-1042
Vol. 9
N° 1
Año 2018
Págs.53 - 60
This paper deals with the analysis of the global and per capita NOx and VOC emissions in the U.S. and the evaluation of the effectiveness of a number of environmental policies conducted by the government during the last 50 years. For this purpose we have employed fractional integration techniques, which are more flexible than other standard approaches based on the dichotomy between stationary I(0) and nonstationary I(1) behavior. Using the I(d) class of models, our results indicate first that the two NOx series display orders of integration substantially higher than 1, and though the VOC series display smaller orders, the unit root hypothesis cannot be rejected, indicating lack of mean reversion in the four series examined. Including dummy variables for each of the breaks referring to the environmental policies, the results show that the five policies investigated (at 1965, 1967, 1970, 1977 and 1990) were effective in reducing the number of emissions, being particularly important the one that was adopted in 1970.
Revista:
EMPIRICAL ECONOMICS
ISSN 0377-7332
Vol. 54
N° 2
Año 2018
Págs.547 - 565
Though not working toward an imminent transition to a monetary or currency union, the Central American Monetary Council (or CMCA, from Spanish Consejo Monetario Centroamericano) serves as an institution promoting economic and financial stability among five Central American countries (Costa Rica, El Salvador, Guatemala, Honduras and Nicaragua) and the Dominican Republic. Econometric studies conducted by researchers from CMCA have mostly focused on studying inflation levels of these countries, making use of econometric tools such as VECM and cointegration. We expand the study of inflation stability in the member countries of the CMCA by adopting a long memory and fractionally integrated approach and implementing cointegration methods that have not yet been used in the study of the Central American Monetary Council. Our results first show that all the series of prices are nonstationary, with orders of integration equal to or higher than 1 in all cases. Looking at long-run equilibrium relationships among the countries, we only found strong evidence of a cointegration relationship in the case of Honduras with El Salvador. All the other vis-a-vis relationships seem to diverge in the long run. Policy implications of the results obtained are also derived in the paper.
Revista:
FINANCE RESEARCH LETTERS
ISSN 1544-6123
Vol. 27
Año 2018
Págs.140 - 147
This paper investigates the degree of persistence of market fear in the VIX index over the sample period 2004-2016, as well as some sub-periods. The findings indicate that its properties change over time: in normal periods it exhibits anti-persistence, whilst during crisis period the level of persistence is increasing. These results can be informative about the nature of financial bubbles and anti-bubbles, and provide evidence on whether there exist market inefficiencies that could be exploited to make abnormal profits by designing appropriate trading strategies.
Revista:
ENERGY SOURCES. PART B. ECONOMICS, PLANNING, AND POLICY
ISSN 1556-7249
Vol. 13
N° 9-10
Año 2018
Págs.392 - 403
Is lithium affecting the US oil and gas industry strategies? Lithium has an increasingly strategic role as clean technologies emerge, affecting the strategies of oil and gas companies in response to energy trends. This paper contributes to this literature, studying the dynamics of lithium industry and mergers and acquisitions in the US oil and gas industry in time-frequency domain. Methodologies based on continuous wavelet transform and vector autoregression models are used, and the results indicate that both time series are correlated in the long term, where mergers and acquisitions' US oil and gas industry dependence on lithium industry has increased, starting in the early 2014 until the end of the sample. Evidence of causality is not found between both time series.
Revista:
APPLIED ECONOMICS
ISSN 0003-6846
Vol. 50
N° 29
Año 2018
Págs.3148 - 3155
This article examines the long-run Purchasing Power Parity (PPP) hypothesis for 12 Latin American Real Effective Exchange Rates (REERs) using fractional integration techniques. The empirical results, applying parametric approaches, provide evidence of mean reversion in the REERs in the cases of Nicaragua, Belize, Costa Rica, Guyana and Paraguay and lack of it for the remaining seven countries. Employing semiparametric methods, the evidence of mean reversion covers the following countries: Belize, the Dominican Republic, Ecuador and Mexico. Thus, only for Belize and Guyana do we obtain consistent evidence of mean reversion in the real exchange rates. At the other extreme, lack of mean reversion, and thus, lack of PPP, is obtained with both methods in Bolivia, Brazil, Colombia and Venezuela. For the remaining six countries, the results are ambiguous. The results for the PPP theory in Belize and Guyana may show the importance of promoting policies based on exchange rate flexibility and economic liberalization to reach a long-run stability scenario that leads to greater international competitiveness and lower external vulnerability.
Revista:
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN 0378-4371
Vol. 511
Año 2018
Págs.251 - 262
We investigate financial market efficiency in the time series of four daily Baltic stock market indices, namely: Baltic Benchmark Gross Index (OMXBBGI), all share index of Tallin-Lithuanian (OMXT), all share index of Riga (OMXR) and all share index of Vilnius (OMXV), based on historical data from 1 January, 2000 to 22 January 2016. We use fractional integration methods to test the hypothesis of market efficiency. Realizing that long-memory estimation could be spurious in the presence of structural breaks, we identify bull and bear market phases from each of the time series. Applying the fractional integration approach, we find that the random walk hypothesis of market efficiency is generally rejected in the overall, and at two bull and one bear sub-samples of the four Baltic stock indices. The volatility at the bear markets of these stocks persists more than the volatility at the bull markets. Our results therefore provide evidence for weak form of market efficiency in the Baltic stock markets, with some exceptions. As a way of policy, the results are relevant to portfolio managers and policy makers in a number of ways. (C) 2018 Elsevier B.V. All rights reserved.
Revista:
ATMOSPHERIC SCIENCE LETTERS
ISSN 1530-261X
Vol. 19
N° 4
Año 2018
Págs.e810
We investigate the time trends in the maximum and minimum temperatures in the United States from 1895 to 2017 using techniques that allow for fractional integration in the detrended series. In doing so we get more accurate estimates of the trends than those obtained using standard methods that impose either stationarity I(0) or nonstationarity I(1). Our results reveal evidence of significant positive trends in both maximum and minimum temperatures, while the difference between them show a significant negative trend as a consequence of the higher increase in the minimum temperatures. Evidence of stationary long memory behavior is also found in the three series examined.
Autores:
Boateng, A.; Lesoana, M.; Siweya, H.; et al.
Revista:
JOURNAL OF DEVELOPING AREAS
ISSN 0022-037X
Vol. 52
N° 1
Año 2018
Págs.157 - 168
Keeping a low steady rate of inflation is one of the government¿s most important responsibilities. Inflation is an important determinant of economic growth. Consequently, it has been one of the most examined areas in economics, from both theoretical and empirical perspectives. Indeed, economists have shown continued interest in this essential economic variable. The most important question related to inflation is: Does non-linearity exist in inflation? The answer to this question, which has important policy implications, can support or endanger the validity of several important economic models. Hence, a clear understanding of the changing aspects of inflation is crucial to any economy because it is regarded as a significant variable in a number of economic models, whose legitimacy critically relies on whether or not this variable is stationary. In practice, many economic time series models rely on linearity. Nonetheless, it has often been found that simple linear time series models regularly leave certain aspects of economic and financial data inexplicable. This paper proposes a model that combines fractional integration with non-linear deterministic terms based on the Chebyshev polynomials in time for the analysis of CPI inflation rates of Ghana and South Africa in Sub-Saharan Africa. Firstly, we tested for non-linear deterministic terms in the context of fractional integration. The estimates of the differencing parameter, d, were found to be 1.11 and 1.32, respectively for t
Revista:
ECONOMIC SYSTEMS
ISSN 0939-3625
Vol. 42
N° 1
Año 2018
Págs.164 - 173
The aim of this paper is to examine the effect of oil price movements on unemployment in Central and Eastern Europe. We do this by disentangling oil prices movements by their sign and from there we analyse the separate effects of positive and negative movements of oil prices on unemployment rates, We find that, although oil prices and unemployment are not correlated very much in the short run, the effect of oil price shocks on the natural rate of unemployment goes in the same direction, so that increases or decreases in oil prices increase or decrease the natural rate of unemployment.
Revista:
COMPUTATIONAL STATISTICS
ISSN 0943-4062
Vol. 33
N° 1
Año 2018
Págs.443 - 465
This paper examines the implications of the seasonal adjustment by an ARIMA model based (AMB) approach in the context of seasonal fractional integration. According to the AMB approach, if the model identified from the data contains seasonal unit roots, the adjusted series will not be invertible that has serious implications for the posterior analysis. We show that even if the ARIMA model identified from the data contains seasonal unit roots, if the true data generating process is stationary seasonally fractionally integrated (as it is often found in economic data), the AMB seasonal adjustment produces dips in the periodogram at seasonal frequencies, but the adjusted series still can be approximated by an invertible process. We also perform a small Monte Carlo study of the log-periodogram regression with tapered data for negative seasonal fractional integration. An empirical application for the Spanish economy that illustrates our results is also carried out at the end of the article.
Revista:
REVIEW OF DEVELOPMENT FINANCE
ISSN 1879-9337
Vol. 8
N° 2
Año 2018
Págs.96 - 105
This paper uses fractional integration and cointegration for the period of January 2000-June 2018 to investigate the stochastic properties of the bilateral linkages between stock markets in Africa and selected international markets to establish if markets in Africa co-move with the rest of the world. Results from the univariate analysis show that there exists a high degree of persistence with orders of integration about 1 or higher than 1, implying that shocks to these stock markets have significant permanent effects. Concerning bivariate results and testing for cointegration, evidence of cointegration is found for Egypt and Kenya against the UK and the Europe Zone. There are some other cases where partial evidence of cointegration is found, though in general, in all cases, we observe that the degree of cointegration is very low, implying very long periods of convergence. (C) 2018 Africagrowth Institute. Production and hosting by Elsevier B.V.
Revista:
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
ISSN 0275-5319
Vol. 46
Año 2018
Págs.141 - 148
This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market.
Revista:
COMPUTATIONAL ECONOMICS
ISSN 0927-7099
Vol. 51
N° 4
Año 2018
Págs.913 - 940
This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. Statistical tests confirm the presence of overreactions and also suggest that there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A trading robot approach is then used to test two trading strategies aimed at exploiting the detected anomalies to make abnormal profits. The results suggest that a strategy based on counter-movements after overreactions does not generate profits in the FOREX and the commodity markets, but in some cases it can be profitable in the US stock market. By contrast, a strategy exploiting the "inertia anomaly" produces profits in the case of the FOREX and the commodity markets, but not in the case of the US stock market.
Revista:
ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH
ISSN 0944-1344
Vol. 25
N° 18
Año 2018
Págs.17289 - 17299
In this article, we have examined the hypothesis of convergence of renewable energy consumption in 27 OECD countries. However, instead of relying on classical techniques, which are based on the dichotomy between stationarity I(0) and nonstationarity I(1), we consider a more flexible approach based on fractional integration. We employ both parametric and semiparametric techniques. Using parametric methods, evidence of convergence is found in the cases of Mexico, Switzerland and Sweden along with the USA, Portugal, the Czech Republic, South Korea and Spain, and employing semiparametric approaches, we found evidence of convergence in all these eight countries along with Australia, France, Japan, Greece, Italy and Poland. For the remaining 13 countries, even though the orders of integration of the series are smaller than one in all cases except Germany, the confidence intervals are so wide that we cannot reject the hypothesis of unit roots thus not finding support for the hypothesis of convergence.
Revista:
EMPIRICA
ISSN 0340-8744
Vol. 45
N° 4
Año 2018
Págs.801 - 820
The disconnection between productivity and workers' compensation after 1980 is a fact not only for the U.S., Canada, Japan but also for Europe. The level of the decoupling between labor productivity and real hourly compensation is highest in the U.S. and Japan and lowest in Norway and Germany. This study investigates the great decoupling phenomena between 1950 and 2014 for eight economies with available time series data. The results should assist policy makers in developing efficient wage-setting mechanisms and help researchers in the field of wage moderation policy and the great decoupling. For this purpose we use fractional integration and cointegration techniques. Countries with stagnating minimum wages, rigid wage moderation policy and a high level of technological progress (strong total factor productivity growth) register higher wage stagnation in relation to labor productivity. Policy makers should be extremely careful when using wage moderation policy to improve a country's competitiveness and should monitor the wage stagnation behind labor productivity (great decoupling) since workers have been producing more but receiving significantly less since 1980. The great decoupling is more prominent today and it is constantly increasing not just in the U.S. and Japan but worldwide.
Revista:
FINANCE RESEARCH LETTERS
ISSN 1544-6123
Vol. 24
Año 2018
Págs.34 - 41
This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional integration framework and both parametric and semi parametric methods. The evidence based on the former is sensitive to the specification for the error terms, whilst the results from the latter are more conclusive in ruling out mean reversion. Further, non-linearities do not appear to be present. Both recursive and rolling window methods identify a number of breaks. Overall, the evidence of long-range dependence as well as breaks suggests that active policies might be necessary for achieving financial and economic stability in these countries. (C) 2017 The Authors. Published by Elsevier Inc.
Revista:
THE EMPIRICAL ECONOMICS LETTERS
ISSN 1681-8997
Vol. 17
N° 5
Año 2018
Págs.563 - 567
This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-a-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate context is applied to annual data from 1970 to 2011. Long memory is found to characterise the Canadian dollar, the British pound and the euro, but in all four cases the results are consistent with the relative version of PPP.
Revista:
ECONOMICS BULLETIN
ISSN 1545-2921
Vol. 38
N° 1
Año 2018
Págs.98 - 104
One of the key features of unemployment rate is its persistence, normally described as hysteresis. This note applies fractional integration techniques to show that Spanish unemployment is highly persistent and exhibits asymmetric behaviour, specifically its degree of persistence is higher during recessions (when unemployment is going up) compared to expansions (when it is going down). Further work should investigate whether this is a stylised fact also in other countries exhibiting hysteresis.
Revista:
INTERNATIONAL JOURNAL OF FINANCE AND ECONOMICS
ISSN 1076-9307
Vol. 23
N° 2
Año 2018
Págs.111 - 121
This paper deals with the growth rate in Kenya, examining its statistical properties and investigating the factors that may explain the slow growth rates observed during the last 50years. The results show that Kenyan growth rate is unstable with non-linearities and long range dependence structures. We also investigate what might explain these features. In this regard, we conclude that the development of anomalous political institutions in Kenya in the decades after independence is the root cause that has led to subsequent weak economic institutions and macroeconomic mismanagement and the vulnerability of the Kenyan economy to domestic and external shocks.
Revista:
EMPIRICAL ECONOMICS
ISSN 0377-7332
Vol. 55
N° 3
Año 2018
Págs.913 - 935
This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of both series are found to vary considerably across states, while the fractional cointegration analysis suggests that a long-run relationship exists between them in only 11 out of the 50 US states. The estimated long-run income elasticity of healthcare expenditure suggests that health care is a luxury good in these states. By contrast, the short-run elasticity obtained from the regressions in first differences is in the range (0, 1) for most US states, which suggests that health care is a necessity good instead. The implications of these results for health policy are also discussed.
Revista:
ENERGY SOURCES. PART B. ECONOMICS, PLANNING, AND POLICY
ISSN 1556-7249
Vol. 12
N° 12
Año 2018
Págs.1066 - 1073
This study applies fractional integration techniques (parametric and semi-parametric) to examine the time series behavior of US retail gasoline prices using weekly data from January 2, 1995, to May 22, 2017. The results based on both parametric and semi-parametric methods provide conflicting evidence. Using parametric methods, the orders of integration are significantly greater than 1; however, with the semi-parametric approach, there is some evidence of mean reversion (d < 1). These conflicting results could be due to the existence of structural breaks. Indeed, endogenous structural break tests indicate breaks in 2005 and 2010. The estimation of the orders of integration within each of the subsamples reveals the absence of mean reverting behavior in retail gasoline prices.
Revista:
ANNALS OF TOURISM RESEARCH
ISSN 0160-7383
Vol. 68
Año 2018
Págs.20 - 29
This paper analyses tourism in Iceland using fractional integration and taking into account the seasonality and the degree of persistence in the data. Using annual data, the unit root hypothesis cannot be rejected, implying permanency of shocks. However using, monthly data, a break is found at 2009m7 and the orders of integration are in the interval (0, 0,5) suggesting mean reversion. The conclusion is that exogenous shocks impacting inbound tourism do not persist and tend to disappear relatively fast. The key policy implications thereof are reported at the end of the paper, critiquing the classical response to perceived slumps in inbound tourism that include marketing and promotion instead of developing infrastructure in anticipation of resumed growth in inbound tourism.
Revista:
SOUTH AFRICAN JOURNAL OF ECONOMICS
ISSN 0038-2280
Vol. 86
N° 1
Año 2018
Págs.76 - 81
This paper estimates long-memory models to analyse the stochastic behaviour of unemployment in eleven African countries (Botswana, Ethiopia, Ghana, Kenya, Malawi, Mauritius, Nigeria, Senegal, South Africa, Tanzania and Zambia) from the 1960s until 2010. The empirical results provide very strong evidence of lack of mean reversion in all series under examination. This suggests that hysteresis models are the most relevant for the African experience (not surprisingly, given the rigidities in their labour markets). Therefore in such countries shocks hitting the unemployment series will have permanent effects, and policy makers should take appropriate action to reverse the effects of negative shocks.
Revista:
APPLIED ECONOMICS
ISSN 0003-6846
Vol. 49
N° 45
Año 2017
Págs.4579 - 4587
This article analyses the technical efficiency of Mozambican banks from 2005 to 2014 with a Bayesian stochastic frontier model. The intermediate approach is adopted and the results reveal that efficiency varies amongst the banks analysed. Foreign ownership of Mozambican banks is also analysed, as is public ownership, the role of mergers and acquisitions, big banks and active dividend policy within the context of bank costs. Policy implications are then derived.
Revista:
APPLIED ECONOMICS
ISSN 0003-6846
Vol. 49
N° 45
Año 2017
Págs.4579 - 4587
This article analyses the technical efficiency of Mozambican banks from 2005 to 2014 with a Bayesian stochastic frontier model. The intermediate approach is adopted and the results reveal that efficiency varies amongst the banks analysed. Foreign ownership of Mozambican banks is also analysed, as is public ownership, the role of mergers and acquisitions, big banks and active dividend policy within the context of bank costs. Policy implications are then derived.
Revista:
INTERNATIONAL JOURNAL OF CLIMATOLOGY
ISSN 0899-8418
Vol. 37
N° 5
Año 2017
Págs.2354 - 2363
In this article, we presented a variety of modelling approaches for the El Niño Southern Oscillation (ENSO) time series data trying to capture two features that are present in the data, in particular the persistence and the seasonal structure. For this purpose, we use long memory models based on fractional integration. The results indicate that the four ENSO series examined (El Niño 1¿2; El Niño 3, El Niño 4 and El Niño 3.4) can be described in terms of a seasonal I(d) model with an order of integration higher than 0 and smaller than 1 in all four cases. The lowest degree of persistence is found in the series corresponding to El Niño 1.2, with an order of seasonal integration of 0.39. This seasonal fractional differencing parameter, however, is found to be higher than 0.5 (and thus non¿stationary) for the remaining three series.
Revista:
ENERGY SOURCES. PART B. ECONOMICS, PLANNING, AND POLICY
ISSN 1556-7249
Vol. 12
N° 5
Año 2017
Págs.420 - 427
This paper contributes to the literature on crude oil price behavior and examines how this affects mergers and acquisitions (M&A) in the petroleum industry in the US. The paper analyzes the relationship of these two series by studying its dynamic in the time¿frequency domain. The novelty of this study¿s approach lies in the application of wavelet tools for its resolution. Monthly data are used in this study, covering the period January 1980¿June 2012. It was observed that there was a shift to higher frequencies of the wavelet coherency during the mid-1990s and the late 2000s. The results also indicate that during the mid-1990s and the late-2000s, an increase in M&A took place that was led by the increase in West Texas Intermediate crude oil prices.
Revista:
INTERNATIONAL ECONOMICS
ISSN 2110-7017
Vol. 150
Año 2017
Págs.72 - 79
This paper deals with the analysis of inflation in Kenya. We use data from the Consumer Price Index and inflation to examine, among other issues, features such as the presence of structural breaks, non-linearities and time dependence or persistence in the data. The results indicate the presence of a structural break in the inflation rate taking place in 1994, observing a level shift and a reduction in the degree of integration of the series. However, the results change depending on the assumptions made on the error term. Thus, under no autocorrelation the unit root hypothesis cannot be rejected in any of the two subsamples; however, under the more realistic assumption of autocorrelation, mean reversion takes places in the two subsample, with a slightly reduction after the break. These results are explained in terms of the policy reform and intervention during the last two decades, and some policy recommendations are also presented in the paper.
Revista:
INTERNATIONAL ECONOMICS
ISSN 2110-7017
Vol. 152
Año 2017
Págs.116 - 123
This paper analyses the stochastic properties of the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of persistence in all cases: the fractional integration parameter d is estimated to be above 1, ranging from 1.26 (US) to 1.48 (UK), with the single exception of Japan, for which the unit root null cannot be rejected. Concerning the bivariate results, Australian interest rates are found to be cointegrated with the Eurozone and UK ones, Canadian rates with the UK and US ones, and Japanese rates with the UK ones. The increasing degree of integration of international financial markets and the coordinated monetary policy responses following the global financial crisis might both account for such linkages.
Revista:
ENERGY
ISSN 0360-5442
Vol. 120
Año 2017
Págs.79 - 91
Crude oil price behaviour depends on all the events that have the potential to disrupt the flow of oil. We understand that these causes could be geopolitical issues and/or military conflicts in/with the producer countries and a problem relating to demand and supply. In the paper we first investigate the statistical properties of the real oil prices as well as its log-transformation, along with the absolute and squared returns values. Then, we also address the following issue: Does the crude oil price behave in the same way before and after a military conflict or geopolitical problem in the producer countries? To answer this question we analyse the real oil prices of West Texas Intermediate (WTI) before and after the different military conflicts and political events that occurred after World War II. For this purpose we use techniques based on unit roots and fractional integration. The empirical results provide evidence of persistence and breaks in the oil prices series and stationary long memory in the absolute returns. However, we do not observe significant differences before and after the conflict and geopolitical events. (C) 2016 Elsevier Ltd. All rights reserved.
Revista:
ENERGY
ISSN 1996-4366
Vol. 120
Año 2017
Págs.79 - 91
Crude oil price behaviour depends on all the events that have the potential to disrupt the flow of oil. We understand that these causes could be geopolitical issues and/or military conflicts in/with the producer countries and a problem relating to demand and supply. In the paper we first investigate the statistical properties of the real oil prices as well as its log-transformation, along with the absolute and squared returns values. Then, we also address the following issue: Does the crude oil price behave in the same way before and after a military conflict or geopolitical problem in the producer countries? To answer this question we analyse the real oil prices of West Texas Intermediate (WTI) before and after the different military conflicts and political events that occurred after World War II. For this purpose we use techniques based on unit roots and fractional integration. The empirical results provide evidence of persistence and breaks in the oil prices series and stationary long memory in the absolute returns. However, we do not observe significant differences before and after the conflict and geopolitical events.
Revista:
RESOURCES POLICY
ISSN 0301-4207
Vol. 54
Año 2017
Págs.53 - 57
This paper examines the inflation hedging ability of gold in the UK based on a fractional integration and cointegration framework. This gives more flexibility as it does not restrict the order of integration between zero and 1. Annual time series data covering 1257¿2016 were used. We conducted both full sample and sub-sample analysis. Using the full sample, the findings shows that gold and retail price index (RPI) are both I(1). However, based on the sub-sample analyses, gold is I(1) for most sub-periods while RPI is mean reverting (d < 1) for most periods. However, both series exhibit the same degree of integration, I(1), during the last sub-sample, specifically between 1903 and 2016. We also find the existence of cointegration between gold and RPI but this is exclusively due to the data from the last century. It is therefore concluded that gold provides protection against inflation since its value would be maintained in the presence of inflation.
Revista:
JOURNAL OF POLICY MODELING
ISSN 0161-8938
Vol. 39
N° 5
Año 2017
Págs.775 - 789
This study examines the time series behavior of U.S. short- and long-run real ex-post interest rates within a long memory approach with non-linear trends using a long span of monthly and annual data. Overall, our results suggest that U.S. real interest rates are not as persistent as suggested in the literature. The implications of this result are relevant to evaluate both the effectiveness of policy interventions and the theoretical implications of different macroeconomic and financial models. For example, our results are consistent with the main implications of the consumption-based asset pricing models and the Fisher effect. Furthermore, the results point out to the difficulties of the monetary policy to influence interest rates, mainly in the long-run, and thus, highlighting varied interest rate policies across short and long-runs when it comes to affecting the real economy.
Revista:
APPLIED ECONOMICS LETTERS
ISSN 1350-4851
Vol. 24
N° 14
Año 2017
Págs.991 - 994
This article examines the interaction between fractional integration and nonlinear structures by using for the latter the Chebyshev polynomials in time that can be taken as an alternative, less abrupt way of modelling breaks in time series data. A Lagrange multiplier test, developed for testing the order of integration in the context of nonlinear deterministic trends, is implemented in three well-known and previously studied time series data: the Nile river data, the temperatures in the Northern hemisphere and CO2 emissions in the US. The results suggest that the second and especially the third time series display nonlinear behaviour still with fractional degrees of differentiation.
Revista:
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
ISSN 1057-5219
Vol. 52
Año 2017
Págs.1 - 8
This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and its cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2017. Two models are considered. One is based on an I(d) specification with AR(2) disturbances and the other one on two fractional differencing structures, one at the zero and the other at a cyclical frequency. Thus, the two approaches differ in the way the cyclical component of the process is modelled. In both cases we obtain evidence of long memory and fractional integration with cycles repeating approximately every 8 years. The in-sample goodness-of-fit analysis supports the second specification in the majority of cases. An out-of-sample forecasting experiment also suggests that the long-memory model with two fractional differencing parameters is the most adequate one, especially over long horizons. (C) 2017 The Author(s). Published by Elsevier Inc.
Revista:
ENVIRONMENTAL AND RESOURCE ECONOMICS
ISSN 0924-6460
Vol. 67
N° 4
Año 2017
Págs.869 - 883
This study examines the time-series behaviour of emissions within a long-memory approach with non-linear trends and structural breaks, using a long span of data for the BRICS and G7 countries. The main results show significant differences both in the degree of integration and the non-linearities among the analysed countries. Thus, in most of the cases, the emissions series display orders of integration equal to or higher than 1, implying that there are permanent effects of shocks for emissions. The only exceptions are Germany, the US and the UK, where shocks will have transitory effects. With respect to the non-linearities, more evidence of non-linear behaviour was obtained for the G7 countries, especially in the cases of the US, the UK, Germany and France. Partial evidence was also found in Canada and India. The significantly different results obtained for emerging and developed economies have important policy implications.
Revista:
SOCIAL INDICATORS RESEARCH
ISSN 0303-8300
Vol. 131
N° 1
Año 2017
Págs.393 - 405
This study examines the time series behavior of infant mortality rates within a long memory approach with non-linear trends using data for 37 countries. The main results show significant differences both in the degree of integration and non-linearities among the analyzed series. Furthermore, non-linearities in the time trends are found in most of the cases, in contrast with the main assumption of linearity used in the literature. Finally, the results on the integration order of the series have important policy implications in many areas, such as on international convergence in mortality rates, on the income and infant mortality relationship, and, on whether health policy interventions will have transitory or permanent effects on infant mortality rates.
Revista:
JOURNAL OF HOUSING AND THE BUILT ENVIRONMENT
ISSN 1566-4910
Vol. 32
N° 4
Año 2017
Págs.787 - 804
This study focuses on the determinants of the prices of houses in Nairobi, Kenya. The study finds housing prices to have positive relationships with GDP, diaspora remittances, lending rates, loans to real estate sector and cost of construction. A negative relationship exists between the house prices and inflation. Results of the cointegration tests indicate the existence of stable long-run relationships between house prices and each of GDP and NSE Index, while unstable relationships are reported for diaspora remittances and building costs. Using fractional integration, the results show higher orders of integration for the house price series compared with the other variables, though the study is indifferent about the existence of a house price bubble. Granger causality tests indicate there are no causal relationships between house prices and diaspora remittances. However, there are two way causalities between house prices and each of GDP, building costs and NSE Index. This negates the existence of a house price bubble.
Revista:
COMPUTATIONAL ECONOMICS
ISSN 0927-7099
Vol. 49
N° 3
Año 2017
Págs.405 - 432
This paper develops a new pair trading method to detect inefficiencies in exchange rates movements and arbitrage opportunities using a convergence/divergence indicator (CDI) belonging to the oscillatory class. The proposed technique is applied to 11 exchange rates over the period 2010-2015, and trading rules based on CDI signals are obtained. The CDI indicator is shown to outperform others of the oscillatory class and in some cases (for EURAUD and AUDJPY) to generate profits. The suggested approach is of general interest and can be applied to different financial markets and assets.
Revista:
ENERGY
ISSN 0360-5442
Vol. 124
Año 2017
Págs.521 - 530
We conduct a fractional integration and cointegration study of several Kenyan electricity price series in order to determine whether signs of persistence or mean reversion can eventually be discovered. Such features can be considered as relevant when considering the possibilities of shocks affecting the energy market of Kenya, which has recently been subjected to major debate. We conclude that electricity prices in Kenya contain unit roots, implying permanent shocks lasting forever. Among the factors affecting electricity prices, we find oil prices and interest rates have significant positive effects on electricity, and based on the fact that all the series are I(1), long run relationships are examined by means of fractional cointegration. The recently introduced FCVAR model is implemented, with results showing that the series under study are fractionally cointegrated, with oil price shocks affecting electricity prices. (C) 2017 Elsevier Ltd. All rights reserved.
Revista:
ENERGY
ISSN 1996-4366
Vol. 124
Año 2017
Págs.521 - 530
We conduct a fractional integration and cointegration study of several Kenyan electricity price series in order to determine whether signs of persistence or mean reversion can eventually be discovered. Such features can be considered as relevant when considering the possibilities of shocks affecting the energy market of Kenya, which has recently been subjected to major debate. We conclude that electricity prices in Kenya contain unit roots, implying permanent shocks lasting forever. Among the factors affecting electricity prices, we find oil prices and interest rates have significant positive effects on electricity, and based on the fact that all the series are I(1), long run relationships are examined by means of fractional cointegration. The recently introduced FCVAR model is implemented, with results showing that the series under study are fractionally cointegrated, with oil price shocks affecting electricity prices.
Revista:
JOURNAL OF ECONOMICS AND FINANCE
ISSN 1055-0925
Vol. 41
N° 2
Año 2017
Págs.408 - 420
This paper analyses Angola¿s long-run and short-run money demand, identifying its determinants using data from January 2000 to August 2013. A theoretical model is presented and the estimated results show that money mass, income, inflation, exchange rate and interest rates are cointegrated, revealing a long-run equilibrium relationship between these variables. The cointegration relationship is unstable in the short run. The results are in line with the monetary policy undertaken by the Central Bank of Angola and also in line with published papers on money demand. Policy implication is derived.
Revista:
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
ISSN 1873-8036
Vol. 51
Año 2017
Págs.283 - 294
This paper investigates the weak-form efficiency hypothesis for the art market. We consider 15 art price indices namely: Contemporary, Drawings, France, Global index (Euro), Global index (USD), Modern art, Nineteenth century, Old Masters, Paintings, Photographies, Postwar, Prints, Sculptures, UK and US. We use quarterly data from 1998:1 to 2015: 1. We employ both standard and non-parametric single and joint variance ratio tests while accounting for small sample bias through the use of the wild bootstrapping. We show that the majority of the art markets are inefficient with the exception of the Old Masters that consistently prove efficient under both individual and joint variance ratio tests. To a lesser extent Contemporary, US and UK markets are also efficient. However, confronting the data with both linear and nonlinear long memory models as robustness check, we observe that Paints, Prints, Photographies, Nineteenth century, Modern Art, US, France and Drawings have unit roots and are therefore efficient. Others such as Post war Sculpture, and Contemporary have values of the fractional parameter d significantly different from 0 to 1 and they may be considered efficient as well in a number of cases. The US and Contemporary art markets appear to be efficient irrespective of the method used.
Revista:
JOURNAL OF ECONOMICS AND FINANCE
ISSN 1055-0925
Vol. 41
N° 2
Año 2017
Págs.343 - 353
This paper examines the Fisher relationship in the case of Nigeria by carrying out standard unit root tests and applying fractional integration techniques to 1-month, 3-month, 6-month and 12-month deposit rates and inflation. The evidence indicates that this relationship only holds for very short-term (1-month) interest rates, and therefore only these nominal rates are a useful predictor of the inflation rate. For other short-term rates the lack of a Fisher effect suggests that they could be used as a monetary policy tool.
Revista:
JOURNAL OF DEVELOPING AREAS
ISSN 0022-037X
Vol. 51
N° 4
Año 2017
Págs.29 - 47
As a result of the dependency of United States (US) on Nigerian oil exports, coupled with her greatest share in Nigerian foreign direct investment, the recent global financial crisis of 2008/09 which emanated from the country spilled over to the Nigerian capital market, affecting majorly the financial sectors. Since the period of the crisis, the interests of the researchers have been gingered towards studying the interdependencies in financial market series of nations that are trading partners, particularly in relation to technological advanced economies like the US and the United Kingdom. This paper examines the effects of the global financial crisis on the Nigerian stock market. We use daily US stocks (S&P500, Nasdaq and Dow Jones industrial stock indices) and All Share Index (ASI) of Nigerian Stock Exchange, testing for long run equilibrium relationships between the Nigerian ASI and each of the US indices. Apart from the initial nonstationarities displayed by the stock time series, plots of a US stock index and ASI also display the possibility of possible co-movement over time, particularly during the crisis period. That called for possible test for cointegration. However, instead of restricting ourselves to integer degrees of differentiation we allow for the possibility of fractional values. Thus, we test for fractional integration, and the results (...)
Revista:
ECONOMIC CHANGE AND RESTRUCTURING
ISSN 1573-9414
Vol. 50
N° 1
Año 2017
Págs.45 - 58
This study examines the impact of the anti-inflation stabilization policies on the behavior of inflation in Croatia in the early 1990s and through the subsequent post-stabilization period using fractional integration techniques. Indeed, the implementation of the stabilization program in October 1993 brought immediate deflation with a relative high degree of inflation stability in the post-stabilization period. With allowance for a structural break corresponding to the stabilization program in October 1993, the degree of persistence was substantially reduced with the fractional differencing parameter being positive but close to zero in the post-stabilization period.
Revista:
RESOURCES POLICY
ISSN 0301-4207
Vol. 53
Año 2017
Págs.117 - 124
This paper deals with the relationship between oil prices and gold prices using some recently developed techniques in time series analysis, and based on the concepts of fractional integration and cointegration. We show first, that using standard methods of unit roots and cointegration with integer degrees of differentiation, the two series seem to be individually I(1) though cointegrated. However, using fractional techniques, we show that there exists a fractionally cointegrated relationship between the two variables, with an order of integration in the long run relationship of about 0.46. Moreover, shocks in the price of gold seem to have an effect on the price of oil that persists in time.
Revista:
RESOURCES POLICY
ISSN 0301-4207
Vol. 53
Año 2017
Págs.117 - 124
This paper deals with the relationship between oil prices and gold prices using some recently developed techniques in time series analysis, and based on the concepts of fractional integration and cointegration. We show first, that using standard methods of unit roots and cointegration with integer degrees of differentiation, the two series seem to be individually I(1) though cointegrated. However, using fractional techniques, we show that there exists a fractionally cointegrated relationship between the two variables, with an order of integration in the long run relationship of about 0.46. Moreover, shocks in the price of gold seem to have an effect on the price of oil that persists in time.
Revista:
ENERGY
ISSN 1996-4366
Vol. 141
Año 2017
Págs.12 - 19
The aim of this paper is to relate the shale oil revolution in the United States with WTI oil price behavior. Since the development of the combination of horizontal drilling techniques together with hydraulic fracturing in the 1970s, known as shale oil, oil markets have undergone a significant transformation with the unexpectedly strong rise in the United States production affecting oil prices. The goal of this paper is two-fold: first, we analyze the relationship of total United States crude oil production and WTI crude oil prices by studying its performance in the time-frequency domain applying wavelet tools for its resolution. Using wavelet methodologies, we observe a shift to higher frequencies of the wavelet coherency for the time period 2003¿2009 and lower frequencies for the period 2009¿2014. The results also indicate that during the period 2003¿2009 the U.S. oil production and WTI oil prices time series are in phase; they move together, with total United States oil production leading. During the period 2009¿2014 oil production and WTI oil prices time series are out of phase (negatively correlated), suggesting that oil production increases precede a decrease in WTI oil prices. In the second part of the paper and to give greater credibility to the results obtained through the wavelet transform, we analyze the behavior of WTI crude oil before and after the shale oil boom in the United States employing methodologies based on long run dependence. The results indicate (...)
Revista:
ENERGY
ISSN 0360-5442
Vol. 141
Año 2017
Págs.12 - 19
The aim of this paper is to relate the shale oil revolution in the United States with WTI oil price behavior. Since the development of the combination of horizontal drilling techniques together with hydraulic fracturing in the 1970s, known as shale oil, oil markets have undergone a significant transformation with the unexpectedly strong rise in the United States production affecting oil prices. The goal of this paper is two-fold: first, we analyze the relationship of total United States crude oil production and WTI crude oil prices by studying its performance in the time-frequency domain applying wavelet tools for its resolution. Using wavelet methodologies, we observe a shift to higher frequencies of the wavelet coherency for the time period 2003-2009 and lower frequencies for the period 2009-2014. The results also indicate that during the period 2003-2009 the U.S. oil production and WTI oil prices time series are in phase; they move together, with total United States oil production leading. During the period 2009-2014 oil production and WTI oil prices time series are out of phase (negatively correlated), suggesting that oil production increases precede a decrease in WTI oil prices. In the second part of the paper and to give greater credibility to the results obtained through the wavelet transform, we analyze the behavior of WTI crude oil before and after the shale oil boom in the United States employing methodologies based on long run dependence. The results indicate that mean reversion takes place only for the data corresponding to the first subsample, ending at 2003. For the second subsample, as well as for the whole sample, lack of mean reversion is detected with orders of integration equal to or higher than 1 in all cases. (C) 2017 Elsevier Ltd. All rights reserved.
Revista:
APPLIED ECONOMICS LETTERS
ISSN 1350-4851
Vol. 24
N° 2
Año 2017
Págs.136 - 139
This article analyses the duration of cycles in the unemployment rate series in a group of EU countries. It extends the model by Bierens (2001) and follows Gil-Alana (2001) by allowing for fractional cyclical integration. Once cycles are introduced in the model, we have more evidence of mean reversion than in previous studies.
Revista:
JOURNAL OF INTERNATIONAL DEVELOPMENT
ISSN 0954-1748
Vol. 28
N° 2
Año 2016
Págs.214 - 232
This paper analyses the implicit dynamics underlying the interest rate structure in Kenya. For this purpose, we use data on four interest rates of commercial banks (deposits, savings, lending and overdraft) together with the 91-day Treasury Bill rate, for the period July 1991 to August 2010, and apply various techniques based on long-range dependence and, in particular, on fractional integration. The results indicate that all series examined are nonstationary with orders of integration equal to or higher than 1 when using parametric techniques and slightly smaller than 1 when using semiparametric methods. The analysis of various spreads suggests that lending¿savings and deposits¿savings are also nonstationary I(1) variables; however, the spreads vis-à-vis the Treasury Bill rate may be mean reverting if the errors are autocorrelated. The high level of dependence observed in some of these series could be the result of an incorrect interest rate policy, implying the desirability of a policy aimed at reducing interest rate volatility.
Revista:
ECONOMICS LETTERS
ISSN 0165-1765
Vol. 148
Año 2016
Págs.55 - 58
This study examines the inflation persistence using both online and official price indexes in Argentina, Brazil, China, Japan, Germany, South Africa, the UK and the US, using fractional integration technique. The main results suggest that the degree of persistence, estimated by the long-memory parameter, is smaller when using online price indexes (believed to be a more realistic measure of inflation), mainly in the cases of Argentina, Brazil, China and the UK. Monetary policy implications are discussed.
Revista:
JOURNAL OF DEVELOPING AREAS
ISSN 0022-037X
Vol. 50
N° 3
Año 2016
Págs.287 - 304
Revista:
ENERGY SOURCES
ISSN 0090-8312
Vol. 11
N° 2
Año 2016
Págs.137 - 149
The rise of oil prices is a main issue in contemporary economics. This study examines the monthly, weekly and daily structure in several oil prices series using a modeling approach based on fractional integration and long-range dependence. The results indicate that oil prices series are highly persistent, with orders of integration equal to or higher than 1. Breaks in the series do not alter the main conclusions of this study. That means that shocks have a permanent nature and strong policy measures must be implemented to return the series to their original long-term projections.
