Cointegration analysis of money demand in the Euro Area

The analysis of the evolution of the M3 money aggregate is an important element in the definition and implementation of monetary policy for the ECB. A well-defined and stable long run demand function is an essential requisite for M3 to be a valid monetary tool. Therefore, this paper analyzes based in cointegration techniques the existence of a long run money demand, estimating it and testing its stability for the Euro Area and for ten of its member countries. Specifically, bearing in mind the high degree of monetary instability that the current economic crisis has created in the Euro Area, we also test whether this has had a noticeable impact in the cointegration among real money demand and its determinants. The analysis gives evidence of the existence of a long run relationship when the aggregated Euro Area and six of the ten countries are considered. However, these relationships are highly instable since the outbreak of the financial crisis, leading in some cases to even rejecting cointegration. All this suggests that the ECB’s strategy of focusing in the M3 monetary aggregates could not be a convenient approach under the current circumstances

Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities

Published also as: Documento de Trabajo Banco de España 0504/2005.

A Note on Wavelet Correlation and Cointegration

In a recent paper Leong-Huang:2010 {Journal of Applied Statistics 37, 215–233} proposed a wavelet-correlation-based approach to test for cointegration between two time series. However, correlation and cointegration are two different concepts even when wavelet analysis is used. It is known that statistics based on nonstationary integrated variables have non-standard asymptotic distributions. However, wavelet analysis offsets the integrating order of nonstationary series so that traditional asymptotics on stationary variables suffices to ascertain the statistical properties of wavelet-based statistics. Based on this, this note shows that wavelet correlations cannot be used as a test of cointegration.

Design, Construction and Testing of a Hydraulic Power Take-Off for Wave Energy Converters

This paper presents the construction, mathematical modeling and testing of a scaled universal hydraulic Power Take-Off (PTO) device for Wave Energy Converters (WECs). A specific prototype and test bench were designed and built to carry out the tests. The results obtained from these tests were used to adjust an in-house mathematical model. The PTO was initially designed to be coupled to a scaled wave energy capture device with a low speed and high torque oscillating motion and high power fluctuations. Any Energy Capture Device (ECD) that fulfils these requirements can be coupled to this PTO, provided that its scale is adequately defined depending on the rated power of the full scale prototype. The initial calibration included estimation of the pressure drops in the different components, the pressurization time of the oil inside the hydraulic cylinders and the volumetric efficiency of the complete circuit. Since the overall efficiency measured during the tests ranged from 0.69 to 0.8 and the dynamic performance of the PTO was satisfactory, the results are really promising and it is believed that this solution might prove effective in real devices.

Testing the performance and feasibility of Bluetooth communications in pervasive systems

Smart and mobile environments require seamless connections. However, due to the frequent process of ''discovery'' and disconnection of mobile devices while data interchange is happening, wireless connections are often interrupted. To minimize this drawback, a protocol that enables an easy and fast synchronization is crucial. Bearing this in mind, Bluetooth technology appears to be a suitable solution to carry on such connections due to the discovery and pairing capabilities it provides. Nonetheless, the time and energy spent when several devices are being discovered and used at the same time still needs to be managed properly. It is essential that this process of discovery takes as little time and energy as possible. In addition to this, it is believed that the performance of the communications is not constant when the transmission speeds and throughput increase, but this has not been proved formally. Therefore, the purpose of this project is twofold: Firstly, to design and build a framework-system capable of performing controlled Bluetooth device discovery, pairing and communications. Secondly, to analyze and test the scalability and performance of the \emph{classic} Bluetooth standard under different scenarios and with various sensors and devices using the framework developed. To achieve the first goal, a generic Bluetooth platform will be used to control the test conditions and to form a ubiquitous wireless system connected to an Android Smartphone. For the latter goal, various stress-tests will be carried on to measure the consumption rate of battery life as well as the quality of the communications between the devices involved.

Plastic Analysis and Testing of multidirectional SFRC flag slabs

This paper presents a theoretical and experimental study of multidirectional steel fibers reinforced concrete slabs (SFRC). The study is based on a real building application using SFRC flag slabs. For the evaluation of the slabs bearing capacity, plastic calculations are performed both at section and structure levels. The section analysis uses the perfect plastic stress-strain diagram, with reference to the values of the strength characteristics of SFRC based on previous jobs that used similar fibers and dosages. In the structure analysis the plastic yield lines method has been used. This method relates the section last bearing moment and the plastic collapse load. The experimental campaign has consisted of the testing of six 2 m. diameter circular shaped slabs prototypes, and has allowed to verify the reference resistance used in the calculations.