What explains the Great Moderation in the US? A structural analysis

This paper investigates what has caused output and inflation volatility to fall in the USusing a small scale structural model using Bayesian techniques and rolling samples. Thereare instabilities in the posterior of the parameters describing the private sector, the policyrule and the standard deviation of the shocks. Results are robust to the specification ofthe policy rule. Changes in the parameters describing the private sector are the largest,but those of the policy rule and the covariance matrix of the shocks explain the changes most.

The structural dynamics of output growth and inflation: some international evidence

We examine the dynamics of output growth and inflation in the US, Euro area and UK using a structural time varying coefficient VAR. There are important similarities in structural inflation dynamics across countries; output growth dynamics differ. Swings in the magnitude of inflation and output growth volatilities and persistences are accounted for by a combination of three structural shocks. Changes over time in the structure of the economy are limited and permanent variations largely absent. Changes in the volatilities of structural shocks matter.

Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks

Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the non-stationarity. In particular, it is well-known that integrated and short memory models containing trending components that may display sudden changes in their parameters share some statistical properties that make their identification a hard task. The goal of this paper is to extend the classical testing framework for I(1) versus I(0)+ breaks by considering a a more general class of models under the null hypothesis: non-stationary fractionally integrated (FI) processes. A similar identification problem holds in this broader setting which is shown to be a relevant issue from both a statistical and an economic perspective. The proposed test is developed in the time domain and is very simple to compute. The asymptotic properties of the new technique are derived and it is shown by simulation that it is very well-behaved in finite samples. To illustrate the usefulness of the proposed technique, an application using inflation data is also provided.

Firm investment in imperfect capital markets: A structural estimation

We set up a dynamic model of firm investment in which liquidity constraintsenter explicity into the firm's maximization problem. The optimal policyrules are incorporated into a maximum likelihood procedure which estimatesthe structural parameters of the model. Investment is positively related tothe firm's internal financial position when the firm is relatively poor. This relationship disappears for wealthy firms, which can reach theirdesired level of investment. Borrowing is an increasing function of financial position for poor firms. This relationship is reversed as a firm's financial position improves, and large firms hold little debt.Liquidity constrained firms may be unused credits lines and the capacity toinvest further if they desire. However the fear that liquidity constraintswill become binding in the future induces them to invest only when internalresources increase.We estimate the structural parameters of the model and use them to quantifythe importance of liquidity constraints on firms' investment. We find thatliquidity constraints matter significantly for the investment decisions of firms. If firms can finance investment by issuing fresh equity, rather than with internal funds or debt, average capital stock is almost 35% higher overa period of 20 years. Transitory shocks to internal funds have a sustained effect on the capital stock. This effect lasts for several periods and ismore persistent for small firms than for large firms. A 10% negative shock to firm fundamentals reduces the capital stock of firms which face liquidityconstraints by almost 8% over a period as opposed to only 3.5% for firms which do not face these constraints.

Inflation dynamics: A structural econometric analysis

We develop and estimate a structural model of inflation that allowsfor a fraction of firms that use a backward looking rule to setprices. The model nests the purely forward looking New KeynesianPhillips curve as a particular case. We use measures of marginalcosts as the relevant determinant of inflation, as the theorysuggests, instead of an ad-hoc output gap. Real marginal costsare a significant and quantitatively important determinant ofinflation. Backward looking price setting, while statisticallysignificant, is not quantitatively important. Thus, we concludethat the New Keynesian Phillips curve provides a good firstapproximation to the dynamics of inflation.

Non-stationary job search when jobs are not forever: A structural estimation

This paper considers a job search model where the environment is notstationary along the unemployment spell and where jobs do not lastforever. Under this circumstance, reservation wages can be lower thanwithout separations, as in a stationary environment, but they can alsobe initially higher because of the non-stationarity of the model. Moreover,the time-dependence of reservation wages is stronger than with noseparations. The model is estimated structurally using Spanish data forthe period 1985-1996. The main finding is that, although the decrease inreservation wages is the main determinant of the change in the exit ratefrom unemployment for the first four months, later on the only effect comesfrom the job offer arrival rate, given that acceptance probabilities areroughly equal to one.

What is what?: A simple time-domain test of long-memory vs. structural breaks

This paper proposes a new time-domain test of a process being I(d), 0 < d = 1, under the null, against the alternative of being I(0) with deterministic components subject to structural breaks at known or unknown dates, with the goal of disentangling the existing identification issue between long-memory and structural breaks. Denoting by AB(t) the different types of structural breaks in the deterministic components of a time series considered by Perron (1989), the test statistic proposed here is based on the t-ratio (or the infimum of a sequence of t-ratios) of the estimated coefficient on yt-1 in an OLS regression of ?dyt on a simple transformation of the above-mentioned deterministic components and yt-1, possibly augmented by a suitable number of lags of ?dyt to account for serial correlation in the error terms. The case where d = 1 coincides with the Perron (1989) or the Zivot and Andrews (1992) approaches if the break date is known or unknown, respectively. The statistic is labelled as the SB-FDF (Structural Break-Fractional Dickey- Fuller) test, since it is based on the same principles as the well-known Dickey-Fuller unit root test. Both its asymptotic behavior and finite sample properties are analyzed, and two empirical applications are provided.

On the structural difference between the evolutionary approach of Young and that of Kandori, Mailath and Rob

We provide robust examples of symmetric two-player coordination games in normal form that reveal that equilibrium selection bythe evolutionary model of Young (1993) is essentially different from equilibrium selection by the evolutionary model of Kandori, Mailath and Rob (1993).

Structural characterization of laser-treated Cr3C2-NiCr coatings

The interconnected porosity of the Cr3C2-NiCr coatings obtained by high-velocity oxy fuel spraying is detrimental in corrosion and wear resistance applications. Laser treatments allow sealing of their surfaces through melting and resolidification of a thin superficial layer. A Nd:YAG laser beam was used to irradiate Cr3C2-NiCr coatings either in the continuous wave mode or at different repetition rates in the pulsed one. Results indicated that high peak and low mean laser irradiances are not good, since samples presented deep grooves and an extensive crack network. At low peak and higher mean laser irradiances the surface was molten, and only a few shallow cracks were observed. The interconnected porosity was completely eliminated in a layer up to 80 m thick, formed by large Cr7C3 grains imbedded in a NiCr matrix.

Structural and functional characterization of (110)-oriented epitaxial La2/3Ca1/3MnO3 electrodes and SrTiO3 tunnel barriers

La2/3Ca1/3MnO3 (LCMO) films have been deposited on (110)-oriented SrTiO3 (STO) substrates. X-ray diffraction and high-resolution electron microscopy reveal that the (110) LCMO films are epitaxial and anisotropically in-plane strained, with higher relaxation along the [1¿10] direction than along the [001] direction; x-ray absorption spectroscopy data signaled the existence of a single intermediate Mn3+/4+ 3d-state at the film surface. Their magnetic properties are compared to those of (001) LCMO films grown simultaneously on (001) STO substrates It is found that (110) LCMO films present a higher Curie temperature (TC) and a weaker decay of magnetization when approaching TC than their (001) LCMO counterparts. These improved films have been subsequently covered by nanometric STO layers. Conducting atomic-force experiments have shown that STO layers, as thin as 0.8 nm, grown on top of the (110) LCMO electrode, display good insulating properties. We will show that the electric conductance across (110) STO layers, exponentially depending on the barrier thickness, is tunnel-like. The barrier height in STO (110) is found to be similar to that of STO (001). These results show that the (110) LCMO electrodes can be better electrodes than (001) LCMO for magnetic tunnel junctions, and that (110) STO are suitable insulating barriers.

Structural and optical properties of dilute InAsN grown by molecular beam epitaxy

We perform a structural and optical characterization of InAs1¿xNx epilayers grown by molecular beam epitaxy on InAs substrates x 2.2% . High-resolution x-ray diffraction HRXRD is used to obtain information about the crystal quality and the strain state of the samples and to determine the N content of the films. The composition of two of the samples investigated is also obtained with time-of-flight secondary ion mass spectroscopy ToF-SIMS measurements. The combined analysis of the HRXRD and ToF-SIMS data suggests that the lattice parameter of InAsN might significantly deviate from Vegard"s law. Raman scattering and far-infrared reflectivity measurements have been carried out to investigate the incorporation of N into the InAsN alloy. N-related local vibrational modes are detected in the samples with higher N content. The origin of the observed features is discussed. We study the compositional dependence of the room-temperature band gap energy of the InAsN alloy. For this purpose, photoluminescence and optical absorption measurements are presented. The results are analyzed in terms of the band-anticrossing BAC model. We find that the room-temperature coupling parameter for InAsN within the BAC model is CNM=2.0 0.1 eV.

Structural and gas-sensing properties of WO3 nanocrystalline powders obtained by a sol-gel method from tungstic acid

WO3 nanocrystalline powders were obtained from tungstic acid following a sol-gel process. Evolution of structural properties with annealing temperature was studied by X-ray diffraction and Raman spectroscopy. These structural properties were compared with those of WO3 nanopowders obtained by the most common process of pyrolysis of ammonium paratungstate, usually used in gas sensors applications. Sol-gel WO3 showed a high sensor response to NO2 and low response to CO and CH4. The response of these sensor devices was compared with that of WO3 obtained from pyrolysis, showing the latter a worse sensor response to NO2. Influence of operating temperature, humidity, and film thickness on NO2 detection was studied in order to improve the sensing conditions to this gas.