Combining multivariate density forecasts using predictive criteria

This paper combines multivariate density forecasts of output growth, inflationand interest rates from a suite of models. An out-of-sample weighting scheme based onthe predictive likelihood as proposed by Eklund and Karlsson (2005) and Andersson andKarlsson (2007) is used to combine the models. Three classes of models are considered: aBayesian vector autoregression (BVAR), a factor-augmented vector autoregression (FAVAR)and a medium-scale dynamic stochastic general equilibrium (DSGE) model. Using Australiandata, we find that, at short forecast horizons, the Bayesian VAR model is assignedthe most weight, while at intermediate and longer horizons the factor model is preferred.The DSGE model is assigned little weight at all horizons, a result that can be attributedto the DSGE model producing density forecasts that are very wide when compared withthe actual distribution of observations. While a density forecast evaluation exercise revealslittle formal evidence that the optimally combined densities are superior to those from thebest-performing individual model, or a simple equal-weighting scheme, this may be a resultof the short sample available.

Skill-biased technological change and the business cycle

Over the past two decades, technological progress in the United States hasbeen biased towards skilled labor. What does this imply for business cycles?We construct a quarterly skill premium from the CPS and use it to identifyskill-biased technology shocks in a VAR with long-run restrictions. Hours fallin response to skill-biased technology shocks, indicating that at least part of thetechnology-induced fall in total hours is due to a compositional shift in labordemand. Skill-biased technology shocks have no effect on the relative price ofinvestment, suggesting that capital and skill are not complementary in aggregateproduction.

The structural dynamics of US output and inflation: What explains the changes?

We examine the dynamics of US output and inflation using a structural time varyingcoefficient VAR. We show that there are changes in the volatility of both variables andin the persistence of inflation. Technology shocks explain changes in output volatility,while a combination of technology, demand and monetary shocks explain variations inthe persistence and volatility of inflation. We detect changes over time in the transmission of technology shocks and in the variance of technology and of monetary policyshocks. Hours and labor productivity always increase in response to technology shocks.

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.

Do institutional changes affect business cycles? Evidence from Europe

We study the effects that the Maastricht treaty, the creation of the ECB, andthe Euro changeover had on the dynamics of European business cycles using a panelVAR and data from ten European countries - seven from the Euro area and threeoutside of it. There are changes in the features of European business cycles and in thetransmission of shocks. They precede the three events of interest and are more linkedto a general process of European convergence and synchronization.

On the sources of the Great Moderation

The remarkable decline in macroeconomic volatility experienced by the U.S. economy since the mid-80s (the so-called Great Moderation) has been accompanied by large changes in the patterns of comovements among output, hours and labor productivity. Those changes are reflected in both conditional and unconditional second moments as well as in the impulse responses to identified shocks. That evidencepoints to structural change, as opposed to just good luck, as an explanation for the Great Moderation. We use a simple macro model to suggest some of the immediate sources which are likely to be behindthe observed changes.

Nets: Network estimation for time series

This work proposes novel network analysis techniques for multivariate time series.We define the network of a multivariate time series as a graph where verticesdenote the components of the process and edges denote non zero long run partialcorrelations. We then introduce a two step LASSO procedure, called NETS, toestimate high dimensional sparse Long Run Partial Correlation networks. This approachis based on a VAR approximation of the process and allows to decomposethe long run linkages into the contribution of the dynamic and contemporaneousdependence relations of the system. The large sample properties of the estimatorare analysed and we establish conditions for consistent selection and estimation ofthe non zero long run partial correlations. The methodology is illustrated with anapplication to a panel of U.S. bluechips.

Specialisation in Europe and asymmetric shocks: potential risks of EMU

Most optimistic views, based on Optimum Currency Areas (OCA) literature, have concluded that the probability of asymmetric shocks to occur at anational level will tend to diminish in the Economic and Monetary Union (EMU)as a result of the intensification of the integration process during the most recent years. Therefore, since Economic Geography Theories predict a higherspecialisation of regions, it is expected that asymmetric shocks will increase.Previous studies have examined to what extent asymmetric shocks have been relevant in the past using, mainly, static measures of asymmetries such as the correlation coefficients between series of shocks previously calculated from astructural VAR model (Bayoumi and Eichengreen, 1992).In this paper, we study the evolution of manufacturing specific asymmetries in Europe from a dynamic point of view (applying the modelproposed by Haldane and Hall, 1991) in order to obtain new evidence about potential risks of EMU.

Buy-and-Hold Strategies and Comonotonic Approximations

[cat] En aquest article estudiem estratègies “comprar i mantenir” per a problemes d’optimitzar la riquesa final en un context multi-període. Com que la riquesa final és una suma de variables aleatòries dependents, on cadascuna d’aquestes correspon a una quantitat de capital que s’ha invertit en un actiu particular en una data determinada, en primer lloc considerem aproximacions que redueixen l’aleatorietat multivariant al cas univariant. A continuació, aquestes aproximacions es fan servir per determinar les estratègies “comprar i mantenir” que optimitzen, per a un nivell de probabilitat donat, el VaR i el CLTE de la funció de distribució de la riquesa final. Aquest article complementa el treball de Dhaene et al. (2005), on es van considerar estratègies de reequilibri constant.

Specialisation in Europe and asymmetric shocks: potential risks of EMU

Most optimistic views, based on Optimum Currency Areas (OCA) literature, have concluded that the probability of asymmetric shocks to occur at anational level will tend to diminish in the Economic and Monetary Union (EMU)as a result of the intensification of the integration process during the most recent years. Therefore, since Economic Geography Theories predict a higherspecialisation of regions, it is expected that asymmetric shocks will increase.Previous studies have examined to what extent asymmetric shocks have been relevant in the past using, mainly, static measures of asymmetries such as the correlation coefficients between series of shocks previously calculated from astructural VAR model (Bayoumi and Eichengreen, 1992).In this paper, we study the evolution of manufacturing specific asymmetries in Europe from a dynamic point of view (applying the modelproposed by Haldane and Hall, 1991) in order to obtain new evidence about potential risks of EMU.

Buy-and-Hold Strategies and Comonotonic Approximations

[cat] En aquest article estudiem estratègies “comprar i mantenir” per a problemes d’optimitzar la riquesa final en un context multi-període. Com que la riquesa final és una suma de variables aleatòries dependents, on cadascuna d’aquestes correspon a una quantitat de capital que s’ha invertit en un actiu particular en una data determinada, en primer lloc considerem aproximacions que redueixen l’aleatorietat multivariant al cas univariant. A continuació, aquestes aproximacions es fan servir per determinar les estratègies “comprar i mantenir” que optimitzen, per a un nivell de probabilitat donat, el VaR i el CLTE de la funció de distribució de la riquesa final. Aquest article complementa el treball de Dhaene et al. (2005), on es van considerar estratègies de reequilibri constant.

Contribucion al estudio de los briofitos acuaticos de lagunas y charcas de España

Se citan las especies de briófitos obtenidas en muéstreos limnológicos generales de lagunas y charcas de España y se describen someramente las 28 localidades donde éstas fueron halladas. Drepanocladus aduncus aparece como la especie más ampliamente distribuida, seguida por Leptodictyum riparium. Citas destacables son las de Octodicems fontanum y Cratoneuron conmutatum var. fluctuóos fina, crassinervia. Los briófitos acuáticos se encontraron preferentemente en habitat con intensidades luminosas reducidas y substratos turbosos.

Aportació al coneixement de la brioflora aquàtica de l'alta muntanya pirinenca

Hemos estudiado la brioflora acuática de diversas localidades de los Pirineos Centrales y Orientales, situadas por encima de 1600 m de altitud. En las aguas corrientes abundan Hygrohypnum sp. pl., Schistidium alpicola var. rivulare, Cratoneuron commutatum, Pbilonotis sp. pl., Bryum pseudotriquetrum, Scapania undulata y Marsupella emarginata var. aquatica. En las aguas remansadas y en los lagos abundan Blindia acuta, Jungermanma exsertifolia ssp. cordi/olia, Chiloscyphus polyantbos y, en los márgenes Pbilonotis seriata. Todas estas especies han desarrollado características morfológicas de adaptación al medio y se trata de especies muy diferentes de las que dominan en la montaña media y en el llano. Es destacable la presencia de briófitos en las riberas de los ibones, a muy poca profundidad, donde han de soportar el hielo de 7 a 9 meses.

Notas nomenclaturales, taxonomicas y corologicas sobre el género Cuphea (Lythraceae) en el Paraguay.

Se presenta el tratamiento nomenclatural del genero Cuphea (Lythraceae) en el Paraguay, que reúne el nombre correcto para las 28 especies reconocidas y su correspondiente sinonimia. Para la mayoría de taxones que se mencionan en el texto se ha revisado su tipificación. Se tipifican por primera vez el subgénero Lytrocuphea Koehne y las secciones Brachyandra Koehne y Enatiocuphea Koehne y se lectotipifican C. tuberosa Cham. & Schltdl., C. inaequalifolia Koehne. C. punctulata Koehne, además de varios sinónimos. Se proponen las siguientes combinaciones nomenclaturales: C. corisperma subsp. hexasperma (Koehne) Duré & Molero. C. racemosa subsp. longiflora (Koehne) Duré & Molero y C. racemosa var. ramosior (Koehne ) Duré & Molero. Desde el punto de vista corológico se citan por primera vez para el Paraguay C. micrahtha Humb., Bonpl. & Kunth. Cuphea rusbyi Lourteig y C. sessilifoila Mart. Se incluyen también algunos comentarios taxonómicos sobre táxones críticos como C. corisperma Koehne, C. hassleri Koehne y C. racemosa (L. f.) Sprengel , entre otros.

Aportaciones a la Flora del sudeste Iberico

Se da a conocer una lista de 82 táxones, en su mayoría recolectados en la franja costera de las provincias de Alicante y Murcia. Alrededor de la mitad representan primeras citas provinciales y el resto han sido muy escasamente citados. Se describen dos nuevos táxones: Nepeta amethystina Poiret in Lam. & Poiret subsp. microglandulosa]. Molerò, subsp. nova y Misopates orontium (L.) Rafin. var. pusillus J . Molerò, var. nova. Se propone una nueva combinación nomenclatura]: Armeria filicaulis (Boiss.) Boiss. subsp. willkommiana (Bernis) J . Molerò, comb. nova.