New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks

This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence of multiple structural breaks. Our results strongly support the fulfilment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.

New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks

This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence of multiple structural breaks. Our results strongly support the fulfilment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.

New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks

This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence of multiple structural breaks. Our results strongly support the fulfillment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.

Is real GDP stationary? Evidence from a panel unit root test with cross-sectional dependence and historical data

We use historical data that cover more than one century on real GDP for industrial countries and employ the Pesaran panel unit root test that allows for cross-sectional dependence to test for a unit root on real GDP. We find strong evidence against the unit root null. Our results are robust to the chosen group of countries and the sample period. Key words: real GDP stationarity, cross-sectional dependence, CIPS test. JEL Classification: C23, E32

Level shifts in a panel data based unit root test : an application to the rate of unemployment

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the unidimensional case, it was found to perform poorly when there is a structural break in the time series under the alternative. Here we derive the asymptotic distribution of the test allowing for a shift in the mean, and assess the small sample performance. We apply this new test to show how the hypothesis of (perfect) hysteresis in Spanish unemployment is rejected in favour of the alternative of the natural unemployment rate, when the possibility of a change in the latter is considered.

Level shifts in a panel data based unit root test : an application to the rate of unemployment

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the unidimensional case, it was found to perform poorly when there is a structural break in the time series under the alternative. Here we derive the asymptotic distribution of the test allowing for a shift in the mean, and assess the small sample performance. We apply this new test to show how the hypothesis of (perfect) hysteresis in Spanish unemployment is rejected in favour of the alternative of the natural unemployment rate, when the possibility of a change in the latter is considered.

An analysis of inflation rates in the European Union using wavelets : strong evidence against unit roots

In this paper we assume inflation rates in European Union countries may in fact be fractionally integrated. Given this assumption, we obtain estimations of the order of integration by means a method based on wavelets coefficients. Finally, results obtained allow reject the unit root hypothesis on inflation rates. It means that a random shock on the rate of inflation in these countries has transitory effects that gradually diminish with the passage of time, that this, said shock hasn¿t a permanent effect on future values of inflation rates

An analysis of inflation rates in the European Union using wavelets : strong evidence against unit roots

In this paper we assume inflation rates in European Union countries may in fact be fractionally integrated. Given this assumption, we obtain estimations of the order of integration by means a method based on wavelets coefficients. Finally, results obtained allow reject the unit root hypothesis on inflation rates. It means that a random shock on the rate of inflation in these countries has transitory effects that gradually diminish with the passage of time, that this, said shock hasn¿t a permanent effect on future values of inflation rates

Inequality across countries in energy intensities: an analysis of the role of energy transformation and final energy consumption

This paper analyzes the role of the energy transformation index and of final energy consumption per GDP unit in the disparities in energy intensity across countries. In that vein, we use a Theil decomposition approach to analyze global primary energy intensity inequality as well as inequality across different regions of the world and inequality within these regions. The paper first demonstrates the pre-eminence of divergence in final energy consumption per GDP unit in explaining global primary energy intensity inequality and its evolution during the 1971-2006 period. Secondly, it shows the lower (albeit non negligible) impact of the transformation index in global primary energy inequality. Thirdly, the relevance of regions as unit of analysis in studying crosscountry energy intensity inequality and their explanatory factors is highlighted. And finally, how regions around the world differ as to the relevance of the energy transformation index in explaining primary energy intensity inequality.

Unemployment dynamics and NAIRU estimates for CEECs : a univariate approach

In this paper we test for the hysteresis versus the natural rate hypothesis on the unemployment rates of the EU new members using unit root tests that account for the presence of level shifts. As a by product, the analysis proceeds to the estimation of a NAIRU measure from a univariate point of view. The paper also focuses on the precision of these NAIRU estimates studying the two sources of inaccuracy that derive from the break points estimation and the autoregressive parameters estimation. The results point to the existence of up to four structural breaks in the transition countries NAIRU that can be associated with institutional changes implementing market-oriented reforms. Moreover, the degree of persistence in unemployment varies dramatically among the individual countries depending on the stage reached in the transition process

Unemployment dynamics and NAIRU estimates for CEECs : a univariate approach

In this paper we test for the hysteresis versus the natural rate hypothesis on the unemployment rates of the EU new members using unit root tests that account for the presence of level shifts. As a by product, the analysis proceeds to the estimation of a NAIRU measure from a univariate point of view. The paper also focuses on the precision of these NAIRU estimates studying the two sources of inaccuracy that derive from the break points estimation and the autoregressive parameters estimation. The results point to the existence of up to four structural breaks in the transition countries NAIRU that can be associated with institutional changes implementing market-oriented reforms. Moreover, the degree of persistence in unemployment varies dramatically among the individual countries depending on the stage reached in the transition process

How did the Financial Crisis affect the Real Interest Rate Dynamics in Europe?

We investigate the effects of the financial crisis on the stationarity of real interest rates in the Euro Area. We use a new unit root test developed by Peseran et al. (2013) that allows for multiple unobserved factors in a panel set up. Our results suggest that while short-term and long-term real interest rates were stationary before the financial crisis, they became nonstationary during the crisis period likely due to persistent risk that characterized financial markets during that time. JEL codes: E43, C23. Keywords: Real interest rates, Euro Area, financial crisis, panel unit root tests, cross-sectional dependence.

El fet migratori a Catalunya i els processos d'identificació nacional en la població nouvinguda

En el marc de la recerca sobre identitats i nova ciutadania, l’objecte d’aquest treball és reconèixer elements clau dels processos d’identificació nacional a Catalunya en la població nouvinguda, i identificar els factors que n'afavoreixen la seva vinculació comunitària. La recerca s'ha desenvolupat en un primer bloc analitzant la perspectiva sociològica entorn a la idea d’identitat, així com l’evolució del discurs identitari a Catalunya, a fi de continuar desenvolupant amb profunditat el debat sobre identitat i nació en relació al fet migratori i la diversitat social existent. En un segon bloc d’anàlisi, la recerca fixa la mirada a una dotzena de casos treballats a través d’històries de vida de diverses realitats migratòries del nostre país corresponents a les diverses onades del segle XX, tant d’immigració espanyola com d'immigració de fora de l'Estat espanyol. La voluntat d’aquest segon bloc és extreure experiències socials d’interpretacions individuals que assenyalin quins elements permeten o dificulten la mobilitat social, quines experiències tenen valor identitari i de quin tipus, i quins fenòmens esdevenen rellevants en la configuració d’espais de referència i identificació nacional a nivell individual. Finalment s’incorpora un apartat d’entrevistes en profunditat a diversos actors socials i polítics rellevants a fi de reconèixer aquells elements que centren el discurs de la “nova cultura pública comuna”. L’objectiu és interrelacionar el discurs polític i filosòfic actual amb l’experiència biogràfica de les persones, assenyalant aquells elements que han estat significatius per a la seva identitat com a catalans i catalanes o, ans al contrari, que no han afavorit una situació en aquests termes. En aquest sentit la pregunta que vincula aquest espai de reflexió és: Quins elements afavoreixen la identificació nacional englobant la diversitat social existent i quins mecanismes d'adhesió hi podrien funcionar?

Further evidence on the statistical properties of real GNP

The well-known lack of power of unit root tests has often been attributed to the shortlength of macroeconomic variables and also to DGP s that depart from the I(1)-I(0)alternatives. This paper shows that by using long spans of annual real GNP and GNPper capita (133 years) high power can be achieved, leading to the rejection of both theunit root and the trend-stationary hypothesis. This suggests that possibly neither modelprovides a good characterization of these data. Next, more flexible representations areconsidered, namely, processes containing structural breaks (SB) and fractional ordersof integration (FI). Economic justification for the presence of these features in GNP isprovided. It is shown that the latter models (FI and SB) are in general preferred to theARIMA (I(1) or I(0)) ones. As a novelty in this literature, new techniques are appliedto discriminate between FI and SB models. It turns out that the FI specification ispreferred, implying that GNP and GNP per capita are non-stationary, highly persistentbut mean-reverting series. Finally, it is shown that the results are robust when breaksin the deterministic component are allowed for in the FI model. Some macroeconomicimplications of these findings are also discussed.

Optimal taxation without state-contingent debt

To recover a version of Barro's (1979) `random walk'tax smoothing outcome, we modify Lucas and Stokey's (1983) economyto permit only risk--free debt. This imparts near unit root like behaviorto government debt, independently of the government expenditureprocess, a realistic outcome in the spirit of Barro's. We showhow the risk--free--debt--only economy confronts the Ramsey plannerwith additional constraints on equilibrium allocations thattake the form of a sequence of measurability conditions.We solve the Ramsey problem by formulating it in terms of a Lagrangian,and applying a Parameterized Expectations Algorithm tothe associated first--order conditions. The first--order conditions andnumerical impulse response functions partially affirmBarro's random walk outcome. Though the behaviors oftax rates, government surpluses, and government debts differ, allocationsare very close for computed Ramsey policies across incomplete and completemarkets economies.