Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates

In this paper we examine the order of integration of EuroSterling interest rates by employing techniques that can allow for a structural break under the null and/or alternative hypothesis of the unit-root tests. In light of these results, we investigate the cointegrating relationship implied by the single, linear expectations hypothesis of the term structure of interest rates employing two techniques, one of which allows for the possibility of a break in the mean of the cointegrating relationship. The aim of the paper is to investigate whether or not the interest rate series can be viewed as I(1) processes and furthermore, to consider whether there has been a structural break in the series. We also determine whether, if we allow for a break in the cointegration analysis, the results are consistent with those obtained when a break is not allowed for. The main results reported in this paper support the conjecture that the ‘short’ Euro-currency rates are characterised as I(1) series that exhibit a structural break on or near Black Wednesday, 16 September 1992, whereas the ‘long’ rates are I(1) series that do not support the presence of a structural break. The evidence from the cointegration analysis suggests that tests of the expectations hypothesis based on data sets that include the ERM crisis period, or a period that includes a structural break, might be problematic if the structural break is not explicitly taken into account in the testing framework.

Bounding the role of black carbon in the climate system: a scientific assessment

Black carbon aerosol plays a unique and important role in Earth’s climate system. Black carbon is a type of carbonaceous material with a unique combination of physical properties. This assessment provides an evaluation of black-carbon climate forcing that is comprehensive in its inclusion of all known and relevant processes and that is quantitative in providing best estimates and uncertainties of the main forcing terms: direct solar absorption; influence on liquid, mixed phase, and ice clouds; and deposition on snow and ice. These effects are calculated with climate models, but when possible, they are evaluated with both microphysical measurements and field observations. Predominant sources are combustion related, namely, fossil fuels for transportation, solid fuels for industrial and residential uses, and open burning of biomass. Total global emissions of black carbon using bottom-up inventory methods are 7500 Gg yr�-1 in the year 2000 with an uncertainty range of 2000 to 29000. However, global atmospheric absorption attributable to black carbon is too low in many models and should be increased by a factor of almost 3. After this scaling, the best estimate for the industrial-era (1750 to 2005) direct radiative forcing of atmospheric black carbon is +0.71 W m�-2 with 90% uncertainty bounds of (+0.08, +1.27)Wm�-2. Total direct forcing by all black carbon sources, without subtracting the preindustrial background, is estimated as +0.88 (+0.17, +1.48) W m�-2. Direct radiative forcing alone does not capture important rapid adjustment mechanisms. A framework is described and used for quantifying climate forcings, including rapid adjustments. The best estimate of industrial-era climate forcing of black carbon through all forcing mechanisms, including clouds and cryosphere forcing, is +1.1 W m�-2 with 90% uncertainty bounds of +0.17 to +2.1 W m�-2. Thus, there is a very high probability that black carbon emissions, independent of co-emitted species, have a positive forcing and warm the climate. We estimate that black carbon, with a total climate forcing of +1.1 W m�-2, is the second most important human emission in terms of its climate forcing in the present-day atmosphere; only carbon dioxide is estimated to have a greater forcing. Sources that emit black carbon also emit other short-lived species that may either cool or warm climate. Climate forcings from co-emitted species are estimated and used in the framework described herein. When the principal effects of short-lived co-emissions, including cooling agents such as sulfur dioxide, are included in net forcing, energy-related sources (fossil fuel and biofuel) have an industrial-era climate forcing of +0.22 (�-0.50 to +1.08) W m-�2 during the first year after emission. For a few of these sources, such as diesel engines and possibly residential biofuels, warming is strong enough that eliminating all short-lived emissions from these sources would reduce net climate forcing (i.e., produce cooling). When open burning emissions, which emit high levels of organic matter, are included in the total, the best estimate of net industrial-era climate forcing by all short-lived species from black-carbon-rich sources becomes slightly negative (�-0.06 W m�-2 with 90% uncertainty bounds of �-1.45 to +1.29 W m�-2). The uncertainties in net climate forcing from black-carbon-rich sources are substantial, largely due to lack of knowledge about cloud interactions with both black carbon and co-emitted organic carbon. In prioritizing potential black-carbon mitigation actions, non-science factors, such as technical feasibility, costs, policy design, and implementation feasibility play important roles. The major sources of black carbon are presently in different stages with regard to the feasibility for near-term mitigation. This assessment, by evaluating the large number and complexity of the associated physical and radiative processes in black-carbon climate forcing, sets a baseline from which to improve future climate forcing estimates.

An AeroCom assessment of black carbon in Arctic snow and sea ice

Though many global aerosols models prognose surface deposition, only a few models have been used to directly simulate the radiative effect from black carbon (BC) deposition to snow and sea ice. Here, we apply aerosol deposition fields from 25 models contributing to two phases of the Aerosol Comparisons between Observations and Models (AeroCom) project to simulate and evaluate within-snow BC concentrations and radiative effect in the Arctic. We accomplish this by driving the offline land and sea ice components of the Community Earth System Model with different deposition fields and meteorological conditions from 2004 to 2009, during which an extensive field campaign of BC measurements in Arctic snow occurred. We find that models generally underestimate BC concentrations in snow in northern Russia and Norway, while overestimating BC amounts elsewhere in the Arctic. Although simulated BC distributions in snow are poorly correlated with measurements, mean values are reasonable. The multi-model mean (range) bias in BC concentrations, sampled over the same grid cells, snow depths, and months of measurements, are −4.4 (−13.2 to +10.7) ng g−1 for an earlier phase of AeroCom models (phase I), and +4.1 (−13.0 to +21.4) ng g−1 for a more recent phase of AeroCom models (phase II), compared to the observational mean of 19.2 ng g−1. Factors determining model BC concentrations in Arctic snow include Arctic BC emissions, transport of extra-Arctic aerosols, precipitation, deposition efficiency of aerosols within the Arctic, and meltwater removal of particles in snow. Sensitivity studies show that the model–measurement evaluation is only weakly affected by meltwater scavenging efficiency because most measurements were conducted in non-melting snow. The Arctic (60–90° N) atmospheric residence time for BC in phase II models ranges from 3.7 to 23.2 days, implying large inter-model variation in local BC deposition efficiency. Combined with the fact that most Arctic BC deposition originates from extra-Arctic emissions, these results suggest that aerosol removal processes are a leading source of variation in model performance. The multi-model mean (full range) of Arctic radiative effect from BC in snow is 0.15 (0.07–0.25) W m−2 and 0.18 (0.06–0.28) W m−2 in phase I and phase II models, respectively. After correcting for model biases relative to observed BC concentrations in different regions of the Arctic, we obtain a multi-model mean Arctic radiative effect of 0.17 W m−2 for the combined AeroCom ensembles. Finally, there is a high correlation between modeled BC concentrations sampled over the observational sites and the Arctic as a whole, indicating that the field campaign provided a reasonable sample of the Arctic.