Common trends and common cycles in stock markets

In this paper we examine the role of permanent and transitory shocks in explaining variations in the S&P 500, Dow Jones and the NASDAQ. Our modeling technique involves imposing both common trend and common cycle restrictions in extracting the variance decomposition of shocks. We find that: (1) the three stock price indices are characterized by a common trend and common cycle relationship; and (2) permanent shocks explain the bulk of the variations in stock prices over short horizons.

International business cycles and remittance flows

In this paper, we study the macroeconomic determinants of remittance flows. We place particular attention to fluctuations in remittance flows over the international business cycles. Estimating a dynamic panel data model using the system-GMM method over the period 1970–2007, we document that remittance inflows decrease with home country volatility. Contrarily, remittance inflows increase with the volatility in host countries, especially for middle-income countries. Lower interest rates in host countries lead to larger remittance outflows. Trade and capital account openness are the most important factors that determine both remittance inflows and outflows. We conclude that macroeconomic factors of both home and host countries are important for understanding remittance flows.

Establishing Competitive Domination Cycles for Peer-to-peer Game Combat

Games require balance to be fair and enjoyable. In two player combat settings balance can be achieved by ensuring that both units are equally capable. The possibility of alliances changes the nature of balance when additional players are introduced. One approach to achieving balance is to use a domination loop between agents in a rock, scissors, paper style approach. This paper investigates whether such loops exist within the existing rules of game combat. Search processes within the attribute space of the game units are used to identify loops within an existing game architecture. A dominance metric is used to identify cycles where the victory is achieved by a clear threshold. Cycles with up to 5 players are demonstrated, although larger cycles require more effort to find. Use of models of game play and attribute space search are recommended as a mechanism for balancing games of this format.

Synchronization by low-amplitude light-dark cycles of 24-hour pineal and plasma melatonin rhythms of hatchling European starlings (Sturnus vulgaris)

In young European starlings, as in other avian species, high-amplitude 24-hr rhythms in plasma and pineal melatonin are already present around the time of hatching. In chickens this rhythmicity results at least partly from the light sensitivity of the melatonin-producing and -secreting system. In contrast to the chicken, the starling is a hole-nesting bird, and it seemed questionable whether the low light intensities in the nest are sufficient to synchronize perinatal melatonin rhythms. We therefore exposed starling eggs to light cycles roughly simulating those measured in nest-boxes, i.e., an 11-hr phase of complete darkness and a 13-hr phase consisting of 15 min of dim light (10 lux) alternating with 30 min of darkness. For one group the photophase lasted from 0600 to 1900 hr; for the other group the photophase lasted from 1800 to 0700 hr. In approximately 10-hr-old hatchlings of both groups, plasma and pineal melatonin concentrations were high during the dark phase and low during the light phase. We conclude that perinatal low-amplitude light intensity changes of the kind experienced by hatching starlings in the field are sufficient for synchronizing the melatonin-producing and -secreting system in the pineal and possibly other organs.

Loss of periodicity in breeding success of waders links to changes in lemming cycles in Arctic ecosystems

Lemming population cycles in the Arctic have an important impact on the Arctic food web, indirectly also affecting breeding success in Arctic-nesting birds through shared predators. Over the last two decades lemming cycles have changed in amplitude and even disappeared in parts of the Arctic. To examine the large scale effect of these recent changes we re-analysed published data from the East Atlantic Flyway (EAF), where a relationship between lemming cycles and wader breeding success was earlier found, and new data on breeding success of waders in the East Asian-Australasian Flyway (EAAF). We found that 1) any long-term periodicities in wader breeding success existed only until the year 2000 in the EAAF and until the 1980s in the EAF; 2) studying these patterns at a smaller spatial scale, where the Siberian-Alaskan breeding grounds were divided into five geographical units largely based on landscape features, breeding success of waders from the EAAF was not correlated to an index of predation pressure, but positively correlated to Arctic summer temperatures in some species. We argue that fading out of lemming cycles in some parts of the Arctic is responsible for faltering periodicity in wader breeding success along both flyways. These changed conditions have not yet resulted in any marked changing trends in breeding success across years, and declining numbers of waders along the EAAF are therefore more likely a result of changing conditions at stop-over and wintering sites.

Nanoscale variation in energy dissipation in austenitic shape memory alloys in ultimate loading cycles

Wavy behaviours of hysteresis energy variation in nanoscale bulk of thermomechanical austenitic NiTi shape memory alloy are reported in ultimate nanoindentation loading cycles. One sharp and two spherical tips were used while two loading-unloading rates were applied. For comparison, another austenitic copper-based shape memory alloy, CuAlNi shape memory alloy, and a metal with no phase transition, elastoplastic Cu, were investigated. In shape memory alloys, the hysteresis energy variation ultimately undergoes a linear decrease with internal wavy fluctuations and no stabilisation was observed. The internal energy fluctuation in these alloys was found dissimilar depending on the loading-unloading rate and the indentation tip geometry. In contrast, there was an absence of both overall and internal variations in hysteresis energy for Cu after the second loading cycle. The underlying physics of these variations is discussed and found to be attributed to both the created dislocations and ratcheting thermal-mechanical behaviour of the phase-transformed volume in shape memory alloys.

The drowned apostles: the longevity of sea stacks over eustatic cycles

Cliffed rocky coasts are erosional environments, the remnants of which can be preserved as sea stacks as the shoreline retreats. These sea stacks form spectacular landscapes, such as the iconic Twelve Apostles in Victoria, Australia. However, they are ephemeral features formed on a centennial scale, continually eroding and collapsing, meaning that coasts characterised by sea stacks often have fewer features than when first described. The question arises then as to the longevity of such features and whether they can be preserved over eustatic cycles. The modern Twelve Apostles, of which 8 are still standing, are comprised of the Miocene Port Campbell Limestone and reach 45 m above sea level. Recent multibeam sonar data show five features around 6 km offshore, in 40-50 m water depth that appear to be relict sea stacks. Based on the morphology and geology of both the modern and drowned Apostles, it is inferred that the drowned and modern stacks evolved in a similar manner. While the modern sea stacks have an average height of 45 m, the drowned stacks have an average height of 4 m, suggesting a much greater age and also the possibility of multiple exposures to subaerial processes. The drowned stacks lay 655 m seaward of a drowned cliff averaging 14 m high which likely represents a former interstadial shoreline. This is much greater than the 91 m average distance between stack and cliff for the Modern Apostles, which may imply a more prolonged period of erosion along the drowned coastline.

Special interests and political business cycles

In this paper we bridge the gap between special interest politics and political business cycle literature. We build a framework where the interplay between the lobby power of special interest groups and the voting power of the majority of the population leads to political business cycles. We apply our set up to explain electoral cycles in government expenditure composition, aggregate expenditures and real exchange rates.

Estimating sectoral cycles using cointegration and common features

This paper investigates the degree of short run and long run co-movement in U.S. sectoral output data by estimating sectoraI trends and cycles. A theoretical model based on Long and Plosser (1983) is used to derive a reduced form for sectoral output from first principles. Cointegration and common features (cycles) tests are performed; sectoral output data seem to share a relatively high number of common trends and a relatively low number of common cycles. A special trend-cycle decomposition of the data set is performed and the results indicate a very similar cyclical behavior across sectors and a very different behavior for trends. Indeed. sectors cyclical components appear as one. In a variance decomposition analysis, prominent sectors such as Manufacturing and Wholesale/Retail Trade exhibit relatively important transitory shocks.

Common cycles in macroeconomic aggregates (revised version)

Although there has been substantial research on long-run co-movement (common trends) in the empirical macroeconomics literature. little or no work has been done on short run co-movement (common cycles). Investigating common cycles is important on two grounds: first. their existence is an implication of most dynamic macroeconomic models. Second. they impose important restrictions on dynamic systems. Which can be used for efficient estimation and forecasting. In this paper. using a methodology that takes into account short- and long-run co-movement restrictions. we investigate their existence in a multivariate data set containing U.S. per-capita output. consumption. and investment. As predicted by theory. the data have common trends and common cycles. Based on the results of a post-sample forecasting comparison between restricted and unrestricted systems. we show that a non-trivial loss of efficiency results when common cycles are ignored. If permanent shocks are associated with changes in productivity. the latter fails to be an important source of variation for output and investment contradicting simple aggregate dynamic models. Nevertheless. these shocks play a very important role in explaining the variation of consumption. Showing evidence of smoothing. Furthermore. it seems that permanent shocks to output play a much more important role in explaining unemployment fluctuations than previously thought.

Common cycles in macroeconomic aggregates

Reduced form estimation of multivariate data sets currently takes into account long-run co-movement restrictions by using Vector Error Correction Models (VECM' s). However, short-run co-movement restrictions are completely ignored. This paper proposes a way of taking into account short-and long-run co-movement restrictions in multivariate data sets, leading to efficient estimation of VECM' s. It enables a more precise trend-cycle decomposition of the data which imposes no untested restrictions to recover these two components. The proposed methodology is applied to a multivariate data set containing U.S. per-capita output, consumption and investment Based on the results of a post-sample forecasting comparison between restricted and unrestricted VECM' s, we show that a non-trivial loss of efficiency results whenever short-run co-movement restrictions are ignored. While permanent shocks to consumption still play a very important role in explaining consumption’s variation, it seems that the improved estimates of trends and cycles of output, consumption, and investment show evidence of a more important role for transitory shocks than previously suspected. Furthermore, contrary to previous evidence, it seems that permanent shocks to output play a much more important role in explaining unemployment fluctuations.