Pricing-to-market using EGARCH-error correction model

In this paper, the authors use an exponential generalized autoregressive conditional heteroscedastic (EGARCH) error-correction model (ECM), that is, EGARCH-ECM, to estimate the pass-through effects of foreign exchange (FX) rates and producers’ prices for 20 U.K. export sectors. The long-run adjustment of export prices to FX rates and producers’ prices is within the range of -1.02% (for the Textiles sector) and -17.22% (for the Meat sector). The contemporaneous pricing-to-market (PTM) coefficient is within the range of -72.84% (for the Fuels sector) and -8.05% (for the Textiles sector). Short-run FX rate pass-through is not complete even after several months. Rolling EGARCH-ECMs show that the short and long-run effects of FX rate and producers’ prices fluctuate substantially as are asymmetry and volatility estimates before equilibrium is achieved.

Pairing Repeated Reading and Systematic Error Correction: Impact on Fluency of 18 Year Old Students on a Small Caribbean Island

This study investigates the impact of a combined treatment of Systematic Error Correction and Repeated Reading on reading rate and errors for 18 year olds with undiagnosed reading difficulties on a Caribbean Island. In addition to direct daily measures of reading accuracy, the Reading Self Perception Scale was administered to determine whether the intervention was associated with changes in the way the student perceives himself as a reader.

Quantum error correction with the IBM quantum experience

Mentre si svolgono operazioni su dei qubit, possono avvenire vari errori, modificando così l’informazione da essi contenuta. La Quantum Error Correction costruisce algoritmi che permettono di tollerare questi errori e proteggere l’informazione che si sta elaborando. Questa tesi si focalizza sui codici a 3 qubit, che possono correggere un errore di tipo bit-flip o un errore di tipo phase-flip. Più precisamente, all’interno di questi algoritmi, l’attenzione è posta sulla procedura di encoding, che punta a proteggere meglio dagli errori l’informazione contenuta da un qubit, e la syndrome measurement, che specifica su quale qubit è avvenuto un errore senza alterare lo stato del sistema. Inoltre, sfruttando la procedura della syndrome measurement, è stata stimata la probabilità di errore di tipo bit-flip e phase-flip su un qubit attraverso l’utilizzo della IBM quantum experience.

Heterogeneity, saving-investment dynamics and capital mobility in Latin America

The purpose of this paper is to analyze the dynamics of national saving-investment relationship in order to determine the degree of capital mobility in 12 Latin American countries. The analytically relevant correlation is the short-term one, defined as that between changes in saving and investment. Of special interest is the speed at which variables return to the long run equilibrium relationship, which is interpreted as being negatively related to the degree of capital mobility. The long run correlation, in turn, captures the coefficient implied by the solvency constraint. We find that heterogeneity and cross-section dependence completely change the estimation of the long run coefficient. Besides we obtain a more precise short run coefficient estimate compared to the existent estimates in the literature. There is evidence of an intermediate degree of capital mobility, and the coefficients are extremely stable over time.

Monte Carlo evidence on cointegration and causation

The small sample performance of Granger causality tests under different model dimensions, degree of cointegration, direction of causality, and system stability are presented. Two tests based on maximum likelihood estimation of error-correction models (LR and WALD) are compared to a Wald test based on multivariate least squares estimation of a modified VAR (MWALD). In large samples all test statistics perform well in terms of size and power. For smaller samples, the LR and WALD tests perform better than the MWALD test. Overall, the LR test outperforms the other two in terms of size and power in small samples.

Real equilibrium exchange rates. A panel data approach for advanced and emerging economies.

Based on an behavioral equilibrium exchange rate model, this paper examines the determinants of the real effective exchange rate and evaluates the degree of misalignment of a group of currencies since 1980. Within a panel cointegration setting, we estimate the relationship between exchange rate and a set of economic fundamentals, such as traded-nontraded productivity differentials and the stock of foreign assets. Having ascertained the variables are integrated and cointegrated, the long-run equilibrium value of the fundamentals are estimated and used to derive equilibrium exchange rates and misalignments. Although there is statistical homogeneity, some structural differences were found to exist between advanced and emerging economies.

Does the euro dominate Central and Eastern European money markets?

The so-called German Dominance Hypothesis (GDH) claimed that Bundesbank policies were transmitted into other European Monetary System (EMS) interest rates during the pre-euro era. We reformulate this hypothesis for the Central and Eastern European (CEE) countries that are on the verge of accessing the eurozone. We test this \Euro Dominance Hypothesis (EDH)" in a novel way using a global vector autoregressive (GVAR) approach that combines country-speci c error correction models in a global system. We nd that euro area monetary policies are transmitted into CEE interest rates which provides evidence for monetary integration between the eurozone and CEE countries. Our framework also allows for introducing global monetary shocks to provide empirical evidence regarding the e ects of the recent nancial crisis on monetary integration in Europe.

Regime-Switching Cointegration

We develop methods for Bayesian inference in vector error correction models which are subject to a variety of switches in regime (e.g. Markov switches in regime or structural breaks). An important aspect of our approach is that we allow both the cointegrating vectors and the number of cointegrating relationships to change when the regime changes. We show how Bayesian model averaging or model selection methods can be used to deal with the high-dimensional model space that results. Our methods are used in an empirical study of the Fisher effect.

Regime-Switching Cointegration

We develop methods for Bayesian inference in vector error correction models which are subject to a variety of switches in regime (e.g. Markov switches in regime or structural breaks). An important aspect of our approach is that we allow both the cointegrating vectors and the number of cointegrating relationships to change when the regime changes. We show how Bayesian model averaging or model selection methods can be used to deal with the high-dimensional model space that results. Our methods are used in an empirical study of the Fisher e ffect.

Foreign Direct Investment, Clean Development Mechanism, and Environmental Management: A case of Sub-Saharan Africa

This doctoral dissertation explores the contribution of environmental management practices, the so-called clean development mechanism (CDM) projects, and foreign direct investment (FDI) in achieving sustainable development in developing countries, particularly in Sub- Saharan Africa. Because the climate change caused by greenhouse gas emissions is one of the most serious global environmental challenges, the main focus is on the causal links between carbon dioxide (CO2) emissions, energy consumption, and economic development in Sub-Saharan Africa. In addition, the dissertation investigates the factors that have affected the distribution of CDM projects in developing countries and the relationships between FDI and other macroeconomic variables of interest. The main contribution of the dissertation is empirical. One of the publications uses crosssectional data and Tobit and Poisson regressions. Three of the studies use time-series data and vector autoregressive and vector error correction models, while two publications use panel data and panel data estimation methods. One of the publications uses thus both timeseries and panel data. The concept of Granger causality is utilized in four of the publications. The results indicate that there are significant differences in the Granger causality relationships between CO2 emissions, energy consumption, economic growth, and FDI in different countries. It appears also that the causality relationships change over time. Furthermore, the results support the environmental Kuznets curve hypothesis but only for some of the countries. As to CDM activities, past emission levels, institutional quality, and the size of the host country appear to be among the significant determinants of the distribution of CDM projects. FDI and exports are also found to be significant determinants of economic growth.

How do domestic policies affect the integration of Ethiopian fertiliser markets with world markets?

Frequent shifts in policy on fertiliser markets have occurred in Ethiopia with the aim of facilitating both physical and economic access of farmers to fertiliser. The last shift was the introduction of a monopoly on each stage of the supply chain in 2008. Furthermore, government control of prices and margins as well as stockholding programmes are also present on the markets. This paper evaluates the effect of these policies on the integration of domestic with world markets of fertiliser, using cointegration methods. Time series data of diammonium phosphate (DAP) and urea prices on world, import and retail markets between 1971 and 2012 are used. The findings show high transmission of price signals from world markets to import prices for both DAP and urea. However, between import and retail prices there is no evidence of cointegration for urea, while for DAP full price transmission is concluded. In the retail market, domestic transaction costs associated with storing large volumes of fertiliser act as a buffer between import and retail prices, especially for urea. Therefore, economic benefits could be achieved by reducing the size of stocks and revising the demand estimation process.

Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach

We examine the long-run relationship between the parallel and the official exchange rate in Colombia over two regimes; a crawling peg period and a more flexible crawling band one. The short-run adjustment process of the parallel rate is examined both in a linear and a nonlinear context. We find that the change from the crawling peg to the crawling band regime did not affect the long-run relationship between the official and parallel exchange rates, but altered the short-run dynamics. Non-linear adjustment seems appropriate for the first period, mainly due to strict foreign controls that cause distortions in the transition back to equilibrium once disequilibrium occurs

Bayesian estimation of co-integrating thresholds in the term structure of interest rates.

Threshold Error Correction Models are used to analyse the term structure of interest Rates. The paper develops and uses a generalisation of existing models that encompasses both the Band and Equilibrium threshold models of [Balke and Fomby ((1997) Threshold cointegration. Int Econ Rev 38(3):627–645)] and estimates this model using a Bayesian approach. Evidence is found for threshold effects in pairs of longer rates but not in pairs of short rates. The Band threshold model is supported in preference to the Equilibrium model.

Does consumption-wealth ratio signal stock returns? VECM results for Germany

This paper studies the signalling effect of the consumption−wealth ratio (cay) on German stock returns via vector error correction models (VECMs). The effect of cay on U.S. stock returns has been recently confirmed by Lettau and Ludvigson with a two−stage method. In this paper, performance of the VECMs and the two−stage method are compared in both German and U.S. data. It is found that the VECMs are more suitable to study the effect of cay on stock returns than the two−stage method. Using the Conditional−Subset VECM, cay signals real stock returns and excess returns in both data sets significantly. The estimated coefficient on cay for stock returns turns out to be two times greater in U.S. data than in German data. When the two−stage method is used, cay has no significant effect on German stock returns. Besides, it is also found that cay signals German wealth growth and U.S. income growth significantly.