Using a panel structure to discuss the Feldstein-Horioka puzzle in developing countries

The purpose of this paper is to test the implications of current account solvency for the savinginvestment correlation in developing countries. Since solvency is a long-run phenomenon, and given that the power of the standard unit root and cointegration tests is low, we exploit the panel structure of the sample of 29 developing countries. We find evidence that saving and investment are cointegrated and that the current account is stationary. Therefore, the Feldstein-Horioka correlations are not a puzzle in the sense they reflect the intertemporal budget constraint. The same results are obtained for different subsamples (Africa, Asia, and Latin America) and for different periods of time (1960-74 and 1975-96). We, then, suggest that an error correction model should distinguish between the long-run correlation, which reflects the solvency condition, and the short-run correlation, which could measure capital mobility.

Análises dos testes de cointegração e de correção de erro dos preços do café e do cacau no mercado internacional de futuros e opções

Neste artigo, analisam-se as séries de tempo individuais dos preços do café e do cacau no mercado internacional por meio de apropriados testes de estacionariedade e de raiz unitária. A diferença existente entre as séries temporais econômicas de curto prazo e de longo prazo tem atraído bastante a atenção de economistas nas duas últimas décadas. Os dados de longo prazo são freqüentemente associados às séries temporais não estacionárias conhecidas por tendências, enquanto as flutuações de curto prazo são séries de tempo estacionárias e são chamadas de ciclos. As séries temporais econômicas e financeiras podem ser vistas como combinações desses componentes de ciclos e tendências. Entretanto, a presença ou não de fatores comuns entre duas ou mais séries temporais pode produzir um efeito tal que a combinação das séries temporais não manifeste possuir nenhuma característica individualmente. Poderia haver uma tendência comum partilhada por duas séries temporais. Se não há mais tendências numa série de tempo, então as duas séries de tempo são cointegradas. Esse tipo de análise fator comum pode ser estendido e aplicado aos ciclos comuns.

The Long-Run Relationship between Money, Nominal GDP, and the Price Level in Venezuela: 1950 to 1996

This paper explores whether a significant long-run relationship exists between money and nominal GDP and between money and the price level in the Venezuelan economy. We apply time-series econometric techniques to annual data for the Venezuelan economy for 1950 to 1996. An important feature of our analysis is the use of tests for unit roots and cointegration with structural breaks. Certain characteristics of the Venezuelan experience suggest that structural breaks may be important. Since the economy depends heavily on oil revenue, oil price shocks have had important influences on most macroeconomic variables. Also since the economy possesses large foreign debt, the world debt crisis that exploded in 1982 had pervasive effects on the Venezuelan economy. Radical changes in economic policy and political instability may have also significantly affected the movement of the macroeconomy. We find that a long-run relationship exists between narrow money (M1) and nominal GDP, the GDP deflator, and the CPI when one makes allowances for one or two structural breaks. We do not find such long-run relationships when broad money (M2) is used.

Economic crisis and tourism competitiveness in Spain: permanent effects or transitory shocks?

This paper considers the influence of business cycles and economic crises on Spain's tourism competitiveness. This competitiveness is measured by its share in world tourism. Analysing the presence of unit roots in the market share series from 1958 to 2010, the permanent effects of economic crises on competitiveness are evaluated. The evidence from standard linear unit root tests indicates that crises on Spanish market shares are highly persistent. When we account for endogenously determined structural breaks, we obtain greater support for stationarity, but breakpoints are identified with major economic crises. Therefore the main conclusion obtained is that the effects of the economic shocks are not neutral on competitiveness, with the negative effects being more persistent in highly intensive crises. These crises reinforce a natural downward trend of the Spanish world tourism market share caused by the natural emergence of new competing destinations and by the maturity of the Spain's principal tourism product.

Openness and economic growth

The themes of this thesis are that international trade and foreign direct investment (FDI) are closely related and that they have varying impacts on economic growth in countries at different stages of development. The thesis consists of three empirical studies. The first one examines the causal relationship between FDI and trade in China. The empirical study is based on a panel of bilateral data for China and 19 home countries/regions over the period 1984-98. The specific feature of the study is that econometric techniques designed specially for panel data are applied to test for unit roots and causality. The results indicate a virtuous procedure of development for China. The growth of China’s imports causes growth in inward FDI from a home country/region, which in turn causes the growth of exports from China to the home country/region. The growth of exports causes the growth of imports. This virtuous procedure is the result of China’s policy of opening to the outside world. China has been encouraging export-oriented FDI and reducing trade barriers. Such policy instruments should be further encouraged in order to enhance economic growth. In the second study, an extended gravity model is constructed to identify the main causes of recent trade growth in OECD countries. The specific features include (a) the explicit introduction of R&D and FDI as two important explanatory variables into an augmented gravity equation; (b) the adoption of a panel data approach, and (c) the careful treatment of endogeneity. The main findings are that the levels and similarities of market size, domestic R&D stock and inward FDI stock are positively related to the volume of bilateral trade, while the geographical distance, exchange rate and relative factor endowments, has a negative impact. These findings lend support to new trade, FDI and economic growth theories. The third study evaluates the impact of openness on growth in different country groups. This research distinguishes itself from many existing studies in three aspects: first, both trade and FDI are included in the measurement of openness. Second, countries are divided' into three groups according to their development stages to compare the roles of FDI and trade in different groups. Third, the possible problems of endogeneity and multicollinearity of FDI and trade are carefully dealt with in a panel data setting. The main findings are that FDI and trade are both beneficial to a country's development. However, trade has positive effects on growth in all country groups but FDI has positive effects on growth only in the country groups which have had moderate development. The findings suggest FDI and trade may affect growth under different conditions.

Pricing-to-market for UK export sector

This thesis investigates the pricing-to-market (PTM) behaviour of the UK export sector. Unlike previous studies, this study econometrically tests for seasonal unit roots in the export prices prior to estimating PTM behaviour. Prior studies have seasonally adjusted the data automatically. This study’s results show that monthly export prices contain very little seasonal unit roots implying that there is a loss of information in the data generating process of the series when estimating PTM using seasonally-adjusted data. Prior studies have also ignored the econometric properties of the data despite the existence of ARCH effects in such data. The standard approach has been to estimate PTM models using Ordinary Least Square (OLS). For this reason, both EGARCH and GJR-EGARCH (hereafter GJR) estimation methods are used to estimate both a standard and an Error Correction model (ECM) of PTM. The results indicate that PTM behaviour varies across UK sectors. The variables used in the PTM models are co-integrated and an ECM is a valid representation of pricing behaviour. The study also finds that the price adjustment is slower when the analysis is performed on real prices, i.e., data that are adjusted for inflation. There is strong evidence of auto-regressive condition heteroscedasticity (ARCH) effects – meaning that the PTM parameter estimates of prior studies have been ineffectively estimated. Surprisingly, there is very little evidence of asymmetry. This suggests that exporters appear to PTM at a relatively constant rate. This finding might also explain the failure of prior studies to find evidence of asymmetric exposure in foreign exchange (FX) rates. This study also provides a cross sectional analysis to explain the implications of the observed PTM of producers’ marginal cost, market share and product differentiation. The cross-sectional regressions are estimated using OLS, Generalised Method of Moment (GMM) and Logit estimations. Overall, the results suggest that market share affects PTM positively.Exporters with smaller market share are more likely to operate PTM. Alternatively, product differentiation is negatively associated with PTM. So industries with highly differentiated products are less likely to adjust their prices. However, marginal costs seem not to be significantly associated with PTM. Exporters perform PTM to limit the FX rate effect pass-through to their foreign customers, but they also avoided exploiting PTM to the full, since to do so can substantially reduce their profits.

Exchange rate dynamics, structural breaks, and central bank interventions in Colombia

We evaluate the effectiveness of the Colombian Central Bank´s interventions in the foreign exchange market during the period 2000 to 2014 -- We examine the stochastic process that describes the exchange rate, with a focus on the detection of structural breaks or unit roots in the data to determine whether the Central Bank´s interventions were effective -- We find that the exchange rate can be described either by a random walk or by a trend-stationary model with multiple breaks -- In neither cases do we find any evidence that the exchange rate was affected by the Central Bank interventions

Testing the random walk hypothesis with variance ratio statistics

Mestrado em Finanças

A word study unit on Latin and Greek prefixes, roots and derivations

This paper contains an outline of study for hearing impaired children to learn language through the study of Latin and Greek roots, derivatives and prefixes.

Functional specialization of Eucalyptus fine roots: contrasting potential uptake rates for nitrogen, potassium and calcium tracers at varying soil depths

1. Little is known about the role of deep roots in the nutrition of forest trees and their ability to provide a safety-net service taking up nutrients leached from the topsoil. 2. To address this issue, we studied the potential uptake of N, K and Ca by Eucalyptus grandis trees (6 years of age - 25 m mean height), in Brazil, as a function of soil depth, texture and water content. We injected NO(3)(-)- (15)N, Rb(+) (analogue of K(+)) and Sr(2+) (analogue of Ca(2+)) tracers simultaneously in a solution through plastic tubes at 10, 50, 150 and 300 cm in depth in a sandy and a clayey Ferralsol soil. A complete randomized design was set up with three replicates of paired trees per injection depth and soil type. Recently expanded leaves were sampled at various times after tracer injection in the summer, and the experiment was repeated in the winter. Soil water contents were continuously monitored at the different depths in the two soils. 3. Determination of foliar Rb and Sr concentrations and (15)N atom % made it possible to estimate the relative uptake potential (RUP) of tracer injections from the four soil depths and the specific RUP (SRUP), defined as RUP, per unit of fine root length density in the corresponding soil layer. 4. The highest tracer uptake rates were found in the topsoil, but contrasting RUP distributions were observed for the three tracers. Whilst the RUP was higher for NO(3)(-)- (15)N than for Rb(+) and Sr(2+) in the upper 50 cm of soil, the highest SRUP values for Sr(2+) and Rb(+) were found at a depth of 300 cm in the sandy soil, as well as in the clayey soil when gravitational solutions reached that depth. 5. Our results suggest that the fine roots of E. grandis trees exhibit contrasting potential uptake rates with depth depending on the nutrient. This functional specialization of roots might contribute to the high growth rates of E. grandis trees, efficiently providing the large amounts of nutrients required throughout the development of these fast-growing plantations.

Differentiation of soil properties related to the spatial association of wheat roots and soil macropores

Under certain soil conditions, e.g. hardsetting clay B-horizons of South-Eastern Australia, wheat plants do not perform as well as would be expected given measurements of bulk soil attributes. In such soils, measurement indicates that a large proportion (80%) of roots are preferentially located in the soil within 1 mm of macropores. This paper addresses the question of whether there are biological and soil chemical effects concomitant with this observed spatial relationship. The properties of soil manually dissected from the 1-3 mm wide region surrounding macropores, the macropore sheath, were compared to those that are measured in a conventional manner on the bulk soil. Field specimens of two different soil materials were dissected to examine biological differentiation. To ascertain whether the macropore sheath soil differs from rhizosphere soil, wheat was grown in structured and repacked cores under laboratory conditions. The macropore sheath soil contained more microbial biomass per unit mass than both the bulk soil and the rhizosphere. The bacterial population in the macropore sheath was able to utilise a wider range of carbon substrates and to a greater extent than the bacterial population in the corresponding bulk soil. These differences between the macropore sheath and bulk soil were almost non-existent in the repacked cores. Evidence for larger numbers of propagules of the broad host range fungus Pythium in the macropore sheath soil were also obtained.

Multivariate unit root tests

A new multivariate test for the detection ofunit roots is proposed. Use is made ofthe possible correlations between the disturbances of difIerent series, and constrained and unconstrained SURE estimators are employed. The corresponding asymptotic distributions, for the case oftwo series, are obtained and a table with criticai vaIues is generated. Some simulations indivate that the procedure performs better than the existing alternatives.

Changes in pH at the dentin surface in roots obturated with calcium hydroxide pastes

The purpose of this study was to determine the pH, after defined periods of time, in cavities prepared in the facial surface of the cervical, middle, and apical regions of roots obturated with calcium hydroxide pastes. Root canal instrumentation was performed on 40 recently extracted, single-rooted human teeth. Cavities 1.5 mm in diameter and 0.75 mm in depth were prepared in the cervical, middle, and apical regions of the facial surface of each root. Teeth were randomly divided into four groups. One group was left unobturated and served as a control. The three remaining groups were obturated with either aqueous calcium hydroxide, calcium hydroxide mixed with camphorated monochlorophenol, or Pulpdent pastes. Access cavities and apical foramina were closed with Cavit. Each tooth was stored individually in a vial containing unbuffered isotonic saline. pH at the surface was measured in the cervical, middle, and apical cavities at 0 and 3, 7, 14, 21, 28, 45, 60, 90, and 120 days. Results indicate that hydroxyl ions derived from calcium hydroxide pastes diffused through root dentin at all regions over the experimental period of 120 days. The pattern of pH change at the tooth surface was similar in all regions of the root, regardless of the type of calcium hydroxide paste used. This was a rapid rise in pH from a control value of pH 7.6, to greater than pH 9.5 by 3 days, followed by a small decline to pH 9.0 over the next 18 days, before finally rising and remaining at, or above pH 10.0 for the remainder of the experimental period. Pulpdent paste in the apical region was the only exception in this pattern, producing a pH rise nearly one full unit below the other pastes, pH 9.3. These results indicate that, for all pastes tested, a high pH is maintained at the root surface for at least 120 days. Copyright © 1996 by The American Association of Endodontists.

Short-term Physiological Changes In Roots And Leaves Of Sugarcane Varieties Exposed To H2o2 In Root Medium.

The aim of this study was to evaluate the differential sensitivity of sugarcane genotypes to H2O2 in root medium. As a hypothesis, the drought tolerant genotype would be able to minimize the oxidative damage and maintain the water transport from roots to shoots, reducing the negative effects on photosynthesis. The sugarcane genotypes IACSP94-2094 (drought tolerant) and IACSP94-2101 (drought sensitive) were grown in a growth chamber and exposed to three levels of H2O2 in nutrient solution: control; 3mmolL(-1) and 80mmolL(-1). Leaf gas exchange, photochemical activity, root hydraulic conductance (Lr) and antioxidant metabolism in both roots and leaves were evaluated after 15min of treatment with H2O2. Although, root hydraulic conductance, stomatal aperture, apparent electron transport rate and instantaneous carboxylation efficiency have been reduced by H2O2 in both genotypes, IACSP94-2094 presented higher values of those variables as compared to IACSP94-2101. There was a significant genotypic variation in relation to the physiological responses of sugarcane to increasing H2O2 in root tissues, being root changes associated with modifications in plant shoots. IACSP94-2094 presented a root antioxidant system more effective against H2O2 in root medium, regardless H2O2 concentration. Under low H2O2 concentration, water transport and leaf gas exchange of IACSP94-2094 were less affected as compared to IACSP94-2101. Under high H2O2 concentration, the lower sensitivity of IACSP94-2094 was associated with increases in superoxide dismutase activity in roots and leaves and increases in catalase activity in roots. In conclusion, we propose a general model of sugarcane reaction to H2O2, linking root and shoot physiological responses.

Fracture resistance of weakened roots restored with composite resin and glass fiber post

This study evaluated the fracture resistance of weakened roots restored with glass fiber posts, composite resin cores and complete metal crowns. Thirty maxillary canines were randomly divided into 3 groups of 10 teeth each: teeth without weakened roots (control); teeth with partially weakened roots (PWR) and teeth with and largely weakened roots (LWR). The control group was restored with glass fiber posts and a composite resin core. Teeth in the PWR and LWR groups were flared internally to standardized dimensions in order to simulate root weakness. Thereafter, the roots were partially filled with composite resin and restored in the same way as in the control group. The specimens were exposed to 250,000 cycles in a controlled chewing simulator. All intact specimens were subjected to a static load (N) in a universal testing machine at 45 degrees to the long axis of the tooth until failure. Data were analyzed by one-way ANOVA and Dunnett's test for multiple comparisons (p=0.05). There were statistically significant difference differences (p<0.01) among the groups (control group = 566.73 N; PWR = 409.64 N; and LWR = 410.91 N), with significantly higher fracture strength for the control group. There was no statistically significant difference (p>0.05) between the weakened groups. The results of this study showed that thicker root dentin walls significantly increase the fracture resistance of endodontically treated teeth.