Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship

In this paper we empirically examine the relationship between the real exchange rate and real interest rate differentials using recent econometric methods robust to potential structural breaks. Generally, our study provides evidence of this relationship in the long-run context. More specifically, we first focus on the UK-US relationship, and interestingly find limited evidence of this long-run relationship using traditional methods. But when an approach robust to endogenously determined structural breaks is employed, we find evidence that the real interest rate differential is an important determinant of the real exchange rate. Secondly, in order to investigate the relevance of structural shifts in a more global context, we carry out multiple country analysis. While providing evidence of this long-run relationship, European data suggest that the presence of structural breaks is not very common across countries and is indeed country-specific.

A New Test of the Real Interest Rate Parity Hypothesis: Bounds Approach and Structural Breaks

We test the real interest rate parity hypothesis using data for the G7 countries over the period 1970-2008. Our contribution is two-fold. First, we utilize the ARDL bounds approach of Pesaran et al. (2001) which allows us to overcome uncertainty about the order of integration of real interest rates. Second, we test for structural breaks in the underlying relationship using the multiple structural breaks test of Bai and Perron (1998, 2003). Our results indicate significant parameter instability and suggest that, despite the advances in economic and financial integration, real interest rate parity has not fully recovered from a breakdown in the 1980s.

Structural Interactions in Spatial Panels

Until recently, much effort has been devoted to the estimation of panel data regression models without adequate attention being paid to the drivers of diffusion and interaction across cross section and spatial units. We discuss some new methodologies in this emerging area and demonstrate their use in measurement and inferences on cross section and spatial interactions. Specifically, we highlight the important distinction between spatial dependence driven by unobserved common factors and those based on a spatial weights matrix. We argue that, purely factor driven models of spatial dependence may be somewhat inadequate because of their connection with the exchangeability assumption. Limitations and potential enhancements of the existing methods are discussed, and several directions for new research are highlighted.

Mutations of the Serine Protease CAP1/Prss8 Lead to Reduced Embryonic Viability, Skin Defects, and Decreased ENaC Activity.

CAP1/Prss8 is a membrane-bound serine protease involved in the regulation of several different effectors, such as the epithelial sodium channel ENaC, the protease-activated receptor PAR2, the tight junction proteins, and the profilaggrin polypeptide. Recently, the V170D and the G54-P57 deletion mutations within the CAP1/Prss8 gene, identified in mouse frizzy (fr) and rat hairless (fr(CR)) animals, respectively, have been proposed to be responsible for their skin phenotypes. In the present study, we analyzed those mutations, revealing a change in the protein structure, a modification of the glycosylation state, and an overall reduction in the activation of ENaC of the two mutant proteins. In vivo analyses demonstrated that both fr and fr(CR) mutant animals present analogous reduction of embryonic viability, similar histologic aberrations at the level of the skin, and a significant decrease in the activity of ENaC in the distal colon compared with their control littermates. Hairless rats additionally had dehydration defects in skin and intestine and significant reduction in the body weight. In conclusion, we provided molecular and functional evidence that CAP1/Prss8 mutations are accountable for the defects in fr and fr(CR) animals, and we furthermore demonstrate a decreased function of the CAP1/Prss8 mutant proteins. Therefore, fr and fr(CR) animals are suitable models to investigate the consequences of CAP1/Prss8 action on its target proteins in the whole organism.

Equilibrium Exchange Rate Determination and Multiple Structural Changes

The large appreciation and depreciation of the US dollar in the 1980s stimulated an important debate on the usefulness of unit root tests in the presence of structural breaks. In this paper, we propose a simple model to describe the evolution of the real exchange rate. We then propose a more general smooth transition (STR) function than has hitherto been employed, which is able to capture structural changes along the (long-run) equilibrium path, and show that this is consistent with our economic model. Our framework allows for a gradual adjustment between regimes and allows for under- and/or over-valued exchange rate adjustments. Using monthly and quarterly data for up to twenty OECD countries, we apply our methodology to investigate the univariate time series properties of CPI-based real exchange rates with both the U.S. dollar and German mark as the numeraire currencies. The empirical results show that, for more than half of the quarterly series, the evidence in favour of the stationarity of the real exchange rate was clearer in the sub-sample period post-1980.

A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving many important macroeconomic time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of structural breaks. In many cases, the formal modeling of the break process is important in achieving good forecast performance. However, there are also many cases where simple, rolling OLS forecasts perform well.

A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving many important macroeconomic time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of structural breaks. In many cases, the formal modeling of the break process is important in achieving good forecast performance. However, there are also many cases where simple, rolling OLS forecasts perform well.

Estimation of the Spatial Weights Matrix under Structural Constraints

While estimates of models with spatial interaction are very sensitive to the choice of spatial weights, considerable uncertainty surrounds de nition of spatial weights in most studies with cross-section dependence. We show that, in the spatial error model the spatial weights matrix is only partially identi ed, and is fully identifi ed under the structural constraint of symmetry. For the spatial error model, we propose a new methodology for estimation of spatial weights under the assumption of symmetric spatial weights, with extensions to other important spatial models. The methodology is applied to regional housing markets in the UK, providing an estimated spatial weights matrix that generates several new hypotheses about the economic and socio-cultural drivers of spatial di¤usion in housing demand.

Measuring the Economic Significance of Structural Exchange Rate Models

This paper examines both the in-sample and out-of-sample performance of three monetary fundamental models of exchange rates and compares their out-of-sample performance to that of a simple Random Walk model. Using a data-set consisting of five currencies at monthly frequency over the period January 1980 to December 2009 and a battery of newly developed performance measures, the paper shows that monetary models do better (in-sample and out-of-sample forecasting) than a simple Random Walk model.

The Difference, System and ‘Double-D’ GMM Panel Estimators in the Presence of Structural Breaks

The effects of structural breaks in dynamic panels are more complicated than in time series models as the bias can be either negative or positive. This paper focuses on the effects of mean shifts in otherwise stationary processes within an instrumental variable panel estimation framework. We show the sources of the bias and a Monte Carlo analysis calibrated on United States bank lending data demonstrates the size of the bias for a range of auto-regressive parameters. We also propose additional moment conditions that can be used to reduce the biases caused by shifts in the mean of the data.

Evaluation of prenatal ultrasound diagnosis of fetal abdominal wall defects by 19 European registries.

OBJECTIVES: To evaluate the current effectiveness of routine prenatal ultrasound screening in detecting gastroschisis and omphalocele in Europe. DESIGN: Data were collected by 19 congenital malformation registries from 11 European countries. The registries used the same epidemiological methodology and registration system. The study period was 30 months (July 1st 1996-December 31st 1998) and the total number of monitored pregnancies was 690,123. RESULTS: The sensitivity of antenatal ultrasound examination in detecting omphalocele was 75% (103/137). The mean gestational age at the first detection of an anomaly was 18 +/- 6.0 gestational weeks. The overall prenatal detection rate for gastroschisis was 83% (88/106) and the mean gestational age at diagnosis was 20 +/- 7.0 gestational weeks. Detection rates varied between registries from 25 to 100% for omphalocele and from 18 to 100% for gastroschisis. Of the 137 cases of omphalocele less than half of the cases were live births (n = 56; 41%). A high number of cases resulted in fetal deaths (n = 30; 22%) and termination of pregnancy (n = 51; 37%). Of the 106 cases of gastroschisis there were 62 (59%) live births, 13 (12%) ended with intrauterine fetal death and 31 (29%) had the pregnancies terminated. CONCLUSIONS: There is significant regional variation in detection rates in Europe reflecting different policies, equipment and the operators' experience. A high proportion of abdominal wall defects is associated with concurrent malformations, syndromes or chromosomal abnormalities, stressing the need for the introduction of repeated detailed ultrasound examination as a standard procedure. There is still a relatively high rate of elective termination of pregnancies for both defects, even in isolated cases which generally have a good prognosis after surgical repair.

Fine structural variations of alphabetaTCRs selected by vaccination with natural versus altered self-antigen in melanoma patients.

Immunotherapy of cancer is often performed with altered "analog" peptide Ags optimized for HLA class I binding, resulting in enhanced immunogenicity, but the induced T cell responses require further evaluation. Recently, we demonstrated fine specificity differences and enhanced recognition of naturally presented Ag by T cells after vaccination with natural Melan-A/MART-1 peptide, as compared with analog peptide. In this study, we compared the TCR primary structures of 1489 HLA-A*0201/Melan-A(26-35)-specific CD8 T cells derived from both cohorts of patients. Although a strong preference for TRAV12-2 segment usage was present in nearly all patients, usage of particular TRAJ gene segments and CDR3alpha composition differed slightly after vaccination with natural vs analog peptide. Moreover, TCR beta-chain repertoires were broader after natural than analog peptide vaccination. In all patients, we observed a marked conservation of the CDR3beta amino acid composition with recurrent sequences centered on a glycyl-leucyl/valyl/alanyl-glycyl motif. In contrast to viral-specific TCR repertoires, such "public" motifs were primarily expressed by nondominant T cell clonotypes, which contrasted with "private" CDR3beta signatures frequently found in T cell clonotypes that dominated repertoires of individual patients. Interestingly, no differences in functional avidity were observed between public and private T cell clonotypes. Collectively, our data indicate that T cell repertoires generated against natural or analog Melan-A peptide exhibited slightly distinct but otherwise overlapping and structurally conserved TCR features, suggesting that the differences in binding affinity/avidity of TCRs toward pMHC observed in the two cohorts of patients are caused by subtle structural TCR variations.

Arch and Structural Breaks in United States Inflation

United States Phillips curves are routinely estimated without accounting for the shifts in mean inflation. As a result we may expect the standard estimates of Phillips curves to be biased and suffer from ARCH. We demonstrate this is indeed the case. We also demonstrate that once the shifts in mean inflation are accounted for the ARCH is largely eliminated in the estimated model and the model defining expected rate of inflation in the New Keynesian model plays no significant role in the dynamics of inflation.

The mouse Lyt-2/3 antigen complex--II. Structural analysis of the subunits.

Surface- or biosynthetically labeled Lyt-2/3 antigens were isolated from cell lysates by immunoprecipitation and affinity chromatography with a monoclonal antibody. Tryptic digests of the individual subunits of 37,000, 32,000 and 28,000 apparent mol. wts were analysed by reverse-phase high-performance liquid chromatography and by two-dimensional peptide mapping. The results indicate that the 37,000 and 32,000 mol. wt components are structurally very similar whereas the 28,000 mol. wt component appears as a different molecule.