Modelos de tasas de interes en Chile: una revisión

Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Además de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el método de Probabilidad Maximun permitimos que la volatilidad condicional también incluya los procesos inesperados de la información (el modelo GARCH ) y también que la volatilidad sea la función del nivel de la tasa de intereses (modelo TVP-NIVELE) como en Brenner, Harjes y la Crona (1996). Para esto usamos producciones de mercado de bonos de reconocimiento, en cambio las producciones mensuales medias de subasta PDBC, y la ampliación del tamaño y la frecuencia de la muestra a 4 producciones semanales con términos(condiciones) diferentes a la madurez: 1 año, 5 años, 10 años y 15 años. Los resultados principales del estudio pueden ser resumidos en esto: la volatilidad de los cambios inesperados de las tarifas depende positivamente del nivel de las tarifas, sobre todo en el modelo de TVP-NIVEL. Obtenemos pruebas de reversión tacañas, tal que los incrementos en las tasas de intereses no eran independientes, contrariamente a lo obtenido por Brenner. en EE. UU. Los modelos de NIVELES no son capaces de ajustar apropiadamente la volatilidad en comparación con un modelo GARCH (1,1), y finalmente, el modelo de TVP-NIVEL no vence los resultados del modelo GARCH (1,1)

Stochastic variability of output levels in a pulp mill

Quite often, in the construction of a pulp mill involves establishing the size of tanks which will accommodate the material from the various processes in which case estimating the right tank size a priori would be vital. Hence, simulation of the whole production process would be worthwhile. Therefore, there is need to develop mathematical models that would mimic the behavior of the output from the various production units of the pulp mill to work as simulators. Markov chain models, Autoregressive moving average (ARMA) model, Mean reversion models with ensemble interaction together with Markov regime switching models are proposed for that purpose.

Korkokäyrän mallintaminen: tarkastelussa Cox-Ingersoll-Ross -malli

Korot ovat erittäin tärkeässä osassa kaikessa taloudellisessa toiminnassa ja tästä syystä niiden kehitystä seurataan mielenkiinnolla. Yksi keino korkojen kehityksen tutkimiseen on rahoitusmarkkinoilla havaittavan korkokäyrän tarkastelu. Tämän tutkielman tarkoituksena on tarkastella Cox-Ingersoll-Ross-mallin soveltuvuutta korkokäyrän empiriseen mallintamiseen. Tässä tutkielmassa Cox-Ingersoll-Ross-malli estimoidaan pienimmän neliösumman – ja suurimman uskottavuuden –menetelmillä. Tutkimuksen datana käytetään 3 kuukauden euribor-korkojen ja Saksan valtion 3 kuukauden mittaisen joukkolainan päivätason tuottoja kolmelta eri vuoden mittaiselta periodilta. Mallin avulla estimoituja korkokäyriä verrataan samojen periodien lopussa rahoitusmarkkinoilla realisoituneisiin korkokäyriin. Estimoinnin tulosten perusteella Cox-Ingersoll- Ross-malli ei sovi varauksitta korkokäyrän mallintamiseen. Pienimmän neliösumman –menetelmän diagnostisista tarkastuksista käy ilmi, että menetelmä ei ole sopiva mallin estimoimiseen. Suurimman uskottavuuden –estimoinnin avulla estimoidut korkokäyrät eroavat kaikissa paitsi yhdessä tapauksessa melko selvästi realisoituneista korkokäyristä. Tutkielman tuloksissa on selviä yhtymäkohtia aiempien empiristen tutkimusten tuloksiin. Varsinkin mallin odotusarvohakuisuutta (mean reversion) kuvaavan parametrin estimoinnissa ilmenee epävarmuutta, mikä vaikuttaa koko mallin toimintaan. Sama tulos ilmenee myös aiemmista tutkimuksista, osassa jopa kyseenalaistetaan koko ilmiön olemassaolo. Tutkielman tuloksista voidaan päätellä, että yhden muuttujan Cox-Ingersoll-Ross-malli ei varauksitta sovellu korkokäyrän empiriseen mallintamiseen. Todennäköisiä syitä tähän ovat mallin tekemät epärealistiset taustaoletukset sekä se, että tarkasteluperiodien aikana Eurooppa kärsi velkakriisistä, mikä kevensi Euroopan keskuspankin rahapolitiikkaa ja alensi korkotasoa. Tämä seikka vaikuttaa eri periodien tulosten vertailukelpoisuuteen. Tutkielman johtopäätöksenä on, että yhden muuttujan mallien sijaan korkokäyrän mallintamisessa tulisi keskittyä 3 muuttujan malleihin. Tällöin jokaiselle korkokäyrän elementille: taso, kulmakerroin ja konveksisuus saataisiin oma muuttujansa. Tämä helpottaisi myös korkokäyrän volatiliteetin mallintamisessa, mikä osoittautuu ongelmalliseksi vain yhtä muuttujaa käytettäessä.

TAKING ADVANTAGE OF THE LOCAL ADVANTAGE? - Investment value of the analyst local advantage in the Finnish stock market in 2006–2014

An investor can either conduct independent analysis or rely on the analyses of others. Stock analysts provide markets with expectations regarding particular securities. However, analysts have different capabilities and resources, of which investors are seldom cognizant. The local advantage refers to the advantage stemming from cultural or geographical proximity to securities analyzed. The research has confirmed that local agents are generally more accurate or produce excess returns. This thesis tests the investment value of the local advantage regarding Finnish stocks via target price data. The empirical section investigates the local advantage from several aspects. It is discovered that local analysts were more focused on certain sectors generally located close to consumer markets. Market reactions to target price revisions were generally insignificant with the exception to local positive target prices. Both local and foreign target prices were overly optimistic and exhibited signs of herding. Neither group could be identified as a leader or follower of new information. Additionally, foreign price change expectations were more in line with the quantitative models and ideas such as beta or return mean reversion. The locals were more accurate than foreign analysts in 5 out of 9 sectors and vice versa in one. These sectors were somewhat in line with coverage decisions and buttressed the idea of local advantage stemming from proximity to markets, not to headquarters. The accuracy advantage was dependent on sample years and on the measure used. Local analysts ranked magnitudes of price changes more accurately in optimistic and foreign analysts in pessimistic target prices. Directional accuracy of both groups was under 50% and target prices held no linear predictive power. Investment value of target prices were tested by forming mean-variance efficient portfolios. Parallel to differing accuracies in the levels of expectations foreign portfolio performed better when short sales were allowed and local better when disallowed. Both local and non-local portfolios performed worse than a passive index fund, albeit not statistically significantly. This was in line with previously reported low overall accuracy and different accuracy profiles. Refraining from estimating individual stock returns altogether produced statistically significantly higher Sharpe ratios compared to local or foreign portfolios. The proposed method of testing the investment value of target prices of different groups suffered from some inconsistencies. Nevertheless, these results are of interest to investors seeking the advice of security analysts.

TAKING ADVANTAGE OF THE LOCAL ADVANTAGE? - Investment value of the analyst local advantage in the Finnish stock market in 2006–2014

An investor can either conduct independent analysis or rely on the analyses of others. Stock analysts provide markets with expectations regarding particular securities. However, analysts have different capabilities and resources, of which investors are seldom cognizant. The local advantage refers to the advantage stemming from cultural or geographical proximity to securities analyzed. The research has confirmed that local agents are generally more accurate or produce excess returns. This thesis tests the investment value of the local advantage regarding Finnish stocks via target price data. The empirical section investigates the local advantage from several aspects. It is discovered that local analysts were more focused on certain sectors generally located close to consumer markets. Market reactions to target price revisions were generally insignificant with the exception to local positive target prices. Both local and foreign target prices were overly optimistic and exhibited signs of herding. Neither group could be identified as a leader or follower of new information. Additionally, foreign price change expectations were more in line with the quantitative models and ideas such as beta or return mean reversion. The locals were more accurate than foreign analysts in 5 out of 9 sectors and vice versa in one. These sectors were somewhat in line with coverage decisions and buttressed the idea of local advantage stemming from proximity to markets, not to headquarters. The accuracy advantage was dependent on sample years and on the measure used. Local analysts ranked magnitudes of price changes more accurately in optimistic and foreign analysts in pessimistic target prices. Directional accuracy of both groups was under 50% and target prices held no linear predictive power. Investment value of target prices were tested by forming mean-variance efficient portfolios. Parallel to differing accuracies in the levels of expectations foreign portfolio performed better when short sales were allowed and local better when disallowed. Both local and non-local portfolios performed worse than a passive index fund, albeit not statistically significantly. This was in line with previously reported low overall accuracy and different accuracy profiles. Refraining from estimating individual stock returns altogether produced statistically significantly higher Sharpe ratios compared to local or foreign portfolios. The proposed method of testing the investment value of target prices of different groups suffered from some inconsistencies. Nevertheless, these results are of interest to investors seeking the advice of security analysts.

The Corticiaceae (Basidiomycetes) in Taiwan

Geographically, Taiwan is an Island and situated in the northeast of Asia, on the western side of the Pacific Basin, at the southeast of main China, south of Japan, and north of the Philippines. The main topographic character is the longitudinally oriented mountainous area. More than 200 peaks rise above 3000 m. They departed Taiwan into two lowland areas, an eastern and western plain. Taiwan is departed into subtropical (north area) and tropical zone (south area), which have a warm and humid climate, due to the Tropic of Cancer passing through. The average annual temperature in the lowland amounts to 28°C (7~38°C). The temperate climate also presents in the mountainous areas. The tropical typhoons usually come in summer and bring heavy rain, while the monsoon seasons have an important effect on the regional rainfall distribution. The mean annual rainfall of Taiwan is about 2600 mm (1000~6700 mm); the mountainous areas receive more rain than the lowlands. In Taiwan, according to different temperature and vegetation, the ecological environments were given rise to vertical biotic zonations, and form five major types: highland snowfield, highland meadow, coniferous forest, deciduous forest, and tropical forest. Six National Parks in Taiwan are located in the mountainous areas, in the north, the south, and on Jinmen Island. The National Parks represent about 8.4% of the country area. In this study, the collection sites are situated in Yangmingshan, Shei-Pa, Yushan, and Kenting National Park. Due to the island isolation, the proportions of endemic species are great in Taiwan, which also presents a high biodiversity. There are 4255 species of vascular plants including 1133 endemic. 5936 species in 1276 genera of fungi are hitherto reported in Taiwan. Among them, 233 Corticiaceae species were recorded, over one third (79 species) of them are known only from Taiwan. The first fungal report in Taiwan is about Phytophthora cyperi, published by the Japanese researcher T. Kawakami in 1904. Therefore, the history of research about fungi in Taiwan is more than one hundred years old. An eminent Japanese mycologist K. Sawada made an intensive survey from 1919 to 1959, and reported 2464 fungi species in his eleven volumes of “Descriptive Catalogue of Formosan Fungi”. However, only a few species (21 species in 9 genera) of Corticiaceae were recorded. From 1973, Chen and Lin resumed the study on Corticiaceae, and also some other foreign mycologists contributed for this field after 1980. The German research group lead by Franz Oberwinkler from Tübingen University collected in Taiwan several times. They published a number of new species and new records. Since 1989, S. H. Wu, a Taiwanese mycologist, has published a great amount of reports on corticioid fungi from Taiwan. Corticioid fungi were made up by the large and heterogeneous unnatural family Corticiaceae and other resupinate fungi belonging to other natural families in the Agaricomycetes. Molecular studies have shown that corticioid genera are distributed across all major clades of Agaricomycetes indicating that the corticioid fungi represent a polyphyletic group. They have resupinate fruitbodies and similar habitats. Species are characterized by simple fruitbody, more or less effused, and present smooth, porioid, grandinioid to odontioid hymenial surface. The fruitbodies are differently colored and usually soft to tough. Most of the Corticiaceae species are wood-saprobic organisms and gain the energy from the decomposing of wood-substrate such as cellulose or lignin. Materials for this study were collected by the author and other mycologists in Taiwan during surveys in April and May 1996, and March 2007, using the spring season with its high humidity and warm climate which are optimal conditions for the development of fungi. For assembling, the convenience sampling method was used in this study. This approach was chosen because it enables to detect a high biodiversity in a short time, and also to find species with rare or patchy distribution. The collecting sites from the North to the South include four National Parks and some preserved forests. They cover many different habitats such as low lands and high mountains. Fresh specimens were dried and analysed with a light microscope. 265 specimens belonging to Corticiaceae were studied in this research. Among them, 50 species in 21 genera including 11 new records and 10 new species were described with text and drawing. Four new species are belonging to Hyphodontia (H. sp. nov. 1, H. sp. nov. 2, H. sp. nov. 3, and H. sp. nov. 4), four to Schizopora (Sch. sp. nov. 1, Sch. sp. nov. 2, Sch. sp. nov. 3, and Sch. sp. nov. 4), one in Trechispora (T. sp. nov. 1), and one in Tubulicrinis (T. sp. nov. 1). Species recorded as new are Aleurodiscus amorphus, Botryohypochnus isabellinus, Hyphodontia cineracea, Hyphodontia palmae, Hypochnicium vellereum, Merulius tremellosus, Metulodontia nivea, Paullicorticium ansatum, Phlebia radiata, Phlebiella ardosiaca, and Xylobolus frustulatus. Besides, Botryohypochnus, Merulius, Metulodontia, Paullicorticium, and Xylobolus are also newly recorded genera in Taiwan. The genus Hyphodontia presents the highest diversity with 20 out of 50 species recorded. The second important genus is Hyphoderma, however with only 5 species. This indicates that Hyphodontia and Hyphoderma have a higher ability to develop in variable environments and approximately shows the predominance of these two genera in Taiwanese Corticiaceae. There are 11 new records out of the 50 species recorded, representing 22%. Some species, e.g. Hypochnicium vellereum and Paullicorticium ansatum were in the past recorded only in Europe and North America with cold and temperate climate. The samples of them are for the first time found in the subtropical belt, and display some difference from those of temperate regions. These collections should be molecularly investigated to clarify if they represent the same species of temperate areas. Patchily distributed species, for example Phlebiella ardosiaca, previously known only in Europe, and Hyphodontia palmae collected only in Brazil, were first recorded in different continents. Two possibilities are indicated by these new records: they are worldwide species but very rare to be found, or the Taiwanese specimens are taxonomically different. More survey from other continents and molecular study for these collections should be done in the future to solve this question. The distribution of Corticiaceae in Taiwan presents the variations in the north, central, and south areas and shows the diversity in lowlands and high mountains. The results of this study provide the evidence that the temperate Corticiaceae species displays a wider distribution. Subtropical and tropical taxa probably have also high dispersal capacities, and could possibly be found in the future in neighboring areas such as China, Japan, Korea or South Asia, but this needs further researches. In the total of 50 species, 10 new taxa were described in this study, giving about 20%. Some new species (e.g. Hyphodontia sp. 1, Hyphodontia sp. 2, and Hyphodontia sp. 3) are very similar to known species (Hyphodontia sambuci and Hyphodontia formosana), and the distinctive characters of Schizopora sp. nov. 1 are intermediate between those of Schizopora paradoxa and Hyphodontia flavipora. Thus, these small differences between the new and known species, suggest that the speciation occurred when the fungi migrated into Taiwan, due to the high diversity of environment, and amounts of the endemic plants. Taiwan is an intermediate place for the south (tropical) fungal species to migrate and adapt to north (temperate) regions. The middle and high altitude environments in Taiwan offer good conditions for the fungal speciation and possibly the occurrence of physiological changes to adapt to the temperate climate. Thus Taiwan has an important position for the biogeography of Asia mycobiota. 5936 known species in Taiwan represent about only 20% of the estimated number (24000) of Taiwanese fungal taxa. In this study, the findings (22% new records and 20% new species) indicate that amounts of unknown fungi species are expected in Taiwan. The lack of knowledge indicates that many new species are awaiting description, and fungal survey in Taiwan remains in a Pioneer phase. The last three wide surveys of Corticiaceae researches took place 20 years before this study (Chen & Lin 1977, Lin & Chen 1989, Wu 1990). After previous important contributions, the present taxonomic study comprising 21 genera is the most extensive on Corticiaceae of Taiwan.

Modelación estocástica y trading algorítmico del spread entre acciones mediante procesos de reversión a la media

Las estrategias de inversión pairs trading se basan en desviaciones del precio entre pares de acciones correlacionadas y han sido ampliamente implementadas por fondos de inversión tomando posiciones largas y cortas en las acciones seleccionadas cuando surgen divergencias y obteniendo utilidad cerrando la posición al converger. Se describe un modelo de reversión a la media para analizar la dinámica que sigue el diferencial del precio entre acciones ordinarias y preferenciales de una misma empresa en el mismo mercado. La media de convergencia en el largo plazo es obtenida con un filtro de media móvil, posteriormente, los parámetros del modelo de reversión a la media se estiman mediante un filtro de Kalman bajo una formulación de estado espacio sobre las series históricas. Se realiza un backtesting a la estrategia de pairs trading algorítmico sobre el modelo propuesto indicando potenciales utilidades en mercados financieros que se observan por fuera del equilibrio. Aplicaciones de los resultados podrían mostrar oportunidades para mejorar el rendimiento de portafolios, corregir errores de valoración y sobrellevar mejor periodos de bajos retornos.

Subseasonal extremes of precipitation and active-break cycles of the Indian summer monsoon in a climate-change scenario

Changes to the behaviour of subseasonal precipitation extremes and active-break cycles of the Indian summer monsoon are assessed in this study using pre-industrial and 2 × CO2 integrations of the Hadley Centre coupled model HadCM3, which is able to simulate the monsoon seasonal cycle reasonably. At 2 × CO2, mean summer rainfall increases slightly, especially over central and northern India. The mean intensity of daily precipitation during the monsoon is found to increase, consistent with fewer wet days, and there are increases to heavy rain events beyond changes in the mean alone. The chance of reaching particular thresholds of heavy rainfall is found to approximately double over northern India, increasing the likelihood of damaging floods on a seasonal basis. The local distribution of such projections is uncertain, however, given the large spread in mean monsoon rainfall change and associated extremes amongst even the most recent coupled climate models. The measured increase of the heaviest precipitation events over India is found to be broadly in line with the degree of atmospheric warming and associated increases in specific humidity, lending a degree of predictability to changes in rainfall extremes. Active-break cycles of the Indian summer monsoon, important particularly due to their effect on agricultural output, are shown to be reasonably represented in HadCM3, in particular with some degree of northward propagation. We note an intensification of both active and break events, particularly when measured against the annual cycle, although there is no suggestion of any change to the duration or likelihood of monsoon breaks. Copyright © 2009 Royal Meteorological Society

Evaluating the century C model using long-term fertilizer trials in the Indo-Gangetic Plains, India

The GEFSOC Project developed a system for estimating soil carbon (C) stocks and changes at the national and sub-national scale. As part of the development of the system, the Century ecosystem model was evaluated for its ability to simulate soil organic C (SOC) changes in environmental conditions in the Indo-Gangetic Plains, India (IGP). Two long-term fertilizer trials (LTFT), with all necessary parameters needed to run Century, were used for this purpose: a jute (Corchorus capsularis L.), rice (Oryza sativa L.) and wheat (Triticum aestivum L.) trial at Barrackpore, West Bengal, and a rice-wheat trial at Ludhiana, Punjab. The trials represent two contrasting climates of the IGP, viz. semi-arid, dry with mean annual rainfall (MAR) of < 800 mm and humid with > 1600 turn. Both trials involved several different treatments with different organic and inorganic fertilizer inputs. In general, the model tended to overestimate treatment effects by approximately 15%. At the semi-arid site, modelled data simulated actual data reasonably well for all treatments, with the control and chemical N + farm yard manure showing the best agreement (RMSE = 7). At the humid site, Century performed less well. This could have been due to a range of factors including site history. During the study, Century was calibrated to simulate crop yields for the two sites considered using data from across the Indian IGP. However, further adjustments may improve model performance at these sites and others in the IGP. The availability of more longterm experimental data sets (especially those involving flooded lowland rice and triple cropping systems from the IGP) for testing and validation is critical to the application of the model's predictive capabilities for this area of the Indian sub-continent. (C) 2007 Elsevier B.V. All rights reserved.

Soil moisture mediates association between the winter North Atlantic Oscillation and summer growth in the Park Grass Experiment

Several aspects of terrestrial ecosystems are known to be associated with the North Atlantic Oscillation (NAO) through effects of the NAO on winter climate, but recently the winter NAO has also been shown to be correlated with the following summer climate, including drought. Since drought is a major factor determining grassland primary productivity, the hypothesis was tested that the winter NAO is associated with summer herbage growth through soil moisture availability, using data from the Park Grass Experiment at Rothamsted, UK between 1960 and 1999. The herbage growth rate, mean daily rainfall, mean daily potential evapotranspiration (PE) and the mean and maximum potential soil moisture deficit (PSMD) were calculated between the two annual cuts in early summer and autumn for the unlimed, unfertilized plots. Mean and maximum PSMD were more highly correlated than rainfall or PE with herbage growth rate. Regression analysis showed that the natural logarithm of the herbage growth rate approximately halved for a 250 mm increase in maximum PSMD over the range 50-485 mm. The maximum PSMD was moderately correlated with the preceding winter NAO, with a positive winter NAO index associated with greater maximum PSMD. A positive winter NAO index was also associated with low herbage growth rate, accounting for 22% of the interannual variation in the growth rate. It was concluded that the association between the winter NAO and summer herbage growth rate is mediated by the PSMD in summer.

A model-based assessment of the effects of projected climate change on the water resources of Jordan

This paper is concerned with the quantification of the likely effect of anthropogenic climate change on the water resources of Jordan by the end of the twenty-first century. Specifically, a suite of hydrological models are used in conjunction with modelled outcomes from a regional climate model, HadRM3, and a weather generator to determine how future flows in the upper River Jordan and in the Wadi Faynan may change. The results indicate that groundwater will play an important role in the water security of the country as irrigation demands increase. Given future projections of reduced winter rainfall and increased near-surface air temperatures, the already low groundwater recharge will decrease further. Interestingly, the modelled discharge at the Wadi Faynan indicates that extreme flood flows will increase in magnitude, despite a decrease in the mean annual rainfall. Simulations projected no increase in flood magnitude in the upper River Jordan. Discussion focuses on the utility of the modelling framework, the problems of making quantitative forecasts and the implications of reduced water availability in Jordan.

Using rain-use efficiency to explore livestock production trends in rangelands in the Transkei, South Africa

We qualitatively describe the condition of communally managed rangelands in the Transkei, South Africa, using GIS and high resolution near-infrared imagery. Using livestock census data from 28 magisterial districts in the Transkei, we explored the trends in livestock biomass from 1923–1998. The area had been subjected to intensive herbivory by domestic livestock during that period, and the high livestock biomass had been blamed for the perceived degradation or ‘overgrazing’ of the region. Our assessment used the concept rain-use efficiency (RUE) (kg dry matter ha–1 mm–1) to determine whether there is evidence of change in the efficiency of the system to produce domestic livestock. We calculated RUE from annual livestock numbers and the mean annual rainfall for each district. We found no evidence of a decline in rain-use efficiency between the two assessment periods (1923–1944, 1945–1998). There was evidence of a shift in the ratio of sheep to goats between 1923 and 1998, with goat numbers increasing (greater than twofold) relative to sheep in eight districts. This trend may be associated with changes in the structure of vegetation. We conclude that this region is not showing evidence of system run down that affects domestic livestock production.

The hidden organic carbon in deep mineral soils

Aims Current estimates of soil organic carbon (SOC) are based largely on surficial measurements to depths of 0.3 to 1 m. Many of the world’s soils greatly exceed 1 m depth and there are numerous reports of biological activity to depths of many metres. Although SOC storage to depths of up to 8 m has been previously reported, the extent to which SOC is stored at deeper depths in soil profiles is currently unknown. This paper aims to provide the first detailed analysis of these previously unreported stores of SOC. Methods Soils from five sites in the deeply weathered regolith in the Yilgarn Craton of south-western Australia were sampled and analysed for total organic carbon by combustion chromatography. These soils ranged between 5 and 38 m (mean 21 m) depth to bedrock and had been either recently reforested with Pinus pinaster or were under agriculture. Sites had a mean annual rainfall of between 399 and 583 mm yr−1. Results The mean SOC concentration across all sites was 2.30 ± 0.26 % (s.e.), 0.41 ± 0.05 % and 0.23 ± 0.04 % in the surface 0.1, 0.1–0.5 and 0.5 to 1.0 m increments, respectively. The mean value between 1 and 5 m was 0.12 ± 0.01 %, whereas between 5 and 35 m the values decreased from 0.04 ± 0.002 % to 0.03 ± 0.003 %. Mean SOC mass densities for each of the five locations varied from 21.8–37.5 kg C m−2, and were in toto two to five times greater than would be reported with sampling to a depth of 0.5 m. Conclusions This finding may have major implications for estimates of global carbon storage and modelling of the potential global impacts of climate change and land-use change on carbon cycles. The paper demonstrates the need for a reassessment of the current arbitrary shallow soil sampling depths for assessing carbon stocks, a revision of global SOC estimates and elucidation of the composition and fate of deep carbon in response to land use and climate change

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

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.