Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models

This paper revisits the issue of conditional volatility in real GDP growth rates for Canada, Japan, the United Kingdom, and the United States. Previous studies find high persistence in the volatility. This paper shows that this finding largely reflects a nonstationary variance. Output growth in the four countries became noticeably less volatile over the past few decades. In this paper, we employ the modified ICSS algorithm to detect structural change in the unconditional variance of output growth. One structural break exists in each of the four countries. We then use generalized autoregressive conditional heteroskedasticity (GARCH) specifications modeling output growth and its volatility with and without the break in volatility. The evidence shows that the time-varying variance falls sharply in Canada, Japan, and the U.K. and disappears in the U.S., excess kurtosis vanishes in Canada, Japan, and the U.S. and drops substantially in the U.K., once we incorporate the break in the variance equation of output for the four countries. That is, the integrated GARCH (IGARCH) effect proves spurious and the GARCH model demonstrates misspecification, if researchers neglect a nonstationary unconditional variance.

Optimal Test for Parameter Instability When the Unstable Process and the Error Distribution are Unknown

This paper proposes asymptotically optimal tests for unstable parameter process under the feasible circumstance that the researcher has little information about the unstable parameter process and the error distribution, and suggests conditions under which the knowledge of those processes does not provide asymptotic power gains. I first derive a test under known error distribution, which is asymptotically equivalent to LR tests for correctly identified unstable parameter processes under suitable conditions. The conditions are weak enough to cover a wide range of unstable processes such as various types of structural breaks and time varying parameter processes. The test is then extended to semiparametric models in which the underlying distribution in unknown but treated as unknown infinite dimensional nuisance parameter. The semiparametric test is adaptive in the sense that its asymptotic power function is equivalent to the power envelope under known error distribution.

Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test

Considering the importance of the proper detection of bubbles in financial markets for policymakers and market agents, we used two techniques described in Diba and Grossman (1988b) and in Phillips, Shi, and Yu (2015) to detect periods of exuberance in the recent history of the Brazillian stock market. First, a simple cointegration test is applied. Secondly, we conducted several augmented, right-tailed Dickey-Fuller tests on rolling windows of data to determine the point in which there’s a structural break and the series loses its stationarity.

Essays in asset price bubbles

This thesis studies the field of asset price bubbles. It is comprised of three independent chapters. Each of these chapters either directly or indirectly analyse the existence or implications of asset price bubbles. The type of bubbles assumed in each of these chapters is consistent with rational expectations. Thus, the kind of price bubbles investigated here are known as rational bubbles in the literature. The following describes the three chapters. Chapter 1: This chapter attempts to explain the recent US housing price bubble by developing a heterogeneous agent endowment economy asset pricing model with risky housing, endogenous collateral and defaults. Investment in housing is subject to an idiosyncratic risk and some mortgages are defaulted in equilibrium. We analytically derive the leverage or the endogenous loan to value ratio. This variable comes from a limited participation constraint in a one period mortgage contract with monitoring costs. Our results show that low values of housing investment risk produces a credit easing effect encouraging excess leverage and generates credit driven rational price bubbles in the housing good. Conversely, high values of housing investment risk produces a credit crunch characterized by tight borrowing constraints, low leverage and low house prices. Furthermore, the leverage ratio was found to be procyclical and the rate of defaults countercyclical consistent with empirical evidence. Chapter 2: It is widely believed that financial assets have considerable persistence and are susceptible to bubbles. However, identification of this persistence and potential bubbles is not straightforward. This chapter tests for price bubbles in the United States housing market accounting for long memory and structural breaks. The intuition is that the presence of long memory negates price bubbles while the presence of breaks could artificially induce bubble behaviour. Hence, we use procedures namely semi-parametric Whittle and parametric ARFIMA procedures that are consistent for a variety of residual biases to estimate the value of the long memory parameter, d, of the log rent-price ratio. We find that the semi-parametric estimation procedures robust to non-normality and heteroskedasticity errors found far more bubble regions than parametric ones. A structural break was identified in the mean and trend of all the series which when accounted for removed bubble behaviour in a number of regions. Importantly, the United States housing market showed evidence for rational bubbles at both the aggregate and regional levels. In the third and final chapter, we attempt to answer the following question: To what extend should individuals participate in the stock market and hold risky assets over their lifecycle? We answer this question by employing a lifecycle consumption-portfolio choice model with housing, labour income and time varying predictable returns where the agents are constrained in the level of their borrowing. We first analytically characterize and then numerically solve for the optimal asset allocation on the risky asset comparing the return predictability case with that of IID returns. We successfully resolve the puzzles and find equity holding and participation rates close to the data. We also find that return predictability substantially alter both the level of risky portfolio allocation and the rate of stock market participation. High factor (dividend-price ratio) realization and high persistence of factor process indicative of stock market bubbles raise the amount of wealth invested in risky assets and the level of stock market participation, respectively. Conversely, rare disasters were found to bring down these rates, the change being severe for investors in the later years of the life-cycle. Furthermore, investors following time varying returns (return predictability) hedged background risks significantly better than the IID ones.

Asset price bubbles and economic welfare

In this paper, we provide the first empirical evidence on whether or not asset price bubbles predict economic welfare. Using a time-series model, we show that asset price bubbles both positively and negatively predict economic welfare, although the evidence that asset price bubbles are welfare-enhancing is much stronger. These results are also robust to out-of-sample forecasting as well as to a predictive regression model augmented by structural break dates.

Piezoelectric transducers assessed by the pencil lead break for impedance-based structural health monitoring

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Source location of acoustic emission waves for structural health monitoring of bridges

The process of structural health monitoring (SHM) involves monitoring a structure over a period of time using appropriate sensors, extracting damage sensitive features from the measurements made by the sensors and analysing these features to determine the current state of the structure. Various techniques are available for structural health monitoring of structures and acoustic emission (AE) is one technique that is finding an increasing use. Acoustic emission waves are the stress waves generated by the mechanical deformation of materials. AE waves produced inside a structure can be recorded by means of sensors attached on the surface. Analysis of these recorded signals can locate and assess the extent of damage. This paper describes preliminary studies on the application of AE technique for health monitoring of bridge structures. Crack initiation or structural damage will result in wave propagation in solid and this can take place in various forms. Propagation of these waves is likely to be affected by the dimensions, surface properties and shape of the specimen. This, in turn, will affect source localization. Various laboratory test results will be presented on source localization, using pencil lead break tests. The results from the tests can be expected to aid in enhancement of knowledge of acoustic emission process and development of effective bridge structure diagnostics system.

Paleomagnetic data support Early Permian age for the Abor Volcanics in the lower Siang Valley, NE India; significance for Gondwana-related break-up models

Confusion exists as to the age of the Abor Volcanics of NE India. Some consider the unit to have been emplaced in the Early Permian, others the Early Eocene, a difference of ∼230 million years. The divergence in opinion is significant because fundamentally different models explaining the geotectonic evolution of India depend on the age designation of the unit. Paleomagnetic data reported here from several exposures in the type locality of the formation in the lower Siang Valley indicate that steep dipping primary magnetizations (mean = 72.7 ± 6.2°, equating to a paleo-latitude of 58.1°) are recorded in the formation. These are only consistent with the unit being of Permian age, possibly Artinskian based on a magnetostratigraphic argument. Plate tectonic models for this time consistently show the NE corner of the sub-continent >50°S; in the Early Eocene it was just north of the equator, which would have resulted in the unit recording shallow directions. The mean declination is counter-clockwise rotated by ∼94°, around half of which can be related to the motion of the Indian block; the remainder is likely due local Himalayan-age thrusting in the Eastern Syntaxis. Several workers have correlated the Abor Volcanics with broadly coeval mafic volcanic suites in Oman, NE Pakistan–NW India and southern Tibet–Nepal, which developed in response to the Cimmerian block peeling-off eastern Gondwana in the Early-Middle Permian, but we believe there are problems with this model. Instead, we suggest that the Abor basalts relate to India–Antarctica/India–Australia extension that was happening at about the same time. Such an explanation best accommodates the relevant stratigraphical and structural data (present-day position within the Himalayan thrust stack), as well as the plate tectonic model for Permian eastern Gondwana.

Structural and functional characteristics of homing endonucleases

Mobile genetic elements constitute a remarkably diverse group of nonessential selfish genes that provide no apparent function to the host. These selfish genes have been implicated in host extinction, speciation and architecture of genetic systems. Homing endonucleases, encoded by the open reading frames embedded in introns or inteins of mobile genetic elements, possess double-stranded DNA-specific endonuclease activity. They inflict sequence-specific double-strand breaks at or near the homing site in intron- or intein-less allele. Subsequently, through nonreciprocal exchange the insertion sequence (intron or intein) is transferred from an intein- or intron-containing allele to an intein- or intron-less allele. The components of host double-strand break repair pathway are thought to finish the "homing" process. Several lines of evidence suggest that homing endonucleases are capable of promoting transposition into ectopic sites within or across genomes for their survival as well as dispersal in natural populations. The occurrence of inteins at high frequencies serves as instructive models for understanding the mechanistic aspects of the process of homing and its evolution. This review focuses on genetic, biochemical, structural, and phylogenetic aspects of homing endonucleases, and their comparison with restriction endonucleases.

Analytical prediction of break-out noise from a reactive rectangular plenum with four flexible walls

This paper describes an analytical calculation of break-out noise from a rectangular plenum with four flexible walls by incorporating three-dimensional effects along with the acoustical and structural wave coupling phenomena. The breakout noise from rectangular plenums is important and the coupling between acoustic waves within the plenum and structural waves in the flexible plenum walls plays a critical role in prediction of the transverse transmission loss. The first step in breakout noise prediction is to calculate the inside plenum pressure field and the normal flexible plenum wall vibration by using an impedance-mobility approach, which results in a compact matrix formulation. In the impedance-mobility compact matrix (IMCM) approach, it is presumed that the coupled response can be described in terms of finite sets of the uncoupled acoustic subsystem and the structural subsystem. The flexible walls of the plenum are modeled as an unfolded plate to calculate natural frequencies and mode shapes of the uncoupled structural subsystem. The second step is to calculate the radiated sound power from the flexible walls using Kirchhoff-Helmholtz (KH) integral formulation. Analytical results are validated with finite element and boundary element (FEM-BEM) numerical models. (C) 2010 Acoustical Society of America. DOI: 10.1121/1.3463801]

Structural analysis of the Paint Lake Deformation Zone, Northern Ontario /

The Paint Lake Deformation Zone (PLDZ), located within the Superior Province of Canada, demarcates a major structural and lithological break between the Onaman-Tashota Terrane to the north and the Beardmore-Geraldton Belt to the south. The PLDZ is an east-west trending lineament, approximately 50 km in length and up to 1 km in width, comprised of an early ductile component termed the Paint Lake Shear Zone and a late brittle component known as the Paint Lake Fault. Structures associated with PLDZ development including S-, C- and C'-fabrics, stretching lineations, slickensides, C-C' intersection lineations, Z-folds and kinkbands indicate that simple shear deformation dominated during a NW-SE compressional event. Movement along the PLDZ was in a dextral sense consisting of an early differential motion with southside- down and a later strike-slip motion. Although the locus of the PLDZ may in part be lithologically controlled, mylonitization which accompanied shear zone development is not dependent on the lithological type. Conglomerate, intermediate and mafic volcanic units exhibit similar mesoscopic and microscopic structures where transected by the PLDZ. Field mapping, supported by thin section analysis, defines five strain domains increasing in intensity of deformation from shear zone boundary to centre. A change in the dominant microstructural deformation mechanism from dislocation creep to diffusion creep is observed with increasing strain during mylonitization. C'-fabric development is temporally associated with this change. A decrease in the angular relationship between C- and C'-fabrics is observed upon attaining maximum strain intensity. Strain profiling of the PLDZ demonstrates the presence of an outer primary strain gradient which exhibits a simple profile and an inner secondary strain gradient which exhibits a more complex profile. Regionally metamorphosed lithologies of lower greenschist facies outside the PLDZ were subjected to retrograde metamorphism during deformation within the PLDZ.

Structural, stratigraphic and geochemical studies of the Horwood Peninsula - Gander Bay Area, Northeast Newfoundland /

The Horwood Peninsula - Gander Bay area is located at NE Newfoundland in the Botwood Zone (Williams et a1., 1974) or in the Dunnage Zone (Williams, 1979) of the Central Mobile Belt of the Newfoundland Appalachians. The area is underlain by Middle Ordovician to possible Lower Silurian rocks of the Davidsville and Indian Islands Groups, respectively. Three conformable formations named informally : the Mafic Volcanic Formation, the Greywacke and Siltstone Formation and the Black Slate Formation, have been recognized in the Davidsville Group. The Greywacke and the Black Slate Formations pass locally into a Melange Formation. From consideration of regional structure and abundant locally-derived mafic volcanic olisto- 1iths in the melange, it is considered to have originated by gravity sliding rather than thrusting. Four formations have been recognized in the Indian Islands Group. They mainly contain silty slate and phyllite, grey cherty siltstone, green to red micaceous siltstone and limestone horizons. Repetition of lithological units by F1 folding are well-demonstrated in one of formations in this Group. The major structure in this Group on the Horwood Peninsula is interpreted to be a synclinal complex. The lithology of this Group is different from the Botwood Group to the west and is probably Late Ordovician and/or Early Silurian in age. The effects of soft-sediment deformation can be seen from the lower part of the Davidsville Group to the middle part of the Indian Islands Group indicating continuous and/or episodic slumping and sliding activities throughout the whole area. However, no siginificant depOSitional and tectonic break that could be assigned to the Taconian Orogeny has been recognized in this study. Three periods of tectonic deformation were produced by the Acadian Orogeny. Double boudinage in thin dikes indicates a southeast-northwest sub-horizontal compression and main northeast-southwest sub-horizontal extension during the D1 deformation. A penetrative, axial planar slaty cleavage (Sl) and tight to isocJ.ina1 F1 folds are products of this deformation. The D2 and D3 deformations formed S2 and S3 fabrics associated with crenulations and kink bands which are well-shown in the slates and phyllites of the Indian Islands Group. The D2 and D3 deformations are the products of vertical and northeast-southwest horizontal shortening respectively. The inferred fault between the Ordovician slates (Davidsville Group) and the siltstones (Indian Islands Group) suggested by Williams (1963, 1964b, 1972, 1978) is absent. Formations can be followed without displacement across this inferred fault. Chemically, the pillow lavas, mafic agglomerates, tuff beds and diabase dikes are subdivided into three rock suites : (a) basaltic komatiite (Beaver Cove Assemblage), (b) tholeiitic basalt (diabase dikes), (c) alkaline basalt (Shoal Bay Assemblage). The high Ti02 , MgO, Ni contents and bimodal characteristic of the basaltic komatiite in the area are comparable to the Svartenhuk Peninsula at Baffin Bay and are interpreted to be the result of an abortive volcano-tectonic rift-zone in a rear-arc basin. Modal and chemical analyses of greywackes and siltstones show the trend of maturity of these rocks increasing from poorly sorted Ordovician greywackes to fairly well-sorted Silurian siltstones. Rock fragments in greywackes indicate source areas consisting of plagiogranite, low grade metamorphic rocks and ultramafic rocks. Rare sedimentary structures in both Groups indicate a southeasterly provenance. Trace element analyses of greywackes also reveal a possible island-arc affinity.

Computation and Analysis of Multiple Structural-Change Models

In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues for the empirical applications of the procedures. We first address the problem of estimation of the break dates and present an efficient algorithm to obtain global minimizers of the sum of squared residuals. This algorithm is based on the principle of dynamic programming and requires at most least-squares operations of order O(T 2) for any number of breaks. Our method can be applied to both pure and partial structural-change models. Secondly, we consider the problem of forming confidence intervals for the break dates under various hypotheses about the structure of the data and the errors across segments. Third, we address the issue of testing for structural changes under very general conditions on the data and the errors. Fourth, we address the issue of estimating the number of breaks. We present simulation results pertaining to the behavior of the estimators and tests in finite samples. Finally, a few empirical applications are presented to illustrate the usefulness of the procedures. All methods discussed are implemented in a GAUSS program available upon request for non-profit academic use.

Structural rules for the formation of backbone-backbone interactions between closely packed RNA double helices

Les interactions entre les squelettes sucre-phosphate de nucléotides jouent un rôle important dans la stabilisation des structures tertiaires de larges molécules d’ARN. Elles sont régies par des règles particulières qui gouverne leur formation mais qui jusque là demeure quasiment inconnues. Un élément structural d’ARN pour lequel les interactions sucre-phosphate sont importantes est le motif d’empaquetage de deux doubles hélices d’ARN le long du sillon mineur. Ce motif se trouve à divers endroits dans la structure du ribosome. Il consiste en deux doubles hélices interagissant de manière à ce que le squelette sucre-phosphate de l’une se niche dans le sillon mineur de l’autre et vice versa. La surface de contact entre les deux hélices est majoritairement formée par les riboses et implique au total douze nucléotides. La présente thèse a pour but d’analyser la structure interne de ce motif et sa dépendance de stabilité résultant de l’association optimale ou non des hélices, selon leurs séquences nucléotidiques. Il est démontré dans cette thèse qu’un positionnement approprié des riboses leur permet de former des contacts inter-hélices, par l’entremise d’un choix particulier de l’identité des pairs de bases impliquées. Pour différentes pairs de bases participant à ce contact inter-hélices, l’identité optimale peut être du type Watson-Crick, GC/CG, or certaines pairs de bases non Watson-Crick. Le choix adéquat de paires de bases fournit une interaction inter-hélice stable. Dans quelques cas du motif, l’identité de certaines paires de bases ne correspond pas à la structure la plus stable, ce qui pourrait refléter le fait que ces motifs devraient avoir une liberté de formation et de déformation lors du fonctionnement du ribosome.

Bayesian model averaging and identification of structural breaks in time series

Bayesian Model Averaging (BMA) is used for testing for multiple break points in univariate series using conjugate normal-gamma priors. This approach can test for the number of structural breaks and produce posterior probabilities for a break at each point in time. Results are averaged over specifications including: stationary; stationary around trend and unit root models, each containing different types and number of breaks and different lag lengths. The procedures are used to test for structural breaks on 14 annual macroeconomic series and 11 natural resource price series. The results indicate that there are structural breaks in all of the natural resource series and most of the macroeconomic series. Many of the series had multiple breaks. Our findings regarding the existence of unit roots, having allowed for structural breaks in the data, are largely consistent with previous work.