Post-Bretton Woods evidence on PPP under different exchange rate regimes

This article investigates the behaviour of exchange rates across different regimes for a post-Bretton Woods period. The exchange rate regime classification is based on the classification of Frankel et al. (2004) who condensed the 10 categories of exchange rate regimes reported by the International Monetary Fund (IMF) into three categories. Panel unitroot tests and panel cointegration are used to examine the Purchasing Power Parity (PPP) hypothesis. The latter test is used to check for both the weak and strong forms of PPP. The panel unit-root tests show no evidence of PPP and suggest there is no difference in the behaviour of exchange rates across different regimes. However, failure to detect PPP across any of the regimes could be due to structural breaks. This assumption is reinforced by the results of cointegration tests, which suggest that there exists at least a weak form of PPP for the different regimes. The evidence for strong PPP decreases as the exchange rate regime moves away from a flexible exchange rate regime.

Early marketing matters:a time-varying parameter approach to persistence modeling

Are persistent marketing effects most likely to appear right after the introduction of a product? The authors give an affirmative answer to this question by developing a model that explicitly reports how persistent and transient marketing effects evolve over time. The proposed model provides managers with a valuable tool to evaluate their allocation of marketing expenditures over time. An application of the model to many pharmaceutical products, estimated through (exact initial) Kalman filtering, indicates that both persistent and transient effects occur predominantly immediately after a brand's introduction. Subsequently, the size of the effects declines. The authors theoretically and empirically compare their methodology with methodology based on unit root testing and demonstrate that the need for unit root tests creates difficulties in applying conventional persistence modeling. The authors recommend that marketing models should either accommodate persistent effects that change over time or be applied to mature brands or limited time windows only.

Az árfolyamsávok empirikus modelljei és a devizaárfolyam sávon belüli előrejelezhetetlensége = Empirical models of exchange rate target zones

A sávosan rögzített devizaárfolyamok elméleti és gyakorlati vizsgálatai a nemzetközi közgazdaságtan egyik legnépszerűbb témaköre volt a kilencvenes évek elején. A gyakorlati módszerek közül az alkalmazások és hivatkozások száma tekintetében az úgynevezett eltolódással igazítás módszere emelkedett ki. A módszert alkalmazó szerzők szerint amíg a lebegő árfolyamú devizák előrejelzése céltalan feladatnak tűnik, addig sávos árfolyam esetén az árfolyam sávon belüli helyzetének előrejelzése sikeresen végezhető. E tanulmány bemutatja, hogy az Európai Monetáris Rendszer és az északeurópai államok sávos árfolyamrendszereinél e módszer alkalmazásával adódott eredmények például a lebegő árfolyamú amerikai dollárra és az egységgyökfolyamatok többségére is érvényesek. A tanulmány feltárja e látszólagos ellentmondás okait, és bemutat egy olyan, a sávos árfolyamrendszerek főbb megfigyelt jellemzőire épülő modellt, amelynek keretei között a sávon belüli árfolyam előrejelzése nem feltétlenül lehetséges, mert a leértékelés előtti időszakban a sávon belüli árfolyam alakulása kaotikus lehet. / === / Following the development of the first exchange rate target zone model at the end of the eighties dozens of papers analyzed theoretical and empirical topics of currency bands. This paper reviews different empirical methods to analyze the credibility of the band and lays special emphasis on the most widely used method, the so-called drift-adjustment method. Papers applying that method claim that while forecasting a freely floating currency is hopeless, predicting an exchange rate within the future band is successful. This paper shows that the results achieved by applications to EMS and Nordic currencies are not specific to data of target zone currencies. For example, application to US dollar and even to most unit root processes leads qualitatively to the same. This paper explores the solutions of this puzzle and shows a model of target zones in which the exchange rate within the band is not necessarily predictable since the process might follow chaotic dynamics before devaluation.

The Causal Links between FDI and Economic Growth in Developing Countries: A Case Study of the Republic of Rwanda

The study examines the short-run and long-run causality running from real economic growth to real foreign direct investment inflows (RFDI). Other variables such as education (involving combination of primary, secondary and tertiary enrolment as a proxy to education), real development finance, unskilled labour, to real RFDI inflows are included in the study. The time series data covering the period of 1983 -2013 are examined. First, I applied Augmented Dicky-Fuller (ADF) technique to test for unit root in variables. Findings shows all variables integrated of order one [I(1)]. Thereafter, Johansen Co-integration Test (JCT) was conducted to establish the relationship among variables. Both trace and maximum Eigen value at 5% level of significance indicate 3 co-integrated equations. Vector error correction method (VECM) was applied to capture short and long-run causality running from education, economic growth, real development finance, and unskilled labour to real foreign direct investment inflows in the Republic of Rwanda. Findings shows no short-run causality running from education, real development finance, real GDP and unskilled labour to real FDI inflows, however there were existence of long-run causality. This can be interpreted that, in the short-run; education, development finance, finance and economic growth does not influence inflows of foreign direct investment in Rwanda; but it does in long-run. From the policy perspective, the Republic of Rwanda should focus more on long term goal of investing in education to improve human capital, undertake policy reforms that promotes economic growth, in addition to promoting good governance to attract development finance – especially from Nordics countries (particularly Norway and Denmark).

Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.

This paper analyzes the dynamics ofthe American Depositary Receipt (ADR) of a Colombian bank (Bancolombia) in relation to its pricing factors (underlying (preferred) shares price, exchange rate and the US market index). The aim is to test if there is a long-term relation among these variables that would imply predictability. One cointegrating relation is found allowing the use of a vector error correction model to examine the transmission of shocks to the underlying prices, the exchange rate, and the US market index. The main finding of this paper is that in the short run, the underlying share price seems to adjust after changes in the ADR price, pointing to the fact that the NYSE (trading market for the ADR) leads the Colombian market. However, in the long run, both, the underlying share price and the ADR price, adjust to changes in one another.

Explaining economic growth in developed economies after 1980

We use the Aguion and Howitt (2009) theoretical model of endogenous economic growth to explain the declining economic growth in developed economies in the period 1981-2009. Aguion and Howitt theoretical framework combines Solownian and Schumpeterian elements in a single scenario, so that labor-augmenting technological progress and capital accumulation per efficiency unit of labor are both caused not only by exogenous changes in the investment rate but also by shocks to the degree of efficiency in the Research and Development (R&D) expenditure process. Empirical results revealed that per worker output growth rates and capital stock per efficiency unit of labor growth rates both have a common panel unit root. Since the panel cointegration tests and estimates revealed a statistical significant negative long-run relationship between per worker output growth rate and capital stock per efficiency unit of labor, the interpretation of the econometric results analized from the Aguion and Howitt ́s theoretical perspective is that labor-augmenting technological progress is endogenously falling over time mainly because of an exogenous deterioration of the environment conditions for the transformation of the investment rate and R&D expenditures in technological progress.

Long-term relationship between energy consumption and GDP in Latin America: an empirical assessment using panel data

The main objetive of this research is to evaluate the long term relationship between energy consumption and GDP for some Latin American countries in the period 1980-2009 -- The estimation has been done through the non-stationary panel approach, using the production function in order to control other sources of GDP variation, such as capital and labor -- In addition to this, a panel unit root tests are used in order to identify the non-stationarity of these variables, followed by the application of panel cointegration test proposed by Pedroni (2004) to avoid a spurious regression (Entorf, 1997; Kao, 1999)

Identifying stationary series in panels: A Monte Carlo evaluation of sequential panel selection methods

Sequential panel selection methods (spsms — procedures that sequentially use conventional panel unit root tests to identify I(0)I(0) time series in panels) are increasingly used in the empirical literature. We check the reliability of spsms by using Monte Carlo simulations based on generating directly the individual asymptotic pp values to be combined into the panel unit root tests, in this way isolating the classification abilities of the procedures from the small sample properties of the underlying univariate unit root tests. The simulations consider both independent and cross-dependent individual test statistics. Results suggest that spsms may offer advantages over time series tests only under special conditions.

Services growth and convergence: Getting India’s states together

India’s success story in services is well documented at the national level, but similar literature does not exist for India’s states. In this paper, we bridge this gap in research by looking at India’s services growth at the sub-national level and in doing so, also challenge existing literature by arguing that this growth has positive implications for income distribution. The first interesting finding is that even as per capita income is not converging across India’s states, per capita services are and we provide evidence for this both in terms of traditional measures of sigma- and beta-convergence and more recent panel unit root tests. Secondly, not only is external demand an important determinant of services value added at the state level, but this demand also emanates from all over the country rather than being concentrated in the neighbouring or richer states. This suggests that the benefits from services growth are being distributed more widely than may be perceived.

Testing the random walk hypothesis with variance ratio statistics

Mestrado em Finanças

Does Final Energy Demand in Portugal Exhibit Long Memory? A Fractional Integration Analysis

In this paper, we measure the degree of fractional integration in final energy demand in Portugal using an ARFIMA model with and without adjustments for seasonality. We consider aggregate energy demand as well as final demand for petroleum, electricity, coal, and natural gas. Our findings suggest the presence of long memory in all of the components of energy demand. All fractional-difference parameters are positive and lower than 0.5 indicating that the series are stationary, although with mean reversion patterns slower than in the typical short-run processes. These results have important implications for the design of energy policies. As a result of the long-memory in final energy demand, the effects of temporary policy shocks will tend to disappear slowly. This means that even transitory shocks have long lasting effects. Given the temporary nature of these effects, however, permanent effects on final energy demand require permanent policies. This is unlike what would be suggested by the more standard, but much more limited, unit root approach, which would incorrectly indicate that even transitory policies would have permanent effects

Nitrogen leaching from the root zone of sugarcane and bananas in the humid tropics of Australia

Loss of nitrogen in deep drainage from agriculture is an important issue for environmental and economic reasons, but limited field data is available for tropical crops. In this study, nitrogen (N) loads leaving the root zone of two major humid tropical crops in Australia, sugarcane and bananas, were measured. The two field sites, 57 km apart, had a similar soil type (a well drained Dermosol) and rainfall (∼2700 mm year -1) but contrasting crops and management. A sugarcane crop in a commercial field received 136-148 kg N ha -1 year -1 applied in one application each year and was monitored for 3 years (first to third ratoon crops). N treatments of 0-600 kg ha -1 year -1 were applied to a plant and following ratoon crop of bananas. N was applied as urea throughout the growing season in irrigation water through mini-sprinklers. Low-suction lysimeters were installed at a depth of 1 m under both crops to monitor loads of N in deep drainage. Drainage at 1 m depth in the sugarcane crops was 22-37% of rainfall. Under bananas, drainage in the row was 65% of rainfall plus irrigation for the plant crop, and 37% for the ratoon. Nitrogen leaching loads were low under sugarcane (<1-9 kg ha -1 year -1) possibly reflecting the N fertiliser applications being reasonably matched to crop requirements and at least 26 days between fertiliser application and deep drainage. Under bananas, there were large loads of N in deep drainage when N application rates were in excess of plant demand, even when applied fortnightly. The deep drainage loss of N attributable to N fertiliser, calculated by subtracting the loss from unfertilised plots, was 246 and 641 kg ha -1 over 2 crop cycles, which was equivalent to 37 and 63% of the fertiliser application for treatments receiving 710 and 1065 kg ha -1, respectively. Those rates of fertiliser application resulted in soil acidification to a depth of 0.6 m by as much as 0.6 of a unit at 0.1-0.2 m depth. The higher leaching losses from bananas indicated that they should be a priority for improved N management. Crown Copyright © 2012.

Root system traits of Norway spruce, Scots pine, and silver birch in mixed boreal forests: an analysis of root architecture, morphology, and anatomy

The aim of this thesis was to unravel the functional-structural characteristics of root systems of Betula pendula Roth., Picea abies (L.) Karst., and Pinus sylvestris L. in mixed boreal forest stands differing in their developmental stage and site fertility. The root systems of these species had similar structural regularities: horizontally-oriented shallow roots defined the horizontal area of influence, and within this area, each species placed fine roots in the uppermost soil layers, while sinker roots defined the maximum rooting depth. Large radial spread and high ramification of coarse roots, and the high specific root length (SRL) and root length density (RLD) of fine roots indicated the high belowground competitiveness and root plasticity of B. pendula. Smaller radial root spread and sparser branching of coarse roots, and low SRL and RLD of fine roots of the conifers could indicate their more conservative resource use and high association with and dependence on ectomycorrhiza-forming fungi. The vertical fine root distributions of the species were mostly overlapping, implying the possibility for intense belowground competition for nutrients. In each species, conduits tapered and their frequency increased from distal roots to the stem, from the stem to the branches, and to leaf petioles in B. pendula. Conduit tapering was organ-specific in each species violating the assumptions of the general vascular scaling model (WBE). This reflects the hierarchical organization of a tree and differences between organs in the relative importance of transport, safety, and mechanical demands. The applied root model was capable of depicting the mass, length and spread of coarse roots of B. pendula and P. abies, and to the lesser extent in P. sylvestris. The roots did not follow self-similar fractal branching, because the parameter values varied within the root systems. Model parameters indicate differences in rooting behavior, and therefore different ecophysiological adaptations between species.

Effect of the pyrethroid insecticide fenvalerate on sodium current of rat dorsal root ganglion neuron

Fenvalerate is a widely used pyrethroid insecticide. The report presents our findings on the effect of fenvalerate on isolated whole-cell sodium currents in single rat dorsal root ganglionic neurons in culture, studied with patch-clamp technique. Fenvalerate decreased the amplitude of whole-cell sodium current and slowed the inactivation and tail current kinetics.

Decreased motor unit firing rate in the potentiated tibialis anterior in humans

With repeated activity, force production, rate of force production, and relaxation time are impaired. These are characteristics ofa fatigued muscle (Vandenboom, 2004). However, brief bouts of near maximal to maximal activity results in the increased ability of the muscle to generate force, termed post activation potentiation (P AP)(V andervoort et aI., 1983). The purpose of the present study was to characterize motor unit firing rate (MUFR) in the unfatigued, potentiated tibialis anterior (TA). Using a quadrifilar needle electrode, MUFR was measured during a 5s 50% MVC in which the TA was either potentiated or unpotentiated; monopolar electrodes measured surface parameters. A lOs MVC was used to potentiate the muscle. Firing rate decreased significantly from 20.15±2.9Opps to 18.27±2.99pps, while mean power frequency decreased significantly from 60. 13±7.75 Hz to 53.62±8.56 Hz. No change in root mean square (RMS) was observed. Therefore, in the present study, MUFR decreases in response to a potentiated TA.