Has the structural break slowed down growth rates of stock markets?

In this paper, we use the common structural break test suggested by Bai et al. (1998) to test for a common structural break in the stock prices of the US, the UK, and Japan. On the basis of the structural break, we divide each country's stock price series into sub-samples and investigate whether or not the structural break had slowed down the growth of stock markets. Our main findings are that when stock markets are modelled in a trivariate sense the common structural break turns out to be 1990:02, with the confidence interval including several episodes, such as the asset price bubble when housing prices and stock prices in Japan reached a peak in 1988/1989, the early 1990s recession in the UK, the business cycle peak of July 1990, the August 1990 Iraqi invasion of Kuwait and the March 1991 business cycle trough. Annual average growth rates suggest that the structural break has slowed down the growth rate of the US, the UK and Japanese stock markets.

Revisiting the US money demand function: an application of the Lagrange multiplier structural break unit root test and the bounds test for a long-run relationship

In this article, we examine the issue of a levels relationship and stability of the US money demand function over the period 1959:01 to 2004:02. We use the Lagrange multiplier structural break unit root test and the bounds testing approach to a long-run relationship in levels of the variables, namely real money demand, nominal interest rate and real income. We find greater evidence for a long-run relationship in levels and stability of the US money demand function when we use M2 as a proxy for money demand. However, we find little evidence for a long-run relationship between M1 and M2 with their determinants for the recent period, spanning the last decade or so.

ARE OECD MACROECONOMIC VARIABLES TREND STATIONARY? EVIDENCE FROM PANEL STATIONARITY TESTS ALLOWING FOR A STRUCTURAL BREAK AND CROSS-SECTIONAL DEPENDENCE

This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 macroeconomic variables of OECD countries can be best represented as random walk or stationary fluctuations around a deterministic trend. In contrast to previous studies, based essentially on visual inspection of the break type or just applying the most general break model, we use a model selection procedure based on BIC. We do this for each time series so that heterogeneous break models are allowed for in the panel. Our results suggest, overwhelmingly, that if we account for a structural break, cross-sectional dependence and choose the break models to be congruent with the data, then the null of stationarity cannot be rejected for all the 14 macroeconomic variables examined in this article. This is in sharp contrast with the results obtained by Hurlin (2004), using the same data but a different methodology.

The structure of tourist expenditure in Fiji : evidence from unit root structural break tests

The central aim of this paper is to investigate whether shocks to Fiji's tourism industry have a permanent effect or a transitory effect on tourist expenditure in Fiji. To accomplish this aim the Zivot and Andrews (1992) one break test and the Lumsdaine and Papell (1997) two break tests are used. The one break and two break tests reveal 1987 - the year of the military coups in Fiji - as the year of the break. Moreover, it is possible to reject the unit root null leading to the conclusion that shocks to Fiji's tourism industry have a transitory effect on tourist expenditure in Fiji.

Size and power properties of structural break unit root tests

In this article, we compare the small sample size and power properties of a newly developed endogenous structural break unit root test of Narayan and Popp (NP, 2010) with the existing two break unit root tests, namely the Lumsdaine and Papell (LP, 1997) and the Lee and Strazicich (LS, 2003) tests. In contrast to the widely used LP and LS tests, the NP test chooses the break date by maximizing the significance of the break dummy coefficient. Using Monte Carlo simulations, we show that the NP test has better size and high power, and identifies the structural breaks accurately. Power and size comparisons of the NP test with the LP and LS tests reveal that the NP test is significantly superior.

Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates

In this paper we examine the order of integration of EuroSterling interest rates by employing techniques that can allow for a structural break under the null and/or alternative hypothesis of the unit-root tests. In light of these results, we investigate the cointegrating relationship implied by the single, linear expectations hypothesis of the term structure of interest rates employing two techniques, one of which allows for the possibility of a break in the mean of the cointegrating relationship. The aim of the paper is to investigate whether or not the interest rate series can be viewed as I(1) processes and furthermore, to consider whether there has been a structural break in the series. We also determine whether, if we allow for a break in the cointegration analysis, the results are consistent with those obtained when a break is not allowed for. The main results reported in this paper support the conjecture that the ‘short’ Euro-currency rates are characterised as I(1) series that exhibit a structural break on or near Black Wednesday, 16 September 1992, whereas the ‘long’ rates are I(1) series that do not support the presence of a structural break. The evidence from the cointegration analysis suggests that tests of the expectations hypothesis based on data sets that include the ERM crisis period, or a period that includes a structural break, might be problematic if the structural break is not explicitly taken into account in the testing framework.

Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors

This paper considers the effect of GARCH errors on the tests proposed byPerron (1997) for a unit root in the presence of a structural break. We assessthe impact of degeneracy and integratedness of the conditional varianceindividually and find that, apart from in the limit, the testing procedure isinsensitive to the degree of degeneracy but does exhibit an increasingover-sizing as the process becomes more integrated. When we consider the GARCHspecifications that we are likely to encounter in empirical research, we findthat the Perron tests are reasonably robust to the presence of GARCH and donot suffer from severe over-or under-rejection of a correct null hypothesis.

Examining structural breaks and growth rates in international health expenditures

Over the last decade, there has been a growing interest in examining health expenditures. In this paper, we study the behaviour of health expenditures in the G3 countries (USA, the UK, and Japan) and three European countries (the UK, Switzerland and Spain) over the period 1960–2000 from a different perspective, in that we examine: (1) whether there is a common structural break in health expenditures across the G3 and European countries; (2) whether structural breaks have slowed down health expenditure growth rates in these countries or vice versa. Our main findings are that: (1) health expenditures share a common break in both bivariate and trivariate cases, and structural breaks and break intervals suggest that either one or a combination of events (second oil price shock, the 1987 stock market crash and/or recessions) have contributed to the commonality of break in health expenditures in the G3, while the oil price shocks have been instrumental in the commonality of breaks for the European countries; (2) except for the UK, structural breaks have slowed down growth rates in health expenditures for the USA, Japan, Switzerland and Spain.

Common structural basis for central nervous system drug design

The main theme of this thesis is that there is a common structural basis for drugs acting on the central nervous system (CNS), and that this concept may be used to design new CNS-active drugs which have greater specificity and hence less side-effects. To develop these ideas, the biological basis of how drugs modify CMS neurotransmission is described, and illustrated using dopaminergic pathways. An account is then given of the use of physicochemical concepts in contemporary drug design. The complete conformational analysis of several antipsychotic drugs is used to illustrate some of these techniques in the development of a model for antipsychotic drug action. After reviewing current structure-activity studies in several classes of CNS drugs (antipsychotics, anti-depressants, stimulants, hal1ucinogens, anticonvulsants and analgesics), a hypothesis for a common structural basis of CNS drug action is proposed- This is based on a topographical comparison of the X-ray structures of eight representative CNS-active drugs, and consists of three parts: 1.there is a common structural basis for the activity of many different CNS-active drug classes; 2. an aromatic ring and a nitrogen atom are the primary binding groups whose topographical arrangement is fundamental to the activity of these drug classes; 3. the nature and placement of secondary binding determines different classes of CNS drug activity. A four-Point model for this common structural basis is then defined using 14- CNS-active drug structures that include the original eight used in proposing the hypothesis. The coordinates of this model are: R1 (0. 3.5, 0), R2 (0, -3.5, O), N (4.8. -0.3, 1.4), and R3 (6.3, 1.3, 0), where R1 and R2 represent the point locations of a hydrophobic interaction of the common aromatic ring with a receptor, and R3 locates the receptor point for a hydrogen bond involving the common nitrogen, N. Extended structures were used to define the receptor points R1, R2 and R3, and the complete conformational space of each of the 14 molecules was considered. It is then shoun that the model may be used to predict whether a given structure is likely to show CNS activity: a search over 1,000 entries in the current Merck Index shows a high probability (82%) of CNS activity in compounds fitting the structural model. Analysis of CNS neurotransmitters and neuropeptides shows that these fit the common model well. Based on the available evidence supporting chemical evolution, protein evolution, and the evolution of neurotransmitter functions, it is surmised that the aromatic ring/nitrogen atom pharmacophore proposed in the common model supports the idea of the evolution of CNS receptors and their neurotransmitters, possibly from an aromatic amine or acety1cho1ine acting as a primaeval communicating molecule. The third point in the hypothesis trilogy is then addressed. The extensive conformation-activity analyses that have resulted in well-defined models for five separate CNS drug classes are used to map out the locations of secondary binding groups relative to the common model for anti-psychotics, antidepressants, analgesics, anticholinergics, and anticonvulsants. With this information, and knowledge derived from receptor-binding data, it is postulated that drugs having specified activity could be designed. In order to generate novel structures having a high probability of CNS-activity, a process of drug design is described in which known CNS structures are superimposed topographically using the common model as a template. Atoms regarded as superfluous may be selectively deleted and the required secondary binding groups added in predicted locations to give novel structures. It is concluded that this process provides the basis for the rational design of new lead compounds which could further be optimized for potent and specific CNS activity.

Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministic coe¢ cients (Ripatti and Saikkonen [25]). The second one is a VECM with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for di¤erent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to inter-national standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

Modes of expression and common structural features of the complete phenylalanine ammonia-lyase gene family in parsley.

We describe a complete gene family encoding phenylalanine ammonia-lyase (PAL; EC 4.3.1.5) in one particular plant species. In parsley (Petroselinum crispum), the PAL gene family comprises two closely related members, PAL1 and PAL2, whose TATA-proximal promoter and coding regions are almost identical, and two additional members, PAL3 and PAL4, with less similarity to one another and to the PAL1 and PAL2 genes. Using gene-specific probes derived from the 5' untranslated regions of PAL1/2, PAL3, and PAL4, we determined the respective mRNA levels in parsley leaves and cell cultures treated with UV light or fungal elicitor and in wounded leaves and roots. For comparison, the functionally closely related cinnamate 4-hydroxylase (C4H) and 4-coumarate:CoA ligase (4CL) mRNAs were measured in parallel. The results indicate various degrees of differential responsiveness of PAL4 relative to the other PAL gene family members, in contrast to a high degree of coordination in the overall expression of the PAL, C4H, and 4CL genes. The only significant sequence similarities shared by all four PAL gene promoters are a TATA-proximal set of three putative cis-acting elements (boxes P, A, and L). None of these elements alone, or the promoter region containing all of them together, conferred elicitor or light responsiveness on a reporter gene in transient expression assays. The elements appear to be necessary but not sufficient for elicitor- or light-mediated PAL gene activation, similar to the situation previously reported for 4CL.

The bacterial helicase-primase interaction: a common structural/functional module

The lack of a high-resolution structure for the bacterial helicase-primase complex and the fragmented structural information for the individual proteins have been hindering our detailed understanding of this crucial binary protein interaction. Two new structures for the helicase-interacting domain of the bacterial primases from Escherichia coli and Bacillus stearothermophilus have recently been solved and both revealed a unique and surprising structural similarity to the amino-terminal domain of the helicase itself. In this minireview, the current data are discussed and important new structural and functional aspects of the helicase-primase interaction are highlighted. An attractive structural model with direct biological significance for the function of this complex and also for the development of new antibacterial compounds is examined.