Forecasting and turning point predictions in a Bayesian panel VAR model

We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model which accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for a particular type of diffuse, for Minnesota-type and for hierarchical priors. Formulas for multistep, multiunit point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided.

Panel index VAR models: Specification, Estimation, Testing and Leading Indicators

This paper proposes a method to conduct inference in panel VAR models with cross unit interdependencies and time variations in the coefficients. The approach can be used to obtain multi-unit forecasts and leading indicators and to conduct policy analysis in a multiunit setups. The framework of analysis is Bayesian and MCMC methods are used to estimate the posterior distribution of the features of interest. The model is reparametrized to resemble an observable index model and specification searches are discussed. As an example, we construct leading indicators for inflation and GDP growth in the Euro area using G-7 information.

Prior selection for panel vector autoregressions

There is a vast literature that specifies Bayesian shrinkage priors for vector autoregressions (VARs) of possibly large dimensions. In this paper I argue that many of these priors are not appropriate for multi-country settings, which motivates me to develop priors for panel VARs (PVARs). The parametric and semi-parametric priors I suggest not only perform valuable shrinkage in large dimensions, but also allow for soft clustering of variables or countries which are homogeneous. I discuss the implications of these new priors for modelling interdependencies and heterogeneities among different countries in a panel VAR setting. Monte Carlo evidence and an empirical forecasting exercise show clear and important gains of the new priors compared to existing popular priors for VARs and PVARs.

Do institutional changes affect business cycles? Evidence from Europe

We study the effects that the Maastricht treaty, the creation of the ECB, andthe Euro changeover had on the dynamics of European business cycles using a panelVAR and data from ten European countries - seven from the Euro area and threeoutside of it. There are changes in the features of European business cycles and in thetransmission of shocks. They precede the three events of interest and are more linkedto a general process of European convergence and synchronization.

A DYNAMIC FRAMEWORK FOR THE RELATIONS BETWEEN FOREIGN EXCHANGE RATES, SAVINGS AND INVESTMENTS

The Meese-Rogoff forecasting puzzle states that foreign exchange (FX) rates are unpredictable. Since one country’s macroeconomic conditions could affect the price of its national currency, we study the dynamic relations between the FX rates and some macroeconomic accounts. Our research tests whether the predictability of the FX rates could be improved through the advanced econometrics. Improving the predictability of the FX rates has important implications for various groups including investors, business entities and the government. The present thesis examines the dynamic relations between the FX rates, savings and investments for a sample of 25 countries from the Organization for Economic Cooperation and Development. We apply quarterly data of FX rates, macroeconomic indices and accounts including the savings and the investments over three decades. Through preliminary Augmented Dickey-Fuller unit root tests and Johansen cointegration tests, we found that the savings rate and the investment rate are cointegrated with the vector (1,-1). This result is consistent with many previous studies on the savings-investment relations and therefore confirms the validity of the Feldstein-Horioka puzzle. Because of the special cointegrating relation between the savings rate and investment rate, we introduce the savings-investment rate differential (SID). Investigating each country through a vector autoregression (VAR) model, we observe extremely insignificant coefficient estimates of the historical SIDs upon the present FX rates. We also report similar findings through the panel VAR approach. We thus conclude that the historical SIDs are useless in forecasting the FX rate. Nonetheless, the coefficients of the past FX rates upon the current SIDs for both the country-specific and the panel VAR models are statistically significant. Therefore, we conclude that the historical FX rates can conversely predict the SID to some degree. Specifically, depreciation in the domestic currency would cause the increase in the SID.

Essays on oil price fluctuations and macroeconomic activity

Dans cette thèse, je me suis intéressé aux effets des fluctuations du prix de pétrole sur l'activité macroéconomique selon la cause sous-jacente ces fluctuations. Les modèles économiques utilisés dans cette thèse sont principalement les modèles d'équilibre général dynamique stochastique (de l'anglais Dynamic Stochastic General Equilibrium, DSGE) et les modèles Vecteurs Autorégressifs, VAR. Plusieurs études ont examiné les effets des fluctuations du prix de pétrole sur les principaux variables macroéconomiques, mais très peu d'entre elles ont fait spécifiquement le lien entre les effets des fluctuations du prix du pétrole et la l'origine de ces fluctuations. Pourtant, il est largement admis dans les études plus récentes que les augmentations du prix du pétrole peuvent avoir des effets très différents en fonction de la cause sous-jacente de cette augmentation. Ma thèse, structurée en trois chapitres, porte une attention particulière aux sources de fluctuations du prix de pétrole et leurs impacts sur l'activité macroéconomique en général, et en particulier sur l'économie du Canada. Le premier chapitre examine comment les chocs d'offre de pétrole, de demande agrégée, et de demande de précaution de pétrole affectent l'économie du Canada, dans un Modèle d'équilibre Général Dynamique Stochastique estimé. L'estimation est réalisée par la méthode Bayésienne, en utilisant des données trimestrielles canadiennes sur la période 1983Q1 à 2010Q4. Les résultats montrent que les effets dynamiques des fluctuations du prix du pétrole sur les principaux agrégats macro-économiques canadiens varient en fonction de leurs sources. En particulier, une augmentation de 10% du prix réel du pétrole causée par des chocs positifs sur la demande globale étrangère a un effet positif significatif de l'ordre de 0,4% sur le PIB réel du Canada au moment de l'impact et l'effet reste positif sur tous les horizons. En revanche, une augmentation du prix réel du pétrole causée par des chocs négatifs sur l'offre de pétrole ou par des chocs positifs de la demande de pétrole de précaution a un effet négligeable sur le PIB réel du Canada au moment de l'impact, mais provoque une baisse légèrement significative après l'impact. En outre, parmi les chocs pétroliers identifiés, les chocs sur la demande globale étrangère ont été relativement plus important pour expliquer la fluctuation des principaux agrégats macroéconomiques du Canada au cours de la période d'estimation. Le deuxième chapitre utilise un modèle Structurel VAR en Panel pour examiner les liens entre les chocs de demande et d'offre de pétrole et les ajustements de la demande de travail et des salaires dans les industries manufacturières au Canada. Le modèle est estimé sur des données annuelles désagrégées au niveau industriel sur la période de 1975 à 2008. Les principaux résultats suggèrent qu'un choc positif de demande globale a un effet positif sur la demande de travail et les salaires, à court terme et à long terme. Un choc négatif sur l'offre de pétrole a un effet négatif relativement faible au moment de l'impact, mais l'effet devient positif après la première année. En revanche, un choc positif sur la demande précaution de pétrole a un impact négatif à tous les horizons. Les estimations industrie-par-industrie confirment les précédents résultats en panel. En outre, le papier examine comment les effets des différents chocs pétroliers sur la demande travail et les salaires varient en fonction du degré d'exposition commerciale et de l'intensité en énergie dans la production. Il ressort que les industries fortement exposées au commerce international et les industries fortement intensives en énergie sont plus vulnérables aux fluctuations du prix du pétrole causées par des chocs d'offre de pétrole ou des chocs de demande globale. Le dernier chapitre examine les implications en terme de bien-être social de l'introduction des inventaires en pétrole sur le marché mondial à l'aide d'un modèle DSGE de trois pays dont deux pays importateurs de pétrole et un pays exportateur de pétrole. Les gains de bien-être sont mesurés par la variation compensatoire de la consommation sous deux règles de politique monétaire. Les principaux résultats montrent que l'introduction des inventaires en pétrole a des effets négatifs sur le bien-être des consommateurs dans chacun des deux pays importateurs de pétrole, alors qu'il a des effets positifs sur le bien-être des consommateurs dans le pays exportateur de pétrole, quelle que soit la règle de politique monétaire. Par ailleurs, l'inclusion de la dépréciation du taux de change dans les règles de politique monétaire permet de réduire les coûts sociaux pour les pays importateurs de pétrole. Enfin, l'ampleur des effets de bien-être dépend du niveau d'inventaire en pétrole à l'état stationnaire et est principalement expliquée par les chocs sur les inventaires en pétrole.

Do capital controls boost EME´s resilience to financial crises?

Capital controls are again in vogue as a number of emerging markets have reintroduced these measures in recent years in response to a “flood” of international capital. Policymakers use these tools to buttress their economies against the “sudden stop” risk that accompanies international capital flows. Using a panel VAR model, we show that capital controls appear to make emerging market economies (EMEs) more resistant to financial crises by showing that lower post-crisis output loss is correlated with stronger capital controls. However, EMEs that employ capital controls seem to be more crisis-prone. Thus, policymakers should carefully evaluate whether the benefits of capital controls outweigh their costs.

The impact of OFDI on economic growth countries. An econometric approach using panel data and time-series evidence

The thesis at hand adds to the existing literature by investigating the relationship between economic growth and outward foreign direct investments (OFDI) on a set of 16 emerging countries. Two different econometric techniques are employed: a panel data regression analysis and a time-series causality analysis. Results from the regression analysis indicate a positive and significant correlation between OFDI and economic growth. Additionally, the coefficient for the OFDI variable is robust in the sense specified by the Extreme Bound Analysis (EBA). On the other hand, the findings of the causality analysis are particularly heterogeneous. The vector autoregression (VAR) and the vector error correction model (VECM) approaches identify unidirectional Granger causality running either from OFDI to GDP or from GDP to OFDI in six countries. In four economies causality among the two variables is bidirectional, whereas in five countries no causality relationship between OFDI and GDP seems to be present.

Time-Series Panel Analysis (TSPA): Multivariate Modeling of Temporal Associations in Psychotherapy Process.

Objective: Processes occurring in the course of psychotherapy are characterized by the simple fact that they unfold in time and that the multiple factors engaged in change processes vary highly between individuals (idiographic phenomena). Previous research, however, has neglected the temporal perspective by its traditional focus on static phenomena, which were mainly assessed at the group level (nomothetic phenomena). To support a temporal approach, the authors introduce time-series panel analysis (TSPA), a statistical methodology explicitly focusing on the quantification of temporal, session-to-session aspects of change in psychotherapy. TSPA-models are initially built at the level of individuals and are subsequently aggregated at the group level, thus allowing the exploration of prototypical models. Method: TSPA is based on vector auto-regression (VAR), an extension of univariate auto-regression models to multivariate time-series data. The application of TSPA is demonstrated in a sample of 87 outpatient psychotherapy patients who were monitored by postsession questionnaires. Prototypical mechanisms of change were derived from the aggregation of individual multivariate models of psychotherapy process. In a 2nd step, the associations between mechanisms of change (TSPA) and pre- to postsymptom change were explored. Results: TSPA allowed a prototypical process pattern to be identified, where patient's alliance and self-efficacy were linked by a temporal feedback-loop. Furthermore, therapist's stability over time in both mastery and clarification interventions was positively associated with better outcomes. Conclusions: TSPA is a statistical tool that sheds new light on temporal mechanisms of change. Through this approach, clinicians may gain insight into prototypical patterns of change in psychotherapy.

Leaf-, Panel- And Latex-expressed Sequenced Tags From The Rubber Tree (hevea Brasiliensis) Under Cold-stressed And Suboptimal Growing Conditions: The Development Of Gene-targeted Functional Markers For Stress Response.

Hevea brasiliensis is a native species of the Amazon Basin of South America and the primary source of natural rubber worldwide. Due to the occurrence of South American Leaf Blight disease in this area, rubber plantations have been extended to suboptimal regions. Rubber tree breeding is time-consuming and expensive, but molecular markers can serve as a tool for early evaluation, thus reducing time and costs. In this work, we constructed six different cDNA libraries with the aim of developing gene-targeted molecular markers for the rubber tree. A total of 8,263 reads were assembled, generating 5,025 unigenes that were analyzed; 912 expressed sequence tags (ESTs) represented new transcripts, and two sequences were highly up-regulated by cold stress. These unigenes were scanned for microsatellite (SSR) regions and single nucleotide polymorphisms (SNPs). In total, 169 novel EST-SSR markers were developed; 138 loci were polymorphic in the rubber tree, and 98 % presented transferability to six other Hevea species. Locus duplication was observed in H. brasiliensis and other species. Additionally, 43 SNP markers in 13 sequences that showed similarity to proteins involved in stress response, latex biosynthesis and developmental processes were characterized. cDNA libraries are a rich source of SSR and SNP markers and enable the identification of new transcripts. The new markers developed here will be a valuable resource for linkage mapping, QTL identification and other studies in the rubber tree and can also be used to evaluate the genetic variability of other Hevea species, which are valuable assets in rubber tree breeding.

An assessment of population structure in eight breeds of cattle using a whole genome SNP panel

Background: Analyses of population structure and breed diversity have provided insight into the origin and evolution of cattle. Previously, these studies have used a low density of microsatellite markers, however, with the large number of single nucleotide polymorphism markers that are now available, it is possible to perform genome wide population genetic analyses in cattle. In this study, we used a high-density panel of SNP markers to examine population structure and diversity among eight cattle breeds sampled from Bos indicus and Bos taurus. Results: Two thousand six hundred and forty one single nucleotide polymorphisms ( SNPs) spanning all of the bovine autosomal genome were genotyped in Angus, Brahman, Charolais, Dutch Black and White Dairy, Holstein, Japanese Black, Limousin and Nelore cattle. Population structure was examined using the linkage model in the program STRUCTURE and Fst estimates were used to construct a neighbor-joining tree to represent the phylogenetic relationship among these breeds. Conclusion: The whole-genome SNP panel identified several levels of population substructure in the set of examined cattle breeds. The greatest level of genetic differentiation was detected between the Bos taurus and Bos indicus breeds. When the Bos indicus breeds were excluded from the analysis, genetic differences among beef versus dairy and European versus Asian breeds were detected among the Bos taurus breeds. Exploration of the number of SNP loci required to differentiate between breeds showed that for 100 SNP loci, individuals could only be correctly clustered into breeds 50% of the time, thus a large number of SNP markers are required to replace the 30 microsatellite markers that are currently commonly used in genetic diversity studies.

Group I introns and associated homing endonuclease genes reveals a clinal structure for Porphyra spiralis var. amplifolia (Bangiales, Rhodophyta) along the Eastern coast of South America

Background: Group I introns are found in the nuclear small subunit ribosomal RNA gene (SSU rDNA) of some species of the genus Porphyra (Bangiales, Rhodophyta). Size polymorphisms in group I introns has been interpreted as the result of the degeneration of homing endonuclease genes (HEG) inserted in peripheral loops of intron paired elements. In this study, intron size polymorphisms were characterized for different Porphyra spiralis var. amplifolia (PSA) populations on the Southern Brazilian coast, and were used to infer genetic relationships and genetic structure of these PSA populations, in addition to cox2-3 and rbcL-S regions. Introns of different sizes were tested qualitatively for in vitro self-splicing. Results: Five intron size polymorphisms within 17 haplotypes were obtained from 80 individuals representing eight localities along the distribution of PSA in the Eastern coast of South America. In order to infer genetic structure and genetic relationships of PSA, these polymorphisms and haplotypes were used as markers for pairwise Fst analyses, Mantel's test and median joining network. The five cox2-3 haplotypes and the unique rbcL-S haplotype were used as markers for summary statistics, neutrality tests Tajima's D and Fu's Fs and for median joining network analyses. An event of demographic expansion from a population with low effective number, followed by a pattern of isolation by distance was obtained for PSA populations with the three analyses. In vitro experiments have shown that introns of different lengths were able to self-splice from pre-RNA transcripts. Conclusion: The findings indicated that degenerated HEGs are reminiscent of the presence of a full-length and functional HEG, once fixed for PSA populations. The cline of HEG degeneration determined the pattern of isolation by distance. Analyses with the other markers indicated an event of demographic expansion from a population with low effective number. The different degrees of degeneration of the HEG do not refrain intron self-splicing. To our knowledge, this was the first study to address intraspecific evolutionary history of a nuclear group I intron; to use nuclear, mitochondrial and chloroplast DNA for population level analyses of Porphyra; and intron size polymorphism as a marker for population genetics.

Var transcription profiling of Plasmodium falciparum 3D7: assignment of cytoadherent phenotypes to dominant transcripts

Background: Cytoadherence of Plasmodium falciparum-infected red blood cells is mediated by var gene-encoded P. falciparum erythrocyte membrane protein-1 and host receptor preference depends in most cases on which of the 50-60 var genes per genome is expressed. Enrichment of phenotypically homogenous parasites by panning on receptor expressing cells is fundamental for the identification of the corresponding var transcript. Methods: P. falciparum 3D7 parasites were panned on several transfected CHO-cell lines and their var transcripts analysed by i) reverse transcription/PCR/cloning/sequencing using a universal DBL alpha specific oligonucleotide pair and ii) by reverse transcription followed by quantitative PCR using 57 different oligonucleotide pairs. Results: Each cytoadherence selected parasite line also adhered to untransfected CHO-745 cells and upregulation of the var gene PFD995/PFD1000c was consistently associated with cytoadherence to all but one CHO cell line. In addition, parasites panned on different CHO cell lines revealed candidate var genes which reproducibly associated to the respective cytoadherent phenotype. The transcription profile obtained by RT-PCR/cloning/sequencing differed significantly from that of RT-quantitative PCR. Conclusion: Transfected CHO cell lines are of limited use for the creation of monophenotypic cytoadherent parasite lines. Nevertheless, 3D7 parasites can be reproducibly selected for the transcription of different determined var genes without genetic manipulation. Most importantly, var transcription analysis by RT-PCR/cloning/sequencing may lead to erroneous interpretation of var transcription profiles.

Characterization of tree-rings of Pinus caribaea var. hondurensis Barr. et Golf. trees by X ray densitometry

This work aimed to determining the anatomical structure of wood, through methodology of histology and X-ray densitometry, of resin-tapped and not resin-tapped Pinus caribaea var. hondurensis trees samples, of three diameter classes. Pine trees, in forest plantation established in 1969, in the Ecological Experimental Station of Itirapina, from the Forestry Institute of Sao Paulo State, were measured and stratified into three classes of trunk diameter. The pine trees were resin-tapped since 2004, with the opening of two simultaneous and opposing panels. Sixty samples of pine wood trees were extracted from the tree trunk through a non-destructive method and in the laboratory. Tree rings were determined in the laboratory and wood apparent density by X-ray densitometry. The test results showed that: (i) false tree rings occur in the early wood and late wood of the tree rings due to climate change; (ii) the X-ray densitometry allowed the demarcation of the tree rings limits; (iii) the wood apparent density average was significantly different between the trees in high class diameter and in the medium-low class; (iv) the wood characteristics from the resin-tapped and non resin-tapped faces did not show significant differences.

Drying and storage of cauliflower (Brassica oleracea var. botrytis) hydroprimed seeds

Literature has documented beneficial effects of seed priming on speed, synchronization and uniformity of germination. often leading to improved stand establishment. However. doubts still persist about the possible reversal effects, after drying and during storage of primed seeds that could overcome, partial or totally, the improved performance. The objectives of this research were to identify drying and storage procedures that would maintain the physiological performance achieved after seed priming, without negative effects on storability. First. hydroprimed cauliflower Seeds cv. Sharon and cv. Teresopolis Gigante, each represented by three seed lots were submitted to fast drying, slow drying, and treatments of pre-drying incubation (exposure to 35 degrees C, to a polyethylene glycol 6000 solution or a heat shock) followed by fast drying. In the second phase of this study, hydroprimed seed samples were submitted to fast drying (30-35 degrees C and 40-50% R.H.) and stored under laboratory conditions or in a chamber at 20 degrees C and 50% relative humidity for six months. Seed physiological potential was evaluated after 60-day intervals for germination (speed and percentage), Seedling emergence and saturated salt accelerated aging tests. All drying treatments efficiently preserved the favourable priming effects, except for the incubation at 35 degrees C for 96-144 hours. The beneficial priming effects followed by fast drying persisted for four months under controlled conditions (20 degrees C and 50% relative humidity).