Are we able to capture the EU debt crisis? Evidence from PIIGGS countries in panel unit root framework

We assess the issue of fiscal sustainability in the selected EU countries. Our sample includes those showing the highest government debts, which are nowadays known under the somewhat degrading acronym – PIIGGS (Portugal, Ireland, Italy, Greece, Great Britain and Spain). Assuming the so-called present value borrowing constraint, stationarity of debts presents a sufficient condition for fiscal sustainability. Utilizing various standard panel unit root tests and the test by Im et al. (2010), we examine this condition on quarterly debt-to-GDP ratios over the period 2000 to 2010. Results provide evidence, that when trend breaks in the series are incorporated, not all of these countries exhibit non-stationarity behavior of their debt-to-GDP ratios.Fiscal sustainability, Government debt, Panel unit-root tests

What do we really know about fiscal sustainability in the EU? A panel data diagnostic

We assess the sustainability of public finances in the EU15 over the period 1970-2006 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by Pedroni (1999, 2004), generalized by Banerjee and Carrion-i-Silvestre (2006) and Westerlund and Edgerton (2007), to a structural long-run equation between general government expenditures and revenues. While estimations point to fiscal sustainability being an issue in some countries, fiscal policy was sustainable both for the EU15 panel set, and within sub-periods (1970-1991 and 1992-2006)http://deepblue.lib.umich.edu/bitstream/2027.42/64361/1/wp893.pd

On the link between forward energy prices: A nonlinear panel cointegration approach

This paper investigates the relationship between forward prices of oil, gas, coal, and electricity using a nonlinear panel cointegration framework. To this end, we consider a panel of 35 maturities and control for the economic and financial environment using equity futures prices. Estimating the cointegrating relationship, we find that oil, gas and coal forward prices are positively linked, while the negative link between oil and electricity prices is consistent with a substitution effect between the two energy sources on the long run. Estimating panel smooth transition regression (PSTR) models, we show that the forward oil price adjustment process toward its equilibrium value is nonlinear and asymmetric, putting forward the key role played by self-sustaining dynamics and speculation phenomena.forward energy prices, speculation, panel cointegration, nonlinear model, PSTR

Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation

This paper examines the Prebisch-Singer Hypothesis employing new time se- ries procedures that are robust to the nature of persistence in the commodity price shocks, thereby obviating the need for unit root pretesting. Speci…cally, the proce- dures allow consistent estimation of the number of structural breaks in the trend function as well as facilitate the distinction between trend breaks and pure level shifts. In comparison with past studies, we …nd fewer cases of commodities that display negative trends thereby weakening the case for the Prebisch-Singer Hypoth- esis. Finally, a new set of powerful unit root tests allowing for structural breaks under both the null and alternative hypotheses is applied to determine whether the underlying commodity price series can be characterized as di¤erence or trend sta- tionary processes. Relative to the extant literature, we …nd more evidence in favor of trend stationarity suggesting that real commodity price shocks are mostly of a transitory nature.primary commodity prices, structural breaks, trend functions, Prebisch- Singer Hypothesis, unit roots, Demand and Price Analysis, Marketing, Research Methods/ Statistical Methods, 013, C22,

Extracting and analyzing the warming trend in global and hemispheric temperatures

This article offers an updated and extended attribution analysis based on recently published versions of temperature and forcing datasets. It shows that both temperature and radiative forcing variables can be best represented as trend stationary processes with structural changes occurring in the slope of their trend functions and that they share a common secular trend and common breaks, largely determined by the anthropogenic radiative forcing. The common nonlinear trend is isolated, and further evidence on the possible causes of the current slowdown in warming is presented. Our analysis offers interesting results in relation to the recent literature. Changes in the anthropogenic forcings are directly responsible for the hiatus, while natural variability modes such as the Atlantic Multidecadal Oscillation, as well as new temperature adjustments, contribute to weaken the signal. In other words, natural variability and data adjustments do not explain in any way the hiatus; they simply mask its presence

What We Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic.

We assess the sustainability of public finances in the EU15 over the period 1970-2006 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by Pedroni (1999, 2004), generalized by Banerjee and Carrion-i-Silvestre (2006) and Westerlund and Edgerton (2007), to a structural long-run equation between general government expenditures and revenues. While estimations point to fiscal sustainability being an issue in some countries, fiscal policy was sustainable both for the EU15 panel set, and within subperiods (1970-1991 and 1992-2006).intertemporal budget constraint; fiscal sustainability; EU; panel unit root; panel cointegration.

Energy Consumption and Economic Growth Revisited in African Countries

The aim of this paper is to provide new empirical evidence on the relationship between energy consumption and economic growth for 21 African countries over the period from 1970 to 2006, using recently developed panel cointegration and causality tests. The countries are divided into two groups: net energy importers and net energy exporters. It is found that there exists a long-run equilibrium relationship between energy consumption, real GDP, prices, labor and capital for each group of countries as well as for the whole set of countries. This result is robust to possible cross-country dependence and still holds when allowing for multiple endogenous structural breaks, which can differ among countries. Furthermore, we find that decreasing energy consumption decreases growth and vice versa, and that increasing energy consumption increases growth, and vice versa, and that this applies for both energy exporters and importers. Finally, there is a marked difference in the cointegration relationship when country groups are considered.Africa, energy consumption, economic growth, panel cointegration, panel causality

What do we really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic

We assess the sustainability of public finances in the EU15 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by Pedroni (1999, 2004), generalized by Banerjee and Carrion-i-Silvestre (2006) and Westerlund and Edgerton (2007), to a structural long-run equation between general government expenditures and revenues. While sustainability may be lacking in individual cases, fiscal policy was overall sustainable both for the EU15 panel set, and within some sub-periods.intertemporal budget constraint, fiscal sustainability, EU, panel unit root, panel cointegration

What do we really know about fiscal sustainability in the EU? A panel data diagnostic

We assess the sustainability of public finances in the EU15 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by Pedroni (1999, 2004), generalized by Banerjee and Carrion-i-Silvestre (2006) and Westerlund and Edgerton (2007), to a structural long-run equation between general government expenditures and revenues. While sustainability may be lacking in individual cases, fiscal policy was overall sustainable both for the EU15 panel set, and within some sub-periods.intertemporal budget constraint, fiscal sustainability, EU, panel unit root, panel cointegration.

What do we really know about fiscal sustainability in the EU? A panel data diagnostic

We assess the sustainability of public finances in the EU15 over the period 1970-2006 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by Pedroni (1999, 2004), generalized by Banerjee and Carrion-i-Silvestre (2006) and Westerlund and Edgerton (2007), to a structural long-run equation between general government expenditures and revenues. While estimations point to fiscal sustainability being an issue in some countries, fiscal policy was sustainable both for the EU15 panel set, and within sub-periods (1970-1991 and 1992-2006)intertemporal budget constraint, fiscal sustainability, EU, panel unit root, panel cointegration