Four essays in the empirical analysis of business cycles and structural breaks

Die Analyse von Konjunkturzyklen hat eine lange Geschichte in der makroökonomischen Literatur und seit ihren Anfängen stellt sie eine Herausforderung sowohl für die empirische als auch für die theoretische Forschung dar. Das beständige Interesse an diesem Forschungsbereich kann mit seiner hohen Relevanz für die Wirtschaftspolitik erklärt werden. Zuverlässige Informationen über die Wirtschaftslage spielen eine entscheidende Rolle für die Beobachtung der Wirtschaft und den politischen Entscheidungsprozess. Dies erfordert die Wahl einer Methode für die Gewinnung eines geeigneten Konjunkturindikators. Außerdem muss ein Konjunkturforscher auch andere Aspekte berücksichtigen, die Eigenschaften eines Konjunkturindikators beeinflussen können, wie Strukturbrüche oder Schwankungen mit saisonalen und höheren Frequenzen. Ein weiterer Grund für das große Interesse an der empirischen Forschung zu Konjunkturzyklen kann in der Notwendigkeit gesehen werden, theoretische Ansätze zu überprüfen. Als ein prominentes Beispiel kann die Debatte über das Verhalten von Reallöhnen im Konjunkturzyklus genannt werden, die sich zu einer der am längsten andauernden Debatten in der Makroökonomie entwickelt hat. Die vorliegende Dissertation versucht, unter den oben erwähnten Gesichtspunkten einen Beitrag zur Literatur zu leisten. Zum einen werden in der Arbeit neue methodologische Ansätze vorgeschlagen, um einen Konjunkturindikator zu generieren, beziehungsweise Strukturbrüche aufzudecken. Zum anderen wird versucht, aus einer empirischen Perspektive Aufschlüsse über das zyklische Verhalten von Reallöhnen zu erhalten. In einem ersten Aufsatz wird für die Erzeugung eines Konjunkturindikators ein neues multivariates Modell vorgeschlagen, das auf einem Bandpass (Bandbreitenfilter) basiert. Mit der Anwendung dieser Methode auf einen Datensatz mit Monats- und Quartalsdaten werden zwei Konjunkturindikatoren für die USA erhalten. Der vorgeschlagene Ansatz erweist sich als geeignet, sowohl historische Rezessionen zu reproduzieren, als Prognosen durchzuführen. In einem zweiten Aufsatz werden zum ersten Mal in der Literatur zwei Ansätze kombiniert: Indicator-Saturation als General-to-Specific-Ansatz zur Aufdeckung von Ausreißern und Strukturbrüchen und das strukturelle Zeitreihenmodell zum Zweck der Saisonbereinigung. Die Leistungsfähigkeit der Impulse- und Step-Indicator-Saturation zur Aufdeckung von Ausreißern und Niveauverschiebungen wird sowohl in einer umfangreichen Monte-Carlo-Simulation als auch in einer empirischen Anwendung für Industrieproduktionsreihen in fünf europäischen Ländern untersucht. Der Schwerpunkt der Anwendung liegt auf der Frage, ob die Rezession, die Ende 2008 angefangen hat, mit der Modelldynamik alleine erklärt werden kann, oder ob sie einen bedeutenden Strukturbruch darstellt. In einem dritten Aufsatz werden stilisierte Fakten zum zyklischen Verhalten von Konsumenten- und Produzentenreallöhnen in Deutschland ermittelt. Zunächst werden verschiedene Trendbereinigungsmethoden angewandt, um einen Konjunkturzyklus und Reallohnzyklen zu erzeugen. Die Comovements zwischen den Reallohnzyklen und dem Konjunkturzyklus werden dann im Zeitbereich und im Frequenzbereich mit Hilfe des Phasenwinkels analysiert. Die Ergebnisse im Frequenzbereich weisen darauf hin, dass der Konsumentenreallohn dem Konjunkturzyklus nacheilt. Zudem zeigt er kurzfristig ein antizyklisches Verhalten, während in der längeren Frist ein eher prozyklischen Verhalten zu beobachten ist. Die Ergebnisse für den Produzentenreallohn sind dagegen nicht so eindeutig. Ein vierter Aufsatz vergleicht das zyklische Muster von Konsumenten- und Produzentenreallöhen in den USA und Deutschland. Diese Studie ist die erste, die eine Wavelet-Analyse zur Messung von Comovements im Kontext der untersuchten Fragestellung einsetzt. Aus den Ergebnissen dieser Studie folgt, dass sich die USA und Deutschland im Hinblick auf das Vor- und Nacheilen von Reallöhnen unterscheiden. In den USA eilen beide Reallöhne im ganzen Zeitintervall dem Konjukturzyklus vor. Demgegenüber eilt der Konsumentenreallohn in Deutschland dem Konjunkturzyklus nach. Das Muster für den deutschen Produzentenreallohn ändert sich im Zeitablauf. Darüber hinaus zeigen die Ergebnisse, dass sich die Reallöhne in den USA und Deutschland bis 1980 prozyklisch oder azyklisch und danach antizyklisch verhalten.Business cycle analysis has a long history in the macroeconomics literature and since its origins it poses a challenge for both empirical and theoretical research. The enduring interest in this research area is dictated by its high relevance for economic policy. Reliable information on the state of the economy plays a crucial role in the monitoring of the economy and in the policy-making process. This involves the choice of the method for extraction of a proper business cycle indicator. Moreover, the business cycle analyst also has to take account of structural breaks as well as seasonal and higher frequency movements of the series that can affect the properties of a business cycle indicator. Another reason for the keen interest in empirical business cycle research can be seen in the need to validate theoretical approaches. A prominent example is the debate on the cyclical behavior of real wages which evolved to one of the most lively and long--lasting debates in macroeconomics. This thesis tries to contribute to the literature under the aforementioned aspects. It offers a new methodological perspective with respect to the extraction of business cycles and detection of structural breaks. Furthermore, it sheds some light on the question of real wage cyclicality from the empirical point of view. The first essay proposes a new multivariate model based on a band-pass filter to construct business cycle indicators. Using this method and a dataset with monthly and quarterly US time series, two monthly business cycle indicators are obtained for the US. It is shown that the proposed method not only reproduces historical recessions very well, but it also performs good in terms of forecasting. The second essay for the first time in the literature combines indicator saturation as a general-to-specific approach to detect outliers and structural breaks with the structural time series model for the purpose of seasonal adjustment. The performance of the impulse-indicator and step-indicator saturation for detecting additive outliers and level shifts is tested in both a comprehensive Monte Carlo simulation exercise and an empirical application. The latter involves five European industrial production series. Its focus lies on the question whether the recessionary episode starting towards the end of 2008 can be described by the inherent model dynamics, or whether it represents a major structural change. In the third essay, stylized facts about the cyclicality of real consumer wages and real producer wages in Germany are established. First, various detrending methods are applied to estimate a business cycle and real wage cycles. The comovements between real wage cycles and the business cycle are then examined both in the time domain and in the frequency domain by resorting to the concept of the phase angle. According to the frequency domain results, the consumer real wage lags behind the business cycle. Moreover, it exhibits an anticyclical behavior in the short run, whereas in the longer run a procyclical behavior can be observed. For the producer real wage, in contrast, the results in the frequency domain are not clear-cut. The fourth essay compares the cyclical behavior of consumer and producer real wages in the USA and Germany. This study is the first one which employs wavelet analysis as a comovement tool in the context of the examined research question. From the findings of this study it can be inferred that the USA and Germany differ with respect to the lead-lag relationship of real wages and the business cycle. In the USA, both real wages are leading the business cycle in the entire time interval. The German consumer real wage is, on the other hand, lagging the business cycle. For the German producer real wage, the lead-lag pattern changes over time. In addition, the results show that real wages in the USA as well in Germany are procyclical or acyclical until 1980 and countercyclical thereafter

Time Series Modelling

The analysis and modeling of time series is of the utmost importance in various fields of application. This Special Issue is a collection of articles on a wide range of topics, covering stochastic models for time series as well as methods for their analysis, univariate and multivariate time series, real-valued and discrete-valued time series, applications of time series methods to forecasting and statistical process control, and software implementations of methods and models for time series. The proposed approaches and concepts are thoroughly discussed and illustrated with several real-world data examples

Untangling hotel industry’s inefficiency: An SFA approach applied to a renowned Portuguese hotel chain

The present paper explores the technical efficiency of four hotels from Teixeira Duarte Group - a renowned Portuguese hotel chain. An efficiency ranking is established from these four hotel units located in Portugal using Stochastic Frontier Analysis. This methodology allows to discriminate between measurement error and systematic inefficiencies in the estimation process enabling to investigate the main inefficiency causes. Several suggestions concerning efficiency improvement are undertaken for each hotel studied.info:eu-repo/semantics/publishedVersio

ICTERI 2020: ІКТ в освіті, дослідженнях та промислових застосуваннях. Інтеграція, гармонізація та передача знань 2020: Матеріали 16-ї Міжнародної конференції. Том II: Семінари. Харків, Україна, 06-10 жовтня 2020 р.

This volume represents the proceedings of the Workshops co-located with the 16th International Conference on ICT in Education, Research, and Industrial Applications, held in Kharkiv, Ukraine, in October 2020. It comprises 101 contributed papers that were carefully peer-reviewed and selected from 233 submissions for the five workshops: RMSEBT, TheRMIT, ITER, 3L-Person, CoSinE, MROL. The volume is structured in six parts, each presenting the contributions for a particular workshop. The topical scope of the volume is aligned with the thematic tracks of ICTERI 2020: (I) Advances in ICT Research; (II) Information Systems: Technology and Applications; (III) Academia/Industry ICT Cooperation; and (IV) ICT in Education.Цей збірник представляє матеріали семінарів, які були проведені в рамках 16-ї Міжнародної конференції з ІКТ в освіті, наукових дослідженнях та промислових застосуваннях, що відбулася в Харкові, Україна, у жовтні 2020 року. Він містить 101 доповідь, які були ретельно рецензовані та відібрані з 233 заявок на участь у п'яти воркшопах: RMSEBT, TheRMIT, ITER, 3L-Person, CoSinE, MROL. Збірник складається з шести частин, кожна з яких представляє матеріали для певного семінару. Тематична спрямованість збірника узгоджена з тематичними напрямками ICTERI 2020: (I) Досягнення в галузі досліджень ІКТ; (II) Інформаційні системи: Технології і застосування; (ІІІ) Співпраця в галузі ІКТ між академічними і промисловими колами; і (IV) ІКТ в освіті

Essays on spatial and vertical price transmission

This is the final outcome of a three-year joint PhD programme carried out at the Sapienza University of Rome, Italy, and at the Friedrich-Schiller University of Jena, Germany, within the framework of a co-tutelle agreement between the two universities. The first essay (“Vertical price transmission, geographical dispersion and the structure of the Ugandan coffee market”) extends the vertical price transmission analysis through a structural approach, which evaluates whether spatial oligopsony power is prevailing in Ugandan coffee market and in case how strong it is. The first paper tests whether in markets, such as Uganda, where infrastructure quality is poor and transport costs are relevant, geographic dispersion of smallholder farmers allows traders to exploit their market power against farmers with a large impact on market structure and reduction of farmers' welfare. By building upon (Sexton, 1990), the study brings an original contribution to the literature, since (Sexton, 1990) develops just a theoretical model and it is not interested to do any econometric exercise. (Sexton, 1990) employs a single spatial price gap equation instead of a system of well-founded behavioural equations in agricultural markets, which is indeed a major improvement delivered by this essay. Moreover, in this analysis the approach to spatial price gap determination is combined with the oligopsony modelling and SUR technique in order to produce empirically testable hypotheses. Without such transformations the approach by (Sexton, 1990) cannot be employed for any empirical exercise. Indeed, the idea of the role of distance is taken from (Sexton, 1990) and introduced in an original way in a more sophisticated model, which is micro-founded at three levels, i.e. demand and supply of agricultural commodities by traders and farmers as well as conditional demand of inputs by farmers. Since the wholesale-farmgate price spread is net of transport costs, results confirm that geographic dispersion of smallholder farmers plays a significant role on price margin and that there is room for local oligopsony, because traders exploit their market power and overcharge transport and transaction costs to farmers. Indeed, farmers are not able to skip traders in the value chain, because a significant information asymmetry is prevailing in the market. Traders exploit farmers' ignorance because the latter are small and dispersed as well as they lack information about current market prices because of villages remoteness and poor communications with marketplaces (Courtois and Subervie, 2015). Moreover, farmers are not aware of actual transport costs faced by traders, which carry larger quantities of coffee than single smallholder farmers and spread fixed costs over a larger amount of crop. The second essay (“Spatial price transmission and trade policies: new evidence from selected sub-Saharan African countries and crops with high frequency data”) assesses the impact of trade policies on spatial price transmission of maize, rice and wheat in Cameroon, Kenya and Tanzania. This paper improves the existing literature in the field (see, inter alia, Anderson and Nelgen, 2012a, Anderson and Nelgen, 2012b and Anderson and Nelgen, 2012c), because it estimates the impact of tariff and non-tariff trade policies on spatial price transmission in the agricultural markets using monthly data. Employment of monthly data allows assessing more precisely short-lived movements of the analysed series, which could disappear because of aggregation bias at lower yearly frequency, thus providing a better identification of insulation policies. Furthermore, this essay focuses on the impact of both tariff and non-tariff barriers on spatial price transmission by taking advantage of the combination of the FAO-GIEWS (Global Information and early warning system) database and trade policies information from the FAO-FADPA (Food and Agriculture Policy Decision Analysis) with the recent release of the World Bank World Integrated Trade Solutions (WITS) Database (UNCTAD, 2016) (FAO, 2016) (FAO, 2016b) (World Bank, 2016). This latest WITS release provides monthly ad-valorem equivalent tariff rates consist of tariff, para-tariff and non-tariff measures. In particular, non-tariff barriers comprises technical measures, such as sanitary or environmental protection measures, as well as others traditionally used as instruments of commercial policy, e.g. quotas, price control, exports restrictions, or contingent trade protective measures, and also other behind-the-border measures, such as competition, trade-related investment measures, government procurement or distribution restrictions (UNCTAD, 2015). The empirical methodologies of this study, like threshold, fractional integration and panel estimation, allow to separately estimate the confounding factors and clean the estimates of the variables of interest from them. In particular, while the confounders cannot be identified, the coefficients of the variables of interest are consistent and they can be properly identified, conditional on the estimate of the confounders. An additional value added of this work is the possibility to separately estimate the impact of trade policies within the two regimes of behaviour of the domestic price series: in the first regime the trend of domestic prices is increasing, in the second one the trend is decreasing. It highlights that trade policies play a role both in case of increasing and decreasing domestic prices, but their relevance is much larger, if prices are increasing. The policy implication is that trade policies were able to insulate the country from the price shocks on the international markets during the food price spike crisis, when it was mostly needed. By presenting high frequency analyses and techniques able to detect non-linearities in the data generating process we thus provide results which are different from the standard literature (Anderson and Nelgen, 2012b and Anderson and Nelgen, 2012c). Note however that although the impact of these instruments is proved to be relevant in the short term during the food price spike crisis, these policies could not be regarded as long term solutions. The third essay ("Shocks, price transmission and Food consumption with changes in Price risk aversion) looks seriously at the issue of time variant price risk aversion parameters. This is a fundamental question to address in the investigation of both spatial and vertical price transmission in a risky environment. To this end, the essay assesses the behaviour of farm households, which consume and produce crops at the same time, and answers the following key research questions: i) whether the occurrence of exogenous shocks induces a change of price risk aversion over time and then ii) how the time-varying risk aversion parameter affects production and consumption pattern by the farm households. This research employs the risk aversion parameter introduced by (Bellemare et al., 2013), which takes into account not just the household psychological risk attitudes, but also the market imperfections and availability of institutions which facilitate risk-bearing (Mendola, 2007) (de Janvry et al., 1991). Nevertheless, unlike (Bellemare et al., 2013) the essay develops a microfounded empirical model, where the risk aversion parameter is allowed to change over time and not just across households. This empirical model is estimated within a two-stage structural approach. The results of the empirical analysis suggest that the risk aversion parameter is not constant over time and that households can become more risk averse, if they face adverse market conditions in the previous periods. Furthermore, this paper provides evidence that peasants do not aim just at need satisfaction, but they behave in an optimal way and make sure their food security in the medium term. Indeed, they prefer to increase their income instead of directly consuming the harvested crop, because the reduction of dietary energy consumption derived from the giving up the harvest for sale is more than offset by the rise of food purchasing power due to the larger profits obtained

Full Proceedings, 2018

Full conference proceedings for the 2018 International Building Physics Association Conference hosted at Syracuse University