Time-varying persistence in US inflation

The persistence property of inflation is an important issue not only for economists, but especially for central banks, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Further, not only is it the level of inflation persistence that is important in economic analyses, but also the question of whether the persistence varies over time, for instance, across business cycle phases, is equally pertinent, since assuming constant persistence across states of the economy is sure to lead to misguided policy decisions. Against this backdrop, we extend the literature on long-memory models of inflation persistence for the US economy over the monthly period of 1920:1\u20132014:5, by developing an autoregressive fractionally integrated moving-average-generalized autoregressive conditional heteroskedastic model with a time-varying memory coefficient which varies across expansions and recessions. In sum, we find that inflation persistence does vary across recessions and expansions, with it being significantly higher in the former than in the latter. As an aside, we also show that persistence of inflation volatility is higher during expansions than in recessions. Understandably, our results have important policy implications

Testing the predictability and efficiency of securitized real estate markets

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real estate index returns and to test the hypothesis that public real estate stock prices follow a random walk, the single variance ratio tests of Lo and MacKinlay (1988) as well as the multiple variance ratio test of Chow and Denning (1993) are employed. Weak-form market efficiency is tested directly using non-parametric runs tests. Empirical evidence shows that weekly stock prices in major securitized real estate markets do not follow a random walk. The empirical findings of return predictability suggest that investors might be able to develop trading strategies allowing them to earn excess returns compared to a buy-and-hold strategy. --Securitized real estate,weak-form market efficiency,random walk hypothesis,variance ratio tests,runs test,trading strategies

Market efficiency in the emerging securitized real estate markets

This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential criterion in the assessment of the functionality of markets and the asset pricing process, which is of significant relevance for emerging markets in particular. The analysis is based on autocorrelation tests as well as both single variance and multiple variance ratio tests. Furthermore, non-parametric runs tests are conducted. Empirical evidence shows that the efficient market hypothesis in its weak form is not rejected by any statistical test for seven of the twelve analyzed emerging securitized real estate markets. This result is surprising since all four developed securitized real estate stock markets analyzed in this study do not follow a random walk. The results are confirmed by the analysis of excess returns following from technical trading rules. --Securitized real estate markets,market efficiency,random walk hypothesis,variance ratio tests,runs test,trading strategies

Behavioral Deficits and Axonal Injury Persistence after Rotational Head Injury Are Direction Dependent

Pigs continue to grow in importance as a tool in neuroscience. However, behavioral tests that have been validated in the rodent model do not translate well to pigs because of their very different responses to behavioral stimuli. We refined metrics for assessing porcine open field behavior to detect a wide spectrum of clinically relevant behaviors in the piglet post-traumatic brain injury (TBI). Female neonatal piglets underwent a rapid non-impact head rotation in the sagittal plane (n=8 evaluable) or were instrumented shams (n=7 evaluable). Open field testing was conducted 1 day prior to injury (day −1) in order to establish an individual baseline for analysis, and at days +1 and +4 after injury. Animals were then killed on day +6 after injury for neuropathological assessment of axonal injury. Injured piglets were less interested in interacting with environmental stimuli and had a lower activity level than did shams. These data were compared with previously published data for axial rotational injuries in neonatal piglets. Acute behavioral outcomes post-TBI showed a dependence on the rotational plane of the brain injury, with animals with sagittal injuries demonstrating a greater level of inactivity and less random usage of the open field space than those with axial injuries. The persistence of axonal injury is also dependent on the rotational plane, with sagittal rotations causing more prolonged injuries than axial rotations. These results are consistent with animal studies, finite element models, and studies of concussions in football, which have all demonstrated differences in injury severity depending upon the direction of head impact rotation

Prickle1 is required for EMT and migration of zebrafish cranial neural crest

The neural crest—a key innovation of the vertebrates—gives rise to diverse cell types including melanocytes, neurons and glia of the peripheral nervous system, and chondrocytes of the jaw and skull. Proper development of the cephalic region is dependent on the tightly-regulated specification and migration of cranial neural crest cells (NCCs). The core PCP proteins Frizzled and Disheveled have previously been implicated in NCC migration. Here we investigate the functions of the core PCP proteins Prickle1a and Prickle1b in zebrafish cranial NCC development. Using analysis of pk1a and pk1b mutant embryos, we uncover similar roles for both genes in facilitating cranial NCC migration. Disruption of either gene causes pre-migratory NCCs to cluster together at the dorsal aspect of the neural tube, where they adopt aberrant polarity and movement. Critically, in investigating Pk1-deficient cells that fail to migrate ventrolaterally, we have also uncovered roles for pk1a and pk1b in the epithelial-to-mesenchymal transition (EMT) of pre-migratory NCCs that precedes their collective migration to the periphery. Normally, during EMT, pre-migratory NCCs transition from a neuroepithelial to a bleb-based and subsequently, mesenchymal morphology capable of directed migration. When either Pk1a or Pk1b is disrupted, NCCs continue to perform blebbing behaviors characteristic of pre-migratory cells over extended time periods, indicating a block in a key transition during EMT. Although some Pk1-deficient NCCs transition successfully to mesenchymal, migratory morphologies, they fail to separate from neighboring NCCs. Additionally, Pk1b-deficient NCCs show elevated levels of E-Cadherin and reduced levels of N-Cadherin, suggesting that Prickle1 molecules regulate Cadherin levels to ensure the completion of EMT and the commencement of cranial NCC migration. We conclude that Pk1 plays crucial roles in cranial NCCs both during EMT and migration. These roles are dependent on the regulation of E-Cad and N-Cad

Using variograms to detect and attribute hydrological change

There have been many published studies aiming to identify temporal changes in river flow time series, most of which use monotonic trend tests such as the Mann–Kendall test. Although robust to both the distribution of the data and incomplete records, these tests have important limitations and provide no information as to whether a change in variability mirrors a change in magnitude. This study develops a new method for detecting periods of change in a river flow time series, using temporally shifting variograms (TSVs) based on applying variograms to moving windows in a time series and comparing these to the long-term average variogram, which characterises the temporal dependence structure in the river flow time series. Variogram properties in each moving window can also be related to potential meteorological drivers. The method is applied to 91 UK catchments which were chosen to have minimal anthropogenic influences and good quality data between 1980 and 2012 inclusive. Each of the four variogram parameters (range, sill and two measures of semi-variance) characterise different aspects of the river flow regime, and have a different relationship with the precipitation characteristics. Three variogram parameters (the sill and the two measures of semi-variance) are related to variability (either day-to-day or over the time series) and have the largest correlations with indicators describing the magnitude and variability of precipitation. The fourth (the range) is dependent on the relationship between the river flow on successive days and is most correlated with the length of wet and dry periods. Two prominent periods of change were identified: 1995–2001 and 2004–2012. The first period of change is attributed to an increase in the magnitude of rainfall whilst the second period is attributed to an increase in variability of the rainfall. The study demonstrates that variograms have considerable potential for application in the detection and attribution of temporal variability and change in hydrological systems

Efficient simulation of non-crossing fibers and chains in a hydrodynamic solvent

An efficient simulation method is presented for Brownian fiber suspensions, which includes both uncrossability of the fibers and hydrodynamic interactions between the fibers mediated by a mesoscopic solvent. To conserve hydrodynamics, collisions between the fibers are treated such that momentum and energy are conserved locally. The choice of simulation parameters is rationalised on the basis of dimensionless numbers expressing the relative strength of different physical processes. The method is applied to suspensions of semiflexible fibers with a contour length equal to the persistence length, and a mesh size to contour length ratio ranging from 0.055 to 0.32. For such fibers the effects of hydrodynamic interactions are observable, but relatively small. The non-crossing constraint, on the other hand, is very important and leads to hindered displacements of the fibers, with an effective tube diameter in agreement with recent theoretical predictions. The simulation technique opens the way to study the effect of viscous effects and hydrodynamic interactions in microrheology experiments where the response of an actively driven probe bead in a fiber suspension is measured.Comment: 12 pages, 2 tables, 5 figure