128,521 research outputs found

    An Unobserved Components Model of the Monetary Transmission Mechanism in a Closed Economy

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    This paper develops and estimates an unobserved components model for purposes of monetary policy analysis in a closed economy. Cyclical components are modeled as a multivariate linear rational expectations model of the monetary transmission mechanism, while trend components are modeled as unobserved components while ensuring the existence of a well defined balanced growth path. Full information maximum likelihood estimation of this unobserved components model, conditional on prior information concerning the values of trend components, provides a quantitative description of the monetary transmission mechanism in a closed economy, yields a mutually consistent set of indicators of inflationary pressure together with confidence intervals, and facilitates the generation of relatively accurate forecasts.Monetary policy analysis; Unobserved components model; Indicators of inflationary pressure; Monetary transmission mechanism; Forecast performance evaluation

    Traits, Imitation and Evolutionary Dynamics

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    In this article, a modelling framework for the information transmission between agents in an evolutionary game setting is proposed. Agents observe traits which reflect past and present behaviour and success of other agents. If agents imitate more successful agents based on these traits, the resulting dynamics are a multivariate stochastic process. An example for such a process is simulated. The results resemble the replicator dynamics to a remarkable degree. If traits moderately depend on the past, this accelerates convergence of the dynamics towards a stable state. If the dependence is strong, the stable state is not reached.replicator dynamics, imitation, evolution of cooperation, information transmission, simulation

    Traits, Imitation, and Evolutionary Dynamics

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    In this article, a modelling framework for the information transmission between agents in an evolutionary game setting is proposed. Agents observe traits which reaect past and present behaviour and success of other agents. If agents imitate more successful agents based on these traits, the resulting dynamics are a multivariate stochastic process. An example for such a process is simulated. The results resemble the replicator dynamics to a remarkable degree. If traits moderately depend on the past, this accelerates convergence of the dynamics towards a stable state. If the dependence is strong, the stable state is not reached.replicator dynamics, imitation, evolution of cooperation, information transmission, simulation

    The transmission of foreign financial crises to South Africa: a firm-level study

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    The process of financial integration has increased the exposure of South African financial markets to foreign financial crises. This paper contributes to the understanding of crisis transmission by evaluating several hypotheses that claim to explain how financial crises are transmitted to South African financial markets. The study proceeds from a firm-level perspective, which it argues overcomes the potential loss of information when using aggregate economic data. Consequently, the different transmission hypotheses are evaluated for the East Asian, Russian and Argentinean crises using firm-level daily stock return data from the JSE Securities Exchange. A multivariate regression model, supplemented by sensitivity tests, forms the core of the empirical methodology.financial contagion; crisis; South Africa; financial linkages

    Price Transmission Asymmetries in the Spanish Lamb Sector

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    The analysis of asymmetries in the price transmission mechanism at different levels of the marketing chain provides some interesting information about the degree of competition in vertical related markets. The objective of this paper is to investigate the non-linear adjustments of prices along the lamb sector in Spain. The methodology used is based on the multivariate approach to specify and estimate a Threshold Autoregressive Model. Price relationships at farm, wholesale and retail levels are considered. Results indicate that in the long-run price transmission is perfect and any supply or demand shocks are fully transmitted to all prices in the system. In the shortrun, analyses suggest that the high degree of horizontal concentration among retailers allow them to have market power. Responses to any shock generate an increase of the retail price spread which is more evident when prices show an upward trend.Price transmission, asymmetries, TAR models, lamb, Spain, Demand and Price Analysis,

    Volatility Transmission: What Does Asia-Pacific Markets Expect?

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    The purpose of this paper is to investigate the international information transmission of return and volatility spillovers from the US and Japan and the rest of the Asia-Pacific markets using daily stock market return data covering the last 14 years. In the majority of the markets under scrutiny, we provide evidence of direct volatility spillovers, running mainly from the Japanese and US markets and pointing to more rapid information transmission during the recent years. First, the volatility of the Asia-Pacific markets is becoming influenced more by the US market for the recent years. Secondly, for international investors to get profits from the returns of Asia-Pacific securities, it is necessary to pay attention to the US market directly. Third, Korea, Singapore and Hong Kong are among the most Asia-Pacific markets vulnerable to shocks from US investors due to the large ratio of portfolio holding.GARCH-BEKK; volatility spillovers; multivariate GARCH

    Assessing Information Transmission in Data Transformations with the Channel Multivariate Entropy Triangle

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    Data transformation, e.g., feature transformation and selection, is an integral part of any machine learning procedure. In this paper, we introduce an information-theoretic model and tools to assess the quality of data transformations in machine learning tasks. In an unsupervised fashion, we analyze the transformation of a discrete, multivariate source of information (X) over bar into a discrete, multivariate sink of information (Y) over bar related by a distribution P-(XY) over bar. The first contribution is a decomposition of the maximal potential entropy of ((X) over bar, (Y) over bar), which we call a balance equation, into its (a) non-transferable, (b) transferable, but not transferred, and (c) transferred parts. Such balance equations can be represented in (de Finetti) entropy diagrams, our second set of contributions. The most important of these, the aggregate channel multivariate entropy triangle, is a visual exploratory tool to assess the effectiveness of multivariate data transformations in transferring information from input to output variables. We also show how these decomposition and balance equations also apply to the entropies of (X) over bar and (Y) over bar, respectively, and generate entropy triangles for them. As an example, we present the application of these tools to the assessment of information transfer efficiency for Principal Component Analysis and Independent Component Analysis as unsupervised feature transformation and selection procedures in supervised classification tasks.This research was funded by he Spanish Government-MinECo projects TEC2014-53390-P and TEC2017-84395-P

    A statistical reduced-reference method for color image quality assessment

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    Although color is a fundamental feature of human visual perception, it has been largely unexplored in the reduced-reference (RR) image quality assessment (IQA) schemes. In this paper, we propose a natural scene statistic (NSS) method, which efficiently uses this information. It is based on the statistical deviation between the steerable pyramid coefficients of the reference color image and the degraded one. We propose and analyze the multivariate generalized Gaussian distribution (MGGD) to model the underlying statistics. In order to quantify the degradation, we develop and evaluate two measures based respectively on the Geodesic distance between two MGGDs and on the closed-form of the Kullback Leibler divergence. We performed an extensive evaluation of both metrics in various color spaces (RGB, HSV, CIELAB and YCrCb) using the TID 2008 benchmark and the FRTV Phase I validation process. Experimental results demonstrate the effectiveness of the proposed framework to achieve a good consistency with human visual perception. Furthermore, the best configuration is obtained with CIELAB color space associated to KLD deviation measure
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