6,962 research outputs found
Is there Evidence of Shift-Contagion in International Housing Markets?
The paper attempts to provide, for housing markets, evidence of "shift-contagion" at the international level, i. e. regime shifts in the transmission of asset prices during crisis periods. The focus is in particular on UK and Spain. We use a Markov Switching FAVAR framework and regime-dependent impulse response functions. The `Crisis' regime which we identify endogenously is shown to also correspond to an exogenously determined index of frequency of financial crises in OECD countries, which peaked in the early 1990s and in the more recent Subprime crisis. Furthermore, we find that the response of domestic house price to a shock to a common (global) house price factor during a `Crisis' regime is relatively more amplified than in a `Normal' (more tranquil) regime. Less compelling evidence is found for France.contagion, housing market, regime shifts, FAVAR model
Assessment of âstress testsâ conducted on the French banking system.
During the first quarter of 2004, the General Secretariat of the Commission bancaire (SGCB) and the Directorate General Economics and International Relations (DGEI) of the Banque de France conducted an assessment of the stability of the French banking system and its capacity to withstand a set of macroeconomic and financial shocks, as part of a broader evaluation of the French financial system carried out under the auspices of the IMFâs Financial Sector Assessment Program (FSAP). The assessment employed a macro-prudential approach which seeks to quantify the effects of shocks to the banking system using âstress testsâ. The tests measured the impact of severe shocks, deemed plausible but infrequent: e.g., a recession, a large movement in interest rates, an oil price shock, a sharp drop in stock prices. This report discusses in detail the principal characteristics of the âstress testsâ and the innovations introduced during the French FSAP, including in particular the design of coherent scenarios, which were developed using the DGEIâs macroeconomic model and the SGCBâs financial models for measuring risk. The results of the assessment indicate that, given the high average solvency ratio, the French banking system is currently in a position to withstand a major macroeconomic shock, such as a prolonged recession lasting two years. This type of shock would, however, erode the quality of bank assets and reduce bank profits by 38.5% in the second year, compared with the baseline, resulting in a decline in the international solvency ratio of one percentage point (using the Basel I methodology) or two percentage points (using the new methodology proposed in the Basel II Accord). Other scenarios, such as a 32% depreciation of the dollar against the euro for two years or an increase of nearly 50% in the price of oil also for two years, would have more limited effects on net income and solvency ratios.
Fiscal Policy in the Transition to Monetary Union: a Structural VAR Model
In order to assess the effect of fiscal rules in Stage Three of EMU for France and Germany, Bayoumi and Eichengreen's (1992) structural VAR analysis is extended by including the general government financial surplus and conditioning by external variables. This allows a distinction between fiscal and monetary shocks. During the period 1972.1-1995.4, monetary policy has a significant effect on prices in both countries. On the other hand, fiscal shocks, whose effect on the deficit provides a measure of the " structural deficit ", only contribute to a significant part of the dynamics of output in Germany. For that period, they appear to have little effect in France. In addition, fiscal shocks are uncorrelated between the two countries, although it is difficult to conclude that it reflects purely idiosyncratic shocks rather than a different policy-mix.Budget deficit ; Ricardian equivalence ; Structural VAR ; EMU
Mixing Bandt-Pompe and Lempel-Ziv approaches: another way to analyze the complexity of continuous-states sequences
In this paper, we propose to mix the approach underlying Bandt-Pompe
permutation entropy with Lempel-Ziv complexity, to design what we call
Lempel-Ziv permutation complexity. The principle consists of two steps: (i)
transformation of a continuous-state series that is intrinsically multivariate
or arises from embedding into a sequence of permutation vectors, where the
components are the positions of the components of the initial vector when
re-arranged; (ii) performing the Lempel-Ziv complexity for this series of
`symbols', as part of a discrete finite-size alphabet. On the one hand, the
permutation entropy of Bandt-Pompe aims at the study of the entropy of such a
sequence; i.e., the entropy of patterns in a sequence (e.g., local increases or
decreases). On the other hand, the Lempel-Ziv complexity of a discrete-state
sequence aims at the study of the temporal organization of the symbols (i.e.,
the rate of compressibility of the sequence). Thus, the Lempel-Ziv permutation
complexity aims to take advantage of both of these methods. The potential from
such a combined approach - of a permutation procedure and a complexity analysis
- is evaluated through the illustration of some simulated data and some real
data. In both cases, we compare the individual approaches and the combined
approach.Comment: 30 pages, 4 figure
Measuring Long-Run Exchange Rate Pass-Through.
The paper discusses the issue of estimating short- and long-run exchange rate pass-through to import prices in euro area countries and reviews some problems with the measures recently proposed in the literature. Theoretical considerations suggest a long-run Engle and Granger cointegrating relationship (between import unit values, the exchange rate and foreign prices), which is typically ignored in existing empirical studies. We use time series and up-to-date panel data techniques to test for cointegration with the possibility of structural breaks and show how the long-run may be restored in the estimation. The main finding is that allowing for possible breaks around the formation of EMU and the appreciation of the euro starting in 2001 helps restore a long run cointegration relationship, where over the sample period the fixed component of the pass-through decreased while the variable component tended to increase.Exchange rates ; Pass-through ; Import prices ; Panel cointegration ; Structural break.
A permutation Information Theory tour through different interest rate maturities: the Libor case
This paper analyzes Libor interest rates for seven different maturities and
referred to operations in British Pounds, Euro, Swiss Francs and Japanese Yen,
during the period years 2001 to 2015. The analysis is performed by means of two
quantifiers derived from Information Theory: the permutation Shannon entropy
and the permutation Fisher information measure. An anomalous behavior in the
Libor is detected in all currencies except Euro during the years 2006--2012.
The stochastic switch is more severe in 1, 2 and 3 months maturities. Given the
special mechanism of Libor setting, we conjecture that the behavior could have
been produced by the manipulation that was uncovered by financial authorities.
We argue that our methodology is pertinent as a market overseeing instrument.Comment: arXiv admin note: text overlap with arXiv:1304.039
Bandt-Pompe symbolization dynamics for time series with tied values: A data-driven approach
In 2002, Bandt and Pompe [Phys. Rev. Lett. 88, 174102 (2002)] introduced a successfully symbolic encoding scheme based on the ordinal relation between the amplitude of neighboring values of a given data sequence, from which the permutation entropy can be evaluated. Equalities in the analyzed sequence, for example, repeated equal values, deserve special attention and treatment as was shown recently by Zunino and co-workers [Phys. Lett. A 381, 1883 (2017)]. A significant number of equal values can give rise to false conclusions regarding the underlying temporal structures in practical contexts. In the present contribution, we review the different existing methodologies for treating time series with tied values by classifying them according to their different strategies. In addition, a novel data-driven imputation is presented that proves to outperform the existing methodologies and avoid the false conclusions pointed by Zunino and co-workers.Fil: Traversaro Varela, Francisco. Consejo Nacional de Investigaciones CientĂficas y TĂ©cnicas; Argentina. Universidad Nacional de LanĂșs; ArgentinaFil: Redelico, Francisco Oscar. Hospital Italiano; Argentina. Consejo Nacional de Investigaciones CientĂficas y TĂ©cnicas; Argentina. Universidad Nacional de Quilmes; ArgentinaFil: Risk, Marcelo. Hospital Italiano; Argentina. Instituto TecnolĂłgico de Buenos Aires; Argentina. Consejo Nacional de Investigaciones CientĂficas y TĂ©cnicas; ArgentinaFil: Frery, Alejandro CĂ©sar. Universidade Federal de Alagoas; BrasilFil: Rosso, Osvaldo AnĂbal. Hospital Italiano; Argentina. Universidade Federal de Alagoas; Brasil. Consejo Nacional de Investigaciones CientĂficas y TĂ©cnicas; Argentina. Universidad de Los Andes; Chil
Characterization of Vehicle Behavior with Information Theory
This work proposes the use of Information Theory for the characterization of
vehicles behavior through their velocities. Three public data sets were used:
i.Mobile Century data set collected on Highway I-880, near Union City,
California; ii.Borl\"ange GPS data set collected in the Swedish city of
Borl\"ange; and iii.Beijing taxicabs data set collected in Beijing, China,
where each vehicle speed is stored as a time series. The Bandt-Pompe
methodology combined with the Complexity-Entropy plane were used to identify
different regimes and behaviors. The global velocity is compatible with a
correlated noise with f^{-k} Power Spectrum with k >= 0. With this we identify
traffic behaviors as, for instance, random velocities (k aprox. 0) when there
is congestion, and more correlated velocities (k aprox. 3) in the presence of
free traffic flow
Efficiency characterization of a large neuronal network: a causal information approach
When inhibitory neurons constitute about 40% of neurons they could have an
important antinociceptive role, as they would easily regulate the level of
activity of other neurons. We consider a simple network of cortical spiking
neurons with axonal conduction delays and spike timing dependent plasticity,
representative of a cortical column or hypercolumn with large proportion of
inhibitory neurons. Each neuron fires following a Hodgkin-Huxley like dynamics
and it is interconnected randomly to other neurons. The network dynamics is
investigated estimating Bandt and Pompe probability distribution function
associated to the interspike intervals and taking different degrees of
inter-connectivity across neurons. More specifically we take into account the
fine temporal ``structures'' of the complex neuronal signals not just by using
the probability distributions associated to the inter spike intervals, but
instead considering much more subtle measures accounting for their causal
information: the Shannon permutation entropy, Fisher permutation information
and permutation statistical complexity. This allows us to investigate how the
information of the system might saturate to a finite value as the degree of
inter-connectivity across neurons grows, inferring the emergent dynamical
properties of the system.Comment: 26 pages, 3 Figures; Physica A, in pres
Noise versus chaos in a causal Fisher-Shannon plane
We revisit the Fisher-Shannon representation plane , evaluated using the Bandt and Pompe recipe to assign a
probability distribution to a time series. Several stochastic dynamical (noises
with , , power spectrum) and chaotic processes (27 chaotic
maps) are analyzed so as to illustrate the approach. Our main achievement is
uncovering the informational properties of the planar location.Comment: 6 pages, 1 figure. arXiv admin note: text overlap with
arXiv:1401.213
- âŠ