136 research outputs found
Time-varying correlations between trade balance and stock prices in the United States over the period 1792 to 2013
The relationship between stock prices and the trade balance can be either negative or positive, depending on the signs of the wealth effect channel and the exchange rate channel. While previous studies examined this relationship in a time-invariant framework, we employ a time-varying approach so as to examine the dynamic correlations of trade balance and stock prices in the United States over the period 1792–2013. The results of our empirical analysis, which remain robust to alternative specifications, reveal that correlations between the trade balance and stock prices in the United States are indeed not constant, but evolve heterogeneously overtime. In particular, the correlations are, in general, significantly positive between 1800 and 1870, while significantly negative thereafter. The policy implications of these findings are then discussed.https://link.springer.com/journal/121972019-10-01hj2018Economic
Has the correlation of inflation and stock prices changed in the United States over the last two centuries?
The relationship between stock prices and the inflation can be either negative or positive, depending on the strengths of various theoretical channels at work. In this study, we examine the dynamic conditional correlations of stock prices and inflation in the United States over the period of 1791–2015 under a time-varying framework. The results of our empirical analysis reveal that correlations between the inflation and stock prices in the United States evolve heterogeneously overtime. In particular, the correlations are significantly positive in the 1840s, 1860s, 1930s and 2011, and significantly negative otherwise. The policy implications of these findings are then discussed.http://www.elsevier.com/locate/ribaf2018-12-30hj2018Economic
Applying a two-stage Bayesian dynamic model to a short lived species, the anchovy in the Aegean Sea (Eastern Mediterranean). Comparison with an Integrated Catch at Age stock assessment model.
Two different stock assessment models were applied to the North Aegean Sea anchovy stock (Eastern Mediterranean Sea): an Integrated Catch at age Analysis and a Bayesian two-stage biomass based model. Commercial catch data over the period 2000-2008 as well as acoustics and Daily Egg Production Method estimates over the period 2003-2008 were used. Both models results were consistent, indicating that anchovy stock is exploited sustainably in relation to an exploitation rate reference point. Further, the stock biomass appears stable or increasing. However, the limitations in age-composition data, potential problems related to misinterpretation of age readings along with the existence of missing values in the survey data seem to favour the two-stage biomass method, which is based on a simplified age structure.
Assessing the Privacy Benefits of Domain Name Encryption
As Internet users have become more savvy about the potential for their
Internet communication to be observed, the use of network traffic encryption
technologies (e.g., HTTPS/TLS) is on the rise. However, even when encryption is
enabled, users leak information about the domains they visit via DNS queries
and via the Server Name Indication (SNI) extension of TLS. Two recent proposals
to ameliorate this issue are DNS over HTTPS/TLS (DoH/DoT) and Encrypted SNI
(ESNI). In this paper we aim to assess the privacy benefits of these proposals
by considering the relationship between hostnames and IP addresses, the latter
of which are still exposed. We perform DNS queries from nine vantage points
around the globe to characterize this relationship. We quantify the privacy
gain offered by ESNI for different hosting and CDN providers using two
different metrics, the k-anonymity degree due to co-hosting and the dynamics of
IP address changes. We find that 20% of the domains studied will not gain any
privacy benefit since they have a one-to-one mapping between their hostname and
IP address. On the other hand, 30% will gain a significant privacy benefit with
a k value greater than 100, since these domains are co-hosted with more than
100 other domains. Domains whose visitors' privacy will meaningfully improve
are far less popular, while for popular domains the benefit is not significant.
Analyzing the dynamics of IP addresses of long-lived domains, we find that only
7.7% of them change their hosting IP addresses on a daily basis. We conclude by
discussing potential approaches for website owners and hosting/CDN providers
for maximizing the privacy benefits of ESNI.Comment: In Proceedings of the 15th ACM Asia Conference on Computer and
Communications Security (ASIA CCS '20), October 5-9, 2020, Taipei, Taiwa
Monetary policy uncertainty spillovers in time and frequency domains
We use the recently created monthly Interest Rate Uncertainty measure, to investigate monetary policy uncertainty across the US, Germany, France, Italy, Spain, UK, Japan, Canada, and Sweden in both the time and frequency domains. We find that the largest spillover indices are from innovations in the country itself; however, there are some instances where spillover indices between countries are large. These relationships change over time and we observe large variances in pairwise spillovers during the global financial crisis. We find that most of the volatility is confined to the crisis period. Policy makers should consider accounting for the spillovers from the US, Germany, France and Spain, as we found that they are the most consistent net transmitters of monetary policy uncertainty
The tourism and economic growth enigma: Examining an ambiguous relationship through multiple prisms
This paper revisits the ambiguous relationship between tourism and economic growth, providing a comprehensive study of destinations across the globe which takes into
account the key dynamics that influence tourism and economic performance. We focus on 113 countries over the period 1995-2014, clustered, for the first time, around six
criteria that reflect their economic, political and tourism dimensions. A Panel Vector Autoregressive model is employed which, in contrast to previous studies, allows the data to reveal any tourism-economy interdependencies across these clusters, without imposing a priori the direction of causality. Overall, the economic-driven tourism growth hypothesis seems to prevail in countries which are developing, non-democratic, highly bureaucratic and have low tourism specialization. Conversely, bidirectional relationships are established for economies which are stronger, democratic and with higher levels of government effectiveness. Thus, depending on the economic, political
and tourism status of a destination, different policy implications apply
Time connectedness of fear
This paper examines the interconnection between four implied volatility indices representative of the investors' consensus view of expected stock market volatility at different maturities during the period January 3, 2011-May 4, 2018. To this end, we first perform a static analysis to measure the total volatility connectedness in the entire period using a framework proposed by Diebold and Yilmaz (2014). Second, we apply a dynamic analysis to evaluate both the net directional connectedness for each market using the TVP-VAR connectedness approach developed by Antonakakis and Gabauer (2017). Our results suggest that a 72.27%, of the total variance of the forecast errors is explained by shocks across the examined investor time horizons, indicating that the remainder 27.73% of the variation is due to idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability. Finally, we also document a superior performance of the TVP-VAR approach to connectedness respect to the original one proposed by Diebold and Yilmaz (2014
Investment decision-making under economic policy uncertainty
It is widely established that economic policy uncertainty (EPU) affects investment decisions and performance, yet research in this area has overlooked the direct property investment market. This article seeks to rectify this and proposes a multistage multilevel analytical framework to offer new insights and a richness of findings. Using a news-based measure of EPU in the United Kingdom, and controlling for economic conditions, a national-level analysis reveals some evidence of Granger-Causality between EPU and total returns, indicating that pricing is responsive to uncertainty. These findings suggest that EPU is an important risk factor for direct property investments, with pricing implications. Differences in data and performance measure are important, however, with income returns unresponsive. A micro-level investigation begins to reveal some of the asset-pricing decisions underpinning the national results, indicating investors’ concerns for income streams are consistently high, regardless of varying EPU. Pricing can also cause changes in EPU, such as in the retail and industrial markets (increasingly linked through logistics) reflecting sector-specific stakeholder groups and newsworthy issues. This evidence highlights how important it is for policy-makers to understand the complex and bi-directional relationship, that indecision can undermine investment confidence and cause investment market volatility, in turn raising EPU
Long-term oxidization and phase transition of InN nanotextures
The long-term (6 months) oxidization of hcp-InN (wurtzite, InN-w) nanostructures (crystalline/amorphous) synthesized on Si [100] substrates is analyzed. The densely packed layers of InN-w nanostructures (5-40 nm) are shown to be oxidized by atmospheric oxygen via the formation of an intermediate amorphous In-Ox-Ny (indium oxynitride) phase to a final bi-phase hcp-InN/bcc-In2O3 nanotexture. High-resolution transmission electron microscopy, energy-dispersive X-ray spectroscopy, electron energy loss spectroscopy and selected area electron diffraction are used to identify amorphous In-Ox-Ny oxynitride phase. When the oxidized area exceeds the critical size of 5 nm, the amorphous In-Ox-Ny phase eventually undergoes phase transition via a slow chemical reaction of atomic oxygen with the indium atoms, forming a single bcc In2O3 phase
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