The Euro changeover and price adjustments in Italy

By estimating a staggered price model over the period 1980q1-2010q2, this paper documents that, after the euro changeover, Italian retailers have increased the number of price adjustments, which has translated into a higher inflation rate, with a detrimental effect on the competitiveness of the Italian economy

Multiple cyclical fractional structures in financial time series

This paper analyses multiple cyclical structures in financial time series. In particular, we focus on the monthly structure of the Nasdaq, the Dow Jones and the Standard&Poor stock market indices. The three series are modelled as long-memory processes with poles in the spectrum at multiple frequencies, including the long-run or zero frequency

Nonlinearities and fractional integration in the US unemployment rate

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework, using a Lagrange Multiplier procedure with a standard null limit distribution. The empirical results suggest that the US unemployment rate can be specified in terms of a fractionally integrated process, which interacts with some non-linear functions of labour demand variables such as real oil prices and real interest rates. We also find evidence of a long-memory component. Our results are consistent with a hysteresis model with path dependency rather than a NAIRU model with an underlying unemployment equilibrium rate, thereby giving support to more activist stabilisation policies. However, any suitable model should also include business cycle asymmetries, with implications for both forecasting and policy-making.

Testing of nonstationarities in the unit circle, long memory processes and the day of the week effects in financial data

This paper examines a version of the tests of Robinson (1994) that enables one to test models of the form (1-Lk)dxt = ut, where k is an integer value, d may be any real number, and ut is I(0). The most common cases are those with k = 1 (unit or fractional roots) and k = 4 and 12 (seasonal unit or fractional models). However, we extend the analysis to cover situations such as (1-L5)d xt = ut, which might be relevant, for example, in the context of financial time series data. We apply these techniques to the daily Eurodollar rate and Dow Jones index, and find that for the former series the most adequate specifications are either a pure random walk or a model of the form xt = xt-5 + εt, implying in both cases that the returns are completely unpredictable. In the case of Dow Jones index, a model of the form (1-L5)d xt = ut is selected, with d constrained between 0.50 and 1, implying nonstationarity and mean-reverting behaviour

STOCK MARKET DEVELOPMENT AND ECONOMIC GROWTH: THE CAUSAL LINKAGE

This paper addresses the question: does stock market development cause growth? It examines the causal linkage between stock market development, financial development and economic growth. The argument is that any inference that financial liberalisation causes savings or investment or growth, or that financial intermediation causes growth, drawn from bivariate causality tests may be invalid, as invalid causality inferences can result from omitting an important variable. The empirical part of this study exploits techniques recently developed by Toda and Yamamoto (1995) to test for causality in VARs, and emphasises the possibility of omitted variable bias. The evidence obtained from a sample of seven countries suggests that a well-developed stock market can foster economic growth in the long run. It also provides support to theories according to which well-functioning stock markets can promote economic development by fuelling the engine of growth through faster capital accumulation, and by tuning it through better resource allocation.Financial Development, Economic Growth, Stock Market, Causality Testing, VARs, Incomplete Systems

Transplacental transmission of field and rescued strains of BTV-2 and BTV-8 in experimentally infected sheep

Transplacental transmission of bluetongue virus has been shown previously for the North European strain of serotype 8 (BTV-8) and for tissue culture or chicken egg-adapted vaccine strains but not for field strains of other serotypes. In this study, pregnant ewes (6 per group) were inoculated with either field or rescued strains of BTV-2 and BTV-8 in order to determine the ability of these viruses to cross the placental barrier. The field BTV-2 and BTV-8 strains was passaged once in Culicoides KC cells and once in mammalian cells. All virus inoculated sheep became infected and seroconverted against the different BTV strains used in this study. BTV RNA was detectable in the blood of all but two ewes for over 28 days but infectious virus could only be detected in the blood for a much shorter period. Interestingly, transplacental transmission of BTV-2 (both field and rescued strains) was demonstrated at high efficiency (6 out of 13 lambs born to BTV-2 infected ewes) while only 1 lamb of 12 born to BTV-8 infected ewes showed evidence of in utero infection. In addition, evidence for horizontal transmission of BTV-2 between ewes was observed. As expected, the parental BTV-2 and BTV-8 viruses and the viruses rescued by reverse genetics showed very similar properties to each other. This study showed, for the first time, that transplacental transmission of BTV-2, which had been minimally passaged in cell culture, can occur; hence such transmission might be more frequent than previously thought

Effect of pruning-derived biochar on heavy metals removal and water dynamics

Biomass-derived biochar is considered as a promising heavy metal adsorbent, due to abundance of polar functional groups, such as carboxylic, hydroxyl, and amino groups, which are available for heavy metal removal. The aims of this study were to evaluate the effectiveness of an orchard pruning-derived biochar in removing some heavy metals (through the evaluation of isotherms) and to study water dynamics at the solid-liquid interface as affected by heavy metal adsorption (through an innovative nuclear magnetic resonance (NMR) relaxometry approach). Both isotherms and NMR spectra revealed that Pb and Cr showed a good affinity for the biochar surface (Pb > Cr), while Cu was less affine. Accordingly, higher amounts of Pb and Cr were adsorbed by biochar as compared to those of Cu in the single systems. In binary systems (i.e., when two metals were applied simultaneously), Pb showed the highest inhibition of the adsorption of the other two metals, whereas the opposite was evidenced when Cu was used; the competitive adsorption was also strongly influenced by the metal residence time on biochar surface. In ternary systems (i.e., when all metals were applied simultaneously), even in the presence of high amounts of Pb and Cr, considerable adsorption of Cu occurred, indicating that some biochar adsorption sites were highly specific for a single metal

Fractional integration and data frequency

This paper examines the robustness of fractional integration estimates to different data frequencies. We show by means of Monte Carlo experiments that if the number of differences is an integer value (e.g., 0 or 1) there is no distortion when data are collected at wider intervals; however, if it is a fractional value, the distortion increases as the number of periods between the observations increases, which results in lower orders of integration than those of the true DGP. An empirical application using the S&P500 index is also carried out.

Modelling the US, the UK and Japanese unemployment rates. Fractional integrationand structural breaks

A general procedure for fractional integration and structural breaks at unknown points in time is used, which allows for different orders of integration and deterministic components in each subsample. First, the procedure is extended to the non-linear case, and is showed by means of Monte Carlo experiments that it performs well in a non-linear environment. Second, it is applied to test for a single break in the unemployment rate in the US, the UK and Japan. The results shed some light on the empirical relevance of alternative unemployment theories for these countries. Specifically, a structuralist interpretation appears more appropriate for the US and Japan, whilst a hysteresis model accounts better for the UK experience (and also for the Japanese one in the second subsanple). These findings are interpreted in terms of structural instability in labour markets with different features.

Interlaminar Response of LSI-Produced C/SiC Ceramic Matrix Composites: Experiments and Modelling

This work investigates the interlaminar properties of a C/SiC composite produced by Liquid Silicon Infiltration, combining experiments based on Double Cantilever Beam tests and numerical analyses. Experimentally, a method to obtain pre-cracks with sharp tips at precise locations is proposed, and specimens with different thickness are used to investigate the effects of bending stress states in the delamination process. The properties of tri-linear Cohesive Zone Models for the modelling of delamination are identified numerically, by using automatic regression techniques without requiring additional assumptions or testing. Fiber bridging effects were observed and modelled, including the evaluation of the process zone lengths with different experimental, analytical, and numerical methods. Overall, the work provides a qualitative insight in the delamination process of long fiber reinforced C/SiC laminates produced with a cost-affordable technique and proposes an experimental and numerical protocol to characterize and model delamination phenomena, taking into account the scattering of material properties