267 research outputs found
Aspectos Paleoecológicos de una comunidad de Calyx del Ordovícico de los Montes de Toledo. Réplica.
Se propone la reconstrucción de una "comunidad de Calyx"(Equinodermos Diplopóridos) de la zona de Placoparia tournemini (Llandeilo inferior) situada entre las localidades de Navas de Estena y Retuerta del Bullaque (Ciudad Real), en base a invertebrados marinos fósiles y datos sedimentológicos
El género Strenuaeva Richter y Richter (Trilobita), en el Cámbrico Inferior de las «Capas de Saukianda» en Sierra Morena Occidental (España)
Se estudia la especie Strenuaeva sampelayoi RICHTER y RICHTER, 1940 (Trilobites), con materiales de Alanís (Sevilla) y Alconera (Badajoz), precisando los caracteres morfológicos y biométricos de los elementos del exoesqueleto. Asimismo se confirma la presencia de dicha especie en ambas localidades, dentro de la denominada zona de Ossa-Morena
Testing the Fisher hypothesis in the G-7 countries using I(d) techniques
This paper revisits the Fisher hypothesis concerning the determination of real rates by estimating fractional integration and cointegration models for nominal interest rates and expected inflation in the G7 countries. Two sets of results are obtained under the alternative assumptions of white noise and Bloomfield (1973) autocorrelated errors respectively. The univariate analysis suggests that the differencing parameter is higher than 1 for most series in the former case, whilst the unit root null cannot be rejected for the majority of them in the latter case. The multivariate results imply that there exists a positive relationship, linking nominal interest rates to inflation; however, there is no evidence of the full adjustment of the former to the latter required by the Fisher hypothesis
U.S. house prices by census division: persistence, trends and structural breaks
This paper uses fractional integration methods to examine persistence, trends and structural breaks in United States house prices, more specifically the monthly Federal Housing Finance Agency House Price Index for census divisions, and the United States as a whole over the period from January 1991 to August 2022. The full sample estimates imply that the order of integration of the series is above one in all cases, and is particularly high for the aggregate series, implying high levels of persistence. However, when the possibility of structural breaks is taken into account, segmented trends are detected. The subsample estimates of the fractional differencing parameter tend to be lower, with mean reversion occurring in a number of cases. This means that shocks in the series are expected to be transitory in these subsamples, disappearing in the long run by themselves. In addition, the time trend coefficient is at its highest in the last subsample, which in most cases starts around May 2020 coincident with the beginning of the coronavirus pandemic. The results provide clear evidence of differences between census divisions, which implies that appropriate housing policies should be designed at the local (rather than at the federal) level
Fractional Integration and the Persistence of UK Inflation, 1210–2016*
This note examines the degree of persistence of UK inflation by applying fractional integration methods to historical data spanning the period 1210–2016;
the chosen approach is more general than the popular ARMA models based
on the classical I(0) vs. I(1) dichotomy. The full-sample results do not suggest
that UK inflation is a persistent process; however, the recursive analysis indicates an increase in the degree of persistence in the 16th century and more
recently after WWI and in the last quarter of the 20th century. On the whole,
monetary and exchange rate regime changes do not appear to have had a significant impact on the stochastic behaviour of inflation if one takes a longrun, historical perspective
Prospects for a monetary union in the East Africa community: Some empirical evidence
This paper examines generalised purchasing power parity (G-PPP) and business cycle synchronisation
in the East Africa Community with the aim of assessing the prospects for a monetary union. The
univariate fractional integration analysis shows that the individual series exhibit unit roots and are
highly persistent. The fractional bivariate cointegration tests suggest that there exist bivariate fractional
cointegrating relationships between the exchange rate of the Tanzanian shilling and those of the other
EAC countries, and also between the exchange rates of the Rwandan franc, the Burundian franc and
the Ugandan shilling. The Fractionally Cointegrated Vector AutoRegressive (FCVAR) results imply
the existence of a single cointegrating relationship between the exchange rates of the EAC countries.
On the whole, there is evidence in favour of G-PPP. In addition, there appears to be a high degree
of business cycle synchronisation between these economies. On both grounds, one can argue that a
monetary union should be feasible
The EMBI in Latin America: Fractional integration, non-linearities and breaks
This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For
this purpose it uses a fractional integration framework and both parametric and semiparametric methods. The evidence based on the former is sensitive to the specification
for the error terms, whilst the results from the latter are more conclusive in ruling out
mean reversion. Further, non-linearities do not appear to be present. Both recursive and
rolling window methods identify a number of breaks. Overall, the evidence of long-range
dependence as well as breaks suggests that active policies might be necessary for achieving financial and economic stability in these countrie
Long memory and data frequency in financial markets
This paper investigates persistence in financial time series at three
different frequencies (daily, weekly and monthly). The analysis is
carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory approaches (R/S analysis and fractional integration) for robustness purposes. The results indicate that persistence
is higher at lower frequencies, for both returns and their volatility.
This is true of the stock markets (both developed and emerging)
and partially of the FOREX and commodity markets examined. Such
evidence against the random walk behaviour implies predictability and is inconsistent with the Efficient Market Hypothesis (EMH),
since abnormal profits can be made using trading strategies based
on trend analysis
Is market fear persistent? A long-memory analysis
This paper investigates the degree of persistence of market fear in the VIX index over the sample
period 2004–2016, as well as some sub-periods. The findings indicate that its properties change
over time: in normal periods it exhibits anti-persistence, whilst during crisis period the level of
persistence is increasing. These results can be informative about the nature of financial bubbles
and anti-bubbles, and provide evidence on whether there exist market inefficiencies that could be
exploited to make abnormal profits by designing appropriate trading strategies
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