Exchange rate pass-through: evidence based on vector autoregression with sign restrictions

We estimate exchange rate pass-through (PT) into import, producer and consumer price indexes for nine OECD countries, using a method proposed by Uhlig (2005). In a Vector Autoregression (VAR) model, we identify the exchange rate shock by imposing restrictions on the signs of impulse responses for a small subset of variables. These restrictions are consistent with a large class of theoretical models and previous empirical findings. We find that exchange rate PT is less than one at both short and long horizons. Among three price indexes, exchange rate PT is greatest for import price index and smallest for consumer price index. In addition, greater exchange rate PT is found in an economy which has a smaller size, higher import share, more persistent exchange rate, more volatile monetary policy, higher inflation rate, and less volatile aggregate demand.Vector autoregression ; Price indexes ; Consumer price indexes

On Efficiently Detecting Overlapping Communities over Distributed Dynamic Graphs

Modern networks are of huge sizes as well as high dynamics, which challenges the efficiency of community detection algorithms. In this paper, we study the problem of overlapping community detection on distributed and dynamic graphs. Given a distributed, undirected and unweighted graph, the goal is to detect overlapping communities incrementally as the graph is dynamically changing. We propose an efficient algorithm, called \textit{randomized Speaker-Listener Label Propagation Algorithm} (rSLPA), based on the \textit{Speaker-Listener Label Propagation Algorithm} (SLPA) by relaxing the probability distribution of label propagation. Besides detecting high-quality communities, rSLPA can incrementally update the detected communities after a batch of edge insertion and deletion operations. To the best of our knowledge, rSLPA is the first algorithm that can incrementally capture the same communities as those obtained by applying the detection algorithm from the scratch on the updated graph. Extensive experiments are conducted on both synthetic and real-world datasets, and the results show that our algorithm can achieve high accuracy and efficiency at the same time.Comment: A short version of this paper will be published as ICDE'2018 poste

A New Four Point Circular-Invariant Corner-Cutting Subdivision for Curve Design

A 4-point nonlinear corner-cutting subdivision scheme is established. It is induced from a special C-shaped biarc circular spline structure. The scheme is circular-invariant and can be effectively applied to 2-dimensional (2D) data sets that are locally convex. The scheme is also extended adaptively to non-convex data. Explicit examples are demonstrated

Bidimensional PR QMF with FIR Filters

Multidimensional perfect reconstruction (PR) quadrature mirror filter (QMF) banks with finite impulse response (FIR) filters induced from systems of biorthogonal multivariate scaling functions and wavelets are investigated. In particular, bivariate scaling functions and wavelets with dilation as an expansive integer matrix whose determinant is two in absolute value are considered. Demonstrative quincunxial examples are explicitly given and new FIR filters are constructed

On a-ary Subdivision for Curve Design: I. 4-Point and 6-Point Interpolatory Schemes

The classical binary 4-point and 6-point interpolatery subdivision schemes are generalized to a-ary setting for any integer a greater than or equal to 3. These new a-ary subdivision schemes for curve design are derived easily from their corresponding two-scale scaling functions, a notion from the context of wavelets

A Family of Householder Matrices

A Householder transformation, or Householder reflection, or Household matrix, is a reflection about a hyperplane with a unit normal vector. Not only have the Household matrices been used in QR decomposition efficiently but also implicitly and successfully applied in other areas. In the process of investigating a family of unitary filterbanks, a new family of Householder matrices are established. These matrices are produced when a matrix filter is required to preserve certain order of 2d digital polynomial signals. Naturally, they can be applied to image and signal processing among others

On a-ary Subdivision for Curve Design III. 2m-Point and (2m + 1)-Point Interpolatory Schemes

In this paper, we investigate both the 2m-point a-ary for any a ≥ 2 and (2m + 1)-point a-ary for any odd a ≥ 3 interpolatory subdivision schemes for curve design. These schemes include the extended family of the classical 4- and 6-point interpolatory a-ary schemes and the family of the 3- and 5-point a-ary interpolatory schemes, both having been established in our previous papers (Lian [9]) and (Lian [10])

A New Family of PR Two Channel Filter Banks

A new family of multidimensional dimensional (MD) perfect reconstruction (PR) two channel filter banks with finite impulse response (FIR) filters induced from systems of biorthogonal MD scaling functions and wavelets are introduced. One of the advantages of this construction is that the biorthogonal scaling functions and wavelets are easy to establish due to the interpolatory property of the scaling functions to start with. The other advantage is that all filters can be centrosymmetric or bi-linear phase. Examples of two dimensional (2D) bi-linear phase PR twochannel FIR filter banks will be demonstrated