Plucking models of business cycle fluctuations: evidence from the G-7 countries

Friedman’s ‘plucking’ model, in which output cannot exceed a ceiling level but is occasionally plucked downward by recessions, is tested using Kim and Nelson’s formal econometric specification on output data from the G-7 countries. Considerable support for the model is obtained, leading us to conclude that during normal periods, output seems to be driven mostly by permanent shocks, but during recessions and highgrowth recoveries, transitory shocks dominate. During these periods macroeconomic models that emphasise demand-oriented shocks, rather than real business cycle type models, may thus be more appropriate

Regime Shifts in European Real Interest Rates

The nonstationarity of the real interest rate has long been an important issue, both for monetary and fiscal policy and for financial theory. West (1988), for example, shows that an interest rate smoothing monetary policy leads to nonstationarity in the real interest rate in the context of an overlapping wage-contract model, while DeLong and Summers (1986) show that a similar effect is produced by nonstationary shocks to aggregate demand. Such nonstationarity is also inconsistent with the Black-Scholes option pricing assumption of a constant ex-ante real rate, and it would also lead to a rejection of the consumption-based CAPM (Rose, 1988). While Fama (1975) provided evidence that the U.S. ex-ante real interest rate was constant in his influential study of the efficiency of the Treasury bill market, this has since been shown to be almost certainly due to his choice of a 1953 to 1971 sample period. Indeed, most subsequent research has found against a constant real interest rate in favour of nonstationarity (see, for example, Rose, 1988)

Multivariate Markov switiching common factor models for the UK

We estimate a model that incorporates two key features of business cycles, comovement among economic variables and switching between regimes of boom and slump, to quarterly U.K. data for the last four decades. A common factor, interpreted as a composite indicator of coincident variables, and estimates of turning points from one regime to the other, are extracted from the data by using the Kalman filter and maximum likelihood estimation. Both comovement and regime switching are found to be important features of the U.K. business cycle. The composite indicator produces a sensible representation of the cycle and the estimated turning points agree fairly well with independently determined chronologies. These estimates are sharper than those produced by a univariate Markov switching model of GDP alone. A fairly typical stylised fact of business cycles is confirmed by this model - recessions are steeper and shorter than recoveries

Estimating the permanent and transitory components of the U.K business cycle

We estimate a model that incorporates two key features of business cycles, comovement among economic variables and switching between regimes of boom and slump, to quarterly U.K. data for the last four decades. Common permanent and transitory factors, interpreted as composite indicators of coincident variables, and estimates of turning points from one regime to the other, are extracted from the data by using the Kalman filter and maximum likelihood estimation. Both comovement and regime switching are found to be important features of the U.K. business cycle. The components produce sensible representation of the cycles and the estimated turning points agree fairly well with independently determined chronologies

Real exchange rate shocks, asymmetric adjustments and long-run equilibrium in less developed countries

This paper investigates the possibility that long-run relative purchasing power parity is dependent upon the nature of real exchange shocks that are experienced. While existing studies involving developed and less developed countries often find against purchasing power parity having employed linear tests of non-stationarity or non-cointegration, we employ a new cointegration test, recently advocated by Enders and Siklos and Enders and Dibooglu, that tests for an asymmetric adjustment towards parity with respect to positive and negative real exchange rate shocks. Using a sample of ten African economies with data taken from the post-Bretton Woods floating exchange rate era, long-run purchasing power parity holds in eight of these cases if an explicit distinction is made between positive and negative shocks. Across the sample, we find variation in the type of asymmetry experienced and the roles played price and nominal exchange rate adjustment

Real exchange rate shocks, asymmetric adjustment and long-run equilibrium in less developed countries

This paper investigates the possibility that long-run relative purchasing power parity is dependent upon the nature of real exchange shocks that are experienced. While existing studies involving developed and less developed countries often find against purchasing power parity having employed linear tests of non-stationarity or non-cointegration, we employ a new cointegration test, recently advocated by Enders and Siklos and Enders and Dibooglu, that tests for an asymmetric adjustment towards parity with respect to positive and negative real exchange rate shocks. Using a sample of ten African economies with data taken from the post-Bretton Woods floating exchange rate era, long-run purchasing power parity holds in eight of these cases if an explicit distinction is made between positive and negative shocks. Across the sample, we find variation in the type of asymmetry experienced and the roles played price and nominal exchange rate adjustment

Oil and the asymmetric adjustment of UK output: a Markov-switching approach

This paper examines the role played by oil in influencing the growth in UK GDP. Our particular interest is the possibility that asymmetries might exist in such a relationship. Using Hamilton’s regime-switching estimation, we consider whether oil influences both the deepness and duration of the business cycle. We find that asymmetries arise insofar as positive oil price shocks are most likely to curtail the duration of the expansionary phase of the business cycle. This result is in contrast to existing studies of the oil price-macroeconomy relationship that have largely concerned the US

Forecasting carbon price using empirical mode decomposition and evolutionary least squares support vector regression

Conventional methods are less robust in terms of accurately forecasting non-stationary and nonlineary carbon prices. In this study, we propose an empirical mode decomposition-based evolutionary least squares support vector regression multiscale ensemble forecasting model for carbon price forecasting. Firstly, each carbon price is disassembled into several simple modes with high stability and high regularity via empirical mode decomposition. Secondly, particle swarm optimization-based evolutionary least squares support vector regression is used to forecast each mode. Thirdly, the forecasted values of all the modes are composed into the ones of the original carbon price. Finally, using four different-matured carbon futures prices under the European Union Emissions Trading Scheme as samples, the empirical results show that the proposed model is more robust than the other popular forecasting methods in terms of statistical measures and trading performances

Public involvement in setting a national research agenda

<p>(A) Graphical map of the BLAST results showing nucleotide identity between <i>A</i>. <i>fasciata</i> mitogenome and 15 related species listed in <a href="http://www.plosone.org/article/info:doi/10.1371/journal.pone.0136297#pone.0136297.t001" target="_blank">Table 1</a>, as generated by the CGView comparison tool (CCT). CCT arranges BLAST result in an order where sequence that is most similar to the reference (<i>A</i>. <i>fasciata</i>) is placed closer to the outer edge of the map. The rings labelled 1 to17 indicate BLAST results of <i>A</i>. <i>fasciata</i> mitogenome against <i>A</i>. <i>chrysaetos</i>, <i>N</i>. <i>nipalensis</i>, <i>N</i>. <i>alboniger</i>, <i>S</i>. <i>cheela</i>, <i>A</i>. <i>monachus</i>, <i>B</i>. <i>lagopus</i>, <i>B</i>. <i>buteo</i>, <i>B</i>. <i>buteo burmanicus</i>, <i>A</i>. <i>soloensis</i>, <i>A</i>. <i>virgatus</i>, <i>A</i>. <i>gentilis</i>, <i>A</i>. <i>nisus</i>, <i>P</i>. <i>haliaetus</i>, <i>S</i>. <i>serpentarius</i>, <i>C</i>. <i>aura</i>, <i>P</i>. <i>badius</i>, and <i>S</i>. <i>leptogrammica</i>, respectively. (B) Nucleotide-based phylogenetic tree of 16 Accipitriformes species, with two Strigiformes birds as outgroups. This analysis is based on 13PCGs. Both ML and Bayesian analyses produced identical tree topologies. The ML bootstrap and Bayesian posterior probability values for each node are indicated.</p

Comparison of repurchase amount to asset liability ratio.

Comparison of repurchase amount to asset liability ratio.</p