Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions

This paper investigates the finite sample properties of confidence intervals for structural vector error correction models (SVECMs) with long-run identifying restrictions on the impulse response functions. The simulation study compares methods that are frequently used in applied SVECM studies including an interval based on the asymptotic distribution of impulse responses, a standard percentile (Efron) bootstrap interval, Hall’s percentile and Hall’s studentized bootstrap interval. Data generating processes are based on empirical SVECM studies and evaluation criteria include the empirical coverage, the average length and the sign implied by the interval. Our Monte Carlo evidence suggests that applied researchers have little to choose between the asymptotic and the Hall bootstrap intervals in SVECMs. In contrast, the Efron bootstrap interval may be less suitable for applied work as it is less informative about the sign of the underlying impulse response function and the computationally demanding studentized Hall interval is often outperformed by the other methods. Differences between methods are illustrated empirically by using a data set from King, Plosser, Stock & Watson (1991).Structural vector error correction model, impulse response intervals, cointegration, long-run restrictions, bootstrap

How the EU constructs the European public sphere: seven strategies of information policy

If there is no such thing as a European Public Sphere (EPS), why don't we construct one? The answer seems to be obvious: There is no way one could construct a public sphere top-down since it depends on the active participation of speakers, the media and audience. In a democratic society they are free to deliberate with whom and about what they want. This article does not challenge the Habermasian notion of a public sphere evolving from the free discourse of the citizens. Nevertheless, the evolution of a public sphere is also structured by incentives and constraints imposed from above. The Euro-pean Union structures the EPS - as a polity as well as through its policies and politics. While it is true that different policies such as media policy and all cultural policies mat-ter for the public sphere, this paper concentrates on the Commission's information poli-cy as it constitutes the most direct link between the institution and the EPS. Seven different strategies of information policy will be presented which vary in their potential of creating or suppressing the evolution of a democratic public sphere. The extremes are marked by propaganda and arcane policy on the one hand and dialogue and transparen-cy on the other hand. While the Commission pursued arcane policies for a long time, its approach to information has changed during the last decade. A change of paradigm might be under way but the legacy of European policy without "Öffentlichkeit" constraints all attempts at pursuing more democratic information policies aimed at strengthening the public sphere. --

Are the Central and Eastern European transition countries still vulnerable to a financial crisis? Results from the signals approach

The aim of paper is to analyse the vulnerability of the Central and Eastern European accession countries to the EU as well as that of Turkey and Russia to a financial crisis. Our methodology is an extension of the signals approach. We develop a composite indicator to measure the evolutin of of the risk potential in each country. Our findings show that crises in Central and Eastern Europe are caused by much the usual suspects s in others emerging markets. In particular an overvalued exchange rate. Weak exports and dwindling currency reserves have good precictive power for assessing crisis vulnerabilities.financial crises; vulnerability indicator; Central and Eastern Europe

Nonlinear Interest Rate Reaction Functions for the UK

We empirically analyze Taylor-type equations for short-term interest rates in the United Kingdom using quarterly data from 1970Q1 to 2006Q2. Starting from strong evidence against a simple linear Taylor rule, we model nonlinearities using logistic smooth transition regression (LSTR) models. The LSTR models with time-varying parameters consistently track actual interest rate movements better than a linear model with constant parameters. Our preferred LSTR model uses lagged interest rates as a transition variable and suggests that in times of recessions the Bank of England puts more weight on the output gap and less so on inflation. A reverse pattern is observed in non-recession periods. Parameters of the model change less frequently after 1992, when an inflation target range was announced. We conclude that for the analysis of historical monetary policy, the LSTR approach is a viable alternative to linear reaction functions.interest rate reaction functions, smooth transition regression model, monetary policy

Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary, and Poland

The catching up process in Czech Republic, Hungary, and Poland is analyzed by investigating the integration properties of log-differences in per-capita GDP versus the EU15 and a Mediterranean country group. We account for structural changes by using unit root tests that allow for two endogenous breaks in the level and the trend. We find that Czech Republic and Hungary are stochastically converging towards the Mediterranean group, while only Czech Republic is stochastically converging towards EU15. Remaining per capita GDP differences are only reduced by deterministic trends. Extrapolating these trends we find that catching up will take about 20 years.Stochastic convergence, Catching up, Unit root tests, EU accession

Dissipative dynamics of a quantum two-state system in presence of nonequilibrium quantum noise

We analyze the real-time dynamics of a quantum two-state system in the presence of nonequilibrium quantum fluctuations. The latter are generated by a coupling of the two-state system to a single electronic level of a quantum dot which carries a nonequilibrium tunneling current. We restrict to the sequential tunneling regime and calculate the dynamics of the two-state system, of the dot population, and of the nonequilibrium charge current on the basis of a diagrammatic perturbative method valid for a weak tunneling coupling. We find a nontrivial dependence of the relaxation and dephasing rates of the two-state system due to the nonequilibrium fluctuations which is directly linked to the structure of the unperturbed central system. In addition, a Heisenberg-Langevin-equation of motion allows us to calculate the correlation function of the nonequilibrium fluctuations. By this, we obtain a generalized nonequilibrium fluctuation relation which includes the equilibrium fluctuation-dissipation theorem. A straightforward extension to the case with a time-periodic ac voltage is shown

Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe

A system of U.S. and euro area short- and long-term interest rates is analyzed. According to the expectations hypothesis of the term structure the interest rate spreads should be stationary and according to the uncovered interest rate parity the difference between the U.S. and euro area longterm interest rates should also be stationary. If all four interest rates are integrated of order one, one would expect to find three linearly independent cointegration relations in the system of four interest rate series. Combining German and European Monetary Union data to obtain the euro area interest rate series we find indeed the theoretically expected three cointegration relations, in contrast to previous studies based on different data sets.Expectations hypothesis of the term structure, uncovered interest rate parity, unit roots, cointegration analysis