Threshold Relationships among Inflation, Financial Market Development and Growth

This paper tests for and estimates non-dynamic panel threshold relationships among inflation, financial market development and growth, where the relationship changes once a threshold level of inflation is reached. Robust statistical support of a single threshold value of inflation (about 14%) is found for this trivariate relationship. A strong positive relationship between growth and financial market development occurs before the threshold, and a strong negative relationship between growth and inflation occurs after the threshold. When an interaction variable between inflation and financial market development is introduced, the relationship between growth and inflation is significantly negative only before the threshold.thresholds; growth; financial markets; inflation; panel methods

Non-linear Threshold Relationships between Inflation and Nominal Returns: A Time Series Approach to 39 Different Countries

A linear null relationship between nominal returns and inflation is tested against threshold alternatives using quarterly and monthly data for 39 different countries. These threshold alternatives and the linear nulls are then estimated to unover the nature of linear and threshold relationships between nominal returns and inflation.financial market, inflation, linear model

Inside and Outside Bounds: Threshold Estimates of the Phillips Curve

There have been several instances over the past 40 years when large movements in the unemployment rate have elicited little response in the inflation rate. Such instances, while casting doubt on the tradeoff implied by the linear Phillips curve, are also associated with large inflation forecasting errors. In principle, these movements are consistent with a Phillips curve relationship; they just require the curve to shift in the same direction as the unemployment rate. Econometric representations of the Phillips relationship usually incorporate factors that can cause the Phillips curve to shift over time. However, the literature has not yet provided a test of whether such factors are sufficient to explain the episodes of horizontal movement. In this paper, the authors test the explanatory power of a double threshold specification of the Phillips relationship against a simple linear specification, and compare dynamic and static out of sample forecasts of inflation across linear and double threshold specifications of the Phillips curve. The authors find that traditional shifters in the relationships are insufficient for characterizing the periods of horizontal movement, and that a double threshold specification makes significant improvements in the static and dynamic out of sample inflation forecasting performance of the Phillips curvPhillips Curve; Threshold Models; Inflation Forecasting

Groundwater dynamics in degrading, discontinuous permafrost

Thesis (M.S.) University of Alaska Fairbanks, 2014In regions impacted by permafrost, discontinuities are areas of possible connection between the supra- and sub-permafrost portions of an aquifer. Permafrost discontinuities influence the transport of contaminants in an aquifer, necessitating delineation of these discontinuities and their influence on groundwater flow. Means of identifying the locations of permafrost discontinuities have previously been limited to geophysical methods and the evaluation of well logs. In this study we use groundwater elevation trends and environmental tracers (e.g., stable isotopes and temperature) to evaluate the dynamics in a sulfolane-contaminated aquifer located in a region of discontinuous permafrost in the Interior of Alaska. Using tracers to identify areas of discontinuities in the permafrost should help us locate thawed through-taliks and may also improve our understanding of the interaction between the supra- and sub-permafrost groundwater in discontinuous permafrost. With this approach we identified at least three discontinuities within the study area. The locations of these discontinuities coincide with transport of the contaminant found in this aquifer. The primary source of recharge for this aquifer is the Tanana River, a major tributary to the Yukon River. The source of water for the Tanana River is glacial melt in the summer and groundwater during the winter. Through the isotopic composition of the supra-permafrost groundwater we show the occurrence of additional recharge to the supra-permafrost groundwater from sub-permafrost groundwater and precipitation. Understanding these dynamics is paramount to characterizing the contaminant transport in permafrost impacted aquifers.1 Introduction -- 1.1 Thesis Objectives -- 2 Site Description -- 2.1.1 Sulfolane Contamination -- 2.1.1.1 Contaminant Characteristics -- 2.1.1.2 Groundwater Contamination -- 2.1.2 Climate, Land Use and Land Cover -- 2.1.3 Geology and Permafrost -- 2.1.4 Hydrology -- 2.1.4.1 Aquifer Recharge and Properties -- 2.1.4.2 Tanana River -- 2.1.4.3 Chena River -- 2.1.4.4 Moose Creek Dam -- 2.1.4.5 Sloughs -- 2.1.4.6 C-ditch and Gravel Pits -- 3 Natural Tracers and Trends in Groundwater Elevations -- 3.1 Groundwater Elevations -- 3.2 Groundwater Temperatures -- 3.3 Stable Isotopes -- 4 Methods -- 4.1 Data Collection -- 4.1.1 Groundwater Elevations -- 4.1.2 Groundwater Temperatures -- 4.1.3 Stable Isotopes -- 4.2 Data Analysis Procedure -- 4.2.1 Groundwater Elevation Trends -- 4.2.2 Groundwater Temperature Profile Trends -- 4.2.3 Stable Isotope Classifications -- 5 Results -- 5.1 Groundwater Elevation Trends -- 5.2 Groundwater Temperature Profile Trends -- 5.3 Stable Isotope Classifications and Trends -- 5.3.1 Monitoring well -- 5.3.2 Private Sub-permafrost Wells -- 5.4 Combined Spatial Analysis -- 6 Discussion -- 6.1 Indicators of Discontinuities -- 6.2 Locations of Discontinuities -- 6.3 Ground Penetrating Radar -- 6.4 Differences in Isotopic Signatures -- 6.5 Improved Understanding of Aquifer Dynamics -- 6.5.1 Spring 2013 -- 6.5.2 Late Summer 2013 -- 6.5.3 Fall 2013 -- 6.5.4 Supra-permafrost Groundwater Recharge -- 6.6 Contaminant Transport -- 6.7 Other Applications -- 6.8 Groundwater Temperature Profiles Used for Indicators of Taliks -- 6.9 Future Work -- 7 Conclusion -- References -- Appendix

Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities

This paper presents a selective survey of volatility topics, with emphasis on the measurement of volatility and a discussion of some of the most important time series models commonly employed in its modelling. In particular, the paper details the long memory characteristics of volatility, and discusses its possible origins and impact on option pricing. To conclude, the paper discusses statistical tools that discriminate between nonlinearity and nonstationarity.long memory; nonstationarity; nonlinearity; option pricing, volatility

On the Nature of Dependence in the Volatility of US Stock Returns

Long memory in the volatility of individual return series and in the volatility of equal-weighted portfolios constituted by the individual return series is analyzed to see if the memory characteristic of the volatility representation is correlated with the portfolio characteristics of size, standard deviation of returns, and firm's beta.financial market, time series; United States

Estimation of Forward-Looking Relationships in Closed Form: An Application to the New Keynesian Phillips Curve

We illustrate the importance of placing model-consistent restrictions on expectations in the estimation of forward-looking Euler equations. In two-stage limited-information settings where first-stage estimates are used to proxy for expectations, parameter estimates can differ substantially, depending on whether these restrictions are imposed or not. This is shown in an application to the New Keynesian Phillips Curve (NKPC), first in a Monte Carlo exercise, and then on actual data. The closed-form (CF) estimates require by construction that expectations of inflation be model-consistent at all points in time, while the difference-equation (DE) estimates impose no model discipline on expectations. Between those two polar extremes there is a wide range of alternative DE specifications, based on the same dynamic relationship, that explicitly impose model restrictions on expectations for a finite number of periods. In our application, these last estimates quickly converge to the CF estimates, and illustrate that the DE estimates in Cogley and Sbordone (2008) are not robust to imposing modest model requirements on expectations. In particular, our estimates show that the NKPC is not purely forward-looking, and thus that time-varying trend inflation is insufficient to explain inflation persistence.closed form; model-consistent expectations; New Keynesian Phillips curve; forward- looking Euler equation; time-varying trend inflation

Estimation of Forward-Looking Relationships in Closed Form: An Application to the New Keynesian Phillips Curve

We illustrate the importance of placing model-consistent restrictions on expectations in the estimation of forward-looking Euler equations. In two-stage limited-information settings where first-stage estimates are used to proxy for expectations, parameter estimates can differ substantially, depending on whether these restrictions are imposed or not. This is shown in an application to the New Keynesian Phillips Curve (NKPC), first in a Monte Carlo exercise, and then on actual data. The closed-form (CF) estimates require by construction that expectations of inflation be model-consistent at all points in time, while the difference-equation (DE) estimates impose no model discipline on expectations. Between those two polar extremes there is a wide range of alternative DE specifications, based on the same dynamic relationship, that explicitly impose model restrictions on expectations for a finite number of periods. In our application, these last estimates quickly converge to the CF estimates, and illustrate that the DE estimates in Cogley and Sbordone (2008) are not robust to imposing modest model requirements on expectations. In particular, our estimates show that the NKPC is not purely forward-looking, and thus that time-varying trend inflation is insufficient to explain inflation persistence

An interactive three dimensional approach to anatomical description—the jaw musculature of the Australian laughing kookaburra (Dacelo novaeguineae)

The investigation of form-function relationships requires a detailed understanding of anatomical systems. Here we document the 3-dimensional morphology of the cranial musculoskeletal anatomy in the Australian Laughing Kookaburra Dacelo novaeguineae, with a focus upon the geometry and attachments of the jaw muscles in this species. The head of a deceased specimen was CT scanned, and an accurate 3D representation of the skull and jaw muscles was generated through manual segmentation of the CT scan images, and augmented by dissection of the specimen. We identified 14 major jaw muscles: 6 in the temporal group (M. adductor mandibulae and M. pseudotemporalis), 7 in the pterygoid group (M. pterygoideus dorsalis and M. pterygoideus ventralis), and the single jaw abductor M. depressor mandibulae. Previous descriptions of avian jaw musculature are hindered by limited visual representation and inconsistency in the nomenclature. To address these issues, we: (1) present the 3D model produced from the segmentation process as a digital, fully interactive model in the form of an embedded 3D image, which can be viewed from any angle, and within which major components can be set as opaque, transparent, or hidden, allowing the anatomy to be visualised as required to provide a detailed understanding of the jaw anatomy; (2) provide a summary of the nomenclature used throughout the avian jaw muscle literature. The approach presented here provides considerable advantages for the documentation and communication of detailed anatomical structures in a wide range of taxa

Using mobile sensing data to assess stress: Associations with perceived and lifetime stress, mental health, sleep, and inflammation

Background Although stress is a risk factor for mental and physical health problems, it can be difficult to assess, especially on a continual, non-invasive basis. Mobile sensing data, which are continuously collected from naturalistic smartphone use, may estimate exposure to acute and chronic stressors that have health-damaging effects. This initial validation study validated a mobile-sensing collection tool against assessments of perceived and lifetime stress, mental health, sleep duration, and inflammation. Methods Participants were 25 well-characterized healthy young adults (Mage = 20.64 years, SD = 2.74; 13 men, 12 women). We collected affective text language use with a custom smartphone keyboard. We assessed participants’ perceived and lifetime stress, depression and anxiety levels, sleep duration, and basal inflammatory activity (i.e. salivary C-reactive protein and interleukin-1β). Results Three measures of affective language (i.e. total positive words, total negative words, and total affective words) were strongly associated with lifetime stress exposure, and total negative words typed was related to fewer hours slept (all large effect sizes: r = 0.50 – 0.78). Total positive words, total negative words, and total affective words typed were also associated with higher perceived stress and lower salivary C-reactive protein levels (medium effect sizes; r = 0.22 – 0.32). Conclusions Data from this initial longitudinal validation study suggest that total and affective text use may be useful mobile sensing measures insofar as they are associated with several other stress, mental health, behavioral, and biological outcomes. This tool may thus help identify individuals at increased risk for stress-related health problems