Application of Three Alternative Approaches to Identify Business Cycles in Peru

Three alternative econometric approaches are used to estimate business cycles in the Peruvian economy. These approaches are the Plucking model due to Friedman (1964, 1993), the Markov Switching model proposed by Hamilton (1989) and the Smooth Transition Autoregressive (STAR) model suggested by Teräsvirta (1994). The results show strong rejection of the null hypothesis of linearity, presence of asymmetries and nonlinearities. Furthermore, the methods allow to find the principal episodes of recession for the Peruvian economy.Asymmetries, Business Regional Fluctuations, Markov Switching, Transitory and Permanent Components

Efficiency of the Monetary Policy and Stability of Central Bank Preferences. Empirical Evidence for Peru

Following the approach suggested by Favero and Rovelli (2003), I estimate a three-equations system for different sub-samples for Peru. The results indicate that the preferences of the monetary authority have changed between the diffeerent regimes. In particular, the parameter associated to the implicit target of in‡ation has been reduced significantly. The macroeconomic conditions from the side of the aggregate demand have been more favorable than those related to the aggregate supply. The standard deviation of the monetary rule suggests that it has been conducted successfully in the last regime.Interest Rate Rule, Structural Breaks, Inflation Target-ing, Output Gap, Preferences, Macroeconomic Shocks

Single-equation tests for cointegration with GLS detrended data

We provide GLS-based versions of two widely used approaches for testing whether or not non-stationary economic time series are cointegrated: single-equation static re- gression or residual-based tests and single-equation conditional error correction model (ECM) based tests. Our approach is to consider nearly optimal tests for unit roots and apply them in the cointegration context. Our GLS versions of the tests do in- deed provide substantial improvements over their OLS counterparts. We derive the local asymptotic power functions of all tests considered for a DGP with weakly ex- ogenous regressors. This allows obtaining the relevant non-centrality parameter to quasi-di§erence the data. We investigate the e§ect of non-weakly exogenous regressors via simulations. With weakly exogenous regressors strongly correlated with the depen- dent variable, the ECM tests are clearly superior. When the regressors are potentially non-weakly exogenous, the residuals-based tests are clearly preferred

Residuals-based tests for cointegration with generalized least-squares detrended data

We provide generalized least-squares (GLS) detrended versions of single-equation static regression or residuals-based tests for testing whether or not non-stationary time series are cointegrated. Our approach is to consider nearly optimal tests for unit roots and to apply them in the cointegration context. We derive the local asymptotic power functions of all tests considered for a triangular data-generating process, imposing a directional restriction such that the regressors are pure integrated processes. Our GLS versions of the tests do indeed provide substantial power improvements over their ordinary least-squares counterparts. Simulations show that the gains in power are important and stable across various configurations

Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru

Some stylized facts for foreign exchange and stock market returns are explored using statistical methods. Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality are applied to these ?nancial returns. Dynamic correlations and di¤erent kernel estimations and approximations of the empirical distributions are also under scrutiny. Furthermore, dynamic analysis of mean, standard deviation, skewness and kurtosis are also performed to evaluate time-varying properties in return distributions. Main results reveal di¤erent sources and types of non-normality in the return distributions in both markets. Left fat tails, excess kurtosis, return clustering and unconditional time-varying moments show important deviations from normal- ity. Identi?able volatility cycles in both forex and stock markets are associated to common macro ?nancial uncertainty events.Non-Normal Distributions, Stock Market Returns, Foreign Exchage, Market Returns

Some stylized facts of returns in the foreign exchange and stock markets in Peru

Some stylized facts for foreign exchange and stock market returns are explored using statistical methods. Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality is applied to these financial returns. Dynamic correlations and different kernel estimations and approximations of the empirical distributions are also under scrutiny. Furthermore, dynamic analysis of mean, standard deviation, skewness and kurtosis are also performed to evaluate time-varying properties in return distributions. Main results reveal different sources and types of non-normality in the return distributions in both markets. Left fat tails, excess kurtosis, return clustering and unconditional time-varying moments show important deviations from normality. Identifiable volatility cycles in both forex and stock markets are associated to common macro financial uncertainty events.Non-Normal Distributions, Stock Market Returns, Foreign Exchange Market Returns.

A theoretical model of wage discrimination with inspection fines

In neoclassical models, workers are classified a priori into discrimination groups. We develop a probabilistic model of wage discrimination in which workers need not be classified a priori. Our model is a generalization of the standard framework, whereas Becker's model is an extreme case. A second implication is that the traditional approach to measuring discrimination (the Oaxaca–Blinder approach) must be modified to take into account this probabilistic framework.

Calculation of nuclear matrix elements in neutrinoless double electron capture

We compute nuclear matrix elements for neutrinoless double electron capture on $^{152}$Gd, $^{164}$Er and $^{180}$W nuclei. Recent precise mass measurements for these nuclei have shown a large resonance enhancement factor that makes them the most promising candidates for observing this decay mode. We use an advanced energy density functional method which includes beyond mean-field effects such as symmetry restoration and shape mixing. Our calculations reproduce experimental charge radii and $B(E2)$ values predicting a large deformation for all these nuclei. This fact reduces significantly the values of the NMEs leading to half-lives larger than $10^{29}$ years for the three candidates