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Book part
Publication date: 6 January 2016

Davide Delle Monache, Ivan Petrella and Fabrizio Venditti

We analyze the interaction among the common and country-specific components for the inflation rates in 12 euro area countries through a factor model with time-varying…

Abstract

We analyze the interaction among the common and country-specific components for the inflation rates in 12 euro area countries through a factor model with time-varying parameters. The variation of the model parameters is driven by the score of the predictive likelihood, so that, conditionally on past data, the model is Gaussian and the likelihood function can be evaluated using the Kalman filter. The empirical analysis uncovers significant variation over time in the model parameters. We find that, over an extended time period, inflation persistence has fallen and the importance of common shocks has increased relatively to that of idiosyncratic disturbances. According to the model, the fall in inflation observed since the sovereign debt crisis is broadly a common phenomenon since no significant cross-country inflation differentials have emerged. Stressed countries, however, have been hit by unusually large shocks.

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Article
Publication date: 1 June 1995

William M. Taylor

It is found that one unit root, common trend is shared by the quarterly auction price series of five frequently auctioned types of stamps. The common trends analysis…

Abstract

It is found that one unit root, common trend is shared by the quarterly auction price series of five frequently auctioned types of stamps. The common trends analysis provides specific, stationary linear combinations, or cointegrating portfolios, of the auction price levels. The quarterly returns for the system of cointegrated auction prices can be represented by an error correction model using past returns and cointegrating vectors. There is evidence of a positive relationship between changes in the common trend and leading changes in industrial production

Details

Managerial Finance, vol. 21 no. 6
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 6 November 2017

Laura Gabrielli, Paloma Taltavull de La Paz and Armando Ortuño Padilla

This paper aims to present the dynamics of housing prices in Italian cities based on unpublished data with regional details from the late 1960s, half-yearly base, for all…

Abstract

Purpose

This paper aims to present the dynamics of housing prices in Italian cities based on unpublished data with regional details from the late 1960s, half-yearly base, for all main Italian cities measuring the average prices for three city dimensions: city centre, sub-centres and outskirts or suburbs. It estimates the Italian long-term house price index, city based in real terms, and shows a combination of methods to deal with large time-series data.

Design/methodology/approach

This paper builds long-term cycles based on the city (real) data by estimating the common components of cointegrated time series and extracting the unobservable signals to build real house price index for sub-regions in Italy. Three different econometric methodologies are used: Johansen cointegration test and VAR models to identify the long-term pattern of prices at the estimated aggregate level; principal components to obtain the common (permanent and transitory) components; and signal extraction in ARIMA time series–model-based approach method to extract the unobserved time signals.

Findings

Results show three long-term cycle-trends during the period and identify several one-direction causal non-permanent relationships among house prices from different Italian areas. There is no evidence of convergence among regional’s house prices suggesting that the Italian housing prices converge inside the local market with only short diffusion effects at larger regional level.

Research limitations/implications

Data are measured as the average price in squared meters, and the resulting index is not quality controlled.

Practical implications

The long-term trends on housing prices serve to implement further research and know deeply the evolution of Italian housing prices.

Originality/value

This paper contains new and unknown information about the evolution of housing prices in Italian regions and cities.

Details

Journal of European Real Estate Research, vol. 10 no. 3
Type: Research Article
ISSN: 1753-9269

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Book part
Publication date: 15 April 2020

Ming Kong, Jiti Gao and Xueyan Zhao

This chapter re-examines the determinants of health care expenditure (HCE), using a panel of 32 Organization for Economic Cooperation and Development (OECD) countries from…

Abstract

This chapter re-examines the determinants of health care expenditure (HCE), using a panel of 32 Organization for Economic Cooperation and Development (OECD) countries from 1990 to 2012. In particular, a panel semiparametric technique (i.e., a partially linear model) is employed, with cross-sectional dependence allowed. Beside the study of coefficients, this chapter investigates the trending functions of HCE. After the common and individual trends of HCE are estimated via semiparametric methods, the authors calibrate them with polynomial specifications, leading to out-of-sample forecasting. The validities of the calibration are tested as well. Contrary to those studies that do not take into account time series properties, our finding suggests that medical care is not a luxury commodity. Other determinants, such as public financing, and the supply of doctors, are all positively related to HCE. Moreover, the calibrated trending models perform well in out-of-sample forecasting.

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Article
Publication date: 19 October 2010

Stefano Fachin and Andrea Gavosto

The main aim of this paper is to examine labour productivity trends in Italy over the period 1981‐2004.

Abstract

Purpose

The main aim of this paper is to examine labour productivity trends in Italy over the period 1981‐2004.

Design/methodology/approach

To this end, relying on recent developments in the analysis of non‐stationary dependent panels, the paper develops a new method for estimating total factor productivity (TFP) trends.

Findings

The conclusions confirm the view that the recent decline in Italian labour productivity growth is mostly due to a widespread fall in TFP growth.

Research limitations/implications

The main assumption underlying the proposed TFP estimation method is that technology growth is driven by a single trend common to all units included in the panel (industries, regions or countries).

Originality/value

The paper provides two distinct contributions: empirically, it provides robust evidence that TFP slow‐down is the main cause of recent negative trends in labour productivity in Italy. Methodologically, the paper proposes an approach to estimating TFP that enjoys several advantages: only basic data for input and output flows are needed, the non‐stationary nature of the data is explicitly taken into account, and confidence intervals for TFP growth can be computed. This method can thus be easily applied to many routinely available datasets, to either corroborate existing growth accounting estimates or to obtain previously unavailable estimates.

Details

International Journal of Manpower, vol. 31 no. 7
Type: Research Article
ISSN: 0143-7720

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Book part
Publication date: 13 December 2013

Thomas B. Götz, Alain Hecq and Jean-Pierre Urbain

This article proposes a new approach to detecting the presence of common cyclical features when several time series are sampled at different frequencies. We generalize the…

Abstract

This article proposes a new approach to detecting the presence of common cyclical features when several time series are sampled at different frequencies. We generalize the common-frequency approach introduced by Engle and Kozicki (1993) and Vahid and Engle (1993). We start with the mixed-frequency VAR representation investigated in Ghysels (2012) for stationary time series. For non-stationary time series in levels, we show that one has to account for the presence of two sets of long-run relationships. The first set is implied by identities stemming from the fact that the differences of the high-frequency I (1) regressors are stationary. The second set comes from possible additional long-run relationships between one of the high-frequency series and the low-frequency variables. Our transformed vector error-correction model (VECM) representations extend the results of Ghysels (2012) and are important for determining the correct set of variables to be used in a subsequent common cycle investigation. This fact has implications for the distribution of test statistics and for forecasting. Empirical analyses with quarterly real gross national product (GNP) and monthly industrial production indices for, respectively, the United States and Germany illustrate our new approach. We also conduct a Monte Carlo study which compares our proposed mixed-frequency models with models stemming from classical temporal aggregation methods.

Details

VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims
Type: Book
ISBN: 978-1-78190-752-8

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Article
Publication date: 11 January 2008

Rolf Olsson

The purpose of this paper is to identify differences in managing a single project compared with that of a project portfolio, where focus and requirements are expanded, and…

Abstract

Purpose

The purpose of this paper is to identify differences in managing a single project compared with that of a project portfolio, where focus and requirements are expanded, and where clear links to organizational objectives exist. Further, the aim is to propose a methodology for the management of risk within the context of a project portfolio.

Design/methodology/approach

The concepts and framework described in this paper have emerged primarily from an in‐depth action research study in a major provider of transport solutions. The work has been conducted within one division, with presence in most of mainland Europe, Scandinavia, and the UK.

Findings

The paper finds that the proposed methodology would manage portfolio risk in two ways. First, it provides a means for single projects to gain experiences from other projects within the portfolio. Second, portfolio common risks and trends of issues can be identified. Such risks can become risks for succeeding projects, or require action from outside the single project.

Research limitations/implications

The paper shows that the pilot study consisted of 16 projects within one project portfolio. Other project portfolios, with other prerequisites, might result in different findings, since some factors not included in this research such as cultural aspects or organizational factors could affect the findings.

Practical implications

In this paper the identification and analysis of commonalities and risk trends between projects provide the possibility to manage risks from a portfolio perspective.

Originality/value

The paper sees that existing risk management processes do not support projects in managing risk within a project portfolio. Instead, the proposed methodology provides the project portfolio manager with a consolidated view of the total risk exposure within the portfolio. Additionally, this methodology finds risks and trends not otherwise possible to identify.

Details

International Journal of Quality & Reliability Management, vol. 25 no. 1
Type: Research Article
ISSN: 0265-671X

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Article
Publication date: 3 April 2018

Bernd Brandl and Alex Lehr

The purpose of this paper is to propose a general micro-theoretical framework that helps to understand the embeddedness of trade unions within the European system of…

Abstract

Purpose

The purpose of this paper is to propose a general micro-theoretical framework that helps to understand the embeddedness of trade unions within the European system of industrial relations, and the consequences of this embeddedness for industrial relations outcomes. First, starting from the paradoxical observation of a trend towards homogeneity within a complex, multi-layered European industrial relations system consisting of heterogeneous and autonomous agents, the paper aims to explicate the mechanisms which produce these similarities. Second, the paper seeks to analyse potential mechanisms for transnational trade union cooperation and, third, it concludes by outlining its applicability as the basis for methodological approaches which enable realistic and policy relevant analyses.

Design/methodology/approach

This paper is conceptual and focusses on the development of a general micro-theoretical framework which captures European industrial relations actors’ behaviour and outcomes. It integrates theoretical and empirical accounts from differing social science disciplines and from various methodological starting points on trade union action and interaction into one general micro-theoretical framework.

Findings

Starting from a typology of trade union goals, the authors show how various social mechanisms lead to interdependencies between trade unions and review empirical evidence for their consequences. The authors, then, identify a set of motives for transnational cooperation that would allow outcomes that are in line with trade union objectives.

Originality/value

Against the background that previous studies on trade union action and cross-national interaction have paid less attention to the puzzling stylised fact that industrial relations outcomes are mimicked by heterogeneous and autonomous agents actors in different countries, the authors address this research gap by developing a novel general micro-theoretical framework for the analysis of transnational trade union action and interaction in order to better understand the underlying causal mechanisms for the common behaviour and outcomes of autonomous actors.

Details

Employee Relations, vol. 40 no. 3
Type: Research Article
ISSN: 0142-5455

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Article
Publication date: 27 September 2011

Ramon A. Castillo‐Ponce, Victor Hugo Torres‐Preciado and Jose Luis Manzanares‐Rivera

Traditionally, remittances have been analyzed in the context of their socioeconomic impact on the receiving communities. Consequently, little is known about the…

Abstract

Purpose

Traditionally, remittances have been analyzed in the context of their socioeconomic impact on the receiving communities. Consequently, little is known about the macroeconomic factors that influence their behavior. This paper aims to evaluate the importance of several macroeconomic indicators on the flow of remittances from the USA to El Salvador.

Design/methodology/approach

The analysis considers cointegration and common cycle tests. It includes as explanatory variables gross domestic product (GDP) and the interest rates differential in El Salvador, employment in California, and M2 as a measure of the stance of US monetary policy. These variables are intended to capture macroeconomic conditions in the host and home countries.

Findings

The study finds that all variables share a common trend and a common cycle with remittances; though the association with the interest rates differential in the short‐run is weak. That is, remittances respond significantly to transitory and permanent changes in macroeconomic conditions. El Salvador's GDP is negatively associated with remittances, while employment, the interest rates differential, and M2 exhibit a direct relationship at both time horizons.

Practical implications

Understanding how macroeconomic conditions influence the supply of US dollars via remittances is fundamental for policy makers in a dollarized economy. In the absence of tools to implement discretionary monetary policy, officials in El Salvador can benefit from learning how the flows of US dollars to the economy respond to macroeconomic shocks.

Originality/value

Analyzing the macroeconomic determinants of remittances for a dollarized economy is a novel exercise. Furthermore, the combined long‐ and short‐run approach allows recognizing how macroeconomic conditions influence this capital flow in the steady state and during transitory episodes.

Details

Journal of Economic Studies, vol. 38 no. 5
Type: Research Article
ISSN: 0144-3585

Keywords

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Article
Publication date: 16 January 2007

Dennis Ocholla and Theo Bothma

The purpose of this paper is to discuss the status, trends and challenges of library and information education and training in Eastern and Southern Africa. It notes that…

Abstract

Purpose

The purpose of this paper is to discuss the status, trends and challenges of library and information education and training in Eastern and Southern Africa. It notes that library and information education and training in Africa is undergoing rapid change, with difficult challenges to be overcome. For example, during the past 20 years, the number of library schools has grown in some regions and declined in some, such as South Africa. Common LIS factors include amalgamation, re‐orientation, and curriculum review and revision.

Design/methodology/approach

The authors' extensive experience with and exposure to LIS education has been used together with observations and literature survey in the field to inform this paper.

Findings

It is evident that LIS schools have, to a greater or lesser extent, been redesigning their curricula to keep track of the latest developments in the information world and keep their teaching market‐related. New qualification programmes have been developed to provide opportunities for further specialization. In many cases departments have changed their names to reflect these new focus areas and extensions, and in many cases departments have realigned themselves within their universities. It is evident that LIS schools have taken the challenges of the changing information environment very seriously, and have adapted their curricula, their names and their institutional alignments to reflect these changes.

Research limitations/implications

The paper raises fundamental issues concerning trends, challenges and opportunities for LIS education and training in eastern and southern Africa by largely drawing examples from the authors' experience and related African studies in the domain.

Practical implications

The paper provides useful current information to inform LIS educators, researchers, students and other stakeholders on the issues and challenges of LIS education in the region.

Originality/value

Information provided in this paper is of value for comparative studies on LIS education and training. The paper is current and largely informed by participant observation, participation and experiential knowledge that is fresh and well informed.

Details

New Library World, vol. 108 no. 1/2
Type: Research Article
ISSN: 0307-4803

Keywords

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