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1 – 10 of 18Michael Chin, Ferre De Graeve, Thomai Filippeli and Konstantinos Theodoridis
Long-term interest rates of small open economies (SOE) correlate strongly with the USA long-term rate. Can central banks in those countries decouple from the United States? An…
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Long-term interest rates of small open economies (SOE) correlate strongly with the USA long-term rate. Can central banks in those countries decouple from the United States? An estimated Dynamic Stochastic General Equilibrium (DSGE) model for the UK (vis-á-vis the USA) establishes three structural empirical results: (1) Comovement arises due to nominal fluctuations, not through real rates or term premia; (2) the cause of comovement is the central bank of the SOE accommodating foreign inflation trends, rather than systematically curbing them; and (3) SOE may find themselves much more affected by changes in USA inflation trends than the United States itself. All three results are shown to be intuitive and backed by off-model evidence.
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Purpose – Time-series regression models are applied to analyse transport safety data for three purposes: (1) to develop a relationship between transport accidents (or incidents…
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Purpose – Time-series regression models are applied to analyse transport safety data for three purposes: (1) to develop a relationship between transport accidents (or incidents) and various time-varying factors, with the aim of identifying the most important factors; (2) to develop a time-series accident model in forecasting future accidents for the given values of future time-varying factors and (3) to evaluate the impact of a system-wide policy, education or engineering intervention on accident counts. Regression models for analysing transport safety data are well established, especially in analysing cross-sectional and panel datasets. There is, however, a dearth of research relating to time-series regression models in the transport safety literature. The purpose of this chapter is to examine existing literature with the aim of identifying time-series regression models that have been employed in safety analysis in relation to wider applications. The aim is to identify time-series regression models that are applicable in analysing disaggregated accident counts.
Methodology/Approach – There are two main issues in modelling time-series accident counts: (1) a flexible approach in addressing serial autocorrelation inherent in time-series processes of accident counts and (2) the fact that the conditional distribution (conditioned on past observations and covariates) of accident counts follow a Poisson-type distribution. Various time-series regression models are explored to identify the models most suitable for analysing disaggregated time-series accident datasets. A recently developed time-series regression model – the generalised linear autoregressive and moving average (GLARMA) – has been identified as the best model to analyse safety data.
Findings – The GLARMA model was applied to a time-series dataset of airproxes (aircraft proximity) that indicate airspace safety in the United Kingdom. The aim was to evaluate the impact of an airspace intervention (i.e., the introduction of reduced vertical separation minima, RVSM) on airspace safety while controlling for other factors, such as air transport movements (ATMs) and seasonality. The results indicate that the GLARMA model is more appropriate than a generalised linear model (e.g., Poisson or Poisson-Gamma), and it has been found that the introduction of RVSM has reduced the airprox events by 15%. In addition, it was found that a 1% increase in ATMs within UK airspace would lead to a 1.83% increase in monthly airproxes in UK airspace.
Practical applications – The methodology developed in this chapter is applicable to many time-series processes of accident counts. The models recommended in this chapter could be used to identify different time-varying factors and to evaluate the effectiveness of various policy and engineering interventions on transport safety or similar data (e.g., crimes).
Originality/value of paper – The GLARMA model has not been properly explored in modelling time-series safety data. This new class of model has been applied to a dataset in evaluating the effectiveness of an intervention. The model recommended in this chapter would greatly benefit researchers and analysts working with time-series data.
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The global slack hypothesis is central to the discussion of the trade-offs that monetary policy faces in an increasingly more integrated world. The workhorse New Open Economy…
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The global slack hypothesis is central to the discussion of the trade-offs that monetary policy faces in an increasingly more integrated world. The workhorse New Open Economy Macro (NOEM) model of Martínez-García and Wynne (2010), which fleshes out this hypothesis, shows how expected future local inflation and global slack affect current local inflation. In this chapter, I propose the use of the orthogonalization method of Aoki (1981) and Fukuda (1993) on the workhorse NOEM model to further decompose local inflation into a global component and an inflation differential component. I find that the log-linearized rational expectations model of Martínez-García and Wynne (2010) can be solved with two separate subsystems to describe each of these two components of inflation.
I estimate the full NOEM model with Bayesian techniques using data for the United States and an aggregate of its 38 largest trading partners from 1980Q1 until 2011Q4. The Bayesian estimation recognizes the parameter uncertainty surrounding the model and calls on the data (inflation and output) to discipline the parameterization. My findings show that the strength of the international spillovers through trade – even in the absence of common shocks – is reflected in the response of global inflation and is incorporated into local inflation dynamics. Furthermore, I find that key features of the economy can have different impacts on global and local inflation – in particular, I show that the parameters that determine the import share and the price-elasticity of trade matter in explaining the inflation differential component but not the global component of inflation.
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Ching-Fan Chung, Mao-Wei Hung and Yu-Hong Liu
This study employs a new time series representation of persistence in conditional mean and variance to test for the existence of the long memory property in the currency futures…
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This study employs a new time series representation of persistence in conditional mean and variance to test for the existence of the long memory property in the currency futures market. Empirical results indicate that there exists a fractional exponent in the differencing process for foreign currency futures prices. The series of returns for these currencies displays long-term positive dependence. A hedging strategy for long memory in volatility is also discussed in this article to help the investors hedge for the exchange rate risk by using currency futures.
The discrete Fourier transform (dft) of a fractional process is studied. An exact representation of the dft is given in terms of the component data, leading to the frequency…
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The discrete Fourier transform (dft) of a fractional process is studied. An exact representation of the dft is given in terms of the component data, leading to the frequency domain form of the model for a fractional process. This representation is particularly useful in analyzing the asymptotic behavior of the dft and periodogram in the nonstationary case when the memory parameter
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Ihsan Erdem Kayral, Hilal Merve Alagoz and Nisa Sansel Tandogan
The aim of this study is to compare volatility persistence with daily volatility and to analyze the asymmetry effect of volatilities in stock markets of emerging economies. Using…
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The aim of this study is to compare volatility persistence with daily volatility and to analyze the asymmetry effect of volatilities in stock markets of emerging economies. Using daily observations of stock market indices of selected major emerging countries during the period of January 1, 2002 to December 31, 2018, the authors estimate the persistence, the half-life measure of volatility and the daily volatility of the return series using the GARCH model application. The authors also examine the leverage effect on stock market returns using the EGARCH model estimation. In addition, the authors investigate the impact of the 2008 global financial crisis on various volatility measures and the leverage effect of emerging stock market returns. The authors then examine and compare the different speeds of mean reversion, volatility persistence and leverage effects in the national stock market indices during the pre-crisis, crisis, and post-crisis periods. The authors hereby present evidence that the effects of negative shocks are significantly larger than those of positive shocks in emerging stock markets throughout their different sample periods.
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Ngai Hang Chan and Wilfredo Palma
Since the seminal works by Granger and Joyeux (1980) and Hosking (1981), estimations of long-memory time series models have been receiving considerable attention and a number of…
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Since the seminal works by Granger and Joyeux (1980) and Hosking (1981), estimations of long-memory time series models have been receiving considerable attention and a number of parameter estimation procedures have been proposed. This paper gives an overview of this plethora of methodologies with special focus on likelihood-based techniques. Broadly speaking, likelihood-based techniques can be classified into the following categories: the exact maximum likelihood (ML) estimation (Sowell, 1992; Dahlhaus, 1989), ML estimates based on autoregressive approximations (Granger & Joyeux, 1980; Li & McLeod, 1986), Whittle estimates (Fox & Taqqu, 1986; Giraitis & Surgailis, 1990), Whittle estimates with autoregressive truncation (Beran, 1994a), approximate estimates based on the Durbin–Levinson algorithm (Haslett & Raftery, 1989), state-space-based maximum likelihood estimates for ARFIMA models (Chan & Palma, 1998), and estimation of stochastic volatility models (Ghysels, Harvey, & Renault, 1996; Breidt, Crato, & de Lima, 1998; Chan & Petris, 2000) among others. Given the diversified applications of these techniques in different areas, this review aims at providing a succinct survey of these methodologies as well as an overview of important related problems such as the ML estimation with missing data (Palma & Chan, 1997), influence of subsets of observations on estimates and the estimation of seasonal long-memory models (Palma & Chan, 2005). Performances and asymptotic properties of these techniques are compared and examined. Inter-connections and finite sample performances among these procedures are studied. Finally, applications to financial time series of these methodologies are discussed.