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  1. Unemployment persistence in Europe
    evidence from the 27 EU countries
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trejo, Pablo Vicente
    Erschienen: October 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper investigates unemployment persistence in the 27 EU member states by applying fractional integration methods to quarterly data (both seasonally adjusted and unadjusted) from 2000q1 to 2020q4. The obtained evidence points to high levels of... mehr

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    This paper investigates unemployment persistence in the 27 EU member states by applying fractional integration methods to quarterly data (both seasonally adjusted and unadjusted) from 2000q1 to 2020q4. The obtained evidence points to high levels of persistence in all cases. With seasonally adjusted data, a small degree of mean reversion is found in the case of Belgium, Luxembourg and Malta, but this evidence disappears under the assumption of weakly correlated disturbances. More cases of mean reversion are found instead when analysing the unadjusted series. In particular, countries such as Belgium, France, Croatia, Italy, Luxembourg and Malta display orders of integration significantly lower than 1. In addition, significant negative time trends are found in the case of Bulgaria, Croatia, Malta and Romania, and a positive one for Luxembourg. Finally, the Covid-19 pandemic had mixed effects, with (seasonal) persistence increasing in some countries whilst decreasing in others and not changing in a minority of cases. On the whole, our results support the hysteresis hypothesis for the European economies.

     
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    hdl: 10419/248937
    Schriftenreihe: CESifo working paper ; no. 9392 (2021)
    Schlagworte: unemployment persistence; long memory; Europe; fractional integration
    Umfang: 1 Online-Ressource (circa 24 Seiten)
  2. Productivity and GDP
    international evidence of persistence and trends over 130 years of data
    Autor*in: Gil-Alaña, Luis A.; Solarin Sakiru Adebola; Gupta, Rangan
    Erschienen: [2021]
    Verlag:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Schriftenreihe: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2021, 70 (October 2021)
    Schlagworte: Productivity; GDP; persistence; long memory; fractional integration
    Umfang: 1 Online-Ressource (circa 33 Seiten)
  3. The impact of the Covid-19 pandemic on persistence in the European stock markets
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Arrese Lasaosa, Isabel
    Erschienen: October 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of... mehr

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    This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the effects of the pandemic are assessed by comparing the pre-pandemic estimates (over the period 2005-2019) to those from a sample extended until July 2021 which includes the pandemic period. The approach used is more general than the standard one based on the stationarity versus non-stationarity dichotomy and allows for a wider range of dynamic processes. Three different model specifications are considered, and these are estimated under two alternative assumptions for the disturbances (white noise and autocorrelation). The findings indicate that there has not been any significant impact of the Covid-19 pandemic on the degree of persistence of the European stock market indices, though their volatility persistence has decreased.

     
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    hdl: 10419/248927
    Schriftenreihe: CESifo working paper ; no. 9382 (2021)
    Schlagworte: Covid-19 pandemic; European stock market indices; persistence; fractional integration
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  4. US policy responses to the Covid-19 pandemic and sectoral stock indices
    a fractional integration approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Abakah, Emmanuel Joel Aikins
    Erschienen: October 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper uses fractional integration methods to assess the impact of US policy responses (containment and health measures, income support policy, debt-relief policy, changes in the Effective Federal Funds Rate, monetary and fiscal announcements) to... mehr

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    This paper uses fractional integration methods to assess the impact of US policy responses (containment and health measures, income support policy, debt-relief policy, changes in the Effective Federal Funds Rate, monetary and fiscal announcements) to the COVID-19 pandemic on US sectoral stock indices for Technology, Telecom, Health Care, Real Estate, Consumer Staples, Consumer Discretionary, Industrials, Basic Materials, Energy and Utilities from 1 January 2020 to 11 June 2021. The results provide evidence of mean reversion for seven sectoral stock indices (Consumer Discretionary, Consumer Staples, Health, Industrials, Technology, Telecom and Utilities), with orders of integration significantly below (though close to) 1 under the assumption of white noise errors. By contrast, three indices (Basic Materials, Energy and Real Estate) are found to be highly persistent (d ≥ 1), with shocks having permanent effects. As for the policy responses, it appears that the containment and health restrictions, income support policy, and debit relief policy have had no impact. By contrast, changes in the Effect Federal Funds Rate have had a significant and positive effect on all sectors except Energy and Industrial, and similarly monetary and fiscal announcements have had a positive and significant effect in most cases. Finally, the higher mortality rate caused by the Covid-19 pandemic has affected negatively most sectoral stock indices.

     
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    hdl: 10419/248931
    Schriftenreihe: CESifo working paper ; no. 9386 (2021)
    Schlagworte: Covid-19 pandemic; US sectoral stock indices; fractional integration
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  5. Persistence in the private debt-to-GDP ratio
    evidence from 43 OECD countries
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Malmierca, Maria
    Erschienen: February 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper investigates the degree of persistence of the private debt-to-GDP ratio in 43 OECE countries by estimating the fractional integration parameter of each series. Almost all of them are found to be highly persistent, with orders of... mehr

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    This paper investigates the degree of persistence of the private debt-to-GDP ratio in 43 OECE countries by estimating the fractional integration parameter of each series. Almost all of them are found to be highly persistent, with orders of integration around or above 1. The only exception is Argentina, where the series appears to be mean-reverting. These results highlight the key importance of macroprudential policy as one of the pillars of macro policy.

     
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    hdl: 10419/232486
    Schriftenreihe: CESifo working paper ; no. 8889 (2021)
    Schlagworte: persistence; fractional integration; private debt
    Umfang: 1 Online-Ressource (circa 21 Seiten)
  6. Persistence in ESG and conventional stock market indices
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex; Makarenko, Inna
    Erschienen: May 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and... mehr

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    This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that there are no significant differences between the two types of indices in terms of the degree of persistence and its dynamic behaviour. However, higher persistence is found for the emerging markets examined (especially the BRICS), which suggests that they are less efficient and thus offer more opportunities for profitable trading strategies. Possible explanations for these findings include different type of companies’ ‘camouflage’ and ‘washing’ (green, blue, pink, social, and SDG) in the presence of rather lax regulations for ESG reporting.

     
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    hdl: 10419/235468
    Schriftenreihe: CESifo working paper ; no. 9098 (2021)
    Schlagworte: stock market; ESG; persistence; long memory; R/S analysis; fractional integration
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  7. The relationship between prices and output in the UK and the US
    Autor*in: Caporale, Guglielmo Maria; Claudio-Quiroga, Gloria; Gil-Alaña, Luis A.
    Erschienen: March 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the relationship between CPI and real GDP in both the US and the UK using fractional integration and long-range dependence techniques. All series appear to be highly trended and to exhibit high degrees of integration and... mehr

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    This paper analyses the relationship between CPI and real GDP in both the US and the UK using fractional integration and long-range dependence techniques. All series appear to be highly trended and to exhibit high degrees of integration and persistence, especially in the case of CPI. Since the two variables have different degrees of integration in each of the two countries, fractional cointegration tests cannot be carried out. We assume instead weak exogeneity of each of them in turn and test for causality by regressing the other variable against lagged values of the weakly exogenous one. We find that the only significant relationship implies the existence of a lagged effect of prices on output in the case of the US, which suggests a dominant role for demand shocks.

     
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    hdl: 10419/235340
    Schriftenreihe: CESifo working paper ; no. 8970 (2021)
    Schlagworte: real output; prices; persistence; fractional integration
    Umfang: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  8. The Covid-19 pandemic and the degree of persistence of US stock prices and bond yields
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos
    Erschienen: March 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020... mehr

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    This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to examine whether or not persistence has changed during the following pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more persistent, although there is evidence of mean reversion in case of 1-year yields under the assumption of autocorrelated errors. The recursive analysis shows no impact of the Covid-19 pandemic on the persistence of stock prices, whilst there is an increase in the case of both 10- and 1- year bond yields but not of their spread.

     
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    hdl: 10419/235346
    Schriftenreihe: CESifo working paper ; no. 8976 (2021)
    Schlagworte: stock market prices; US bonds; persistence; fractional integration; Covid-19
    Umfang: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  9. Cryptocurrencies, technology stocks, Covid-19 and US policy responses: a fractional integration analysis
    Autor*in: Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: March 2022
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the... mehr

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    This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC, Stella - STEL, Litecoin - LITE, Ethereum - ETHE, XRP (Ripple), Dash, Monero - MONE, NEM, Tether – TETH) and two technology related stock market indices (the KBW NASDAQ Technology Index – KFTX, and the NASDAQ Artificial Intelligence index - AI) over the period 1 January 2020-5 March 2021. The results suggest that fiscal measures such as debt relief and fiscal policy announcements had positive effects on the series examined during the pandemic, when an increased mortality rate tended instead to drive them down; by contrast, monetary measures and announcements appear to have had very little impact and the Covid-19 containment measures none at all.

     
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    hdl: 10419/252141
    Schriftenreihe: CESifo working paper ; no. 9624 (2022)
    Schlagworte: Covid-19 pandemic; cryptocurrencies; Fintech; artificial intelligence; Covid-19 policies; fractional integration
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  10. Persistence in the passion investment market
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex; Havrylina, Ahniia
    Erschienen: February 2022
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper uses R/S analysis and fractional integration techniques to investigate persistence in the passion investment market. Specifically, it analyses 3 fine wine price indices, 10 diamond price indices, 15 art price indices, and 1 stamp price... mehr

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    This paper uses R/S analysis and fractional integration techniques to investigate persistence in the passion investment market. Specifically, it analyses 3 fine wine price indices, 10 diamond price indices, 15 art price indices, and 1 stamp price index at the daily, monthly and quarterly frequency. The results can be summarised as follows: wine prices are found to be highly persistent, whilst stamp prices appear to be only weakly persistent, though they can still be characterised as a long-memory process; as for diamond prices, they can be persistent (Diamonds & Gems), anti-persistent (Diamonds Carat indices) or even random (Polished Prices Diamond Index). The dynamic R/S analysis also shows that persistence is time-varying and tends to fluctuate around the average. These findings can be explained by the different degree of liquidity of the assets examined.

     
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    hdl: 10419/252103
    Schriftenreihe: CESifo working paper ; no. 9586 (2022)
    Schlagworte: passion investment; persistence; long memory; R/S analysis; fractional integration
    Umfang: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  11. Fractional integration and cointegration
    Autor*in: Haulde, Javier; Nielsen, Morten Ørregaard
    Erschienen: 2021
    Verlag:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

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    Schriftenreihe: CREATES research paper ; 2022, 02
    Schlagworte: Arfima model; cofractional; cointegration; fractional Brownianmotion; fractional integration; long memory; long-range dependence; nonstationary; strong dependence
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  12. Modelling profitability of private equity
    a fractional integration approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Puertolas, Francisco
    Erschienen: July 2022
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas... mehr

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    This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the World and the Total) and investment types (Buyout & Growth Equity, Venture Capital, Fund of Funds & Secondary Funds, Infrastructure, Natural Resources, Real Estate, Subordinated Capital & Distressed as well as the aggregate category All Types). The results support the hypothesis of stationarity and mean reversion in all cases; however, there are differences in the degree of persistence across regions, the series for Europe being the closest to a short-memory process, while those for the US exhibit long memory, which implies that shocks have long-lived effects. Differences are also found in the results by asset class. The implications of these findings for private equity management, profit smoothing and return benchmarking are briefly discussed.

     
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    hdl: 10419/263773
    Schriftenreihe: CESifo working paper ; no. 9843 (2022)
    Schlagworte: private equity; profitability; fractional integration; long memory; mean reversion
    Umfang: 1 Online-Ressource (circa 42 Seiten)
  13. Nominal and real wages in the UK, 1750 - 2015
    mean reversion, persistence and structural breaks
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: October 2022
    Verlag:  CESifo, Munich, Germany

    This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages... mehr

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    This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which reflects relatively long lags between inflation and wage adjustments. Endogenous break tests are also carried out and various structural breaks are identified in both series. On the whole the corresponding subsample estimates imply an increase over time in the degree of persistence of both series.

     
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    hdl: 10419/267251
    Schriftenreihe: CESifo working papers ; 10018 (2022)
    Schlagworte: nominal and real wages; mean reversion; persistence; fractional integration; structural breaks
    Umfang: 1 Online-Ressource (circa 16 Seiten), Illustrationen
  14. Inflation persistence in Europe
    the effects of the Covid-19 pandemic and of the Russia-Ukraine war
    Autor*in: Caporale, Guglielmo Maria; Infante, Juan; Gil-Alaña, Luis A.; Ayestaran, Raquel
    Erschienen: November 2022
    Verlag:  CESifo, Munich, Germany

    This note analyses the possible effects of the Covid-19 pandemic and of the Russia-Ukraine war on the degree of inflation persistence in both the euro zone and the European Union as a whole (EU27). For this purpose a fractional integration model is... mehr

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    This note analyses the possible effects of the Covid-19 pandemic and of the Russia-Ukraine war on the degree of inflation persistence in both the euro zone and the European Union as a whole (EU27). For this purpose a fractional integration model is estimated, first using the full sample and then recursively. Although the recursive analysis provides clear evidence of a significant increase in inflation persistence (especially in the case of the EU27, for which in addition to jumps an upward trend is clearly identifiable), the full-sample results imply long-lasting but only temporary effects of the two shocks being examined. These findings suggest that the required policy response to both shocks should also have a temporary nature.

     
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    hdl: 10419/267304
    Schriftenreihe: CESifo working papers ; 10071 (2022)
    Schlagworte: inflation persistence; fractional integration; recursive estimation; Covid-19 pandemic; Russia-Ukraine war
    Umfang: 1 Online-Ressource (circa 10 Seiten), Illustrationen
  15. US house prices by census division
    persistence, trends and structural breaks
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: December 2022
    Verlag:  CESifo, Munich, Germany

    This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole... mehr

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    This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole over the period from January 1991 to August 2022. The full sample estimates imply that the order of integration of the series is above 1 in all cases, and is particularly high for the aggregate series. However, when the possibility of structural breaks is taken into account, segmented trends are detected; the subsample estimates of the fractional differencing parameter tend to be lower, with mean reversion occurring in a number of cases, and the time trend coefficient being at its highest in the last subsample, which in most cases starts around May 2020.

     
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    hdl: 10419/271787
    Schriftenreihe: CESifo working papers ; 10143 (2022)
    Schlagworte: US house prices; fractional integration; persistence; trends; structural breaks
    Umfang: 1 Online-Ressource (circa 26 Seiten)
  16. Measuring persistence of the world population
    a fractional integration approach
    Autor*in: Caporale, Guglielmo Maria; Infante, Juan; Rio, Marta del; Gil-Alaña, Luis A.
    Erschienen: February 2023
    Verlag:  CESifo, Munich, Germany

    This paper uses fractional integration methods to measure the degree of persistence in historical annual data on the world population over the period 1800-2016. The analysis is carried out for the original series, and also for its log transformation... mehr

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    This paper uses fractional integration methods to measure the degree of persistence in historical annual data on the world population over the period 1800-2016. The analysis is carried out for the original series, and also for its log transformation and its growth rate. The results indicate that the series considered are highly persistent; in particular, the estimated values of the fractional diffencing parameter are above 1, which implies that shocks have permanent effects. Endogenous break tests detect one main break shortly after WWII. The evidence based on the corresponding sub-sample estimation indicates a sharp fall in the degree of dependence between the observations in the second sub-sample. Although the original data and their log transformation still exhibit explosive behaviour in that sub-sample, the growth rates are mean-reverting, and thus shocks to these series will only have transitory effects; moreover, there is a negative time trend. This has implications for the design of policies aimed at containing population growth.

     
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    Weitere Identifier:
    hdl: 10419/271930
    Schriftenreihe: CESifo working papers ; 10286 (2023)
    Schlagworte: population growth; long memory; fractional integration; time trends
    Umfang: 1 Online-Ressource (circa 17 Seiten), Illustrationen
  17. Persistence in UK historical data on life expectancy
    Autor*in: Caporale, Guglielmo Maria; Infante, Juan; Rio, Marta del; Gil-Alaña, Luis A.
    Erschienen: February 2023
    Verlag:  CESifo, Munich, Germany

    This paper provides estimates of persistence in historical UK data on life expectancy applying fractional integration methods to both an annual series from 1842 to 2019 and a 5-year average from 1543 to 2019. The results indicate that the former... mehr

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    This paper provides estimates of persistence in historical UK data on life expectancy applying fractional integration methods to both an annual series from 1842 to 2019 and a 5-year average from 1543 to 2019. The results indicate that the former exhibits an upward trend and is persistent but mean reverting; the same holds for the latter, though its degree of persistence is higher. Similar results are obtained for the logged values. On the whole, this evidence suggests that the effects of shocks to the series are transitory though persistent, which is useful information for policy makers whose task is to take appropriate measures to increase life expectancy.

     
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    Weitere Identifier:
    hdl: 10419/271931
    Schriftenreihe: CESifo working papers ; 10287 (2023)
    Schlagworte: life expectancy; long memory; fractional integration
    Umfang: 1 Online-Ressource (circa 13 Seiten), Illustrationen
  18. Trends and persistence in the Greenland ice sheet mass
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Sauci, Laura
    Erschienen: July 2023
    Verlag:  CESifo, Munich, Germany

    This paper examines trends and persistence in the Greenland ice sheet mass by applying fractional integration methods to a dataset constructed by Mankoff et al. (2020) on ice discharge for seven different regions of Greenland. The adopted empirical... mehr

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    This paper examines trends and persistence in the Greenland ice sheet mass by applying fractional integration methods to a dataset constructed by Mankoff et al. (2020) on ice discharge for seven different regions of Greenland. The adopted empirical framework encompasses a wide range of stochastic processes and is informative about their dynamic and long-run properties. The main finding is that significant changes have occurred in the behaviour of the series of interest in recent years; more specifically, although a deterministic trend is not present, ice discharge in the various regions of Greenland has become a non-stationary, explosive process, with shocks having permanent effects. It appears that, as a result of global warming, the ice mass loss in Greenland has already reached a tipping point and become an irreversible process.

     
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    hdl: 10419/279306
    Schriftenreihe: CESifo working papers ; 10556 (2023)
    Schlagworte: Greenland ice sheet mass; long memory; fractional integration; persistence; trends
    Umfang: 1 Online-Ressource (circa 15 Seiten), Illustrationen
  19. Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei
    Erschienen: 2016
    Verlag:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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    hdl: 10419/142794
    Schriftenreihe: DIW Discussion Papers ; 1590
    Schlagworte: Multipler Wechselkurs; Währungskorb; Strukturbruch; Nichtlineare Optimierung
    Weitere Schlagworte: (stw)Wechselkurssystem; (stw)Währungskorb; (stw)Strukturbruch; (stw)Nichtlineare Optimierung; (stw)ASEAN-Staaten; (stw)China; (stw)USA; jel:F31; jel:C22; ASEAN currencies; Chinese RMB; US dollar peg; fractional integration; breaks; Arbeitspapier; Graue Literatur
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  20. Long-run trends and cycles in US house prices
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: November 2023
    Verlag:  CESifo, Munich, Germany

    This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter... mehr

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    This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration at both the long-run and the cyclical frequencies. The results are heterogeneous depending on the model specification and on whether or not the series have been logged. Specifically, a linear model appears to be more appropriate for the logged data whilst a non-linear one appears to be a better fit for the original ones. Further, the order of integration at the zero or long-run frequency is much higher than at the cyclical one. The former is in fact around 1 in all specified models, which implies a high degree of persistence of this component. Finally, the order of integration of the cyclical structure implies that cycles have a periodicity of about 8 years, but it is almost insignificant in all cases.

     
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    hdl: 10419/282439
    Schriftenreihe: CESifo working papers ; 10751 (2023)
    Schlagworte: US house prices; trends; cycles; persistence; long memory; fractional integration
    Umfang: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  21. Persistence in tax revenues
    evidence from some OECD countries
    Autor*in: Caporale, Guglielmo Maria; Tapia, Silvia García; Gil-Alaña, Luis A.
    Erschienen: September 2023
    Verlag:  CESifo, Munich, Germany

    This paper examines persistence in tax revenues in a set of 21 OECD countries over the period 1965-2021 using long-range dependence techniques based on fractional integration. The results imply that there are only a few cases of mean reversion: one... mehr

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    This paper examines persistence in tax revenues in a set of 21 OECD countries over the period 1965-2021 using long-range dependence techniques based on fractional integration. The results imply that there are only a few cases of mean reversion: one for total revenue (Switzerland); three for VAT (Belgium, Italy, and Spain), and six for tax on income (Austria, Belgium, Finland, Spain, Sweden and USA). The analysis is also carried out for inflation in the same set of countries. Again the I(1) hypothesis cannot be rejected in most cases, mean reversion only occurring in Korea, Iceland, Norway and Sweden. However, stronger evidence of mean reversion is found for the differences between the three original tax series and inflation compared to the tax series themselves, which points to the existence of a linkage between taxation and inflation, especially in the case of VAT and tax on income.

     
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    hdl: 10419/282370
    Schriftenreihe: CESifo working papers ; 10682 (2023)
    Schlagworte: revenues; taxes; persistence; fractional integration; long memory
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  22. Persistence and seasonality in the US industrial production index
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos; Baños Izquierdo, Alvaro
    Erschienen: November 2023
    Verlag:  CESifo, Munich, Germany

    This paper uses a seasonal long-memory model to capture the behaviour of the US Industrial Production Index (IPI) over the period 1919Q1-2022Q4. This series is found to display a large value of the periodogram at the zero, long-run frequency, and to... mehr

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    This paper uses a seasonal long-memory model to capture the behaviour of the US Industrial Production Index (IPI) over the period 1919Q1-2022Q4. This series is found to display a large value of the periodogram at the zero, long-run frequency, and to exhibit an order of integration around 1. When first differences (of either the original data or their logged values) are taken, evidence of seasonality is obtained; more specifically, deterministic seasonality is rejected in favour of a seasonal fractional integration model with an order of integration equal to 0.14 for the original data and 0.29 for their logged values, which implies the presence of a seasonal long-memory mean reverting pattern.

     
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    hdl: 10419/282444
    Schriftenreihe: CESifo working papers ; 10756 (2023)
    Schlagworte: industrial production index; seasonality; persistence; fractional integration
    Umfang: 1 Online-Ressource (circa 13 Seiten), Illustrationen
  23. Exponential time trends in a fractional integration model
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: November 2023
    Verlag:  CESifo, Munich, Germany

    This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration model. The proposed model is based on a specific version of Robinson's (1994) tests and is more general that... mehr

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    This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration model. The proposed model is based on a specific version of Robinson's (1994) tests and is more general that standard time series models, which only allow for linear trends. Montecarlo simulations show that it performs well in finite sample. Three empirical examples confirm that the suggested specification captures the properties of the data adequately.

     
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    hdl: 10419/282462
    Schriftenreihe: CESifo working papers ; 10774 (2023)
    Schlagworte: exponential time trends; fractional integration; Montecarlo simulations
    Umfang: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  24. A long-memory model for multiple cycles with an application to the S&P500
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: February 2024
    Verlag:  CESifo, Munich, Germany

    This paper proposes a long-memory model including multiple cycles in addition to the long-run component. Specifically, instead of a single pole or singularity in the spectrum, it allows for multiple poles and thus different cycles with different... mehr

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    This paper proposes a long-memory model including multiple cycles in addition to the long-run component. Specifically, instead of a single pole or singularity in the spectrum, it allows for multiple poles and thus different cycles with different degrees of persistence. It also incorporates non-linear deterministic structures in the form of Chebyshev polynomials in time. Simulations are carried out to analyse the finite sample properties of the proposed test, which is shown to perform well in the case of a relatively large sample with at least 1000 observations. The model is then applied to weekly data on the S&P500 from 1 January 1970 to 26 October 2023 as an illustration. The estimation results based on the first differenced logged values (i.e., the returns) point to the existence of three cyclical structures in the series with a length of approximately one month, one year and four years respectively, and to orders of integration in the range (0, 0.20), which implies stationary long memory in all cases.

     
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    hdl: 10419/296036
    Schriftenreihe: CESifo working papers ; 10947 (2024)
    Schlagworte: fractional integration; multiple cycles; stock market indices; S&P500
    Umfang: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  25. Polar amplification
    a fractional integration analysis
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Carmona-González, Nieves
    Erschienen: April 2024
    Verlag:  CESifo, Munich, Germany

    This paper uses fractional integration methods to obtain new evidence on polar amplification. The adopted modelling framework is very general since it allows the differencing parameter to take any real value, including fractional ones, and provides... mehr

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    This paper uses fractional integration methods to obtain new evidence on polar amplification. The adopted modelling framework is very general since it allows the differencing parameter to take any real value, including fractional ones, and provides useful information on both the short and the long run. The analysis is carried out using monthly temperature anomaly data for both the Arctic and the Antarctic, as well as the Northern and Southern Hemisphere, which have been obtained from the NOAA (National Center for Environmental Information) archive. The main findings can be summarised as follows. There is evidence of Arctic amplification, since the upward trend in the Arctic data is more pronounced compared to that in the Northern hemisphere series, but not of Antarctic amplification, where the opposite holds. Also, the effects of shocks are more long-lived in the Arctic/Northern hemisphere than in the other pole/hemisphere. These results are robust to whether or not seasonality is explicitly modelled. In addition, temperature changes in the poles have bigger effects on those in the corresponding hemisphere if they occur in the Antarctic rather than in the Arctic.

     
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    hdl: 10419/296162
    Schriftenreihe: CESifo working papers ; 11073 (2024)
    Schlagworte: polar amplification; Arctic and Antarctic; Northern and Southern hemispheres; temperature anomalies; persistence; fractional integration
    Umfang: 1 Online-Ressource (circa 23 Seiten)