History,gravity and international finance

We analyse patterns of bilateral financial investment using data on US holdings of foreign bonds. We document a “history effect” in which holdings seven decades ago continue to influence holdings today. 10–15% of the cross-country variation in US investors' foreign bond holdings is explained by holdings 70 years ago, plausibly reflecting fixed costs of market entry and exit and endogenous learning. This effect is twice as large for bonds denominated in currencies other than the dollar, suggesting the existence of even higher fixed costs of initiating US foreign investment in such currencies. Our findings point to history and path dependence as key sources of financial market segmentation.     

Oil demand in the US and Japan: why the demand reductions caused by the price increases of the 1970's won't be reversed by the price declines of the 1980's

This paper analyzes the imperfect price-reversibility (‘hysteresis’) of oil demand in the US and Japan. We test econometrically oil demand data, disaggregated into transportation oil and non-transportation oil uses.The oil demand reductions following the oil price increases of the 1970's will not be completely reversed by the price cuts of the 1980's. The responce to price cuts in the 1980's is perhaps only one-fifth that for price increases in the 1970's. This has dramatic implications for projections of oil demand, especially under low-price assumptions.We also consider the demand effects of a price recovery in the 1990's, especially whether the effects would be as large as for the price increases of the 1970's or only as large as the smaller demand reversals of the 1980's. On this the results are inconclusive.     

Analysis of the hysteresis of unemployment in Mexico in the face of macroeconomic shocks

This research presents the behavior of the Mexican unemployment rate and shows the dependence with own history and macro variables. The concept of hysteresis or persistence tries to separate this inertia in the unemployment rate and some macroeconomic and endogenous factors. The results show a high inertia in the Mexican labor market, justified by the monetary levels and the dependence of the investment levels, considering the shocks of exports that affect the unemployment in the long term.     

基于尖点突变理论的知识型员工组织承诺建立—破坏的动力学分析

利用尖点突变理论来解释知识型员工组织承诺演化的动力学机制及其特征,把组织承诺作为状态变量,把能有效预测组织承诺的工作满意度和组织支持作为控制变量,针对武汉IT企业调研数据,利用cuspfit软件定量地拟合出了尖点突变模型。通过分析发现,工作满意度作为正则因子、组织支持作为分歧因子,共同影响组织承诺的突变机制:①组织承诺由建立到破坏的突变是源于工作满意度和组织支持变量穿过分歧集合时产生的自组织相变;②承诺一旦被破坏就很难重新建立起来,是源于这种突变机制的滞后效应;③当工作满意度和组织支持取值在分歧集合内部时,组织承诺演化均衡态的选择(建立或者破坏)取决于员工承诺的初始水平。     

可逆热致变色油墨的色度学特性研究

本文研究了活化温度为31℃的3种含隐色染料基的热致变色油墨的色度学特性。这3种油墨具有相似的颜料粒径分布和同等厚度且对氧等离子体腐蚀相对稳定的微胶囊壳。油墨颜色与温度、引起颜色滞后的样品热史两个因素有关。比较脱色和着色过程,在CIELAB色空间中所观测的滞后环面积决定了样品上色差的大小。同一样品所能达到的最大色差是由样品不同的热史和温度决定。4个特征温度描述了引起颜色滞后的2个化学反应。当冷却到低于活化温度时,脱色状态的稳定性超过10h。热致变色效应的可逆性随着最高加热温度约呈线性降低。     

Recessions and Potential Output: Disentangling Measurement Errors,Supply Shocks,and Hysteresis Effects*

This paper investigates expert revisions of potential output (PO) estimates following recessions. Using data from the Organisation for Economic Co-operation and Development (OECD), we show that downward revisions are substantial, permanent, and mostly driven by supply shocks. In contrast, PO estimates do not significantly react to demand shocks. Revisions are also partly caused by mismeasurement of PO before recessions. In particular, we show that the length of the preceding boom and pre-recession values of the current account balance and credit volumes are correlated with post-recession PO revisions. Our results call for improved methods for estimating PO and provide evidence against the existence of substantial hysteresis following demand shocks.     

Asymmetric behavior of unemployment rates: Evidence from the quantile covariate unit root test

Mixed results for unemployment dynamics are reported in many studies using linear or non-linear unit root tests. A possible explanation is that the literature focuses on the average behavior of unemployment and assumes that the speed of adjustment towards its long-run equilibrium is constant, regardless of the magnitudes and signs of shocks. This paper seeks to re-examine the dynamics of the unemployment rates in terms of shocks for 12 OECD countries. A newly developed quantile unit root test by Galvao (2009) is applied to show potential asymmetric responses of unemployment to shocks over various quantiles, depending on the size and sign of the shocks that hit the unemployment rate. Our results suggest that generally, the unemployment rates are not only stationary but also exhibit obvious asymmetric behavior, in the sense that in the lower quantiles, negative shocks with large absolute value tend to induce faster speed of adjustment towards the long-run equilibrium, while in the upper quantiles, large positive shocks do not, and hysteresis exists. These findings can explain why unemployment rates display the behavior of fast rises and slow falls.     

Sunk Costs Hysteresis in Spanish Manufacturing Exports

We test the sunk costs explanation for hysteresis in exports using a sample of Spanish manufacturing firms for the period 1990–2000, allowing for sunk costs to be different for small and large firms. The data are drawn from the Spanish Encuesta sobre Estrategias Empresariales. To obtain consistent estimates for sunk costs, we control for all other sources of persistence and use a dynamic multivariate probit model that is estimated through pseudo simulated maximum likelihood techniques. Our results support the sunk costs explanation for hysteresis for both size groups and indicate that sunk costs are smaller for large firms. JEL no.  F12, L1, C23, C25     

Unemployment hysteresis - macro evidence from 16 OECD countries

This paper investigates empirically the presence ofunemployment hysteresis in 16 OECD countries, applying aggregate quarterly unemployment rates covering the past 25 years. Alternative test procedures are discussed and employed, posing both stationarity and hysteresis as null hypotheses. The results suggest that hysteresis effects are highly significant in Australia and Canada, and to a lesser extent also significant in most European countries and in Japan. Only in the USA, the presence of unemployment hysteresis is strongly and consistently rejected.Without attributing to them opinions or errors in the paper, I wish to thank Steinar Strøm, Ragnar Nymoen, Arvid Raknerud, Anders Rygh Swensen, Jeremy Smith and two referees for helpful comments.     

Análisis de la histéresis del desempleo en México ante shocks macroeconómicos

This research presents the behavior of the Mexican unemployment rate and shows the dependence with own history and macro variables. The concept of hysteresis or persistence tries to separate this inertia in the unemployment rate and some macroeconomic and endogenous factors. The results show a high inertia in the Mexican labor market, justified by the monetary levels and the dependence of the investment levels, considering the shocks of exports that affect the unemployment in the long term.