Modelling the trend and seasonality in the consumption of alcoholic beverages in the United Kingdom

A univariate time series analysis of the consumption of beer, wine and spirits in the UK over the period 1964–1995 is presented. The analysis shows that the consumption of beer and wine exhibits stochastic seasonality while the consumption of spirits exhibits deterministic seasonality. Moreover, the three series are found to have stochastic trends. Analysis of the out-of-sample forecasting power of the various models reveals that the model with stochastic trend and seasonality is superior to other models. The results cast doubt on the validity and soundness of the practice of modelling the consumption of alcoholic beverages by assuming deterministic trend and seasonality.     

flexible specialization and the reconfiguration of television production in the UK

This paper sets out to examine the strategic, technological and organizational implications of Piore and Sabel's thesis of 'industrial divides'— of critical moments in history when the existing logic of organizational and technological development comes to be challenged. This thesis, while very influential in the social sciences, has not received the attention it merits in the discourse o f strategic management. Herein we extend the Piore and Sabel thesis to examine changes currently under way in the UK television (TV) industry. These changes, based on flexibility and the development of network forms of organization in TV production, are broadly supportive of Piore and Sabel's argument. However, when we look at the downstream elements ofthe TV value chain, we see dzffermt forms of reconfiguration at firm and sector levels driven in part by an emerging range of new distribution technologies.     

Modelling changes in seasonality in Indian manufacturing production: an application of the STAR model

This paper attempts to identify the factors responsible for changes in seasonal patterns in manufacturing production in India. This is done in the framework of the Smooth Transition Autoregressive (STAR) models. We find that the variations in seasonal patterns in manufacturing production are driven by the rate of growth of rainfall. The gradual changes in the structure of the economy have not yet had any discernible effect on the seasonality, although the overall dynamics of this variable have been affected.     

Habit,seasonality, and time aggregation in consumer behaviour

Habitual behaviour in consumer demand analysis is generally portrayed via some form of a lagged dependent variable model. The purpose of this paper is to explore the implications for habit behaviour of time aggregation. This is done by specifying both habit and seasonal components in demand relations. The results indicate that much of what has traditionally been identified as habitual behaviour is, in fact, seasonal effects.     

Does seasonality change over the business cycle? An investigation using monthly industrial production series

This paper examines the proposition that the business cycle affects seasonality in industrial production, with output being switched to the traditionally low production summer months when recent (annual) growth has been strong. This is investigated through the use of a restricted threshold autoregressive model for the monthly growth rate in a total of 74 industries in 16 OECD countries. Approximately one-third of the series exhibit significant nonlinearity, with this nonlinearity predominantly associated with changes in the seasonal pattern. Estimates show that the summer slowdown in many European countries is substantially reduced in the regime of higher recent growth.     

Persistence, Asymmetries and Interrelation in Factor Demand

A neoclassical factor demand model for structures, equipment and labour is analyzed in this paper. It incorporates a variety of dynamic specifications, such as a multi-period time-to-build for structures, internal adjustment costs for each production factor, and external investment adjustment costs. First-order conditions of the model are estimated by the generalized method of moments using manufacturing industry data from the US, Canada, West Germany, the UK (all 1960.I–1988.IV), France (1970.I–1992.II) and the Netherlands (1971.I–1990.IV). The results endorse time-to-build for structures, persistence of technology shocks and interrelations in adjustment cost dynamics.     

Return seasonality in the foreign exchange market

I examine return seasonality in the foreign exchange market using currency futures during the period 1973?2015. All the G10 currency futures yield negative returns in January and this effect happens more often in the countries that have a tax year ending in December. In contrast, returns offered in April are positive. To exploit these anomalies, I use a seasonality strategy that selects portfolios based on their historical same-calendar-month returns. I find that this strategy does not work in the currency market, although I find consistent results with Keloharju et al. in the stock portfolios.     

Education, Work and Wages in the UK

Abstract. This paper is concerned with the relationship between education, wages and working behaviour. The work is partly motivated by the sharp distinction in the literature between the returns to education and the effect of wages on labour supply. Education is the investment that cumulates in the form of human capital while labour supply is the utilization rate of that stock. Yet, variation in education is usually the basis for identifying labour supply models – education is assumed to determine wages but not affect labour supply. Moreover, it is commonly assumed that the private rate of return to education can be found from the schooling coefficient in a log-wage equation. Yet, the costs of education are largely independent of its subsequent utilization but the benefits will be higher the greater the utilization rate. Thus the returns will depend on how intensively that capital is utilized and we would expect that those who intend to work least to also invest least in human capital. Indeed, the net (of tax liabilities and welfare entitlements) return to education will be a complex function of labour supply and budget constraint considerations.
Here we attempt to model the relationship between wages, work, education and the tax/welfare system allowing for the endogeneity of education as well for the correlations between the unobservable components of wages and working behaviour. We use the estimates to simulate the effect of a new UK policy designed to increase education for children from low-income households.     

Semiparametric estimation of the fractional differencing parameter in the UK industrial production index

The order of integration of the industrial production index in the UK is investigated by means of semiparametric techniques in the time and in the frequency domain. Several methods like the RS statistic, along with others proposed by Robinson in a number of articles are applied to various differenced transformations of the log of the series. These methods perform poorly when using the time domain approaches, however, when using the frequency domain, the results are fairly conclusive. Evidence is found of a unit root at the zero frequency in the logged series whether or not the series is monthly seasonally differenced first.     

Aggregation, Persistence and Volatility in a Macro Model

We introduce firm heterogeneity into the standard monopolistically competitive real business cycle (RBC) model. The fundamental equilibrium path is derived and the time–series properties of aggregate GDP are studied analytically. Although firms' productivities are subject to temporary shocks, the aggregate process displays a surprising novel form of nonlinearity and long memory which had not been built into the model at the outset. This aggregate GDP turns out to have very different properties from log–linear time–series models such as auto–regressive (AR) models and their extensions. It displays very strong persistence, which ends abruptly with a sudden change of tendency, giving its autocorrelation function (ACF) an S –shape. Although persistent, it is mean–reverting, unlike the everlasting memory of unit–root processes. Its volatility is of a greater order of magnitude than that of any of its components, so small micro–shocks can generate large macro fluctuations. It is also characterized by long, asymmetric cycles of random lengths. Increased monopoly power tends to reduce the amplitude and increase the persistence of business cycles. Strikingly, we find that the empirical ACFs constructed from GDP data for the U.K. and the U.S. display this characteristic S –shape.     

Policy Uncertainty,Persistence and Growth*

This paper explores links between policy uncertainty and growth. Using an endogenous growth model in which domestic investment is characterized by irreversibilities and policy fluctuates between a high- and a low-tax regime, it shows that the magnitude of policy fluctuation and the persistence of policy jointly determine the pattern of investment and growth. Cross-section regressions confirm that for 46 developing countries over the 1970-85 period, policy uncertainty is negatively correlated with both investment and growth. Policy persistence also plays an important role.     

经济学视角下的制度变迁:内生性、驻存与演进

制度变迁的效率假说隐含地将经济体简约为一个绝对理性的最大化行为者,这种做法存在缺陷。就长期而言,制度变迁的本质是内生的,但也受到外部冲击的影响。制度演进过程既体现出路径依赖的特征,又不乏偶然性和机遇。经济因素或政治因素都可能导致内卷化,即长期陷入某种低效率或无效的制度安排。有效制度的演进可以通过多种途径而实现:它往往得益于一些偶然事件的影响或冲击,但也可能因经济行为者如利益集团的推动而出现。     

Accounting year-end dispersion and seasonality in the Japanese corporate bond market

Using monthly yield data on straight bonds, this article investigates seasonality in the Japanese corporate bond market. A statistical examination of spreads between the yield of each bond and a bond market index reveals that the yield spread consistently decreases from April to August, whereas it increases from September to December. Because accounting year-ends for most investors in Japan are concentrated in either March or December, this seasonality supports the hypotheses of tax-loss selling and window dressing. Moreover, the seasonality becomes more pronounced as the debt rating declines, consistent with the findings in previous studies investigating the US bond market.     

Analyzing a panel of seasonal time series: Does seasonality in industrial production converge across Europe?

In this paper we consider deterministic seasonal variation in quarterly industrial production for several European countries, and we address the question whether this variation has become more similar across countries over time. Due to economic and institutional factors, one may expect convergence across business cycles. When these have similar characteristics as seasonal cycles, one may perhaps also find convergence in seasonality. To this aim, we propose a method that is based on treating the set of production series as a panel. By testing for the relevant parameter restrictions for moving window samples, we examine the hypothesis of convergence in deterministic seasonality while allowing for seasonal unit roots. Our main empirical finding is that there is no evidence for convergence in seasonality.     

Imperfect Competition, Capital Shortages and Unemployment Persistence

We construct a model integrating the traditions of imperfect competition macroeconomics and real business cycles. For this we study a dynamic economy with optimizing households, firms and trade unions subject to stochastic shocks. We can derive closed form solutions for the behaviour of all agents. It is found that the combination of capital shortages and imperfect competition in labor markets can give rise to unemployment, and that this unemployment is quite persistent, even when the underlying shocks are not.     

The city,power and economic policy in the UK

This article makes use of recent work on financial markets to refine the analysis of the political power of the City in the policy-making process. It is argued that the distinction between market prices that reflect economic fundamentals, and bubbles, fads and herd behaviour plays a key role in assessing City influence. Further this broad notion of influence stemming from market prices need not operate in the interests of the City. As such City influence should be distinguished from the political power of the City, which more clearly resides in the City's ability to limit external regulation of its activities.     

Income,health and health care utilization in the UK

The aim of this paper is to analyse the links between income, health and health care utilisation behaviour using longitudinal data from the British Household Panel Survey. The emphasis is to frame the analysis as a social phenomenon, so that the dynamics of individual health production in the social context can be understood. The study estimates the relationships between income, health and health care utilisation with lag effects. The empirical results support the hypothesis that these three variables influence each other with lag effects and that many social and economic factors influence an individual's probability of having a health problem or making use of health care facilities, even when such facilities are free at the point of use.     

Output gaps,inflation and financial cycles in the UK

Empirical Economics - This paper aims at constructing potential output and output gap measures for the UK which are pinned down by macroeconomic relationships as well as financial indicators. The...     

Size,trend, and policy implications of the underground economy

We study the underground economy within a dynamic and stochastic general equilibrium framework. Our model combines limited tax enforcement with an otherwise standard two-sector neoclassical stochastic growth model. The Bayesian estimation of the model based on Italian data provides evidence in favor of an important underground sector in Italy, with a size that has increased steadily over the whole sample period. We show that this pattern is due to a steady increase in taxation. Fiscal policy experiments suggest that a moderate tax cut, along with a stronger effort in the monitoring process, causes a sizeable reduction in the size of the underground economy and provides a positive stimulus for the regular economy. Both of these effects jointly increase total fiscal revenues.