Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run

We study the finite sample properties of tests for structural changes in the trend function of a time series that do not require knowledge of the degree of persistence in the noise component. The tests of interest are the quasi-Feasible Generalized Least Squares (FGLS) procedure by Perron and Yabu (2009b Perron, P and Yabu, T. 2009b. Testing for shifts in trend with an integrated or stationary noise component. Journal of Business and Economic Statistics, 27: 369–96. [Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]) and the weighted average of the regression t-statistics by Harvey et al. (2009 Harvey, DI, Leybourne, SJ and Taylor, AMR. 2009. Simple, robust, and powerful tests of the breaking trend hypothesis. Econometric Theory, 25: 995–1029. [Crossref], [Web of Science ®] , [Google Scholar]), both of which have the same limit distribution whether the noise component is stationary or has a unit-root. We analyse the finite sample size and power properties of these tests under a variety of Data-Generating Processes (DGPs). The results show that the Perron–Yabu test has greater power overall. With respect to the size, the Harvey–Leybourne–Taylor test exhibits larger size distortions unless a moving-average component is present. Using the Perron and Yabu procedure to test for structural changes in the trend function of long-run real exchange rates with respect to the US dollar indicates that for 17 out of 19 countries, the series have experienced a shift in trend since the late nineteenth century.     

Have structural changes eliminated the out-of-sample ability of financial variables to forecast real activity after the mid-1980s? Evidence from the Canadian economy

This article evaluates how consistently reliable the information content of individual financial variables is for Canada's future output growth. We estimate the timing of structural changes in linear growth models and check robustness to specification changes, multiple breaks, and business cycle asymmetry. Our simulated out-of-sample forecast evaluation strategy, using the Mean Square Error F-type (MSE-F) and the new encompassing (ENC-NEW) tests, shows that the leading information content of most financial variables for Canada's future Gross Domestic Product (GDP) growth has deteriorated substantially after 1984:04, but the 1–3-year term spread exhibits a consistently reliable predictive ability at the 1 and 2 quarter horizons and has significant forecasting ability at the 8 quarter horizon. Also, the real M1 money growth has regained its ability to forecast output growth since 1991:01.     

Do the Spanish regions converge? A unit root analysis for the HDI of the Spanish regions

This article studies the possible stochastic convergence between the Spanish regions in 1980–2010. The application of unit root techniques to the new Human Development Index recently calculated in Herrero et al. (2013) allows us to show that the evolution of the Spanish economy can be better understood as the sum of divergent forces rather than as a group of convergent regions. Similar conclusions can be drawn when the per capita GDP is used, although these two variables exhibit different patterns of behaviour at the end of the sample. Finally, we also observe that the distance between northern and southern regions has increased since 2000.     

Do execution moratoriums increase homicide? Re-examining evidence from Illinois

This article revisits the event study by Cloninger and Marchesini (2006), who find that the declaration of the Illinois’ death penalty moratorium on 31 January 2000 had a homicide-promoting effect and resulted in 150 additional homicides over the period 2000–2003. We reassess the author’s identification strategy, which they refer to as ‘portfolio approach’ and which draws upon event studies in finance research. We argue that their methodology is not applicable in crime studies. Instead, we apply univariate time-series methods to test for a structural break at a known and unknown break date. We allow for unknown break points as the structural break might have occurred slightly earlier (criminals might have anticipated the moratorium) or later (due to persistence in criminal behaviour). In addition, we implement the synthetic control estimator which approximates the counterfactual homicide series by a weighted average of homicide outcomes in other US states. Based on various testing methods and two distinct data sets, we conclude that there is no empirical evidence to support the hypothesis that the Illinois’ execution moratorium significantly increased homicides.     

Effects of mineral-commodity price shocks on monetary policy in developed countries

This article investigates effects of changes in mineral commodity prices on monetary policy. Using macroeconomic data from three mineral-producing countries (Australia, Canada and New Zealand) and two non-mineral-resource countries (USA and UK), I estimate the impulse response functions of the policy interest rates and the core consumer price index (CPI) inflation rates to mineral-commodity price shocks. I find that the central banks in both groups of the examined countries significantly respond to mineral-commodity price shocks. In responses to an unexpected 10% increase in mineral commodity prices, the central banks are estimated to increase their policy interest rates by approximately 0.8 percentage points. Moreover, the central banks seem to take anticipatory policy reactions to control core CPI variations triggered by these shocks. Thus, mineral commodity prices would act as important determinants of the monetary policies in both groups of the examined countries. These findings would be useful for analysing Taylor rules in their countries. However, effects of the increase in their policy interest rates on core CPI inflation cannot be identified for the examined countries.     

Sustainability of current account deficits in India: an intertemporal perspective

This study examines the sustainability of current account deficits (CADs) and the validity of intertemporal budget constraint (IBC) in India. The long-run model is estimated on annual data for the period 1950–1951 to 2009–2010. The optimal single-equation and maximum-likelihood (ML) system estimates of the model provide a consistent support for the long-run relationship between imports and exports. The OLSGH estimates provide no support and that ML system estimates a consistent support for cointegration in both the models estimated with one and two structural breaks in level. The new cointegration breakdown tests generally suggest that the cointegration prevails from 1951 to 2010. The evidence supporting the cointegration between imports and exports overwhelms the evidence providing a mixed or no support for cointegration. The estimates of slope parameter above zero and the dominant support for cointegration between imports and exports vindicate the validity of IBC and the sustainability of CADs. The short-term management strategies need to be accompanied by long-term improvements in productivity to reduce inflation, lever up the competitiveness of exports and ensure the sustainability of the external value of domestic currency.     

An empirical analysis of excess interbank liquidity: a case study of Pakistan

We investigate the drivers of excess interbank liquidity in Pakistan, using the Autoregressive Distributed Lag approach on weekly data for December 2005 to July 2011. We find that the financing of the government budget deficit by the central bank and nonbanks leads to persistence in excess liquidity. Moreover, we identify a structural shift in the interbank market in June 2008. Before June 2008, low credit demand was driving the excess liquidity holdings by banks. After June 2008, banks’ precautionary investments in risk-free securities drive excess liquidity holdings. Monetary policy is less effective if banks hold excess liquidity for precautionary reasons.     

Macroeconomic shocks and the forward yield curve: how important is monetary policy?

The associations between macroeconomic fluctuations and the yield curve tend to be explained by the reactions of the monetary authority. This paper evaluates how macroeconomics shocks affect the forward yield curve for domestic and foreign debt markets in Venezuela, where monetary policy is not the main source of macroeconomic fluctuations. As previous results in the literature, macroeconomic shocks affect more strongly the short end of the yield curve in the expected direction. Overall, supply shocks explain most of the variability of long-term yields, spread and volatility. Nonetheless, short-term yield movements can be associated with general monetary conditions of the economy and not necessarily with monetary policy actions.     

陕西省高校民族传统体育专业课程结构优化思路与对策

课程设置对学生专业能力的形成、人才培养的质量以及学生知识结构的合理性起着重要的作用,本文针对陕西省师范高校民族传统体育专业课程结构中的问题进行深入分析,提出陕西省民族传统体育专业课程体系优化的思路,并给出优化对策分析。     

永定县富岭煤矿构造特征及深部资源潜力分析

文章通过收集富岭煤矿及其所在的富岭井田资料,结合本区的地层、构造特征,对矿区深部及外围赋存煤系地层情况进行分析后,推断本区深部及外围赋存有一定的煤炭资源储量,对今后该矿的开发具有一定的指导意义。笔者认为,富岭煤矿深部具有一定的煤炭资源潜力,且有向外围延伸的趋势,值得进行接替资源勘查。