Volatility spillovers,structural breaks and uncertainty in technology sector markets

This study uses the dynamic conditional correlation to investigate how technology subsector stocks interact with financial assets in the face of economic and financial uncertainty.Our results suggest that structural breaks have diverse effects on financial asset connectedness and that the level of bond linkage increases when the trend breaks.We see a growing co-movement between the technology sector and major financial assets when uncertainty is considered.Overall,our findings indicate that the connectedness response varies depending on the type of uncertainty shock.

On-Line Structural Breaks Estimation for Non-stationary Time Series Models

Non-stationary time series could be divided into piecewise stationary stochastic signal. However, the number and locations of breakpoints, as well as the approximation function of the respective segment signal are unknown. To solve this problem, a novel on-line structural breaks estimation algorithm based on piecewise autoregressive processes is proposed. In order to find the "best" combination of the number, lengths, and orders of the piecewise autoregressive (AR) processes, the Akaikes Information Criterion (AIC) and Yule-Walker equations are applied to estimate an AR model fit to the data. Numerical results demonstrate that the proposed estimation algorithm is suitable for different data series. Furthermore, the algorithm is used in a clinical study of electroencephalogram (EEG) with satisfactory results, and the ability to deal with real-time data is the most outstanding characteristic of on-line structural breaks estimation algorithm proposed.

Is There Hysteresis in Unemployment in OECD Countries？ Evidence From Panel Unit Root Test With Structural Breaks

This study tests the hysteresis hypothesis of unemployment in fifteen OECD countries by using panel unit root tests which allow for structural breaks. We apply annual unemployment rates covering 1985-2008 periods. We test whether unemployment rates are stationary by using second generation tests which allow cross section dependency among series and panel unit root test based on structural break advanced by Carrion-i-Silvestre, Barrio-Castro and Lopez-Bazo （2005）. We find series as a stationary process with structural breaks according to Carrion-i Silvestre et al. （2005） test, while we find series as unit root process with second generation panel unit root test. According to the Carrion-i Silvestre et al. （2005） test, we find the evidence of absence of hysteresis in analyzed countries. As a result, temporary shocks have temporary effects on unemployment instead of permanent effect. Structural factors can affect the natural rate of unemployment and, therefore, unemployment would be stationary around a process that is subject to structural breaks. So, there still exists a unique natural rate of unemployment to which the economy eventually will converge.

Asymmetric Price Transmission and Structural Breaks in the Relationship between Costa Rican Markets of Livestock Cattle, Beef and Milk

The vertical price transmission is generally considered as the relationship between two markets of the same production chain However, we can expand this concept to another relation which has not been deeply investigated： the joint products. They are the products which are produced in a single production process, but not correspond to the same chain. An especial case is the beef and milk markets in Costa Rica. Even if these products usually correspond to disconnect chains, in Costa Rica farms make use of cattle to produce both meat and milk. The cointegration framework is applied in order to indentify the price transmission among these markets. In addition, the asymmetric behavior and structural breaks are taken into account. Price transmission between each market pair was found. First, the cattle prices adjust in the milk-cattle relationship, second, beef meat prices adjust in the cattle-beef meat and in the milk - beef meat relationship. Finally, the equations allowing for structural breaks affect the estimates in the following three ways： after the break the elasticities became higher than 1, there is more evidence of cointegration, and the adjustment coefficients are significant only when a change in the long run is allowed.

Covariate-Assisted Matrix Completion with Multiple Structural Breaks

In matrix completion,additional covariates often provide valuable information for completing the unobserved entries of a high-dimensional low-rank matrix A.In this paper,the authors consider the matrix recovery problem when there are multiple structural breaks in the coefficient matrix β under the column-space-decomposition model A=Xβ+B.A cumulative sum(CUSUM)statistic is constructed based on the penalized estimation of β.Then the CUSUM is incorporated into the Wild Binary Segmentation(WBS)algorithm to consistently estimate the location of breaks.Consequently,a nearly-optimal recovery of A is fulfilled.Theoretical findings are further corroborated via numerical experiments and a real-data application.

Bootstrap Test for Stationarity of Heavy-Tailed Series with Structural Breaks

The paper proposes a statistic to test stationarity of series with κ-stable innovations and structural breaks,obtains the asymptotical distribution of the statistic,and proves the consistency of the test.To obtain critic values for the test without the estimation of the index κ,the paper proposes the bootstrap procedures to approximate the distribution,and proves the consistency of the procedures.The simulations demonstrate that the bootstrap test is practical and powerful.

COVID‑19 and instability of stock market performance:evidence from the U.S.

The effect of COVID-19 on stock market performance has important implications for both financial theory and practice.This paper examines the relationship between COVID-19 and the instability of both stock return predictability and price volatility in the U.S over the period January 1st,2019 to June 30th,2020 by using the methodologies of Bai and Perron(Econometrica 66:47–78,1998.https://doi.org/10.2307/2998540;J Appl Econo 18:1–22,2003.https://doi.org/10.1002/jae.659),Elliot and Muller(Optimal testing general breaking processes in linear time series models.University of California at San Diego Economic Working Paper,2004),and Xu(J Econ 173:126–142,2013.https://doi.org/10.1016/j.jecon om.2012.11.001).The results highlight a single break in return predictability and price volatility of both S&P 500 and DJIA.The timing of the break is consistent with the COVID-19 outbreak,or more specifically the stock sellingoffs by the U.S.senate committee members before COVID-19 crashed the market.Furthermore,return predictability and price volatility significantly increased following the derived break.The findings suggest that the pandemic crisis was associated with market inefficiency,creating profitable opportunities for traders and speculators.Furthermore,it also induced income and wealth inequality between market participants with plenty of liquidity at hand and those short of funds.

Testing the relationship between financial sector output,employment and economic growth in North Cyprus

Sound and efficient functioning of financial systems is critical to the economic prosperity of any economy.This paper investigates the tripartite relationship between financial sector output,employment and economic growth in North Cyprus.Using relevant time series data analysis(within the framework of structural breaks and VECM),we found that financial sector output in North Cyprus is sensitive to both internal and external shocks in that its economy is well linked with the global economy,in spite of the political isolation sustained since the bifurcation of Cyprus into North and South.The study further documents evidence of the neutrality hypothesis in the finance-growth nexus.The underlying variables were weakly connected in the short-run.However,economic growth responded to the short-run shocks and handled the equilibrating process of reverting to the long-run trend and thus,the demand following hypothesis is confirmed in the long-run.

Savings,investment,and growth in Nepal:an empirical analysis

This study analyzes the relationship between savings,investment,and economic growth in Nepal over 1975–2016.The structural breaks in the variables have been accounted for using the(Zivot and Andrews’s,J Bus Econ Stat 10:251–2701992)unit root test along with(Gregory and Hansen’s,Oxf Bull Econ Stat 58:555–560,1996)cointegration approach.The ARDL approach to cointegration in the presence of structural breaks has also been utilized to analyze the long-and short-run dynamics of savings,investment,and growth in Nepal.The results show structural breaks in the real GDP per capita during 2001 when the Royal Massacre and a state of emergency have taken place in Nepal.After allowing for this structural break,evidence of a cointegration relationship amongst savings,investment,and economic growth was identified.The estimates of the ARDL approach suggest that investment has a significant and positive impact on economic growth.However,gross domestic savings have a negative impact on growth in the long run.These results clearly show weaknesses of the economy in mobilizing savings into productive sectors.

The Role of Human Capital in Economic Growth

In endogenous growth theories, with the endogeneity of technology and its inclusion into the model, the new technologies produced by individuals equipped with knowledge, skills, and experience by using this technology were regarded as the human capital investments of countries. Later, the effects of human capital on economic growth became a significant topic in the empirical literature. In this study, initially the basic approaches to human capital were theoretically investigated. Then, the relationships between human capital and economic growth were analyzed with cointegration and causality tests by using the data of Turkey for the period 1961-2011. Our findings revealed a dual causality relationship between human capital and economic growth variables.

Determinants of Private Sector Indebtedness in Greece： The Role of Deregulation

In this paper we examine private debt developments in Greece from 1970 onwards. We find private debt nearly stationary for about 20 years （starting from extremely low values） and expanding thereafter in nearly explosive terms. By disaggregating the time series of private debt, we pinpoint household debt （consumer, credit cards and mortgages） as the reason for this exponential increase. When considering demand and supply curves for household debt, shifts of the curves are to be interpreted： explanations from the demand side include, among others, expectations of future incomes. Regarding the supply side, the availability of loans （partly attributable to increased bank competition） and overall bank deregulation are proposed. Financial deregulation permitted banks to move promptly and offer to ambitious （but not necessarily solvent） customers a wide spectrum of choices： mortgages, credit cards, consumer loans and so on. Every single step in the process of financial deregulation was accompanied by a higher level of household indebtedness. Moving up from the household level to the macroeconomic level, increased debt had been also a solution to stalling effective demand, possibly due to the redistribution of income. Empirical analysis and causality tests are conducted along these lines and we find a two way causal relationship between GDP growth and private debt.

Adding dummy variables: A simple approach for improved volatility forecasting in electricity market

This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility.Considering day-of-the-week effects,structural breaks,or both,we propose three classes of HAR models to forecast electricity volatility based on existing HAR models.The estimation results of the models showed that day-of-the-week effects only improve the fitting ability of HAR models for electricity volatility forecasting at the daily horizon,whereas structural breaks can improve the in-sample performance of HAR models when forecasting electricity volatility at daily,weekly,and monthly horizons.The out-of-sample analysis indicated that both day-of-the-week effects and structural breaks contain additional ex ante information for predicting electricity volatility,and in most cases,dummy variables used to measure structural breaks contain more out-of-sample predictive information than those used to measure day-of-the-week effects.The out-of-sample results were robust across three different methods.More importantly,we argue that adding dummy variables to measure day-of-the-week effects and structural breaks can improve the performance of most other existing HAR models for volatility forecasting in the electricity market.

Electricity demand, GDP and employment： evidence from Italy

This paper applies time series methodologies to examine the causal relationship among electricity demand, real per capita GDP and total labor force for Italy from 1970 to 2009. After a brief introduction, a survey of the economic literature on this issue is reported, before discussing the data and introducing the econometric techniques used. The results of estimation indicate that one cointegrating relationship exists among these variables. This equilibrium relation implies that, in the long-run, GDP and labor force are correlated negatively, as well as GDP and electricity. Moreover, there is a bi-directional Granger causality flow between real per capita GDP and electricity demand; while labor force does not Granger- cause neither real per capita GDP nor electricity demand. This implies that electricity demand and economic growth are jointly determined at the same time for the Italian case. The forecast error variance decomposition shows that forecast errors in real per capita GDP are mainly caused by the uncertainty in GDP itself, while forecast errors in labor force are mainly resulted from the labor force itself, although aggregate income and electricity are important, too.

Paleogene Tectonic Evolution Controls on Sequence Stratigraphic Patterns in the Central Part of Deepwater Area of Qiongdongnan Basin, Northern South China Sea

In active rift basins, tectonism is extremely important for sequence stratigraphic patterns, affecting both the sequence architecture and internal makeup. Sequence stratigraphic framework of a Paleogene rift succession in Qiongdongnan Basin, northern South China Sea, was built using seismic profiles, complemented by well logs and cores. One first-order and three second-order sequences were identified on the basis of basin-scale unconformities, and seven third-order sequences are defined by unconformities along the basin margins and correlative conformities within the central basin. Through unconformity analysis and backstripping procedure, the Paleogene synrift tectonic evolution of deep- water area of Qiongdongnan Basin was proved to be episodic, which can be divided into rifting stage-I, rifting stage-II and rifting stage-III. Episodic rifting resulted in the formation of various types of struc- tural slope break belts, which controlled different architectures and internal makeup of sequences. This study enhances the understanding of the control of tectonic evolution on sequence stratigraphic pat- terns and establishes relevant patterns in a typical rift basin, and further proposes the favorable sand- stone reservoirs developing in different sequence stratigraphic patterns, which will be pretty helpful for subtle pool exploration in deepwater area of petroliferous basins.

Paleogene Tectonic Evolution Controls on Sequence Stratigraphic Patterns in the Fushan Sag, Northern South China Sea

Tectonism is of extreme importance to sequence stratigraphic patterns in continental sedimentary basins, affecting both the architectures and internal makeup of sequences. Sequence stratigraphic framework of the Paleogene system in the Fushan sag, northern South China Sea, was built using 3D and 2D seismic data, complemented by drilling cores and well logs data. One first-order, three second-order and seven third-order sequences were identified. Analysis of paleotectonic stress field, unconformities and subsidence history showed that the Paleogene tectonic evolution presented significant characteristics of multistage and episode, and can be divided into three stages： rifting stage I（initial rifting period）, rifting stage II（rapid subsidence period）, rifting stage III（fault-depressed diversionary period）. Partition of the west and east in tectonic activity was obvious. The west area showed relatively stronger tectonic activity than the east area, especially during the rifting stage II. Episodic rifting and lateral variations in tectonic activity resulted in a wide variety of structural slope break belts, which controlled both the sequence architectures and interval makeup, and strongly constrained the development of special facies zones or sand bodies that tended to form hydrocarbon accumulation. This paper classifies the genetic types of slope break belts and their relevant sequence stratigraphic patterns within the Fushan sag, and further discusses the tectonic evolution controls on sequence stratigraphic patterns, which suggests that vertical evolution paths of structural slope break belts and relevant sequence stratigraphic patterns as a response to the Paleogene tectonic evolution were strongly controlled by sag margin types and lateral variations of tectonic activity.

Business Cycle Asymmetry in China:Evidence from Friedman's Plucking Model

Friedman＇s plucking model of business fluctuations suggests that output cannot exceed an upper limit, but it is occasionally ＂plucked＂ downward below trends as a result of economic recessions. This paper investigates China＇s business fluetuations using quarterly real GDP data for the period 1978 2009. Our results show some evidence supporting Friedman＇s plucking model. We find that a ceiling effect of real output exists, and that negative asymmetric shocks significantly affect the transitory component, which captures the plucking downward behavior during the recession. The results also suggest that the basic asymmetric unobserved component model is not appropriate for directly modeling China＇s real output because the business＂ cycle is inaccurately measured, but it works quite well when considering a structural break in the second quarter of 1992. The results reveal that although China＇s economy strengthened in the second quarter of 2009, it is essential for China＇s government to take further positive and effective measures to maintain sustainable development of the economy.

Reinvestigating the Oil Price-Stock Market Nexus： Evidence from Chinese Industry Stock Returns

The present study investigates the influence of international oil prices on China＇s stock market returns across 29 different industries. The paper attempts to account for any structural breaks and nonlinearity in this relationship. The results reveal that the effect of changes in the international price of oil on stock returns differs substantially across industries. The stock returns of the coal chemical mining and oil industries are found to be positively affected by crude oil price movements. Conversely, electronics, food manufacturing, general equipment, pharmaceuticals, retail rubber and vehicle industries are found to be negatively affected by movements in the price of crude oil. The results of the estimations also suggest that the majority of Chinese industries have been significantly affected by oil prices since 2004. The influence of international oil prices on Chinese stocks also has a stronger effect in the presence of high volatility but the effect varies across industries.

Syndepositional Fault Controlling on Depositional Filling of the Third Member of Shahejie Formation in Beitang Sag

In the continental lake basin whose structures were extraordinarily active, tectonism is an important factor in controlling the sequence and the depositional filling of the basin. This article reports the assemble patterns of syndepositional fault in the third member of Shahejie （沙河街） Formation in Beitang （北塘） sag. The results show that the comb-shape fracture system and the fracture transformation zone were developed in Beitang sag. These assemble patterns obviously controlled the sand-body and spatial distribution of sedimentary system. However, the steep slope belt of fault terrace, the multistage slope belt and the low uplift gentle slope belt controlled the development of sequence styles. Analyses of the spatial-temporal relationship of the assemble pattern of syndepositional faults and the sedimentary system help predict the favorable exploration zone.