1,720,987 research outputs found
Is Nature of Inflation Co-Movement Time-Varying? Insights From a Dynamic Factor Model
No full textNazlioglu, Saban/0000-0002-3607-3434The purpose of this study is to examine whether inflation co-movement has a time-varying behavior. We estimate a dynamic factor model with time-varying variances and obtain variance decomposition for G7 countries from 1970 to 2023. The results reveal that (i) inflation co-movement tends to change with global shocks, with a more synchronized pattern during global financial crisis and COVID-19; and (ii) it tends to cluster across countries after COVID-19, with an increase in US, Canada, and Japan and a decrease in European countries (France, Germany, Italy, and UK). These findings hence provide new insights on time-varying inflation co-movement
Asymmetric Fisher effect in inflation targeting emerging markets: evidence from quantile co-integration
No full textKilic, Emre/0000-0003-2900-5123; Nazlioglu, Saban/0000-0002-3607-3434We test Fisher hypothesis in 14 inflation targeting emerging countries by quantile co-integration approach allowing asymmetric behaviour of long-run co-integration relationship. While conventional co-integration methods do not support Fisher hypothesis for any country, quantile co-integration approach confirms Fisher hypothesis in nine countries with time-varying behaviour of Fisher coefficient. Our results thereby can shed light on Fisher puzzle in inflation targeting emerging markets and provide insightful implications. The findings suggest that inflation targeting in emerging markets would lead to an asymmetric adjustment, implying heterogeneous effects of negative and positive shocks. Monetary authorities, in particular, tend to increase short-term interest rates by a larger amount during high inflation period than low inflation period
Testing for Stationarity With Covariates: More Powerful Tests With Non-Normal Errors
No full textNazlioglu, Saban/0000-0002-3607-3434; Karul, Cagin/0000-0002-5856-930X; Lee, Junsoo/0000-0002-4345-2889Previous studies suggested that the power of unit root and stationarity tests can be improved by augmenting a testing regression model with stationary covariates. However, one practical problem arises since such procedures require finding the variables that satisfy certain conditions. The difficulty of finding satisfactory covariate has hindered using such desired tests. In this paper, we suggest using non-normal errors to construct stationary covariates in testing for stationarity. We do not need to look for outside variables, but we utilize the distributional information embodied in a time series of interest. The terms driven from the information on non-normal errors can be employed as valid stationary covariates. For this, we adopt the framework of stationarity tests of Jansson (Jansson, M. 2004. "Stationarity Testing with Covariates." Econometric Theory 20: 56-94). We show that the tests can achieve much-improved power. We then present the response surface function estimates to facilitate computing the critical values and the corresponding p-values. We investigate the nature of shocks to the US macro-economic series using the updated Nelson-Plosser data set through our new testing procedure. We find stronger evidence of non-stationarity than their univariate counterparts that do not use the covariates
World oil and agricultural commodity prices: Evidence from nonlinear causality
No full textThe increasing co-movements between the world oil and agricultural commodity prices have renewed interest in determining price transmission from oil prices to those of agricultural commodities. This study extends the literature on the oil-agricultural commodity prices nexus, which particularly concentrates on nonlinear causal relationships between the world oil and three key agricultural commodity prices (corn, soybeans, and wheat). To this end, the linear causality approach of Toda-Yamamoto and the nonparametric causality method of Diks-Panchenko are applied to the weekly data spanning from 1994 to 2010. The linear causality analysis indicates that the oil prices and the agricultural commodity prices do not influence each other, which supports evidence on the neutrality hypothesis. In contrast, the nonlinear causality analysis shows that: (i) there are nonlinear feedbacks between the oil and the agricultural prices, and (ii) there is a persistent unidirectional nonlinear causality running from the oil prices to the corn and to the soybeans prices. The findings from the nonlinear causality analysis therefore provide clues for better understanding the recent dynamics of the agricultural commodity prices and some policy implications for policy makers, farmers, and global investors. This study also suggests the directions for future studies.Oil prices Agricultural commodity prices Linear and nonlinear Granger causality
World oil prices and agricultural commodity prices: Evidence from an emerging market
No full textOil prices are thought to have direct effect on agricultural prices followed by an indirect effect through the exchange rate. This paper examines the short- and long-run interdependence between world oil prices, lira-dollar exchange rate, and individual agricultural commodity prices (wheat, maize, cotton, soybeans, and sunflower) in Turkey. To this end, the Toda-Yamamoto causality approach and generalized impulse-response analysis for identification of the long- and short-run interrelationships are applied to the monthly data spanning from January 1994 to March 2010. The impulse-response analysis suggests the Turkish agricultural prices do not significantly react to oil price and exchange rate shocks in the short-run. The long-run causality analysis reveals that the changes in oil prices and appreciation/depreciation of the Turkish lira are not transmitted to agricultural commodity prices in Turkey. Hence, our results support neutrality of agricultural commodity markets in Turkey to both direct and indirect effects of oil price changes.Oil prices Exchange rates Agricultural commodity prices
Impacts of Turkey’s Integration into the European Union on Agricultural Markets and Income Distribution
Get PDFThis study analyzes the impacts of Turkey’s integration into the EU on price, production,
consumption, and self-sufficiency in the selected agricultural markets (wheat, maize,
sugar, milk, beef, lamb, and poultry). The study also examines the welfare and the
income distribution impacts of the integration. A partial equilibrium model, Modéle Internationale Simplifié de Simulation (MISS), is used to simulate the impacts of the integration on the agricultural markets and Gini coefficients are calculated to examine the income distribution effects. The results show that the integration has substantial impacts on the selected agricultural markets in Turkey and deteriorates the distribution of income among the selected Turkish producers
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Unemployment dynamics in the United Kingdom: a quarter-millennium perspective
No full textThis letter examines the persistence of unemployment in the United Kingdom (UK) using over a quarter of a millennium of data, spanning from 1760 to 2023. The results from the quantile unit root approach-accounting for non-normal distributions, structural changes, and non-linearity-reveal asymmetric unemployment dynamics. Shocks to unemployment appear transitory in low-unemployment regimes but are persistent in highunemployment regimes. The findings highlight the importance of accounting for asymmetries in labor market adjustments
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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