Short-term Deviations Research Articles

Renewable energy consumption, CO 2 emissions and oil prices in the G7 countries

Economic and societal issues related to energy security and global warming is placing greater emphasis on the consumption of renewable energy. This paper presents and estimates an empirical model of renewable energy consumption for the G7 countries. Panel cointegration estimates show that in the long term, increases in real GDP per capita and CO 2 per capita are found to be major drivers behind per capita renewable energy consumption. These results are robust across two different panel cointegration estimators. Oil price increases have a smaller although negative impact on renewable energy consumption. Deviations from equilibrium are driven mostly by the error correction term as opposed to short term shocks. Short term deviations from the long term equilibrium take anywhere from between 1.3 years (France) and 7.3 years (Japan) to correct.

Short-Term Deviations from Simple Majority Voting

I discuss instances where a committee wants to deviate from the simple majority rule by adopting an alternative voting scheme for two consecutive binary ballots. The alternative voting rule, called Minority Voting as an Exception (MVE), works as follows: In the first ballot a b-majority rule is used, where b

PPP: Further evidence from Japanese regional data

This paper empirically analyzes Purchasing Power Parity (PPP) among Japanese municipalities from 1990 to 2003. Using panel unit root tests including one that considers cross-sectional dependence in the data (e.g., [Moon, H. R. and Perron, B. (2004). Testing for a unit root in panels with dynamic factors. Journal of Econometrics, 112, 81–126.]), we find evidence in favor of PPP, confirming the stationarity of relative prices in Japan and thus the long-run co-movement of municipal prices. Furthermore, the half-life of a shock is found to be about 2 years, which is faster than that of the international PPP. As in the European and US studies, short-term deviations from PPP can be explained by income differentials and distance between cities.

The Consumption-Wealth Ratio under Asymmetric Adjustment

This paper argues that nonlinear adjustment may provide a better explanation of ∞uctuations in the consumption-wealth ratio. The nonlinearity is captured by a Markov-switching vector error-correction model that allows the dynamics of the relationship to difier across regimes. Estimation of the system suggests that these states are related to the behaviour of flnancial markets. In fact, estimation of the system suggests that short-term deviations in the consumption-wealth ratio will forecast either asset returns or consumption growth: the flrst when changes in wealth are transitory; the second when changes in wealth are permanent. Our approach uncovers a richer and more complex dynamics in the consumption-wealth ratio than previous results in the literature, whilst being in accordance with theoretical predictions of a simple model of consumption under uncertainty.

The world market for soybeans: price transmission into Brazil and effects from the timing of crop and trade

This paper investigates the price transmission in the world market for soybeans using time series econometrics models. The theoretical model developed by Mundlack and Larson (1992) is based on the Law of the One Price, which assumes price equalization across all local markets in the long run and allows for deviations in the short run. The international market was characterized by three relevant soybean prices: Rotterdam Port, Argentina and the United States. The paper estimates the elasticity of transmission of these prices into soybean prices in Brazil. There were carried causality and cointegration tests in order to identify whether there is significant long-term relationship among these variables. There was also calculated the impulse-response function and forecast error variance decomposition to analyze the transmission of variations in the international prices over Brazilian prices. An exogeneity test was also carried out so as to check whether the variables respond to short term deviations from equilibrium values. Results validated the Law of the One Price in the long run. In line with many studies, this paper showed that Brazil and Argentina can be seen as price takers as long as the speed of their adjustment to shocks is faster than in the United States, the latter being a price maker.

Sediment rating parameters and their implications: Yangtze River, China

This study examines the characteristics of sediment rating parameters recorded at various gauging stations in the Yangtze Basin in relation to their controls. Our findings indicate that the parameters are associated with river channel morphology of the selected reaches. High b-values (> 1.600) and low log( a) values (< − 4.000) occur in the upper course of the steep rock-confined river, characterizing high unit stream power flows. Low b-values (< 0.900) and high log( a) values (> − 1.000) occur in the middle and lower Yangtze River associated with meandering reaches over low gradients, and can be taken to imply aggradation in these reaches with low stream power. Higher b-values (0.900–1.600) and lower log( a)-values (− 4.000 to − 1.000) characterize the reaches between Yichang and Xinchang, immediately below the Three Gorges. These values indicate channel erosion and bed instability that result from changes in channel gradient from the upstream steep valley to downstream low slope flood plain settings. Differences in channel morphology accompany these changes. Confined, V-shaped valleys occur upstream and are replaced downstream by broad U-shaped channels. The middle and lower Yangtze shows an apparent increase in channel instability over the past 40 years. This inference is based on sediment rating parameters from various gauging stations that record increasing b-values against decreasing log( a)-values over that time. Analysis of the sediment load data also reveals a strong correlation between changes in sediment rating curve parameters and reduction of annual sediment budget (4.70 × 10 8 t to 3.50 × 10 8 t/year, from the 1950s to 1990s), largely due to the damming of the Yangtze and sediment load depletion through siltation in the Dongting Lake. Short-term deviations from the general trends in the sediment rating parameters are related to hydroclimatic events. Extreme low b-values and high log( a)-values signify the major flood years, while the reverse indicates drought events. When compared with rivers from other climate settings, it is evident that the wide range of values of the Yangtze rating parameters reflects the huge discharge driven by the monsoon precipitation regime of eastern China.

A Reinvestigation on the Cointegration of Consumption, Wealth, and Labor Income

Lettau and Ludvigson (2001a, 2001b)'s striking finding that short term deviations from a cointegrating relationship among aggregate consumption, wealth, and labor income can forecast future asset returns has been a locus of interests, as well as scrutinies, of many researchers. Particularly, Rudd and Whelan (2002) question the empirical presence of cointegration relationship of aggregate consumption, wealth, and labor income, on which Lettau and Ludvigson rest their whole argument. Using disaggregate individual level data from Consumer Expenditure Survey, this paper studies the proposed cointegration relationship among consumption, wealth, and labor income from a perspective of household level data. We construct variables to be consistent with underlying consumer budget constraints for representative households with limited participation in asset markets. The paper convincingly reconciles the conflicting views between Lettau/Ludvigson and Rudd/Whelan, and provides mild to strong supporting evidence for the existence of cointegration relationship between consumption, wealth, and labor income.

Mutual Funds and the Market for Liquidity

Using a large sample of US active equity mutual funds from 1983 to 2001, we show that portfolio liquidity is actively managed and chosen as a function of the multiple liquidity needs a fund has. Using portfolio liquidity as a parsimonious proxy for the severity of liquidity needs, we find that fund performance is independent of liquidity needs. We also find that unpredictable changes in market liquidity and short-term deviations from optimal liquidity level affect performance. These results are consistent with the view that liquidity impacts portfolio choice and that the provision of capital to mutual funds is competitive and optimal.

Seismic and field evidence for selective inversion of Cretaceous normal faults, Salta rift, northwest Argentina

Northwestern Argentina was the site of the continental Salta rift in Cretaceous to Paleogene time. The Salta rift had a complex geometry with several subbasins of different trends and subsidence patterns surrounding a central high. Fault trends in the rift were extremely variable. There is evidence of normal and/or transfer faults trending N, NE, E and SE. It is not clear if all these faults were active at the same time, indicating a poorly defined extension direction, or if they formed in different, non-coaxial extension phases. In either case, their trends were very likely influenced by preexisting fault systems. Beginning in early Eocene time, the rift basins were superseded by Andean foreland basins and later became caught in the Andean thrust deformation propagating eastward, resulting in the inversion of rift faults. Due to their different orientations, not all faults were equally prone to reactivation as thrusts. N to NNE trending faults were apparently most strongly inverted, probably often to a degree where the traces of their normal fault origin have become obliterated. We present seismic evidence of moderately inverted N trending faults in the Tres Cruces basin and field examples of preserved E trending normal faults. However, reactivation sometimes also affects faults trending approximately parallel to the main Neogene shortening direction, indicating short-term deviations from the general pattern of Neogene thrust deformation. These pulses of orogen-parallel contraction may be linked to the intermittent activity of oblique transfer zones.

The World Market for Soybeans: Price Transmission into Brazil and Effects from the Timing of Crop and Trade

This paper investigates the price transmission in the world market for soybeans using time series econometrics models. The theoretical model developed by Mundlack and Larson (1992) is based on the Law of the One Price, which assumes price equalization across all local markets in the long run and allows for deviations in the short run. The international market was characterized by three relevant soybean prices: Rotterdam Port, Argentina and the United States. The paper estimates the elasticity of transmission of these prices into soybean prices in Brazil. There were carried causality and cointegration tests in order to identify whether there is significant long-term relationship among these variables. There was also calculated the impulse-response function and forecast error variance decomposition to analyze the transmission of variations in the international prices over Brazilian prices. An exogeneity test was also carried out so as to check whether the variables respond to short term deviations from equilibrium values. Results validated the Law of the One Price in the long run. In line with many studies, this paper showed that Brazil and Argentina can be seen as price takers as long as the speed of their adjustment to shocks is faster than in the United States, the latter being a price maker. An interesting conclusion was reached when the pattern of the impulse response functions was compared to the timing of crop and trade in Brazil, Argentina and the United States. These seasonal differences may help explaining the pattern of the response of Brazilian prices to shocks in the international market, especially that the response from shocks in the United States is opposite to the response from shocks in Argentina because harvest in the two hemispheres occurs in different periods. In addition, the one-month lag between Brazilian and Argentine harvests may contribute to explain a turning point in the impulse-response function that occurs one month after the shock.

Long-run homogeneity of labour demand. Panel evidence from OECD countries

This study makes an attempt to examine the long-run relationship between the key labour market parameters of employment, aggregate output, real product wages and labour-augmenting technical progress for a sample of 21 OECD countries covering the period from 1970 to 2000. A new panel error correction technique is applied, which allows one to constrain the long-run coefficients to be identical across the countries while letting the short-run coefficients which govern the dynamics and the error variances differ freely, respectively. Thus, this estimation approach assumes that institutional and cultural differences, albeit causing short-term deviations of labour demand behaviour across countries, leave the long-run structure of the labour markets unaffected. That is to say, the long-run equilibrium relationship between the key labour market variables is taken to be similar across the OECD economies. The empirical analysis shows that the long-run relationship between the key labour market parameters is equal across the OECD countries. However, adjustment speed of actual employment to the equilibrium is much higher in countries with flexible labour markets, such as the USA and UK, than in countries with rigid labour markets, such as Germany and Austria.

Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence

We find that the short-term deviations from long-run consumption-wealth relationship (cay) forecast stock market returns and serve as a conditioning variable in the capital asset pricing model (CAPM) for explaining the cross-section of stock returns for the United Kingdom and Japan. Our cross-sectional regressions using cay as a conditioning variable as opposed to using an alternative variable, tay, constructed using calender time in place of consumption indicate that it is unlikely to be a spurious variable and provides useful information concerning the economic fundamentals. We show that both a consumption-based capital asset pricing model (CCAPM) and a human-capital-augmented capital asset pricing model (HC-CAPM) in conjunction with this conditioning variable can explain much of the cross-section of stock returns in each of the two countries; yet, in terms of relative performance, our results tend to favor the conditional HC-CAPM over the conditional CCAPM for pricing U.K. and Japanese cross-sectional returns.

Targeted Risk Capital

Targeted risk capital (TRC) products are a class of structured finance products that mitigate specifically defined project risks by providing liquidity on a contingent, revolving basis. By narrowly defining and isolating project risks, TRC products can enhance credit and reduce the cost of capital more efficiently than broader financial guarantee products. Because many key project risks are created by short-term deviations from long-term equilibrium positions, TRC products typically are structured as contingent revolving debt facilities that become subordinated project loans once drawn down. TRC products rely on a provider9s ability to assess long-term equilibrium positions and fund liquidity during short-term deviations. Examples of TRC products and the risks they address include: real exchange rate (Rex) facility (inflation-devaluation correlation), spark spreads (fuel-power price correlation), and input-output price spreads (e.g., petrochemicals).

Spatial and temporal variation in benthic macrofauna and relationships with environmental variables in an estuarine, intertidal soft-sediment environment

We quantified the distribution, abundance, biomass and assemblage structure of ben- thic macrofauna at different spatio-temporal scales in a temperate estuarine, intertidal soft-sediment environment in the Schelde estuary, The Netherlands. Hierarchically scaled surveys were conducted yearly between 1994 and 2000, covering 4 spatial scales: region (10 4 m), transect (10 3 m), station (10 2 m), and replicate samples (10 -1 m). Our approach provided a powerful framework for quantify- ing the proportion of the variation among samples that was attributable to each spatial or temporal scale, and we explicitly aimed at identifying the role of environmental variables in explaining the observed variability. Variance components calculated for 11 dominant macrobenthic species revealed that variations at the scale of stations and year × station interactions were the most im- portant components of variability. Regional and transect differences were only apparent for a few species, although multivariate analysis revealed clear inter-regional differences for the macrobenthic assemblage structure. Only a few species displayed significant variability associated with the factor year solely. Both spatial and temporal components explained > 70% of the total variance. A sub- stantial part of the total variation in abundance of individual species was explained by the observed environmental variables (27 to 56%). Multiple regression with subdivision of the environmental variables into a long-term average and a temporal component showed that the long-term averages were much more important than the short-term deviations from this average, with local environ- mental variables (mud content, chlorophyll a, bed level height) explaining the largest part of the observed variation. For a few species and total biomass, salinity also explained a large part of the observed variation. Canonical correspondence analysis (CCA) with forward selection revealed that salinity and mud content, and to a lesser extent chlorophyll a and bed-level height, accounted for most of the variance in the macrobenthic species data. Partial CCA indicated that of the variation in the species data a large part was spatially structured (56.7%), with about half of this variation being explained by the environmental variables used. Only 4.1% of the species variation was temporally structured. Our results have important consequences for both the interpretation of monitoring programmes and the enhancement of sampling designs.

International Capital Mobility in Emerging Markets: New Evidence from Daily Data

This paper analyzes daily covered interbank interest differentials for three emerging markets before and after the 1997/98 financial crises, and compares them with those of four developed economies. It examines descriptive statistics of covered differentials and the long‐run equilibrium (cointegrating) relationship between their interest rate and forward discount components. Mean differentials and their volatility were moderate before crises, but increased dramatically during crises. The main reasons are temporarily effective capital controls, large bank default risk premia, and capital market imperfections. The evidence for a cointegrating vector consistent with covered interest parity is strong, implying that, despite large short‐term deviations, covered interest parity does hold as an equilibrium relationship.

A Connection Between V/R and Polarization in Be Stars

AbstractOkazaki (1991) and Papaloizou, Savonije, &amp; Henrichs (1992) suggested that the quasi-cyclic V/R variability observed in the emission line profiles of many Be stars is caused by a precessing one-armed density wave in the circumstellar disk. It seems likely that the changing aspect of such a non-axisymmetric density pattern might also lead to a related variation of the continuum polarization. We have searched for such an effect in two well-studied Be shell stars, ζ Tau and 48 Lib, based on data compiled from several groups of observers from 1984 to 1998. Using the Monte Carlo radiation transfer code of Wood, Bjorkman, Whitney, &amp; Code (1996), we have calculated the polarization due to electron scattering in Be disks in the presence of one-armed density perturbations. Although the notorious long and short term deviations from strict periodicity present in Be stars make it difficult to rigorously demonstrate the connection between the V/R variability and the polarization variations, we have been able to find specific modes that are consistent with the observed V/R line profile variations together with the suspected polarization cycles.

Preculturing of Chinese hamster V79 cells with sublethal concentration of theophylline sensitizes cells to cytotoxic effects of MNNG.

In our previous work concerning the biologic effects of theophylline, we found that cells incubated during 48 h at low concentrations of theophylline (0.3 mg/ml of medium) manifested short-term deviations in the rate of DNA replication; however, this short-term inhibition of DNA replication did not reduce either the growth rate or the colony-forming ability of cells. In the present study, we concentrated on cytotoxic and DNA-damaging effects of MNNG on V79 cells precultured with sublethal concentration of methylxanthine theophylline. Cytotoxicity was evaluated on the basis of growth rate of treated cells as well as by colony-forming ability (plating efficiency) test and by trypan blue exclusion test. The level of DNA lesions (strand breaks) induced by MNNG was measured by alkaline DNA unwinding and by the comet assay. In an effort to explain higher cytotoxic effects of MNNG on precultured cells, we studied rejoining of damaged parental DNA after 4 h incubation post-MNNG-treatment as well. We found differences as against the controls in theophylline-precultured cells after treatment with the mutagen and carcinogen MNNG. The higher cytotoxic effect of MNNG in precultured cells was accompanied by a higher level of ss breaks of DNA and by more unrepaired lesions which remained after 4 h in parental DNA. Our results demonstrate that theophylline belongs to the group of agents inhibiting repair of potentially lethal DNA lesions.

NIST/NCI Micronutrients Measurement Quality Assurance Program: measurement repeatabilities and reproducibilities for fat-soluble vitamin-related compounds in human sera.

The NIST/NCI Micronutrient Measurement Quality Assurance Program has conducted 33 interlaboratory comparison exercises for fat-soluble vitamin-related compounds in human sera over the past 12 years. Periodic reanalysis of lyophilized serum samples prepared from more than 70 different sera has enabled estimation of the short- and long-term measurement characteristics. Median- and interquartile-range-based statistics adequately estimate the distribution of results from laboratories that are in analytical control from total distributions that include a significant minority of outlier data. Short-term interlaboratory reproducibility standard deviations (SDs) are predictable functions of analyte concentration, with an asymptotic limit at low analyte concentration and a linear relationship at high concentrations. Long-term trends in the interlaboratory reproducibility can be estimated by standardizing the short-term SD at the observed analyte concentration to an expected SD at a given physiologically significant analyte concentration. The "average" laboratory's same-day analytical repeatability SD is about one-third of the estimated interlaboratory reproducibility; repeatability for longer periods between analyses is, on average, on better than the reproducibility. While a few exceptional laboratories have maintained excellent repeatability over the entire decade, long-term study measurements generated within a single laboratory are not generally more internally consistent than results from multiple laboratories. Enhanced and more consistently implemented intralaboratory quality control and quality assurance methods are required to further improve and maintain interlaboratory measurement comparability.

Slow changes of solar irradiance and energetics of active regions

A new numerical technique is applied to study long-term variations of total solar irradiance. The background solar flux is estimated not from, e.g., a running mean but as the mode on a moving short time interval. Statistical properties of short-term variations with respect to the running mode are studied. The probability distribution function describing the data from Nimbus-7 is asymmetric and departs from a Gaussian. The ratio of time-integrated short-term negative and positive deviations shows that the energy re-radiated from faculae makes up about 40% of the energy blocked by sunspots. The amplitude and phase relations are studied between deviations which decrease and increase the irradiance. They characterize the mechanism of energy transformation with frequency. The cross-covariance analysis reveals that some parts of the energy blocked by sunspots come to the surface of the Sun after long delays.

Synchronous Response of Hydrophobic Chemicals in Herring Gull Eggs from the Great Lakes

Herring gull eggs from Great Lakes nesting sites exhibit short-term changes in hydrophobic chemical concentrations that are synchronized within and between Great Lakes. At one Lake Ontario site, for example, short-term deviations from long-term trends for PCBs, DDE, mirex, hexachlorobenzene, and dieldrin in gull eggs tend to correlate significantly with each other, with these chemicals at another site in Lake Ontario, and with gull egg chemicals from Lakes Superior, Huron, and Erie. Similar comparisons made for other Great Lakes are also significantly nonrandom. This synchrony indicates that some large-scale force-here proposed to be weather patterns-controls short-term patterns of hydrophobic chemical concentrations in gull eggs acrossthe Great Lakes. Among eight alternative hypotheses considered, the data are least inconsistent with the following mechanism : warm spring weather conducive to phytoplankton growth produces relatively uncontaminated phytoplankton, which in turn produce less contaminated food for the gulls during the critical period of egg yolk formation (and vice versa for cold spring weather).