Time-varying Effects Research Articles

Time-varying effects of economic policy uncertainty on the volatility of China's stock market: Based on TVP-VAR Model

Time-varying effects of economic policy uncertainty on the volatility of China's stock market: Based on TVP-VAR Model

Pengaruh waktu induksi dan ZPT terhadap pertumbuhan kalus kotiledon kacang panjang (Vigna unguiculata subsp. sesquipedalis)

Yard-Long bean plants are an agricultural commodity that has great potential to be developed because they are easy to cultivate, their market share is also quite high but there are still problems in meeting the need for sufficient seeds and they are still susceptible to pests and disease. Therefore, efforts need to be made to increase production and induce variations. One method that can be used is tissue culture for the induction of somaclonal variations and/or the formation of transgenic plants. This study aims to determine the effect of variations in callus initiation time and the effect of Plant Growth Regulators (PGR) administration on the growth of long bean cotyledon explant callus. Seed sterilization was carried out using detergent, 10% sodium hypochlorite, 70% alcohol and sterile distilled water. The results of the research showed that variations in callus initiation time on MS media with the addition of 2,4-D PGR and the use of several variations of PGR in subcultures were able to initiate callus and influence callus size, callus color, and the percentage of browning of Yard-long bean cotyledon explants. Callus initiation time of 4 weeks with a combination of 2 ppm BAP concentration with 0.1 ppm IAA produced the largest callus size and brownish white callus color. The addition of PGR during subculture had a smaller browning percentage than the treatment without PGR.

Assessing the linkage of energy cryptocurrency with clean and dirty energy markets

The primary objective of this study is to explore the dynamic connectedness that exists among energy cryptocurrencies, clean energy metals, and conventional dirty energies. Moreover, we aim to investigate the time-varying effects of uncertainties on the connectedness that exists among these asset classes. We uncover heterogeneous reactions among energy cryptocurrencies and other assets. Common positive co-movement clustering is revealed mostly during the periods of the cryptocurrency crash and boom in 2018 and 2020, and the oil market crash, respectively. However, a constant weak and strong co-movement over shorter and longer horizons is observed throughout the sample period for all pairs analysed, with varying outcomes for longer horizons. Combining VIX and US EPU as measures of financial and economic uncertainty, we contend that uncertainty significantly affects energy cryptocurrencies, clean and dirty energies, and clean energy metals, with relatively weak impacts or influences observed for longer investment horizons. Our findings are highly beneficial to cryptocurrency investors, alternative asset investors, and policy makers, especially during periods of market turmoil.

Dynamic spillovers between the carbon, stock, and energy markets: A New Zealand case

The Emission Trading Scheme (ETS) is an essential instrument tightly interconnected with the stock and energy markets. This study innovatively incorporates the ETS, stock, and energy markets into an integrated framework to model the return and volatility spillovers. We utilize a dynamic Time-Varying AutoRegressive procedure grounded in both the temporal and frequency domains. Our findings certify time-varying effects in both return and volatility spillovers. Remarkably, extreme events such as the COVID-19 pandemic and New Zealand's ETS-led policies have contributed substantially to these spillovers. Specifically, for return spillovers, the price movements of the stock and the crude oil markets are distinctly influenced by the ETS and electricity markets. On the other hand, volatility spillovers in stock and energy markets are predominantly dominated by the ETS. Furthermore, return and volatility spillovers exhibit substantial heterogeneity across different frequencies, with long-term effects making up the most considerable portion of cross-market spillovers. These findings help gain a deeper understanding of dynamic feedback effects and offer valuable implications for policymakers and market participants.

Enhancing investment performance of Black-Litterman model with AI hybrid system: Can it be done?

The B-L (Black-Litterman) model combines the subjective views of investors with the market's historical equilibrium return through the Bayesian theorem. This approach somewhat compensates for the limitations of the Mean-Variance model, making the asset allocation model attract significant attention. However, due to many investors lacking ample investment experience, they might struggle to provide appropriate subjective views. To address this issue, an Iaah (Industry Asset Allocation Hybrid) system based on the B-L model is proposed. First, a combined model is constructed, which simulates view return vectors and solves the problem of inaccurate view quantification. Then, the Iaah system introduces a dynamic condition correlation algorithm to optimize inherent parameters and explores asset allocation results in the time-varying effects. Next, it expands the types of objective functions and improves the deficiency of only considering the return and variance while ignoring the downside risk. Finally, based on a variety of performance metrics, the Iaah system is evaluated from multiple perspectives to test its practical value. The experiment results with the daily data of 10 SSE (Shanghai Stock Exchange) industry indexes show that the proposed system not only realizes the diversified allocation of industry assets and enhances the investment performance, but also exhibits strong robustness against changes in subjective parameters. It is conducive to managing personal wealth and achieving preservation and appreciation.

A LONGITUDINAL EXAMINATION OF SEXUAL SATISFACTION ACROSS ADULTHOOD IN MIDUS

Abstract Sexuality is fundamental to the human experience and midlife is a transition period in adulthood where sexual changes often occur. Sexual satisfaction (SS) in midlife and older adulthood is still under studied. However, researchers have found a more pronounced decline in SS among women compared to men beginning in late midlife or early old age. The purpose of the present study was to examine how sexual satisfaction changes across adulthood (20-92 years) and at what ages women and men differ on their ratings of sexual satisfaction. Participants were from waves 1, 2, and 3 of MIDUS (n=2,348; Mage=54.34 years). SS was operationalized using “How would you rate the sexual aspect of your life these days,” with a scale from 0 to 10 where 0 means “the worst possible situation” and 10 means “the best possible situation”. Time-varying effect modeling (TVEM) revealed that there was an overall linear decline until the early 60s, then the decline steepened. Men and women did not differ from ages 20 to 44. However, around age 45, men (β=5.95; CI:5.83,6.07) began reporting significantly greater SS than women (β=5.62; CI:5.45,5.74), which lasted almost four decades. At age 84, women (β=3.36; CI:2.94,3.78) reported significantly greater satisfaction then men (β=3.32; CI:2.89,3.74). On average, SS declined with age. Women reported lower SS than men for almost four decades (ages 40-80); however, women reported higher satisfaction than men starting in their early eighties. No studies have examined SS across adulthood or gender differences in SS using TVEM.

Dynamic relationship changes between reviewers and consumers in online product reviews

This research examines online product reviewers and their influence on consumers who read and endorse those posted reviews. We examine three primary research questions. First, what kinds of products will reviewers review, and how do these choices influence consumers’ endorsements (i.e., user votes) of the reviews? Second, how does the volume of reviews that a reviewer writes affect consumers’ perceptions of how helpful the reviews are? Third, if reviewers are more positive (or critical), does that influence consumers’ endorsements? This research examines not only the static effects of these multifaceted relationships but also the dynamic changes in the effect magnitudes over time. Using the time-varying effect model (TVEM) with 11 years of Yelp review data, we find that a reviewer's influence on consumers tends to increase over time as the reviewer accumulates more experience in their review writing activities. However, we find two exceptions in the monotonically increasing pattern with Product Satisfaction and Reviewer Rating Positivity, demonstrating U-shaped and inverted ∩-shaped impacts over time, respectively. We explain such results with the “expertise trap” phenomenon. Thus, our research offers new insights to platform managers and product managers in governing influential reviewers.

APPLYING TIME-VARYING EFFECT MODELING TO EXAMINE DAILY VARIATION IN SUICIDAL IDEATION AMONG DEMENTIA CAREGIVERS

Abstract Emerging evidence suggests that caregivers may experience high rates of suicidal ideation. However, relatively little is known about daily contextual factors, including day-to-day depression and anxiety-related symptoms, that increase the severity of suicidal ideation over time. The purpose of this study was to apply time-varying effect modeling (TVEM) to examine daily depression and anxiety symptoms leading up to an individual’s highest suicidal ideation score within a span of 14 days in a sample of community-dwelling ADRD caregivers. The intercept-only model revealed an increase in the mean scores of daily suicidal ideation four days leading up to an individual’s highest score. Additionally, there was a significant decrease four days after the highest suicidal ideation point. The relationship between depression and daily suicidal ideation was significant 1-day leading up to the highest suicidal ideation score. Similar relationships were observed with daily anxiety as a time-varying predictor in a separate model. The results from this study suggest that suicidal ideation can vary between days, with depression and anxiety influencing the intensity of the slope leading to and following an individual’s highest suicidal ideation score. Examining suicidal ideation trajectories over time and factors associated with varying severity can help inform targeted interventions to support dementia caregivers and mitigate the risk of severe psychological distress associated with dementia caregiving.

ELPR: A New Measure of Capital Adequacy for Commercial Banks

ABSTRACT We develop and evaluate an accounting-based Loan Portfolio Risk (LPR) variable that captures time-varying contagion effects in default risk for a portfolio of bank loans. Our results show that an Equity-to-LPR ratio (ELPR) is additive in predicting bank failure up to five years in advance, after controlling for all the capital adequacy, asset quality, management experience, earnings, liquidity, and sensitivity to market risks (CAMELS) variables as well as other fundamental-based bank risk measures from prior studies. Further, we find that publicly listed banks with higher ELPR have lower market-implied costs of capital, especially under market stress conditions. We conclude that ELPR captures key aspects of bank risk that are missing in current Basel Committee risk-weighted-asset calculations. JEL Classifications: E32; G14; G21; K23; M41; M48.

Implementation Research at NHLBI: Methodological and Design Challenges and Lessons Learned from the DECIPHeR Initiative.

NHLBI funded seven projects as part of the Disparities Elimination through Coordinated Interventions to Prevent and Control Heart and Lung Disease Risk (DECIPHeR) Initiative. They were expected to collaborate with community partners to (1) employ validated theoretical or conceptual implementation research frameworks, (2) include implementation research study designs, (3) include implementation measures as primary outcomes, and (4) inform our understanding of mediators and mechanisms of action of the implementation strategy. Several projects focused on late-stage implementation strategies that optimally and sustainably delivered two or more evidence-based multilevel interventions to reduce or eliminate cardiovascular and/or pulmonary health disparities and to improve population health in high-burden communities. Projects that were successful in the three-year planning phase transitioned to a 4-year execution phase. NHLBI formed a Technical Assistance Workgroup during the planning phase to help awardees refine study aims, strengthen research designs, detail analytic plans, and to use valid sample size methods. This paper highlights methodological and study design challenges encountered during this process. Important lessons learned included (1) the need for greater emphasis on implementation outcomes, (2) the need to clearly distinguish between intervention and implementation strategies in the protocol, (3) the need to address clustering due to randomization of groups or clusters, (4) the need to address the cross-classification that results when intervention agents work across multiple units of randomization in the same arm, (5) the need to accommodate time-varying intervention effects in stepped-wedge designs, and (6) the need for data-based estimates of the parameters required for sample size estimation.

Digital Time-Domain Predistortion of Linear Periodically Time-Varying Effects and Its Application to a 100-GS/s Time-Interleaved CMOS DAC

Digital Time-Domain Predistortion of Linear Periodically Time-Varying Effects and Its Application to a 100-GS/s Time-Interleaved CMOS DAC

On the time-varying effects of the ECB’s asset purchases

On the time-varying effects of the ECB’s asset purchases

Does US financial crisis influence the relationship between ownership holdings and stock performance? The case of a developing economy

This study investigates the influence of the U.S. financial crisis on the relationship between ownership holdings and stock performance by assessing the asymmetries between the effects of insider and institutional ownership before, during and after the U.S. financial crisis. The study examines NIFTY 500-listed companies over a period of 16 years, from 2002 to 2017, and distinguishes between three economic phases, namely the pre-crisis (2002–2007), the crisis (2008–2009) and the post-crisis (2010–2017) period. To test our hypothesis, we employ the panel-data techniques of feasible generalised least squares and system-generalised methods of moments to control for autocorrelation, heteroscedasticity and endogeneity issues. The findings reveal that insider ownership had significant U-shaped and inverted-U-shaped effects during the pre-crisis and the post-crisis phase, respectively, which confirms the existence of the monitoring and expropriation effects of insiders. The favourable effect of domestic institutions during the crisis phase supports the notion that such owners engage in efficient monitoring during periods of economic turbulence. The adverse effect of foreign institutional ownership during the pre-crisis period implies either a conflict of interest or capital-gain motives that resulted in selling behaviour when the market economy was growing. The time-variant effects of insider and institutional ownership are noted. Our findings have immense significance for investors and executives who wish to understand the varied effects of insider and institutional ownership as they pertain to the management of a crisis that is caused by an exogenous shock.

Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR-SV Models

Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR-SV Models

Age-related patterns in high-risk alcohol and cannabis use and their associations with positive and negative affect in young adulthood

ObjectiveWe examined age-varying associations between young adult simultaneous alcohol and marijuana/cannabis use (SAM) and heavy episodic drinking (HED) and positive and negative affect to inform harm reduction efforts. MethodsYoung adults reporting past-year alcohol use (n = 556; ages 19–25) were recruited in a state where alcohol and nonmedical cannabis use was legal for those 21 +. Participants provided 24 repeated monthly assessments. Among those reporting past-month cannabis use on at least one survey, logistic time-varying effect models estimated (1) the age-varying prevalence of and associations between past-month SAM and HED and (2) age-varying unique associations of affect with SAM and HED. ResultsThere was a positive age-varying association between HED and SAM over time that was highest at age 19 (OR = 7.56), decreased until age 20.7 (OR = 3.39), increased until age 23.0 (OR = 4.85), and decreased until the association became non-significant by age 25. Negative affect was positively associated with SAM from ages 20.7 to 23.0, peaking at age 21.8 (OR = 1.36). Positive affect was positively associated with HED from ages 19.4 to 20.4 (peak OR = 1.25) and ages 22.5 to 24.5 (peak OR = 1.38). In contrast, positive affect was not uniquely associated with SAM nor negative affect with HED across ages 19–25. ConclusionsWhile HED and SAM were positively associated throughout young adulthood and interventions could target them in tandem, their associations with affect suggest differential etiologic processes. Preventive intervention and harm reduction efforts should attend to psychological context in which these behaviors occur.

How does climate policy uncertainty affect financial markets? Evidence from Europe

This study analyzes the time-varying effect of climate policy uncertainty (CPU) on the stock market and clean energy indices in the European context. For this purpose, we use the Bayesian time-varying parameter VAR model. The empirical results show that CPU shocks have a significant effect on the financial indexes. Returns on clean energy (crude oil) stocks increase (decrease) in response to heightened climate risk. Moreover, the COVID-19 pandemic is a relevant tipping point in CPU dynamics. These results offer important implications for European investors and policymakers in the context of the European climate-energy crisis.

Time-varying and spillover effects of the macroeconomy on nonfinancial corporate financialization: Evidence from China

Using quarterly data from 2007 to 2020 in China and the time-varying parameter vector autoregression model (TVP-VAR), this study systematically investigates the time-varying responses of corporate financialization to various macroeconomic shocks. The empirical findings reveal that nonfinancial corporate financialization is significantly and dynamically influenced by macroeconomic factors. Specifically, a decrease in economic policy uncertainty (EPU) generates a transient promotive effect on corporate financialization within six months, while monetary policy easing has a strong and persistent positive effect on the corporate financialization over two years. Conversely, the impact of economic growth on corporate financialization has experienced structural shifts throughout the sample period. Furthermore, a dynamic connectedness index based on TVP-VAR is employed for the first time to investigate the spillover effects among variables. The results show that nonfinancial corporate financialization is the net receiver of the fluctuations of M2, GDP growth, and EPU volatility. Quantitatively, 28.36% of corporate financialization variation is caused by M2 supply changes. Moreover, the spillover effects on financialization are time-varying and significantly greater during the extreme economic events. Our conclusions enrich the research findings of corporate financialization determinants.

Shelter from the storm: do partnerships buffer the well-being costs of unemployment?

Abstract This article contributes to the existing literature on the effects of unemployment on subjective well-being (SWB) by partnership status. We argue that material and latent deprivation can explain the effects of becoming and remaining unemployed on SWB by partnership status, as both partners and their employment status crucially shape the extent of deprivation. To test our hypothesis about partnership-specific unemployment effects on SWB and the mediating roles of latent deprivation (in terms of status loss) and material deprivation, we use 14 waves of German panel data. To identify time-varying unemployment effects, we rely on time-distributed fixed effects models. Our results suggest a strong negative and rather time-constant impact of unemployment on SWB, buffered over time for those with working or nonworking partners. Furthermore, our results indicate in particular material deprivation but also latent deprivation to be relevant mechanisms for explaining partnership-specific trajectories in the loss of SWB.

First-line real-world treatment patterns and survival outcomes in women younger or older than 40 years with metastatic breast cancer in the real-life multicenter French ESME cohort

AimTo describe first-line treatment patterns, overall survival (OS) and real-world progression-free survival (rwPFS) in young women (<40) with metastatic breast cancer (mBC), as compared to women aged 40–69. Materials and MethodsData on adult women diagnosed with mBC (2008–2017) were extracted from the ESME mBC database (NCT03275311) which includes consecutive patients starting first-line metastatic treatment in one of the 18 French Comprehensive cancer centers. We reported first-line therapeutic strategy and prognostic factors of OS and rwPFS for women aged < 40 and 40–69. ResultsIn total, 14,897 mBC women were included (1512 aged <40). HR+ /HER2- mBC was the most frequent subtype. First-line treatment differed between young patients and older ones for HR+ /HER2- and Triple Negative (TN) mBC. Median OS for women aged < 40 and 40–69, respectively, was 46.9 and 46.2 months for HR+ /HER2- mBC; 13.5 and 15.2 for TN mBC; and, 60.7 and 55.1 for HER2 + mBC. Median rwPFS under first line treatment was 11.6 and 11.9 months for HR+ /HER2- in women aged < 40 and 40–69, respectively; 5.5 and 5.9 for TN, and, 13.3 and 12.9 for HER2 + . Factors associated with shorter OS and rwPFS were similar for both women aged < 40 and 40–69 and included ≥ 3 metastatic sites, visceral metastases, and longer MFI, with time-varying effects observed for several prognostic factors. ConclusionYoung women presented more frequently with TN and HER2 + subtypes and aggressive mBC than women aged 40–69 did. Prognostic factors of OS and rwPFS were quite similar between age groups and mBC subtypes.

Impacts of geopolitical risk and economic policy uncertainty on metal futures price volatility: Evidence from China

In recent periods, the global metal trade has faced heightened uncertainty due to evolving geopolitical events and the dynamism of economic policies. The present study offers a detailed and encompassing investigation into the impacts of geopolitical risk (GPR) and economic policy uncertainty (EPU) on price volatility in the metal futures market. Notably, existing literature in this domain remains sparse. As a response, our analysis delves into the time-varying effects, volatility spillover dynamics, and heterogeneity across various countries and regions. Methodologically, we employ the GARCH-MIDAS framework, with a specific focus on the metal futures market in China. The research yields the following key findings: Firstly, aluminum futures prices exhibit sensitivity solely to geopolitical risk (GPR), whereas fluctuations in copper and zinc futures prices are influenced by both GPR and economic policy uncertainty (EPU). Furthermore, it is observed that GPR and EPU exert contrasting effects on price dynamics. Secondly, the impact of GPR and EPU on price fluctuations exhibits temporal variability. This influence gradually intensifies over time, culminating in a notable and sustained effect at a specific juncture post-2020. Thirdly, with the exception of copper futures, it is evident that GPR and EPU exert the most substantial influence on price fluctuations in metal resources exporting nations and countries with substantial demand for metal products within the context of China. The outcomes of this study carry significant policy implications. The observed time-varying effects may be construed as a reflection of the maturation process of China's metal futures market. Furthermore, the detected regional heterogeneity underscores the necessity for investors to differentially weigh countries when assessing the influence of geopolitical risk (GPR) and economic policy uncertainty (EPU) on China's metal futures market.