This paper deals with the analysis of seasonally, fractionally integrated, multivariate models. We present a procedure that permits us to test the seasonal fractional differencing parameters from the ...reduced-form system, which allows us to recover the parameters of the structural model through simple restrictions as in the standard VAR case with the additional incorporation of seasonality and fractional integration. An empirical application based on a bivariate system using GDP and unemployment in the UK, USA and Japan is also carried out at the end of the paper.
Cette étude analyse les effets de la législation du travail sur l'évolution du nombre de nouvelles accréditations syndicales en Ontario, de 1983 à 2006. Les résultats montrent les effets indépendants ...et significatifs -auxquels on pouvait s'attendre - des réformes mises en place par le gouvernement progressiste-conservateur (Loi 31) et, plus récemment, par le gouvernement libéral (Loi 144), sur le nombre d'accréditations syndicales obtenues et sur le volume total de nouvelles activités de syndicalisation. Les résultats révèlent aussi que le nombre de plaintes pour pratiques déloyales de travail a diminué de façon radicale après l'adoption de la Loi 7 (en 1995), que la Loi 31 a accentué cette baisse, et que la Loi 144 n'a pas modifié cette tendance. Globalement, les résultats indiquent que, avec le temps, la législation du travail a encore un effet significatif sur la syndicalisation, malgré l'internationalisation ou les modifications de la structure industrielle. Cela contredit donc ce que certains ont affirmé récemment à propos du rétablissement d'un "équilibre pré-1990" dans les politiques touchant les relations de travail en Ontario. En réalité, le régime actuel de relations de travail, autant sur le plan de la législation que dans ses effets concrets, impose plus de limites au développement de la syndicalisation que durant la période qui a précédé 1990. /// This paper examines the effect of labour law on union certification dynamics in Ontario during the period 1983 to 2006. Results reveal the independent, significant effects of the Progressive Conservative government's Bill 31 reforms and the recent Liberal government's Bill 144 upon certification success rates and aggregate volumes of new organizing, in expected directions. Results also reveal a massive decline in unfair labour practice complaints following the Bill 7 reforms in 1995, exacerbated by Bill 31, and which remains unaltered by Bill 144. Overall, the results suggest that labour law still has a significant effect upon union organizing over time, despite economic internationalization and/or shifts in industrial structure, and contradict the recent claim that a "pre-1990 equilibrium" in Ontario labour relations policy was recently restored. Rather, the current regime remains, both in formal legal terms and concrete effects, more restrictive of union growth than its pre-1990 form.
EVALUATING FORECAST UNCERTAINTY Barrell, Ray; Khoman, Ehsan; Kirby, Simon
National Institute economic review,
07/2007, Letnik:
201, Številka:
201
Journal Article
Recenzirano
The National Institute has been producing forecasts since 1958, and they are an essential part of our contribution to the policy debate in the UK and elsewhere. Model-based forecasts for the UK have ...been published every quarter1 since the 1970s, whilst model-based forecasts for the US and the major Europeans started only in the late 1980s. The country coverage of the European forecasts has increased over the years, and Euro Area forecasts began as soon as membership was clear. There is a long enough history of forecasting to be able to evaluate our performance, and this note extends the work reported in Pain, Riley and Weale (2001), Barrell, Kirby and Metz (2005) and Barrell and Metz (2006). The Institute forecasts for the UK are the main focus of the analysis in this note, but evaluations of the US and Euro Area forecasts produced by the Institute are also undertaken. We focus on evaluating the last forecast undertaken (at T–1) before the start of the year being forecast (at T), as they contain as much information as was possible without using any from the year being forecast. We also look at the evolution of forecasts over the two years preceding the publication of the first outturn for the year being forecast in order to gauge at which point those forecasts become efficient in that the root mean squared deviation (RMSD) of the errors is smaller than standard deviation of the series.
Using Deutschmark currency option data from the Philadelphia Stock Exchange and British pound option data from the Chicago Mercantile Exchange, this article examines the signaling quality of option ...volume measures on movements in the underlying spot exchange rates. The concept of a volume-weighted strike distribution is proposed. It is demonstrated that measures using the strike distribution are inherently better predictors of both direction and volatility of the exchange rate movements as compared to their more traditional counterparts used in practice, such as the put-call ratio.
This paper empirically examines the impact of productivity shocks on nominal exchange rate movements of Pak-rupee against currencies of its major trading partners using quarterly time-series data for ...the flexible exchange rate period (1983Q1 to 2006Q4). By taking into account the endogeneity problem the Generalized Method of Moments (GMM) provides results that are consistent with the theoretical predictions. The results suggest that variability in bilateral nominal exchange rates is explained in part by relative productivity differentials in the tradable and nontradable sectors both at home and abroad.
The idea that a bank's overall performance is influenced by the regional economy in which it operates is intuitive and broadly consistent with historical bank performance. Yet, micro-level research ...on the topic has borne mixed results, failing to find a consistent link between various measures of bank performance and regional economic variables. This chapter attempts to reconcile the intuition with the micro-level data by aggregating bank performance, as measured by nonperforming loans, up to the state level. This level of aggregation reduces the influence of idiosyncratic bank effects sufficiently so as to examine more clearly the influence of state-level economic variables. We show that regional variables, such as employment growth and changes in real estate prices, are not particularly useful for predicting changes in bank performance, but that coincident indicators developed to track a state's gross output are quite useful. We find that these coincident indicators have a statistically significant and economically important influence on state-level, aggregate bank performance. In addition, the coincident indicators potentially contribute to the out-of-sample forecasts of the relative riskiness of state-level bank portfolios, which should be of interest to bankers and bank supervisors.
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