ABSTRACT

This paper investigates economic convergence in terms of real income per capita among the autonomous regions of Spain from 1955 to 2020. To converge, the series should cointegrate. The existence of this necessary condition is determined using two recently proposed testing strategies for fractional cointegration. The results of both tests show no evidence of cointegration, ruling out the possibility of convergence between all or some of the Spanish regions. As an additional contribution, the critical values of Nielsen’s (2010) variance ratio test of fractional cointegration are extended for up to 17 variables and three sample sizes, allowing for a more general application of Nielsen’s procedure.

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ABSTRACT

We explore the impact of the result of the Brexit referendum on the long-run relationship between short-term interest rates in the UK and the Eurozone, analysing the extent of co-movement before and during the Brexit transition (after the referendum in 2016), comparing several different techniques. Our potential and flexible  empirical results using fractional cointegration, in contrast to other techniques, indicate a long-run relationship between the variables before the Brexit referendum but not during the transition period. We can conclude that Brexit generated a process of arbitrage between the EU and the UK. This was expected because the single market the two shared previously (the EU) is now split into two: the EU and the UK. 

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 ABSTRACT

This paper analyzes inference procedures applied to a general semiparametric fractional simultaneous equations model that might display cointegration. Specically, we propose an automatic method to infer the cointegrating rank and the dimensions of possible cointegrating subspaces, which are characterized by special directions in the cointegrating space which generate cointegrating errors with smaller integration orders, therefore increasing the achievement of the cointegration analysis. Additionally, our procedure delivers data-based just identifying conditions for the cointegrating parameters which lead to a particular type of Phillips' triangular form, from which the cointegrating space and possible subspaces can be readily estimated by regression methods. A Monte Carlo experiment of nite sample performance is included and we also apply the proposed methodology to 13 series of stock volumes.

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 ABSTRACT

IIn this paper we examine the volatility of global commodity prices using monthly data for the period 1960-2022. Using fractional integration methods, we find that the volatility of each variable exhibits mean reversion. As an additional contribution, we complement our analysis by incorporating a fractional cointegration test to examine potential relationships among commodity prices. Our results show the existence of four different cointegrating relationships. This implies that these commodities are not completely independent and may share underlying relationships that contribute to their price movements over time.

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ABSTRACT

This paper examines the degree of integration of the Nord Pool market as measured by its electricity spot prices. A market is said to be integrated if the following two conditions are met: i) the price series are cointegrated and ii) the law of one price is satisfied. The cointegration of the price series is analysed using recent fractional cointegration techniques and shows that the first condition for market integration is met. However, the results of the law of one price test indicate that not all prices satisfy the second condition. Thus, the Nord Pool market can be considered to be weakly integrated, with only those regions that are primarily dependent on hydroelectricity satisfying the law of one price.

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ABSTRACT

This research assesses how the novel disease COVID-19 has affected deaths over time and whether any long-term relationship is found among the eight worst affected countries worldwide. Our analyses have revealed two important facts in this disease analysis that could explain the start of the COVID-19 pandemic. First, we found that COVID-19 disease in two of the countries shaped the beginning of the pandemic and led other countries to follow their trajectories and behaviour. Second, we provide evidence concerning the impact of the coronavirus disease on mortality. Furthermore, we have identified countries that suffered more deaths at the beginning, which then declined over time, and vice versa.