Evidence of Inflation Using Harmonized Consumer Price Indices in Some Euro Countries: France, Germany, Italy, and Spain, along with the Euro Zone

This paper deals with the analysis of the persistence in the Harmonized Indices of Consumer Prices in France, Germany, Italy, and Spain. The degree of persistence is measured through fractional integration or I (d) techniques, using monthly data from January 2010 to February 2023. We first conducted the analysis with data ending in December 2019, that is, with data prior to the COVID-19 pandemic. Then, we extended the sample, first up to December 2021 and finally to February 2023. Our results show that the findings of our series are highly persistent, with values of the differencing parameter about one or higher than one in the majority of cases. In fact, mean reversion is only observed in the case of Germany with pre-pandemic data. Generally, we observed an increase in the degree of persistence of the series as a consequence of both the COVID-19 pandemic and the Russia–Ukraine war, with the only exception being Spain, where we observe a reduction in the order of integration when including 2022–2023 data. © 2023 by the authors.

Growth vs value investing: Persistence and time trend before and after COVID-19

Value investing and growth investing allow economic experts to adopt different investment strategies depending on their chosen specialty;the two investment types have been conditioned by the pandemic, changing the trend of investments and their results. This research aims to analyze the behavior and trends of the different investment strategies before and after the health crisis. We use methodologies based on fractional integration and cointegration to analyze the persistence and trend of the series and their relationship in the long run. We find that the shock is long-lived and causes a change in trend;however, we find no evidence of mean reversion. In addition, we use multivariate wavelet analysis to analyze the correlation between both time series, concluding that a growth-based investment strategy is more successful than a value-based investment strategy. We use neural networks to corroborate our results. © 2023 Elsevier B.V.

Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle

This paper is devoted to test agents' behavior in the markets of hard commodities by trying to distinguish between managing future price structures to hedge their positions and speculating in on prices. We do a triple analysis: cointegration on the time series, structural breaks over the full time series and panel data. The analysis of the full series and the identification of structural breaks allows us to discover the connection between high prices and the negative futures price structure (backwardation) in rising prices scenarios of tin, copper, aluminium, and zinc. Moreover, we obtain that the base metals full matrix (price and futures price structure) is cointegrated in our analysis that uses panel data methods. We believe that these results are important for agents in the markets, as commodity traders or brokers, to maximize profits in their hedging positions.

US biofuel market persistence and mean reversion properties

This paper investigates the market persistence and mean reversion properties for corn, bioethanol and gasoline prices in the US biofuel industry, evaluating long memory effects with fractional integration techniques from January 1982 to May 2022 with USDA data. Empirical results show evidence of no mean reversion properties for the prices in the three series though some support of it is found when the differences of bioethanol and gasoline are taken with respect to corn. Thus, external shocks in the original series are expected to remain persistent and would require additional policy measures to recover the original trend. Furthermore, the impact of Covid on the time series has been analyzed by comparing the scenarios pre and post pandemic, finding evidence of no major changes in the integration orders in all the series under analysis. © 2023 Economic Society of Australia, Queensland

Coronavirus, Vaccination and the Reaction of Consumer Sentiment in The United States: Time Trends and Persistence Analysis

At the beginning of the COVID-19 pandemic, the entire world was waiting for a medical solution (for example, vaccines) in order to return to normality. Sanitary restrictions changed our consumption behaviors and feelings. Therefore, this paper analyzes the stochastic properties of consumer sentiment during the COVID-19 episode and the appearance of vaccines against the virus in December 2020 in the United States of America. This study adds a new dimension to the literature because it is the first research paper that uses advanced methodologies based on fractional integration and fractional cointegration analysis to understand the statistical properties of these time series and their behavior in the long term. The results using fractional integration methodologies exhibit a high degree of persistence, finding behavior of mean reversion during the pandemic episode. Therefore, the shock duration in consumer sentiment will be transitory, recovering to its previous trend in the short run. Focusing on the cointegrating part, we arrive at two main conclusions. First, an increase in total vaccination produces a positive reaction or impact on the behavior of consumers. On the other hand, an increase in new COVID-19 cases negatively affects the behavior of the consumer.

Stock market responses to COVID-19: The behaviors of mean reversion, dependence and persistence.

We examine stock market responses during the COVID-19 pandemic period using fractional integration techniques. The evidence suggests that stock markets generally follow a synchronized movement before and the stages of the pandemic shocks. We find while mean reversion significantly declines, the degree of persistence and dependence has been increased in the majority of the stock market indices in whole sample analysis covering the period of August 02, 2019 and July 09, 2020. This outcome implies increasing integration and possibly declining benefits of diversification for the global stock portfolio management.

Measuring Persistence in the US Equity Gender Diversity Index.

An analysis of the SPDR SSGA Gender Diversity Index ETF using fractional integration or I(d) techniques and daily data from 8 March 2016 to 8 January 2021, reveals that the series is highly persistent with an order of integration smaller than, though very close to 1. However, when estimating d recursively across subsamples, two peaks can be observed. The first peak appears in the sample with 679 observations (ending at 26 December 2018) and the second one occurs in the sample with 974 observations and ending at 28 February 2020, which shows the most significant change in d, moving from values within the I(1) interval to values significantly above 1. The findings indicate that the Covid-19 pandemic has had a significant impact on the persistence of the SPDR SSGA Gender Diversity Index ETF, increasing its magnitude and thus the level of persistence.

U.S. House Prices by Census Division: Persistence, Trends and Structural Breaks

This paper uses fractional integration methods to examine persistence, trends and structural breaks in United States house prices, more specifically the monthly Federal Housing Finance Agency House Price Index for census divisions, and the United States as a whole over the period from January 1991 to August 2022. The full sample estimates imply that the order of integration of the series is above one in all cases, and is particularly high for the aggregate series, implying high levels of persistence. However, when the possibility of structural breaks is taken into account, segmented trends are detected. The subsample estimates of the fractional differencing parameter tend to be lower, with mean reversion occurring in a number of cases. This means that shocks in the series are expected to be transitory in these subsamples, disappearing in the long run by themselves. In addition, the time trend coefficient is at its highest in the last subsample, which in most cases starts around May 2020 coincident with the beginning of the coronavirus pandemic. The results provide clear evidence of differences between census divisions, which implies that appropriate housing policies should be designed at the local (rather than at the federal) level. © 2023, The Author(s).

US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach

This paper uses fractional integration to assess the impact of US policy responses to the COVID-19 pandemic on 10 US sectoral stock indices from 1 January 2020 to 11 June 2021. The results provide evidence of mean reversion in most cases and suggest that the Effective Federal Funds Rate and monetary and fiscal announcements are the most effective policy tools. © 2022 Informa UK Limited, trading as Taylor & Francis Group.

Forecasting Spanish economic activity in times of COVID-19 by means of the RT-LEI and machine learning techniques

The main aim of this paper is to analyse and estimate the behaviour of the Spanish economic activity in the next 12 months, by means of a Real-Time Leading Economic Indicator (RT-LEI), based on Google Trends, and the real GDP. We apply methodologies based on fractional integration and cointegration to measure the degree of persistence and to examine the long-term relationship. Finally, we carry out a forecast using a Machine Learning model based on an Artificial Neural Network. Our results indicate that the Spanish economy will experience a contraction in 1Q-21 and will require strong measures to reverse the situation and recover the original trend.

Persistence On Tourism In North Macedonia: The Impact Of COVID-19

This study analyzes the level of tourism persistence in the North Macedonia through predictors of foreign arrivals and overnight stays for the time period of annual data from 1956 to 2020 and for monthly data from January 2010 to October 2021 by applying fractional integration techniques. The results show that for the annual data shocks are temporary by applying autocorrelation model. However, at the monthly data the shocks are expected to have permanent effects. The government should react further in trying to bring back the tourism figures as before the pandemic COVID-19. Copyright © 2022 The Authors.

Persistence On Tourism In North Macedonia: The Impact Of COVID-19

This study analyzes the level of tourism persistence in the North Macedonia through predictors of foreign arrivals and overnight stays for the time period of annual data from 1956 to 2020 and for monthly data from January 2010 to October 2021 by applying fractional integration techniques. The results show that for the annual data shocks are temporary by applying autocorrelation model. However, at the monthly data the shocks are expected to have permanent effects. The government should react further in trying to bring back the tourism figures as before the pandemic COVID-19. Copyright (c) 2022 The Authors. This is an open access article under the CC BY-NC-ND license (https://creativecommons.org/licenses/by-nc-nd/4.0/)

The effects of us covid-19 policy responses on cryptocurrencies, fintech and artificial intelligence stocks: A fractional integration analysis

This paper assesses the impact of US policy responses to the Covid-19 pandemic on various technology-related assets such as cryptocurrencies, financial technology, and artificial intelligence stocks using fractional integration techniques. More precisely, it analyzes the behavior of the percentage returns in the case of nine major coins (Bitcoin-BITC, Stella-STEL, Litecoin-LITE, Ethereum-ETHE, XRP (Ripple), Dash, Monero-MONE, NEM, Tether-TETH) and two technology-related stock market indices (the KBW NASDAQ Technology Index-KFTX, and the NASDAQ Artificial Intelligence index-AI) over the period 1 January 2020-5 March 2021. The results suggest that fiscal measures such as debt relief and fiscal policy announcements had positive effects on the series examined during the pandemic, when an increased mortality rate tended instead to drive them down;by contrast, monetary measures and announcements appear to have had very little impact and the Covid-19 containment measures none at all.

THE IMPACT OF COVID-19 ON THE TOURISM SECTOR IN BOSNIA AND HERZEGOVINA

In this study, we examine the degree of persistence in tourism in Bosnia and Herzegovina and the impact that the COVID-19 pandemic has had on it. The series investigated are foreign arrivals and overnight stays for the time period from January 2008 to December 2021. The methodology used is based on fractional integration. The results indicate that the impact of COVID-19 has been strong on the series, removing the significance of the time trend, increasing the level of persistence and reducing significantly the seasonality factor in both arrivals and overnight stay series. © 2022 Editura Universitatii din Oradea. All rights reserved.

The impact of the COVID-19 pandemic on persistence in the European stock markets.

This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the effects of the pandemic are assessed by comparing the pre-pandemic estimates (over the period 2005-2019) to those from a sample extended until July 2021 which includes the pandemic period. The approach used is more general than the standard one based on the stationarity versus non-stationarity dichotomy and allows for a wider range of dynamic processes. Three different model specifications are considered, and these are estimated under two alternative assumptions for the disturbances (white noise and autocorrelation). The findings indicate that there has not been any significant impact of the Covid-19 pandemic on the degree of persistence of the European stock market indices, though their volatility persistence has decreased.

Bunker fuel, commodity prices and shipping market indices following the COVID-19 pandemic. A time-frequency analysis

This paper deals with the analysis of the evolution of international trade after COVID-19, examining commodity prices, the shipping industry, and the influence of the cost of bunker fuel. To this end, we use techniques based on fractional integration, fractional cointegration VAR (FCVAR) and wavelet analysis. Monthly data relating to heavy fuel oil prices and the shipping market from October 2011 to September 2021 are used. Using fractional integration in the post-break period, a lack of mean reversion is observed in all cases, which means that, for the commodity prices and shipping market indices, a change in trend will be permanent after COVID-19 unless strong measures are carried out by the authorities. Using wavelet analysis, we conclude that the demand shock represented in the indices mentioned above has led the price of fuel oil since the beginning of the pandemic, and bunker fuel is not relevant in determining the cost of maritime transport.

CO2 emissions persistence: Evidence using fractional integration

The main cause of climate change are carbon dioxide emissions. In the context of the COVID-19 pandemic, the number of emissions has been significantly reduced for the first time in many years. Now it is necessary to answer the question of whether CO2 emissions are stationary or not, because the results will let us know whether environmental policies have to be strengthened rather than relaxed in intensity. To this end, this paper investigates the persistence in CO2 emissions in a group of countries to determine if shocks in the series have permanent or transitory effects. The results, based on fractional integration indicate evidence of mean reversion, with values of the differencing parameter constrained between 0 and 1 in all cases, independently of the assumption made about the error term (white noise or autocorrelation). Focusing on the areas under examination, it is obtained that the EU27+UK, Japan and the US present the lowest degrees of integration, while Russia, China and India display the highest values. Decreasing time trends are only observed for the EU27+UK and US.

The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields.

This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to examine whether or not persistence has changed during the following pandemic period (up to February 2021). We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more persistent, although there is evidence of mean reversion in case of 1-year yields under the assumption of autocorrelated errors. The recursive analysis shows no impact of the Covid-19 pandemic on the persistence of stock prices, whilst there is an increase in the case of both 10- and 1- year bond yields but not of their spread.

Modeling the effects of the governmental responses to COVID-19 on transit demand: The case of Athens, Greece.

Short-term demand forecasting is essential for the public transit system, allowing for effective operations planning. This is especially relevant in the highly uncertain environment created by the SARS­CoV­2 pandemic. In this paper, we attempt to develop accurate prediction models of transit ridership in Athens, Greece, using Autoregressive Fractional Integrated time series models enhanced with SARS­CoV­2-related exogenous variables. The selected exogenous variables are, from the one hand, the ratio of weekly SARS­CoV­2 infections over the infections 3 weeks before (capturing the dynamics of the pandemic, as a proxy for fear of transmitting the disease while commuting), and from the other hand, an index of the stringency of the government's SARS­CoV­2-related measures and regulations. The developed ARFIMAX models have been fitted separately on bus and metro ridership data and wield comparable and statistically significant results. In both models, the exogenous variables prove to be statistically significant and their values are intuitive, suggesting a linear interrelation between them and transit ridership.

Unemployment persistence in Europe: evidence from the 27 EU countries.

This paper investigates unemployment persistence in the 27 EU member states by applying fractional integration methods to quarterly data (both seasonally adjusted and unadjusted) from 2000q1 to 2020q4. The obtained evidence points to high levels of persistence in all cases. With seasonally adjusted data, a small degree of mean reversion is found in the case of Belgium, Luxembourg and Malta, but this evidence disappears under the assumption of weakly correlated disturbances. More cases of mean reversion are found instead when analysing the unadjusted series. In particular, countries such as Belgium, France, Croatia, Italy, Luxembourg and Malta display orders of integration significantly lower than 1. In addition, significant negative time trends are found in the case of Bulgaria, Croatia, Malta and Romania, and a positive one for Luxembourg. Finally, the Covid-19 pandemic had mixed effects, with (seasonal) persistence increasing in some countries whilst decreasing in others and not changing in a minority of cases. On the whole, our results support the hysteresis hypothesis for the European economies.