COVID-19 pandemic, Russia-Ukraine conflict and shale gas development: Evidence from fractional integration.

Although there are papers on the persistence of energy series including the persistence of shale gas, the impact of recent developments such as the Covid-19 pandemic and Russia-Ukraine conflict have been rarely explored in the existing literature. This paper examines the structure of shale gas production in the U.S. by looking at the degree of persistence across different areas, with the aim to determine if shocks in the series are permanent or transitory. Using fractional integration methods (which unlike the conventional methods, allow for the determination of the persistence of energy and non-energy series in a robust manner), and different subsamples that include the Covid-19 pandemic and the Russia-Ukraine war, our results indicate that there is a substantial decrease in the integration order in the total shale gas production in the U.S. as well as in four other plays-Haynesville, Permian, Utica and Eagle Ford. However, no differences are observed with respect to the Russia-Ukraine war. There is another group of four series (Marcellus, Niobrara-Codell, Woodford and Rest of US 'shale') with a very small reduction in the degree of persistence and another group of three series with almost no reduction at all in the order of integration (Barnett, Mississippian and Fayetteville). Several implications in terms of policy are reported at the end of the manuscript.

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.

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.

Time trends and persistence in PM2.5 in 20 megacities: evidence for the time period 2018-2020.

The degree of persistence in daily data for PM2.5 in 20 relevant megacities such as Bangkok, Beijing, Mumbai, Calcutta, Canton, Dhaka, Delhi, Jakarta, London, Los Angeles, Mexico City, Moscow, New York, Osaka. Paris, Sao Paulo, Seoul, Shanghai, Tientsin, and Tokyo is examined in this work. The analysis developed is based on fractional integration techniques. Specifically, the differentiation parameter is used to measure the degree of persistence in the series under study, which collects data on daily measurements carried out from January 1, 2018, to December 31, 2020. The results obtained show that the estimated values for the differentiation parameter are restricted to the interval (0, 1) in all cases, which allows us to conclude that there is a mean reverting pattern and, therefore, transitory effects of shocks.

Temperature and precipitation in the US states: long memory, persistence, and time trend.

This paper investigates the time series properties of the temperature and precipitation anomalies in the contiguous USA by using fractional differentiation. This methodology allows to capture time trend components along with properties such as long-range dependence and the degree of persistence. For aggregated data, we find out that long memory is present in both precipitation and temperature since the integration order is significantly positive in the two cases. The time trend is also positive, being higher for the temperature. In addition, observing disaggregated data by states, for the temperature, there are only seven states where the time trend is not significant, with most of them located in Southeast areas, while for the rest of cases, the time trend is significantly positive. All cases exhibit long-range dependence, though the differencing parameter substantially changes from one state to another, ranging from 0.09 in Nebraska and Kansas to 0.18 in Florida and Michigan. For precipitation, the time trend is insignificant in a large number of cases, and the integration order is smaller than for the temperature. In fact, short memory cannot be rejected in fourteen states, and the highest orders of differencing are obtained in Arizona (d = 0.11) and Texas (0.12). In general, we highlight that one cannot draw conclusions about persistence and trends in these two climate-related variables based on aggregate information of the overall USA, given widespread heterogeneity across the states. Tentatively, the degree of dependence across the states seems to be negatively correlated with their level of climate-related risks and the associated preparedness in terms of handling climate change, but this conclusion requires more elaborate research in the future.

Inequality Persistence of 21 OECD Countries from 1870 to 2020: Linear and Non-Linear Fractional Integration Approaches.

This paper investigates inequality persistence in a group of 21 OECD countries using linear and non-linear fractionally integrated methods. Using linear models, the results show that the series are strongly persistent which implies lack of average reversal and permanency of shocks. Mean reversion is only found in the case of Finland and partial evidence of mean reversion is detected for Belgium, Greece, Austria and the Netherlands. The results are similar using non-linear methods. Mean reversion is only found in the case of Finland, Belgium, Greece and Spain. Although, most countries show no evidence of non-linear structures except for four countries, namely, Finland, Spain, the United Kingdom and the United States. The implications of the empirical findings are reported at the end of the manuscript.

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.

Pandemic episodes, CO2 emissions and global temperatures.

This paper deals with the relationship between the CO2 emissions and the global temperatures across the various pandemic episodes that have been taken place in the last 100 years. To carry out the analysis, first we conducted unit root tests finding evidence of nonstationary I(1) behavior, which means that a shift in time causes a change in the shape of distribution. However, due to the low statistical power of unit root tests, we also used a methodology based on long memory and fractional integration. Our results indicate that the emissions display very heterogeneous behavior in relation to the degree of persistence across pandemics. The temperatures are more homogeneous, finding values for the orders of integration of the series smaller than 1 in all cases, thus showing mean reverting behavior.

Globalization, long memory, and real interest rate convergence: a historical perspective.

This paper investigates whether the real interest rate parity (RIRP) is valid during the three waves of globalizations that occurred in the last 150 years (1870-1914, 1944-1971, 1989 to the present). If any, these periods should favor RIRP, since globalization is a process where economies and financial markets become increasingly integrated into a global economic system. In contrast to the existing literature, we model the departures from RIRP as a long-term memory process and apply fractional integration methods on a sample of real interest rate differentials of seven developed countries: France, Germany, Holland, Italy, Japan, Spain, and the UK across the three globalization waves paired against the USA. We compute impulse response functions (IRF) to gain further insight into the memory characteristics of the RIRP differential processes and provide half-life estimates. We find that deviations from RIRP are mean reverting, providing robust evidence of real interest rate convergence during the three globalization waves. We shed further light on financial and commodity market integration during the three globalization waves by assessing the memory properties of uncovered interest rate parity (UIP) and relative purchasing power parity (PPP) differential processes. We find that deviations from relative PPP and UIP are not always mean-reverting processes. RIRP, relative PPP, and UIP hold simultaneously only in 7 out of 21 cases; RIRP and UIP hold in 11 out of 21 cases; RIRP hold without the support of relative PPP and UIP in 3 out of 21 cases. Thus, the evidence in favor of real interest rate convergence appears to be driven more by UIP than relative PPP. All these results are, to the authors knowledge, new to the literature.

Atmospheric pollution in the ten most populated US cities. Evidence of persistence.

The degree of persistence in daily PM25 and O3 in the ten most populated US cities, namely New York, Los Angeles, Chicago, Houston, Phoenix, Philadelphia, San Antonio, San Diego, Dallas and San Jose is examined in this work. We employ a methodology based on fractional integration, using the order of integration as a measure of the degree of persistence. Using data for the time period from January 1, 2019 to December 31, 2020, our results indicate that fractional integration and long memory features are both present in all the examined cases, with the integration order of the series being constrained in the (0, 1) interval. Based on this, the estimation of the coefficients for the time trend produces results which are substantially different from those obtained under the I (0) assumption.

Persistence and sustainability of fishing grounds footprint: Evidence from 89 countries.

This paper focusses on the examination of the fishing ground footprint in a group of 89 countries using fractional integration. The fishing ground footprint is one of the components of the ecological footprint. Nevertheless, it has not been investigated very much from an empirical viewpoint. We contribute to the existing literature on fishing ground footprint by using fractional integration techniques to examine the persistence of the series. Our results are very heterogeneous across countries though we find that most of the series are nonstationary and non-mean reverting, with most of the countries belonging to the upper-middle and high income levels. On the other hand, most of the 14.4% of countries that show a stationary pattern belong to lower-middle and low income countries. One of the implications of the study is that policies aimed at reducing fishing grounds footprint are likely to be effective in most of the investigated countries.

Testing fractional unit roots with non-linear smooth break approximations using Fourier functions.

In this paper, we present a testing procedure for fractional orders of integration in the context of non-linear terms approximated by Fourier functions. The test statistic has an asymptotic standard normal distribution and several Monte Carlo experiments conducted in the paper show that it performs well in finite samples. Various applications using real life time series, such as US unemployment rates, US GNP and Purchasing Power Parity (PPP) of G7 countries are presented at the end of the paper.

Modelling stock market data in China: Crisis and Coronavirus.

Global financial markets experienced distinct collapses during the global financial crisis in 2008 and the COVID-19 pandemic in 2020, and similarity in the underlying nature is still a hot topic to be investigated. This paper investigates their degree of persistence in order to detect whether the shocks affecting them have temporary or permanent effects by examining the closing prices of the Shanghai and Shenzhen Composite Indices from 1991 to 2020. The results before the coronavirus indicate large degrees of persistence with shocks having permanent effects, while during the coronavirus the results indicate a mean reversion with shocks having temporary effects.

Under-5 Mortality Rates in G7 Countries: Analysis of Fractional Persistence, Structural Breaks and Nonlinear Time Trends.

This paper deals with the analysis of the under-5 mortality rate series in the G7 countries by using fractional integration techniques, including structural breaks and potential nonlinearities in the data. Several features were detected in the results: Firstly, we observed that for the neonatal data, the order of integration is equal to or higher than one in all cases, contrary to what happens for the remaining cases (< 1- < 5 years) where mean reversion is found in many cases, especially as we increase the age of death. Thus, shocks affecting the neonatal (< 1 month from delivery) mortality rates will have permanent effects requiring special attention to recover the original trends. As expected, all the time trend coefficients were significantly negative and the highest reduction in the mortality rates was obtained in Japan, which might be related with the 17-year increase in life expectancy for the country. Due to the sensitivity of the methodological approaches, the use of robust time series approaches when analyzing child mortality rates is highly recommended.