CO2 emissions in Latin America: a time series perspective based on fractional integration.

This article deals with the analysis of [Formula: see text] emissions in Latin America by using a long memory process based on fractional integration. Using data of [Formula: see text] emission and [Formula: see text] emissions per capita, for 32 Latin American and Caribbean countries, the results show significant differences according to the variable examined, the model used, and the country under examination. In particular, for the [Formula: see text] emissions, mean reversion is found in Belize and also under some circumstances in Antigua and Barbuda, Colombia, Dominica, Dominican Republic, Ecuador, Grenada, Honduras, Nicaragua, Panama, Peru, and Uruguay. Thus, shocks in these series have a transitory effect. With respect to the time trends, only for some Caribbean countries, namely, Antigua and Barbuda, Aruba, Bahamas, Cuba, and Jamaica, the trend is insignificant; on the other hand, large countries like Brazil, Mexico, and Argentina display the highest time trend coefficients; for the [Formula: see text] emissions per capita, there are eleven countries where mean reversion is detected, and there are ten that share a lack of significance for the trend. The most significant trends now take place in Trinidad and Tobago, British Virgin Islands, Barbados, and Guyana. Policy implications of the results obtained are reported at the end of the paper.

Trends in road accidents on Brazil's highways: Evidence of persistence using fractional integration.

This paper deals with the analysis of trends in road accidents on highways in Brazil. We use time series techniques based on fractional integration that allow us to determine if exogenous shocks in the data have transitory or permanent effects depending on the order of integration of the series. Our results indicate that a low degree of long memory was detected in the series with shocks having thus transitory effects over time. We further find that the number of accidents have been reducing over time, though in the presence of negative shocks, the recovery is not going to be immediate due to the long memory nature of the data. Despite the absence of relevant investment relating to infrastructure expansion, it is worth mentioning the consolidation of a nationwide tolled road system in Brazil involving concessions to private administrators, alongside more severe traffic laws that can impose limitations on driving licences.

The impact of containment measures and monetary and fiscal responses on US financial markets during the COVID-19 pandemic.

This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P Green Bond Index (GREEN) and the Dow Jones (DJ) Islamic World Market Index (ISLAM) over the period 1/01/2020-10/03/2021. The results suggest that all four indices are highly persistent and exhibit orders of integration close to 1. A small degree of mean reversion is observed only for the S&P500 under the assumption of white noise errors and USTB with autocorrelated errors; therefore, market efficiency appears to hold in most cases. The mortality rate, surprisingly, seems to have affected stock and bond prices positively with autocorrelated errors. As for the policy responses, both the containment and fiscal measures had a rather limited impact, whilst there were significant announcement effects which lifted markets, especially in the case of monetary announcements. There is also evidence of a significant, positive response to changes in the effective Federal funds rate, which suggests that the financial industry, mainly benefiting from interest rises, plays a dominant role.

Gold and silver as safe havens: A fractional integration and cointegration analysis.

This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with 13 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and 13 stock indices are analysed applying fractional integration/cointegration methods to daily data, first for a sample from January 2010 until December 2019, then for one from January 2020 until June 2022 which includes the Covid-19 pandemic. The results can be summarised as follows. In the case of the pre-Covid-19 sample ending in December 2019, mean reversion is found for the gold price differential only vis-à-vis a single stock index (SP500). whilst in seven other cases, although the estimated value of d is below 1, the value 1 is inside the confidence interval and thus the unit root null hypothesis cannot be rejected. In the remaining cases the estimated values of d are significantly higher than 1. As for the silver differential, the upper bound is 1 only in two cases, whilst in the others mean reversion does not occur. Thus, the evidence is mixed on whether these precious metals can be seen as safe havens, though it appears that this property characterises gold in a slightly higher number of cases. By contrast, when using the sample starting in January 2020, the evidence in favour of gold and silver as possible safe havens is pretty conclusive since mean reversion is only found in a single case, namely that of the gold differential vis-à-vis the New Zealand stock index.

Us vehicles sales. Evidence of persistence after COVID-19.

In this paper, the sales of vehicles in the US are examined to understand if the shock caused by the current COVID-19 pandemic has had permanent or transitory effects on its subsequent evolution. Using monthly data from January 1976 until April 2021 and fractional integration methods, our results indicate that the series reverts and the shocks tend to disappear in the long run, even when they appear to be long lived. The results also indicate that the COVID-19 pandemic has not increased the degree of persistence of the series but, unexpectedly, has slightly reduced its dependence. Thus, shocks are transitory, long lived but, as time goes by, the recovery seems to be faster, which is possibly a sign of the strength of the industry.

A multivariate causality analysis of CO2 emission, electricity consumption, and economic growth: Evidence from Western and Central Africa.

The vector error correction model is used to examine the short- and long-run impacts of electricity consumption and economic growth on CO2 emissions in Western and Central Africa from 1970 to 2020. This paper adopted time series vector error correction model (VECM) approach to conduct stationarity test, cointegration test, stability test, and Granger causality test. Cointegration tests are used to examine the long-run impact of electricity consumption and economic growth on CO2 emissions. It was revealed that CO2 emission, electricity consumption and economic growth are co-integrated. Electricity consumption and economic growth have a significant and positive effect on CO2 emission. The study also revealed that the adjustment process is not driven by electricity consumption, and anytime there is a deviation from the long-run equilibrium, economic growth and CO2 emission adjust to restore the long-run equilibrium. From the short-run Granger causality, electricity consumption and economic growth do not Granger cause CO2 emissions. However, past values of CO2 emissions have an effect on the present value of economic growth. Generally, long-run dynamics of electricity consumption and economic growth were established to have a greater impact on CO2 emission than the short-run dynamics. Hence, it is important to promote green economic concepts in the area.

Mean reversion and convergence of ecological footprint in the MENA region: evidence from a fractional integration procedure.

This paper deals with the analysis of mean reversion and convergence of the ecological footprint (EF) in the MENA region. Using a long memory model based on fractional integration, we find that the results are very heterogeneous across countries depending on the assumptions made on the error term and the use of original versus logged data. Nevertheless, some conclusions can be obtained. Thus, mean reversion is decisively found in the case of Tunisia, and other countries showing some degree of reversion to the mean include Israel, Syria, Yemen, and Iran. Dealing with the issue of convergence within the MENA countries, similar conclusions hold and only Tunisia reports statistical evidence of convergence for the two types of errors. Additional evidence is found in the case of Syria, Yemen, and Jordan with uncorrelated errors and for Iran with autocorrelation. It is recommended that environmental policies targeted at stabilizing the trends in EF in the MENA region should not be indiscriminately applied in consideration of the heterogeneous nature of the series in the region.

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.

The relationship between prices and output in the UK and the US.

This paper aims to provide new evidence on the relationship between prices and output in both the US and the UK (which is important to discriminate between different macroeconomic theories) by focusing on the long run. For this purpose, it applies fractional integration and long-range dependence techniques that are more general than the standard modelling approach based on the stationary I (0) versus nonstationary I (1) dichotomy which has been used in previous studies. All series appear to be highly trended and to exhibit high degrees of integration and persistence, especially in the case of CPI. Since the two variables have different degrees of integration in each of the two countries, fractional cointegration tests cannot be carried out. We assume instead weak exogeneity of each of them in turn and test for causality by regressing the other variable against lagged values of the weakly exogenous one. We find that the only significant relationship implies the existence of a lagged effect of prices on output in the case of the US, which suggests a dominant role for demand shocks.

Stochastic convergence of renewable energy consumption in OECD countries: a fractional integration approach.

In this article, we have examined the hypothesis of convergence of renewable energy consumption in 27 OECD countries. However, instead of relying on classical techniques, which are based on the dichotomy between stationarity I(0) and nonstationarity I(1), we consider a more flexible approach based on fractional integration. We employ both parametric and semiparametric techniques. Using parametric methods, evidence of convergence is found in the cases of Mexico, Switzerland and Sweden along with the USA, Portugal, the Czech Republic, South Korea and Spain, and employing semiparametric approaches, we found evidence of convergence in all these eight countries along with Australia, France, Japan, Greece, Italy and Poland. For the remaining 13 countries, even though the orders of integration of the series are smaller than one in all cases except Germany, the confidence intervals are so wide that we cannot reject the hypothesis of unit roots thus not finding support for the hypothesis of convergence.

Persistence of airline accidents.

This paper expands on air travel accident research by examining the relationship between air travel accidents and airline traffic or volume in the period from 1927-2006. The theoretical model is based on a representative airline company that aims to maximise its profits, and it utilises a fractional integration approach in order to determine whether there is a persistent pattern over time with respect to air accidents and air traffic. Furthermore, the paper analyses how airline accidents are related to traffic using a fractional cointegration approach. It finds that airline accidents are persistent and that a (non-stationary) fractional cointegration relationship exists between total airline accidents and airline passengers, airline miles and airline revenues, with shocks that affect the long-run equilibrium disappearing in the very long term. Moreover, this relation is negative, which might be due to the fact that air travel is becoming safer and there is greater competition in the airline industry. Policy implications are derived for countering accident events, based on competition and regulation.