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258 results on '"Morana, Claudio"'

1. Is climate change time reversible?

Author

Giancaterini, Francesco, Hecq, Alain, and Morana, Claudio

Subjects
Economics - Econometrics
Abstract

This paper proposes strategies to detect time reversibility in stationary stochastic processes by using the properties of mixed causal and noncausal models. It shows that they can also be used for non-stationary processes when the trend component is computed with the Hodrick-Prescott filter rendering a time-reversible closed-form solution. This paper also links the concept of an environmental tipping point to the statistical property of time irreversibility and assesses fourteen climate indicators. We find evidence of time irreversibility in $GHG$ emissions, global temperature, global sea levels, sea ice area, and some natural oscillation indices. While not conclusive, our findings urge the implementation of correction policies to avoid the worst consequences of climate change and not miss the opportunity window, which might still be available, despite closing quickly.

Published
2022

13. Energy substitution in the Italian economy : an empirical investigation

Author

Morana, Claudio

Subjects
330, Energy demand modelling, Econometrics
Abstract

This study is concerned with the analysis of the long-run substitution pattern of primary energy sources for the Italian economy, over the period of 1960-1994. A neoclassical model, set in the cost function approach, has been used to retrieve the energy inputs derived demand functions, via Shephard's lemma, using a translog cost function specification. Four primary energy sources have been considered, namely, oil, electricity, natural gas and coal. Recent advances in time series econometric theory have provided tools devices for modelling long-run equilibrium relationships and their associated short-run dynamics jointly. The Engle and Granger (1987) and the Engle and Yoo (1989) cointegration approach has been utilised in this study to estimate the long-run share relationships, while the general to specific methodology has been followed to derive error correction formulations for the adjustment processes. Extensions to time-varying parameter cointegration, carried out in the framework of the structural time series approach, have also been considered. The applications of traditional and time-varying parameter cointegration to the Italian energy market are the main sources of originality of this work. The study is divided into three main parts. The first part introduces the economic and econometric frameworks employed in the analysis. The second part is concerned with the actual empirical analysis. This consists of data description, the structural time series approach and the application of traditional and time-varying parameter cointegration theory to estimate a derived factor demand model. Finally, the third part summarises and discusses the results of the analysis.

Published
1997

42. Measuring US core inflation: a common trends approach

Author

Bagliano, Fabio C. and Morana, Claudio

Subjects
Business, Economics
Abstract

In this paper the long-run trend in CPI inflation (core inflation) for the US over the 1960-2000 period is estimated using a common trends model. In this framework, core inflation is interpreted and constructed as the long-run forecast of inflation conditional on the information contained in nominal money growth, output fluctuations and movements in the oil price. Unlike other commonly used measures of core inflation, the common-trends core inflation rate exploits the long-run link between inflation and monetary growth, a strong feature of the data. JEL classification: C32; E31; E52 Keywords: Core inflation; Common trend

Published
2003

46. Business cycle co movement in the G-7: common shocks or common transmission mechanisms?

Author

Bagliano, Fabio C. and Morana, Claudio

Subjects
Business cycles -- Analysis, Macroeconomics -- Analysis, Business, Business, general, Economics, Group of 7 -- International economic relations
Abstract

A study investigates whether common shocks or common transmission mechanisms are the sources of business cycle co movement among G-7 countries. Findings indicate that both common shocks and the common transmission mechanisms of global and domestic shocks act in a complementary manner to cause business cycle co movement in the G-7 countries.

Published
2010

49. Inflation and monetary dynamics in the USA: a quantity-theory approach

Author

Morana, Claudio

Subjects
Quantity theory of money -- Analysis, Inflation (Finance) -- United States, Inflation (Finance) -- Economic aspects, Inflation (Finance) -- Forecasts and trends, Econometric models -- Usage, Market trend/market analysis, Business, Business, general, Economics
Abstract

Econometric models are used in a study on quantity theory to examine the link between inflation and monetary growth in the United States.

Published
2007

50. The price stability oriented monetary policy of the ECB: an assessment

Author

Morana, Claudio

Subjects
Business, Business, general, Economics, European Union. European Central Bank -- Economic policy
Abstract

The definition of price stability adopted by the ECB has recently been criticized in the literature, particularly for being unable to fully anchor inflation expectations and creating a deflation risk, [...]

Published
2006

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