Global Plus Local Projection to Latent Structures

Owing to the raised demands on process operation and product quality, the modern industrial process becomes more complicated when accompanied by the large number of process and quality variables produced. Therefore, quality-related fault detection and diagnosis are extremely necessary for complex industrial processes. Data-driven statistical process monitoring plays an important role in this topic for digging out the useful information from these highly correlated process and quality variables, because the quality variables are measured at a much lower frequency and usually have a significant time delay (Ding 2014; Aumi et al. 2013; Peng et al. 2015; Zhang et al. 2016; Yin et al. 2014). Monitoring the process variables related to the quality variables is significant for finding potential harm that may lead to system shutdown with possible enormous economic loss.

The effect of exchange rate uncertainty on employment in South Africa’s manufacturing sector

PurposeThe main purpose of this study is to investigate the symmetric and asymmetric effects of exchange rate uncertainty on employment in South Africa’s manufacturing sector over the period 1985Q1–2019Q2.Design/methodology/approachJorda’s (2005) local projection method is employed and following Koop et al. (1996); generalized impulse response functions are generated to see the effect of exchange rate uncertainty on employment in South Africa’s manufacturing sector.FindingsThe results show that exchange rate uncertainty affects negatively and significantly employment in South Africa’s manufacturing sector. Employment also responds negatively and significantly to export shock. Inflation and output shocks, however, positively and significantly affect employment on impact. Asymmetric responses of employment to exchange rate uncertainty are also found in this study. While high exchange rate uncertainty leads to a reduction in employment, low exchange rate uncertainty brings an increase in employment in South Africa’s manufacturing sector.Originality/valueThis research adds to the scarce empirical literature on the effect of exchange rate uncertainty on employment in South Africa’s manufacturing sector by incorporating mainly non-linearities into the model.

Forecasting Commodity Prices: Looking for a Benchmark

The random walk, no-change forecast is a customary benchmark in the literature on forecasting commodity prices. We challenge this custom by examining whether alternative models are more suited for this purpose. Based on a literature review and the results of two out-of-sample forecasting experiments, we draw two conclusions. First, in forecasting nominal commodity prices at shorter horizons, the random walk benchmark should be supplemented by futures-based forecasts. Second, in forecasting real commodity prices, the random walk benchmark should be supplemented, if not substituted, by forecasts from the local projection models. In both cases, the alternative benchmarks deliver forecasts of comparable and, in many cases, of superior accuracy.

Is bigger more effective? shock size and the efficacy of monetary policy

This study empirically examines whether shock size matters for the US monetary policy effects. Using a nonlinear local projection method, I find that large monetary policy shocks are less powerful than smaller monetary policy shocks, with the information effect being the potential source of the observed asymmetry in monetary policy efficacy.