Empirical Economics Seminar

On January 30 (2 pm), we are happy to host Timo Teräsvirta (Aarhus University), who visits CESA and presents in our Empirical Economics Seminar.

"The effect of the North Atlantic Oscillation on monthly precipitation in selected European locations: A nonlinear time series approach"

by
Changli He, Jian Kang, Annastiina Silvennoinen and Timo Teräsvirta

Abstract
In this presentation, the relationship between the monthly precipitation in 30 European cities and towns, and two Algerian ones, and the North Atlantic Oscillation (NAO) index is characterised using the Vector Seasonal Shifting Mean and Covariance Autoregressive model, extended to contain exogenous variables. Central statistical and time series features of the model are considered before moving on to discussing data and the empirical results. The results, based on monthly time series from 1851 up until 2020, include shifting monthly means for the rainfall series and, even more importantly, the estimated coefficients of the exogenous NAO variable.

The empirical results suggest that in the north and the west, the amount of rain in the boreal winter months has increased or stayed the same during the observation period, whereas in the Mediterranean area there have been some decreases. The results on the NAO agree with previous ones in the literature in that the NAO has its strongest effect on precipitation during the winter months. The (negative) effect is particularly strong in Western Europe, Lisbon and the Mediterranean rim. The effect in northern locations is positive for the winter months and as such opposite to the corresponding effect in the west and the Mediterranean. There is plenty of individual variation, however.

The model also contains a time-varying error covariance matrix that is decomposed to time-varying variances and correlations. Constancy of the error variances is tested and the results reported. Dependence between error correlations and beeline distances between pairs of cities is discussed.

in room F 009, buliding 3.
We look very much forward to a fruitful and inspiring exchange