the fisher hypothesis and the forecastability and persistence of inflation abstract for the period 1860 to 1939 the simple correlation of the u s commercial paper rate with the contemporaneous inflation rate is 0 17 the corresponding correlation for the period 1950 to 1979 is 0 71 this paper attributes this apparent change in the fisher relation to differences in the stochastic process of inflation rather than a change in any structural relationship between interest rates and expected inflation contrary to recent claims in the literature there is little evidence of inflation non neutrality in data from the pre world war i period

the welfare economics of local public spending an empirical approach it has been suggested that spillover effects between politically autonomous local governments are common and that they present a welfare problem for the community as a whole a local government might under invest in roads for example because they are used by non residents or in schools because school leavers move out of the area other researchers and many consumers have found fault in the mechanisms of public choice or have claimed that electorates have negligible effective control over the local bureaucracy as far as output is concerned there might well be a serious local welfare problem even without spillovers this paper offers an empirically operational methodology for the welfare economic evaluation of local public spending the setting is the system of local government in sydney australia although the theoretical approach can be readily adapted to other settings the questions addressed are a is there evidence of positive spillovers and do they imply welf arerelevant externalities when prices quantities and locations have adjusted b is an increase in local spending desirable for local residents c on balance what can be said about the effect on aggregate welfare of a local fiscal expansion the key to the theoretical approach and its testable implications is the idea that the residential mobility of households between local governments reveals preferences over local public goods this can be traced to tiebout 1956 although the present model is appropriate to a considerably more general setting in which restrictions on mobility spillover effects and local government inefficiencies are allowed the central problem for the present analysis is to infer consumer preferences over local fiscal policies from observed differences in the rates of population growth between local governments as far as spillovers are concerned it is useful to make the following distinction from the outset direct externalities are said to be present when for given consumptions of non government goods and given residential locations an individual in one local political jurisdiction is not indifferent between alternative expenditures by another government mobility externalities result when the welfare of a local resident is affected

are higher levels of inflation less predictable a state dependent conditional heteroscedasticity approach milton friedman proposed that there is a positive relationship between inflation and uncertainty about the future path of inflation in contrast to previous studies of this hypothesis we find strong statistical evidence that higher levels of inflation are less predictable although innovations in inflation are somewhat better predictors of future volatility than the actual level of inflation we argue that previous failures to find an inflation uncertainty relationship are due to two factors first none of the previous work directly tested friedman s hypothesis by including the level of inflation in the model of the conditional variance second these studies also used symmetric models which appears inconsistent with friedman s hypothesis our results are robust to different sample periods and to assumptions about the presence of a unit root in inflation to test the inflation uncertainty hypothesis we use state dependent models sdm s of conditional moments to estimate the time varying conditional v

persistence in international inflation rates we test for fractional dynamics in inflation rates based on the consumer price index cpi for 27 countries and inflation rates based on the wholesale price index wpi for 22 countries the fractional differencing parameter is estimated using semiparametric and approximate maximum likelihood methods significant evidence of fractional dynamics with long memory features is found in both cpi and wpi based inflation rates for industrial as well as developing countries implications of the findings are considered and sources of long memory are hypothesized

what is fractional integration a simple construction that will be referred to as an error duration model is shown to generate fractional integration and long memory an error duration representation also exists for many familiar arma models making error duration an alternative to autoregression for explaining dynamic persistence in economic variables the results lead to a straightforward procedure for simulating fractional integration and establish a connection between fractional integration and common notions of structural change two examples show how the error duration model could account for fractional integration in aggregate employment and in asset price volatility

inflation output growth and nominal and real uncertainty empirical evidence for the g7 abstract we use univariate garch models of inflation and output growth and monthly data for the g7 covering the 1957 2000 period to test for the causal effect of real and nominal macroeconomic uncertainty on inflation and output growth and the effect of inflation on inflation uncertainty our evidence supports a number of important conclusions first inflation is a positive determinant of uncertainty about inflation second output growth uncertainty is a positive determinant of the output growth rate third there is mixed evidence regarding the effect of inflation uncertainty on inflation and output growth hence uncertainty about the inflation rate is not necessarily detrimental to economic growth finally there is not much evidence supporting the hypothesis that output uncertainty raises inflation

micro estimates of public spending demand functions and tests of the tiebout and median voter hypotheses responses to questions given to a random sample of michigan households are used to estimate public spending demand functions while income and price elasticities are similar to those obtained from aggregate data positive income elasticities appear to arise because public services are distributed in a prorich manner a relatively small variance in spending demands among urban and suburban communities in metropolitan areas with substantial public service variety suggests that the tiebout mechanism works this interpretation is supported by the fact that actual spending conforms substantially to desired levels in urban areas but less so in rural areas with little public sector choice

further long memory properties of inflationary shocks several previous studies have found fractionally integrated or long memory behavior in the conditional mean of inflation this paper notes that extremely similar phenomena are also apparent in the squared and absolute values of residuals from fractionally filtered inflation series hence the inflation process appears to have a dual long memory feature in both its first and its second conditional moments we suggest a parametric model of long memory in both the conditional mean and the conditional variance some monte carlo evidence is presented that supports estimation of the model by approximate maximum likelihood methods we then report estimated models for the inflation series for several different industrialized countries including the united states for nearly all of the countries in our study there is strong evidence of statistically significant long memory parameters in both the conditional mean and the variance we note some of the implications for modeling inflation

multifractality in asset returns theory and evidence this paper investigates the multifractal model of asset returns mmar a class of continuous time processes that incorporate the thick tails and volatility persistence exhibited by many financial time series the simplest version of the mmar compounds a brownian motion with a multifractal time deformation prices follow a semi martingale which precludes arbitrage in a standard two asset economy volatility has long memory and the highest finite moments of returns can take any value greater than 2 the local variability of a sample path is highly heterogeneous and is usefully characterized by the local holder exponent at every instant in contrast with earlier processes this exponent takes a continuum of values in any time interval the mmar predicts that the moments of returns vary as a power law of the time horizon we confirm this property for deutsche mark u s dollar exchange rates and several equity series we develop an estimation procedure and infer a parsimonious generating mechanism for the e

bootstrapping statistical inferences of decomposition methods for gender earnings differentials applying the standard bootstrapping technique with corrections for heteroskedasticity for a sample of the 1997 urban household survey in china the present article attempts to test 1 whether the commonly used decomposition methods for gender earnings differentials give significantly different results and 2 whether the explained component is significantly different from the unexplained component which is commonly referred to as discrimination within each decomposition method based on a national data set the empirical results indicated some significant differences in both tests the implication of the results is that the proposed bootstrapping technique can be regarded as a guideline on applying which approach to decompose gender earnings differentials among different methods without losing important information and on evaluating the relative importance of the decomposition components for any chosen method

tax incidence analysis of developing countries an alternative view misleading conclusions can be drawn from studies of tax incidence that ignore the special features of developing countries incorporating these features can sometimes reverse the incidence pattern of taxes relative to what is often taken to be conventional wisdom even where patterns are not reversed quantitative differences can be substantial the newer views of incidence have implications for tax restructuring options being considered in several developing countries the proposed restructuring may appear to lead only to a more regressive tax system because of improper incidence analysis copyright 1991 by oxford university press

evidence on the extent and potential sources of long memory in u s treasury security returns and yields unlike equity returns many fixed income return measures appear to display long memory we show that the extent of long memory differs strongly for gross and excess holding period returns on u s treasury securities granger and others have argued that long memory may only reflect infrequent structural breaks we explore the impact of structural instability on tests for long memory and find only weak indications that it lies behind the long memory in our return series the evidence of long memory remains strong for yield and term premia series even after accounting for a series of potential underlying structural changes

the semiparametric asymmetric stochastic volatility model with time varying parameters the case of us inflation we propose a semiparametric extension of the time varying parameter regression model with asymmetric stochastic volatility for parameter estimation we use bayesian methods we illustrate our methods with an application to us inflation

modeling long memory and structural breaks in conditional variances an adaptive figarch approach this paper introduces a new long memory volatility process denoted by adaptive figarch or a figarch which is designed to account for both long memory and structural change in the conditional variance process structural change is modeled by allowing the intercept to follow a slowly varying function speci ed by gallant 1984 s exible functional form a monte carlo study nds that the a figarch model outperforms the standard figarch model when structural change is present and performs at least as well in the absence of structural instability an empirical application to stock market volatility is also included to illustrate the usefulness of the technique

the indian inflation growth relationship revisited robust evidence from time frequency analysis abstractthis article re visits the inflation growth nexus in india using the tools of wavelet i e wavelet correlation wavelet cross correlation and scale by scale granger causality test wavelet

a quantile framework for analysing the links between inflation uncertainty and inflation dynamics across countries in contrast to the conventional conditional mean approaches this study uses quantile regression techniques to present some new statistical evidence on the links between inflation uncertainty and the level of inflation with cross sectional data from 90 countries during the period 1961 to 2006 the results suggest that positive inflation shocks have stronger impact on inflation uncertainty which varies across the quantiles furthermore popular time series models are evaluated for their ability to reproduce measures of uncertainty and indicate similar results regarding the relationships between inflation and inflation uncertainty

analysing inflation by the fractionally integrated arfima garch model this paper considers the application of long memory processes to describing inflation for ten countries we implement a new procedure to obtain approximate maximum likelihood estimates of an arfima garch process which is fractionally integrated i d with a superimposed stationary arma component in its conditional mean additionally this long memory process is allowed to have garch type conditional heteroscedasticity on analysing monthly post world war ii cpi inflation for ten different countries we find strong evidence of long memory with mean reverting behaviour for all countries except japan which appears stationary for three high inflation economies there is evidence that the mean and volatility of inflation interact in a way that is consistent with the friedman hypothesis

efficiency and equity in the provision of public education the paper focuses on the benefits derived from public elementary and secondary education monetary values of households perceived benefits from operating expenditures are estimated information concerning the preference mappings of citizens is obtained using a random utility model to analyze micro voting data the estimated model in turn provides information concerning the efficiency and distributional consequences of public education expenditures the conclusion is that operating expenditures exceed the estimated efficient level furthermore it may be difficult to justify the inefficiently large expenditures on equity grounds since the estimated distribution of households perceived benefits net of local taxes is pro rich g overnment provision of goods and i j services has the potential of greatly affecting the welfare of citizens this paper focuses on the benefits derived from one such service public elementary and secondary education monetary values of households perceived benefits from public education expenditures are estimated information concerning the preference mappings of citizens is obtained using a multinomial probit random utility model to analyze micro voting data the estimated model in turn provides information concerning the efficiency and distributional consequences of public education expenditures the conclusion is that operating expenditures exceed the estimated efficient level furthermore it may be difficult to justify the inefficiently large expenditures on equity grounds since the estimated distribution of households perceived benefits net of local taxes is pro rich in contrast to this study a number of studies employ ad hoc rules to measure citizens benefits from public elementary and secondary education initially total benefits are assumed to equal the cost of educational services this input cost measure of benefits is then allocated to households using some unproven rule of thumb when an ad hoc rule is used to allocate a questionable measure of total benefits the results are even more suspect conceptually it is quite odd to determine assume total benefits and then allocate the total to individuals or households the correct method is first to obtain estimates of individuals or households benefits these estimates can then be used to determine the magnitude of total benefits and analyze how the benefits are distributed across the population aaron and mcguire 1970 criticize ad hoc benefit measures and propose the income value measure for x units of the politically allocated good x this measure is iv mrsj x where mrsj is the marginal rate of substitution of x for a composite commodity evaluated at x and one s aftertax income this measure is comparable to measures of the income values of goods purchased in private markets while aaron and mcguire argue for preferencebased benefit measures the lack of information concerning preference mappings necessitates that they assume the shape of the utility function even though the results by maital 1973 based on a similar method are slightly less restrictive a number of restrictive assumptions are common to both studies not only are households assumed to have identical separable utility functions but the existing levels of politically allocated goods are assumed to be efficient implying the total income value equals the input cost also the allocation of benefits from mixed goods e g public education between public and private components is based on ad hoc rules the major contribution of the current study is that the benefit estimates are based on information concerning the preference mappings of individuals as revealed through referenda voting 2 the estireceived for publication march 9 1983 revision accepted for publication june 4 1984 state university of new york albany this paper was improved as a result of the advice and encouragement of kenneth wertz john akin david guilkey and james wilde as well as the helpful comments of two referees financial support for this research was in part provided by a dissertation research fellowship from the brookings institution 1 an example is the 1967 tax foundation study 2nmicro voting data are also used by rubinfeld 1977 to obtain information about citizens preferences for public school expenditures he uniquely estimates the parameters of a demand function up to an unknown multiplicative constant a micro demand function for education is uniquely estimated by bergstrom rubinfeld and shapiro 1982 using a different type of survey data while the method used here is to directly estimate preference mappings the information concerning such mappings embedded in such a demand function provides an

macroeconomic uncertainty and performance in the european union abstract we use a very general bivariate garch m model and monthly data on eu countries covering the 1962 2003 period to test for the impact of real output growth and nominal inflation macroeconomic uncertainty on inflation and output growth our evidence supports a number of important conclusions first in the majority of countries uncertainty regarding the output growth rate is related to the average growth rate and the effect in several countries is negative second in half of the cases there is no significant relationship between inflation uncertainty and output growth performance third inflation and output uncertainty have a mixed effect on inflation nevertheless considerable evidence for the cukierman meltzer hypothesis is obtained our conclusions are based on adopting both a structural and a reduced form bivariate garch model finally we also find statistically significant evidence of regime switching for both inflation and output growth volatility throughout the sample

the japanese deflation has it had real effects could it have been avoided has deflation contributed to the long lasting stagnation of the japanese economy could the bank of japan have stopped deflation by implementing a more expansionary monetary policy tentative answers are probably not to the first question and probably yes to the second question it is found that the total cost of deflation over the period 1995 2003 has been close to a 1 1 rate of lost gdp yet on the basis of statistical significance and robustness to specification choices this evidence is not compelling on the other hand the estimated positive linkage between nominal base money growth and inflation is significant and robust even given current economic conditions however in order to be inflationary monetary policy should have been more expansionary than what actually observed even since the launch of the quantitative easing in 2001

assessing the impact of local taxation on property prices a spatial matching contribution this paper provides empirical evidence on the impact of local taxation on property prices controlling for the local public spending using data on property taxation and real estate transactions over the period 1994 2004 our empirical methodology pairs transactions in the same spatial environments spatial differencing and instrumental variables methodology allow us to compare sales across municipality boundaries and to control for the potential endogeneity of local taxation and public spending our results suggest that the local property tax rate has no impact on property prices while the amount of taxes paid appears to have a negative effect on property price

fractional integration in agricultural futures price volatilities this article tests whether the volatility of agricultural futures prices exhibits fractional integration volatility series were constructed for fourteen agricultural futures price series with over 5 300 observations per series the volatility series exhibit strong long term dependence which is an indicator of fractional integration a fractional integration model figarch 1 d 1 performs significantly better than a traditional volatility model garch 1 1 in modeling agricultural futures price volatility

long memory and persistence in aggregate output abstract we examine persistence in u s aggregate output by estimating fractionally integrated arima models these models provide better low frequency approximations to the wold representation than previous stochastic specifications and earlier results on the importance of a permanent component emerge as special cases we find evidence of long memory which induces persistence though this long memory need not be associated with a unit root our point estimates indicate that macroeconomic shocks while persistent are distinctly less persistent than many earlier studies suggest however confidence intervals associated with the long run response are quite wide

unit root and cointegration tests timeseries versus panel estimates for international health expenditure models classical regression estimates of the determinants of the oecd health expenditures are useful for policy formulation and evaluation however if the underlying timeseries data are not collectively stationary in levels the estimated parameters are faulty and can misguide health policy until very recently the crucial stationarity tests were ignored in a large number of studies on international comparisons stationarity adf phillips perron ips heterogeneous panel and cointegration engle granger bivariate johansen s multivariate tests are conducted here using 1960 1997 health expenditures data 1998 cd rom of 19 oecd countries it is found that extending the time series data length affects the order of integration and number of cointegrating vectors however it is arguable whether the order of integration decreases or increases as more observations are added for testing the failure of the johansen and engle granger cointegration tests for most of the oecd countries cautions policy makers against

a capitalization approach to fiscal incidence at the local level this paper argues that an analysis of the capitalized burdens and benefits of the local public sector offers a simple straightforward and objective computational methodology to fiscal incidence at the local level this capitalization approach represents a major departure from the highly discretionary and imprecise computational environment of the reasonable assumptions and aaron and mcguire approaches it is initially discussed both from conceptual and operational points of view and then implemented using alternate procedures major limitations of the approach are then noted a comparative perspective on fiscal incidence results based on the capitalization approach and of earlier studies on this subject is provided in the concluding section of the paper during the past two decades several important studies have been published which investigate the redistributive implications of federal provincial and local government finances in canada all the canadian studies on the subject in general follow the methodology used for similar studies in the united states these studies differ as to the shifting of tax burden assumptions and the concept of income employed and understandably their results also vary accordingly a common criticism of these approaches is that their distribution conclusions depend crucially on what incidence hypothesis is chosen musgrave and musgrave 1976 394 all these studies merely illustrate what the distribution of fiscal incidence would be if the incidence assumptions were true the numerical es

measuring asymmetry and persistence in conditional volatility in real output evidence from three east asian tigers using a multivariate garch approach we search for evidence of conditional volatility in the quarterly real gross domestic product gdp growth rates of three east asian tigers singapore hong kong and taiwan the widely accepted exponential generalized autoregressive conditional heteroscedasticity egarch type model is used to capture the existence of asymmetric volatility and the potential structural break points in the volatility we find evidence of asymmetry and persistence in the volatility of gdp growth rates it is noted that the structural breakpoints of volatility correspond reasonably well to the historical economic and political events in these economies policy implications from our findings are discussed

on inflation and inflation uncertainty in the g7 countries abstract the relationship between inflation and inflation uncertainty is investigated in the g7 countries from 1948 to 1993 garch models are used to generate a measure of inflation uncertainty and then granger methods are employed to test the causality between average inflation and inflation uncertainty in all g7 countries inflation significantly raises inflation uncertainty as predicted by friedman and ball weaker evidence is found that inflation uncertainty granger causes inflation in three countries us uk and germany increased inflation uncertainty lowers inflation while in two countries japan and france increased inflation uncertainty raises inflation

the long run fisher effect can it be tested empirical support for the long run fisher effect a hypothesis that a permanent change in inflation leads to an equal change in the nominal interest rate has been hard to come by this paper provides a plausible explanation of why past studies have been unable to find support for the long run fisher effect this paper argues that the necessary permanent change to the inflation rate following a monetary shock has not occurred in the industrialized countries of australia austria belgium canada denmark france germany greece ireland italy japan the netherlands norway sweden switzerland the united kingdom and the united states instead this paper shows that inflation in these countries follows a mean reverting fractionally integrated long memory process not the nonstationary inflation process that is integrated of order one or larger found in previous studies of the fisher effect applying a bivariate maximum likelihood estimator to a fractionally integrated model of inflation and the nominal interest rate the inflation rate in all seventeen countries is found to be a highly persistent fractionally integrated process with a positive differencing parameter significantly less than one hence in the long run inflation in these countries will be unaffected by a monetary shock and a test of the long run fisher effect will be invalid and uninformative as to the truthfulness of the long run fisher effect hypothesis

the economics of schooling production and efficiency in public schools n recent years public and professional interest in schools has been heightened by a spate of reports many of them critical of current school policy these policy documents have added to persistent and long standing concerns about the cost effectiveness and fairness of the current school structure and have made schooling once again a serious public issue as in the past however any renewed interest in education is likely to be short lived doomed to dissipate as frustration over the inability of policy to improve school practice sets in this frustration about school policy relates directly to knowledge about the educational production process and in turn to underlying research on schools although the educational process has been extensively researched clear policy prescriptions flowing from this research have been difficult to derive 2 there exists however a consistency to the research findings that does have an immediate application to school policy schools differ dramatically in quality

inflation targeting an indirect approach to assess the direct impact it is quite difficult to assess the benefits of inflation targeting it since its immediate effect will be on inflation expectations an unobserved variable due to lack of comprehensive data on inflation expectations most studies so far concentrated on the impact of it either on observable variables like output unemployment and inflation or compared post it surveys of itcountries with nonit countries in our study we focus on a yet unanswered question i e how the expectations change with the adoption of it we suggest that heterogeneous inflation expectations lead to long memory in actual inflation and it if successful should decrease this persistence by concentrating the public s expectations toward the announced target empirical results confirm our hypothesis with a reduction in inflation memory after the adoption of it in almost all eight developed countries in our sample

the influence of gender on faculty salaries in the united states 1969 89 this study estimates the earnings differential between the male and female faculty in the united states over a period of two decades 1969 1989 five micro level data sets are used for this purpose a modified version of the widely used oaxaca model is used in the estimations it is found that the racial earnings gap narrowed considerably more than did the gender earnings differential over this period a higher male female earnings gap at the professor level relative to junior ranks suggests that relatively recent entrants in the academic labour market face a less discriminatory environment than did their predecessors a controversial finding is that the discriminatory component of the earnings differential between male and female faculty fell between 1969 and 1984 but rose thereafter

gender and racial earnings differentials in academic labor markets this study estimates earnings differentials across racial and gender groups among college faculty and decomposes these differentials into the components attributable to differences in individual and institutional characteristics and that which remains unexplained we find that white females earn approximately 4 percent less than white males black males earn 7 4 percent more black females earn one percent more hispanic males earn 2 7 percent more hispanic females earn 1 7 percent less and asian males earn 7 7 percent more than comparable white males we also find a significant earnings penalty for being a naturalized citizen or noncitizen versus an u s born citizen

dynamics of persistence in international inflation rates characteristics of inflation play a key role in policy formulation and market analysis several studies have analyzed inflation persistence and reached diverging conclusions in this paper we investigate the dynamics of inflation persistence using fractionally integrated processes and find that there has been a clear decline in inflation persistence in the united states over the past two decades we also show that the presence of fractional integration in inflation successfully explains previous diverging results lastly we provide some international comparisons to examine the extent to which there has been a commensurate decline in inflation persistence in the other g7 economies

on the power of dickey fuller tests against fractional alternatives abstract we examine the properties of dickey fuller unit root tests under fractionally integrated alternatives and find that these tests have quite low power

fractional monetary dynamics we test for fractional dynamics in us monetary series their various formulations and components and velocity series using the spectral regression method we find evidence of a fractional exponent in the differencing process of the monetary series both simple sum and divisia indices in their components with the exception of demand deposits savings deposits overnight repurchase agreements and term repurchase agreements and the monetary base and money multipliers no evidence of fractional behaviour is found in the velocity series granger s journal of econometrics 25 1980 aggregation hypothesis is evaluated and implications of the presence of fractional monetary dynamics are drawn

inflation real returns and capital investment we find evidence for the hypothesis of mundell 1963 and tobin 1965 that the expected real return component of interest rates is negatively related to the expected inflation component in the mundell tobin model the variation in expected real returns is caused by the variation in expected inflation our evidence suggests however that the variation in expected real returns is more fundamentally an outcome of the capital expenditures process equilibrium expected real returns vary directly with capital expenditures in order to induce equilibrium allocations of resources between consumption and investment this positive relation between expected real returns and real activity which comes out of the real sector combines with a negative relation between expected inflation and real activity which is traced to the monetary sector thus inducing the negative relation between expected inflation and expected real returns predicted by mundell and tobin but explained in terms of a model much different from theirs

the relationship between inflation and inflation uncertainty in the uk 1885 1998 abstract using a long series of uk inflation data i have provided strong evidence in favour of the hypothesis that inflationary periods are associated with high inflation uncertainty this result supports the friedman ball hypothesis and has important implications for the inflation output relationship provided that more inflation uncertainty leads to lower output

unobserved component time series models with markov switching heteroscedasticity changes in regime and the link between inflation rates and inflation uncertainty in this article i first extend the standard unobserved component time series model to include hamilton s markov switching heteroscedasticity this will provide an alternative to the unobserved component model with autoregressive conditional heteroscedasticity as developed by harvey ruiz and sentana and by evans and wachtel i then apply a generalized version of the model to investigate the link between inflation and its uncertainty u s data gross national product deflator 1958 1 1990 4 i assume that inflation consists of a stochastic trend random walk component and a stationary autoregressive component following ball and cecchetti and a four state model of u s inflation rate is specified by incorporating regime shifts in both mean and variance structures i analyze the interaction of mean and variance over long and short horizons the empirical results show that inflation is costly because higher inflation is associated with higher long run uncertainty

long memory in us disaggregated petroleum consumption evidence from univariate and multivariate lm tests for fractional integration previous studies that have tested for a unit root in aggregate energy consumption have potentially reached misleading conclusions because they fail to allow for the possibility that energy consumption might be fractionally integrated and do not distinguish between different types of energy consumption this study tests for long memory in disaggregated petroleum consumption in the united states using univariate and multivariate lagrange multiplier lm tests for fractional integration the results point strongly to the need to distinguish between different forms of energy consumption and allow for a generalization of the i 0 i 1 dichotomy when considering the order of integration of energy consumption allowing for short run dynamics the univariate test suggests that less than 50 of the series are fractionally integrated consistent with expectations the non stationary series are found to have the highest mean and standard deviation the multivariate test suggests that petroleum consumption in the commercial and industrial sectors is clearly fractionally integrated when allowing for short run dynamics and as such exhibits persistent effects while petroleum consumption in the residential sector is a stationary process

employers discriminatory behavior and the estimation of wage discrimination this paper considers the linkage of empirical estimates of wage discrimination between two groups introduced by oaxaca 1973 to a theoretical model of employers discriminatory behavior it is shown that conditional on different assumptions about employers discriminatory tastes oaxaca s estimators of wage discrimination can be derived that the approach is more generally useful is demonstrated by deriving an alternative estimator of wage discrimination based on the assumption that within each type of labor e g unskilled skilled the utility function capturing employers discriminatory tastes is homogeneous of degree zero with respect to labor inputs from each of the two groups the estimators are compared empirically in an application to male female wage differentials

real exchange rates under the gold standard purchasing power parity is one of the most important equilibrium conditions in international macroeconomics empirically it is also one of the most hotly contested numerous recent studies for example have sought to determine the validity of purchasing power parity using data from the post bretton woods float and have reached different conclusions we assert that most such studies are flawed for two reasons first the post 1973 data contain by definition only a very limited amount of the low frequency information relevant for examination of long run parity second the dynamic econometric techniques used to model deviations from parity are typically quite crude with respect to admissible low frequency dynamics both deficiencies are rectified in the present paper with dramatic results we construct a new data set of 16 real exchange rates covering more than a century of the classic gold standard period and we study deviations from parity using long memory models that allow for subtle forms of mean

us inflation dynamics on long range data in this article we evaluate inflation persistence in the united states using long range monthly and annual data the importance of inflation persistence is crucial to policy authorities and market participants since the level of inflation persistence provides an indication on the susceptibility of the economy to exogenous shocks departing from classic econometric approaches found in the relevant literature we evaluate inflation persistence through the nonparametric hurst exponent within both a global and a rolling window framework moreover we expand our analysis to detect the potential existence of chaos in the data generating process in order to enhance the robustness of our conclusions overall we find that inflation persistence is high from 1775 to 2013 for the annual data set and from february 1876 to may 2014 in monthly frequency respectively especially from the monthly data set the rolling window approach allows us to derive that inflation persistence has reached to historically high leve

sex discrimination in faculty salaries evidence from a historically women s university during the past several years a number of studies have appeared in this review and elsewhere examining the earnings and promotion of women faculty a finding common to most of these studies is that the female male salary differential is smallest at entry level but widens over time 2 indeed george johnson and frank stafford state after presenting such evidence for michigan state university we believe this qualitative result would be observed for any university in the united states for which the sample size is sufficiently large 1974 p 899 while the qualitative findings of faculty salary studies have been similar interpretations have differed on the one hand the human capital view attributes the widening sex differential or flatter female earnings profile to differences in acquired skill and productivity this literature emphasizes differences in continuous labor market experience hours of work and the relative teaching research division of labor on the other hand the discrimination view attributes the widening differential to increased labor market discrimination with respect to experience the sex differential is smallest at entry level where universities must compete and pay prevailing salaries to attract incoming faculty members however discrimination is more easily exercised in the internal university labor market by male faculty and administrators as job mobility lessens with age because of fixed costs tied moves 3 university specific job training a shorter benefit span etc the strongest evidence supporting the discrimination view is the existence of significant unexplained salary differentials even where detailed data exist on research and teaching performance the purpose of this note is to examine the salary structure at a large university which was historically the state s university for women but is now fully coeducational to our knowledge no other such study is available comparison of results from such a study with those already in the literature can shed light on the interpretation of salary differential studies we find somewhat surprisingly an exception to the finding by johnson and stafford and others of a widening femalemale salary differential with experience apart from some qualifications discussed below we find a small differential at entry but little difference in the reward structure to men and women with respect to experience ceteris paribus alternative interpretations of this evidence are provided while we cannot clearly test between the human capital and discrimination explanations for salary differentials our evidence strongly suggests that universities can and do exercise significant discretion in the awarding of salaries discretion which is presumably made possible by the not for profit nature of these institutions see armen alchian and reuben kessel section i briefly describes the data source while section ii examines specification and then tests for functional form section iii university of north carolina greensboro we thank terry g seaks and frank stafford for helpful suggestions we are equally responsible for the contents of the paper a partial list includes george johnson and frank stafford with later comments by steven farber and by myra strober and alice quester nancy gordon thomas morton and ina braden emily hoffman david katz marianne ferber and jane loeb ferber and betty kordick ferber loeb and helen lowry and james koch and john chizmar 2 there is debate over whether the differential begins to narrow late during the working life as argued by johnson and stafford see johnson and stafford 1977 and ferber loeb and lowry 3viewing mobility within a household context see jacob mincer the potential for discrimination against married women faculty may be higher than with male or unmarried female faculty

on the decomposition of wage differentials the often used method for decomposing wage differentials into human capital and discrimination components is reformulated so that both t he disadvantage or cost discrimination it imposes on a black or minority wage earner and the advantage or benefit it bestows on a white or majority wage earner can be estimated copyright 1988 by mit press

salary differentials by sex in the academic labor market this paper examines faculty time allocation decisions that are fundamental to the functioning of a university a random utility approach yields a grouped data multinomial logit model and predicts that time allocation decisions depend systematically on

is there a unit root in the inflation rate evidence from sequential break and panel data models summary using sequential trend break and panel data models we investigate the unit root hypothesis for the inflation rates of thirteen oecd countries with individual country tests we find evidence of stationarity in only four of the thirteen countries the results are more striking with the panel data model we can strongly reject the unit root hypothesis both for a panel of all thirteen countries and for a number of smaller panels consisting of as few as three countries the non rejection of the unit root hypothesis for inflation is very fragile to even a small amount of cross section variation 1997 john wiley sons ltd

estimates of the variance of u s inflation based upon the arch model it is generally agreed that the unpredictability of future inflation is a major component of the welfare loss associated with inflation perfectly predicted inflation might induce some costs through institutional rigidities governmental interference and transaction costs but in the long run these should be rather minimal as these institutions adopt various forms of indexing when inflation is unpredictable risk averse economic agents will incur a loss even if prices and quantities are perfectly flexible in all markets inflation is a measure of the relative price of goods today and goods tomorrow thus uncertainty in tomorrow s price impairs the efficiency of today s allocation decisions friedman in his nobel lecture 8 argues convincingly that higher variability of inflation would lead to decreased output ceteris paribus he then conjectures that higher rates of inflation are generally associated with higher variability of inflation and presumably greater uncertainty about future rates if this is true then higher rates of inflation would also be associated with low levels of output which implies a positively sloped phillips curve this paper uses a new statistical technique arch to estimate the conditional mean and variance of inflation from u s time series data the main finding is that the variance of inflation in the seventies was only slightly greater than in the sixties

the effects of real and nominal uncertainty on inflation and output growth some garch m evidence in this paper we use garch m methods to test four hypotheses about the effects of real and nominal uncertainty on average inflation and output growth in the united states from 1948 to 1996 we find no evidence that higher inflation uncertainty or higher output growth uncertainty raises the average inflation rate we also find no support for the idea that more risky output growth is associated with a higher average real growth rate our key result is that in a variety of models and sample periods inflation uncertainty significantly lowers real output growth copyright 2000 john wiley sons ltd

estimating property tax capitalization a further comment in recent years an increasingly popular area of empirical investigation has concerned attempts to test tiebout s 1956 hypothesis that allocative efficiency in the provision of public services may be attained through a system of local governments 1 in his seminal contribution to the analysis of the tiebout hypothesis and the capitalization of property taxes oates 1969 reasoned that if consumers are sensitive to the public service benefits and property tax costs associated with home ownership these factors should be reflected in housing prices until recently most studies of the capitalization phenomenon have followed oates s specification in which housing values are regressed on a vector of housing characteristics public service measures and a tax price term 2 as several analysts have noted 3 however attempts to test the tiebout hypothesis by using an oates type equation must certainly lead to failure this is so because in a perfect tiebout equilibrium a marginal increase in housing value brought about by increased provision of public services must necessarily be offset by a marginal decrease in housing value caused by the added tax cost assuming that

on the persistence and volatility in european american and asian stocks bull and bear markets abstract in this paper we examine the statistical properties of several stock market indices in europe the us and asia by means of determining the degree of dependence in both the level and the volatility of the processes in the latter case we use the squared returns as a proxy for the volatility we also investigate the cyclical pattern observed in the data and in particular if the degree of dependence changes depending on whether there is a bull or a bear period we use fractional integration and garch specifications the results indicate that the indices are all nonstationary i 1 processes with the squared returns displaying a degree of long memory behaviour with respect to the bull and bear periods we do not observe a systematic pattern in terms of the degree of persistence though for some of the indices ftse dax hang seng and sti there is a higher degree of dependence in both the level and the volatility during the bull periods

co movements and spillovers of oil and renewable firms under extreme conditions new evidence from negative wti prices during covid 19 we test for the existence of volatility spillovers and co movements among energy focused corporations during the outbreak of the covid 19 pandemic inclusive of the april 2020 events where west texas intermediate wti oil future prices became negative employing the spillover index approach of diebold and yilmaz 2012 as well as developing a dcc figarch conditional correlation framework and using estimated spillover indices built on a generalised vector autoregressive framework in which forecast error variance decompositions are invariant to the variable ordering we examine the sectoral transmission mechanisms of volatility shocks and contagion throughout the energy sector among several results we find positive and economically meaningful spillovers from falling oil prices to both renewable energy and coal markets however this result is only found for the narrow portion of our sample surrounding the negative wti event we interpret our results being directly attributed to a sharp drop in global oil gas and coal demand rather than because of a sudden increase in oil supply while investors observed the us fracking industry losing market share to coal they also viewed renewables as more reliable mechanism to generate long term stable and low cost supply

a stochastic variance factor model for large datasets and an application to s p data the aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets we suggest use of the principal component methodology of stock and watson 2002 for the stochastic volatility factor model discussed by harvey ruiz and shephard 1994 the method is simple and computationally tractable for very large datasets we provide theoretical results on this method and apply it to s p data

short term interest rates as predictors of inflation on testing the hypothesis that the real rate of interest is constant in an innovative and provocative paper in this review eugene fama presents evidence which appears to be consistent with the joint hypothesis that the real rate of interest ignoring taxes is a constant and that the market for u s treasury bills is efficient in the sense of embodying rational expectations those findings are strikingly at variance with a long list of previous studies which seemed to support the view that the real rate of interest varies over time and can be related to economic variables such as real output monetary policy and so forth 2 the methodologies which lead to these contradictory conclusions are quite different previous studies had followed the lead of irving fisher by relating nominal interest rates to distributed lags on past rates of inflation 3 these distributed lags are generally interpreted as approximations to the market s expected rate of inflation and thus any remaining variation is attributed to variation in the real rate 4 fama s methodology on the other hand draws on the fact that the difference between the market interest rate and the subsequently observed rate of inflation the ex post real interest rate consists by definition of the ex ante real interest rate plus a pure forecasting error 5 the hypothesis of market efficiency implies that these forecasting errors must be serially random thus observing ex post real rates is equivalent to observing ex ante real rates with random measurement error these errors of course confound the problem of identifying variation in the ex ante real rate in this paper we will argue that the relative magnitude of these measurement errors is such that the tests carried out by fama were not powerful enough to reject the joint hypothesis that the ex ante real rate is a constant and expectations are rational more powerful tests which are presented in this paper using the same data do lead to rejection of that hypothesis of course rejection

modelling multi period inflation uncertainty using a panel of density forecasts this paper examines the determinants of inflation forecast uncertainty using a panel of density forecasts from the survey of professional forecasters spf based on a dynamic heterogeneous panel data model we find that the persistence in forecast uncertainty is much less than what the aggregate time series data would suggest in addition the strong link between past forecast errors and current forecast uncertainty as often noted in the arch literature is largely lost in a multi period context with varying forecast horizons we propose a novel way of estimating news and its variance using the kullback leibler information and show that the latter is an important determinant of forecast uncertainty our evidence suggests a strong relationship of forecast uncertainty with level of inflation but not with forecaster discord or with the volatility of a number of other macroeconomic indicators copyright 2006 john wiley sons ltd