on the practical limits to substitution abstract this paper considers the arguments for weak vs strong sustainability the weak sustainability position held by many mainstream neoclassical economists such as solow and weitzman is that almost all kinds of natural capital can be substituted by man made capital the contrary position known as strong sustainability holds that many of the most fundamental services provided by nature cannot be replaced by services produced by humans or man made systems the paper discusses the limits of substitution from a physical point of view it concludes that while there is considerable scope for substitution in some domains the limits to substitutability in the medium term at least are real and important in effect the paper supports the strong sustainability position

natural resources curse or blessing are natural resources a curse or a blessing the empirical evidence suggests that either outcome is possible this paper surveys a variety of hypotheses and supporting evidence for why some countries benefit and others lose from the presence of natural resources these include that a resource bonanza induces appreciation of the real exchange rate deindustrialization and bad growth prospects and that these adverse effects are more severe in volatile countries with bad institutions and lack of rule of law corruption presidential democracies and underdeveloped financial systems another hypothesis is that a resource boom reinforces rent grabbing and civil conflict especially if institutions are bad induces corruption especially in nondemocratic countries and keeps in place bad policies finally resource rich developing economies seem unable to successfully convert their depleting exhaustible resources into other productive assets the survey also offers some welfare based fiscal rules for harnessing resource windfalls in developed and developing economies

demographic pressure and natural resources conservation abstract a field survey was carried out in the villages of nlobesse e at the western periphery of the dja biosphere reserve south cameroon to evaluate the various effects that the increase in the local populations exert on the conservation of the natural resources of the reserve survey results show that the population was increasing rapidly at 40 00 00 per annum with 61 54 of the total inhabitants originating from other parts of the country despite the rapid population growth the population of the kaka and baka ethnic groups also known as the pigmies who have been noted by ecofac ecosysteme forestiere d afrique centrale for having a marked negative impact on the conservation of the natural resources because they depend mostly on the natural resources of the reserve for their livelihood and practice very little or no agriculture were decreasing at a rate of 6 2 probably they sought better hunting gathering and collecting conditions elsewhere in the reserve animal proteins originating from the reserve provide most of the animal proteins consumed by the households and the entire population of nlobesse e demands 44 4 kg of bush meat per day it was also noted that the local population practiced very little agriculture in the reserve hunting and fishing activities that have been noted for having a negative influence on the conservation of biodiversity contributed 15 2 and 11 2 respectively of the total income of the households other sources of income included wages earned from the agro plantation that contributed 40 3 farming 24 2 commerce 3 and others 4 58 merchant middlemen also referred to as buyam sellam and individuals with no commercial interest were the two main relay agents responsible for transporting natural resources out of nlobesse e it would have been expected that the increasing population combined to the high incidence of poverty in the region per capita income of 225 fcfa or 0 3 per day would have exerted a high sustainability pressure on the conservation of reserve resources however this was not the case because of an agro plantation in the area that provided the local population with the necessary income to buy foodstuff and other needed resources from far away areas to maintain this trend it is recommended that other sources of income such as the creation of small scale enterprises and ecotourism should be encouraged in and around biospheres reserves

high frequency volatility connectedness between the us crude oil market and china s agricultural commodity markets abstract this paper investigates the realised volatility connectedness of us crude oil futures and five china s agricultural commodity futures using connectedness measures and high frequency data time varying volatility connectedness characteristics are identified by combining a multivariate heteroscedastic autoregressive har model with the dcc garch model the results verify the existence of volatility spillover from the us crude oil market to china s agricultural commodity markets although the magnitude of this spillover is weak furthermore the realised volatility is decomposed into positive and negative components to identify the asymmetric effect of volatility connectedness the results show that market interdependence has obviously increased for negative volatility relative to positive volatility implying that volatility transmission has a leverage effect across markets

coordination problems in local level resource management starting from the observation of important returns to scale effects in conservation of common property resources we identify some of the factors that impinge upon the chances of success of a decentralized group based management of local natural resources particular attention is paid to the influence of asset inequality among resource users in particular it is shown that by redistributing incentives among landowners land reform has an ambiguous impact on the latter s willingness to undertake conservation investments

international business cycle spillovers since the 1870s this article considers the evolution of international business cycle interdependencies among 27 developed and developing countries since the beginning of 1870s utilizing the generalized vector autoregressive var based spillover index of diebold and yilmaz 2012 which allows the construction of a time varying measure of business cycle spillovers we find that on average 65 of the forecast error variance of the 27 countries business cycle shocks is due to international spillovers however the magnitude of international business cycle spillovers varies considerably over time there is a clear increasing trend since the end of world war ii and until the mid 1980s after that international business cycle interdependencies declined during the period that was dubbed the great moderation and stabilized around the beginning of the twenty first century during the great recession of 2008 2009 international business cycle spillovers increased to unprecedented levels finally developed countries are cons

realized volatility transmission the role of jumps and leverage effects this paper is the first to employ a multivariate extension of the lhar cj model for realized volatility of corsi and reno 2012 considering continuous and jump volatility components and leverage effects the model is applied to financial s p 500 commodity wti crude oil and forex us eur intraday futures data and allows new insights in the transmission mechanisms among these markets besides significant leverage effects we find that the jump components of all considered assets do not contain incremental information for the one step ahead realized volatility the volatility of s p 500 and us eur exchange rate futures exhibits significant spillovers to the realized volatility of wti moreover decreasing equity prices appear to increase volatility in other markets while strengthening of the us seems to calm down the crude oil market

informational linkages across trading regions evidence from foreign exchange markets abstract using a new high frequency data set from electronic broking services ebs this paper examines informational linkages in the euro dollar and dollar yen exchange rates across five trading regions asia pacific the asia europe overlap europe the europe america overlap and america information is proxied by exchange rate return direction of return volatility trading activity and order flow we find that informational linkages are statistically significant at both own region and inter region levels but own region spillovers dominate in economic significance especially for volatility and trading activity in addition order flow spillovers from the europe america overlap trading region are the most important source of spillovers to other trading regions for both currency pairs

sustainability in natural resource management abstract sustainability is the objective that many disciplines indicate as being essential to the resolution of environmental degradation although there is no agreement about what this term exactly means this study defines environmental problems as externalities most of these occurring between different generations we analyze the reasons why traditional solutions for externalities do not work in the intergenerational context our conclusions are on the one hand that traditional methods for evaluating the costs and benefits affecting different generations should be improved secondly an intergenerational redistribution of natural resource property rights is essential to guarantee equality of opportunities for all generations and therefore to ensure sustainability adequate redistribution of property rights will depend on the type of resource as well as on other factors such as the rate of return on its exploitation and the current generations propensity to consume in all cases however sustainability is sufficiently guaranteed by conceding property rights as a whole to the future

investment intensity of currencies and the random walk hypothesis cross currency evidence abstract this paper studies the cross currency and temporal variations in the random walk behavior in exchange rates we characterize currencies with relatively large investment flows as investment intensive and conjecture that the more investment intensive a currency is the closer its exchange rate adheres to random walk using 29 floating bilateral usd exchange rates we find that the higher the investment intensity the less likely it is to reject random walk and the smaller the deviation from random walk is however the effect of investment intensity is non monotonic application of threshold models shows that after investment intensity reaches the estimated thresholds the level of investment intensity has no further effect on the deviation from random walk these findings help reconcile the previous conflicting results on the random walk in exchange rates by focusing on the effect of cross currency and temporal variations in investment intensity

roughing it up including jump components in the measurement modeling and forecasting of return volatility a rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high frequency returns coupled with simple modeling procedures building on recent theoretical results in barndorff nielsen and shephard 2004a 2005 for related bi power variation measures the present paper provides a practical and robust framework for non parametrically measuring the jump component in asset return volatility in an application to the dm exchange rate the s p500 market index and the 30 year u s treasury bond yield we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation process moreover many jumps appear directly associated with specific macroeconomic news announcements separating jump from non jump movements in a simple but sophisticated volatility forecasting model we find that almost all of the predictability in daily weekly and monthly return volatilities comes from the non jump component our results thus set the stage for a number of interesting future econometric developments and important financial applications by separately modeling forecasting and pricing the continuous and jump components of the total return variation process

the financial crisis of 2008 in fixed income markets we explore how a relatively small amount of heterogeneous securities created turmoil in financial markets in much of the world in 2007 and 2008 the drivers of the financial turmoil and the financial crisis of 2008 were heterogeneous securities that were hard to value these securities created concerns about counterparty risk and ultimately created substantial uncertainty the problems spread in ways that were hard to see in advance the run on prime money market funds in september 2008 and the effects on commercial paper were an important aspect of the crisis itself and are discussed in some detail

oil indexation market fundamentals and natural gas prices an investigation of the asian premium in natural gas trade abstract a heated debate has arisen over whether the asian premium i e higher prices in asia than elsewhere in natural gas trade is due to price discrimination or different market fundamentals determining the origin of this premium can help to guide the gas industries and policy makers in asia especially when the traditional oil indexed price mechanism fades away using a new systemic time series approach this paper explores the extent to which oil prices and market fundamentals contribute to variations in gas prices in japan the united states and germany we find clear cross country differences and time varying patterns gas prices are much less affected by supply and demand factors than oil prices in japan and germany whereas these factors are more important than oil prices in the us market which has a pricing hub through rolling windows and subsample analysis we discover that oil prices were important in japan and germany but the level of importance has declined significantly in recent years though the contribution of fundamentals does not change much the results show that asian gas prices are determined more by oil prices than by the market fundamentals thus the asian premium is more likely due to this oil indexed pricing mechanism rather than market fundamentals this suggests that developing asia s benchmark prices through trading hubs with a better reflection of regional specific fundamentals can lead to a more efficient allocation of gas resources

special section land use options in dry tropical woodland ecosystems in zimbabwe introduction overview and synthesis the articles included in this special section focus on the ecological and economic interactions of woodland use in western zimbabwe one of the aims was to investigate the use of modelling to achieve integration among disciplines the integrated model draws on the models in the different papers comprising the special section the model has five ecological sectors five sectors covering woodland use by local people and the state forestry organisation two sectors to cover agriculture one sector for population growth and land use a sector to cover carbon sequestration and a sector to calculate net present values of the various uses the state has usually attempted to keep people and their livestock out of the state forest we show that the private benefits of cropland may be greater than those related to state or local use of the woodland but further work is required to incorporate the public costs of subsidies to cropland and the public benefits of woodland services livestock production in the woodlands is compatible with woodland management both from economic and ecological perspectives expulsion of forest 1 dwellers from the state forest makes little ecological impact on the woodland and does not improve the economic value of the woodland to the state however if the forestry commission relaxes the current control on in migration it is likely that the woodland will be rapidly depleted in the face of massive in migration modelling is seen as a framework for integration of ecological and economic issues but further work is required to incorporate institutional perspectives from the sociological and anthropological disciplines 2000 elsevier science b v all rights reserved

currency downside risk liquidity and financial stability abstract we estimate volatility and quantile depreciation based spillovers across 20 global currencies against the us dollar in so doing we reveal significant asymmetries in the propagation of risk across global currency markets the quantile based statistic reacts more significantly to events that have a sizable impact on fx markets e g brexit vote and the fx crash following the subprime crisis which are missed by the volatility based statistic as such our tail spillover estimates constitute a new financial stability index for the fx market this index has the advantages of being easy to build of not requiring intraday data and of being more informative about currency crises and pressures than traditional spillover statistics based on volatilities finally we also document differences in the relation between liquidity and volatility quantile spillovers

how do exchange rates co move a study on the currencies of five inflation targeting countries abstract this paper does three things first it explores the type of asymmetry in exchange rate correlation for five inflation targeting countries we show their currencies co move more closely with the currencies of some influential foreign countries during joint appreciations than joint depreciations against a world currency second it establishes empirically the linkage between interest rate differentials and exchange rate correlation we find evidence that both widening and narrowing interest rate differentials will reduce the correlation third it proposes a new version of the asymmetric dynamic conditional correlation model the model proves to be capable of providing great insight into the two issues investigated

fear connectedness among asset classes this study investigates the interconnection between five implied volatility indices representative of different financial markets during the period 1 august 2008 29 december 2017 to this end we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period the system wide approach using a framework recently proposed by diebold and yilmaz second we make use of a dynamic analysis to evaluate both the net directional connectedness for each market and all net pairwise directional connectedness our results suggest that a 38 99 of the total variance of the forecast errors is explained by shocks across markets indicating that the remainder 61 01 of the variation is due to idiosyncratic shocks furthermore we find that volatility connectedness varies over time with a surge during periods of increasing economic and financial instability finally we also document frequently switch between a net volatility transmitter and a net volatility receiver role in the five markets under study

economic policy uncertainty and dollar pound exchange rate return volatility abstract the extent to which economic policy uncertainty epu amplifies exchange rate volatility has been an important research question for at least a decade previous research has investigated this relationship using monthly data concluding that epu imparts an effect on exchange rate volatility either contemporaneously or with a one month lag the use of monthly frequency however may not provide an accurate causal interpretation and may even compromise the accuracy of the estimates if the natural cycles of epu are shorter than a month to address this econometric concern i construct uncertainty measures at a daily frequency and estimate a garch model using daily usd british pound returns the evidence indicates that epu contributes to exchange rate volatility much more quickly than monthly data can detect using a regression technique for separating epu from non policy economic uncertainty i find that non policy market uncertainty increases volatility more than epu does

volatility transmission in emerging european foreign exchange markets abstract this paper studies the dynamics of volatility transmission between central european ce currencies and the eur usd foreign exchange using model free estimates of daily exchange rate volatility based on intraday data we formulate a flexible yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well as on the lagged realized volatilities of the other exchange rates we find evidence of statistically significant intra regional volatility spillovers among the ce foreign exchange markets with the exception of the czech and prior to the recent turbulent economic events polish currencies we find no significant spillovers running from the eur usd to the ce foreign exchange markets to measure the overall magnitude and evolution of volatility transmission over time we construct a dynamic version of the diebold yilmaz volatility spillover index and show that volatility spillovers tend to increase in periods characterized by market uncertainty

macroeconomic sources of foreign exchange risk in new eu members abstract we address the issue of foreign exchange risk and its macroeconomic determinants in several new eu members we derive the observable macroeconomic factors consumption and inflation using the stochastic discount factor sdf approach the joint distribution of excess returns in the foreign exchange market and the factors are modeled using a multivariate garch in mean specification our findings show that both real and nominal factors play important roles in explaining the variability of the foreign exchange risk premium both types of factors should be included in monetary general equilibrium models employed to study excess returns to contribute to the further stability of domestic currencies the new eu members should strive to implement stabilization policies aimed at achieving nominal as well as real convergence with the core eu members

spillovers between energy and fx markets the importance of asymmetry uncertainty and business cycle abstract this study constructs a theoretical volatility transmission model for petroleum and fx markets taking into account major stylized facts and uncertainty measures and the interactions between them under stages of the business cycle it examines the impacts of those different specifications and economic factors on the spillovers between those considered markets the results show that the impacts of the own shocks petroleum on petroleum and currency on currency are statistically significant and positive in almost all cases as expected for the models of natural gas and wti oil irrespectively of the currency considered the asymmetry effect is stronger in the oil than in the natural gas markets there is stronger and significant evidence that uncertainty affects volatility much more the mean for the wti oil almost all policy and other uncertainty measures lead to an increase in the conditional variance for currencies coefficients are commonly significant independent of the presence of petroleum commodities in the bivariate model the striking result for natural gas is the limited statistical relevance of the economic policy and other uncertainty measures due to the long contracts that characterize this market finally common macroeconomic forces associated with the business cycle can drive these petroleum and currency markets and may cause jumps and co jumps in the volatility of these markets the conclusion provides policy implications of the paper s results

dynamics of volatility transmission between the u s and the chinese agricultural futures markets the u s and china are two of the biggest players in the world agricultural market the literature documents that volatility in the u s agricultural futures market spills over significantly to that of china this article provides further insights into the spillovers from china to the u s as well as the time horizon and dynamics of the bidirectional spillovers through the application of a multivariate extension of the heterogeneous autoregressive model in relation to four commodities soybean wheat corn and sugar the results confirm the existence of significant spillovers from the u s to china for four commodities which are primarily generated by the shorter term volatility components in the u s and provide evidence for the increasing pricing power of the chinese market the findings are robust against various specifications and have important investment and policy implications

non linear dynamics of population and natural resources the emergence of different patterns of development abstract this paper studies the long term dynamic interaction between the exploitation of natural resources and population growth brander and taylor brander j a and taylor m s 1998 the simple economics of easter island a ricardo malthus model of renewable resource use american economic review 88 1 119 138 started a sequence of papers which sought to deduce from historical and archaeological studies some stylized links between ecological and economic systems in this strand of literature all the services of the natural environment are aggregated in an ecological complex which is characterized by a simple logistic dynamics given such assumptions these models show a unique long term steady state the aim of this paper is to obtain a more general framework that could account for the heterogeneity of environmental development paths followed by past societies two new assumptions are introduced i the disaggregation of the ecological complex into two different resources ii irreversibility namely an inexorable tendency to exhaustion when the renewable resource stock is below a certain threshold analysis of the dynamic properties of the system shows a multiplicity of steady states which makes it possible to consider the effects of technical progress cultural and climate changes on the resilience of the existing development path

volatility spillovers in commodity markets a large t vector autoregressive approach abstract prices of commodities have shown large fluctuations a high volatility of one commodity today may impact the volatility of another commodity tomorrow as such agricultural and energy commodities are closely dependent due to the expansion of the biofuel industry we study volatility spillovers among a large number of energy agriculture and biofuel commodities using the vector auto regressive var model to account for the possible fat tailed distribution of the model errors we propose the t lasso method for obtaining a large var the t lasso is shown to have excellent properties and a forecast analysis shows that the t lasso attains better forecast accuracy than standard estimators our empirical analysis shows the existence of volatility spillovers between energy and biofuel and between energy and agricultural commodities

the effect of exchange rate variability on us shareholder wealth we examine the relationship between financial crisis exchange rate variability and equity return volatility for us multinationals empirical analysis of the major financial crises of the last decades reveals that stock return variability increases significantly in the aftermath of a crisis even relative to the increase in stock return volatility for other firms belonging to the same industry and market capitalization class in conjunction with this increase in total volatility there is also an increase in stock market risk for multinational firms moreover trade and service oriented industries appear to be particularly sensitive to these changing exchange rate conditions

realized volatility transmission between crude oil and equity futures markets a multivariate har approach this paper differs from extant literature because it studies volatility co movements with a multivariate orthogonalized har model a flexible specification for the time series of realized volatility which is able to identify short mid and long term spillover effects we examine volatility transmission mechanisms using high frequency data of the stock index futures on s p 500 nikkei 225 ftse 100 and the futures on the west texas intermediate crude oil during the period from september 2002 to september 2012 considering the full sample the short term volatility of the equity futures contains information about future oil volatility incremental to the information inherent in the time series of oil volatility on the other hand weekly and monthly volatilities do not exhibit a significant spillover effect breaking the whole sample into three subsamples no significant granger causalities are observed in the pre crisis period while in the crisis time and its aftermath we document that the us and uk equity market volatilities to granger cause the oil futures volatility which itself leads the japanese market in terms of magnitude we observe an increase in the short term volatility spillover over time studying the residuals of the har transmission models within a ccc dcc garch framework reveals increasing instantaneous correlation between the energy and equity volatilities in the course of time

the net effect of an alcohol tax increase on death rates in middle age alcohol excise taxation increases prices and reduces per capita consumption cook and george tauchen 1982 christopher j ruhm 1995 douglas j young and agnieszka bielinska kwapisz 2003 in principle a taxinduced reduction in per capita consumption of alcohol may be the result of both a reduction in the prevalence of alcohol abuse and the prevalence of moderate drinking with opposite effects on mortality rates the net effect on mortality could be either positive or negative and has not been established empirically some specific mechanisms by which drinking creates health risks and benefits are well documented for all age groups episodes of alcohol intoxication cause death from overdose or from injury resulting from accident or intentional violence ralph hingson and michael winter 2003 chronic heavy drinking may cause death due to organ damage including liver cirrhosis jurgen rehm et al 2003 on the other hand chronic drinking confers some health benefits on middle aged people defined here as persons aged 35 69 alcohol acts as an anti cholesterol drug and epidemiological evidence suggests that moderate drinking is associated with reduced mortality from heart disease and stroke giovanni corrao et al 2000 thus an increase in alcohol excise taxes may reduce mortality rates to the extent that it induces a lower incidence of risky drinking and lower prevalence of chronic heavy drinking but if older people drink too little in response to higher prices then the result may be increased cardiovascular death rates in what follows we combine new estimates of the effect of per capita alcohol consumption on drinking patterns with a summary estimate from the epidemiology literature of relative risks associated with different levels of drinking we calculate that a permanent reduction of 1 percent in alcohol consumption per capita induced by a tax increase or some other mechanism would have little net effect on mortality in middle age our sensitivity experiments suggest that the effect may be positive or negative but is always close to zero since there is no health benefit from drinking for younger people and considerable risks we conclude that the public health case for increased alcohol taxation is strong

optimal monetary policy when agents are learning abstract we derive optimal monetary policy in a sticky price model when private agents follow adaptive learning we show that this slight departure from rationality has important implications for policy design the central bank faces a new intertemporal trade off not present under rational expectations it is optimal to forego stabilizing the economy in the present in order to facilitate private sector learning and thus ease the future intratemporal inflation output gap trade offs the policy recommendation is robust the welfare loss entailed by optimal policy under learning if the private sector actually has rational expectations is much smaller than if the central bank mistakenly assumes rational expectations when in fact agents are learning

forest biodiversity and timber extraction an analysis of the interaction of market and non market mechanisms abstract forest ecosystems provide a range of products and services for human use primarily due to the biodiversity inherent in them from the ecological viewpoint this diversity is of different kinds and has the potential to cater to human well being in multifarious ways however the mix of services that is available to any economy from forests depends in addition to their biological characteristics on the nature of the economic regime within which they are exploited some commodities such as timber are extracted in a regime driven in the main by market forces others such as non timber forest products may be extracted under a variety of arrangements the range varying from open access to common property regimes services such as those of water cycle augmentation and micro climate regulation are typically available to communities as free goods it is hypothesized that this difference in institutional regimes has implications for the mix of products and services that are extracted in different ways through its effect on the extraction efforts for the marketed product because of policies such as plantation which are intended to increase the supply of the marketed product typically timber through a change in biodiversity of the forest stock which in turn results in a decreased availability of the non marketed products the present paper studies conditions under which timber has been extracted from forests of the north indian state of uttar pradesh up during the 1975 2000 period to examine this proposition it is postulated that extraction of timber at any point of time depends on the stock the effort involved in extraction as represented by the per unit cost of extraction the biodiversity index defined as a product biodiversity index and a variable depicting ecological characteristics of the forests using a modified gordon schaefer production function and the assumption that forests are managed for sustainable timber extraction the reduced form equations are derived and estimated using data from uttar pradesh forests for the 1975 2000 period the results suggest that in the absence of variables representing the plantation area and biodiversity corrected stocks the explanatory power of the model is low even though extraction is seen to be significantly impacted by effort if however the ratio of plantation area and biodiversity adjusted extraction are introduced as explanatory variables interesting results with respect to the trend of extraction over time are obtained as stocks of woody biomass increase extraction increases a decrease in biodiversity of the stock may be accompanied under a certain set of circumstances with a rising trend in extraction and at a rising rate as explained above however an increased biodiversity may imply a decreasing trend in the extraction in the future provided that present extraction y does not rise at a rate faster than the rate of increase in the biodiversity these two results seen together are we believe significant they point to the fact that policies aimed at increasing plantation increase short run timber extraction further if biodiversity increases the impact on future extraction of timber depends on relative rates of change in biodiversity and extraction per unit effort it is clear that trade offs between timber extraction and existence of biodiverse forests providing a variety of goods and services

the economic value of fundamental and technical information in emerging currency markets abstract we measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments our analysis is based on a sample of 21 emerging markets with a floating exchange rate regime over the period 1997 2007 and explicitly accounts for trading restrictions on foreign capital movements by using non deliverable forward data we document that both types of information can be exploited to implement profitable trading strategies in line with evidence from surveys of foreign exchange professionals concerning the use of fundamental and technical analysis we find that combining the two types of information improves the risk adjusted performance of the investment strategies

measuring financial asset return and volatility spillovers with application to global equity markets we provide a simple and intuitive measure of interdependence of asset returns and or volatilities in particular we formulate and examine precise and separate measures of return spillovers and volatility spillovers our framework facilitates study of both non crisis and crisis episodes including trends and bursts in spillovers and both turn out to be empirically important in particular in an analysis of sixteen global equity markets from the early 1990s to the present we find striking evidence of divergent behavior in the dynamics of return spillovers vs volatility spillovers return spillovers display a gently increasing trend but no bursts whereas volatility spillovers display no trend but clear bursts

asymmetric volatility transmission in international stock markets abstract the transmission mechanism of price and volatility spillovers across the new york tokyo and london stock markets is investigated the asymmetric impact of good news market advances and bad news market declines on volatility transmission is described by an extended multivariate exponential generalized autoregressive conditionally heteroskedastic egarch model using daily open to close returns we find strong evidence that volatility spillovers in a given market are much more pronounced when the news arriving from the last market to trade is bad a before and after october 1987 crash analysis reveals that the linkages and interactions among the three markets have increased substantially in the post crash era suggesting that national markets have grown more interdependent

the global transmission of volatility in the foreign exchange market volatility spillovers of the dm and exchange rate across regional markets are examined using the integrated volatility of high frequency data an analysis of quoting patterns reveals five distinct regions asia asia europe overlap europe europe america overlap and america after reviewing theoretical foundations for persistence of volatility in dealership markets regional volatility models are constructed where volatility in one region is a function of yesterday s volatility in that region heat wave effect and volatility in other regions meteor shower effect evidence of statistically significant effects is found for both own region and interregional spillovers but the economic significance of own region spillovers indicates that heat waves are more important than meteor showers

generalised taylor and generalised calvo price and wage setting micro evidence with macro implications the generalised calvo and the generalised taylor models of price and wage setting are unlike the standard calvo and taylor counterparts exactly consistent with the distribution of durations observed in the data using price and wage micro data from a major euro area economy france we develop calibrated versions of these models we assess the consequences for monetary policy transmission by embedding these calibrated models in a standard dynamic stochastic general equilibrium model the generalised taylor model is found to help rationalise the hump shaped and persistent response of inflation without resorting to the counterfactual assumption of systematic wage and price indexation

no place to hide the global crisis in equity markets in 2008 2009 this paper provides a broad analysis of the effect of the current financial crisis on global equity markets and their major components we also examine the magnitude of the crisis in terms of value destruction in comparison to other market crashes in brief upon looking at return performance across an array of regions countries and sectors broad market averages are down approximately 40 on their end of 2006 levels while deterioration started in most markets in early to mid 2008 the crisis period of mid september to the end of october 2008 is responsible for the lion s share of the collapse with just about all indices falling 30 40 in this short period financial sectors have taken a bigger hit than non financials over the period though they both suffered similarly during the peak of the crisis due to larger rises in 2007 the emerging markets drop more in 2008 than developed markets but in large part end up at the same level as the other markets the global nature of the crisis is also apparent from the high correlations between markets and investment styles that further increased during the crisis as a result diversification provided little help to investors when needed most as markets dropped in tandem

pay for politicians and candidate selection an empirical analysis abstract a growing theoretical literature on the effect of politicians salaries on the average level of skills of political candidates yields ambiguous predictions in this paper we estimate the effect of pay for politicians on the level of education of parliamentary candidates we take advantage of an exceptional reform where the salaries of finnish mps were increased by 35 in the year 2000 intended to make the pay for parliamentarians more competitive a difference in differences analysis using candidates in municipal elections as a control group suggests that the higher salary increased the fraction of candidates with higher education among female candidates while we find no significant effect for male candidates

long lasting bank relationships and growth of firms a puzzling but consistent result in the empirical literature on banking is that firms with close bank ties do not grow faster than bank independent firms in this paper we reconsider the link between relationship lending and firm growth distinguishing firms by size and expansion contraction conditions the idea is that the beneficial effects of relationship lending on information asymmetries can be compensated by other negative capture risk and externality effects which make relational banks reluctant to support long term growth projects of client firms and that the strength of these compensating effects varies with firm size and health status we explore the influence of long lasting bank relationships on employment and asset growth of a large sample of italian firms the main finding is that relationship lending hampers the efforts of small firms to increase their size while it mitigates the negative growth of troubled medium large enterprises

intra daily volatility spillovers in international stock markets abstract using a novel four phase model based upon a conditional autoregressive wishart framework for realized variances and covariances we quantify intra daily volatility spillovers within and across the us german and japanese stock markets before and during the subprime crisis we find significant short term spillovers from one stock market to the next trading market which have substantially intensified during the crisis indicating a global volatility contagion coming from the us market the strongest contagion with the largest burst of spillover effects from and to foreign markets is observed for the japanese market which was prior to the crisis fairly uncoupled from the german and us market we also find that the crisis leads to a significant reduction of the general persistence of volatility shocks in international stock markets hence it appears that during the turmoil of the crisis news generating volatility become outdated more quickly than before the crisis

population matters in ecological economics abstract it is an axiom of ecological economics that resource depletion and environmental pollution depend on the number of people and how many goods and services each consumes modified by the technological efficiency of production the paper reviews some studies quantifying the contribution of human numbers to environmental impact it warns against playing this factor off against that of high consumption in rich countries it asks whether from the environmental point of view complacency about either present or predicted population size is warranted the answer depends both on fertility and mortality assumptions and on constraints such as resource and food availability the concept of cultural carrying capacity would aid societies in determining their optimal population when account is taken not only of subsistence but of quality of life a population control toolkit for both rich and poor societies is sketched and some controversial coercive policy possibilities analysed

asymmetric volatility connectedness on the forex market abstract we show how bad and good volatility propagate through the forex market i e we provide evidence for asymmetric volatility connectedness on the forex market using high frequency intra day data of the most actively traded currencies over 2007 2015 we document the dominating asymmetries in spillovers that are due to bad rather than good volatility we also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in europe while positive spillovers are correlated with the subprime crisis different monetary policies among key world central banks and developments on commodities markets it seems that a combination of monetary and real economy events is behind the positive asymmetries in volatility spillovers while fiscal factors are linked with negative spillovers

strategic trade policy through the tax system if conventional instruments of strategic trade policy are unavailable the system of foreign profit taxation and transfer price guidelines may serve as surrogate policy instruments in this paper i consider a model where firms from two countries compete with each other on a market in a third country both firms have affiliates in the third country where part of the production takes place i analyse optimal policy choices of the firms residence countries aiming at strategically manipulating the competitiveness of their firms i show that first countries prefer the tax exemption system over the tax credit system if there is no intra firm trade second if the headquarters provide inputs for production in the affiliate countries prefer the tax exemption system if the transfer price for these inputs is close to the headquarters variable cost and if the residence country s tax rate is high however if transfer prices are high and the residence country s tax rate is low i show that the tax credit system is an optimal tax policy choice for both countries from a policy perspective the view that the tax exemption system is generally the best policy response if domestic firms competitiveness is a policy goal has to be qualified

where does the meteor shower come from the role of stochastic policy coordination abstract this paper examines the intra daily volatility of the yen dollar exchange rate over three different regimes from 1979 to 1988 which correspond to different degrees of international policy coordination in each regime we test for heat wave vs meteor shower effects the heat wave hypothesis assumes that volatility has only country specific autocorrelations while the meteor shower hypothesis allows volatility spillovers across markets meteor shower showers can be caused by stochastic policy coordination or by gradual release of private information the rejection of the heat wave hypothesis in the early 1980s discredits the stochastic policy coordination interpretation

aggressive oil extraction and precautionary saving coping with volatility the effects of stochastic oil demand on optimal oil extraction paths and tax spending and government debt policies are analyzed when the oil demand schedule is linear and preferences quadratic without prudence optimal oil extraction is governed by the hotelling rule and optimal budgetary policies by the tax and consumption smoothing principle volatile oil demand brings forward oil extraction and induces a bigger government surplus with prudence the government depletes oil reserves even more aggressively and engages in additional precautionary saving financed by postponing spending and bringing taxes forward especially if it has substantial monopoly power on the oil market gives high priority to the public spending target is very prudent and future oil demand has high variance uncertain economic prospects induce even higher precautionary saving and if non oil revenue shocks and oil revenue shocks are positively correlated even more aggressive oil extraction in contrast prudent governments deliberately underestimate oil reserves which induce less aggressive oil depletion and less government saving but less so if uncertainty about reserves and oil demand are positively correlated

intra day and inter market volatility in foreign exchange rates four foreign exchange spot rate series recorded on an hourly basis for a six month period in 1986 are examined a seasonal garch model is developed to describe the time dependent volatility apparent in the percentage nominal return of each currency hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worlds major markets robust lm tests designed to deal with the extreme leptokurtosis in the data fails to uncover any evidence of misspecification or the presence of volatility spillover effects between the currencies or across markets

are volatility spillovers between currency and equity market driven by economic states evidence from the us economy this study examines the volatility spillovers between the foreign exchange rate markets of three of the usa s major trading partners and the us stock market utilizing the forecast error variance decomposition framework of a var model proposed by diebold and yilmaz 2009 the empirical results based on a data set covering the period 1986 2014 suggest that the level of total volatility spillover effects is high only when they precede periods of economic turbulence if the economy is quiet volatility spillover effects are virtually non existent