is there a glass ceiling in sweden using 1998 data we show that the gender log wage gap in sweden increases throughout the wage distribution and accelerates in the upper tail we interpret this as a strong glass ceiling effect we use quantile regression decompositions to examine whether this pattern can be ascribed primarily to gender differences in labor market characteristics or in the rewards to those characteristics even after extensive controls for gender differences in age education both level and field sector industry and occupation we find that the glass ceiling effect we see in the raw data persists to a considerable extent

agricultural price instability a survey of competing explanations and remedies there are two explanations for agricultural price dynamics one follows cobweb logic and models fluctuations driven by expectation errors but emphasises that these expectations create complex dynamics and possibly chaos the other stems from the rational expectations tradition of dynamics driven by real shocks the empirical evidence tends to support the latter but is not conclusive the rational expectations model generates an optimal dynamic path from which no improvement can be expected from public intervention however if we take account of all the potential market failures in agricultural markets and especially in developing countries this conclusion might require some qualifications although an appropriate policy design for stability has still to be achieved this paper surveys the positive and normative literature on agricultural prices highlighting empirical evidence and identifying remaining unresolved issues

answering the skeptics yes standard volatility models do provide accurate forecasts a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using arch and stochastic volatility models while most of these studies have documented highly significant in sample parameter estimates and pronounced intertemporal volatility persistence traditional ex post forecast evaluation criteria suggest that the models provide seemingly poor volatility forecasts contrary to this contention we show that volatility models produce strikingly accurate interdaily forecasts for the latent volatility factor that would be of interest in most financial applications new methods for improved ex post interdaily volatility measurements based on high frequency intradaily data are also discussed

on electricity consumption and economic growth in china abstract the invention and application of the electric power technology triggered the second industrial revolution in human history which marked the human society entered the age of electricity electricity provides the sustainable power for economic and social development with the rapid development of economy the electricity consumption is also increasing the increase of electricity consumption has further promoted the progress of the industrial economy in order to achieve the goal of improving the level of economic development while reducing energy consumption it is necessary to reveal the relationship between electricity consumption and economic growth this study is an extensive overview of the literature surrounding this topic in this paper we focus on the relationship between electricity consumption and economic growth in china we first analyze the general situation of china s electricity consumption and economic development then we explore the relationship between china s electricity consumption and economic growth from three dimensions i e the time dimension the regional dimension and the industrial dimension finally we study the key issues in the research of the relationship between electricity consumption and economic growth including variable selection model construction and results discussion this work suggests that the nature of the nexus in china should and can be explored from a wider perspective by developing a suitable integrated methodological framework

a dynamic panel study of economic development and the electricity consumption growth nexus abstract this study examines the relationship between electricity consumption and economic growth for 88 countries categorized into four panels based on the world bank income classification high upper middle lower middle and low income within a multivariate panel framework over the period 1990 2006 the larsson et al 2001 panel cointegration test indicates there is a long run equilibrium relationship between real gdp coal consumption real gross fixed capital formation and the labor force for the high upper middle and lower middle income country panels the results from the panel vector error correction models reveal 1 bidirectional causality between electricity consumption and economic growth in both the short and long run for the high income and upper middle income country panels 2 unidirectional causality from electricity consumption to economic growth in the short run but bidirectional causality in the long run for the lower middle income country panel and 3 unidirectional causality from electricity consumption to economic growth for the low income country panel

evaluating interval forecasts a complete theory for evaluating interval forecasts has not been worked out to date most of the literature implicitly assumes homoskedastic errors even when this is clearly violated and proceed by merely testing for correct unconditional coverage consequently i set out to build a consistent framework for conditional interval forecast evaluation which is crucial when higher order moment dynamics are present the new methodology is demonstrated in an application to the exchange rate forecasting procedures advocated in risk management

electricity consumption real gdp causality nexus evidence from a bootstrapped causality test for 30 oecd countries the goal of this paper is to examine any causal effects between electricity consumption and real gdp for 30 oecd countries we use a bootstrapped causality testing approach and unravel evidence in favour of electricity consumption causing real gdp in australia iceland italy the slovak republic the czech republic korea portugal and the uk the implication is that electricity conservation policies will negatively impact real gdp in these countries however for the rest of the 22 countries our findings suggest that electricity conversation policies will not affect real gdp

counterfactual decomposition of changes in wage distributions using quantile regression we propose a method to decompose the changes in the wage distribution over a period of time in several factors contributing to those changes the method is based on the estimation of marginal wage distributions consistent with a conditional distribution estimated by quantile regression as well as with any hypothesized distribution for the covariates comparing the marginal distributions implied by different distributions for the covariates one is then able to perform counterfactual exercises the proposed methodology enables the identification of the sources of the increased wage inequality observed in most countries specifically it decomposes the changes in the wage distribution over a period of time into several factors contributing to those changes namely by discriminating between changes in the characteristics of the working population and changes in the returns to these characteristics we apply this methodology to portuguese data for the period 1986 1995 and find that the observed increase in educational levels contributed decisively towards greater wage inequality copyright 2005 john wiley sons ltd

energy consumption and economic growth evidence from 11 sub sahara african countries abstract the paper examines the causal relationship between energy consumption and economic growth for eleven countries in sub saharan africa using the autoregressive distributed lag ardl bounds test the study finds that energy consumption is cointegrated with economic growth in cameroon cote d ivoire gambia ghana senegal sudan and zimbabwe moreover this test suggests that energy consumption has a significant positive long run impact on economic growth in ghana kenya senegal and sudan granger causality test based on vector error correction model vecm shows bi directional relationship between energy consumption and economic growth for gambia ghana and senegal however granger causality test shows that economic growth granger causes energy consumption in sudan and zimbabwe the neutrality hypothesis is confirmed in respect of cameroon and cote d ivoire the same result of no causality was found for nigeria kenya and togo the result shows that each country should formulate appropriate energy conservation policies taking into cognizance of her peculiar condition

the informational content of implied volatility implied volatility is widely believed to be informationally superior to historical volatility because it is the markets forecast of future volatility but for s p 100 index options the most actively traded contract in the united states we find implied volatility in aggregate and across subsamples separated by maturity and strike price implied volatility has virtually no correlation with future volatility and it does not incorporate the information contained in recent observed volatility article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

unit roots and granger causality in the ems interest rates the german dominance hypothesis revisited abstract the aim of this paper is twofold first it shows that a sufficient conditions for unit roots found in ar systems to persist in var systems amount to granger non causality in any direction among the variables involved this implies that a necessary condition for the disappearance of one unit root in a var system implies granger causality in at least one direction b for first order models with non explosive variables granger causality is also sufficient for cointegration and c causality and cointegration inference are strongly affected by the omission of an important causing variable second our new analytical framework allows us to formulate and test several new variations of the so called german dominance hypothesis in a unified cointegrating framework which we define as strong semi strong and weak types 1 and 2 german dominance in addition we allow for the possibility that the dominant player may lie outside the ems so that we introduce and test the us dominance hypothesis

openness and wage inequality in developing countries the latin american challenge to east asian conventional wisdom the experience of east asia in the 1960s and 1970s supports the theory that greater openness to trade tends to narrow the wage gap between skilled and unskilled workers in developing countries in latin america since the mid 1980s however increased openness has widened wage differentials this conflict of evidence is probably not the result of differences between east asia and latin america instead the conflict is probably the result of differences between the 1960s and the 1980s specifically the entry of china into the world market and perhaps the advent of new technology biased against unskilled workers

a century of research on agricultural markets this article provides a perspective on major innovations in research on agricultural markets over the past century we review research on market structure and performance vertical coordination arrangements and institutions for producer collective action contributions to empirical modeling of agricultural price determination and marketing margins are also evaluated as are innovations in research on spatial market relationships and the role of storage finally we discuss contributions to understanding market information systems and the functioning of market based mechanisms for agri

changes in the u s wage structure 1963 1987 application of quantile regression the 1980 s witnessed rapid changes in the structure of wages in the united states in this study recently developed techniques for quantile regression are applied to every march current population survey since 1964 and changes in the return to schooling and experience at different points of the wage distribution are examined the quantile regression technique parsimoniously describes the entire conditional wage distribution this conditional distribution is used to examine changes in within group wage inequality as measured by the difference between conditional quantiles two linear models are considered a simple one group model and a 16 group model the results suggest that the returns to schooling and experience differ across quantiles of the wage distribution but their patterns of change are similar significant differences in wage inequality are also found across the various skill groups the paper also presents a new imputation method for cps data

accounting for inequality in india evidence from household expenditures summary we utilize household level consumption expenditure data from india to examine the evolution of inequality during 1983 2004 various measures of inequality show that inequality levels were relatively stable during 1983 93 but increased during 1993 2004 the increases in inequality have not precluded reductions in poverty however they are also more of an urban phenomenon and can be accounted for by increases in returns to education in the urban sector to a considerable extent especially among households that rely on income from education intensive services and or education intensive occupations some of the increases in the returns to education can be linked to economic liberalization undertaken in the 1990s

conditional heteroscedasticity in time series of stock returns evidence and forecasts this article presents new evidence about the time series behavior of stock prices daily return series exhibit significant levels of second order dependence and they cannot be modeled as linear white noise processes a reasonable return generating process is empirically shown to be a first order autoregressive process with conditionally heteroskedastic innovations in particular generalized autoregressive conditional heteroskedastic garch 1 1 processes fit to data very satisfactorily various out of sample forecasts of monthly return variances are generated and compared statistically forecasts based on the garch model are found to be superior copyright 1989 by the university of chicago

the volatility of australian traded goods prices it is generally accepted that the australian economy is continually subject to unanticipated shocks particularly unexpected swings in the prices of australia s internationally traded goods this article empirically investigates the nature and extent of volatility in import and export prices faced by the australian production sector it estimates multivariate garch models of the stochastic processes generating the prices of imports and exports and of important components of exports and imports this article proposes an index of volatility which is used to provide a summary measure of the extent of volatility in a multivariate context the overall conclusion is that the price growth rates for australia s traded goods exhibit considerable time variation in volatility and that these price growth rates are highly and positively correlated with each other

projecting the energy pathway using a methodological sequence the case of mexico abstract the relationship between primary energy and economic development tends to be positive however it is a complex relationship for emerging economies we use the energy pathway ep method to 1 examine this relationship 2 introduce its behavioural taxonomy and 3 propose a hybrid methodological sequence that allows to examine the historical context and to forecast the ep we apply our methodology to the mexican case an emerging economy that has had both energy intensive and energy productivity periods and changes in its development model the study was conducted by using data of a 52 year old path and explored the path may have from 2018 onwards our results are as follows first the pathway shows nine behavioural possibilities second we found that the mexican ep responds to structural changes we conclude that for the years following 2018 mexico s path will have a disturbance the main objective will be to avoid unwanted behaviour the key is to improve the relationships among the government the private sector and international agreements in order to continue the sequence of the theory on the relations between energy and development more studies are needed under a systematic analytical framework applied to both other countries and comparative studies

mapping the evolution of energy growth nexus synergies and trade offs the study explores the intellectual structure development and evolution of energy crisis and economic growth research through bibliometric analysis of research articles on energy growth nexus from 2000 to 2017 by using citespace where gephi is used to analyse the authors collaboration the analysis incorporates 27 152 references cited by 344 authors in 1165 articles and from 330 journals the results of study quantitatively present the most cited articles authors countries institutions and intellectual structure with data visualization in the knowledge domain of energy growth nexus the study categorizes the major research areas in energy growth nexus research as carbon dioxide emission electricity consumption heterogeneous panel real income renewable energy and financial development the study discusses emerging trends which provide the future research fronts and intellectual development within the framework of energy growth nexus

the maximum likelihood estimation of security price volatility theory evidence and application to option pricing the market requires efficient estimation of the assuming security price dynamics are governed by a diffusion process and given the publicly most available form of data this paper provides the maximum likelihood estimator of security price volatility a monte carlo simulation compares the small sample properties of this and other proposed security price volatility estimators the resultant maximum likelihood estimator of the black scholes call option price formulation is also derived for small sample sizes a monte carlo simulation study facilitates comparison with other proposed estimation procedures also the statistically most powerful confidence intervals for the blackscholes call option price are constructed we would like to thank the participants of the statistics department seminar and finance department workshop at the university of michigan for their helpful comments we are especially grateful to fred hoppe adrian tschoegl and an anonymous referee for their insightful suggestions any remaining errors are our responsibility

forecasting fed cattle feeder cattle and corn cash price volatility the accuracy of time series implied volatility and composite approaches econonlists and others need estimates of future cash price volatility to use in risk management evaluation and education programs this paper evaluates the perfonnance of 211ternntive volatility forecasts for fed cattle feeder cattle and corn cash price returns forecasts include time series e g garch implied volatility from options on futures contract and composite specifications the overriding finding from this research consistent wiih the existing volatility forecasting literature is that no single method of volatility for ecasting provides superior accuracy across alternative data sets and horiyons however evidence is provided sugpe tinp that risk managers and extension educators use composite methods when both time series ant1 implied volatilities are available

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

volatility forecasting without data snooping abstract data snooping arises when the properties of a data series influence the researcher s choice of model specification when data has been snooped tests undertaken using the same series are likely to be misleading this study seeks to predict equity market volatility using daily data on u k stock market returns over the period 1955 1989 we find that even apparently innocuous forms of data snooping significantly enhance reported forecast quality and that relatively sophisticated forecasting methods operated without data snooping often perform worse than naive benchmarks for predicting stock market volatility we therefore recommend two alternative models both of which are extremely simple

on nonlinear dynamics the case of the pork cycle new methods for analyzing nonlinear dynamic processes are used to evaluate the hogcorn price ratio the results present evidence of nonlinear dynamics in the pork cycle moreover while garch processes account for some of the nonlinearities the pork cycle is apparently characterized by more complex dynamic forms the empirical analysis provides some evidence of the presence of chaos in the pork cycle the results also indicate that the dynamic process generating the pork cycle is nonlinear and cannot be adequately characterized by a small number of state variables

economic reforms in india since 1991 has gradualism worked opinions on the causes of india s growth deceleration vary world economic growth was slower in the second half of the 1990s and that would have had some dampening effect but india s dependence on the world economy is not large enough for this to account for the slowdown critics of liberalization have blamed the slowdown on the effect of trade policy reforms on domestic industry however the opposite view is that the slowdown is due not to the effects of reforms but rather to the failure to implement the reforms effectively this in turn is often attributed to india s gradualist approach to reform which has meant a frustratingly slow pace of implementation however even a gradualist pace should be able to achieve significant policy changes over ten years this paper examines india s experience with gradualist reforms from this perspective

the relation between implied and realized volatility abstract previous research finds the volatility implied by s p 100 index option prices to be a biased and inefficient forecast of future volatility and to contain little or no incremental information beyond that in past realized volatility in contrast we find that implied volatility outperforms past volatility in forecasting future volatility and even subsumes the information content of past volatility in some of our specifications our results differ from previous studies because we use longer time series and nonoverlapping data a regime shift around the october 1987 crash explains why implied volatility is more biased in previous work

forecasting stock return variance toward an understanding of stochastic implied volatilities we examine the behavior of measured variances from the options market and the underlying stock market under the joint hypotheses that markets are informationally efficient and that option prices are explained by a particular asset pricing model forecasts from time series models of the stockreturn process should not have predictive content given the market forecast as embodied in option prices both in sample and out of sample tests suggest that this hypothesis can be rejected using simulations we show that biases inherent in the procedure we use to imply variances cannot explain this result thus we provide evidence inconsistent with the orthogonality restrictions of option pricing models that assume that variance risk is unpriced these results also have implicationsfor optimal variance forecast rules

electricity consumption growth nexus evidence from panel data for transition countries abstract this paper investigates the long run relationship and causality issues between electricity consumption and economic growth in 15 transition countries albania belarus bulgaria czech republic estonia latvia lithuania macedonia moldova poland romania russian federation serbia slovak republic and ukraine by using the pedroni panel cointegration method for the 1990 2006 period results suggest that the pedroni panel cointegration tests do not confirm a long term equilibrium relationship between electricity consumption per capita and real gdp per capita moreover since no cointegration was found error correction mechanisms plus causality tests cannot be run for further steps in the long term to investigate the causality between electricity consumption and economic growth overall it can be said that the electricity consumption related policies have no effect or relation on the level of real output in the long run for these countries as a conclusion the literature has conflicting results and there is no consensus either on the existence or the direction of causality between electricity consumption and economic growth thus the findings of this study have important policy implications and it shows that this issue still deserves further attention in future research

openness and wage inequality in developing countries the experience of east asia in the 1960s and 1970s supports the theory that greater openness to trade tends to narrow the wage gap between skilled and unskilled workers in developing countries in latin america since the mid 1980s however increased openness has widened wage differentials this conflict of evidence is probably not the result of differences between east asia and latin america instead the conflict is probably the result of differences between the 1960s and the 1980s specifically the entry of china into the world market and perhaps the advent of new technology biased against unskilled workers

cointegration and causality between electricity consumption and gdp empirical evidence from malawi abstract the granger causality gc and error correction ecm techniques were applied on 1970 1999 data for malawi to examine cointegration and causality between electricity consumption kwh and respectively overall gdp agricultural gdp agdp and non agricultural gdp ngdp cointegration was established between kwh and respectively gdp and ngdp but not with agdp the gc results detect bi directional causality between kwh and gdp suggesting that kwh and gdp are jointly determined but one way causality running from ngdp to kwh the ecm results detect causality running one way from gdp also from ngdp to kwh suggesting that a permanent rise in gdp may cause a permanent growth in electricity consumption

bad karma or discrimination male female wage gaps among salaried workers in india summary we use nationally representative data from the employment unemployment surveys in 1999 2000 and 2009 10 to explore gender wage gaps among regular wage salaried rws workers in india both at the mean as well as along the entire wage distribution to see what happens where the gender log wage gap at the mean is 55 in 1999 2000 and 49 in 2009 10 but this change is not statistically significant the blinder oaxaca and the machado mata melly decompositions indicate that in both years the bulk of the gender wage gap is unexplained i e possibly discriminatory they also reveal that over the decade while the wage earning characteristics of women improved relative to men the discriminatory component of the gender wage gap also increased in fact in 2009 10 if women were paid like men they would have earned more than men on account of their characteristics in both years we see the existence of the sticky floor in that gender wage gaps are higher among low wage earners and lower for high wage earners over the ten year period we find that the sticky floor became stickier for rws women machado mata melly decompositions reveal that in both years women at the lower end of the wage distribution face higher discriminatory gaps compared to women at the upper end

calibration based predictive distributions an application of prequential analysis to interest rates money prices and output some techniques of probability forecasting are applied to time series data on interest rates money stock consumer prices and output a sequential method for debiasing recalibrating predictive distributions and outcomes is developed and the authors estimated sequences of unadjusted and recalibrated distributions are tested for calibration after recalibration the calibration hypothesis cannot be rejected for most of the time series and forecast horizons furthermore traditional point forecasts can be improved when the forecasts are derived from recalibrated distributions copyright 1989 by the university of chicago

the distribution of stock returns new evidence against the stable model we present a simple but effective procedure for determining whether a reasonably large sample comes from a stable population against the alternative that it comes from a population with finite higher moments the procedure uses the fact that a stable population sample has moments of the fourth and sixth order whose magnitudes increase very rapidly as the sample size increases this procedure shows convincingly that stock returns when taken as a group do not come from stable populations even for individual stocks our results show that the stable population model null hypothesis can be rejected for more than 95 of the stocks

changes in wage structure in urban india 1983 2004 a quantile regression decomposition summary this paper utilizes individual level earnings data from urban india to examine the evolution of wages during 1983 2004 across the entire wage distribution quantile regression analysis reveals that the effects of many covariates are not constant across distribution returns to secondary and tertiary education not only increased in the 1990s but also became more heterogeneous suggesting wage inequality may increase further in near future as more workers get higher education moreover the quantile regression decomposition suggests that the increase in returns has been the driving force behind the increase in wages in both the 1980s and 1990s

testing for convergence in electricity consumption across croatian regions at the consumer s sectoral level abstract using the panel unit tests with and without structural break s the convergence hypothesis in relative per capita electricity consumption series is tested across croatian regions during the period 2001 2013 the results are mixed depending primarily on the consumption sector considered and the test applied they indicate the necessity to conduct analysis and formulate energy policy measures on the sector disaggregated and regional specific electricity consumption time series the croatian electricity markets are not fully integrated and some regions are faced with statistically significant structural break s demonstrating thereby the croatian gradual energy reform process with several sudden innovations significant regional differences and the market dependence on expectations domestic and international economic and non economic innovations the impacts of innovations are likely to be permanent for most of the regions and their electricity consumption behaviours are likely to be path dependent consequently innovations into the energy markets including government interventions may have long run effects indicating that space and time for experimenting with alternative mechanisms are quite limited

a reformulation of the portfolio model of hedging the portfolio approach to hedging assumes that the primary motivation for hedging is risk reduction the paper reexamines the portfolio approach to hedging and respecifies the model in such a way that hedge ratios are estimated using returns rather than price levels using the same data set hedge ratios estimated using price levels differ from one while hedge ratios using returns are found to be insignificantly different from one the results do not support the portfolio approach to hedging therefore one must look elsewhere for empirical support for the risk reduction theory of hedging

a utility based comparison of some models of exchange rate volatility abstract when estimates of variances are used to make asset allocation decisions underestimates of population variances lead to lower expected utility than equivalent overestimates a utility based criterion is asymmetric unlike standard criteria such as mean squared error to illustrate how to estimate a utility based criterion we use five bilateral weekly dollar exchange rates 1973 1989 and the corresponding pair of eurodeposit rates of homoskedastic garch autoregressive and non parametric models for the conditional variance of each exchange rate garch models tend to produce the highest utility on average a mean squared error criterion also favors garch but not as sharply

the dynamics of changes in the female wage distribution in the usa a quantile regression approach this paper examines the female wage structure focusing on changes at different points in the wage distribution newly developed quantile regression methods are used in analysing data from the march current population survey the results show that while the most significant changes for the less skilled women took place at the bottom of the wage distribution for the more skilled groups changes occurred at both ends of the distribution consequently wage inequality decreased for the high school graduates and increased for the younger college graduates furthermore the more highly skilled women experienced the steepest gain in wages regardless of their position in the distribution 1998 john wiley sons ltd

energy consumption and gdp revisited a panel analysis of developed and developing countries this paper applies a new panel data stationarity testing procedure first developed by carrion i silvestre et al 2005 econometrics journal 8 159 175 with panel vars that employ the generalized method of moment techniques in order to re investigate the dynamic interactions between energy consumption per capita lec and real gdp per capita lry in 22 developed and 18 developing countries when multiple breaks in the series are taken into account there is convincing evidence of panel stationarity for lec and lry in both groups the energy crises evidently had a substantive impact on both lec and lry in all sample countries furthermore our panel vars attest to bidirectional causality between lec and lry in developed countries but there is uni directional causality from lry to lec in developing countries finally from the orthogonalized impulse response functions all of the variables in the panel vars have a positive effect on each other but their impact is greater and more persistent in developing countries some important policy implications do emerge

improving the parkinson method of estimating security price volatilities the author proposes a new method for estimating the volatility parameters of security prices which is an improvement of the estimation method by m parkinson 1980 the author assumes that the security prices follow the geometric brownian motion however contrary to the setting of parkinson the geometric brownian motion may have nonzero drift terms the author shows that the efficiency of his estimator is about 10 in comparison with the standard sample variance estimator since the efficiency of the estimator by parkinson is about 4 91 his estimation method may considerably improve the estimation methods already known in financial economics copyright 1992 by university of chicago press

implications of nonlinear dynamics for financial risk management this paper demonstrates that when log price changes are not iid their conditional density may be more accurate than their unconditional density for describing short term behavior using the bds test of independence and identical distribution daily log price changes in four currency futures contracts are found to be not iid while there appear to be no predictable conditional mean changes conditional variances are predictable and can be described by an autoregressive volatility model that seems to capture all the departures from independence and identical distribution based on this model daily log price changes are decomposed into a predictable part which is described parametrically by the autoregressive volatility model and an unpredictable part which can be modeled by an empirical density either parametrically or nonparametrically this two step seminonparametric method yields a conditional density for daily log price changes which has a number of uses in financial risk management

option values under stochastic volatility theory and empirical estimates abstract this paper numerically solves the call option valuation problem given a fairly general continuous stochastic process for return volatility statistical estimators for volatility process parameters are derived and parameter estimates are calculated for several individual stocks and indices the resulting estimated option values do not differ dramatically from black scholes values in most cases although there is some evidence that for longer maturity index options black scholes overvalues out of the money calls in relation to in the money calls

the long run relationship between co2 emissions and economic activity in a small open economy uruguay 1882 2010 abstract the long term relationship between carbon dioxide co 2 emissions from energy use and economic activity level is estimated for uruguay between 1882 and 2010 we include co 2 emissions both in levels and in per capita terms which allows to analyze if a decoupling exists both in absolute and in relative terms we also test for the functional form of the relationship something that is usually missed in the literature but which is very relevant because a misspecification could lead to biased estimates we apply cointegration techniques and estimate a vector error correction model vecm for testing whether these variables are endogenous over the long term while also considering the short term dynamics the economic productive structure the degree of openness and the share of clean sources in the total energy supply are also considered as explanatory variables in addition other variables that measure changes in the economic structure are included to check for robustness of the estimates the results show that there is a linear relationship when a log log transformation is employed between co 2 emissions and per capita economic activity level which would involve an exponential relationship between the non transformed variables moreover we cannot reject the level log model indicating that emissions increase at a decreasing rate in reference to the increase in economic level activity emissions increase jointly with the industrial sector s participation in the total output as a consequence of the intensity of this activity in the consumption of energy from fossil fuel sources the degree of openness is inversely related to co 2 emissions this is because the periods of major opening were based on primary input exports which are lower in energy intensity than industrial products the changes in co 2 emission are inversely related to the variation in the share of clean sources in the total energy supply finally all the variables included in the cointegration vector are endogenous adjusting together to the deviations from the long term relationship as a consequence of the above economic growth appears not to be enough for diminishing uruguayan emissions in the long term changes in the energy matrix should be encouraged and emissions reduction should come not through energy constraints but through the development of clean sources or improvements in energy use efficiency given the impact of energy on the economic activity level

modeling regime dependent agricultural commodity price volatilities in stark contrast to financial markets relatively little attention has been given to modeling agricultural commodity price volatility in recent years numerous methodologies with various strengths have been proposed for modeling price volatility in financial markets we propose using a mixture of normals with unique garch processes in each component for modeling agricultural commodity prices while a normal mixture model is quite flexible and allows for time varying skewness and kurtosis its biggest strength is that each component can be viewed as a different market regime and thus estimated parameters are more readily interpreted we apply the proposed model to ten different agricultural commodity weekly cash prices both in sample fit and out of sample forecasting tests confirm that the two state nm garch approach performs better than the traditional normal garch model a significant and state dependent inverse leverage effect is detected only for pork in the regime where the price is expected to drop indicating the volatility in this regime tends to increase more following a realized price rise than a realized price drop

nonlinear dynamics of daily cash prices daily cash price changes are not normally distributed their empirical distributions have fat tails and most are skewed in addition they are not independent among the diffusion jump extended generalized autoregressive conditional heteroskedasticity garch and deterministic chaos processes a garch process with residuals following a student distribution is the most likely our garch model reduces leptokurtosis removes nonlinear dependence and provides a considerable improvement over the i i d normal model the garch process is not well calibrated because it cannot explain all the observed nonnormality but it does yield asymptotically valid hypothesis tests

testing for the cointegrating rank of a var process with structural shifts tests for the cointegrating rank of a vector autoregressive process are considered that allow for possible exogenous shifts in the mean of the data generation process the break points are assumed to be known a priori it is proposed to estimate and remove the deterministic terms such as mean linear trend term and a shift in a first step then systems cointegration tests are applied to the adjusted series the resulting tests are shown to have known limiting null distributions that are free of nuisance parameters and do not depend on the break point the tests are applied for analyzing the number of cointegrating relations in two german money demand systems

gender productive ability and the perceived returns to education evidence from rural india recent research has established the importance of perceived as opposed to actual returns as a determinant of educational investments we analyze data from india to highlight gender disparities in the perceived returns to education and the salience of productive characteristics

returns to education in india summary in india both men and women with more education live in households with greater consumption per capita yet aggregating across age cohorts and states an extra year of education brings male cohorts only 4 more consumption and provides no additional consumption for female cohorts this result is robust to 1 accounting for survey measurement error 2 different measures of household consumption and composition 3 allowing returns to differ by state and school quality and 4 age misreporting the only area with substantial returns is entering into regular wage work which still employs only a small fraction of the population

market reforms and commodity price volatility the case of east african coffee market the goal of this paper is to examine the impact of commodity market reforms on producer price volatility using evidence from the east african coffee market the results based on time varying volatility models and key summary statistics show that coffee market reforms in the east african community eac are associated with changes in producer price volatility and volatility persistence at both country and regional levels however reforms were not the only cause of changes in price volatility the study further shows that reforms had different effects on prices volatilities of arabica and robusta varieties of coffee grown in individual eac countries these findings have wider implication for commodity market reforms and producer price stabilisation policies in the eac and coffee producing countries in sub sahara africa

exploring the relationship between energy consumption and gdp evidence from croatia the main purpose of this paper is to explore the relationship between total energy consumption and real gross domestic product gdp covering the period between 1992 and 2010 in croatia the methodology employed in this paper is based on the bivariate vector autoregression var and granger causality tests moreover the impulse response function and variance decomposition analysis are employed to trace the dynamic response paths of shocks to the system the empirical analysis shows that when it is allowed for any deterministic component in the data total energy consumption and real gdp are not co integrated in the period observed furthermore there is a unidirectional causality running from total energy consumption to gdp and an impulse response to gdp caused by energy consumption being mainly embodied in the first years the results indicate that total energy consumption is an important component determining economic growth in croatia and that energy conservation policy should be formulated and implemented wisely this paper also tests the causality between real gdp and consumption of the five energy variables by using the bivariate var the main implication of these tests is that individual energy forms matter when it comes to energy policy formulation

energy consumption income and carbon emissions in the united states abstract this paper investigates the effect of energy consumption and output on carbon emissions in the united states earlier research focused on testing the existence and or shape of an environmental kuznets curve without taking energy consumption into account we investigate the granger causality relationship between income energy consumption and carbon emissions including labor and gross fixed capital formation in the model we find that income does not granger cause carbon emissions in the us in the long run but energy use does hence income growth by itself may not become a solution to environmental problems

valuing target price support programs with average option pricing the u s government deficiency payment program supplements farm income by transferring income from taxpayers to farmers when revenue lost due to the acreage restriction exceeds revenue gained from participating in the program farmers lose money by participating therefore measuring expected revenue from the government program is important so that farmers can decide whether to participate in the program this study uses a garch average option pricing model and the black average option pricing model to predict the implicit premium of the u s government deficiency payment program the average option pricing model considers the average price of the underlying asset over a fixed period a regression model based on the simulation results is provided so that the average option models can be easily used to project deficiency payments the results can be used by extension economists to help producers decide whether to participate in the program

irreversible decisions and record setting news principles in the now classical real options theory the price of an underlying asset is modeled as a geometric brownian motion and optimal exercise strategies are described by simple explicit formulas this paper extends the classical theory to allow any geometric levy process to model prices such processes may account for fat tails and skewness of probability distributions of commodity prices the optimal exercise strategies are specified in the paper in terms of statistics of record setting low or high prices the formulas derived extend those observed in the gaussian case but the form of the result is novel even for that case jel d81 g3