remittances from international migration a comparison of el salvador and nicaragua i use household data from el salvador and nicaragua to examine the determinants of remittances from international migration nearly twice as many households in san salvador the capital of el salvador receive remittances from relatives abroad than do households in managua the capital of nicaragua and of those who receive remittances the average remittances received in san salvador is over double that in managua 119 month to 45 month the difference is explained by differences in the behavioral coefficients and by differences in the self selection bias of those who remit out of the pool of emigrants between the two countries excerpt

nonmonetary effects of the financial crisis in propagation of the great depression this paper examines the effects of the financial crisis of the 1930s onthe path of aggregate output during that period our approach is complementary to that of friedman and schwartz who emphasized the monetary impact of the bank failures we focus on non monetary primarily credit related aspects of the financial sector output link and consider the problems of debtors as well as those of the banking system we argue that the financial disruptions of 1930 33 reduced the efficiency of the credit allocation process and that the resulting higher cost and reduced availability of credit acted to depress aggregate demand evidence suggests that effects of this type can help explain the unusual length and depth of the great depression this abstract was borrowed from another version of this item

market integration and price convergence in the european union abstract the implementation of international treaties in the european union was expected to promote integration of consumer markets using economist intelligence unit worldwide cost of living survey data i analyze the convergence of prices for a range of traded goods and find that large price differences remain across europe using high income non euro european countries as a control group i test the effect of the euro and the single european act on the convergence of prices within the european union using a difference in difference estimation strategy i find that the single european act rather than the euro reduced price differences and promoted market integration distinguishing between the two stages of the euro implementation shows increasing price divergence as a result of the common currency

stock price dynamics and firm size an empirical investigation we show that after controlling for the effects of bid ask spreads and trading volume the conditional future volatility of equity returns is negatively related to the level of stock price this leverage effect is stronger for small as compared to large firms we also document that while the essential characteristics of the relations between stock price dynamics and firm size are stable the strengths of the relationships appear to change over time a number of empirical studies have documented that stock volatility tends to fall subsequent to an increase in stock prices and rise following a decline in stock prices an observation commonly attributed to the leverage effect as explained by black 1976 leverage can induce future stock volatility to vary inversely with the stock price a fall in a firm s stock value relative to the market value of its debt causes a rise in its debt equity ratio and increases its stock volatility for example black 1976 and christie 1982 use individual securities and french schwert and stambaugh 1987 gallant rossi and tauchen 1990 schwert 1990 and nelson 1991 use market indices to provide evidence consistent with the leverage effect however these papers demonstrate a leverage effect either intertemporally or cross sectionally for some assets relatively little work has examined the intertemporal behavior of individual assets by taking into account conditional heteroskedasticity and changing expected returns in this paper we examine and characterize the cross sectional and temporal relations between stock price dynamics and firm size in particular we investigate the possibility of an inverse relation between future stock volatility and stock price and whether this effect varies across time and or across firms with different market capitalization our study uses the exponential garch egarch formulation of nelson 1991 as a model for the timeseries behavior of individual security returns nonparametric methods are

the determinants of migrant remittances this article explores the factors that account for variation in remittance flows why do some immigrants send much more money to their country of origin than others this is a question that in the aggregate has implications for national economies and migration related policy the analysis departs from the classic studies of remittances and considers how the context of contemporary migration in europe is likely to affect remittance patterns possible influences on remittance sending are disaggregated into nine domains and each is discussed with reference to theoretical arguments and empirical findings the temporal aspects of remittance sending are discussed separately the final section of the article considers implications of the micro level analysis for aggregate remittance flows and policy it is argued that the focus on altruism versus self interest in the literature has partly diverted attention from explaining the actual variation that is important in a policy perspective

the development of nominal wage rigidity in the late 19th century wage price and output indexes suitable for comparing cyclical movements across decades show a decrease in nominal wage flexibility the change in wage inflation associated with output fluctuations after the 1880s following an increase in strike frequency linked to the spread of large scale manufacturing cross sectional data show that firms in industries experiencing more strikes in the 1880s were less likely to cut nominal wages in the depression of 1893 this and other evidence suggests that the nineteenth century decrease in wage flexibility was caused by an increase in workers bargaining power in the absence of binding wage contracts copyright 1993 by american economic association

a model of u k emigration 1870 1913 this paper develops a simple time series model of emigration and applies it to data for emigration from the united kingdom 1870 1913 the model is derived from a macroeconomic analysis of the migration decision and provides a specific functional form and dynamic structure it encompasses and explains many of the empirical findings of earlier research on the determinants of emigration over this historical period the results support the model strongly in most respects both wage rates and employment rates in the sending and in the receiving countries influenced fluctuations in emigration the short run fluctuations were driven largely by variations in employment rates while the long run level of emigration was determined largely by the relative wage

the intertemporal relation between the u s and japanese stock markets this paper finds a high correlation between the open to close returns for u s stocks in the previous trading day and the japanese equity market performance in the current period in contrast the japanese market has only a small impact on the u s return in the current period high correlations among open to close returns are a violation of the efflcient market hypothesis however in trading simulations the excess profits in japan vanish when transactions costs and transfer taxes are included the two largest stock markets in the world in terms of capitalization volume and shares listed are the tokyo stock exchange tse and the new york stock exchange nyse because tokyo is 14 hours ahead of new york there is an eight and one half hour difference between the close of the tse and open of the nyse since there is no overlap between the two markets traders or technical analysts may look to the tse as a predictor of market movement on the nyse and or examine changes on the nyse as indicators of tse performance as shown in figure 1 the tse opens at 7 00 p m eastern standard time est and closes at 1 00 a m est 1 the nyse opens at 11 30 p m japanese time 9 30 a m est and closes at 5 00 a m japanese time 4 00 p m est thus there is no common time interval in which both markets are open high correlations between the respective open to close returns are a violation of the efficient market hypothesis because public information about the performance in one market could be used to profitably trade in another market if the markets are efficient information about the open to close performance in one market for example the u s return in period t 1 will be fully reflected in the open price of the other market japan in period t for example since new information flows randomly into the market subsequent price changes should be random and the open to close returns in japan will be uncorrelated with the u s returns thus the u s performance should affect the open price in japan and the correlation between the open to close returns of the two markets will be zero early research on the synchronization among stock prices across countries grubel 1968 levy and sarnat 1970 agmon 1972 ripley 1973 lessard

living and dying with hard pegs the rise and fall of argentina s currency board the rise and fall of argentina s currency board shows the extent to which the advantages of hard pegs have been overstated the currency board did provide nominal stability and boosted financial intermediation at the cost of endogenous financial dollarization but did not foster monetary or fiscal discipline the failure to adequately address the currency growth debt trap into which argentina fell at the end of the 1990s precipitated a run on the currency and the banks followed by the abandonment of the currency board and a sovereign debt default the crisis can be best interpreted as a bad outcome of a high stakes strategy to overcome a weak currency problem to increase the credibility of the hard peg the government raised its exit costs which deepened the crisis once exit could no longer be avoided but some alternative exit strategies would have been less destructive than the one adopted

spillover effects of germany s final demand on southern europe we use data from the world input output database to fit a closed multiregional input output model in order to estimate the size of spillover effects of germany s final demand on gdp employment and the trade balance in southern european countries we find that spillover effects are rather small germany alone will hardly make a significant contribution to the external adjustment process in the european south

when credit bites back using data on 14 advanced countries between 1870 and 2008 we document two key facts of the modern business cycle relative to typical recessions financial crisis recessions are costlier and more credit intensive expansions tend to be followed by deeper recessions in financial crises or otherwise and slower recoveries we use local projection methods to condition on a broad set of macro economic controls to study how past credit accumulation impacts key macro economic variables such as output investment lending interest rates and inflation the facts that we uncover lend support to the idea that financial factors play an important role in the modern business cycle

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

remittances from international migration a review in perspective abstract remittances the portion of international migrant workers earnings sent back from the country of employment to the country of origin have come to play a central role in the economies of labor sending countries recent research has tended to focus on enumerating the costs and benefits of remittances this paper proposes an alternative perspective and delineates the remittances system as a heuristic to clarify intermediate relationships between determinants and effects of remittances using the heuristic as a framework for review of recent literature concerning remittances the paper identifies gaps in currently available research and argues for greater focus upon the social and political consequences of remittance flows

large dynamic covariance matrices second moments of asset returns are important for risk management and portfolio selection the problem of estimating second moments can be approached from two angles time series and the cross section in time series the key is to account for conditional heteroscedasticity a favored model is dynamic conditional correlation dcc derived from the arch garch family started by engle 1982 in the cross section the key is to correct in sample biases of sample covariance matrix eigenvalues a favored model is nonlinear shrinkage derived from random matrix theory rmt the present article marries these two strands of literature to deliver improved estimation of large dynamic covariance matrices supplementary material for this article is available online

great expectations and the end of the depression what ended the great depression in the united states this paper suggests that the recovery was driven by a shift in expectations this shift was triggered by president franklin delano roosevelt s fdr policy actions on the monetary policy side roosevelt abolished the gold standard and announced an explicit policy objective of inflating the price level to pre depression levels on the fiscal policy side roosevelt expanded real and deficit spending which helped make his policy objective credible the key to the recovery was the successful management of expecta tions about future policy roosevelt s rise to power is modeled as a policy regime change as in thomas sargent 1983 and peter temin and barry wigmore 1990 this paper formalizes temin and wigmore s argu ment in a repeated game setting using a dynamic stochastic general equilibrium dsge model and argues that the regime change can account for the recovery in the model a regime change means the elimination of certain policy dogmas that constrain the actions of the government the regime change generates an endogenous shift in expectations due to a coordination of mon etary and fiscal policy this coordination ended the great depression by engineering a shift in expectations from contractionary i e the private sector expected future economic contrac tion and deflation to expansionary i e the public expected future economic expansion and inflation the expectation of higher future inflation lowered real interest rates thus stimulating demand while the expectation of higher future income stimulated demand by raising permanent income

from great depression to great credit crisis similarities differences and lessons the great depression of the 1930s and the great credit crisis of the 2000s had similar causes but elicited strikingly different policy responses while it remains too early to assess the effectiveness of current policy it is possible to analyse monetary and fiscal responses in the 1930s as a natural experiment or counterfactual capable of shedding light on the impact of current policies we employ vector autoregressions instrumental variables and qualitative evidence for 27 countries in the period 1925 39 the results suggest that monetary and fiscal stimulus was effective that where it did not make a difference it was not tried they shed light on the debate over fiscal multipliers in episodes of financial crisis they are consistent with multipliers at the higher end of those estimated in the recent literature and with the argument that the impact of fiscal stimulus will be greater when banking systems are dysfunctional and monetary policy is constrained by the zero bound miguel almunia agustin benetrix barry eichengreen kevin h o rourke and gisela rua

dynamic causality between the u s stock market the chinese stock market and the global gold market implications for individual investors diversification strategies this paper proposes a generalization of the prior var and egarch model to explore the linkage between returns and volatility transmissions in the u s stock market the chinese stock market and th

correlations in price changes and volatility across international stock markets the short run interdependence of prices and price volatility across three major international stock markets is studied daily opening and closing prices of major stock indexes for the tokyo london and new york stock markets are examined the analysis utilizes the autoregressive conditionally heteroskedastic arch family of statistical models to explore these pricing relationships evidence of price volatility spillovers from new york to tokyo london to tokyo and new york to london is observed but no price volatility spillover effects in other directions are found for the pre october 1987 period article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

motivations to remit evidence from botswana in this article a theory of motivations to send remittances is described and tested with data from botswana altruism is one of the motivations tested and found to be an insufficient explanation for remittances among migrants in botswana a refinement of the model stipulates a modified altruism or enlightened self interest in this model the relationship between the migrant and family is tempered by an implicit understanding of mutual benefit the household strategy may be to encourage some members to migrate as a means of spreading risk and sharing gains the household strategy is similar to an insurance policy where migration is to places where market potential is high the risks incurred might be high the example is given of migration during a drought in botswana migrant remittances were greater in households with more cattle or households with more to lose drought alone was not statistically related to remittances increases in remittances were related to increased levels of education it is suggested that repayment was the motive for parents investment in migrants education migrants gains are identified as the potential for an inheritance the security of channeling investments through a trusted family member and security in having a home to return to it is pointed out that the altruism and family remittances from urban migration were strategies that bridged the simple dynamic of either urban development or rural development impacting on family welfare it is suggested that household models of economy adopt some measure to express the relationship of household wealth to remittances from urban migrants

for health strength and daily food the dual impact of remittances and public health expenditure on household health spending and child health outcomes abstractchild and infant mortality in developing countries decreased 33 5 per cent and 30 9 per cent respectively during 1995 2009 while remittances and public health spending more than doubled i examine how remittances and government health spending improve these child health outcomes neither government health spending nor remittances causally affect household health spending public health spending has an insignificant negative impact on mortality the increase in remittances causally accounts for 32 per cent and 37 per cent of the decline in child and infant mortality respectively remittances reduce mortality through improved living standards from the relaxation of households budget constraints

wage adjustment under low inflation evidence from u s history data from recent years indicate that employers are especially unlikely to cut the nominal wage rate paid for a job adjustments to real or relative wages that require absolute cuts in money wages are very rare relative to the frequency one might expect to observe based on distributions of wage changes that do not require money wage cuts erica l groshen and mark e schweitzer 1995 1997 david e lebow et al 1999 a worker who remains with the same employer from one year to the next is accordingly unlikely to report an absolute reduction in the nominal wage he receives david card and dean hyslop 1997 shulamit kahn 1997 joseph g altonji and paul j devereux 1999 the existence and causes of downward nominal wage rigidity have implications for macroeconomic outcomes and for practical issues in monetary policy presumably efficient operation of labor markets requires many downward adjustments of relative wages and occasional decreases in the overall wage level relative to product prices if the average rate of wage inflation were close to zero some of these relative or real wage adjustments would be blocked by a floor under current levels of nominal wage rates george a akerlof et al 1996 assert that downward nominal wage rigidity reflects fundamental preferences of workers and argue that it implies a central bank should target a rate of price inflation greater than zero because a target of zero inflation will impose permanent real costs on the economy p 2 the notion that downward nominal wage rigidity is a fundamental constraint so that inflation serves to grease the wheels of the labor market is controversial even among those who accept the possibility of nominal rigidities in general it has been argued that downward nominal wage rigidity as distinct from such phenomena as menu costs which would discourage adjustment of a wage in either direction david romer 1993 may be an artifact of an inflationary monetary regime and would disappear in the absence of persistent inflation nominal wage reductions would no longer be seen as unusual if the average nominal wage was not growing workers would not see them as unfair and firms would not shy away from imposing them robert j gordon 1996 p 62 see also n gregory mankiw 1996 william poole 1998 william b english 2000 to see whether downward nominal wage rigidity would exist in a noninflationary regime it may be useful to examine data from times and places where there was no persistent wage inflation for the united states at least that excludes data from years since the second world war throughout the postwar period price inflation or real wage growth has been sufficient to keep average wage inflation above zero before the second world war on the other hand long run trend rates of price inflation were often close to zero or negative robert b barsky 1987 if wage inflation was correspondingly low u s historical data may offer tests of the proposition that downward nominal wage rigidity exists even in noninflationary

stability without a pact lessons from the european gold standard 1880 1914 stability pacts european lessons from the gold standard the gold standard was a system of fixed exchange rates that offered little opportunity for carrying out monetary policies short of suspending gold convertibility trade integration and capital mobility were very high it is worthwhile asking whether there are useful lessons to draw for emu from european experience during that period one clear lesson is that debts matter another basic finding is that the stability of the european gold standard depended on the underlying price trend deflation prior to 1895 resulted in rising public debt burdens which forced some countries to leave the system once gold was discovered and deflation gave way to inflation real interest service fell debts grew more slowly and a high degree of convergence allowed most countries to return to gold for emu this result implies that stability will hinge on the ecb s policy not being too restrictive other lessons concern the fragility of institutions in the face of deep public finance difficulties the risks for the single market of leaving out countries that have not fully converged and the existence of a virtuous cycle including low real interest rates fast growth and debt reduction marc flandreau jacques le cacheux and frederic zumer

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

business cycles in international historical perspective business cycle models seek to answer the question of why economies go through cycles of recession and recovery or boom and bust any theory of the business cycle makes two sorts of claims what shocks are most important in disturbing the economy and what economic structure is necessary for propagating these shocks for example one common explanation of business cycles begins with monetary shocks and then seeks to explain why monetary shocks are not purely neutral as neoclassical theory would have it and instead have real effects at least in the short term early models in this vein were often implicitly or explicitly based on the proposition that markets do not clear continuously early equilibrium real business cycle theories instead emphasized the importance of real shocks especially to technology which may cause socially efficient fluctuations even when markets are always in equilibrium more recent models have attempted to marry the equilibrium approach to macroeconomics with the substantive keynesian ideas that money is not neutral and that economic fluctuations are costly new keynesian theories of the business cycle admit the possibility of a number of economic shocks including monetary and technology shocks but then focus on explaining how nominal price rigidities within the economy can turn these shocks into recessions or booms other models show that business cycles driven by keynesian animal spirits are consistent with rigorous microfoundations and rational expectations seeking empirical evidence for and against these various approaches we turn business cycle theories loose on perhaps the greatest macroeconomic laboratory

brain drain and ldcs growth winners and losers we present an empirical evaluation of the growth e ects of the brain drain for the source countries of migrants using recent us data on migration rates by education levels carrington and detragiache 1998 we nd empirical support for the bene cial brain drain hypothesis in a sample of 50 developing countries at the country level we distinguish between winners and losers among source countries while the number of winners is smaller these include nearly 80 of the total population of developing countries jel classi cation f22 j24 o15

international transmission of stock market movements this paper investigates the international transmission mechanism of stock market movements by estimating a nine market vector autoregression var system using simulated responses of the estimated var system we i locate all the main channels of interactions among national stock markets and ii trace out the dynamic responses of one market to innovations in another generally speaking a substantial amount of multi lateral interaction is detected among national stock markets innovations in the u s are rapidly transmitted to other markets in a clearly recognizable fashion whereas no single foreign market can significantly explain the u s market movements also the dynamic response pattern is found to be generally consistent with the notion of informationally efficient international stock markets

the optimal migration duration and activity choice after re migration if migrants return to their origin countries two questions arise which are of immediate economic interest for both immigration and emigration country what determines their optimal migration duration and what are the activities migrants choose after a return little research has been devoted to these two issues this paper utilises a unique survey data set which records activities of returned migrants we first illustrate the activities of immigrants after returning we show that more than half of the returning migrants are economically active after return and most of them engage in entrepreneurial activities we then develop a model where migrants decide simultaneously about the optimal migration duration and their after return activities guided by this model we specify and estimate an empirical model where the after return activity and the optimal migration duration are simultaneously chosen

the effects of international migration on migrant source households evidence from ethiopian diversity visa lottery migrants about a million people have migrated to the us via the diversity visa dv lottery the dv was instituted by an act of the united states congress to diversify the u s population through a lottery made available to people from countries with historically low rates of immigration to the country in any given year the probability of winning the lottery is less than 1 with millions of people from around the world competing for a maximum of 55 000 immigrant visas that can be obtained through this migration channel using ethiopian dv participants which have consistently made up between 6 and 8 of all dv immigrants i study the causal effects of emigration on the well being of the migrant sending families i infer that migration contributes positively to the welfare of the source families overall migration increases consumer expenditure but has no effect on savings and business ownership of the senders the positive treatment effects do not diminish with duration of emigration migrant men contribute more to the increase in their families standard of living than their female counterparts do while expenditure on food and energy are invariant to the migrants gender the gains in terms of durable ownership access to clean water and sanitation facilities occur almost entirely in families where the emigrants are men i find that dv participants are favorably selected relative to the overall population

remittances and the wage impact of immigration this paper examines how the outflow of remittances affect the wages of native workers the model shows that the wage impact of immigration depends on the competing effects of an increase in labor market competition and an increase in the consumer base immigrant remittances provide a unique way of isolating this latter effect because they reduce the consumer base but not the workforce the predictions of the model are tested using an unusually rich german data set that has detailed information on remittances and wages as expected the results indicate that a 1 percent increase in remittances depress the wages of native workers by 0 06 percent furthermore remittances predominantly affect workers in nontraded industries that are more reliant on domestic consumption

does human capital constrain the impact of foreign direct investment and remittances on economic growth in ghana this article empirically investigates whether human capital constrains the impact of foreign direct investment fdi and remittances on economic growth in ghana an economic growth model for ghana is specified and estimated using fully modified ordinary least squares fmols estimator and employing annual data spanning the period 1965 to 2008 empirical results indicate that fdi and remittances are key determinants of economic growth in ghana results indicate that human capital enhances the impact of fdi and remittances on economic growth although both government expenditure and trade openness are growth enhancing government expenditure appears to crowd out private investment empirical results also indicate that domestic inflationary pressures unstable political environment and volatile global economy exert a negative impact on economic growth in ghana

stuck on gold real exchange rate volatility and the rise and fall of the gold standard 1875 1939 abstract did the gold standard diminish macroeconomic volatility supporters thought so critics thought not and theory offers ambiguous messages hard regimes like the gold standard limit monetary shocks by tying policymakers hands but exchange rate inflexibility compromises shock absorption in a world of real disturbances and nominal stickiness a model shows how lack of flexibility affects the transmission of terms of trade shocks evidence from the late nineteenth and early twentieth century exposes a dramatic change the classical gold standard did absorb shocks but the interwar gold standard did not supporting the view that the interwar gold standard was a poor regime choice

volatility spillover and multivariate volatility impulse response analysis of gfc news events abstractthis article applies two measures to assess spillovers across markets the diebold and yilmaz s 2012 spillover index and the hafner and herwartz s 2006 analysis of multivariate garch models using volatility impulse response analysis we use two sets of data daily realized volatility rv estimates taken from the oxford man rv library for the s p500 and the ftse plus 10 years of daily returns series for the new york stock exchange index and the ftse 100 index both data sets capture both the global financial crisis gfc and the subsequent european sovereign debt crisis esdc the spillover index captures the transmission of volatility to and from markets plus net spillovers the volatility impulse responses virf have to be calibrated to conditional volatility estimated at a particular point in time we explore the impact of three different shocks the onset of the gfc the height of the gfc and the impact of the esdc our modelling includes leverage and asymmetric effects applying a mu

nominal wage stickiness and aggregate supply in the great depression building on earlier work by eichengreen and sachs we use data for 22 countries to study the role of wage stickiness in propagating the great depression recent research suggests that monetary shocks transmitted internationally by the gold standard were a major cause of the depression accordingly we use money supplies and other aggregate demand shifters as instruments to identify aggregate supply relationships we find that nominal wages adjusted quite slowly to falling prices and that the resulting increases in real wages depressed output these findings leave open the question of why wages were so inertial in the face of extreme labor market conditions

evolution in dynamic linkages across daily national stock indexes abstract this article investigates how dynamic linkages among the daily rates of return of eight national stock indexes have evolved since 1972 a dynamic simultaneous equations model is estimated to describe the contemporaneous and lead lag relationships across national equity markets over three different years 1972 1980 and 1987 results reveal growing market interdependence within the same geographical region over time while there are many significant intermarket relationships within the same 24 hour period there are few significant lagged responses across markets beyond 24 hours this suggests a high degree of international market efficiency furthermore japan s market influence has been growing to rival that of the usa

determinants of remittances the case of the south asian community in manchester this paper investigates the remittance behaviour of the south asian community using new data from indian pakistani and bangladeshi households in manchester the findings show that standard variables such as income employment education linkages to the home country and host country are important determinants of remittances although remittances are sent mainly for consumption purposes those sent for land acquisition and savings have stronger association with the amount of remittances in addition we find strong evidence for the remittance decay hypothesis for indian and pakistani migrants but not for bangladeshi migrants

why do migrants remit this paper examines primary incentives of remitting using estimated bilateral data on remittances this paper demonstrates that a rise in the home remittance receiving country s gross national income gni per capita leads to fewer remittances and that a rise in the host remittance sending country s gni per capita motivates migrants to remit more real exchange rates and real interest rates have no effect on remittances these results indicate that altruism is an important and critical component of motivations behind remittances however altruism alone does not appear to be a sufficient explanation of the motivations behind remittances other incentives such as loan repayment and investment play a non negligible role in this regard as well the degree of altruism is higher for migrants from developing countries in comparison with migrants from developed countries and it is higher when we define remittances as personal transfers rather than personal transfers and compensation of employees the results of the vector error correction model show if remittances deviate from the equilibrium relationship they will eventually revert

the economics of temporary migrations many migrations are temporary a fact that has often been ignored in the economic literature on migration such omission may be serious in that expected migration temporariness can impart a distinct dynamic element to immigrants economic behavior generating possible consequences for nonmigrants in both home and host countries in this paper we provide a thorough examination of the various aspects of temporary migrations that matter for the analysis of economic phenomena we demonstrate the extent of temporary migrations in population movements we show how temporariness can affect the various economic choices and how better data have improved both the measurement of nonpermanent migrations and the analyses of various aspects of migrant behavior we propose a general theoretical framework for modeling temporary migration decisions based on which we outline the various motives for temporariness while simultaneously reviewing related literature and available data sources we discuss the possible consequences of migration temporariness for nonmigrants in both home and host countries jel f22 f24 j11 j61 k37 o15

hourly volatility spillovers between international equity markets abstract this paper examines the timing of mean and volatility spillovers between new york and london equity markets using an arch model it is found that the evidence of volatility spillovers between these markets is minimal and have a duration which lasts only an hour or so the most significant effects surround the movement of share prices around the new york opening but these results are not strong several new arch models are estimated including an asymmetric or leverage model and a non linear model which allows big shocks to have a different impact from small shocks

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

remittances and portfolio values an inquiry using immigrants from africa europe and the americas summary using a recent spanish database we show that remittances respond to cross country differences in portfolio values behavior consistent with immigrant s access to trans national networks responsiveness to portfolio variables is found to persist regardless of education level there are however differences in the portfolio variables to which immigrants respond as we would expect given migrants diverse backgrounds region of origin and motive for emigrating remitting patterns are found to change with the length of migration spells suggestive that remittances sent for portfolio motives become more likely as the immediate needs of home family are addressed and asset accumulation becomes more important

stock returns and volatility an empirical study of the uk stock market abstract attempts to quantify the relationship between stock returns and volatility have produced conflicting conclusions in recent u s studies our paper examines this issue in the u k context for the first time using daily weekly fortnightly and monthly returns on the financial times all share index from january 1965 to december 1989 volatility estimates are obtained from monthly sample variances and arch models expected returns are shown to have had a positive though not statistically significant relationship with expected volatility the relationship between the unexpected components of the returns and volatility series is less clear we find evidence for a negative relationship but only when volatility expectations are represented by standard deviations

modeling heteroscedasticity in daily foreign exchange rates this article estimates autoregressive conditionally heteroscedastic arch and generalized arch garch models for five foreign currencies using 10 years of daily data a variety of arch and garch specifications a number of nonnormal error densities and a comprehensive set of diagnostic checks it finds that arch and garch models can usually remove all heteroscedasticity in price changes in all five currencies goodness of fit diagnostics indicate that exponential garch with certain nonnormal distributions fits the canadian dollar extremely well and the swiss franc and the deutsche mark reasonably well only one nonnormal distribution fits the japanese yen reasonably well none fit the british pound

implementing the new fiscal policy activism to many observers the current recession provides compelling circumstances for renewed fiscal policy activism but the strong support for fiscal policy intervention reflects a renewed belief in policy activism that had already appeared before the present crisis however the recent debate about possible fiscal policy interventions suggests that we are still relying on the approaches to discretionary policy used in past periods of policy activism it is not surprising that there have been few advances in discretionary policy design given the lack of favor such policy suffered over many years but if we are going to practice fiscal discretionary policy on a large scale then more attention to policy design is sorely needed this abstract was borrowed from another version of this item

trade and empire we employ a new database of over 21 000 bilateral trade observations from 1870 1913 to assess the contemporaneous effects of empire on trade our analysis shows that belonging to an empire roughly doubled trade relative to those countries that were not part of an empire the use of a common language the establishment of currency unions the monetisation of recently acquired colonies and the establishment of preferential trade agreements and customs unions help to account for the observed increase in trade associated with empire

fetters of gold and paper we describe in this essay why the gold standard and the euro are extreme forms of fixed exchange rates and how these policies had their most potent effects in the worst peaceful economic periods in modern times while we are lucky to have avoided another catastrophe like the great depression in 2008 9 mainly by virtue of policy makers aggressive use of monetary and fiscal stimuli the world economy is still experiencing many difficulties as in the great depression this second round of problems stems from the prevalence of fixed exchange rates fixed exchange rates facilitate business and communication in good times but intensify problems when times are bad

internal or external devaluation what does the ec consumer survey tell us about macroeconomic adjustment in the euro area this paper explores the dynamics of national inflation expectations within the euro area during the recent crisis using the european commission s consumer survey we find that the strong anchoring of area wide inflation expectations which is typically found in the literature does not extend to individual member states we also measure the effect of the crisis on national inflation expectations using sovereign bond spreads and find that increases in sovereign risk have a significant negative effect on inflation expectations this suggests that consumers expect their country to adjust through a process of internal devaluation in contrast we find no evidence that tensions in the sovereign bond markets increase national inflation expectations as one would be expect under an exit or breakup scenario

dynamic correlation and equicorrelation analysis of global financial turmoil evidence from emerging east asian stock markets abstractthis study investigates the dynamic conditional correlations dccs between eight emerging east asian stock markets and the us stock market and analyses the dynamic equicorrelation among these nine stock markets we find a significant increase in the conditional correlations and equicorrelation in the first phase of the global financial crisis we refer to this finding as contagion from the us stock market to the emerging east asian markets we also find an additional significant process of increasing correlations and equicorrelation herding in the second phase of the global financial crisis further we employ two new models namely dccx mgarch a dcc multivariate garch model with exogenous variables and decox mgarch a dynamic equicorrelation multivariate garch model with exogenous variables to identify the channels of contagion we find that an increase in the vix index increases the conditional correlations and equicorrelation while increases in ted spreads decrease the conditional corre

meteor showers or heat waves heteroskedastic intra daily volatility in the foreign exchange market this paper seeks to explain the causes of volatility clustering in exchange rates careful examination of intra daily exchange rates provides a test of two hypotheses heat waves and meteor showers the heat wave hypothesis is that the volatility has only country specific autocorrelation alternatively the meteor shower is a phenomenon of intra daily volatility spillovers from one market to the next using the garch model to specify the heteroskedasticity across intra daily market segments we find that the empirical evidence is generally against the null hypothesis of the heat wave using a volatility type of vector autoregression we examine the impact of news in one market on the time path of per hour volatility in other markets

sovereign risk credibility and the gold standard 1870 1913 versus 1925 31 author s obstfeld maurice taylor alan m abstract what determines sovereign risk we study the london bond market from the 1870s to the 1930s our findings support conventional wisdom concerning the low credibility of the interwar gold standard before 1914 gold standard adherence effectively signalled credibility and shaved up to 30 basis points from country borrowing spreads in the 1920s however simply resuming prewar gold parities was insufficient to secure benefits countries that devalued before resumption were treated more favorably and markets scrutinized other signals public debt and british empire membership were important determinants of spreads after world war one but not before

endogeneity and sample selection in a model for remittances abstract we estimate a remittance model in which we address endogeneity and reverse causality relationships between immigrants remittances pre transfer income and consumption in order to take into account the fact that a large share of individuals do not remit instrumental variable variants of the double hurdle and heckit selection models are proposed and estimated by limited information ml semiparametric extensions are considered as robustness checks our results for a sample of recent immigrants to australia show that endogeneity is substantial and that estimates obtained by the methods previously employed in the literature may be misleading if given a behavioral interpretation

remittances and temporary migration in this paper we study the remittance behavior of immigrants and how it relates to temporary versus permanent migration plans we use a unique data source that provides unusual detail on remittances and return plans and follows the same household over time our data allows us also to distinguish between different purposes of remittances we analyze the association between individual and household characteristics and the geographic location of the family as well as return plans and remittances the panel nature of our data allows us to condition on household fixed effects to address measurement error and reverse causality we use an instrumental variable estimator our results show that changes in return plans are related to large changes in remittance flows

gaucho banking redux argentina s economic crisis has strong similarities with previous crises stretching back to the nineteenth century a common thread runs through all these crises the interaction of a weak undisciplined or corruptible banking sector and some other group of conspirators from the public or private sector that hasten its collapse this pampean propensity for crony finance was dubbed gaucho banking more than one hundred years ago what happens when such a rotten structure interacts with a convertibility plan we compare the 1929 and 2001 crises the two instances where rigid convertibility plans failed and reach two main conclusions first a seemingly robust currency board can be devastated by an ill conceived approach to the problems of internal and external convertibility or to rephrase gresham bad inside money drives out good outside money second when modern economic orthodoxy collides with caudillo style institutional backwardness a desperate regime with its hands tied in both monetary and fiscal domains will be sorely tempted by a capital levy on the financial sector for as willie sutton said when asked why he robbed banks because that s where the money is

precautionary saving by young immigrants and young natives 1 introduction and literature review foreign born population accounted for approximately 9 of the total population residing in the united states by the mid 1990s and including their children they were responsible for approximately 51 of the u s population growth martin 1995 these dramatic changes in the u s population have prompted much economic research on the immigrant population but despite the great deal of attention that has been paid to the labor market progress of immigrants little is known about their saving and wealth accumulation patterns 1 many studies requiring information on the saving behavior of immigrants simply assume that immigrant savings parallel that of natives macurdy nechyba and bhattacharya 1998 however it may be the case that immigrants behave differently have different motives different opportunities and different needs with respect to saving and wealth accumulation vis a vis natives most of the limited literature on the saving behavior of immigrants is inspired by european and middle eastern guest worker migration and consequently is geared to the behavior of temporary migrants 2 three papers that focus on the saving behavior of immigrants in general are the papers by galor and stark 1990 carroll rhee and rhee 1994 and dustmann 1997 galor and stark note that immigrants and natives differ from one another in their migration probabilities because immigrants have ties to other countries it is more likely that they emigrate relative to the native born worker 3 using an overlapping generations model galor and stark show that the higher the probability of emigration the higher is the level of savings hence they predict immigrants save more than the native born dustmann models precautionary savings and assumes that immigrants maximize expected lifetime utility from consumption in the host and home country proportionally to the lifetime spent abroad and at home 4 under appropriate restrictions 5 dustmann shows that if labor markets in the home and host countries are uncorrelated immigrants will carry out more precautionary savings relative to a comparable native worker because immigrants will be subject to greater income risk in the host country 6 however it is also possible in dustmann s formulation to have immigrants engaging in less precautionary saving relative to native workers for example if economic conditions across the two countries are correlated immigrants could be subject to less lifelong income risk than natives given their ability to diversify away labor market risk by operating in two markets rather than just one as in the case of natives additionally if the risk preferences of natives and immigrants are different then the precautionary saving motive could be more or less pronounced in one group relative to the other all else equal carroll rhee and rhee 1994 use the canadian survey of family expenditures to compare saving behavior of immigrants to canada from different regions of the world they conclude that immigrant saving does not significantly differ by country of origin however they do find that recent immigrants save less than do canadian born and that immigrants saving behavior approaches the pattern of the canadian born over time overall the theoretical literature tends to favor the hypothesis that immigrants carry out more precautionary savings than natives which could result in immigrants accumulating more wealth than natives immigrants face greater uncertainty regarding their labor market participation labor market progress and health care coverage these factors along with geographic distance may make it more difficult to obtain financial support from family members in times of necessity requiring that immigrants maintain larger stocks of precautionary saving but dustmann s model in consonance with a widely held view also allows for immigrants to be more risk tolerant than natives since they are willing to undergo higher uncertainties and risks when they decide to migrate to a new country barsky et al

to remit or not to remit that is the question a remittance field experiment we conduct a remittance field experiment among salvadoran migrants in the metro dc area migrants need to decide whether or not to remit funds to a recipient in el salvador and if so how much we maintain a 2x2 design in which the remittance budget has a value of 400 or 200 and the remitted funds arrive as cash or grocery vouchers that are non transferable and applicable to basic necessities that do not include alcohol and cigarettes each migrant is randomly allocated to one of the resulting four treatments we test across these treatments whether control over remittance spending in the form of grocery vouchers affects remittance behavior we find the following our quantitative findings suggest that migrants prefer a remittance to arrive as cash than as groceries when stakes are high this result is robust to inclusion of a wide set of covariates and is consistent with a conceptual framework in which migrants have preferences over how recipients spend remittances our qualitative findings suggest that migrants integrate amounts sent in the experiment with the external environment for sending remittances we explore the mechanisms underlying the main effect and find that migrants who more recently sent a remittance and in certain specifications male migrants exhibit a greater preference for cash some implications of our findings are discussed

remitting behaviour of turkish migrants evidence from household data in germany this paper provides an empirical analysis of the remittances of turkish migrants using novel data from 589 households in berlin which holds the largest turkish community outside turkey the findings suggest that the remittances of turkish migrants are determined mainly by a combination of self interest and tempered altruism comparison of migrant groups who do and do not intend to return to turkey shows that those intending to return remit mostly for self interest and remit larger amounts while those with no such intention remit mainly due to implicit loan agreement within the family there is no evidence of pure altruism in any of the samples in addition remitters are more likely to increase the amount of remittances where they are to be spent on education and investment the same relationship does not hold for basic needs

diaspora growth and aggregate remittances an inverted u relationship this paper presents a model in which remittances stem from a decision made jointly by a family coalition of multiple migrants and non migrants allowing two alternative interpretations migrants a

drivers and dynamics of internal and international remittances this article analyses whether and how intra household remittance volumes vary with the length of a migrant s absence and whether the drivers and dynamics of remittance decay depend on the migrant s destination we address these questions by using data from the 64th round of the indian national sample survey conducted between july 2007 and june 2008 we find that the average intra household remittance function follows a curvilinear trajectory that is best approximated by a quartic m shaped specification the volatility of intra household remittances is distinct across migration destinations with international remittance flows being more volatile than internal intra state or inter state flows

cross of euros the eurozone currently confronts severe short run macroeconomic adjustment problems and a deficient institutional architecture that has to be reformed in the longer run europe s efforts at economic and monetary union are historically unprecedented however the gold standard provides lessons regarding what will and won t work macroeconomically and politically in the short run while us history provides long run lessons regarding appropriate institutional structures the latter also suggests that institutional reform only happens at times of great crisis and that it cannot be taken for granted the eurozone s leaders may therefore ultimately have to take heed of the lessons of history regarding currency union breakups