forecasting the exchange rate a monetary or random walk phenomenon abstract this paper evaluates the forecasting accuracy of monetary and random walk models of the exchange rate instrumental variable estimates of the simple monetary model are not supported by the data while the full information maximum liklihood estimates of its rational expectations counterpart are the rational expectations monetary model is operationalized using the results of hansen and sargent 1980 and flavin 1981 and box jenkins time series techniques monthly data on the us and uk economics over the recent flexible exchange rate period serve as the case study

short run forecasting of the euro dollar exchange rate with economic fundamentals abstract we propose a fundamentals based econometric model for the weekly changes in the euro dollar rate with the distinctive feature of mixing economic variables quoted at different frequencies the model obtains good in sample fit and more importantly encouraging out of sample forecasting results at horizons ranging from one week to one month specifically we obtain statistically significant improvements upon the hard to beat random walk model using traditional statistical measures of forecasting error at all horizons moreover our model obtains a great improvement when we use the direction of change metric which has more economic relevance than other loss measures with this measure our model performs much better at all forecasting horizons than a naive model that predicts the exchange rate as an equal chance to go up or down with statistically significant improvements

trader see trader do how do small fx traders react to large counterparties trades abstract we show that information about the counterparty of a trade affects the future trading decisions of individual traders the effect is such that traders tend to reverse their order flow in line with the better informed counterparties informed traders primarily incorporate their own private as well as publicly available information into prices whereas uninformed traders mainly magnify the effect of the informed this pattern of interaction among traders extends to different order types traders treat their own and others market orders as more informative than limit orders

global microstructures the virtual societies of financial markets using participant observation data interviews and trading transcripts drawn from interbank currency trading in global investment banks this article examines regular patterns of integration that characterize the global social system embedded in economic transactions to interpret these patterns which are global in scope but microsocial in character this article uses the term global microstructures features of the interaction order loosely defined have become constitutive of and implanted in processes that have global breadth this study draws on schutz in the development of the concept of temporal coordination as the basis for the level of intersubjectivity discerned in global markets this article contributes to economic sociology through the analysis of cambist i e trading markets which are distinguished from producer markets and by positing a form of market coordination that supplements relational or network forms of coordination

the use of flow analysis in foreign exchange exploratory evidence abstract this paper provides questionnaire evidence on the role of flow analysis for professional traders and fund managers this evidence suggests that besides fundamental information and technical analysis the analysis of flows provides an independent third type of information for professionals the view that flows can be used to learn about fundamentals is not consistent with the data instead evidence indicates that flows more likely provide insight into semi fundamental private information

capital investments and resource extraction from non identical deposits abstract taking account of necessary investments in physical capital we characterize the optimal investment and extraction program for exploiting several non identical deposits of an exhaustible resource under the given technology assumptions capital investments will be concentrated up front if deposits are identical in the case of non identical deposits it may be optimal to have investments spread out over time moreover the smallest deposit is depleted first

the influence of fundamentals on exchange rates findings from analyses of news effects as we survey the literature of macroeconomic news in the foreign exchange market we can by now look back on nearly 30 years of research the first studies which analysed news effects on exchange rates were established in the early 1990s see for example dornbusch almost at the same time meese and rogoff published their influential paper revealing the forecasting inferiority in exchange rates of structural models against the random walk this finding has shocked the pillars of exchange rate economics and thus cast general suspicion on research focusing on fundamentals in this field the eventual rising popularity of event studies can partly be attributed to the re establishment of the raison d etre of exchange rate economics this work focuses on systematically surveying this literature with particular respect to its primary goal i e shedding light on the analytical value of fundamental research thus its major findings are first fundamental news does matter whereas non fundamental news matters to a lesser degree second news influences exchange rates via two separated channels i e incorporating common information into prices directly or indirectly based upon order flow third with a few exceptions the impact of fundamental news on exchange rates is fairly stable over time

announcing climate policy can a green paradox arise without scarcity unintended consequences of a pre announced climate policy are studied within a framework that allows for competition between polluting and clean energy sources we show that early announcement of a carbon tax gives rise to a green paradox in that it increases emissions in the interim period between announcement and actual implementation irrespective of the scarcity of fossil fuels the paradoxical outcome is driven by consumption saving tradeoffs facing households who seek to smooth consumption over time and holds both when the announced implementation date is taken as a credible threat and when households are skeptical about the political will or capability of the government to implement the policy as announced

natural resource economics under the rule of hotelling abstract natural resource stocks held in situ are physical assets equilibrium in the assets market requires that their rates of return be such that their owners are just willing to hold on to them rather than invest elsewhere i discuss a number of factors relating to the evolution of extraction costs to the durability of the resource to market structure and to uncertainty that are important in correctly characterizing the rate of return on holding exhaustible natural resource stocks the emphasis is put on how those factors can potentially help bridge the gap between the basic hotelling s rule of natural resource exploitation and the historical behaviour of the flow price of a number of resources i also highlight some theoretical and empirical issues that need further attention

on the optimal order of natural resource use when the capacity of the inexhaustible substitute is limited consider a general equilibrium framework where the marginal cost of extraction from several deposits of an exhaustible resource is constant in terms of an inexhaustible perfect substitute and differs between deposits the instantaneous rate of production form the inexhaustible resource is subject to a capacity constraint

the existence and capitalization of neighborhood externalities a reassessment an anomalous result in the empirical literature on residential property values has been the inability to measure the capitalization of negative neighborhood externalities using disaggregate data this result has persisted with few exceptions across data sets and across definitions of externality and neighborhood this paper argues that the literature may have misspecified the theoretical relationship between residential property values and neighborhood externalities and that this could explain the lack of observed capitalization a new specification is proposed and given a preliminary test the conventional literature on neighborhood externalities can be summarized by the hedonic price equation

the foreign exchange market a random walk with a dragging anchor this paper explores some anomalies in the foreign exchange market it is hard to find evidence of either short term overshooting or of longer term reversion to an equilibrium the forward exchange rate contains virtually no information on future spot rates discussions with practitioners indicate that longer term speculation based on fundamentals is strictly limited and survey data and other evidence suggest that expectations and speculation are based on a variety of models the interplay between speculation based on fundamentals and on a random walk or chartist approach influences the outcome this endorses the prior model of j a frankel and k a froot copyright 1988 by the london school of economics and political science

extraction capacity and the optimal order of extraction the least cost first extraction rule for deposits with different extraction costs previously has been shown to be invalid in general equilibrium this paper demonstrates that this rule also does not hold in partial equilibrium when extraction capacity is limited necessary and sufficient conditions for several surprising extraction orders are presented if extraction from a high cost resource is constrained it may be optimal to begin extraction from a high cost deposit or backstop strictly before extracting from a lower cost deposit if extraction from a low cost resource is limited it may be optimal to exhaust a high cost deposit strictly before the low cost deposit is exhausted or to abandon extraction temporarily from a high cost deposit and then to exhaust it later the analysis demonstrates how extraction constraints affect the order of extraction and shows that certain cost reversals are caused by limited extraction capacity rather than by the general equilibrium definition of extraction costs

using survey data to test standard propositions regarding exchange rate expectations survey data provide a measure of exchange rate expectations superior to the forward rate in that no risk premium interferes we estimate extrapolative adaptive and regressive models of expectations static or random walk expectations and bandwagon expectations are rejected current appreciation generates the expectation of future depreciation because variables other than the contemporaneous spot rate receive weight in comparing expectations to the process governing the spot rate we find statistically significant bias no variable is as ubiquitous in international financial theory and yet as elusive empirically as investors expectations regarding exchange rates in the past expectations have been modeled in an ad hoc way often by using the forward exchange rate there is however a serious problem with using the forward discount as the measure of the expected change in the exchange rate in that the two may not be equal the gap that may separate the forward discount and expected depreciation is generally interpreted as a risk premium most of the large empirical literature testing the unbiasedness of the forward exchange rate for example has found it necessary either arbitrarily to assume away the existence of the risk premium if the aim

currency fluctuations in the post bretton woods era the international monetary landscape that has emerged since the felling of bretton woods is characterized by a hybrid exchange rate system that lies somewhere between the textbook polar cases of a gold standard and a pure float this system has relatively flexible exchange rates between major countries active central bank intervention in the market for the major currencies and predominantly fixed exchange rates relative to the dollar or to some basket of currencies for less developed countries and newly industrializing nations the majority of research on currency markets since the early 1970s has focused on the characteristics of flexible exchange rates under this hybrid regime my thesis is that this research has been unsuccessful the proportion of monthly or quarterly exchange rate changes that current models can explain is essentially zero even after the fact forecasts that use actual values instead of forecasted values of the explanatory variables cannot explain major currency movements over the post bretton woods era this result is quite surprising since exchange rate changes would be entirely unpredictable only in very special cases of the theoretical models discussed as the discussion below will argue it is not a general implication of market efficiency that exchange rates follow a random walk process 1

competing land uses and fossil fuel and optimal energy conversion rates during the transition toward a green economy under a pollution stock constraint abstract we study the transition to a carbon free economy in a model with a polluting non renewable resource and a clean renewable resource transforming primary energy into ready to use energy services is costly and more efficient energy transformation rates are more costly to achieve renewable energy competes with food production for land and the food productivity of land can be improved at some cost to avoid catastrophic climate damages the pollution stock is mandated to stay below a given cap when the economy is not constrained by the cap the efficiency of energy transformation increases steadily until the transition toward the ultimate green economy when renewable energy is exploited its land use rises at the expense of food production food productivity increases together with the land rent but food production drops the food and energy prices increase and renewables substitute for non renewable energy during the constrained phase the economy follows a constant path of prices quantities efficiency rates food productivity and land rent a phenomenon we call the ceiling efficiency paradox

optimal transition from coal to gas and renewable power under capacity constraints and adjustment costs this paper studies the optimal transition from existing coal power plants to gas and renewable power under a carbon budget it solves a model of polluting exhaustible resources with capacity constraints and adjustment costs to build coal gas and renewable power plants it finds that optimal investment in renewable energy may start before coal power has been phased out and even before investment in gas has started because doing so allows for smoothing investment over time and reduces adjustment costs gas plants may be used to reduce short term investment in renewable power and associated costs but must eventually be phased out to allow room for carbon free power one risk for myopic agents comparing gas and renewable investment is thus to overestimate the lifetime of gas plants e g when computing the levelized cost of electricity and be biased against renewable power these analytical results are quantified with numerical simulations of the european commission s 2050 energy roadmap

does the exchange rate follow a random walk a monte carlo study of four tests for a random walk abstract several authors have urged that real and nominal exchange rates follow a random walk conditions under which the exchange rate follows a random walk are reviewed in this paper many of these do not appear to hold therefore the empirical evidence presents a puzzle some evidence suggets the exchange rate follows a random walk while other evidence suggests the opposite should be true this paper attempts to reconcile the evidence it is argued that the tests for a random walk have low power monte carlo evidence on four tests for a random walk is presented that suppors this claim

a study of the impacts of zoning on housing values over time abstract using a virtually unique data base for vancouver canada this study examines the ways in which various zoning classifications and land uses affect the sale prices of single family residences over a 24 year period the overwhelming conclusion is that while there are impacts they are consistent in neither direction nor magnitude the results suggest that the negative externalities that are generally assumed to exist may in fact not exist as a result the use of zoning to control the effects of such presumed externalities may not be justified

optimal investment in clean production capacity for the mitigation of long term pollution threats one must consider that both the process of environmental degradation and the switchover to new and cleaner technologies are dynamic we develop a model of a uniform good that can be produced by either a polluting technology or a clean one the latter is more expensive and requires investment in capacity we derive the socially optimal pollution stock accumulation and creation of nonpolluting production capacity weighing the tradeoffs among consumption investment and djustment costs and environmental damages we consider the effects of changes in the pollution decay rate the capacity depreciation rate and the initial state of the environment on both the steady state and the transition period the optimal transition path looks quite different with a clean or dirty initial environment with the former investment is slow and the price of pollution may overshoot the long run optimum before converging with the latter capacity may overshoot

capitalization of exclusive agricultural zoning into farmland prices development in agricultural areas coughlin et al 1981 this exclusive agricultural zoning differs from traditional rural zoning in that it limits development and is often strictly enforced economists have argued that conceptually agricultural zoning lowers land values by restricting non farm development and three recent empirical studies support the hypothesis knaap 1985 vaillancourt and monty 1985 nelson 1988 but in fact economic theory predicts both positive and negative price effects distributed differentially among farmland parcels depending on parcel characteristics the purpose of this research is to test the hypothesis that the price effect of exclusive agricultural zoning varies with the characteristics of parcel subject to the regulations the research results suggest that economists investigating the land price effects of zoning should use methodologies that distinguish between positive and negative price effects deriving from parcel characteristics

sand in the wheels or spanner in the works the tobin tax and global finance this paper presents a radical critique of the tobin tax a tax on currency transactions by undercutting certain assumptions about the size and character of the world s foreign exchange markets which furnish the tax with its basic rationale while it is acknowledged that only a fraction of the massive volumes of fx transactions relate directly to trade in goods and services or to cross border investments it is denied that all the residual transactions are motivated purely by exchange rate considerations speculative or hedging activities rather the argument is that a significant proportion of fx trades have money market characteristics and that these trades together with domestic money market transactions play an important role in the day to day operation of the global financial system this perspective is used to show that the imposition of a tobin tax would cause extensive material damage to the system with consequences that may run counter to the expectations of supporters of the tax

the transition to nondepletable energy social planning and market models of capacity expansion as depletable energy becomes increasingly scarce and expensive energy markets will turn to a multitude of nondepletable sources of energy the rate at which this transition occurs will depend on the quantities of fuels available production costs government policies and the choices of major producers in this paper we analyze the transition to nondepletable fuels first in the context of a social planning model then using a stackelberg model to represent the dynamic game between owners of depletable and nondepletable fuels we show that the pace of capacity expansion in the nondepletable sector has a strong influence on socially optimal energy prices and production rates with the stackelberg model we characterize the strategy a market dominating producer of depletable energy will use against the nondepletable sector numerical implementations of this model allow us to compare the socially optimal and market determined outcomes our results show how a dominant depletable energy producer can manipulate the nondepletable sector by pricing at the marginal cost of backstop output during an early phase of resource depletion

expectations driven distortions in the foreign exchange market this paper explores the phenomenon of lasting deviations of the exchange rate from its fundamental value in the foreign exchange market motivated by empirical observations a chartists fundamentalists model is developed in which boundedly rational agents repeatedly choose between technical and fundamental trading rules to determine their speculative investment positions crucial for the dynamics is how the traders perceive the fundamental exchange rate this perception process is based on psychological evidence simulations give rise to bubbles but simultaneously display quite realistic exchange rate dynamics unit roots in the exchange rates fat tails for returns and volatility clustering

risk aversion foreign exchange speculation and gambler s ruin the apparent persistence of unexploited opportunities for expected profits in foreign exchange markets suggests highly risk averse market participants financial institutions put tight limits on the foreign exchange positions they may have at risk at any time despite beliefs that the odds are favourable that the positions will be profitable this safety first practice is consistent with keeping the probability of ruin low enough to be of no practical concern the setting of a very low probability of ruin for prudential reasons provides a rationale for traders behaving as if they have a degree of risk aversion that might otherwise seem implausibly high

learning to forecast the exchange rate two competing approaches this paper compares two competing approaches to model foreign exchange market participants behavior statistical learning and fitness learning these learning mechanisms are applied to a set of predictors chartist and fundamentalist rules we examine which of the learning approaches is best in terms of replicating the exchange rate dynamics within the framework of a standard asset pricing model we find that both learning methods reveal the fundamental value of the exchange rate in the equilibrium but only fitness learning creates the disconnection phenomenon and only statistical learning replicates volatility clustering none of the mechanisms is able to produce a unit root process but both of them generate non normally distributed returns

an analysis of minimum frontage zoning to preserve lakefront amenities the development of lakefront property in northern wisconsin has prompted in several towns minimum frontage zoning stricter than the state standard such zoning generates an economic loss by constraining development development effect and an economic gain by preserving environmental amenities amenity effect estimation of a hedonic price function for lakefront property in northern wisconsin quantifies these competing effects the estimation indicates that at the current margin the economic loss from the development effect is negligible and the economic gain from the amenity effect may be considerable raising frontage prices by an average of 21 5

the use of technical analysis in the foreign exchange market abstract technica or chartist analysis of financial markets involves providing forecasts or trading advice on the basis of largely visual inspection of past prices without regard to any underlying economic or fundamental analysis this paper reports the results of a questionnaire survey conducted on behalf of the bank of england among chief foreign exchange dealers based in london in november 1988 amongst other findings it is revealed that at least 90 per cent of respondents place some weight on this form of non fundamental analysis when forming views at one or more time horizons there is also a skew towards reliance on technical as opposed to fundamentalist analysis at shorter horizons which becomes steadily reversed as the length of horizon considered is increased a very high proportion of chief dealers view technical and fundamental analysis as complementary forms of analysis and a substantial proportion suggest that technical advice may be self fulfilling jel f31

emission regulation of markets with sluggish supply structures i examine regulation in the presence of convex investment costs and technology specific capacity stocks announcement of future emission taxes reduces current emissions unless fossil fuels are scarce in which case the effect is ambiguous substantial future emission reductions require action today because it takes time to build up clean production capacity and phase out dirty capacity the pigou tax must be coupled with sector specific investment taxes or subsidies to induce the socially optimal trajectory if the private discount rate differs from the social discount rate if such investment taxes or subsidies are unavailable a time inconsistent second best alternative may be to tax emissions above the pigouvian level during the transition phase the theory is complemented with a stylized numerical model of the us electricity market

monopolistic resource extraction and limit pricing the market penetration of competitively produced synfuels this paper analyzes the market penetration of a competitively produced synfuel e g solar energy in a market that is initially dominated by a resource extracting monopoly the availability of the renewable substitute depends not only on the price cost ratio but also on the installed capacities which reflect historical investments as a consequence the resource monopoly faces a discontinuous residual demand schedule the dynamic interactions between the resource cartel and the synfuel industry are modelled as a differential game the open loop nash equilibrium is applied to this game it will be shown that the commodity price will exceed the production costs of the backstop and that the transition from the periods of resource dependence to the backstop technology will be gradual

elements of an economic justification for municipal zoning abstract the possibility that externalities will produce a nonconvexity in the social production set limits the application of both the coase and pigou solutions for achieving an optimal allocation of land resources conditions on relative land prices are derived which indicate that external effects are strong enough to introduce a nonconvexity into the production set these conditions were not fulfilled in a sample of single family and multifamily dwellings in foster city california this does not preclude the possibility that they are fulfilled in cases of more severe external effects

a comment on zoning returns to scale and the value of undeveloped land this paper revisits the relationship between land value and parcel size the authors demonstrate that using a simple arbitrage equilibrium argument the value size relationship is convex concave whenever land assembly subdivision is possible they also explore further the impact of zoning on market outcomes copyright 1993 by mit press

the dynamic effects of open space conservation policies on residential development density abstract recent economic analyses emphasize that designated open space increases the rents on neighboring residential land and likewise the probability of undeveloped land converting to residential uses this paper addresses a different question what is the effect of local open space conservation on the rate of growth in the density of residential land a discrete choice econometric model of lakeshore development is estimated with a unique parcel level spatial temporal dataset using maximum simulated likelihood to account for i the panel structure of the data ii unobserved spatial heterogeneity and iii sample selection resulting from correlated unobservables results indicate that contrary to the intuition derived from the current literature local open space conservation policies do not increase the rate of growth in residential density and some open space conservation policies may reduce the rate of growth in residential development density this is consistent with land value complementarity between local open space and parcel size

quantitative easing is not as unconventional as it seems policy interest rates do not have to be short the means by which monetary authorities influence prices and quantities can differ but the obstacles to altering one rather than the other are not insuperable inflation is sluggish and expectations of future interest rates long and short nominal and real are diverse and uncertain these factors determine the limited power that monetary authorities enjoy when they conduct quantitative easing but this policy is not as unconventional as some have claimed and indeed can be viewed as broadly similar to conventional monetary measures the impact of quantitative easing however could be very different depending on the underlying structure of the economy and the fiscal authorities responses finally we note some important caveats that must be borne in mind when trying to evaluate the impact of quantitative easing particularly given the fact that the world s main financial markets are closely linked copyright 2012 oxford university press

the road less travelled institutional aspects of data and their influence on empirical estimates with an application to tests of forward rate unbiasedness the difference between data used in empirical studies and that envisioned in the theory can influence empirical estimates sometimes by enough that the direction of future research is altered this paper illustrates how in the context of tests of forward rate unbiasedness a lack of articulation about the mechanics underlying foreign exchange market speculation and about the institutional aspects governing spot and forward rate contracts leads to sampling of the data in a way that is not consistent with the theory the authors find that the sampling problems account for some but not all of the bias in the coefficient on the forward premium copyright 1996 by royal economic society

evidence on the specification of price in the study of domestic water demand the development of lakefront property in northern wisconsin has prompted in several towns minimum frontage zoning stricter than the state standard such zoning generates an economic loss by constraining development development effect and an economic

energy transition under irreversibility a two sector approach in this paper we analyze the optimal energy transition of a two sector economy energy and final goods with exhaustible oil reserves a renewable source of energy and a pollution threat the latter corresponds to a pollution threshold above which a part of the capital is lost following flooding for instance we show that the optimal energy transition path may correspond to a corner regime in which the economy starts using both resources then crosses the pollution threshold and therefore loses a part of its capital at the end the sole adoption of the renewable energy is optimal only in the long run this result is in line with the asymptotic energy transition arguments stating that the transition to clean energy may happen only in the long run we also show that economy reduces the use of energy resource as long as the productivity of capital and energy services is high therefore public policies should promote investments in energy innovation that targets productive sector home appliances and buildings and helps to save both money and energy we extend the present model to allow for additional investment in energy saving technologies our main results show that this additional investment favours the energy transition in the sense that it increases the time within which the economy may experience the catastrophe and the welfare of the society for policy implications economic instruments such as taxes on dirty energy subsidies on clean energy or incentives for energy saving technologies need to be implemented in order to promote the energy transition this is particularly important for developing countries that mostly rely on polluting energy resources and are the most vulnerable to climate change but those economic instruments should be carefully designed in line with the asymptotic energy transition result

foreign exchange market efficiency tests implications of recent empirical findings abstract the recent empirical literature on the efficiency of the foreign exchange market has been characterized by strikingly contradictory conclusions drawn from similar empirical evidence these contradictions result because 1 different maintained hypotheses are held and 2 different criteria e g micro versus macroeconomic are used to judge the evidence in this survey we organize the empirical literature under several headings the presence of risk premiums empirical regularities in regression tests profitable trading rules and advanced econometric techniques in integrating this material we consider the implications of the current evidence for investors forecasters policy makers and theorists

the role of investment in multiple deposit extraction some results and remaining puzzles abstract papers by olsen and by cairns and lasserre analyze equilibrium in a resource industry where deposit quality varies and where extraction requires capital investment the papers substantially qualify the conventional understanding of such matters as the form of hotelling s rule the role of deposit size the simultaneous extraction from deposits of different quality and the price path the argumentation however a intricate and the crucial role of investment as such a not easily distinguishable we clarify the intuition behind the results bring out the role of the various assumptions and raise important remaining issues

order flows news and exchange rate volatility abstract this paper examines the roles of order flow reflecting private information and news reflecting public information in explaining exchange rate volatility analyzing four months of a bank s high frequency dollar euro trading three different kinds of order flow are used in addition to seasonal patterns in explaining volatility we find that only larger sized order flows from financial customers and banks indicating informed trading contribute to explaining volatility whereas flows from commercial customers do not the result is robust when we control for news and other measures of market activity this strengthens the view that exchange rate volatility reflects information processing

zoning returns to scale and the value of undeveloped land when land markets are incomplete parcels can be scaled to make control compatible with use and to internalize externalities the authors show that an arbitrage proof equilibrium implies an increasing and strictly concave relationship between the value and size of land parcels undeveloped land sales in southern california strongly confirm the theoretical relationship the authors find that zoning primarily restricts the conversion of land from agriculture to residential and industrial uses relative to the competitive equilibrium the scale of land units is an effective private instrument for providing compatible land use even in the presence of strong zoning copyright 1991 by mit press

equilibrium transitions from non renewable energy to renewable energy under capacity constraints abstract we study the transition between non renewable and renewable energy sources with adjustment costs over the production capacity of renewable energy assuming constant variable marginal costs for both energy sources convex adjustment costs and a more expensive renewable energy we show the following with sufficiently abundant non renewable energy endowments the dynamic equilibrium path is composed of a first time phase of only non renewable energy use followed by a transition phase substituting progressively renewable energy to non renewable energy before a last time phase of only renewable energy use the investment into renewable energy may either begin before actual production of renewable energy or be delayed until the energy price achieves a sufficient gap with respect to the renewable energy cost with an initially abundant non renewable resource the features of the transition between non renewable and renewable energy do not depend upon the initial resource stock

empirical evidence on the properties of exchange rate forecasts and the risk premium abstract the purpose in this note is to examine the properties of the risk premium obtained from a new source of market expectations derived from survey data

an empirical examination of long run purchasing power parity using cointegration techniques this paper presents an empirical analysis of long run purchasing power parity ppp for five major exchange rates using recently developed econometric techniques on the cointegration of economic time series our empirical results are extremely unfavourable to the ppp hypothesis as a long run equilibrium condition even with an allowance made for measurement error and or tranportation costs in particular we are unable to reject the hypothesis of non cointegration of the exchange rate and relative prices for any of the countries concerned far from finding a stable long run proportionality between exchange rates and relative prices our results therefore suggest that they tend to drift apart without bound

covered interest parity a high frequency high quality data study profitable deviations from covered interest parity cip represent riskless arbitrage opportunities and so indicate market ineffic iency previous empirical work on cip uses noncontemporaneously sampl ed data and reports mixed results this paper uses high frequency te n minute high quality data gathered personally by the author in th e london foreign exchange market to test the cip condition the resu lts overwhelmingly support the market efficiency hypothesis copyright 1987 by the review of economic studies limited

the term structure of forward exchange premiums and the forecastability of spot exchange rates correcting the errors we develop a framework to extract information regarding subsequent spot rate movements from the term structure of forward exchange premiums while admitting possible deviations from rationality and