oil price cycles and wavelets abstract the present paper addresses the question of the oil price macroeconomy relationship using world data and a time scale decomposition based on the theory of wavelets our approach is based on a global indicator the morgan stanley capital international msci index for the world and on the new framework offered by wavelets to analyse the oil price cycles and to investigate the oil price msci relationship this original approach enables us to identify that the cycles which contribute the most to oil price variations are 20 to 40 years cycles which correspond to the size of kuznets infrastructure cycles and probably represent energy investment cycles this wavelet decomposition also provides additional evidence to the reverse causality theory

analysis of the financial performance in the slovenian tourism economy this paper aims to analyze the difference in financial performance of the different tourism economy activities in slovenia the analysis was performed for the period 1995 2009 we analyzed the financial indicators on the basis of the official company accounts data the nominal financial data are deflated by the statistical deflator for value of inflation in order to obtain real values of financial indicators over the analyzed years we included financial indicators that are related to the business performance of enterprises in the slovenian tourism economy the research hypothesis was tested using quantitative analysis employing nonparametric kruskal wallis test and wilcoxon mann whitney test of the secondary data used the empirical analysis confirmed that there are significant differences in financial performance among different tourism economy activities in slovenia

integrating forecasting and cge models the case of tourism in scotland abstract information about current and forecast levels of tourism and its contribution to the economy is important for policy making by businesses and governments traditional forecasting methods can provide reasonable forecasts in the context of predictable changes however forecasting becomes problematic in the context of both predictable changes and less predictable domestic or international shocks this paper demonstrates the ways in which an integrated model combining traditional forecasting methods and quantifiable forecasts from a computable general equilibrium model can be used to examine combinations of events the model is applied to scotland and combines tourism indicators with structural time series forecasting and cge impact analysis results are provided for changes in exchange rates income of major origin countries and a positive shock to tourism demand to demonstrate the integrated model s ability to take account of the multiple events that affect tourism destinations

does oil move equity prices a global view many studies indicate that oil price shocks have an adverse effect on real output and hence an adverse effect on corporate profits where oil is used as a key input the present study examines whether and to what extent the adverse effect of oil price shocks impacts stock market returns to this end we analyse 35 datastream global industry indices for the period from april 1983 to september 2005 our findings indicate that oil price rises have a negative impact on equity returns for all sectors except mining and oil and gas industries generally these results are consistent with economic theory and evidence provided by previous empirical studies little evidence of any asymmetry is detected in the oil price sensitivities in light of our findings we recommend that international portfolio investors consider hedging oil price risk

volatility spillovers between oil prices and stock sector returns implications for portfolio management abstract in this article we take a recent generalized var garch approach to examine the extent of volatility transmission between oil and stock markets in europe and the united states at the sector level the empirical model is advantageous in that it typically allows simultaneous shock transmission in the conditional returns and volatilities insofar as volatility transmission across oil and stock sector markets is a crucial element for portfolio designs and risk management we also analyze the optimal weights and hedge ratios for oil stock portfolio holdings with respect to the results our findings point to the existence of significant volatility spillover between oil and sector stock returns however the spillover is usually unidirectional from oil markets to stock markets in europe but bidirectional in the united states our back testing procedures finally suggest that taking the cross market volatility spillovers estimated from the var garch models often leads to diversification benefits and hedging effectiveness better than those of commonly used multivariate volatility models such as the ccc garch of bollerslev 1990 the diagonal bekk garch of engle and kroner 1995 and the dcc garch of engle 2002

events in indonesia exploring the limits to formal tourism trends forecasting methods in complex crisis situations the desire to know the future is as old as humanity for the tourism industry the demand for accurate foretelling of the future course of events is a task that consumes considerable energy and is of great significance to investors this paper examines the issue of forecasting by comparing forecasts of inbound tourism made prior to the political and economic crises that engulfed indonesia from 1997 onwards with actual arrival figures the paper finds that current methods of forecasting are not able to cope with unexpected crises and other disasters and that alternative methods need to be examined including scenarios political risk and application of chaos theory the paper outlines a framework for classifying shocks according to a scale of severity probability type of event level of certainty and suggested forecasting tools for each scale of shock

wavelet dynamics for oil stock world interactions abstract a previous research ignores the distinction between short term and long term and by decomposing financial variables world general and stock market indexes and the macroeconomic variable oil prices at various time scales we study the relationship among series on a daily scale by scale basis continuous time wavelets help to circumvent the problems associated to basic linear regressions and given that stock oil relationships are usually described as complicated we extend previous findings by providing more generalized and convincing results in analyzing contagion and interdependence issues as well as lead and lag effects for both world general and sector stock levels between december 1992 and october 2012 the relationship between oil prices and sector stock returns is ambiguous because results seem to show that there are both phase and anti phase relationships where mostly it is oil that is the lagging variable independently of the sector under analysis there is higher coherence among series for higher scales thus supporting the interdependence hypothesis showing that long run market dynamics are more uncertain empirical results indicate a bidirectional relationship between both series for large time horizons which can be associated to fundamentalist traders especially fund managers and institutional investors and which depend on the historical period under analysis

trading in networks theory and experiments intermediation is a prominent feature of economic production and exchange two features of intermediation are salient coordination among traders between the source and the destination and competition between alternative combinations of intermediaries we develop a simple model to study these forces and we test the theoretical predictions in experiments our theoretical analysis yields a complete characterization of pricing equilibrium in networks there exist both ecient and inecient equilibria suggesting a key role of coordination among intermediaries strategic interaction leads to either buyer and seller retaining all surplus or intermediaries extracting all surplus we develop conditions on network structure under which these di erent extremal outcomes arise respectively laboratory experiments show that eciency prevails in almost all cases so traders are successful in coordination subjects coordinate on extreme surplus division finally experiments highlight the role of network structure in determining pricing and the

asymmetry and discrimination in internet peering evidence from the linx abstract is the quality of interconnection between internet operators affected by their asymmetry while recent game theoretic literature provides contrasting answers to this question there is a lack of empirical research we introduce a novel dataset based on internet routing policies and study the interconnection decisions amongst the internet service providers isps that are members of the london internet exchange point linx our results show that interconnection quality degradation can be significantly explained by asymmetry between providers we also show that competition authorities should also focus on the centrality of an operator and not only on its market share

time varying volatility spillover between chinese fuel oil and stock index futures markets based on a dcc garch model with a semi nonparametric approach abstract this paper reveals some new evidence on the volatility spillover between fuel oil and stock index futures markets in china by considering its time variant feature time varying effect is specified by the legendre polynomials in a dcc garch model moreover the semi nonparametric snp approach accounting for marginal excess kurtosis and asymmetry is applied we find different time evolving patterns of volatility spillover across multiple periods due to the structural breaks the direction of mean volatility spillover is found to be bilateral moreover the strength of mean volatility spillover shows that the effect from stock index to fuel oil futures is much stronger than the other way around this implies that the stock index futures market plays a leading role in information processing these findings have important implications for the fuel oil stakeholders as well as risk management

wavelet based test of co movement and causality between oil and renewable energy stock prices abstract we studied co movement and causality between oil and renewable energy stock prices using continuous and discrete wavelets firstly to obtain information on dynamic correlations over time and for different time scales from wavelet coherence and secondly to obtain information on linear and non linear granger causality in the time frequency domain for general and sectoral renewable energy indices for the period 2006 2015 our findings indicate that dependence between oil and renewable energy returns in the short run was weak but gradually strengthened towards the long run mainly for the period 2008 2012 our causality tests provide evidence against linear causality at higher frequencies and in favour of unidirectional and bidirectional linear causality at lower frequencies in contrast we found consistent evidence of non linear causality running from renewable energy indices to oil prices at different time horizons and mixed evidence of causality running from oil to renewable energy prices these results have potential implications for investors in terms of hedging and for policymakers in terms of policy support decisions regarding the development of renewable energy

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

wavelet decomposition and regime shifts assessing the effects of crude oil shocks on stock market returns while there is a large body of empirical studies on the relationship between crude oil price changes and stock market returns they have failed to achieve a consensus on this subject in this paper we combine wavelet analysis and markov switching vector autoregressive ms var approach to explore the impact of the crude oil co shocks on the stock market returns for uk france and japan over the period from january 1989 to december 2007 our procedure involves the estimation of the extended ms var model in order to investigate the importance of the resultant wavelet filtering series after removing random components in determining the behavior of the stock market volatilities we show that co shocks do not affect the recession stock market phases except for japan however they significantly reduce moderate and or expansion stock market phases temporarily moreover this negative relationship appears to be more pronounced during the pre 1999 period the empirical findings will prove extremely useful to investors who need to understand the exact effect of international oil changes on certain stocks prices as well as for policy managers who need a more thorough evaluation about the efficiency of hedging policies affected by oil price changes

on the dynamic links between commodities and islamic equity abstract this paper investigates whether commodities offer potential diversification benefits for islamic equity index investors in light of possible financialization of commodity markets using mgarch dcc and wavelet coherence analyses our findings reveal that correlations between commodity markets and the dow jones islamic market world index are time varying and highly volatile throughout the january 1999 april 2015 period a substantial and persistent increase was observed in the return correlations between commodities and islamic equity at the onset of the 2008 financial crisis however trends in the recent two years suggest that this association is heading towards its pre crisis levels offering again diversification benefits for islamic equity holders these benefits vary across different commodities in various time scales overall gold natural gas soft commodities grains and livestock are better portfolio diversifiers than oil and other metals relative to medium to long term investors short term investors less than 32 days horizon gained better diversification benefits in most commodities during bullish bearish and market recovery periods these findings have implications for investors who are heterogeneous in risk tolerance and time preference as well as for policymakers who are concerned with market stability

crude oil and stock markets stability instability and bubbles abstract we analyze the long run relationship between the world price of crude oil and international stock markets over 1971 1 2008 3 using a cointegrated vector error correction model with additional regressors allowing for endogenously identified breaks in the cointegrating and error correction matrices we find evidence for breaks after 1980 5 1988 1 and 1999 9 there is a clear long run relationship between these series for six oecd countries for 1971 1 1980 5 and 1988 2 1999 9 suggesting that stock market indices respond negatively to increases in the oil price in the long run during 1980 6 1988 1 we find relationships that are not statistically significantly different from either zero or from the relationships of the previous period the expected negative long run relationship appears to disintegrate after 1999 9 this finding supports a conjecture of change in the relationship between real oil price and real stock prices in the last decade compared to earlier years which may suggest the presence of several stock market bubbles and or oil price bubbles since the turn of the century

separating bric using islamic stocks and crude oil dynamic conditional correlation and volatility spillover analysis abstract this paper explores the dynamic conditional correlation and volatility linkage between islamic indexes and oil for bric countries correlations between these assets increase during the global financial crisis for india and china but not for brazil and russia the volatility error forecast variance of all five indexes comes from spillover but is much lower compared to volatility spillover between conventional indexes and oil hedging performance of islamic indexes are superior in india and china compared to conventional indexes in emerging markets an optimal minimum variance portfolio without reducing expected return can be achieved by investing in lower weights of bric islamic indexes and oil compared to conventional indexes

the impacts of temporary but anticipated tourism spending an application to the glasgow 2014 commonwealth games an extensive literature attempts to identify the economic impact of tourism expenditure while input output methods have been widely applied these may not always be appropriate for such applications and there is a growing use of more flexible computable general equilibrium cge approaches this paper uses a multi period scottish cge model to estimate the system wide effects of the temporary tourism expenditure related to the glasgow 2014 commonwealth games we quantify the sensitivity of our results to model specification focusing in particular on how investment and consumption decisions are made and shifted over time to accommodate the temporary tourism shock as part of this analysis we identify the pre announcement period that optimises the present value of the economic impact whilst the empirical results apply to a specific event our results have implications for similar analyses applied to mega events and other temporary phenomena affecting tourism expenditure such as terrorism attacks or epidemics

exogenous oil supply shocks how big are they and how much do they matter for the u s economy abstract the paper proposes a new measure of exogenous oil supply shocks the timing the magnitude and the sign of this measure may differ greatly from current state of the art estimates it is shown that only a small fraction of the observed oil price increases during oil crisis periods can be attributed to exogenous oil production disruptions exogenous oil supply shocks cause a sharp drop of u s real gdp growth after five quarters rather than an immediate and sustained reduction in economic growth and a spike in cpi inflation after three quarters overall exogenous oil supply shocks made remarkably little difference for the evolution of the u s economy since the 1970s although they did matter for some historical episodes

does tourism support supply side structural reform in china abstract a supply side structural reform ssr has been carried out in china since late 2015 with a view to reducing overproduction in selected products such as coal iron and steel this paper examines whether the development of international tourism in china could support ssr using an multi methods approach that combines an econometric model and a computable general equilibrium model it finds that the development of tourism can reduce the outputs of overcapacity industries and reallocate surplus labour to tourism related industries the calibration of 30 provincial cge models demonstrates that the impact of tourism on reform in provinces with severer industry overcapacities is much stronger this study contributes to the literature on the spillover effects of tourism on non tourism sectors through its combination of econometric and cge models practical implications are also presented

a strategic model of social and economic networks we study the stability and efficiency of social and economic networks when self interested individuals can form or sever links first for two stylized models we characterize the stable and efficient networks there does not always exist a stable network that is efficient next we show that this tension persists generally to assure that there exists a stable network that is efficient one is forced to allocate resources to nodes that are not responsible for any of the production we characterize one such allocation rule the equal split rule and another rule that arises naturally from bargaining of the players

islamic stocks conventional stocks and crude oil directional volatility spillover analysis in brics abstract this paper uses threshold garch tgarch and generalised forecast error variance decomposition to compute time domain and frequency domain volatility spillover the spillover technique is then applied to islamic and conventional stock indices and crude oil in brics countries brazil russia india china and south africa thus informing investors about the magnitude and speed of the volatility spillover we find that the total volatility spillover is driven mainly by a long term component accordingly these assets are suitable for investors with short and medium term investment horizons however analysis reveals that volatility spillover magnitude and speed increase substantially during the global financial crisis suggesting that investors in brazil russia and south africa with stocks in their portfolio should rebalance promptly dynamic covariance analysis shows that covariance between islamic and conventional stock index returns is the highest and exhibit a significant increase during the crisis period

an applied general equilibrium analysis of the economic effects of tourism in a quite small quite open economy a computable general equilibrium model is used to project the effects of tourism on the industrial and regional structures of the australian economy the most striking conclusion is that queensland usually thought to be the most tourism oriented of the australian states would be a net loser from an economy wide expansion of tourism as well as having a relatively large share of its gsp accounted for by tourist oriented activities queensland is also relatively heavily dependent on agriculture and mining traditional export sectors which are crowded out by the expansion of international tourism

do structural oil market shocks affect stock prices abstract this paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock market returns in a sample of eight countries australia canada france germany italy japan the united kingdom and the united states for each country the analysis proceeds in two steps first modifying the procedure of kilian kilian l forthcoming not all oil price shocks are alike disentangling demand and supply shocks in the crude oil market american economic review we employ a vector error correction or vector autoregressive model to decompose oil price changes into three components oil supply shocks global aggregate demand shocks and global oil demand shocks the last component relates to specific idiosyncratic features of the oil market such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies second recovering the oil supply shocks global aggregate demand shocks and global oil demand shocks from the first analysis we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries we find that international stock market returns do not respond in a large way to oil market shocks that is the significant effects that exist prove small in magnitude