what determines the duration of a fiscal consolidation program abstract this paper assesses the determinants of the length of fiscal consolidation using annual data for 17 industrial countries over the period 1978 2009 relying on a narrative approach to identify fiscal consolidation episodes we show that fiscal variables such as the budget deficit and the level of public debt and economic factors such as the degree of openness the inflation rate the interest rate and per capita gdp are crucial for the fiscal consolidation process additionally we employ duration analysis over a set of consolidation spells and find that as time goes by the likelihood of a fiscal consolidation ending is higher however the hazard function is not monotonic indeed it increases until the eighth or ninth year and starts decreasing afterwards we also find that i spending driven consolidations are shorter than tax driven consolidations ii both types of consolidation are longer in non european countries than for european countries and iii the size of the consolidation program in percentage of gdp does not significantly affect duration all in all our results support the importance of cuts in government spending as a way of bringing economies into a sustainable path for public debt moreover they highlight the role played by a fiscal framework that imposes discipline in governments as a device to credibly shorten the length of fiscal consolidation episodes

commodity price responses to monetary policy surprises commodity prices are important both as a source of shocks and for the propagation of shocks originating elsewhere in the economy many vector autoregression var studies estimate a gradual response of commodity prices to monetary policy shocks exploiting information in high frequency financial market data and using the methods of rigobon and sack 2004 i find that a 10 basis point surprise change in interest rates causes commodity prices to fall immediately by about 0 5 this is about two thirds of the estimated response of the s p500 and about five times larger than the response in a var 12 months after the shock metals prices tend to respond more than agricultural commodities the point estimate for oil prices is similar to other commodities but is estimated imprecisely

when is external debt sustainable the article empirically examines the determinants of debt distress defined as periods in which countries resort to any of three forms of exceptional finance significant arrears on external debt paris club rescheduling and non concessional international monetary fund lending probit regressions show that three factors explain a substantial fraction of the cross country and time series variation in the incidence of debt distress the debt burden the quality of policies and institutions and shocks the relative importance of these factors varies with the level of development these results are robust to a variety of alternative specifications and the core specifications have substantial out of sample predictive power the quantitative implications of these results are examined for the lending strategies of official creditors

tariff effects on mnc decisions to engage in intra firm and arm s length trade using confidential firm level data from the bureau of economic analysis bea on activities of u s multinational corporations mncs and their canadian affiliates we study the dramatic growth of intra firm and arm s length u s canada trade over the 1984 95 period we find that decisions to engage in intra firm and arm s length trade are essentially unrelated to tariff and transport cost reductions over this sample period thus we find that the increase in trade occurred almost entirely on the intensive rather than the extensive margin this is consistent with case study evidence in keane and feinberg 2006 where mnc executives consistently indicate that the modest tariff reductions of the 1984 95 period were not sufficient to justify fixed costs of overhauling international supply chains our results have important implications for recent influential models of international trade that rely on sensitivity of intra firm trade to tariffs at the extensive margin to explain how small tariff declines could have led to the explosion of intra firm trade since the 1980s we also find that initial conditions i e 1983 tariffs are uncorrelated with whether firms engaged in intra firm or arm s length trade activity at the start of the sample period this result is surprising as it implies that firms industries with a greater propensity to engage in trade were not in general successful at lobbying for more favourable tariff treatment a l aide de donnees confidentielles au niveau de la firme du bureau of economic analysis bea a propos des activites des firmes plurinationales fpn americaines et de leurs succursales canadiennes on etudie la croissance dramatique du commerce usa canada tant intra firme qu a bout de bras pour la periode 1984 95 il appert que les decisions de s engager dans l un et l autre commerce sont fondamentalement non reliees aux reductions des couts de transport et des tarifs au cours de cette periode on decouvre que l accroissement du commerce s est produit presqu entierement a la marge intensive plutot qu a la marge extensive c est en ligne avec les resultats de l etude de cas de keane et feinberg 2006 ou les cadres des fpn ont systematiquement indique que les modestes reductions de tarifs entre 1984 et 1995 n etaient pas suffisantes pour justifier les couts fixes impliques par la modification de leurs chaines de production internationales ces resultats ont des implications importantes pour certains modeles influents de commerce international qui sont ancres dans une sensibilite du commerce intra firme aux tarifs a la marge extensive pour expliquer comment de faibles chutes de tarifs ont pu engendrer une explosion du commerce intra firme depuis les annees 80 on montre aussi que les conditions initiales e g les tarifs de 1983 ne sont pas co reliees avec le fait que la firme est engagee ou non dans l un ou l autre commerce en debut de periode le resultat est surprenant parce qu il implique que firmes et industries ayant une plus grande propension a commercer n ont pas eu de succes dans leur lobby pour obtenir un traitement tarifaire plus favorable

us monetary policy and sectoral commodity prices abstract using a structural var svar model we examine the effects of the monetary policy of the united states on sectoral commodity prices including the non fuel commodity prices food prices beverage prices prices of agricultural raw materials prices of metals and prices of fuel energy commodities and macroeconomic activity the empirical evidence suggests that a u s monetary contraction leads to an immediate rise in the broad commodity price index which possibly reflects an aggregation bias greater expected inflation and speculation high production costs or some overshooting due to overreactions then the response erodes after six quarters as the positive interest rate shock vanishes and higher interest rates and liquidity drainage take traction despite this the aggregate price response masks the existence of significant heterogeneity in the price responses of the different types of commodity sectors more specifically a positive interest rate shock leads to i an initial pop in the price returns of the non fuel commodities which later reverses path and becomes negative as in the case of the prices of agricultural raw materials ii a positive and persistent rise in the volatile food prices iii a fall in the beverage prices and iv a persistent reduction in the prices of metals and the prices of energy prices our results also remain globally intact with respect to alternative specifications and identification schemes as well as to unconventional monetary policy effects similar results are also found when commodity futures prices are used we conclude that policymakers should recognize the source of sector inflation before embarking on contractionary monetary policy the design of core inflation targeting is also preferable to headline inflation targeting

the effects of monetary policy in a small open economy the case of portugal in this article i analyse the macroeconomic effects of monetary policy on the portuguese economy i show that a positive interest rate shock leads to i a contraction of real gdp and a substantial increase of the unemployment rate ii a quick fall in the commodity price and a gradual decrease of the price level and iii a downward correction of the stock price index it also produces a short lived liquidity effect and helps explain the negative comovement between bonds and stocks in addition i find evidence suggesting the existence of a money demand function characterized by small output and interest rate elasticities by its turn the central bank s policy rule follows closely the dynamics of the money markets finally both the real gdp and the price level in portugal would have been higher during almost the entire sample period if there were no monetary policy surprises

liquidity and the dynamic pattern of asset price adjustment a global view abstract global liquidity expansion has been very dynamic since 2001 contrary to conventional wisdom high money growth rates have not coincided with a concurrent rise in goods prices at the same time however asset prices have increased sharply significantly outpacing the subdued development in consumer prices we investigate the interactions between money and goods and asset prices at the global level using aggregated data for major oecd countries our var results support the view that different price elasticities on asset and goods markets explain the observed relative price change between asset classes and consumer goods

spillovers from the oil sector to the housing market cycle we assess the spillovers from the oil sector to the housing market cycle using quarterly data for 20 net oil exporting and importing industrial countries and employing continuous and discrete time duration models we do not uncover a statistically significant difference in the average duration of booms and normal times in the housing markets of those net oil importers and net oil exporters similarly the degree of exposure to commodity price fluctuations does not seem to significantly affect the housing market cycle however we find that housing booms are shorter when oil prices increase than housing busts when oil prices decrease we also show that the net oil importers are more vulnerable to protracted housing slump episodes than the net oil exporters

why are crude oil prices high when global activity is weak abstract there have been substantial increases in liquidity in recent years and real oil prices have almost returned to the high levels achieved before the global financial crisis unanticipated increases in global real m2 led to statistically significant increases in real oil prices the historical impact of global real m2 on the real price of crude oil is important in the recovery of oil prices over 2009 to 2011

comment sequential moment restrictions in panel data 1992 comment sequential moment restrictions in panel data journal of business economic statistics vol 10 no 1 pp 20 26

the role of commodity prices in formulating monetary policy commodity prices often provide signals about the future direction of the economy especially inflation it has been argued therefore that the information in commodity prices should be used in formulating monetary policy this paper investigates whether a systematic monetary policy response to contemporaneous commodity price shocks would have helped stabilize the postwar u s economy the authors findings suggest that responding to unexpected commodity price movements would have lowered the average rate of inflation and reduced its variability while the path of real growth would be relatively unchanged copyright 1991 by mit press

metal volatility in presence of oil and interest rate shocks abstract this study uses three two factor volatility models of the garch family to examine the volatility behavior of three strategic commodities gold silver and copper in the presence of crude oil and interest rate shocks the results of the standard garch models suggest that gold and silver have almost the same volatility persistence which is greater than that of copper the cgarch estimates indicate that the short run transitory component of volatility converges to zero much faster for copper than for gold and silver in this sequence however the permanent volatility component demonstrates equally strong persistence in the long run for all three metals the egarch results suggest that the leverage effect is present and significant for copper only implying that gold and silver can be good investment in anticipation of bad times past oil shock does not impact all three metals similarly monetary policy and to leaser extent the oil shocks have calming effects on precious metals but not on copper if the t bill rate is used crises such as the 2003 iraq war heighten metal volatility these results have implications for derivatives valuations using gold as a reserve asset risk analysis and for the commodity exporting countries and commodity producing firms

simple solutions to the initial conditions problem in dynamic nonlinear panel data models with unobserved heterogeneity i study a simple widely applicable approach to handling the initial conditions problem in dynamic nonlinear unobserved effects models rather than attempting to obtain the joint distribution of all outcomes of the endogenous variables i propose finding the distribution conditional on the initial value and the observed history of strictly exogenous explanatory variables the approach is flexible and results in simple estimation strategies for at least three leading dynamic nonlinear models probit tobit and poisson regression i treat the general problem of estimating average partial effects and show that simple estimators exist for important special cases copyright 2005 john wiley sons ltd

oil prices and global factor macroeconomic variables abstract this paper investigates the relationship between oil prices global industrial production prices central bank policy interest rate and monetary aggregate with a global factor augmented error correction model we confirm the following stylized relationships i at global level money industrial production and prices are cointegrated ii positive innovation in global oil price is connected with global interest rate tightening iii positive innovation in global money price level and industrial production is connected with an increase in oil prices iv positive innovations in global interest rate are associated with a decline in oil prices and v the u s euro area and china are the main drivers of global macroeconomic factors

the macroeconomic effects of fiscal policy we investigate the macroeconomic effects of fiscal policy using a bayesian structural vector autoregression b svar approach we identify fiscal policy shocks via a partial identification scheme but also i include the feedback from government debt ii look at the impact on the composition of output iii assess the effects on asset markets iv use quarterly data and v analyse empirical evidence from the us the uk germany and italy the results show that government spending shocks in general have a small effect on gross domestic product gdp lead to important crowding out effects have a varied impact on housing prices and generate a quick fall in stock prices government revenue shocks generate a mixed effect on housing prices and a small and positive effect on stock prices the empirical evidence also suggests that it is important to explicitly consider the government debt dynamics in the model

economic considerations in the optimal size and number of reserve sites abstract the debate among ecologists on the optimal number of reserve sites under a fixed maximum total reserve area the single large or several small sloss problem has so far neglected the economic aspects of the problem this paper argues that economic considerations can affect the optimal number and size of reserve sites and should therefore be taken into consideration in the sloss discussion the paper presents a tractable analytical model to determine the socially optimal number of reserve sites to be allocated in a farming area under a fixed total reserve area taking the opportunity costs of nature conservation in this case agricultural profits into consideration furthermore the effect of land trade and related transaction costs on the socially optimal number of reserve sites is analyzed the analysis suggests that in the presence of diminishing returns to farming area the socially optimal number of reserve sites which maximizes social welfare is generally larger than the ecologically optimal number which maximizes an ecological objective such as population viability when the opportunity costs of conservation can be offset by land transactions however the socially optimal number of reserve sites might be closer to the ecological optimum

monetary policy shocks and the dynamics of agricultural commodity prices evidence from structural and factor augmented var analyses fluctuation in commodity prices is a significant and timely issue to be studied this study is to examine the impact of monetary policy and other macroeconomic shocks on the dynamics of agricultural commodity prices the major contributions of this study are twofold first unlike other studies that use indexes this study analyzes the commodities individually affording the inclusion of commodity specific fundamentals such as the level of inventory an important determinant of commodity price in a structural var framework second it exploits a rich data set of agricultural commodity prices which includes commodities that are usually overlooked in the literature and extracts a common factor using the dynamic factor model to understand the extent of comovement of the prices and to gauge the extent to which macroeconomic shocks drive the comovement in a factor augmented var favar framework the findings show that monetary policy global economic conditions and the u s dollar exchange rates play an important role in the dynamics of agricultural commodity prices

monetary policy and food inflation in south africa a quantile regression analysis abstract although optimal monetary policy stabilizes food inflation theoretically empirical studies remain limited not only in the context of volumes and the estimation approaches but are focused on selected advanced and emerging countries to the neglect of africa where poverty and dominance of food in the consumption basket are more pronounced we provide empirical evidence in the context of south africa using quantile regressions rising food prices are destabilized even further by restrictive monetary policy a finding that has ramifications for inflation targeting especially given that a quarter of the country s population is food poor

the impact of uncertainty shocks on the volatility of commodity prices in this paper we empirically examine the impact of uncertainty shocks on the volatility of commodity prices using several alternative measures of economic uncertainty for the u s we estimate their effects on commodity price volatility through var analysis we find that the latent uncertainty shocks have the most significant impact on commodity price volatility when compared to observable measures of economic uncertainty in specific our results show that the unobservable economic uncertainty measures of jurado et al 2015 have a significant and long lasting positive effect on the volatility of commodity prices our findings indicate that a positive shock in unobservable macroeconomic and financial uncertainty leads to a persistent increase in the volatility of the broad commodity market index and of individual commodity prices with the macroeconomic effect being more significant finally we show that the impact is stronger in energy commodities compared to agricultural and metals markets

dynamics of female labour force participation in france abstractthis article formulates and estimates a structural intertemporal model of labour force participation relying on theoretical characterizations derived from an economic model of lifetime behaviour we estimate a dynamic probit model with correlated random effects using longitudinal data to allow for a dynamic structure the model is applied to a panel of married women drawn from the 1997 2002 french labour force surveys in order to represent their participation behaviour it is estimated by maximum simulated likelihood our results show that women s decisions to go out to work are characterized by significant state dependence unobserved heterogeneity and negative serial correlation in the transitory error component in addition we find that the presence of young children in a woman s household reduces her labour participation but unequally according to their age and number as expected educational level has a positive impact on women s participation last a rise in the husband s wage is found

testing for choice dynamics in panel data this article applies different approaches to distinguish state dependence from unobserved heterogeneity and serial correlation and hence test for state dependence in consumer brand choices first we apply a simple method proposed by chamberlain which involves lagged exogenous variables only second we also estimate a lagged dependent variable specification proposed by wooldridge third we use the estimation approach suggested by wooldridge to estimate a model with both lagged dependent and exogenous variables to distinguish between the two different sources of choice dynamics state dependence and lagged effects of the exogenous variables our analysis reveals that the best approach is to use models with both lagged dependent and exogenous variables our findings include strong evidence for state dependence in five out of the six product categories studied in this article

is there a role for commodity prices in the design of monetary policy some empirical the consumer price index in the united states follows a non trend stationary stochastic process that describes the index as drifting randomly upward without bound monetarists have long pointed to similar properties in the time series of monetary aggregates as the source of this incipient inflation their solution to this problem is close adherence by the central bank to targets for a monetary or reserve aggregate that correspond to slow and steady monetary growth with any periods of excessive monetary growth subsequently offset this would produce monetary series that are trend stationary if the demand for money is reasonably stable price series would also become trend stationary and for properly chosen targets the price level would be bounded with a mean inflation rate of zero

identifying sources of macroeconomic and exchange rate fluctuations in the uk abstract using quarterly data for the period 1985 1 2011 1 this paper uses a stylised open economy structural var model to identify the types of shocks responsible for macroeconomic fluctuations in the uk economy the stylised model implies a set of short run restrictions that allow for the identification of the shocks the importance of each shock is determined by examining forecast error variance decompositions impulse response functions and implied long run or permanent effects the results presented here imply that two shocks called the technology and is shocks are relatively more important than other shocks monetary shocks do exhibit long run monetary neutrality but clearly monetary policy is not responsible for a meaningful share of output and employment fluctuations during the sample period the estimated var and structural disturbances imply that the model accurately reflects the uk economy there is little evidence of a price puzzle or an exchange rate puzzle evidence against uncovered interest rate parity in response to an unexpected monetary policy tightening

whose wages do unions raise a dynamic model of unionism and wage rate determination for young men we estimate the union premium for young men over a period of declining unionization 1980 87 through a procedure which identifies the alternative sources of the endogeneity of union status while we estimate the average increase in wages resulting from union employment to be in excess of 20 we find that the return to unobserved heterogeneity operating through union status is substantial and that the union premium is highly variable we also find that the premium is sensitive to the form of sorting allowed in estimation moreover the data are consistent with comparative advantage sorting our results suggest that the unobserved heterogeneity which positively contributes to the likelihood of union membership is associated with higher wages we are unable however to determine whether this is due to the ability of these workers to extract monopoly rents or whether it reflects the more demanding hiring standards of employers faced by union wages 1998 john wiley sons ltd

oil and the macroeconomy since the 1970s economists have long been intrigued by empirical evidence that suggests that oil price shocks may be closely related to macroeconomic performance this interest dates back to the 1970s the 1970s were a period of growing dependence on imported oil unprecedented disruptions in the global oil market and poor macroeconomic performance in the united states thus it was natural to suspect a causal relationship from oil prices to u s macroeconomic aggregates since then a large body of work has accumulated that purports to establish this link on theoretical grounds and to provide empirical evidence in its support we do not attempt a comprehensive survey of this literature but rather provide an idiosyncratic synthesis of what we view as the key issues in this debate and the insights gained over the last 30 years the timing seems right for such an account although the experience of the 1970s continues to play an important role in discussions of the link between oil and the macroeconomy there have been a number of new oil price shocks since the 1970s notably the 1986 collapse of oil prices and the 2000 boom in oil prices as well as the oil price increases associated with the 1990 1991 gulf war and the 2003 iraq war given this richer case history we are arguably in a better position than two decades ago to distinguish the idiosyncratic features of each oil crisis from the systematic effects increases in oil prices have been held responsible for recessions periods of excessive inflation reduced productivity and lower economic growth in this paper we review the arguments supporting such views first we highlight some of the conceptual difficulties in assigning a central role to oil price shocks in explaining

third party intervention and the preservation of bargaining relationships this article uses longitudinal bargaining contract data to examine whether third party dispute resolution procedures improve the health of bargaining relationships and contribute to their preservat

the optimal allocation of conservation funds abstract this paper presents a framework to evaluate alternative designs of conservation programs and their implications for the allocation of conservation funds we show that the efficient allocation of conservation funds must consider two important pooling effects cumulative effects and interrelationships among alternative environmental benefits ignoring the cumulative effects of environmental benefits may cause conservation funds to be overly dispersed geographically and as a result may result in minimum environmental benefits when the budget is small ignoring the interrelationships among alternative environmental benefits may result in not only misallocation of conservation funds among geographical areas but also incorrect resources being targeted for conservation practices implications of these results for the design of conservation programs are discussed

booms busts and normal times in the housing market we assess the existence of duration dependence in the likelihood of an end in housing booms busts and normal times using data for 20 industrial countries and a continuous time weibull duration model we find evidence of positive duration dependence suggesting that housing market cycles have become longer over the last decades then we extend the baseline weibull model and allow for the presence of a change point in the duration dependence parameter we show that positive duration dependence is present in booms and busts that last less than 26 quarters but that does not seem to be the case for longer phases of the housing market cycle for normal times no evidence of change points is found finally the empirical findings uncover positive duration dependence in housing market booms of european and non european countries and housing busts of european countries in addition they reveal that while housing booms have similar length in european and non european countries housing busts are typically shor

the price effects of monetary shocks in a network economy abstract empirical evidence shows monetary shocks have two temporary effects on the distribution of prices one the dispersion of cross section of prices increases in response to monetary shocks two some prices change in the wrong direction some prices decrease in response to positive monetary shocks and increase in response to negative monetary shocks we present a model that generates the two effects of monetary shocks on the distribution of prices as an out of equilibrium phenomena firms are related to each other through a production network monetary shocks change the working capital of a subset of firms and percolate to other firms through buyer seller linkages price dispersion increases because the percolation of a monetary shock through the production network causes prices to differentially deviate from their steady state values some prices change in the wrong direction because a shift in one firm s demand causes a shift in another firm s supply and vice versa thereby generating complicated chains of bi directional price changes monetary shocks can significantly disturb relative prices even when all prices are fully flexible

the optimal dynamic allocation of conservation funds under financial uncertainty abstract this paper analyses a situation where the survival of an endangered species depends on certain types of conservation measures being carried out regularly yet there is financial uncertainty in the future periodical availability of a budget to finance the conservation measures one option to insure against future budget uncertainty is to save money to maximise the long term survival of the endangered species it has to be decided in each period whether to spend the available money now or to allocate it to future use the paper provides an ecological economic model for this stochastic dynamic optimisation problem the findings include that the available money should be allocated as evenly as possible among periods which may require some precautionary saving in early periods to take uncertainty into account under certain conditions however increasing uncertainty may at least temporarily increase the optimal payment among other parameters the amount of precautionary actions depends on the magnitude of natural variation in the species population

option implied expectations in commodity markets and monetary policy abstract in this paper we estimate the dynamic interactions between option implied variance and skewness in agricultural commodity markets and monetary policy using a structural vector autoregressive svar framework we find that an expansionary contractionary monetary policy upwardly downwardly revises commodity markets expectations about the price and volatility path of agricultural products on the other hand our empirical analysis reveals that monetary policy does not have a systematic and timely response to sudden changes in option implied expectations of commodity investors in addition we provide empirical evidence showing the robust forecasting power of agricultural option implied information on monetary policy with r 2 values reaching almost 52

u s equity and commodity futures markets hedging or financialization abstract in this paper we investigate the hedging versus the financialization nature of commodity futures vis a vis the equity market using a arma filter based correlation approach our results suggest that while gold futures are typically seen as a hedge against unfavorable fluctuations in the stock market the majority of commodity futures appears to be treated as a separate asset class in line with their increasing financialization our results are robust to the presence of inflation highlight the hedging role played by fuel energy commodity futures in the nineties and reveal that the commodity financialization boosted since the 2000s we also show that gold futures are partially a safe haven for equity investments in the short term but not in the mid term finally we uncover some hedging financialization of crude oil futures associated to global demand oil supply shocks

an investigation of the effect of monetary factors on agriculture abstract this paper uses an econometric model to assess some of the effects of macro monetary factors on u s agricultural markets attention is focused on impacts of decreasing increasing the level of domestic credit on agricultural trade prices inventory accumulation and domestic disappearance results show that tight monetary policy lowers prices and increase demand for domestic agriculture however the upward pressure on the exchange rate seriously deteriorates the position of u s exports in international markets

were there regime switches in u s monetary policy working paper 2004 14 june 2004 abstract a multivariate model identifying monetary policy and allowing for simultaneity and regime switching in coefficients and variances is confronted with u s data since 1959 the best fit is with a model that allows time variation in structural disturbance variances only among models that also allow for changes in equation coefficients the best fit is for a model that allows coefficients to change only in the monetary policy rule that model allows switching among three main regimes and one rarely and briefly occurring regime the three main regimes correspond roughly to periods when most observers believe that monetary policy actually differed and the differences in policy behavior are substantively interesting though statistically ill determined the estimates imply monetary targeting was central in the early 80s but was also important sporadically in the 70s the changes in regime were essential neither to the rise in inflation in the 70s nor to its decline in the 80s jel classification e52 e47 c53 key words counterfactuals lucas critique policy rule monetary targeting simultaneity volatility model comparison i the debate over monetary policy change in an influential paper clarida gali and gertler 2000 cgg presented evidence that us monetary policy changed between the 1970 s and the 1980 s indeed that in the 70 s it was drastically worse they found that the policy rule apparently followed in the 70 s was one that when embedded in most stochastic general equilibrium models would imply non uniqueness of the equilibrium and hence vulnerability of the economy to sunspot fluctuations of arbitrarily large size their estimated policy rule for the later period on the other hand eliminated this indeterminacy these results are a possible explanation of the volatile and rising inflation of the 70 s and of its subsequent decline the cgg analysis has two important weaknesses one is that it fails to account for stochastic volatility us macroeconomic variables and particularly the federal funds rate have gone through periods of tranquility and of agitation with forecast error variances varying greatly from period to period ignoring such variation does not lead to inconsistent estimates of model parameters when the forecasting equations themselves are constant but it strongly biases toward a finding of changed parameters tests of the stability of the forecasting equations the other weakness is that the cgg analysis rests on powerful and implausible identifying assumptions they require that we accept that the response of the monetary authority to expected future inflation and output does not depend on the recent history of inflation money growth or output it is hard to understand why this should be so especially in the 70 s when monetarism was a prominent theme in policy debates congress was requiring reports from the fed of projected time paths of monetary aggregates and financial markets were reacting sensitively to weekly money supply numbers the requirement for existence and uniqueness of equilibrium in dynamic models is that the monetary policy rule show a more than unit response of interest rates to the sum of the logs of all nominal variables that appear on the right hand side of the reaction function if we force a particular measure of expected future inflation to proxy for all the nominal variables that actually appear independently in the reaction function we are bound to get distorted conclusions on the one hand because expected future inflation will be a noisy measure of the full set of nominal influences on policy we might get downward bias in our estimates from the usual errorsin variables effect on the other hand to the extent that expected future inflation like most expected future values shows less variation than current nominal variables we could find a mistaken scaling up of coefficients

commodity prices money surprises and fed credibilit strict monetarist theory in an extreme form holds that excessive money growth or the expectation of future money growth shows up immediately in the rapid inflation of goods prices however it is widely argued that for most goods prices are in fact sticky in the short run and reflect money growth only in the long run if one seeks a sensitive market measure of the perceived looseiless or tightness of monetary policy one must look elsewhere than at the general price level interest rates being determined in quickly adjusting financial markets are free to respond immediately to expectations regarding monetary policy in 1981 and 1982 every friday at 4 10 p m eastern standard time the federal reserve board would announce the money stock for the week ending nine days previously if the announced money stock was different from what the market had been expecting interest rates generally jumped in the same direction clearly they were responding to revisions of the expected future path of the money stock but nominal interest rates are an ambiguous indicator of expectations on the one hand an announced increase in the money stock may be received by the market as indicating a higher

global factors uncertainty weather conditions and energy prices on the drivers of the duration of commodity price cycle phases abstract we investigate the role of global factors in explaining the length of commodity price cycle phases using a continuous time weibull duration model and data for a panel of 33 countries over the period 1980q1 2015q4 we find evidence of increasing constant positive duration dependence for commodity price booms and busts normal time spells global macroeconomic conditions in particular inflation economic policy uncertainty and monetary policy actions significantly affect the duration of all commodity price cycle phases global environmental conditions also impact the duration of commodity price booms with a rise in average temperature rainfall increasing reducing their length a rise in the number of military conflicts around the globe is associated with shorter booms and busts finally we find that a rise in oil prices is linked with longer booms and shorter busts

commodity prices and money lessons from international finance many commodity prices have been falling rapidly recently as of thursday 31 july 1984 the journal of commerce s index for raw industrial materials had declined 10 relative to march and 20 relative to its peak value in 1980 in the current lull between political conventions this counts as something of a hot topic in washington some supply siders like alan reynolds from jude wanniski s firm polyconomics are warning that the large decline in commodity prices is signalling a general deflation throughout the economy and the possibility of widespread defaults reminiscent of the 1930s congressman jack kemp wants the federal reserve board to adopt a monetary policy rule that would automatically expand whenever commodity prices are low as now and automatically contract whenever commodity prices are high as in the late 1970s there has even been talk about embodying such a monetary rule as a plank in the republican party platform in dallas this month seldom before have steel scrap cotton and hides seemed so glamorous my topic today is the determination of the prices of basic commodities everything from agricultural commodities to the gold and other metals so precious to the supply siders

expectations and commodity price dynamics the overshooting model monetary policy has important effects on agricultural commodity prices because though they are flexible other goods prices are sticky this paper formalizes the argument by applying the dornbusch overshooting model a decline in the nominal money supply is a decline in the real money supply in the short run it raises the real interest rate which depresses real commodity prices they overshoot their new equilibrium in order to generate an expectation of future appreciation sufficient to offset the higher interest rate these real effects which vanish in the long run also result from a decline in the money growth rate

a framework for estimating dynamic unobserved effects panel data models with possible feedback to future explanatory variables abstract i show how to construct the likelihood function for the conditional maximum likelihood estimator in dynamic unobserved effects models where not all conditioning variables are strictly exogenous the method for handling the initial conditions problem appears to be novel and offers a flexible relatively simple alternative to existing methods

commodity prices and bric and g3 liquidity a sfavec approach this paper investigates the influence of liquidity in the major developed and major developing economies on commodity prices liquidity is taken to be m2 a novel finding is that unanticipated increases in the bric countries liquidity is associated with significant and persistent increases in commodity prices that are much larger than the effect of unanticipated increases in g3 liquidity and the difference increases over time over 1999 2012 bric liquidity is strongly linked with global energy prices and global real activity whereas g3 liquidity is not the impact of bric liquidity on mineral and metal prices is twice as large as that of g3 liquidity granger casualty goes from liquidity to commodity prices bric and g3 liquidity and commodity prices are cointegrated bric and g3 liquidity and global output and global prices are cointegrated we construct a structural factor augmented error correction sfavec model