state aid programs for equalizing spending across local school districts does the structure of the program matter or only it s size this paper provides interesting insights into an important causal mechanism underlying murray evans and schwab s am econ rev 88 4 789 812 1998 finding that court mandated reforms result in less inequality in spending per pupil levels across rich and poor school districts within a state treating the choice of an education program s structure as endogenous following the analysis of leyden public finance finances publiques 47 229 247 1992 public choice 115 1 2 83 107 2003 yields empirical results suggesting that court mandated reforms increase the likelihood that a program s structure will include a price effect and that the inclusion of a price effect in turn results in a decrease in spending inequality

data watch research data in the economics of education economists have developed a wide variety of policy relevant empirical research projects that address the role of education in promoting individual and social welfare recent examples include studies on the impact of school spending on educational outputs the differences between public and private schools the effects of competition among schools the determinants of teacher quality the impact of unions on schools and the consequences of education finance reform one reason for the proliferation of such empirical studies has been the emergence of high quality micro level data on education in this paper we discuss three broad types of data sets data on educational institutions data on educational outcomes at the individual level and data sets from school reforms and experiments in each section we summarize some of the leading surveys discuss the general availability of the data and identify some but certainly not all of the research that has utilized these data this review is by no means exhaustive we have restricted our attention to analyses of data sets describing primary and secondary education moreover we emphasize data sets that are excellent sources of information but are less wellknown and utilized by economists in particular two obvious omissions from this review are the national longitudinal survey of youth nlsy and the panel study of income dynamics psid both are broad based studies that track people over periods of time gathering information both on educational attainment and on many other issues as well

international evidence on crude oil price dynamics applications of arima garch models abstract we examine the usefulness of several arima garch models for modeling and forecasting the conditional mean and volatility of weekly crude oil spot prices in eleven international markets over the 1 2 1997 10 3 2009 period in particular we investigate the out of sample forecasting performance of four volatility models garch egarch and aparch and figarch over january 2009 to october 2009 forecasting results are somewhat mixed but in most cases the aparch model outperforms the others also conditional standard deviation captures the volatility in oil returns better than the traditional conditional variance finally shocks to conditional volatility dissipate at an exponential rate which is consistent with the covariance stationary garch models than the slow hyperbolic rate implied by the figarch alternative

international trade and environmental quality a survey abstract international trade has been incorporating various aspects of environmental issues since 1970 the extent to which environmental problems might affect many facets of trade or vice versa has been the subject of considerable debate over these years in this article we have attempted to establish some of the links between international trade and environmental quality by performing a comprehensive literature review we discuss issues such as establishing direct and indirect effects of international trade on environmental quality effects of trade on economic development environmental quality and energy and their relation with each other and finally the role of governments and international organizations in this context studies have so far revealed some linkages between trade and environment through conventional trade theory however interactions between international trade and types of pollution their sink and assimilative capacity need to be analyzed using a general equilibrium approach currently very little knowledge and agreement on the nature of interactions between trade theories development process and environmental quality exist existing studies have shown that the structure of environmental regulations should be modified to reflect the existence of trade under imperfect competition therefore further research on the interaction between new trade theory and environmental regulation is needed also theoretical and quantitative analysis regarding the effects of environmental regulations on competitiveness and location decision is needed the intensity and type of environmental measures vary across issues and countries therefore harmonizing environmental measures creates an inefficient atmosphere and to assume that trade restrictions will either improve or reverse the environmental damages is a serious mistake given the dynamic and intricate nature of the problem trade and environment debate continues despite vast research and poses a challenge for researchers and policy makers in the foreseeable future

a contribution to event study methodology with an application to the dutch stock market abstract this paper proposes an extended market model for event studies based on daily stock returns for actual data the assumptions of the simple market model are violated the return distribution is not normal and neither the variance of the error term nor the risk parameter beta are constant our model incorporates the generalized autoregressive conditional heteroskedasticity garch model with t distributed errors and a time dependent beta we test for anomalies by adding dummy variables in the regression equation our model is fairly general and could be used in a wide variety of event study situations we illustrate the model by an analysis of the weekend and the option expiration effect we use return data from the dutch stock market the weekend effect on stock returns is significant but no expiration effect could be detected

on the links between stock and commodity markets volatility this paper investigates the links between price returns for 25 commodities and stocks over the period from january 2001 to november 2011 by paying a particular attention to energy raw materials relying on the dynamic conditional correlation dcc garch methodology we show that the correlations between commodity and stock markets evolve through time and are highly volatile particularly since the 2007 2008 financial crisis the latter has played a key role emphasizing the links between commodity and stock markets and underlining the financialization of commodity markets at the idiosyncratic level a speculation phenomenon is highlighted for oil coffee and cocoa while the safe haven role of gold is evidenced

skewness in financial returns abstract in this paper the symmetry of daily returns is addressed in eight international stock markets and three spot exchange rates tests of symmetry with the sample skewness seem of little value due to the non normality of the returns under alternative non normal distributions the symmetry of the returns cannot be rejected for most markets distribution free procedures do not detect strong asymmetries in most of the series either however some differences between returns below the mean and returns over the mean are observed in several markets

equilibrium pollution taxes in a two industry open economy abstract this paper involves strategic implications of environmental policy in case of two international oligopolies when countries take part in an international environmental agreement and have agreed on national target levels for a global pollutant this set up permits an analysis of the design of optimal emission taxes across domestic producers by differentiating taxes between industries with different abatement cost demand and number of domestic firms governments are in a position to raise national net foreign rents it is argued that a single national emission trading programme encompassing all domestic producers cannot provide the equivalent strategic policy design

forecasting volatility of crude oil markets abstract this article investigates the efficacy of a volatility model for three crude oil markets brent dubai and west texas intermediate wti with regard to its ability to forecast and identify volatility stylized facts in particular volatility persistence or long memory in this context we assess persistence in the volatility of the three crude oil prices using conditional volatility models the cgarch and figarch models are better equipped to capture persistence than are the garch and igarch models the cgarch and figarch models also provide superior performance in out of sample volatility forecasts we conclude that the cgarch and figarch models are useful for modeling and forecasting persistence in the volatility of crude oil prices

anomalies or illusions evidence from stock markets in eighteen countries abstract this paper examines five seasonal patterns in stock markets of eighteen countries the weekend turn of the month end of december monthly and friday the thirteenth effects we find a daily seasonal in nearly all the countries but a weekend effect in only nine countries interestingly the daily seasonal largely disappears in the 1980s the last trading day of the month has large returns and low variance in most countries many countries have large december pre holiday and inter holiday returns the january returns are large in most countries and a significant monthly seasonal exists in ten countries

an examination of the robustness of the weekend effect this paper analyzes the robustness of the day of the week dow and weekend effects to alternative estimation and testing procedures the results show that sample size can distort the interpretation of classical test statistics unless the significance level is adjusted down ward specification tests reveal widespread departures from ols assumptions hypothe sis tests results are reported using robust econometric methods and a garch model the strength of the dow and weekend effect evidence appears to depend on the estimation and testing method both effects seem to have disappeared by 1975

dynamics of oil price precious metal prices and exchange rate this study examines the co movements and information transmission among the spot prices of four precious metals gold silver platinum and palladium oil price and the us dollar euro exchange rate we find evidence of a weak long run equilibrium relationship but strong feedbacks in the short run the spot precious metal markets respond significantly but temporarily to a shock in any of the prices of the other metal prices and the exchange rate furthermore we discover some evidence of market overreactions in the palladium and platinum cases as well as in the exchange rate market in conclusion whether there are overreactions and re adjustments or not investors may diversify at least a portion of the risk away by investing in precious metals oil and the euro policy implications are provided

education finance reform and the distribution of education resources between 1971 and 1996 opponents of local funding for public schools successfully challenged the constitutionality of school finance systems in sixteen states using the variation across states in the timing of these cases the authors investigate the impact of reform on the distribution of school resources their results suggest that court ordered finance reform reduced within state inequality in spending by 19 to 34 percent successful litigation reduced inequality by raising spending in the poorest districts while leaving spending in the richest districts unchanged thereby increasing aggregate spending on education reform led states to fund additional spending through higher state taxes copyright 1998 by american economic association

black white achievement differences and governmental interventions the estimates in the study considered whether any of the governmental or family factors individually could explain the magnitude and pattern of black white achievement gaps neither the level nor the distribution of school spending appears to provide much explanation for the gaps school spending levels show little consistent impact with any indication of differential impact on blacks being small direct analyses of the effects of spending equalization on performance similarly show little impact on the other hand governmental intervention through integration programs appears potentially more important

a further investigation of the weekend effect in stock returns this study uses a longer time period and additional stocks to further investigate the weekend effect we find consistently negative monday returns 1 for the s p composite as early as 1928 2 for exchange traded stocks of firms of all sizes and 3 for actively traded over the counter otc stocks the otc results are based on bid prices and therefore appear to reject specialist related explanations for the 30 individual stocks of the dow jones industrial index the average correlation between friday and monday returns is positive and the highest of all pairs of successive days the latter finding is inconsistent with fairly general measurement error explanations some of the most puzzling empirical findings reported in recent years indicate that the distribution of common stock returns varies by day of the week most notably the average return for monday close friday to close monday is significantly negative cross 3 and french 6 find negative monday returns using the standard and poor s composite index and gibbons and hess 7 find negative monday returns for the 30 individual stocks of the dow jones industrial index 1 this negative monday return or weekend effect has yet to be explained this study undertakes a further investigation of the weekend effect in stock returns we examine additional time periods extending the total period covered to 55 years we examine additional stocks such as those of small low capitalization firms and those traded over the counter in all cases the data exhibit a weekend effect that is at least as strong as that reported in previous studies the study also readdresses potential explanations for the effect such as measurement error but concludes that none of these explanations is satisfactory the first section presents a history of the weekend effect from 1928 through 1982 based on the standard and poor s composite index we essentially double the length of the period beginning in 1953 examined by french 6 the results indicate consistently negative monday returns throughout the 55 year period during much of the 25 year period from 1928 through 1952 the new york stock exchange was open on saturdays so monday s return is then computed from saturday s close to monday s close 2 these returns for one day weekends are consistently negative and not significantly different from the two day weekend

seminonparametric estimation of conditionally constrained heterogeneous processes asset pricing applications the overidentifying restrictions of the intertemporal capital asset pricing model are usually rejected when tested using data on consumption growth and asset returns particu larly when additively separable constant relative risk utility is attributed to the representa tive agent this article investigates the extent to which specification error can explain these rejections the empirical strategy is limited information maximum likelihood in conjunc tion with seminonparametric expanding parameter space representations for both the law of motion and utility we find that consumption growth and asset returns display conditional heterogeneity but this fact does not account for rejection of the overidentifying restrictions as might be anticipated from the work of hansen singleton and others using generalized method of moments methods we also find that expansion of the parameter space in the direction of nonseparable utility causes the overidentifying restrictions to be accepted our estimation strategy provides information on the manner in which the restrictions distort the law of motion in particular imposition of additively separable constant relative risk aversion utility causes the conditional variance of consumption growth to be overpredicted the conditional covariance of asset returns with consumption growth to be overpredicted and an equity premium imposition of nonseparable seminon parametric utility causes distortion in these same directions though the distortions are much smaller which is consistent with the outcomes of the tests of the restrictions

the economics of schooling production and efficiency in public schools n recent years public and professional interest in schools has been heightened by a spate of reports many of them critical of current school policy these policy documents have added to persistent and long standing concerns about the cost effectiveness and fairness of the current school structure and have made schooling once again a serious public issue as in the past however any renewed interest in education is likely to be short lived doomed to dissipate as frustration over the inability of policy to improve school practice sets in this frustration about school policy relates directly to knowledge about the educational production process and in turn to underlying research on schools although the educational process has been extensively researched clear policy prescriptions flowing from this research have been difficult to derive 2 there exists however a consistency to the research findings that does have an immediate application to school policy schools differ dramatically in quality

daily seasonality in stock returns further international evidence abstract daily seasonality in stock markets is one of the most intriguing problems in financial economics and a true challenge to the efficiency hypothesis this paper examines daily seasonality in the new york tokyo london frankfurt paris and madrid stock markets in recent years the results obtained are quite different from the patterns described in existing literature which examines earlier periods

does school quality explain the recent black white wage trend around 1980 the trend toward racial wage convergence essentially stopped i ask whether this break in the convergence trend can be explained by school quality department of education surveys provide earnings data for the high school class of 1972 in 1979 and the class of 1980 in 1986 both linked to data from the respondents high schools by several measures differences between schools attended by blacks and whites were already rather small in the 1970s furthermore i find that measurable school inputs generally have little effect on wages thus school quality explains little of the recent black white wage trend

daily seasonality in crude oil returns and volatilities abstract in this article we test for the existence of daily seasonality in returns and volatilities of crude oil using a dummy augmented garch specification for the period from may 1987 to october 2013 our key findings are as follows i volatilities on mondays are significantly higher than on all other weekdays providing the important insight that seasonal effects should be considered when forecasting crude oil volatility ii returns on the other hand tend to be lower on mondays than on other weekdays suggesting profitable investment strategies based on this seasonal pattern in fact the analysis of a simple long short trading rule based on the monday effect provides some evidence that it can outperform a passive buy and hold approach however it cannot do so to an extent that is statistically significant iii our seasonality results are fairly robust to the choice of other frequently used garch model variants like garch m tgarch and cgarch

does school quality matter returns to education and the characteristics of public schools in the united states this paper estimates the effects of school quality measured by the pupil teacher ratio average term length and relative teacher pay on the rate of return to education for men born between 1920 and 1949 using earnings data from the 1980 census we find that men who were educated in states with higher quality schools have a higher return to additional years of schooling rates of return are also higher for individuals from states with better educated teachers and with a higher fraction of female teachers holding constant school quality measures however we find no evidence that parental income or education affects average state level rates of return

the interface between growth trade pollution and natural resource use in chile evidence from an economywide model abstract we investigate the implications of trade liberalization and pollution taxes on aggregate income pollution and natural resource use in chile with a neoclassical economywide model comprising 75 sectors the model incorporates 13 measures of pollution effluents which are linked to the use of polluting inputs and energy use we estimate the economic and environmental impact of chile s participation in nafta mercosur of unilateral trade liberalization and effluent taxes unilateral trade liberalization induces substantial worsening of pollution emissions and expansion of resource based sectors partly because of access to cheaper energy nafta integration is environmentally benign in terms of pollution emissions

on the efficiency of the markets for gold and silver gold and silver have wide ranging utility from their use in art and jewelry to their use in the production of electronic equipment the holding of gold and silver has always been considered a great treasure within the last decade a new use has developed for these metals individual investors and portfolio managers have recently begun to view them as possible investment assets this paper examines the workings of the gold and silver markets from the investor s point of view the prices of goods are important in their allocation among competing uses and the same is true for gold and silver investors use the prices of the metals in making buy and sell decisions however the price changes for gold and silver permit these markets to be analyzed current theory maintains that market determined changes in price of investment assets result from a changing set of information and that given a competitive market system the price changes tend to move the markets toward equilibrium this is the essence of the efficient markets theory the purpose of this paper is to analyze the price changes for gold and silver to establish if the efficient markets theory can be applied to the markets for these metals this paper is divided into four sections and a conclusion the relationship between the gold and silver markets and market efficiency is ex

short term forecasting of electricity prices for miso hubs evidence from arima egarch models this study estimates three time series models arima arima egarch and arima egarch m for hourly real time electricity prices for each of the five hubs of the midwest independent system operator miso and examines the in and out of sample forecasting performance of the respective models the results from the arima models reveal the presence of autoregressive conditional heteroskedasticity recognizing the possibility of asymmetric time varying volatility the egarch specification for the variance equation demonstrates the presence of an inverse leverage effect in electricity prices for each hub with respect to forecasts no one model clearly dominates the others in terms of in sample forecasting performance based on four forecast evaluation statistics however the arima egarch m model outperforms the other models michigan hub is the exception in terms of the out of sample forecasting performance

legal constraints and the choice of educational grant structures recent empirical work suggests that legalconstraints are significant in choosingstate educational grant structures unfortunately the literature has not takensuch constraints into account thus callinginto question particular grant structurerecommendations this paper studies theconditions under which a legislature underorder to reform its educational grantstructure prefers foundation grants overdistrict power equalization grants atheoretical model is presented in which thechoice is shown to depend on the legalbasis of the court s decision and theempirical validity of this conclusion isdemonstrated using connecticut data and aseparate model of school districtexpenditure choice

public spending and quality of education in brazil abstractwe examined whether brazil s educational spending on public primary schools resulted in better quality of education 2003 2009 our hypothesis was municipalities that received higher government spending on primary education had higher student tests scores we used a panel analysis with fixed effects including a simulated instrumental variable to control for endogeneity even though the magnitude of all significant estimated coefficients increased when controlling for endogeneity they were still very small findings proved that the relationship between quality of education and educational spending was not optimal weakly contributing to the increase in test scores

conditional volatility skewness and kurtosis existence persistence and comovements abstract recent portfolio choice asset pricing value at risk and option valuation models highlight the importance of modeling the asymmetry and tail fatness of returns these characteristics are captured by the skewness and the kurtosis we characterize the maximal range of skewness and kurtosis for which a density exists and show that the generalized student t distribution spans a large domain in the maximal set we use this distribution to model innovations of a garch type model where parameters are conditional after demonstrating that an autoregressive specification of the parameters may yield spurious results we estimate and test restrictions of the model for a set of daily stock index and foreign exchange returns the estimation is implemented as a constrained optimization via a sequential quadratic programming algorithm adequacy tests demonstrate the importance of a time varying distribution for the innovations in almost all series we find time dependency of the asymmetry parameter whereas the degree of freedom parameter is generally found to be constant over time we also provide evidence that skewness is strongly persistent but kurtosis is much less so a simulation validates our estimations and we conjecture that normality holds for the estimates in a cross section setting we also document covariability of moments beyond volatility suggesting that extreme realizations tend to occur simultaneously on different markets

the week end effect in common stock returns the international evidence this paper examines the daily stock market returns for four foreign countries we find a so called week end effect in each country in addition the lowest mean returns for the japanese and australian stock markets occur on tuesday the remainder of the paper answers four questions are seasonal patterns in foreign stock markets independent of those previously reported in the u s do japan and australia exhibit a seasonal one day out of phase due to different time zones do settlement procedures across countries bias week end effects does the seasonal pattern in foreign exchange offset the week end effect in stocks for americans investing overseas some of the most anomalous empirical findings in finance are associated with the sample distributions of daily common stock returns cross 1 french 2 gibbons and hess 3 and keim and stambaugh 4 have documented that the average return on friday is abnormally high and the average return on monday is abnormally low to our knowledge this so called day of the week effect or week end effect has yet to be explained because this anomaly has been reported primarily for u s stock returns it is appropriate to investigate whether similar results occur for other countries positive findings would strongly support the proposition that the weekly seasonal effect is a general world wide phenomenon rather than the result of a special type of institutional arrangement in the u s to shed more light on this proposition our paper examines stock market returns in the u k japan canada and australia since we find a week end effect in each country we can examine a set of interesting questions for example are these seasonals independent of the previously reported seasonal in the u s due to different time zones do far eastern countries exhibit a seasonal one day out of phase do different settlement procedures across countries influence weekend effects does the seasonal in foreign exchange fluctuations see mcfarland pettit and sung 7 and levi 6 offset the week end effect in stock market returns for americans investing overseas

carbon dioxide emissions and international trade at the turn of the millennium we present a new dataset of geographical production final embodied production and consumption based carbon dioxide emission inventories covering 78 regions and 55 sectors from 1997 to 2011 we extend previous work both in terms of time span and in bridging from geographical to embodied production and ultimately to consumption we analyse the recent evolution of emissions the development of carbon efficiency of the global economy and the role of international trade as the distribution of responsibility for emissions across countries is key to the adoption and implementation of international environmental agreements and regulations the final production and consumption based inventories developed here provide a valuable extension to more traditional geographical production based criteria

using market valuation to assess public school spending abstract we examine whether school expenditures are valued by potential residents and whether the current level of public school provision is inefficient by estimating the effect of state education aid on residential property values we find evidence that overall state aid is valued by potential residents and that school districts do not overspend on education however we find that districts may overspend in areas where residents have fewer schooling options but find no difference in efficiency by the degree of district unionization one interpretation of these results is that increased competition may reduce overspending on public schools in some areas

superstitious seasonality in precious metals markets evidence from garch models with time varying skewness and kurtosis in this article we analyse whether the friday the 13th effect documented by kolb and rodriguez 1987 can be observed in precious metals markets specifically we use dummy augmented garch models to investigate the impact of this specific calendar day on the conditional means of gold silver palladium and platinum returns the specification of the garch model follows a flexible class recently proposed by leon et al 2005 that incorporates time varying skewness and kurtosis by applying a gram charlier series expansion of the normal density function our results for the period from july 1996 to august 2013 provide three important insights first there is no evidence that human superstition regarding bad luck fridays affects precious metals markets in a negative way i e returns on fridays the 13th are not significantly lower than on regular fridays second besides showing robustness in a variety of settings we can confirm this main result in a sensitivity check where we replace the dummy variables

the trade off between child quantity and quality an empirical investigation of trade offs between number of children and their scholastic performance confirms that family size directly affects children s achievement though parents show no favori

economic linkages across commodity futures hedging and trading implications we investigate cross market trading dynamics in futures contracts written on seemingly unrelated commodities that are consumed by a common industry on the tokyo commodity exchange we find such evidence in natural rubber nr palladium pa and gasoline ga futures markets the automobile industry is responsible for more than 50 of global demand for each of these commodities var estimation reveals short run cross market interaction between nr and ga and from nr to pa cross market influence exerted by pa is felt in longer dynamics with pa volatility volume affecting nr ga volume volatility our findings are robust to lag specification volatility measure and consistent with full bekk garch estimation results further analysis which benchmarks against silver futures market tocom index and topix transportation index confirms that our results are driven by a common industry exposure and not a commodity market factor a simple trading rule that incorporates short run ga and long run pa dynamics to predict nr return yields positive economic profit our study offers new insights into how commodity and equity markets relate at an industry level and implications for multi commodity hedging