aggregate demand for electricity in south africa an analysis using the bounds testing approach to cointegration abstract electricity demand in south africa has grown at a very rapid rate over the past decade as part of reform initiatives to enhance long term sustainability of the country s electricity industry south africa s authorities have in recent years sought to develop an electricity pricing framework that is cost reflective and forms the cornerstone of demand management schemes meant to foster changes in consumption behaviour and enhance efficiency in resource use the effects of any pricing policy on aggregate electricity consumption will depend on a useful understanding of the factors that influence electricity demand and the magnitude to which electricity demand responds to changes in such factors in this context this paper applies the bounds testing approach to cointegration within an autoregressive distributed lag framework to examine the aggregate demand for electricity in south africa during the period 1960 2007 the results indicate that in the long run income is the main determinant of electricity demand with electricity prices having an insignificant effect on aggregate electricity demand future pricing policies will need to ensure that electricity prices are cost reflective and enhance efficiency of electricity supply and use

the influence of seasonal adjustment on the canadian consumption function 1947 1991 cointegration tests typically rely on seasonally adjusted data cointegration tests are applied in this paper to seasonally unadjusted data the main objective of the paper is to test the permanent income hypothesis using canadian data the authors find that the unit root at the zero frequency found in seasonally adjusted data is also present in seasonally unadjusted data however there is considerable evidence for the presence of seasonal unit roots although there is support for the permanent income hypothesis for seasonally adjusted data the same hypothesis is rejected for seasonally unadjusted data

uncertainty and disagreement in economic prediction the bank of england survey of external forecasters this article introduces a new source of survey data namely the bank of england survey of external forecasters the survey collects point and density forecasts of inflation and gdp growth and hence offers the opportunity of constructing direct measures of uncertainty we present a simple statistical framework in which to define and interrelate measures of uncertainty and disagreement the resulting measures are compared with other direct measures of uncertainty nationally and internationally a significant sustained reduction in inflation uncertainty followed the 1997 granting of operational independence to the bank of england to pursue a monetary policy of inflation targeting

long run relationship between output capital labour and productivity in emerging market economies long run relationship between the variables involved in the production function is an issue that is important particularly in developing countries as the neoclassical production function is best suited for developed countries and its applicability to developing countries is questionable in various ways this motivates us to do this based on time series analysis taking indian textile industry as an example which is currently at its crucial stage as a critical industry in an emerging economy with the phasing out of multi fibre arrangement in 2005 this study documents existence of cointegration between capital and output negative impact of employment shocks on output changes substitutability between changes in capital and labour negative effect of shocks to changes in capital stock on productivity and negative effect of employment shocks on future productivity these results are in line with the general perceptions about this industry and with the standard neoclassical propositions as explained in t

the causality relationship between energy consumption and gdp in g 11 countries revisited abstract this paper explores whether energy conservation policies can be implemented in countries with the same level of development that is is restraining energy consumption without compromising economic growth feasible in all industrialized countries a new granger non causality testing procedure developed by toda and yamamoto 1995 journal of econometrics 66 225 250 is applied to re investigate the relationship if any between energy consumption and income in 11 major industrialized countries the results clearly do not support the view that energy consumption and income are neutral with respect to each other except in the case of the united kingdom germany and sweden where a neutral relationship is found bi directional causality in the united states and uni directional running from energy consumption to gdp in canada belgium the netherlands and switzerland are found this indicates that energy conservation may hinder economic growth in the latter five countries further the causality relationship appears to be uni directional but reversed for france italy and japan which implies that in these three countries energy conservation may be viable without being detrimental to economic growth

seasonality and habit persistence in a life cycle model of consumption summary the allocation of non durable consumers expenditure over the four quarters of the year reflects choices made by consumers implying a utility function exhibiting seasonality incorporating such a function the life cycle model fails to explain fully the observed dynamics in uk seasonally unadjusted data seasonal habit persistence effects are introduced and found to be significant although this generalized model stands up well to testing in a univariate context it fails to exclude a predictive role for lagged income changes seasonality is inherent in many economic time series but it is rarely considered to be an issue of interest in econometric model building rather than explicitly investigating the economics underlying seasonal variation modellers typically try to remove its effects either by using seasonally adjusted data or by including seasonal intercept dummies in their equations the former practice is criticized by wallis 1974 who shows that it may distort the relationship between variab le the latter assumes that the function simply shifts up or down with the season however except for degrees of freedom considerations there seems to be no a priori reason why the same parameters or functional form should apply at different times of the year indeed gersovitz and mackinnon 1978 argue that realistic utility cost or production functions result in models in which seasonal influences cannot be separated out in a simple fashion in the present study seasonality is treated as one of the features to be explained within the economic model thus in the particular application to non durable consumers expenditure it is argued that the allocation of expenditure over the year reflects seasonal tastes and hence seasonality in the underlying utility function the implications of this are explicitly investigated the framework for our analysis is the influential paper by hall 1978 who derives a randomwalk model for real non durable consumers expenditure when rational expectations are combined with a life cycle theory of consumption hall does not investigate seasonality at all and employs seasonally adjusted values in his empirical analysis although subsequent us authors have examined many aspects of this theory the type of data used has rarely been

defining geographic coal markets using price data and shipments data abstract given the importance of coal in world energy supply an analysis of the relevant geographic market is essential for consumers producers as well as for competition policy the purpose of this paper is to define the relevant economic market for steam and coking coal and to test the hypothesis of single world markets for these coal products methodologically the paper relies on two different tests for defining markets using both shipments data and price data the results from both methods point in the same direction in the case of coking coal the results indicate that the market is essentially global in scope and also that the market has become more integrated over time the results for steam coal show that the market is more regional in scope and there exist no clear tendencies of increased integration over time one policy implication of the finding that the steam coal market is more regional in scope and thus that the market boundary is smaller than if the market would have been international is that a merger and acquisition in this market likely would have been of a more concern for antitrust authorities than the same activity on the coking coal market

exchange rate bubbles fundamental value estimation and rational expectations test abstract we propose a model of periodically collapsing bubbles which extends the van norden 1996 model and nests it by considering a non linear specification for the bubble size in the survival regime and the endogenous determination of the level of the fundamental value of the stochastic process they allow us to test for rationality in the formation of expectations and remove the arbitrariness of exogenously setting the level of the fundamental value this general model is applied to the exchange rate of the brazilian real to the us dollar from march 1999 to february 2011 the futures market exchange rate is used as a proxy of its expected future value and three different structural models are considered for the determination of the fundamental value the first two imply that the exchange rate satisfies either purchasing power parity ppp or a modified version of it the third structural model is a version of the monetary model of exchange rate determination fitted to the period under consideration we obtain the maximum likelihood estimate of the parameters of the models explore the properties of the errors test its restricted versions and compare the three specifications for the fundamental we find that the models we propose fit well the data and are useful in the heuristic interpretation of the exchange rate movements of the period finally we select the structural models that display the best performance according to several criteria

a new model of trend inflation this article introduces a new model of trend inflation in contrast to many earlier approaches which allow for trend inflation to evolve according to a random walk ours is a bounded model which ensures that trend inflation is constrained to lie in an interval the bounds of this interval can either be fixed or estimated from the data our model also allows for a time varying degree of persistence in the transitory component of inflation in an empirical exercise with cpi inflation we find the model to work well yielding more sensible measures of trend inflation and forecasting better than popular alternatives such as the unobserved components stochastic volatility model this article has supplementary materials online

effective use of survey information in estimating the evolution of expected inflation the evolution of the term structure of expected u s inflation is modeled using survey data to provide timely information on structural change not contained in lagged inflation data to capture shifts in subjective perceptions the model is adaptive to long horizon survey expectations however even short horizon survey expectations inform shifting endpoint estimates that capture the lag between inflation and the perceived inflation target which anchors inflation expectations results show movements of the perceived target are an important source of inflation persistence and suggest historical u s monetary policy was not fully credible for much of the postwar sample

further tests on the forward exchange rate unbiasedness hypothesis in this paper we reexamine the evidence on the forward rate unbiasedness hypothesis for the main currencies vis a vis the u s dollar exchange rate using the phillips and hansen 1990 estimation and inference procedure

a new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle abstract this paper introduces a general procedure for decomposition of non stationary time series into a permanent and transitory component allowing both components to be stochastic the permanent component is shown to be a random walk with drift and the transitory or cyclical component is a stationary process with mean zero the decomposition methodology which depends only on past data and therefore is computable in real time is applied to the problem of measuring and dating business cycles in the portwar u s economy we find that measured expansions and contractions are of roughly equivalent duration and that our dating of cyclical episodes tends to lead the traditional nber dating and to a lesser extent the growth cycle chronology of zarnowitz and boschan 1977

model selection based unit root detection in unemployment rates international evidence a model selection based unit root detection by using the bayesian information criterion is proposed first six alternative model classes are obtained considering the presence or absence of a unit root and considering three kinds of deterministic terms no constant constant constant and trend second given the selected model class the best model is selected from the alternative models with different lags third the best of the entire model set comprising the six models obtained in the preceding step is selected finally whether an observed time series contains a unit root is determined on the basis of the selected model simulation results suggest that the proposed method is at least comparable to and often better than the sequential testing method provided by dolado et al 1990 empirical results obtained by the proposed method are more convincing than those obtained by the sequential testing method and suggest that the hysteresis hypothesis can be applied to monthly time series of the unemploym

is the well being of children converging in the european union recent discussion of convergence in the european union has focused on macroeconomic indicators in line with requirements for participation in the single currency but it is reduction of disparities in living standards that is an ultimate goal of european integration the greater economic and social cohesion emphasised by the treaty on union we assemble evidence on whether the well being of children in member states has been converging over the last two decades taking a variety of indicators poverty household worklessness youth unemployment child mortality youth suicide educational enrolment teenage fertility and self reported life satisfaction

the canadian underground and measured economies granger causality results using new time series data for the size of the canadian underground economy the relationship between unreported and measured gdp in that country is examined granger causality tests are conducted with a proper allowance for the non stationarity of the data it is found that there is clear evidence of such causality from measured gdp to hidden output but only very mild evidence of granger causality in the reverse direction this result supports similar evidence for new zealand reported by the first author and has several interesting policy implications

price interrelationships in the vegetable and tropical oils market the relationship between vegetable and tropical oils prices is investigated utilizing a vector autoregressive approach despite the apparent similarities between these oil prices in terms of their general pattern of movement over time the relationships were not found to be strong enough to label them as cointegrated series further analysis indicates that substitution relationships appear to drive price movements in the short run while market based structural factors for each of the oils are important elements in the price formation process in the long run

a time series test of innovation driven endogenous growth this article finds evidence that ideas and innovation are a key force explaining postwar growth in the u s economy utilizing data on patents issued since 1851 i construct a measure of the growth rate of knowledge capital stock estimates human capital estimates and real gross domestic product per worker growth rates are combined with the knowledge growth series to construct a time series test of endogenous innovation growth models the results support the endogenous innovation approach but suggest that the accumulation of the per worker capital stock and changes in average human capital per worker are at least as important jel 030 c32

evaluating real time var forecasts with an informative democratic prior this paper proposes bayesian forecasting in a vector autoregression using a democratic prior this prior is chosen to match the predictions of survey respondents in particular the unconditional mean for each series in the vector autoregression is centered around long horizon survey forecasts heavy shrinkage toward the democratic prior is found to give good real time predictions of a range of macroeconomic variables as these survey projections are good at quickly capturing endpoint shifts

the effect of house price on fertility evidence from hong kong i introduction the mechanism underlying the demographic transition coinciding with industrialization still remains an unresolved debate in economics and demography early contributions to the new family economics formulated the choice of fertility into the beckerian time allocation model and derived that the secular decline of fertility rates in developed countries over the past 50 yr was mainly attributed to the increase of the opportunity cost of childbearing and rearing represented by the increase of female education levels wage rates and labor force participation rates becker 1960 1991 willis 1973 although this negative relationship between fertility rates and female labor market activities has been verified by later empirical studies butz and ward 1979 heckman and walker 1989 1990 it cannot fully explain the demographic transition pattern in western europe and elsewhere as contended by becker and murphy 2000 an illustration in point of the insufficiency of this female labor market story comes from the demographic transition pattern that has occurred with the east asian tigers during the past four decades while these four economies south korea taiwan hong kong and singapore have experienced both economic takeoff and fertility decrease synchronously macunovich 2000 their female labor market behavior changed mildly and female labor force participation rates flfprs are still much lower than their western counterparts 1 the typical representation of this new demographic transition pattern happened in hong kong on the one hand the economy of hong kong has been booming and has experienced one of the fastest per capita gross domestic product gdp growth rates around the world in the past four decades however the total fertility rate tfr has sharply decreased by 75 at the same period from 3 459 in 1971 downward to 966 in 2005 one of the lowest in the world and far below the required replacement level of 2 100 2 on the other hand however the extent to which the female labor market behavior has responded to the economic prosperity has been very limited for example the flfprs just increased from 42 8 in 1971 to 52 0 in 2005 3 since it is unbelievable that a 9 2 increase of flfprs is the primary driving force for the almost 75 decrease of tfrs other factors influencing the shadow price of childbearing and rearing should also be taken into account 4 the dominant factor responsible for the drastic decrease of fertility rates in hong kong suggested by the present article is the house price hp the justification of the hp into a fertility decrease story involves the standard income and substitution effects first of all the increase of hps impoverishes parents and exerts a negative income effect on the demand for children in the standard economic theory of fertility becker 1991 following the conventional practice in which the child is assumed to be a normal good the negative income effect decreases the demand for children second hp is a part of the shadow price for children the increase of the hp should also decrease the demand for children in the hicksian sense and this negative compensated substitution effect reinforces the pure negative income effect overall both effects may cause many relatively young or poor households to be unable to afford to set up a household in a lifecycle context consequently to the extent that owning house or renting house of a sufficient size may be a precondition for having children many such households may be highly constrained to have any children at all for relatively wealthy couples rising housing prices would diminish the house size they could afford to buy or to rent and decrease the demand for children accordingly more importantly the magnitude of the increase of hp may be large enough to trigger the sharp decrease of fertility rates in hong kong in fact the growth rates of hps have dominated the growth rates of both real per capita gdp and real wage rates during the past four decades

measuring inflation expectations uncertainty using high frequency data inflation expectations play a key role in determining future economic outcomes the associated uncertainty provides a direct gauge of how well anchored the inflation expectations are we construct a model based measure of inflation expectations uncertainty by augmenting a standard unobserved components model of inflation with information from noisy and possibly biased measures of inflation expectations obtained from financial markets this new model based measure of inflation expectations uncertainty is more accurately estimated and can provide valuable information for policymakers using u s data we find significant changes in inflation expectations uncertainty during the great recession

the international transmission of volatility shocks an empirical analysis this paper proposes an empirical model which can be used to estimate the international transmission of volatility shocks using this model we estimate that a one standard deviation increase in the volatility of the shock to us real gdp leads to a decline in uk gdp of 1 relative to trend and a 0 7 increase in uk cpi relative to trend at the two year horizon using a nonlinear open economy dsge model we find that these empirical estimates are consistent with the response to a perturbation to the volatility of foreign supply type shocks while an increase in the volatility of demand shocks has a negligible impact

long memory and persistence in aggregate output abstract we examine persistence in u s aggregate output by estimating fractionally integrated arima models these models provide better low frequency approximations to the wold representation than previous stochastic specifications and earlier results on the importance of a permanent component emerge as special cases we find evidence of long memory which induces persistence though this long memory need not be associated with a unit root our point estimates indicate that macroeconomic shocks while persistent are distinctly less persistent than many earlier studies suggest however confidence intervals associated with the long run response are quite wide

transitory and permanent disturbances and the current account an empirical analysis in the intertemporal framework the intertemporal models of current account determination demonstrate that in the analysis of the current account balance of a country it is important to distinguish between transitory and permanent disturbances in income and relative prices this paper attempts to decompose the observed data on income and real exchange rate into transitory and permanent components and then uses the decomposed series to test the empirical validity of the predictions of the intertemporal models evidence from the united states and japan provide very limited support for the intertemporal models in terms of the effects of transitory and permanent changes in income on current account balance for both us and japan the study finds that permanent changes in real exchange rate have significant effects on the current account balance statistical tests find no evidence of hysteresis in the trading relations of the two countries

measuring the level and uncertainty of trend inflation abstract firmly anchored inflation expectations are widely viewed as playing a central role for the conduct of monetary policy this paper presents estimates of trend inflation based on information contained in monthly data on realized inflation survey expectations and the term structure of interest rates in order to assess whether inflation expectations are anchored a timevarying volatility of trend shocks is estimated as well while there is some commonality in inflation and survey based estimates of trend inflation yield based trend estimates embed a highly persistent component orthogonal to trend inflation trimmed mean inflation rates and survey forecasts are most indicative of trend inflation

a vector autoregressive model of the british columbia regional economy we construct a small vector autoregressive var model to investigate the usefulness of this approach to forecasting the british columbia bc macro economy the forecasts are compared with univariate arima forecasts overall our results suggest that the accuracy of the var matches or exceeds that of the univariate arima the accuracy of the predictions from our var model indicates that var as a forecasting tool is a promising approach for regional forecasting and warrants further investigation formal tests for granger causality are conducted and we find evidence of bi directional causality between bc employment and prices and uni directional causality from bc gdp to both bc employment and canadian gdp our results also suggest uni directional causality from canadian gdp to both bc employment and prices and from prices to gdp within bc

endogenous structural breaks public investment in agriculture and agricultural land productivity in taiwan using time series data for taiwan s agricultural sector and with the government s public investment in the agricultural sector serving as a proxy variable for nonfarm current inputs aside from the original labour and capital input variables usually taken into consideration this article examines the relationship between public investment in agriculture public investment land and agricultural land productivity output land in taiwan our main findings are as follows first the cointegration test reveals that public investment in agriculture and the productivity of agricultural land exhibit a significant positive relationship in the long run where the elasticity of land productivity in relation to public investment in agriculture is 0 55 second when controlling for endogenous structural breaks the long run equilibrium relationship for the productivity of the agricultural land model is still supported third the results of the weak exogeneity test indicate that a causal relationship exists in the lo

asymmetry in the ems new evidence based on non linear forecasts abstract in this paper we provide new evidence on the hypothesis of german leadership and asymmetric performance in the ems in the framework of causality tests using daily data given the evidence about non linearity in financial series we propose applying non linear forecasting methods based on the literature on complex dynamic systems our analysis covers nine countries and the sample period runs until 30 april 1998 so including the more recent events in the ems history a comparison of our results with those obtained from standard linear econometric techniques leads us to conclude that inference on causality based on our non linear predictors would be preferable to that based on the standard linear approach

the demand for tourism in north east england with special reference to northumbria an empirical analysis abstract this paper examines the trends of tourism in north east england in particular we focus on the area of northumbria to show the potential of tourism for economic development in the region within this analysis we concentrate on the demand for tourism in the region and in particular we are concerned with tourism by uk residents in northumbria domestic tourism the long run relationship between domestic tourism demand and a number of economic factors effecting this demand is considered using the johansen and juselius 1990 1992 multivariate cointegration analysis an error correction model is then proposed for short run forecasting of domestic demand for tourism in northumbria

nonlinearity and structural breaks in irish ppp relationships an application of random field regression using nominal and real exchange rates for ireland relative to germany and the uk from 1975 to 2003 this article explores likely sources of nonlinearity in purchasing power parity ppp relationships and difficulties in employing an i 1 i 0 econometric framework tests for fractionalintegration and nonlinearity including random field regression based procedures are applied results reveal shortcomings in the standard cointegration and smooth transition autoregression approaches to modelling and point to multiple structural changes models such a model for the case of ireland and germany suggests that ppp holds not only in the long run but also in the medium to short term

the big problem of forecasting small change the united states mint recently reviewed approaches to forecasting the demand for new coin this paper reports on methods used to determine fundamental attributes of the data and uses these to help better determine appropriate model specification in order to better plan coin production in particular the debate regarding trend versus difference stationarity in macroeconomic trending data is considered the interest in the present paper is limited to applying a well known unit root test procedure to an untested macrodata set changes in us coin demand to see whether the test is useful in guiding the specification to improved forecast performance it is found that the forecast results are somewhat sensitive to the way in which the data are seasonally adjusted and lessons learned from this case study indicate that unit root tests are useful in guiding model specification

the nobel memorial prize for clive w j granger clive granger developed the econometric foundations for analysing and modelling non stationary macroeconomic time series forging an approach that has become the dominant paradigm in empirical macroeconomic research based on a critique of potential nonsense regressions in applied econometric models of non stationary data granger s concept of cointegration facilitated the merging in a unified framework of economic theory about equilibrium relationships with dynamic econometric models of short run behaviour this provided a remarkable leap forward in the empirical analysis of macroeconomic relationships and in testing macroeconomic theories extending to non stationary macroeconomic time series the formulation by nobel laureate trygve haavelmo of an economy as a system of simultaneous stochastic relationships major policy institutions around the world on a day to day basis now use empirical econometric models in which cointegrated relations determine the long run outcomes his research has spawned an industry veritably opening a door to powerful ideas and procedures that many have followed and helped to extend ever since there are in excess of 2 800 citations to his joint paper on cointegration with robert engle who shared the 2003 prize in recognition of his achievements in developing methods of analysing economic time series with common trends cointegration clive granger was awarded the sveriges riksbank prize in economic science in memory of alfred nobel in october 2003 this article is a complement to frank diebold s fine appreciation of engle s contributions where volatility and factor models including common trends are addressed

natural gas demand at the utility level an application of dynamic elasticities abstract previous studies provide strong evidence that energy demand elasticities vary across regions and states arguing in favor of conducting energy demand studies at the smallest unit of observation for which good quality data are readily available that is the utility level we use monthly data from the residential sector of xcel energy s service territory in colorado for the period january 1994 to september 2006 based on a very general autoregressive distributed lag model this paper uses a new approach to simulate the dynamic behavior of natural gas demand and obtain dynamic elasticities knowing consumers response on a unit time basis enables one to answer a number of questions such as the length of time needed to reach demand stability responses to price and income were found to be much lower even in the long run than has been commonly suggested in the literature interestingly we find that the long run equilibrium is reached relatively quickly around 18 months after a change in price or income has occurred while the literature implies a much longer period for complete adjustments to take place

regional factor price convergence across four major european countries w ebber d j and w hite p 2003 regional factor price convergence across four major european countries reg studies 37 773 782 neo classical growth models predict that the free movement of goods and factors will result in the spatial convergence of output and an ensuing convergence of factor prices based on distribution free statistics this paper presents an empirical examination of average factor prices for labour across 58 regions of the eu over the period 1980 94 using methods of concordance and discordance that identify the presence of switching persistence stratification and convergence between individual and groups of regions our results suggest swings in the trend between factor price convergence and factor price divergence while switching persistence and stratification characterize the sample s evolution w ebber d j et w hite p 2003 la convergence re gionale des prix des facteurs a travers quatre grands pays europeens reg studies 37 773 782 les modeles de croissance neo

convergence clubs and subsistence economies abstract this paper focuses on one possible explanation for the empirical evidence of a income convergence among the world s poorest countries and among its wealthiest countries and b income divergence among most of the remaining countries the model incorporates the assumption of subsistence consumption into the neoclassical exogenous growth model yielding outcomes that are consistent with the convergence divergence empirical evidence while subsistence consumption can lead to negative saving and disaccumulation of capital it can also coincide with positive saving and accumulation of capital the model predicts that the poorer the country the lower its saving rate a result that also appears to be borne out by the evidence provided here

regression direction and weak exogeneity abstract the absence of testing for weak exogeneity in money demand has often led to stark conditioning claims regarding the validity of price equations this paper uses the johansen procedure to explore the conditioning properties of money demand systems for nonborrowed reserves m1 and m2 our results show that irrespective of the specification of the cointegrating relation a feedback mechanism enters the equation for money the opposite however is not true for the price equations the results also cast a warning for single equation models of money demand in that weak exogeneity is sensitive to how the system is defined

a multivariate cointegration analysis of the role of energy in the us macroeconomy abstract this paper extends my previous analysis of the causal relationship of gdp and energy use in the usa in the post war period a majority of the relevant variables are integrated justifying a cointegration analysis the results show that cointegration does occur and that energy input cannot be excluded from the cointegration space the results are plausible in terms of macroeconomic dynamics the results are similar to my previous granger causality results and contradict claims in the literature based on bivariate models that there is no cointegration between energy and output

public agricultural r d design and technological spill ins a dynamic model the paper presents a dynamic model for the analysis of the national agricultural research systems narss strategy in a context of increasing globalisation both intersectoral and international technology spill ins may greatly affect the nars design and this paper proposes an analytical framework for its study when major spill ins are present these spill ins are calculated by applying the yale technology concordance ytc methodology a var vec model is then specified to detect empirically given the calculated spill ins what nars design prevails in a dynamic framework the model is estimated for the italian agriculture data and provides evidence of close dependency on external r d sources

estimating saving investment correlations evidence for oecd countries based on an error correction model abstract saving investment correlations are important stylized facts in open economy macroeconomics and indicators of capital mobility they are best estimated by an error correction model ecm because an ecm is consistent with intertemporal general equilibrium models the ecm is a synthesis of previous approaches applying the ecm to the oecd countries we find that in general saving and investment are cointegrated the ecm is more powerful in detecting cointegration than the two step engle granger procedure estimates of the saving investment correlation are robust with respect to overdifferencing we find evidence of a large country effect and an increase in capital mobility within the oecd area

does inflation targeting anchor long run inflation expectations evidence from the u s uk and sweden we investigate the extent to which inflation expectations have been more firmly anchored in the united kingdom a country with an explicit inflation target than in the united states a country with no such target using the difference between far ahead forward rates on nominal and inflation indexed bonds as a measure of compensation for expected inflation and inflation risk at long horizons we show that far ahead forward inflation compensation in the u s exhibits substantial volatility especially at low frequencies and displays a highly significant degree of sensitivity to economic news similar patterns are evident in the uk prior to 1997 when the bank of england was not independent but have been strikingly absent since the bank of england gained independence in 1997 our findings are further supported by comparisons of dispersion in longer run inflation expectations of professional forecasters and by evidence from sweden another inflation targeting country with a relatively long history of inflation indexed bonds our results support the view that an explicit and credible inflation target helps to anchor the private sector s views regarding the distribution of long run inflation outcomes jel e31 e52 e58

india s trade balance in the 1980s an econometric analysis the paper is an examination of india s trade balance in the 1980s the approach attempted is of examining the bilateral trade balances of india with nine trading partners from the non communist bloc the long run equilibrium relations are studied via two var models in johansen s multivariate cointegration framework five hypotheses of interest are singled out for attention the nominal and real exchange rates consistently emerge as important influences on the trade balance however as the exchange rates fail weak exogeneity tests policy implications are not clear cut

a survey of some recent econometric methods this survey is written mainly for the applied economist though we hope that the specialist econometrician will find something of interest too our aim has been to try to bring the applied worker as up to date as possible and in the process to improve the quality of applied work by providing access to the latest ideas in econometrics we have tried to describe and explain in a relatively non technical way the main developments that have taken place in the last ten years partly for reasons of space the survey is by no means exhaustive but it does cover a wide range of topics in both time series and cross section analysis among the subjects covered are the followoing the nature of data including integrated and fractionally integrated data four estimation methods maximum likelihood method of moments m estimators and non parametric estimation inference with stationary and integrated regressors a comparison of various model evaluation principles the formulation of models including dynamic specification cointegration and conditional expectations in mean and variance copyright 1989 by royal economic society

domestic monetary transfers and the inland bill of exchange markets in spain 1775 1885 abstract this article studies the monetary transfers system that was created by the short term inland bill of exchange markets for decades this system was the most practical way of channeling the growing volume of transfers which were taking place as a consequence of the growth of the spanish economy this analysis argues that between 1775 and 1885 the markets involved in this activity became progressively more efficient due largely to the multilateralization of the payment system this situation lasted longer in spain than in the rest of europe since spanish banking was initially slower to develop using univariate and multivariate garch models it was possible to conclude that the inland bill of exchange markets constituted an essential monetary instrument and one that faithfully reflects the integration of monetary markets in spain

cointegration and unit roots this paper provides an updated survey of a burgeoning literature on testing estimation and model specification in the presence of integrated variables integrated variables are a specific class of non stationary variables which seem to characterise faithfully the properties of many macroeconomic time series the analysis of cointegration develops out of the existence of unit roots and offers a generic route to test the validity of the equilibrium predictions of economic theories special emphasis is put on the empirical researcher s point of view

growth and the welfare state in the eu a causality analysis in this paper we test for causality between gdp growth andsocial protection expenditure in the european union to that end we apply hsiao s 1981 sequential procedure to data for twelveeu countries along the 1970 1994 period our results suggestthat for belgium germany ireland luxembourg the netherlands portugal and spain causality runs only from social protectiongrowth to gdp growth while for denmark france greece italy and the united kingdom no causality is found between socialprotection growth and gdp growth

public debt in brazil sustentability and its implications abstract this paper tests sustainability of brazilian public debt in the period 1991 to 2009 and analyzes implications of requiring that the brazilian fiscal policy be primarily committed to the sustainability of the public debt the retrospective analysis utilizes a set of unit root tests and avoids some of the criticism leveled at previous studies by using data which has not previously been used for this purpose and concludes that the public debt was sustainable in the period we consider the prospective analysis is based on the dsge model proposed by jodi gali et al 2007 calibrated for brazil using the conclusions of the retrospective analysis for the fiscal parameters the scenarios produced with the help of the model show that maintaining the sustainability of the public debt is consistent with the monetary policy of inflation targeting we also conclude that it is possible to reduce interest rates to levels below those prevalent at the end of 2010 simultaneously maintaining the stability of the trajectory of the public debt

stability of money demand function revisited in china as china s economic reforms have undergone significant structural changes after 1979 it has been rather difficult to formulate a stable money demand function over the period following that year while previous literature on the long run relationship of money demand in china shows the existence of stable money demand this article revisits the stability of the china money demand function over the period after 1979 to employ the unit root tests and the cointegration tests with structural break the empirical evidence demonstrates that economic and financial deregulation did affect the stability of demand for money in china over the period 1977 to 2002 moreover the estimated long run income and interest elasticity are respectively 1 01 1 11 and 0 14 0 08 using the real m1 m2 equation in addition real income and the interest rate are found to be weakly exogenous we overall do find structural breakpoints mainly in 1980 and 1993 and they look to match clearly with corresponding critical financia

on the economic determinants of oil production theoretical analysis and empirical evidence for small exporting countries abstract in this paper decisions regarding production in oil exporting countries are studied by means of theoretical analysis and empirical investigation in particular we aim at describing the relationship between oil production levels and changes in the world oil demand and prices intertemporal production decisions by a representative oil producer are modeled by means of a partial equilibrium model in this theoretical model oil producers are subject to exogenous shocks in world oil consumption and prices oil companies can change output levels only by incurring a fixed cost results from the simulation of this model show a strong relationship between oil production and changes in world oil consumption on the contrary the effects of changes in real oil prices on oil production decisions seem to be much lower results from the simulation of the theoretical model are then empirically investigated using time series econometric techniques the empirical evidence supports the hypothesis that oil producing countries are characterized by different responses to changes in world oil demand and in real oil prices for many countries production rapidly adjusts to changes in consumption whereas responses of oil production to innovations in real oil prices are found to be not statistically significant in addition when non linearities in the relationship between world oil demand prices and output levels are allowed for evidence of asymmetric effects of shocks to exogenous variables on output levels is found for some countries

common stochastic trends in european stock markets the objective of the paper is to investigate whether price indices of different european stock markets display a common long run trending behaviour using cointegration analysis we provide empirical evidence of common stochastic trends among five important european stock markets over the period 1975 1991

estimating quadratic variation using realized variance this paper looks at some recent work on estimating quadratic variation using realised variance rv that is sums of m squared returns this econometrics has been motivated by the advent of the common availability of high frequency financial return data when the underlying process is a semimartingale we recall the fundamental result that rv is a consistent as m estimator of quadratic variation qv we express concern that without additional assumptions it seems difficult to give any measure of uncertainty of the rv in this context the position dramatically changes when we work with a rather general sv model which is a special case of the semimartingale model then qv is integrated variance and we can derive the asymptotic distribution of the rv and its rate of convergence these results do not require us to specify a model for either the drift or volatility functions although we have to impose some weak regularity assumptions we illustrate the use of the limit theory on some exchange rate data and some stock data we show that even with large values of m the rv is sometimes a quite noisy estimator of integrated variance

the seasonal unit root structure in new zealand macroeconomic variables adf unit root tests are generally applied to macroeconomic data prior to testing theoritical models to ensure that all relevant variables are integrated of the same order not only is it important to test that these variables are integrated of the same order but also that a cointegrating relationship exists failure to do so raise the specture of false inference associated with the spurious regression problem the seasonal nature of quarterly data adds a further proplem which has generally been overcome by seasonally adjusting the data using procedure such as the census x 11 rather than suppressing it have attempted to determine whether the seasonal component in each variable exhibits stochastic non stationary this paper analysisunit roots in a seasonal setting and compares the recently developed tests for seasonal unit roots as well as the standard augmented dickey fuller zerop frequency unit root tests of the variables tested relatively few paper to be integrated at the seasonal frequenciues and as

econometric approaches to empirical models of exchange rate determination abstract this paper identifies four principal econometric approaches to the estimation and testing of asset market models of exchange rate determination the traditional static reduced form approach the error correction and co integration dynamic reduced form approaches the simultaneous equations approach and large scale multi equation macroeconometric simulation models each of these econometric approaches is evaluated with respect to its theoretical validity and the comparative properties of the empirical results obtained this leads to the conclusion that although there may be little to choose between the different theoretical exchange rate models there may be grounds for favouring a multi equation simultaneous estimation procedure for this class of models

firless firwoes how preferences can interfere with the theorems of international trade abstract an example is presented of a two country two factor four good trade model in which free trade causes factor prices to be drawn farther apart than they were in autarky the example is equivalent to a two good model with a double factor intensity reversal fir and thus demonstrates that the problems associated with firs can arise in many dimensions without them these problems include the undermining of other trade theorems as well and can be avoided only by making some assumption about demand as well as about technology for example the model becomes well behaved if preferences and technology are both cobb douglas

are shocks to energy consumption permanent or temporary evidence from 182 countries this article applies univariate and panel data unit root tests to annual panel data for 182 countries over the period 1979 2000 to examine the stationarity properties of per capita energy consumption the univariate unit root test can only reject the unit root null for 56 countries or 31 of the sample at the 10 level or better however univariate unit root tests have low power with short spans of data and therefore failure to reject the unit root null should be treated with caution when we apply the panel data unit root test we find overwhelming evidence that energy consumption is stationary we discuss the policy implications of these findings and offer suggestions for future research

an analysis of the disaggregated manufacturing exports of the asian nies to eec usa and japan this paper examines the export performance of the four asian newly industrialized economics nies by modelling their bilateral export flows to three main oecd blocks the usa japan and the european community our estimated export demand models reveal interesting asymmetries between these three areas of destination which do not emerge from previous aggregate empirical studies of nie export performance

quality of life indices for analysing convergence in the european union giannias d liargovas p and manolas g 1999 quality of life indices for analysing convergence in the european union reg studies 33 27 35 this paper investigates convergence and tests it empirically across countries of the european union between 1970 and 1990 convergence is defined not only in terms of economic indicators but also in terms of social and quality of life indicators real convergence is computed by evaluating a weighted average coefficient of variation based on economic and quality of life variables the weights are based on an experts opinion survey country rankings based on the values of a composite quality of life index are also constructed the results confirm that real convergence was achieved between 1970 75 for most of the countries convergence stagnated between 1980 85 and then it increased southern european member states did not exhibit similar patterns giannias d liargovas p et manolas g 1999 l analyse de la convergence au sein de l union europe enne a partir

exchange rate pass through abstract the resilience of trade balances of the major industrialized economies to changes in their exchange rates has evoked interest in the exchange rate pass through relationship so far there has not been a comprehensive survey of this literature the paper aims to fill this gap in two ways first it pieces together the theoretical literature on exchange rate pass through second it provides a critical survey of the empirical literature on exchange rate pass through emphasis is placed on the data and methodology employed in previous work this is done in order to guide future work in this growing area of research

money demand during hyperinflation and stabilization bolivia 1980 1988 i introduction the stability of demand for money equations has been at issue in both econometric research and policy analysis the academic debates about the relative merits of the traditional buffer stock and the error correction models of demand for money have centered on parameter stability 1 in policy discussion the scope for remonetization following stabilization depends on the upward shift in the demand for money and the consequent predictability of higher money demand with lower rates of inflation 2 only an increased demand for money would make further credit expansion non inflationary inflation uncertainty has a pervasive effect in the money price nexus high inflation uncertainty makes money a riskier asset depressing the demand for money on a long term and possibly short term basis this impact on the demand for money means that policies influencing inflation will have an additional effect through their impact on inflation uncertainty as well as on expected inflation this paper examines the role of inflation uncertainty in a dramatic case study bolivia during the 1980s this was a decade of extreme macroeconomic instability annual inflation rates reached over 20 000 percent motivating a subsequent stabilization which drove annual inflation rates down to less than 25 percent where they have remained for more than five years perhaps more than any other country in recent history bolivia has undergone a dramatic structural shift in its macroeconomic policy regime to what extent did the demand for money shift during this period in its sensitivity to expected inflation inflation uncertainty and to underlying monetary disequilibria as the inflation stabilization progressed how fast did the money demand parameters react to this new regime change was there scope for remonetization in bolivia following the now famous stabilization plan of august 1985 the new economic plan introduced by president victor paz estenssoro 3 previous literature on the demand for money has explored the role of inflation uncertainty with ambiguous results 4 klein 1977 observed that inflation rate uncertainty reduced the average and marginal productivity of real cash balances in providing monetary services effectively a greater volume of real cash balances is required to obtain the same quality adjusted level of cash balances while the impact on the demand for money is theoretically uncertain because the income and substitution effects work in opposite directions klein provided empirical evidence that inflation uncertainty measured by a moving five year variance around a moving ten year trend with data from 1880 to 1972 actually increased the demand for money in the united states around the same time boonekamp 1978 presented a two period mean variance model of money and bond demand highlighting the potential importance of a hedging role in the demand for money in the face of inflation uncertainty related to aspects of both of these two approaches and working with a capital asset pricing model capm sweeney 1988 drew on university of michigan survey data on inflationary expectations to resolve the theoretical ambiguity of the impact of inflation uncertainty his results based on post war quarterly u s data contrasted with those of klein by showing a negative impact of inflation uncertainty on money demand in his study of the demand for money in the six hyperinflations originally examined by cagan 1956 khan 1977 measured inflation uncertainty by the absolute value of the change in inflation his model assumed that inflation uncertainty would affect the demand for money not directly but by altering the adaptive expectations parameter in the adjustment of inflation expectations his empirical estimates implied a negative impact of inflation uncertainty on the demand for money during accelerating inflation engle 1982 introduced the concept of arch autoregressive conditional heteroskedastic models with a specific application to inflation expectations

money demand during hyperinflation and stabilization bulgaria 1991 2000 the demand for money in bulgaria is estimated over a ten year period 1991 2000 of high inflation and inflation uncertainty the paper distinguishes between three well defined sub periods high variable but not systematically accelerating inflation from 1991 until april 1996 the near hyperinflation period from may 1996 to february 1997 and the subsequent stabilization after the adoption of a currency board the empirical analysis utilizes a standard methodology of cointegration and error correction the functional determinants of the demand for money change during the different sub periods during the hyperinflation episode cagan s model is employed

currency substitution and nonlinear error correction in taiwan s demand for broad money we modify the conventional money demand function by including a real exchange rate variable to reflect the effect of currency substitution empirical evidence indicates that the variable is crucial to the long run stability of taiwan s money demand after finding the failure of a linear error correction model ecm in describing the dynamics of taiwan s money demand we apply a nonlinear ecm to examine its dynamics and support the appropriateness of the nonlinear model empirically

inflation expectations and risk premiums in an arbitrage free model of nominal and real bond yields differences between yields on comparable maturity u s treasury nominal and real debt the so called breakeven inflation bei rates are widely used indicators of inflation expectations however better measures of inflation expectations could be obtained by subtracting inflation risk premiums from the bei rates we provide such decompositions using an estimated affine arbitrage free model of the term structure that captures the pricing of both nominal and real treasury securities our empirical results suggest that long term inflation expectations have been well anchored over the past few years and inflation risk premiums although volatile have been close to zero on average

uncertainty shocks and unemployment dynamics in u s recessions abstract what are the effects of uncertainty shocks on unemployment dynamics we answer this question by estimating non linear smooth transition vars with post wwii u s data the relevance of uncertainty shocks is found to be much larger than that predicted by standard linear vars in terms of i magnitude of the reaction of the unemployment rate to such shocks and ii contribution to the variance of the prediction errors of unemployment at business cycle frequencies the ability of different classes of dsge models to replicate our results is discussed

a structural var approach on labour taxation policies this paper presents a structural var analysis on the employment and output effects of labour tax policies in six european countries for the period 1974 1997 by considering impulse response functions it turns out that on average a shock to the total personal income tax revenues is positively correlated to employment whereas there is mixed evidence on the output effect moreover the quantitative impact of these effects especially those related to the output appears to be quite small however by introducing explicitly four labour tax parameters namely the marginal and average tax rates for the personal income tax and the payroll tax it turns out that these effects are not negligible after all for some countries it is possible to conceive labour taxes as policy instruments favouring more employment and a better economic performance however the empirical support on the sign of the output and employment effects is mixed suggesting that the same domestic fiscal policy does not produce the same im

temporal causality and the dynamics of different categories of crime and their socioeconomic determinants evidence from australia hale and sabbagh 1991 failed to find cointegration i e a long term equilibrium relationship between crime and unemployment in the case of england and wales the present study basedon multiple cointegrationtests preceded by various unit root or non stationarity tests is the first attempt at putting the analysis of crime in a temporal granger causal framework in the australian case 1963 90 by binding the relationship between different categories of crime and their socioeconomic determinants within a multivariate cointegrated system the results based on the most recent methodology broadly indicate that although the relative importance of the determinants of crime varied by type of crime of all the determinants it is dwelling commencements a proxy for wealth that appears to impact more or less on all the categories of crime significantly followed by urbanization

convergence clubs and endogenous growth recent data indicate a wide disparity in the growth performance of different nations such disparities have usually been taken to imply that there is to much catching up or convergence taking place using a modified version of the endogenous growth approach we show that convergence is occurring but in a non equalizing manner the world appears to be segmented into two mutually exclusive convergence clubs with the members of the richer club enjoying a real income per capita which is significantly higher than that enjoyed by those belonging to the poorer club copyright 1992 by oxford university press

the cyclicality of price cost margins in banking an empirical analysis of its determinants i introduction in this paper we study the cyclical behavior of price cost margins in banking calculated as the difference between the interest rate on loans and deposits using time series quarterly data for the period 1979 2005 in the united states this cyclical behavior of banks price cost margins a key fact about business fluctuations has received little attention before dueker and thornton 1997 find evidence that in cyclical downturns banks opt for a relatively high price cost margin however they focus exclusively on the markup of the bank prime lending rate over the marginal cost of funds for banks mandelman 2006 presents evidence on the cyclicality of margins for a large sample of countries and uses foreign bank penetration to explain the behavior of margins 1 in olivero 2005 aliaga diaz 2006 and aliaga diaz and olivero 2010a we document the countercyclicality of banks price cost margins in the united states in that paper we do so using an atheoretical methodology based on var forecast errors to measure comovement between variables 2 in this paper we build on this atheoretical evidence and take a step further by constructing an empirical model of the determinants of the cyclical behavior of margins here we take a theory based approach to decide on the inclusion of the relevant regressors that belong to this model doing so allows us to contribute to the literature by providing potential explanations for the previously documented countercyclical nature of margins monetary policy and credit risk could be suggested as the main and potentially the only determinants of the cyclical behavior of margins on the one hand the bank lending channel of monetary transmission predicts that the federal funds rate as a monetary policy indicator and margins are directly related therefore if policy rates exhibit a particular cyclical behavior not controlling for monetary policy could bias the estimations on the cyclical behavior of margins on the other hand credit risk is expected to be countercyclical and to raise margins so that default should help explain the countercyclicality of the latter based on these two observations our empirical methodology consists of two steps in a first step we test whether the negative and significant contemporaneous sample correlations between margins and a business cycle indicator are robust to the inclusion of controls related to monetary policy default risk and banking regulation results show it is so that there seems to be other channels through which fluctuations in the economy give rise to the observed countercyclicality of margins in a second step we look for these channels and offer several potential explanations for the observed behavior interest rate risk the economy s financial depth banks liquidity and capitalization and the share of total assets held by large banks all exert a significant impact on the behavior of margins over the business cycle these conclusions are consistent across alternative definitions of the margins and the business cycle indicator our work is linked to two strands of research in macroeconomics first our countercyclicality results are linked to the large literature on countercyclical markups in goods markets and its effects on aggregate demand started by rotemberg and saloner 1986 and rotemberg and woodford 1992 second price cost margins that vary endogenously and countercyclically in response to the state of the economy are a necessary condition for the existence of a financial accelerator as an amplifier of business fluctuations see for example bernanke and gertler 1989 and bernanke gertler and gilchrist 1998 therefore the countercyclical nature of price cost margins that we study here provides empirical support to the large body of literature in macroeconomic theory on this financial accelerator with price cost margins in the market for credit being countercyclical credit becomes more expensive in bad times firms may delay investment and production as a result and recessions may be exacerbated

structural changes cointegration and the empirics of thirlwall s law thirlwall s law establishes a relation between the long run growth rate the growth of exports and the long run income elasticity of imports the estimation of this parameter requires cointegration techniques which in turn require a large span of data thus exposing the estimates to risks of structural changes while this problem has been recognized in the literature the evidence produced is still partial being concerned with a very limited number of countries and in some respects unsatisfactory in this article we fill this gap by assessing thirlwall s empirical regularity on a sample of 22 organization for economic cooperation and development oecd countries using econometric techniques that allow for the presence of a shift of unknown date in the long run parameters the results are generally supportive of thirlwall s hypothesis and allow us to reconcile and qualify the evidence provided in the existing literature

the demand for the components of broad money error correction and generalized asset adjustment sytems the distinction between bank and non bank deposits have been blurred over the last decade and this has led to changes in the demand for various types of monetary aggregates thus money demand studies which focus only on one monetary aggregate like m3 currency plus bank deposits without allowing for the altered nature of asset substitutions may lead to wrong inferences about the cause of the growth of the money this paper is concerned with the interactions between the components of broad money currency bank and non bank deposits in the long and short run the long run asset demand equations are specified to encompass the transaction and portfolio motives for demanding money while the short run asset adjustment equations are derived from an underlying dynamic cost minimizing model the short run asset adjustment model is of the error correction form and under certain assumptions is shown to nest the generalized adjustment form the model is applied to the case of australia using both quarterly and

efficiency risk aversion and portfolio insurance an analysis of financial asset portfolios held by investors in the united kingdom using data for the united kingdom the author shows that investors in six different wealth ranges hold mean variance efficient portfolios of financial assets this result permits him to estimate coefficients of relative risk aversion for investors in each wealth range the author finds that these coefficients are much higher than most previous studies have found this implies that investors 1 are unwilling to hold risky assets unless they are compensated with a sufficiently high risk premium and 2 are willing to pay for portfolio insurance the general nonavailability of portfolio insurance in the united kingdom appears to indicate a supply side rather than a demand side failure copyright 1996 by royal economic society

us regional income convergence a spatial econometric perspective rey s j and montouri b d 1999 us regional income convergence a spatial econometric perspective reg studies 33 143 156 this study reconsiders the question of us regional economic income convergence from a spatial econometric perspective recently developed methods of exploratory spatial data analysis provide new insights on the geographical dynamics of us regional income growth patterns over the 1929 94 period strong patterns of both global and local spatial autocorrelation are found throughout the study period and the magnitude of global spatial autocorrelation is also found to exhibit strong temporal co movement with regional income dispersion a spatial econometric analysis of the familiar baumol specification reveals strong evidence of misspecification due to ignored spatial error dependence because of this dependence shocks originating in one state can spillover into surrounding states potentially complicating the transitional dynamics of the convergence process rey s j et montouri

granger causality in peripheral emu public debt markets a dynamic approach our research aims to analyze the possible existence of granger causal relationships in the behavior of public debt issued by peripheral member countries of the european economic and monetary union emu with special emphasis on the recent episodes of crisis triggered in the eurozone sovereign debt markets since 2009 with this goal in mind we make use of a database of daily frequency of yields on 10 year government bonds issued by five emu countries greece ireland italy portugal and spain covering the entire history of the emu from its inception on 1 january 1999 until 31 december 2010 in the first step we explore the pair wise granger causal relationship between yields both for the whole sample and for changing subsamples of the data in order to capture the possible time varying causal relationship this approach allows us to detect episodes of significant increase in granger causality between yields on bonds issued by different countries in the second step we study the determinants of these episodes analyzing the role played by different factors paying special attention to instruments that capture the total national debt domestic and foreign in each country

testing for the lop under nonlinearity an application to four major eu pork markets this article develops an econometric procedure to test the validity of the law of one price lop under nonlinearity and to distinguish between its strong and its weak version the procedure is applied to four major eu pork markets using weekly prices from 1991 to 2008 the empirical results suggest that the markets are well integrated with deviations from the steady state price differentials corrected nonlinearly the lop is valid for all market pairs and for the pair germany spain it holds in its strong version

the message in north american energy prices how similar is the price behavior of north american natural gas fuel oil and power prices using current state of the art econometric methodology we explore the degree of shared trends across north american energy markets across these markets there appear to be effective arbitraging mechanisms for the price of natural gas and fuel oil but not for the price of electricity

the stochastic volatility in mean model with time varying parameters an application to inflation modeling this article generalizes the popular stochastic volatility in mean model to allow for time varying parameters in the conditional mean the estimation of this extension is nontrival since the volatility appears in both the conditional mean and the conditional variance and its coefficient in the former is time varying we develop an efficient markov chain monte carlo algorithm based on band and sparse matrix algorithms instead of the kalman filter to estimate this more general variant the methodology is illustrated with an application that involves u s u k and germany inflation the estimation results show substantial time variation in the coefficient associated with the volatility highlighting the empirical relevance of the proposed extension moreover in a pseudo out of sample forecasting exercise the proposed variant also forecasts better than various standard benchmarks

a time series approach to g convergence this paper applies time series analysis to study how the gap between a number of countries and the usa evolves through time as other authors it is found that time series analysis provides a better insight into the concept of convergence than the cross sectional one the econometric results show that the stochastic behaviour of the output disparity varies considerably neither the steady state equilibrium nor the speed of convergence are unique and constant across countries and time in general there is catching up for european countries convergence for east and south asian countries and neither of them for latin american countries