conditional dependence structure between oil prices and exchange rates a copula garch approach abstract we study the conditional dependence structure between crude oil prices and u s dollar exchange rates using a copula garch approach various copula functions of the elliptical archimedean and quadratic families are used to model the underlying dependence structure in both bearish and bullish market phases over the 2000 2011 period we find evidence of significant and symmetric dependence for almost all the oil exchange rate pairs considered the rise in the price of oil is found to be associated with the depreciation of the dollar moreover we show that student t copulas best capture the extreme dependence and that taking the extreme comovement into account leads to improve the accuracy of var forecasts our main results remain unchanged when considering alternative garch type specifications and the crisis period but are sensitive to the use of raw returns

drivers for the use of materials across countries abstract this paper analyses drivers for resource use and material productivity across countries this is not only relevant in light of soaring raw material prices but also because eu policies such as the thematic strategy on the sustainable use of natural resources com 2005 670 the eu raw materials initiative com 2008 699 and various similar policies internationally seek to better manage materials along their life cycle and across economies in order to better understand the system dynamics of material use our paper applies methodologies of material flow analysis and regression analysis to identify the major drivers for resource use and decoupling from gdp drivers are understood as those factors that exert influence on human activities to use resources a panel data set is taken for the european union for the years 1980 2000 eu 15 and 1992 2000 eu 25 the main drivers of resource use were found to be energy efficiency new dwellings and roads construction activities shortcomings of the methodology are also discussed

contagion volatility persistence and volatility spill overs the case of energy markets during the european financial crisis the aim of this paper is to investigate if and to what extent events in financially troubled eu markets greece ireland and portugal affected energy prices during the eu financial crisis more specifically i we test for contagion effects of bond prices on energy commodity prices ii we examine whether the nature of energy price volatility is affected and iii we investigate whether bond volatility from the financially distressed eu markets spills over to energy commodity return volatility our results indicate the existence of significant contagion effects notable changes in the nature of energy commodity volatility during the eu financial crisis and spill over effects the results are robust to the use of short term yields instead of long term bond price changes and to the inclusion of spain and italy in the sample

a time varying copula approach to oil and stock market dependence the case of transition economies abstract we employ the time varying copula approach to investigate the conditional dependence between the brent crude oil price and stock markets in the central and eastern european cee transition economies our results show evidence of a positive dependence between the oil and the stock markets of the six cee countries which is indicative of a contagion between those markets regardless of the changes in the oil price or the cee stock index moreover the dependence patterns in both the center and left tails of the return distributions change over time particularly during the heart of the financial crisis and are best described by the survival gumbel copulas the empirical evidence also suggests that the lower tail dependence is much stronger than that of the upper tail highlighting the importance of contagion during severe contractionary business cycles among the sample markets poland is shown to be particularly sensitive in this regard while hungary and slovenia are the least sensitive

metabolic inequality and its impact on efficient contraction and convergence of international material resource use international inequality in material use decreased between 1970 and 2000 inequality stabilized 2000 to 2010 when global growth in material use accelerated material intensity has gained importance in shaping material use inequality inequality in material intensity has increased and shapes global material use

measuring contagion between energy market and stock market during financial crisis a copula approach abstract in this paper we apply time varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial crisis using the wti oil spot price the s p500 index the shanghai stock market composite index and the shenzhen stock market component index returns evidence was found for a significantly increasing dependence between crude oil and stock markets after the failure of lehman brothers thus supporting the existence of contagion in the sense of forbes and rigobon s 2002 definition moreover increased tail dependence and symmetry characterize all the paired markets this indicates that significant increases in tail dependence are an actual dimension of the contagion phenomenon and that crude oil and stock prices are linked to the same degree regardless of whether markets are booming or crashing during the sample period finally the contagion effect is found to be much weaker for china than the us the empirical results have potentially important implications for risk management

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

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

modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition based copula method abstract this study combines the variational mode decomposition vmd method and static and time varying symmetric and asymmetric copula functions to examine the dependence structure between crude oil prices and major regional developed stock markets s p500 stoxx600 djpi and tsx indexes during bear normal and bull markets under different investment horizons furthermore it analyzes the upside and downside short and long run risk spillovers between oil and stock markets by quantifying three market risk measures namely the value at risk var conditional var covar and the delta covar covar the results show that there is a tail dependence between oil and all stock markets for the raw return series by considering time horizons we show that there is an average dependence between the considered markets for the short run horizons however the tail dependence is also found for the long run horizons between the oil and stock markets with the exception of the s p500 index which exhibits average dependence with the oil market moreover we find strong evidence of up and down risk asymmetric spillovers from oil to stock markets and vice versa in the short and long run horizons finally the market risk spillovers are asymmetric over the time and investment horizons

analysis on major drivers of cement consumption during the urbanization process in china abstract accompanying by the rapid urbanization process of china unprecedented amounts of cement have been poured into urban construction over the last decade since research is still scarce on the factors underlying the cement consumption the motivation of this paper is to provide insight into cement based socioeconomic metabolism and to improve understanding of the linkage between human activities and cement consumption to explore the key impact factors of cement consumption an extended stirpat model is exploited in this paper to examine the effect of population gross domestic product gdp per capita cement consumption intensity fixed investment and urbanization level with regional panel data of china from 2005 to 2013 the empirical results indicate that fixed investment and gdp per capita are the decisive driving factors of cement consumption the unbalanced investment between infrastructure and people s livelihood reflects bias urbanization policy in china inverted u shaped nexus between cement consumption and urbanization as well as gdp per capita are observed in the empirical results moreover regional heterogeneities are taken into account in the model estimation on the ground of the empirical findings several policy recommendations are provided for policy makers it is suggested that policy makers should take account of the regional discrepancy and implement a sustainable urbanization strategy to curtail cement consumption only when excessive fixed investment is curbed does the enthusiasm of cement consumption calm down

regional and copula estimation effects on eu and us energy equity portfolios the aim of this paper is to investigate the regional interdependence structure of energy equities in the us and in the eu based on weekly stock prices of 28 big energy firms in the two regions fro

wti crude oil futures in portfolio diversification the time to maturity effect the aim of the paper is to analyze the diversification effect brought by crude oil futures contracts the most liquid commodity futures into a portfolio of stocks the studies that have documented the very low and essentially negative correlations between commodities and equities typically rely on normally distributed returns which is not the case for crude oil futures and stocks indexes moreover the particular time to maturity chosen for the future contract used as an investment vehicle is an important matter that needs to be addressed in presence of forward curves switching between backwardation and contango shapes our goal in this paper is twofold a we introduce copula functions to have a better representation of the dependence structure of oil futures with equity indexes b using this copula representation we are able to analyze in a precise manner the maturity effect in the choice of crude oil future contract with respect to its diversification benefits our finding is that in the case of distant maturities futures e g 18 months the negative correlation effect is more pronounced whether stock prices increase or decrease this property has the merit to avoid the hurdles of a frequent roll over while being quite desirable in the current trendless equity markets empirical evidence is exhibited on a database comprising the nymex wti crude oil futures and s p 500 index over a 15 year time period

turkey s energy efficiency assessment white certificates systems and their applicability in turkey abstract the last decade has seen an increase in the importance of energy efficiency and the sustainable use of energy resources due to their significant benefits for reducing a country s dependence on foreign energy resources and increasing awareness on environmental problems turkey aims to reduce its energy intensity by 20 up to 2023 and in order to accomplish this target the country plans to use energy more effectively in various industries and develop financial mechanisms for energy efficiency although much effort has been made to improve energy efficiency additional policies such as marked based incentives are still necessary this article deals with one of the many market based energy efficiency policies called tradable white certificates whc or energy efficiency obligations the current situation of the energy field in turkey and energy consumption by industries is presented first in this paper followed by potentials for energy efficiency in each industry and energy efficiency policies furthermore the theory and applicability of a whc system is introduced and discussed in terms of market conditions choice of obligated participants and market mechanisms and barriers for the turkish electricity and natural gas market to benefit from the residential and industrial energy savings potential

pathways to a resource efficient and low carbon europe abstract various environmental footprint concepts have already been developed and applied in sustainability research however these analyses tend to remain restricted to historical observation samples at least in comparison with related research activities in other environmental policy domains like e g climate policy it seems that applications of integrated assessment tools represent rather seldom exceptions within the resource policy domain our paper is therefore intended to strengthen the related evidence base we present recent projections from the dynamic multi region input output mrio simulation model ginfors global inter industry forecasting system which provide an outlook on global development trends until the year 2050 our detailed material footprint and climate policy assessment indicates that a global agreement on a policy mix will allow a clear turnaround towards climate protection and a sustainable use of natural resources without deteriorating economic performance if the eu decides unilaterally to lead the way then this turnaround could also be achieved for the eu while the eu would also benefit economically from this pioneering role a third pathway towards a resource efficient and low carbon europe quantifies the environmental and economic impacts of a strong transitional change induced by european citizens commitments to far reaching sufficiency objectives

time varying effect of oil market shocks on the stock market abstract a mixture innovation time varying parameter var model is used to examine the impact of structural oil price shocks on u s stock market return time variation is evident in both the coefficients and the variance covariance matrix the standard deviations of the demand side structural shocks reached forty year peaks during the global financial crisis and have remained high since in the real stock return equation the coefficient of global real economic activity has declined since the late 1990s and that of oil market specific demand oil shock has been lower since the early 1990s than before the structural oil shocks account for 25 7 of the long run variation in real stock returns overall with substantial change in levels and sources of contribution over time the contribution of shocks to global real economic activity to real stock return variation rose sharply to 22 in 2009 and remains 17 over 2009 2012 the contribution of oil market specific demand price shocks rose unevenly from 5 in the mid 1970s to about 15 in 2007 with a subsequent decline the contribution of oil supply shocks has trended downward from 17 to 5 over 1973 2012

analysing future trends of renewable electricity in the eu in a low carbon context the aim of this paper is to analyse the situation and trends of electricity from renewable energy sources res e in the eu up to 2030 taking into account several drivers and barriers and different maturity levels for the renewable energy technologies the methodology is based on the results of simulation models providing insights on future outlooks complemented with an analysis of regulations and other drivers and barriers regarding the most mature renewable electricity technologies the main drivers will be public policies carbon prices and support schemes and the expected up ward trend in fossil fuel prices and the main barriers are related to grid access administrative procedures and the exhaustion of places with the best wind resource for those already commercial but expensive technologies the main driver is support schemes but not carbon prices allowing the exploitation of the large potential for investment cost reductions barriers are mostly related to their high investment costs finally for those technologies which are emerging and immature further technical improvements as a result of r d efforts will be needed and they cannot be expected to significantly penetrate the european electricity market until 2030

backcasting sustainable freight transport systems for europe in 2050 european freight transport emissions and fuel consumption are projected to increase this study focuses on long distance freight transport ldft and explores possible sustainable futures through quantitative modeling the evaluation was part of european foresight process between researchers policy makers and freight companies freightvision greenhouse gas ghg emissions and energy demand of road rail and inland waterways were estimated for an eu 27 in 2005 development was extrapolated to 2050 based on technology and freight performance forecasts stakeholders found the forecasted ghg emissions and fossil fuel share unsustainable so alternative futures were developed with backcasting the developed emission model was run with random parameter combinations to screen a set of sustainable futures with an 80 reduction of ghg emissions and fossil fuel share freight transport performance was not controlled in the backcasts but several sustainable futures were found if significant changes in transport efficiency and energy mix are implemented in spite of agreeing on the importance of reducing emissions stakeholders had difficulties in choosing a preferred technological future simple models were found to be an effective tool for communicating the influence of various measures further research is recommended to screen preferable technological roadmaps from the broad range of available futures

key drivers for unsustainable resource use categories effects and policy pointers abstract prevailing resource use patterns of the global socio industrial metabolism are unsustainable an increasing number of people globally require ever more materials including energy carriers land and water for rising living standards and lifestyles converging towards western industrialised patterns therefore these resources will continue becoming both scarcer and depleted while environmental impacts associated with their consumption e g run away climate change will continue to rise for effective resource policies drivers for such unsustainable resource use and their effects need to be better understood and mapped by means of meta analysis of more than 60 sources of relevant literature we identified a set of ten driver categories that affect unsustainable resource use inter alia prevailing consumption and production patterns use and design of infrastructure and technology underlying paradigms and world views resource prices and the level of knowledge and information of resource users cumulative effects of the drivers contribute for instance up to 30 of phosphorus loss from soil and around 30 of building energy loss globally although the data does not allow clear cut causal attribution of effects it enables the distinction between direct and indirect drivers in relation to a multi dimensional network of drivers causing unsustainable resource use resource policy should combine policy objectives and instruments into policy mixes to target key drivers and their interrelations while policy mixes need to respond to context specific driver settings targeting consumer behaviour emerges as a general driver focus of policy mixes combining different instrument types and implementing them in a time dynamic sequence can mitigate trade offs between different instruments and in the longer term increase feasibility of profound behaviour changes

a model of sales with differentiated and homogeneous goods abstract this paper extends the classical model of sales varian 1980 rosenthal 1980 by adding product differentiation instead of uninformed i e loyal customers our setting features variety seekers these consumers regard the products as imperfect substitutes as in the original model the firms also serve bargain seekers who buy the cheapest product the discontinuous demand structure precludes any pure strategy equilibria we characterize the symmetric mixed strategy equilibrium of the modified game in contrast to the original model the upper bound on prices and the equilibrium expected profits are decreasing in the mass of bargain seekers

empirical estimates of the direct rebound effect a review beginning with william stanley jevons in 1865 a number of authors have claimed that economically justified energy efficiency improvements will increase rather than reduce energy consumption jevons paradox is extremely difficult to test empirically but could have profound implications for energy and climate policy this paper summarises and critiques the arguments and evidence that have been cited in support of jevons paradox focusing in particular on the work of len brookes and harry saunders it identifies some empirical and theoretical weaknesses in these arguments highlights the questions they raise for economic orthodoxy and points to some interesting parallels between these arguments and those used by the biophysical school of ecological economics while the evidence in favour of jevons paradox is far from conclusive it does suggest that economy wide rebound effects are larger than is conventionally assumed and that energy plays a more important role in driving productivity improvements and economic growth than is conventionally assumed 2008 elsevier ltd all rights reserved

return dependence and the limits of product diversification in financial firms copula garch models indicate dependence between bank returns and those to insurance underwriting securities brokerage and mortgage finance increased during the recent crisis in contrast dependence between banks and the broader market was little changed the crisis related jump in return dependence within the financial services sector was greatest for banks that had previously appeared the most independent larger banks were also especially prone to increased dependence these findings raise doubts about the ability of financial conglomerates to diversify effectively and highlight the need for policy progress in methods for resolving such institutions should they become illiquid or insolvent

it takes two to tango equilibria in a model of sales we show that the varian model of sales with more than two firms has two types of equilibria a unique symmetric equilibrium and a continuum of asymmetric equilibria in contrast the 2 firm game has a unique equilibrium that is symmetric for the n firm case the asymmetric equilibria imply mixed strategies that can be ranked by first order stochastic dominance this enables one to rule out asymmetric equilibria on economic grounds by constructing a metagame in which both firms and consumers are players the unique subgame perfect equilibrium of this metagame is symmetric

relationships between oil price shocks and stock market an empirical analysis from china this paper investigates the interactive relationships between oil price shocks and chinese stock market using multivariate vector auto regression oil price shocks do not show statistically significant impact on the real stock returns of most chinese stock market indices except for manufacturing index and some oil companies some important oil price shocks depress oil company stock prices increase in oil volatility may increase the speculations in mining index and petrochemicals index which raise their stock returns both the world oil price shocks and china oil price shocks can explain much more than interest rates for manufacturing index

financial regulation and financial system architecture in central europe abstract at the beginning of the transition advice to central european countries with respect to how to set up their financial systems was based on models used in western economies this paper analyzes the experiences to set up a financial system in central europe the experience in the first transition years 1990 1996 with financial system architecture shows that changes are slow but that the central european countries tend to catch up more quickly with the western ones in the case of their banking systems than with respect to their stock markets

the copula garch model of conditional dependencies an international stock market application abstract modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics when returns are non normal it is often simply impossible to specify the multivariate distribution relating two or more return series in this context we propose a new methodology based on copula functions which consists in estimating first the univariate distributions and then the joining distribution in such a context the dependency parameter can easily be rendered conditional and time varying we apply this methodology to the daily returns of four major stock markets our results suggest that conditional dependency depends on past realizations for european market pairs only for these markets dependency is found to be more widely affected when returns move in the same direction than when they move in opposite directions modeling the dynamics of the dependency parameter also suggests that dependency is higher and more persistent between european stock markets

disentangling the role of the exchange rate in oil related scenarios for the european stock market abstract the literature has been analysing so far the response of the stock market to a distress scenario for oil prices considering prices in domestic currency this assumption implies merging commodity risk and exchange rate risk this article proposes to generate oil related scenario depending on the source of risk the same distress oil related scenario in euros could generate an opposite impact on the european stock market depending on the source of risk results show higher losses for eurostoxx when oil prices in euros experience a downward movement due to a decrease of oil price in us dollars and when oil prices in euros experience an upward movement due to a depreciation of the euro against the us dollar this framework can improve our understanding of how the exchange rate interacts in global markets also it contributes to the design of tailor made international scenarios for stress testing

dependence structure between the equity market and the foreign exchange market a copula approach abstract this paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas in particular several copulas with different dependence structure are compared and used to directly model the underlying dependence structure we find that there exists significant symmetric upper and lower tail dependence between the two financial markets and the dependence remains significant but weaker after the launch of the euro our findings have important implications for both global investment risk management and international asset pricing by taking into account joint tail risk

advertising for consideration abstract we analyze markets where firms competing on price advertise to increase the probability of entering consumers consideration sets we find that moderately costly advertising allows firms to raise prices and possibly profits by reducing the fraction of price conscious consumers and by segmenting the market according to whether or not consumers consider the lower priced firm however when the cost of advertising is sufficiently low advertising leads to a prisoners dilemma that adversely impacts profits without affecting expected prices

growth in global materials use gdp and population during the 20th century the growing industrial metabolism is a major driver of global environmental change we present an assessment of the global use of materials since the beginning of the 20th century based on the conceptual and methodological principles of material flow accounting mfa on the grounds of published statistical data data compilations and estimation procedures for material flows not covered by international statistical sources we compiled a quantitative estimate of annual global extraction of biomass fossil energy carriers metal ores industrial minerals and construction minerals for the period 1900 to 2005 this period covers important phases of global industrialisation and economic growth the paper analyses the observed changes in the overall size and composition of global material flows in relation to the global economy population growth and primary energy consumption we show that during the last century global materials use increased 8 fold humanity currently uses almost 60 billion tons gt of materials per year in particular the period after wwii was characterized by rapid physical growth driven by both population and economic growth within this period there was a shift from the dominance of renewable biomass towards mineral materials materials use increased at a slower pace than the global economy but faster than world population as a consequence material intensity i e the amount of materials required per unit of gdp declined while materials use per capita doubled from 4 6 to 10 3 t cap yr the main material groups show different trajectories while biomass use hardly keeps up with population growth the mineral fractions grow at a rapid pace we show that increases in material productivity are mostly due to the slow growth of biomass use while they are much less pronounced for the mineral fractions so far there is no evidence that growth of global materials use is slowing down or might eventually decline and our results indicate that an increase in material productivity is a general feature of economic development

the economic value of co movement between oil price and exchange rate using copula based garch models article i nfo the us dollar is used as the primary currency of international crude oil trading as such the recent substantial depreciation in the us dollar has resulted in a corresponding increase in crude oil prices in addition oil price and exchange rate returns have been shown to be skewed and leptokurtic and to exhibit an asymmetric or tail dependence structure therefore this study proposes dynamic copula based garch models to explore the dependence structure between the oil price and the us dollar exchange rate more importantly an asset allocation strategy is implemented to evaluate economic value and confirm the efficiency of the copula based garch models in terms of out of sample forecasting performance a dynamic strategy based on the cgarch model with the student t copula exhibits greater economic benefits than static and other dynamic strategies in addition the positive feedback trading activities are statistically significant within the oil market but this information does not enhance the economic benefits from the perspective of an asset allocation decision finally a more risk averse investor generates a higher fee for switching from a static strategy to a dynamic strategy based on copula based garch models

economic growth sustainable development and food consumption evidence across different income groups of countries abstract considering that high population and income growths will lead the coming decades an increase in global food demand is expected livestock products such as meat are closely related to this trend but also associated with impacts on the environment and public health from land and water depletion to greenhouse gases emissions and higher risks of non communicable diseases this trend raises doubts about the sustainability of the food industry and thus a solution is needed for the problem how to feed the world population without compromising present and future generations the literature suggests that meat consumption should be reduced for the sake of the environment and global population however without considering the effects that such reduction would have on the economy inspired by these facts this paper empirically analyses the interactions between food consumption economic growth and sustainable development measured by the index of sustainable economic welfare more specifically the paper assesses the effect that food consumption has on the economy the econometric analysis applies the autoregressive distributed lag model for 77 countries further distinguished by their income group from 1995 to 2013 the findings support that meat consumption has different impacts on economic growth and sustainable development considering different income groups however there is an evident dilemma between economic growth and sustainable development since meat consumption has contradictory effects on each thus it is crucial to understand how to promote sustainability i e reducing the environmental externalities and chronic health diseases without compromising economic growth

technological progress and sustainable development what about the rebound effect abstract sustainability concepts that rest on the idea of resource or energy efficiency improvements due to technological progress tend to overestimate the potential saving effects because they frequently ignore the behavioral responses evoked by technological improvements efficiency improvements also affect the demand for resources and energy and often an increase in efficiency by 1 will cause a reduction in resource use that is far below 1 or sometimes it can even cause an increase in resource use this phenomenon is commonly labeled the rebound effect which is well known among energy economists but never attracted much attention in ecological economics the paper starts with the traditional neoclassical analysis of the rebound effect in a partial equilibrium framework that concentrates on the demand of one particular energy service such as mobility or room temperature it also provides an overview of some of the main empirical studies based on this model that mostly confirm the existence of the rebound effect but are controversial about its actual importance however we have to go beyond the neoclassical single service model in order to take care of the variety of possible feedback affecting energy use the paper presents two important expansions of the single service model in order to show the potential relevance of the rebound effect to ecological economics first it is shown that in a multi services model it proves to be difficult to make general statements about the relevance of the rebound effect in this case the overall effect of an increase in energy efficiency on total energy use depends on the on the assumptions about the substitutability between the services considered and the direction of the income effect second the paper also tries to take care of the fact that changes in resource use or energy use are frequently just side effects of other forms of technological progress especially technological change of a time saving nature can have a large influence on energy use as many time saving devices for example faster modes of transport require an increase in energy consumption that is frequently reinforced by a rebound effect with respect to time this effect will be especially strong when wages are high and at the same time energy prices are low as is currently the case in most industrialized countries consequently the paper also provides a strong argument for the introduction of energy taxes

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

what happened to the oil price macroeconomy relationship abstract strong evidence is found that oil prices no longer granger cause many u s macroeconomic indicator variables in data after 1973 a number of potential explanations are explored that sample stability issues are responsible that oil prices are now endogenous and that linear and symmetric specifications misrepresent the form of the oil price interaction none of these hypotheses are supported by the data the opec price increases do appear to have had significant impacts while the effects of the price declines of the 1980s are smaller and harder to characterize these results have potentially important implications for the large body of research which utilizes oil prices as an instrumental or explanatory variable

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

multivariate dependence and portfolio optimization algorithms under illiquid market scenarios we propose a model for optimizing structured portfolios with liquidity adjusted value at risk lvar constraints whereby linear correlations between assets are replaced by the multivariate nonlinear dependence structure based on dynamic conditional correlation t copula modeling our portfolio optimization algorithm minimizes the lvar function under adverse market circumstances and multiple operational and financial constraints when we consider a diversified portfolio of international stock and commodity market indices under multiple realistic portfolio optimization scenarios the obtained results consistently show the superiority of our approach relative to other competing portfolio strategies including the minimum variance risk parity and equally weighted portfolio allocations

the sufficiency strategy would rich world frugality lower environmental impact abstract one alleged weapon against unsustainable environmental impact is for the wealthy to consume less this sufficiency strategy is to complement the efficiency strategy of lowering ratios of resource inputs to economic outputs the former would reduce the affluence factor in i pat the latter the technology factor that the latter strategy suffers from a consumption rebound is widely recognized this paper identifies a similar rebound when the affluence factor is autonomously lowered the lower initial demand lowers prices which in turn stimulates new demand by others the strategy moreover addresses only the rich raising questions of its theoretical maximum efficacy its proponents usually conflate frugality with the north south dichotomy and intra generational with inter generational equity moreover there are difficulties with the supporting arguments that frugality is good for one s own sake as well as for the environment and that the rich should lead the way to living more lightly personal behaviour change is furthermore not a substitute for international political efforts finally since all changes in right side factors of the i pat equation change other right side factors such indirect attacks on impact should be abandoned in favor of supply and emissions quotas

driving forces for aggregate energy consumption a cross country approach abstract although a cornerstone for development past and current energy use has often posed a major challenge for policymakers with respect to planning and management within this context in this paper an updated multi sectorial cross country assessment of energy consumption trends was undertaken aiming at identifying the main drivers of changes in aggregate energy consumption these drivers have been interpreted in the light of the policy measures that have been implemented over the years by different countries to achieve a sustainable development of the energy sector the cross country assessment encompasses a set of developed united kingdom portugal and spain and emerging brazil china and india countries resorting to the logarithmic mean divisia index lmdi decomposition method changes in the aggregate energy consumption were decomposed into three main explanatory effects activity structure and intensity the major findings achieved reflect the relevance of intensity and activity effects in detriment of the structural effect the assessment of energy consumption trends using the lmdi decomposition method provides critical information regarding which is the dominant factor that should be focused in policy design

global patterns of materials use a socioeconomic and geophysical analysis abstract human use of materials is a major driver of global environmental change the links between materials use and economic development are central to the challenge of decoupling of materials use and economic growth dematerialization this article presents a new global material flow dataset compiled for the year 2000 covering 175 countries including both extraction and trade flows and comprising four major material categories biomass construction minerals fossil energy carriers and ores industrial minerals first we quantify the variability and distributional inequality gini coefficients in international material consumption we then measure the influence of the drivers population gdp land area and climate this analysis yields international income elasticities of material use finally we examine the coupling between material flows and between income and material productivity measured in economic production per tonne material consumed material productivity is strongly coupled to income and may thus not be suitable as an international indicator of environmental progress a finding which we relate to the economic inelasticity of material consumption the results demonstrate striking differences between the material groups biomass is the most equitably distributed resource economically the most inelastic and is not correlated to any of the mineral materials the three mineral material groups are closely coupled to each other and economic activity indicating that the challenge of dematerializing industrial economies may require fundamental structural transformation our analysis provides a first systematic investigation of international differences in material use and their drivers and thus serves as the basis for more detailed future work

ossified materialism introduction to the special volume on absolute reductions in materials throughput and emissions drawing from papers in this special volume sv this introductory paper on absolute reductions argues that the magnitude scope and urgency of the sustainability challenge require a drastic change in global civilisation including a radical transformation of the institutional arrangements and socio technical systems that facilitate the pursuit of wellbeing the authors of this paper identify four main challenges to absolute reductions including the resource intensive conventional template for development macroeconomic structures and trade policies creating burden shifting and inequality a resourceefficiency improvements fallacy and the dominant consumerist culture and lifestyles the paper demonstrates

oil prices stock markets and portfolio investment evidence from sector analysis in europe over the last decade this article extends the understanding of oil stock market relationships over the last turbulent decade unlike previous empirical investigations which have largely focused on broad based market indices national and or regional indices we examine short term linkages in the aggregate as well as sector by sector levels in europe using different econometric techniques our main findings suggest that the reactions of stock returns to oil price changes differ greatly depending on the activity sector in the out of sample analysis we show that introducing oil asset into a diversified portfolio of stocks allows to significantly improve its risk return characteristics

oil price shocks stock market economic activity and employment in greece abstract using a multivariate vector autoregression var approach this paper attempts to shed light into the dynamic relationship among oil prices real stock prices interest rates real economic activity and employment for greece the empirical evidence suggests that oil price changes affect real economic activity and employment oil prices are important in explaining stock price movements stock returns do not lead to changes in real activity and employment

sovereign bond market dependencies and crisis transmission around the eurozone debt crisis a dynamic copula approach abstractwe examine the dependency between the european government bond markets around the recent sovereign debt crisis a dynamic copula approach is used to model the time varying dependence struct

oil and energy price volatility it is commonly believed that since the 1973 oil crisis oil and energy prices have been more volatile than other commodity prices this study examines monthly producer prices for thousands of products over the period january 1945 through august 2005 the results show that crude oil refined petroleum and natural gas prices are more volatile than prices for about 95 of products sold by domestic producers relative to crude commodities however crude oil prices are currently more volatile than about 65 of other products and oil price volatility first exceeded the median for crude commodities following the 1986 drop in oil prices

how do crude oil prices co move a copula approach abstract this paper examines the dependence structure between crude oil benchmark prices using copulas by considering several copula models with different conditional dependence structures and time varying dependence parameters we find evidence of significant symmetric upper and lower tail dependence between crude oil prices these findings suggest that crude oil prices are linked with the same intensity during bull and bear markets thus supporting the hypothesis that the oil market is one great pool in contrast with the hypothesis that states that the oil market is regionalized our findings on crude oil price co movements also have implications for risk management hedging strategies and asset pricing

are benefits from oil stocks diversification gone new evidence from a dynamic copula and high frequency data abstract oil is perceived as a good diversification tool for stock markets to fully understand this potential we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional time varying joint distribution of the oil stocks pair accurately our realized garch with time varying copula yields statistically better forecasts of the dependence and quantiles of the distribution relative to competing models employing a recently proposed conditional diversification benefits measure that considers higher order moments and nonlinear dependence from tail events we document decreasing benefits from diversification over the past ten years the diversification benefits implied by our empirical model are moreover strongly varied over time these findings have important implications for asset allocation as the benefits of including oil in stock portfolios may not be as large as perceived

industrial symbiosis and the policy instruments of sustainable consumption and production abstract industrial symbioses iss and eco industrial parks eips are key concepts of industrial ecology ie the aim of iss and eips is to minimise inefficient material and energy use by utilising local by product and energy flows industrial symbioses tend to develop through spontaneous action of economic actors for gaining of economic benefit but these systems can be designed and promoted via policy instruments as well a literature review showed that national programmes for eco industrial parks can be found in different parts of the world in the action programmes and other sustainable consumption and production scp policy documents of the eu on the other hand industrial symbioses gain less recognition as a path to enhanced sustainable production in this article we consider this and also analyse how the evolution and environmental performance of an industrial symbiosis system centred on a finnish pulp and paper mill have been affected by scp policy instruments with regard to the system forming the subject of the case study and finnish industrial systems in general policy instruments have succeeded in reducing emissions but not in systematically encouraging operators toward symbiosis like activities all in all few studies exist on the overall impact of policy instruments promoting design of eco industrial parks it is not self evident that symbiosis like production systems would be sustainable in every case as the background assumptions for political promotion of eips suggest we concluded that industrial symbioses should be analysed and developed on a life cycle basis with documentation of the real environmental benefits due to efficient resource use and decreased emissions in comparison to standalone production iss can then bring eco competitiveness to companies in relation to scp tools such as environmental permits ecolabels and future product regulation based on the ecodesign directive in europe indirect encouragement of symbiosis through land use regulation and planning in such a way that material fluxes between companies are possible both in operations and in financial terms may prove effective the same holds for waste policies that encourage increased reuse of a company s waste by other enterprises

the unique equilibrium in a model of sales with costly advertising abstract we demonstrate that the varian 1980 model of sales has a unique nash equilibrium when firms incur costly advertising to compete for informed consumers the equilibrium is symmetric in particular with costly advertising the asymmetric equilibria highlighted by baye et al 1992 do not arise

information gatekeepers on the internet and the competitiveness of homogeneous product markets we examine the equilibrium interaction between a market for price information controlled by a gatekeeper and the homogenous product market it serves the gatekeeper charges fees to firms that advertise prices on its internet site and to consumers who access the list of advertised prices gatekeeper profits are maximized in an equilibrium where a the product market exhibits price dispersion b access fees are sufficiently low that all consumers subscribe c advertising fees exceed socially optimal levels thus inducing partial firm participation and d advertised prices are below unadvertised prices introducing the market for information has ambiguous social welfare effects

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

dynamic co movement between oil and stock markets in oil importing and oil exporting countries two types of wavelet analysis abstract this study explores the dynamic co movement between oil and six stock markets china india japan saudi arabia russia and canada by using two types of wavelet analysis wavelet multi scale decomposition and wavelet coherence the main empirical results are as follows 1 maximal overlap discrete wavelet transform analysis shows that there are feedback relationships between the price movement of oil and stock markets in all six countries in the wavelet based decomposition at the d4 d5 and d6 scales 2 the pairs of oil and stock returns show high overall co movement at the 16 to 128 week scale based on continuous wavelet transform analysis the wavelet coherence and phase plots show that the pairs of oil and oil importing stock market returns have high co movement for the period between 2007 and 2012 especially during the global financial crisis of 2008 in addition the wavelet coherence and phase plots show that the pairs of oil and oil exporting stock market returns have high co movement from 2007 to 2017 3 oil price returns lead the stock returns of saudi arabia russia and canada from 2007 to 2017 at the 16 to 128 week scale the stock prices are more influenced by oil prices in oil exporting countries than in oil importing countries this evidence implies that the economic structure of oil exporting countries depends strongly on crude oil production 4 from the results of the wavelet based granger causality test there is a lead lag causality linkage in which the oil price leads stock market indices from 27 to 30 weeks 189 210 days the implications of these findings are discussed

oil volatility shocks and the stock markets of oil importing mena economies a tale from the financial crisis abstract the role of oil price volatility in predicting the stock market volatility of small oil importing countries that have a substantial number of investors from neighboring oil exporting countries remains unexplored to refine our basic understanding of this role this paper proposes a methodological extension of the recently developed causality in variance procedure and considers the case of lebanon and jordan these two heavy importers of oil are interesting in the sense that they are located in a region with a large number of rich oil exporting countries so their stock markets are tied to oil exporters by way of foreign investors the conditional mean and variance of returns are modeled within an armax garch framework that accommodates three salient features of the data namely autocorrelation day of the week effects and movements in international markets for comparison purposes the stock markets of morocco and tunisia are also included in the study empirical analyses highlight the dynamic effects of the global financial crisis on the volatility spillovers between oil and the stock markets of oil importing countries and provide more insights into the seemingly contradictory effects of being oil importers while having investors from oil exporting countries the main results indicate that the volatility spillover is much more apparent from the world oil market to the stock market of jordan than the other way around whereas oil volatility is not a good predictor of lebanese stock market volatility finally policy practical implications and conclusions for future research are drawn