oil price shocks global financial markets and their connectedness abstract this paper extends the literature on the relationship between oil price shocks and financial markets by examining the effect of oil shocks on the sovereign bond markets of a large number of advanced and emerging economies and exploring the impact of oil shocks on the degree of connectedness among international financial markets we show that the effect of oil price shocks is not only limited to stock market returns but also extends to bond markets even after controlling for discount rate shocks as well as aggregate capital market effects unlike the case for stock markets the effect on sovereign bonds is found to be rather heterogeneous in terms of size and sign and primarily driven by demand related shocks we also show that oil price shocks serve as a driver of connectedness patterns across global financial markets although the effect on connectedness depends on the nature of the oil market shock and the economic characteristics of the countries overall the findings highlight the role of crude oil as a driver of not only of return dynamics in global stock and bond markets but also of global financial connectedness patterns

price determination in the eu ets market theory and econometric analysis with market fundamentals abstract we investigate the price determination of the european union emission allowance eua of the european union emissions trading scheme eu ets we postulate an uncertain permit price and risk averse firms which have the possibility to hedge in the forward market the firms produce final goods abate their emissions and trade permits in the permit market the dependence of the equilibrium permit price on exogenous variables is studied in a permit market model we test our theoretical findings with empirical data from 2005 to 2010 in the eu ets market we use daily forward prices of eua as our dependent variable we use several econometric models with multiple stationary time series to discover that there is a strong relationship between the fundamentals such as german electricity prices and gas and coal prices with the price of eua we find that the eua forward price depends on fundamentals especially on the price of electricity as well as on the gas coal difference in a statistically significant way

oil prices and the stock prices of alternative energy companies energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements while it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices in this paper a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices technology stock prices oil prices and interest rates our results show technology stock prices and oil prices each individually granger cause the stock prices of alternative energy companies simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices these results should be of use to investors managers and policy makers

period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications abstract this paper analyses the changing impact of oil price shocks on a bouquet of metal and agro prices and their implications for investment decisions during different oil price regimes separated by structural breaks endogenously identifying the structural breaks we use network analysis to decipher the nature and extent of such shock transfer across different sub periods we suggest optimal portfolios based on conditional variance estimates to hedge oil shocks during each period this is the first study to analyse the portfolio decisions during specific oil price regimes the results are of significant interest to investors and policy makers

youth labor market expectations and job matching in sub saharan africa evidence from school to work transition surveys in this paper we investigate the factors that influence youth labour market expectations and outcomes we also perform a job matching exercise to understand youth labour market dynamics in sub sah

disability job mismatch earnings and job satisfaction in australia we examine the relationship between disability job mismatch earnings and job satisfaction using panel estimation on data from the household income and labour dynamics in australia hilda survey 2001 08 while we do not find any relationship between work limiting disability and overskilling it appears that there is a positive relationship between work limiting disability and overeducation which is consistent with disability onset leading to downward occupational movement at least in relative terms we find a negative correlation between work limiting disability and both earnings and job satisfaction however there is only evidence of a causal relationship in terms of the latter where the impact of disability is found to be multifaceted

a mismatch made in heaven a hedonic analysis of overeducation and undereducation in this paper a hedonic pairing process is modeled in which some workers may be overeducated or undereducated as an equilibrium outcome of a dynamic labor market undereducated workers are those whose abilities and training permit them to move into a job with higher qualifications whereas overeducated workers are highly qualified workers who select into lower skill entry level jobs that provide the training or signal necessary for promotion the empirical model shows that these pairing types cannot be directly identified in a cross section since all workers are exactly educated during a portion of their career however pairing types may be imputed by comparing predicted and observed qualifications of the worker and predicted and observed requirements of the firm using a rich cross section and a panel of british working age males to identify the pairing types we confirm the predicted career development patterns with regard to on the job training promotion and wages

should renewable energy policy be renewable political flexibility brings about trade offs for policy makers aiming to support the deployment of renewable energy sources res on the one hand it allows incorporating new information on ex ante uncertain benefits and costs of res policy on the other hand it may deter res investments this paper scrutinizes how these trade offs play out economically and politically when res policy makers choose the degree of flexibility as well as the instruments to implement flexibility the analysis builds on a theoretical framework distinguishing between flexibility by design and by adjustment it is complemented by a discussion of three case studies res support schemes in germany and the united kingdom and the eu emissions trading scheme theoretical as well as empirical results suggest that the politically chosen degree of flexibility by policy design may be sub optimally low in contrast flexibility by policy adjustment is often excessively high

oil prices inflation and interest rates in a structural cointegrated var model for the g 7 countries sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries moreover the very recent highs registered in the world oil market are causing concern about possible slowdowns in the economic performance of the most developed countries in this paper a structural cointegrated var model has been considered for the g 7 countries in order to study the direct effects of oil price shocks on output and prices and the reaction of monetary variables to external shocks our results can be summarized as follows i a stationary money demand as suggested by the classic theory of money can be identified for most countries ii according to the estimated coefficients of the structural part of the model for all countries except japan and u k the null hypothesis of an influence of oil prices on the inflation rate cannot be rejected inflation rate shocks are transmitted to the real economy by increasing interest rates iii impulse response analysis suggests for most countries the existence of an instantaneous temporary effect of oil price innovations on prices iv impulse response functions indicate different monetary policy reactions to inflationary and growth shocks v the simulation exercises directed to estimate the total impact of the 1990 oil price shock indicate that for some countries u s a significant part of the effects of the oil price shock is due to the monetary policy reaction function for other countries canada france and italy however the total impact is offset at least in part by an easing of monetary conditions

measuring over education previous work on over education has assumed homogeneity of workers and jobs relaxing these assumptions we find that over educated workers have lower education credentials than matched graduates among the over educated graduates we distinguish between the apparently over educated workers who have similar unobserved skills as matched graduates and the genuinely over educated workers who have a much lower skill endowment over education is associated with a pay penalty of 5 11 for apparently over educated workers compared with matched graduates and of 22 26 for the genuinely over educated over education originates from the lack of skills of graduates this should be taken into consideration in the current debate on the future of higher education in the uk

on diversification given asymmetry in returns complete diversification is the rational investment strategy for a risk averse individual in a homogeneous securities market who considers only the first two moments of return observed behavior of market participants however demonstrates that the majority of individual investors hold imperfectly diversified portfolios the purpose of the present study is to examine one potential cause for this behavior which does not rely on imperfection in the capital market specifically we show that given the existence of and investor preference for positive skewness a rational investor may hold an optimal limited number of homogeneous risk assets the relationship between the number of risk assets in a portfolio and the total risk of the portfolio has been examined extensively both theoretically and empirically 7 8 16 the general conclusion from these analyses which are set in a mean variance framework is that adding randomly selected and equally weighted risk assets to a portfolio will reduce total risk without affecting return the implication for risk averse investors in a perfect market is that complete diversification is optimal observed behavior of market participants however demonstrates that the majority of individual investors hold imperfectly diversified portfolios in the wharton survey of 1975 in 4 the median number of stocks held was found to be fewer than 4 with 34 percent of the investors holding no more than 2 stocks the two primary studies providing evidence of the undiversified portfolios of individual investors are blume and friend 3 and blume friend and crockett 5 the former analysis was based on a sample of individual income tax returns from 1971 and indicated that considering only dividend paying stocks 34 15 percent of investors sampled held only one stock 50 51 percent held no more than 2 stocks and only 10 72 percent held 10 or more stocks the latter study which included nondividend paying stocks was based on the federal reserve board s 1962 survey of the financial characteristics of consumers the median number of holdings per household was 2 while the average was 3 41 in both 3 and 5 numerous other measures of diversification were employed with the results confirming the conclusion that individual investors are on average highly undiversified the principal theoretical reasons advanced by the authors of these studies relate to the relaxation of assumptions of the standard capital asset

spillover network of commodity uncertainties abstract we study time and frequency connectedness among 22 commodity uncertainty indexes applying spillover analysis and network graphs we find that overall connectedness among commodity uncertainties increase during the global financial crisis gfc and the oil price collapse of 2014 16 network analysis shows more spillover within a specific commodity class and that precious metals due to less spillover with other commodities may serve as safe haven during the crisis the decomposition of spillover index reveals that commodity markets are more connected in long run implications of findings are discussed

the impact of surplus schooling on productivity and earnings this article examines the impact of surplus schooling on individual productivity and earnings it proposes a model that divides workers education into two components education that is required and thus fully utilized in the job and education that exceeds the amount required and thus may be underutilized in the job the model is tested with data from the 1969 1973 and 1977 quality of working life surveys quinn and staines 1979 required schooling for each occupation is derived from estimates by job incumbents and by the dictionary of occupational titles the results show thqt surplus or underutilized education is rewarded at a lower rate than required education with the actual return dependent on the type of job

renewable energy consumption and income in emerging economies abstract increased economic growth and demand for energy in emerging economies is creating an opportunity for these countries to increase their usage of renewable energy this paper presents and estimates two empirical models of renewable energy consumption and income for a panel of emerging economies panel cointegration estimates show that increases in real per capita income have a positive and statistically significant impact on per capita renewable energy consumption in the long term a 1 increase in real income per capita increases the consumption of renewable energy per capita in emerging economies by approximately 3 5 long term renewable energy per capita consumption price elasticity estimates are approximately equal to 0 70

cyclical properties of supply side and demand side shocks in oil based commodity markets abstract oil markets profoundly influence world economies through determination of prices of energy and transports using novel methodology devised in frequency domain we study the information transmission mechanisms in oil based commodity markets taking crude oil as a supply side benchmark and heating oil and gasoline as demand side benchmarks we document new stylized facts about cyclical properties of the transmission mechanism generated by volatility shocks with heterogeneous frequency responses our first key finding is that shocks to volatility with response shorter than one week are increasingly important to the transmission mechanism over the studied period second demand side shocks to volatility are becoming increasingly important in creating short run connectedness third the supply side shocks to volatility resonating in both the long run and short run are important sources of connectedness

exogenous shocks and the spillover effects between uncertainty and oil price this paper evaluates the information spillover between equity related uncertainty and the oil price before and after the 2008 global financial crisis and the effects of exogenous shocks on the pattern of information spillover in particular we investigate mean and volatility spillovers between uncertainty and the oil price with and without exogenous shocks by using a bivariate egarch model there are two main findings in our paper first the evidence ensures significant information transmission between equity related uncertainty and the oil price and shows remarkable differences in transmission patterns before and after the crisis second the results show that exogenous shocks can intensify information transmission between oil prices and uncertainty in terms of both the mean and volatility spillover effects moreover exogenous shocks exhibit direct spillover effects on oil prices

skills mismatch concepts measurement and policy approaches the term skills mismatch is very broad and can relate to many forms of labour market friction including vertical mismatch skill gaps skill shortages field of study horizontal mismatch and skill obsolescence in this paper we provide a clear overview of each concept and discuss the measurement and inter relatedness of different forms of mismatch we present a comprehensive analysis of the current position of the literature on skills mismatch and highlight areas which are relatively underdeveloped and may warrant further research using data from the european skills and jobs survey we assess the incidence of various combinations of skills mismatch across the eu finally we review the european commission s country specific recommendations and find that skills mismatch when referring to underutilized human capital in the form of overeducation and skills underutilization receives little policy attention in cases where skills mismatch forms part of policy recommendations the policy advice is either vague or addresses the areas of mismatch for which there is the least available evidence

price drivers and structural breaks in european carbon prices 2005 2007 this article aims at characterizing the daily price fundamentals of european union allowances euas traded since 2005 as part of the emissions trading scheme ets the presence of two structural changes on april 2006 following the disclosure of 2005 verified emissions and on october 2006 following the european commission announcement of stricter phase ii allocation allows to isolate distinct fundamentals evolving overtime the results extend previous literature by showing that eua spot prices react not only to energy prices with forecast errors but also to unanticipated temperatures changes during colder events besides the sub period decomposition of the pilot phase gives a better grasp of institutional and market events that drive allowance price changes

oil price uncertainty and the u s stock market analysis based on a garch in mean var model abstract this paper uses a bivariate garch in mean var model to examine the effect of oil price uncertainty on the u s real stock returns at the aggregate and sectoral levels estimation results suggest that there is no statistically significant effect of oil price volatility on the u s stock returns the absence of an uncertainty effect might be explained by the fact that companies are likely to hedge against fluctuations in oil prices it could also stem from the ability of most companies to transfer the higher cost of oil to customers moreover the impulse responses indicate that accounting for oil price uncertainty oil price increases and decreases have symmetric effects on the u s aggregate stock returns in that energy price increases and decreases are estimated to have equal and opposite effects on the u s financial market however this symmetric effect doesn t hold across all the sectors studied in this paper

information linkage dynamic spillovers in prices and volatility between the carbon and energy markets abstract the european union emissions trading system eu ets has strengthened the information flow and connection between carbon market and energy markets which makes the carbon energy system more complicated this paper investigates information linkages and dynamic spillover effects between the carbon and energy markets we adopt a systemic time series approach to study connectedness in both returns and volatility in the carbon energy system moreover a rolling windows method is used to show the dynamic features empirical results show that brent oil prices play an important role in affecting carbon price changes and risks feedback exists from the carbon market to other energy markets and electricity prices are shown to be the biggest information receiver in the system it is also shown that the level of connectedness in the volatility system is substantially higher than that in the returns system our results can provide useful implications for policymakers to design market mechanisms and market investors to manage their portfolios

which oil shocks really matter in equity markets abstract this paper examines the relationship between structural oil shocks and us equity markets the recent oil shock decomposition of ready 2018 is reconsidered and refined providing a clearer delineation between shocks to equity market discount rates and aggregate demand leading to an oil shock specification which attributes substantially more explanatory power to the latter in explaining equity market variation providing links with the literature dating back to kilian and park 2009 an explicit role is given to precautionary demand shocks using an independent measure constructed from oil futures data reducing the role of the supply shocks obtained as the final residual in the recursive identification scheme in an extended sample that allows an analysis of the oil equity market relationship since the global financial crisis the modified aggregate demand shocks have approximately twice as much explanatory power for stock return variation than the demand shocks of ready 2018 the importance of these shocks in driving oil price changes and equity market volatility has only increased since the financial crisis with the role of supply shocks diminishing once these demand effects are accounted for there is little relationship between precautionary demand shocks and equity returns in contrast to the existing literature

marginal abatement costs of carbon dioxide emissions and its influencing factors a global perspective abstract reducing co 2 emissions has become a major and urgent environmental goal worldwide in this paper we sample the data of 41 regions including 165 countries from 2000 to 2014 and adopt a gravity model to obtain an overview of the global flows of co 2 emissions energy consumption the global economy and capital stock since the beginning of the 21st century we then investigate global technical efficiency reduction potential shadow prices and factors influencing the marginal abatement costs of co 2 emissions based on a quadratic directional output distance function the empirical results show the following 1 the global centres of gravity for co 2 emissions energy consumption and capital stock have accelerated their shift to the asian inland in the 21st century but the global centre of gravity for the economy did not show the same trend 2 global technical inefficiency demonstrates a u shape with a turning point in 2007 average annual total global co 2 emissions could be reduced by 4482 28 mt and the global marginal abatement costs of co 2 emissions are approximately 673 74 697 73 usd t 3 the relationship between economic development and marginal abatement costs is represented by a u shaped curve the world is currently in the climbing phase of this curve implying that controlling co 2 emissions is becoming more costly moreover energy structure industrial structure and co 2 emissions are negatively correlated with marginal abatement costs finally the financial crisis has had a significant effect on marginal abatement costs

is the ipo pricing process efficient this paper investigates underwriters treatment of public information throughout the ipo pricing process two key findings emerge first public information is not fully incorporated into the initial price range while the economic magnitude of the bias is small it is puzzling because it is not clear who benefits from it further it indicates that the filing range midpoint is not an unbiased predictor of the offer price as prior literature has assumed second while public information is similarly not fully incorporated into the final offer price the small economic significance of this relation indicates that the ipo pricing process is almost efficient

do unlisted targets sell at discounts academic literature practitioners courts and regulators routinely assert that both private and subsidiary targets sell at discounts relative to public targets however the empirical evidence to support this conclusion is thin our work alters the methodology from prior research to avoid biases due to both one sided sample truncation and jensen s inequality following these changes we find no evidence that unlisted targets sell at discounts our results hold under a number of different approaches and after controlling for known determinants of acquisition pricing

volatility spillovers in commodity markets a large t vector autoregressive approach abstract prices of commodities have shown large fluctuations a high volatility of one commodity today may impact the volatility of another commodity tomorrow as such agricultural and energy commodities are closely dependent due to the expansion of the biofuel industry we study volatility spillovers among a large number of energy agriculture and biofuel commodities using the vector auto regressive var model to account for the possible fat tailed distribution of the model errors we propose the t lasso method for obtaining a large var the t lasso is shown to have excellent properties and a forecast analysis shows that the t lasso attains better forecast accuracy than standard estimators our empirical analysis shows the existence of volatility spillovers between energy and biofuel and between energy and agricultural commodities

horizontal mismatch between employment and field of education evidence from a systematic literature review this paper provides a systematic review of the growing literature on the poor match between employees field degree and the job requirements also referred to as horizontal mismatch we identify the different definitions used in the literature and find that each measure of horizontal mismatch yields substantially different incidence rates we discuss the validity of the different measures and conclude that a more uniform definition of horizontal mismatch is needed the likelihood of horizontal mismatch is among other things determined by the extent to which employees possess general skills as opposed to occupation specific skills and it appears to be more frequently present among older workers compared to well matched employees horizontally mismatched workers generally incur a wage penalty are less satisfied with their jobs and are more likely to regret their study programme the ensuing findings offer guidance to prevent horizontal mismatch as well as a roadmap for future research

optimal higher education enrollment and productivity externalities in a two sector model abstract we analyze the optimal share of the skilled workforce over the course of development with two sectors using skilled and unskilled labor respectively and technological spillovers from higher education enrollment productivity in each sector depends on the average quality of workers and the size of the workforce when skill biased technological change prevails this structure of externalities coupled with the endogenous ability sorting of workers may well produce a pattern of overenrollment in early and late stages of development and underenrollment in between our normative analysis is followed by a positive analysis exploring how policy would differ under alternative political objectives

allowance price drivers in the first phase of the eu ets abstract in the first phase of the eu emissions trading scheme eu ets the price per ton of co 2 initially rose to over 30 the price then collapsed to essentially zero by mid 2007 by deriving a structural model of the allowance price under the assumption of efficient markets i examine the extent to which this variation in price can be explained by marginal abatement costs i then gradually relax the model by allowing for delayed adjustment of price to fundamentals as well as by introducing lagged lhs variables the pattern of results suggests that while prices were not initially driven by marginal abatement costs this inefficiency was largely corrected after the accounting of 2005 emissions in april 2006

the initial impact of eu ets verification events on stock prices this paper studies the impact of verified emissions publications in the european emissions trading scheme eu ets on the market value of participating companies using event study methodology on a unique sample of 368 listed companies we show that verified emissions only resulted in statistically significant market responses when the carbon price was high and allowance scarcity was anticipated the cross section analysis of abnormal returns surrounding the publication of verified emissions shows that share prices decrease when actual emissions relative to allocated emissions increase this negative relationship between allocation shortfalls and firm value is only significant for firms that are either carbon intensive compared to sector peers or are less likely to pass through carbon related costs in their product prices the results suggest that although the eu ets has been deemed unsuccessful so far due to over allocation and low carbon price shareholders initially perceived allowance holdings as value relevant our results highlight that a significant carbon market price and addressing pass through costing are essential for successful future reforms of the eu ets and other analogous carbon cap and trade systems implemented or planned worldwide

decoupling the eu ets from subsidized renewables and other demand side effects lessons from the impact of the eu ets on co2 emissions in the german electricity sector abstract this paper analyzes the impact of the eu ets on co2 reduction in the german electricity sector we find an ets induced emission abatement which is not exceeding 6 of total emissions with a maximum already in 2010 thereafter the ets has not induced additional reductions this outcome corresponds to the recent debate about sub optimal performance of the eu ets caused by excessive allowances following up on this we develop a unilateral flexible cap to eliminate demand side effects which lead to excessive allowances the unilateral flexible cap is based on emission intensities using the works of newell and pizer 2008 sue wing et al 2009 we prove that an intensity based emission cap is advantageous in the german electricity sector when compared to an absolute cap an ex post analysis shows that the amount of excessive allowances resulting from the economic crisis during the second trading period could have been significantly lowered with a unilateral flexible cap this approach also decouples the eu ets from a simultaneous promotion of renewable energy

carbon price drivers phase i versus phase ii equilibrium abstract the aim of this paper is to investigate the determinants of the carbon price during the two phases of the european union emission trading scheme eu ets more specifically relying on daily eu allowance futures contracts we test whether the carbon price drivers identified for phase i still hold for phase ii and evolve toward a long run relationship using cointegration techniques and accounting for the 2006 structural break in the carbon market we show that while a cointegrating relationship exists for both phases of the eu ets the nature of this equilibrium relationship is different across the two subperiods with an increasing role of fundamentals in phase ii deriving equilibrium values we show that the carbon price tends to be undervalued since the end of 2009

opec saudi arabia and the shale revolution insights from equilibrium modelling and oil politics why did opec not cut oil production in the wake of 2014 s price fall this study aims at aiding the mostly qualitative discussion with quantitative evidence from computing quarterly partial market equilibria q4 2011 q4 2015 under present short term profit maximisation and different competition setups although the model performs reasonably well in explaining pre 2014 prices all setups fail to capture low prices which fall even beyond perfect competition outcomes this result is robust with respect to large variations in cost parameters rejecting present short term profit maximisation as well as a qualitative discussion of saudi arabian politics and the shale oil revolution lead to the conclusion that the price drop of 2014 16 was most plausibly the result of an attempt to defend market shares and to test for shale oil resilience besides being fuelled by other factors such as rising competitiveness of alternative technologies although shale oil might have increased competition permanently as supported by model results the agreement of december 2016 should not be misunderstood as an opec defeat

time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices abstract this paper examines the time and frequency dynamics of connectedness among stock prices of u s clean energy companies crude oil prices and a number of key financial variables using the methodology developed by barunik and krehlik 2018 this approach allows measuring the dynamics of return and volatility connectedness over time and across frequencies simultaneously the empirical results show that most of return and volatility connectedness is generated in the very short term i e movements up to five days while the long term plays a minor role our analysis further reveals a greater degree of interconnectedness across crude oil and financial markets since the onset of the u s subprime mortgage crisis in summer of 2007 consistent with the view of a global re pricing of risk triggered by the recent worldwide financial crisis crude oil prices do not appear as a key driver of the stock market performance of renewable energy companies in the short term or the long term which suggests a decoupling of the alternative energy industry from the traditional energy market moreover crude oil prices are a net receiver of financial shocks supporting the financialization of the commodity markets since the early 2000s in addition a significant pairwise connectedness is found mainly in the short term between clean energy and technology stock prices indicating that these two types of stocks are perceived by investors as similar assets these results can have important practical implications for investors and policy makers with different time horizons

the plunge in german electricity futures prices analysis using a parsimonious fundamental model abstract the german market has seen a plunge in wholesale electricity prices from 2007 until 2014 with base futures prices dropping by more than 40 this is frequently attributed to the unexpected high increase in renewable power generation using a parsimonious fundamental model we determine the respective impact of supply and demand shocks on electricity futures prices the used methodology is based on a piecewise linear approximation of the supply stack and time varying price inelastic demand this parsimonious model is able to replicate electricity futures prices and discover non linear dependencies in futures price formation we show that emission prices have a higher impact on power prices than renewable penetration changes in renewables demand and installed capacities turn out to be similarly important for explaining the decrease in operation margins of conventional power plants we thus argue for the establishment of an independent authority to stabilize emission prices

double penalty in returns to education informality and educational mismatch in the colombian labour market abstractthis article examines the returns to education taking into consideration the existence of educational mismatches in the formal and informal employment of a developing country results show that the returns of surplus required and deficit years of schooling are different in the two sectors moreover they suggest that these returns vary along the wage distribution and that the pattern of variation differs for formal and informal workers in particular informal workers face not only lower returns to their education but suffer a second penalty associated with educational mismatches that puts them at a greater disadvantage compare to their formal counterparts

measuring financial asset return and volatility spillovers with application to global equity markets we provide a simple and intuitive measure of interdependence of asset returns and or volatilities in particular we formulate and examine precise and separate measures of return spillovers and volatility spillovers our framework facilitates study of both non crisis and crisis episodes including trends and bursts in spillovers and both turn out to be empirically important in particular in an analysis of sixteen global equity markets from the early 1990s to the present we find striking evidence of divergent behavior in the dynamics of return spillovers vs volatility spillovers return spillovers display a gently increasing trend but no bursts whereas volatility spillovers display no trend but clear bursts

the pricing of interest rate risk evidence from the stock market this paper addresses the issue of whether firms are required to pay an ex ante premium to investors for bearing the risk of interest rate changes a two factor apt model with the market and changes in the yield on long term government bonds as factors is employed the paper shows that empirically most of the interest sensitive stocks are in the utility industries and that there is reasonable evidence that the interest factor is priced in the sense of the apt several sources for the interest sensitivity are considered and regulatory lags are focused on as a likely candidate some firms exhibit ex post sensitivity in their stock returns to unanticipated changes in interest rates are these firms required to pay investors ex ante for bearing this risk of interest rate changes the framework for examining pricing of unanticipated interest rate changes is a two factor apt model with the market and changes in the yield on long term government bonds as factors the issue is whether the interest rate change premium is significant to study this the paper uses full information maximum likelihood fiml estimation on groups of twenty five individual firms with both cross equation constraints and withinequation nonlinear constraints on the parameters as mandated by the apt model whether the risk of unanticipated changes in interest rates is priced in the market is of particular interest with regard to regulated firms regulated firms especially electric utilities turn out to comprise the big majority of firms that are sensitive to unanticipated interest rate changes after some preliminary investigation the analysis focuses on electric utilities much empirical work on the apt relies on factor analysis e g roll and ross 30 bower bower and logue 5 use factor analysis in comparing the apt and the capm to explain utilities returns the present paper however uses observable variables at the macro level chan chen and hsieh cch 7 and chen roll and ross crr 8 also examine apt models with specific macroeconomic factors cch and crr use a traditional fama macbeth type of cross sectional estimation approach in the premia calculations rather than a fiml approach gibbons and stambaugh have applied fiml techniques to models using only the market as an explanatory variable gibbons 20 used a noniterative algorithm on portfolios of firms equivalent to a two step cross sectional approach stam

overqualification permanent or transitory this article analyses job mismatches in switzerland based on a subjective measure of overqualification according to job search and job matching theories overqualification is a transitory problem other theories show that overqualification can also be of a permanent nature we test the perpetuity of overeducation using panel data from the first eight waves of the swiss household panel shp covering the period 1999 to 2006 our empirical analysis reveals little evidence for lasting rigidities that would cause permanent job mismatches rather spells of overqualification are relatively short about half of all individuals who were overqualified in a given year had an adequate job match 1 year later while a short duration of overqualification would be consistent with job search and job matching theories our observation that the probability of a job mismatch does not significantly decrease with experience is at odds with these theories our article provides an alternative explanation for this phenomenon

multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets abstract in a first step we model the multivariate tail dependence structure and spillover effects across energy commodities such as crude oil natural gas ethanol heating oil coal and gasoline using canonical vine c vine copula and c vine conditional value at risk covar in the second step we formulate portfolio strategies based on different performance measures to analyze the risk reduction and diversification potential of carbon assets for energy commodities we identify greater exposure to losses arising from investments in heating oil and ethanol markets we also find evidence of carbon asset providing diversification benefits to energy commodity investments these findings motivate for regulatory adjustments in the trading and emission permits for the energy markets most strongly diversified by carbon assets

correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies abstract in this paper multivariate garch models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies four different multivariate garch models bekk diagonal constant conditional correlation and dynamic conditional correlation are compared and contrasted the dynamic conditional correlation model is found to fit the data the best and generates results showing that the stock prices of clean energy companies correlate more highly with technology stock prices than with oil prices on average a 1 long position in clean energy companies can be hedged for 20 cents with a short position in the crude oil futures market

governance of co2 markets lessons from the eu ets the european emissions trading scheme eu ets is the centerpiece of europe s climate policy the system has been undermined variously by the weakness of its regulation an undesirable overlap with other public policies and the far reaching economic and financial crisis that caused the market price of allowances to plunge this article attempts to identify the conditions for making the coming years of the eu ets a success it draws historical lessons from the eight years the scheme has been in operation and then presents the various interventions by the public authorities currently under discussion in order to revive the market finally the article proposes to draw lessons from monetary policy by outlining what might be the mandate of an independent carbon market authority with responsibility for the dynamic management of the supply of allowances and whose main mission would be to ensure the optimal linkage between the different temporal horizons of the climate strategy this article could provide important lessons for schemes developing in the rest of the world especially in south korea or in china

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

overeducation undereducation and asymmetric information in occupational mobility due to short term asymmetric information overeducated and undereducated workers are shown to have different optimal strategies in seeking upward occupational mobility into their next positions undereducated workers typically have other human capital strengths but these strengths are not marketable to outsiders overeducated workers typically have other human capital weaknesses that are not apparent to outsiders while their excess schooling is marketable in labour markets with dynamic asymmetric information this article presents empirical evidence showing that job tenure increases the probability of upward occupational mobility more if individuals are undereducated moreover the probability of finding upward occupational mobility is increased by overeducated workers engaging in firm switching this article also validates prior empirical studies finding overeducated workers more likely to self report engaging in firm switching activities and more likely to experience upward occupational mobility than o

emissions trading in china emerging experiences and international lessons grants by the robert bosch foundation under the program sustainable partners partners for sustainability the australian research council and the australian government supported different parts of the project

time and frequency connectedness among oil shocks electricity and clean energy markets abstract this paper examines the time and frequency connectedness among electricity carbon and clean energy markets and oil price demand and supply shocks in doing so we use the spillover method proposed by diebold and yilmaz 2012 and its extension in the frequency domain by barunik and k ehlik 2018 we find increased connectedness during the global financial crisis as well as in the shale oil revolution period the total connectedness is also higher in the short run compared to the long run due to their low connectedness electricity futures can act as a risk diversifier and safe haven asset against oil shocks net pairwise directional connectedness among oil shocks and the clean energy index is higher during the shale oil revolution these results have important implications for investors with different investment time horizons

why don t issuers get upset about leaving money on the table in ipos one of the puzzles regarding initial public offerings ipos is that issuers rarely get upset about leaving substantial amounts of money on the table defined as the number of shares sold times the difference between the first day closing market price and the offer price the average ipo leaves 9 1 million on the table this number is approximately twice as large as the fees paid to investment bankers and represents a substantial indirect cost to the issuing firm we present a prospect theory model that focuses on the covariance of the money left on the table and wealth changes our reasoning also provides an explanation for a second puzzling pattern much more money is left on the table following recent market rises than after market falls this results in an explanation of hot issue markets we also offer a new explanation for why ipos are underpriced copyright 2002 oxford university press

the impact of surplus schooling on earnings some additional findings this paper examines the impact of overeducation or surplus schooling on earnings overeducated workers are defined as those with educational attainments substantially above the mean for their specific occupations two models are estimated using data from the 1980 census though our models data and measure of overeducation are different from those used by rumberger 1987 our results are similar our results show that overeducated workers often earn less than their adequately educated and undereducated counterparts

u s federal government subsidies for clean energy design choices and implications abstract subsidies for clean energy deployment have become a major component of u s federal energy and climate policy after a surge in spending under the american recovery and reinvestment act of 2009 they are an even larger component but now face increased scrutiny given their lasting presence how does one design these subsidies to be as cost effective as possible surprisingly the conceptual framework and empirical evidence available to help policymakers identify which subsidies generate the most bang for the buck are limited to help answer this question we begin with an overview of the justifications for and the arguments against subsidizing clean energy technologies next we briefly describe major subsidies finally we summarize key design choices suggesting an increased focus on upfront cash payments for physical outcomes such as capacity this contrasts with the considerable focus on tax credits loan guarantees production and cost based subsidies which have been more prominent to date

the gains to bidding firms from merger abstract this study examines the effect of mergers on the wealth of bidding firms shareholders bidding firms gain significantly during the twenty one days leading to the announcement of each of their first four merger bids these results fail to support the capitalization hypothesis that bidders gains are captured at the beginning of merger programs bidders abnormal returns are positively related to the relative size of the merger partners and the gains during the announcement period are larger for mergers which are successful though the gains are larger prior to 1969 merger bids after 1969 also significantly increase the wealth of bidding firms shareholders the results suggest that the inconclusive findings of the earlier studies may be due to methodological deficiencies the findings of this study are consistent with value maximizing behavior by the management of bidding firms

overeducation in the labour market abstract this paper presents a review of the literature on overeducation the paper assesses the consistency of overeducation within the context of a number of theoretical frameworks including human capital theory hct and assignment theory the analysis goes on to discuss the various measurement controversies associated with the study of overeducation in order to provide an assessment of the extent to which the impacts of the phenomenon represent an economic reality as opposed to a statistical artefact after reviewing the literature it is concluded that the impacts of overeducation are likely to be non trivial and that the phenomenon may potentially be costly to individuals and firms as well as the economy more generally the existence of overeducation also raises some doubts with respect to the validity of some of the central assumptions and predictions of hct that are unlikely to be fully explained by gaps in the standard wage equation framework

the effect of economic policy uncertainty on stock commodity correlations and its implications on optimal hedging abstract motivated by previous studies documenting significant return and volatility effects of economic policy uncertainty epu on the stock market this study examines whether epu has an effect on the dynamic conditional correlations between stock and commodity returns our findings point to a positive and significant effect of epu on stock commodity correlations with particularly stronger effects in the case of energy and industrial metals the epu effect is stronger during weak economic conditions while vix as a proxy of market uncertainty is generally found to be insignificant finally we show that the epu effect on correlations has investment implications as well implied by a significant effect on optimal hedge ratios in commodities in order to mitigate stock market risks our results underscore the importance of selective hedging strategies in which risk managers base the timing and size of their hedging programs on future price expectations conditional on the level of policy uncertainty state and prevalent economic conditions

educational mismatch and the earnings distribution thanks to the participants of the 2015 new directions in human capital theory workshop at the university of birmingham uk the 2016 midwestern economic society annual meetings the 2017 scottish economic society annual conference seminar participants at the university of aberdeen and to the editor and the two referees for helpful comments on the paper the usual disclaimer applies

risk spillover between energy and agricultural commodity markets a dependence switching covar copula model abstract unlike previous studies we employ a relatively newer modelling technique a time varying copula with a switching dependence to characterise the conditional dependence between energy and agricultural commodity markets in a more realistic way because the dependence may switch between positive and negative correlation regimes over time a dependence switching copula more appropriately and realistically captures a dependence structure than a single copula regime our findings indicate that the lower tail dependence is much stronger in a bearish regime than in a bullish regime highlighting the importance of systematic risk spillovers during extreme downward movements furthermore the significant risk spillovers from energy to agricultural commodities are verified by measuring the conditional value at risk covar and delta covar finally some useful implications are summarized for investors portfolios and risk avoidance

stock prices of clean energy firms oil and carbon markets a vector autoregressive analysis recent discussions of energy security and climate change have attracted significant attention to clean energy we hypothesize that rising prices of conventional energy and or placement of a price on carbon emissions would encourage investments in clean energy firms the data from three clean energy indices show that oil prices and technology stock prices separately affect the stock prices of clean energy firms however the data fail to demonstrate a significant relationship between carbon prices and the stock prices of the firms

how to improve the market efficiency of carbon trading a perspective of china abstract emissions trading scheme ets is one of the effective measures to realize energy conservation and emission reduction in order to set up a nationwide carbon emissions trading mechanism seven ets pilots have been launched in china firstly based on empirical investigation and research of seven pilots this paper analyzed the market efficiency of ets pilots from four aspects carbon price trading volume market liquidity and information transparency the result showed that the market efficiency of ets pilots is not satisfactory in spite of the fact that system designs of ets have achieved preliminary result then the reason for low market efficiency of ets pilots was discussed from some factors such as institutional arrangements market participants the supply and demand etc finally this paper puts forward some policy suggestions to improve the market efficiency of china s carbon trading market

electricity prices and fuel costs long run relations and short run dynamics the paper examines the long run relation and short run dynamics between electricity prices and three fossil fuel prices coal natural gas and crude oil using annual data for the u s for 1960 2007 the results suggest 1 a stable long run relation between real prices for electricity and coal 2 bi directional long run causality between coal and electricity prices 3 insignificant long run relations between electricity and crude oil and or natural gas prices and 4 no evidence of asymmetries in the adjustment of electricity prices to deviations from equilibrium a number of implications are addressed

overeducation undereducation and the british labour market this paper addresses the issue of overeducation and undereducation using for the first time a british dataset which contains explicit information on the level of required education to enter a job across the generality of occupations three key issues within the overeducation literature are addressed first what determines the existence of over and undereducation and to what extent are over and undereducation substitutes for experience tenure and training second to what extent are over and undereducation temporary or permanent phenomena third what are the returns to over and undereducation and do certain stylized facts discovered for the us and a number of european countries hold for britain

the underpricing of private targets abstract we examine acquisitions of private firms with valuation histories and find a positive relation between acquirer announcement returns and target valuation revisions similar to other studies acquirer announcement returns are positive on average however positive acquirer announcement returns are mainly driven by targets that are acquired for more than their prior valuation this relation is consistent with pricing effects associated with target valuation uncertainty and behavioral biases in negotiation outcomes

escape from the usa government debt to gdp ratio country tax competitiveness and us oecd cross border m as statutory tax rates of a country do not reflect a country s true tax competitiveness we propose and show that government debt to gdp ratio govdebt of a country is a better proxy for its tax competitiveness using a comprehensive sample of 1 884 completed cross border acquisition transactions from the u s to other oecd countries we document that the u s target country govdebt difference is significantly and positively related to both deal announcement return and post deal tax saving of the acquirer the govdebt difference is also significantly and positively related to u s target country deal flow the findings remain robust when we control for the potential endogeneity of govdebt difference our findings strongly suggest that tax avoidance is an important driver of u s oecd cross border deal flow and it increases shareholder wealth for u s acquirers

gender pay gaps and the restructuring of graduate labour markets in southern europe in this article we investigate whether education job mismatches and growing occupational diversity are important explanatory factors of gender pay gaps amongst university graduates in southern europe namely in portugal spain and italy we use standard decomposition techniques and test the implications of controlling for selection bias our results indicate that over education and greater occupational segregation associated with the emergence of new graduate job profiles are important determinants of earnings inequality whilst our focus is on graduates early careers demonstrating that occupational assignment and selection into employment shape gender pay gaps amongst the highly skilled provides a more pessimistic view on the ability of educational expansion or equal pay legislation to significantly reduce gender pay inequality southern european economies are also particularly interesting to look at since there may be a greater degree of mismatch between the pace of higher education expansion and the changes in the job structure making women particularly vulnerable to over education

is there a genuine under utilization of skills amongst the over qualified two theories of over qualification are considered namely mismatch whereby workers do not find the most appropriate jobs for their skills because of imperfect information or labour market rigidities and heterogeneous workers whereby individuals with the same qualifications have different actual skill levels so that they can be over qualified in terms of formal qualifications while their skills are actually appropriate for the jobs that they do the evidence suggests that both theories are relevant in certain situations

venture capitalist certification in initial public offerings this paper provides support for the certification role of venture capitalists in initial public offerings consistent with the certification hypothesis a comparison of venture capital backed ipos with a control sample of nonventure capital backed ipos from 1983 through 1987 matched as closely as possible by industry and offering size indicates that venture capital backing results in significantly lower initial returns and gross spreads in effect the presence of venture capitalists in the issuing firms serves to lower the total costs of going public and to maximize the net proceeds to the offering firm in addition we document that venture capitalists retain a significant portion of their holdings in the firm after the ipo the ability of third party specialists to certify the value of securities issued by relatively unknown firms in capital markets that are characterized by asymmetric information between corporate insiders and public investors has attracted much academic interest in recent years several authors including james 1990 blackwell marr and spivey 1990 and barry muscarella peavy and vetsuypens 1991 have developed and tested models based at least in part on the formal certification hypothesis presented in booth and smith 1986 a related body of work represented by deangelo 1981 beatty and ritter 1986 titman and trueman 1986 johnson and miller 1988 carter 1990 simon 1990 and carter and manaster 1990 has examined how investment bankers and auditors help resolve the asymmetric information inherent in the initial public offering ipo process in this paper we examine whether the presence of venture capitalists as investors in a firm going public can certify that the offering price of the issue reflects all available and relevant inside information we hypothesize that venture capitalists can perform this function that it will be an economically

an analysis of compensation in the u s venture capital partnership abstract venture capital limited partnerships are an attractive arena to study cross sectional and time series variations in compensation schemes we empirically examine 419 partnerships the compensation of new and smaller funds displays considerably less sensitivity to performance and less variation than that of other funds the fixed base component of compensation is higher for younger and smaller firms we observe no relation between incentive compensation and performance our evidence is consistent with a learning model in which the pay of new venture capitalists is less sensitive to performance because reputational concerns induce them to work hard