inventory management with asset based financing most of the traditional models in production and inventory control ignore the financial states of an organization and can lead to infeasible practices in real systems this paper is the first attempt to incorporate asset based financing into production decisions instead of setting a known exogenously determined budgetary constraint as most existing models suggest we model the available cash in each period as a function of assets and liabilities that may be updated periodically according to the dynamics of the production activities furthermore our models allow different interest rates on cash balance and outstanding loans which is an enhancement over most traditional models in that inventory financed by a loan may be more expensive than that by out of pocket cash we demonstrate the importance of joint consideration of production and financing decisions in a start up setting in which the ability to grow the firm is mainly constrained by its limited capital and dependence on bank financing we then explain the motivation for asset based financing by examining the decision making at a bank and a set of retailers in a newsvendor setting

ecological economic viability as a criterion of strong sustainability under uncertainty strong sustainability according to the common definition requires that different natural and economic capital stocks be maintained as physical quantities separately yet in a world of uncertainty this cannot be guaranteed to therefore define strong sustainability under uncertainty in an operational manner we propose to use the concept of viability viability means that the different components and functions of a dynamic stochastic system at any time remain in a domain where the future existence of these components and functions is guaranteed with sufficiently high probability we develop a unifying and general ecological economic concept of viability that encompasses the traditional ecological and economic notions of viability as special cases it provides an operational criterion of strong sustainability under a mild form of uncertainty and for medium spatial and temporal scales we illustrate this concept and demonstrate its usefulness by applying it to livestock grazing management in semi arid rangelands publication ecological economic viability as a criterion of strong sustainability under uncertainty available from https www researchgate net publication 46490456 ecological economic viability as a criterion of strong sustainability under uncertainty accessed apr 3 2017

unraveling the complex interrelationships between exchange rates and fundamentals abstract this research investigates the intrinsic characteristics of currency values by fundamentally decomposing investor expectations on 16 currencies the results on 195 exchange rates over several decades indicate investors perceive countries to be more likely to choose devaluation solutions to bop problems when inflation is lower and when an alternative drop in real income growth is more painful in addition empirical support is provided for the hypothesis that forward rates often appear biased because the distributional expectations incorporated into them include for a country with a current account deficit a small probability of a large spot decline that does not actually occur in most finite samples

progress along the path evolving issues in the measurement of genuine saving more than 10 years since a practical linkage between sustainable development and a measure of national wealth expanded to include natural and environmental resources was first posited the empirical estimation of adjusted net savings dubbed genuine saving has evolved considerably in this paper we take stock of both progress achieved and the challenges that remain we begin by recalling the key points made in pearce and atkinson 1993 ecol econ 8 103 which presented the first cross country estimates of savings rates adjusted to reflect depletion and degradation of the environment we then briefly summarise the evolution of the theoretical argument linking savings and sustainability however the main focus of this paper is an aspect that concerned david pearce greatly namely the evolution of the measurement of genuine savings we identify and consider the empirical evidence with regard to two particular measurement issues the valuation of exhaustible resources and environmental degradation common to the both issues are concerns about measuring changes in national wealth in real world economies

a reexamination of purchasing power parity a multicountry and multiperiod study abstract this paper re examines the purchasing power parity ppp theory in a multiple exchange rate world owing to a lack of precision in estimating the parameters many authors concluded that ppp did not hold very well in the 1970s using a time series cross sectional estimation procedure we are unable to reject the hypothesis that ppp holds in several currencies simultaneously in addition the parameters are precisely estimated this result follows from the estimation procedure which allows us to exploit the cross sectional variation in the data and the contemporaneous correlation in the deviations from ppp

getting ppp right identifying mean reverting real exchange rates in panels abstract recent advances in testing for the validity of purchasing power parity ppp focus on the time series properties of real exchange rates in panel frameworks one weakness of such tests however is that they fail to inform the researcher as to which cross section units are stationary as a consequence a reservation for ppp analyses based on such tests is that a small number of real exchange rates in a given panel may drive the results in this paper we examine the ppp hypothesis focusing on the stationarity of the real exchange rates in up to 25 oecd countries we introduce a methodology that when applied to a set of established panel unit root tests allows the identification of the real exchange rates that are stationary our results reveal evidence of mean reversion that is significantly stronger as compared to that obtained by the existing literature strengthening the case for ppp

harvesting and conservation in a predator prey system abstract optimal harvesting of prey in a predator prey ecosystem is studied under the condition that the existence of the predator has value predators birds and humans fishers compete for prey shellfish the behavior of the system is studied and conditions for optimal control are deduced various optimal harvest rates are identified for particular ecosystem and economic parameters we discuss optimal harvest rates focusing on system characteristics that lead to the survival of birds the approach path towards an optimal regime is shown qualitatively for different types of optimal harvest regimes

the behaviour of the real exchange rate evidence from regression quantiles abstract we test for mean reversion in real exchange rates using a recently developed unit root test for non normal processes based on quantile autoregression inference in semi parametric and non parametric settings the quantile regression approach allows us to directly capture the impact of different magnitudes of shocks that hit the real exchange rate conditional on its past history and can detect asymmetric dynamic adjustment of the real exchange rate towards its long run equilibrium it therefore provides a detailed mapping of the real exchange rate behaviour while being a robust alternative to previous unit root tests the latter is confirmed by a simulation analysis comparing the power of the alternative tests as concerns the real exchange rate our results suggest that large shocks tend to induce strong mean reverting tendencies in the exchange rate with half lives less than one year in the extreme quantiles mean reversion is faster when large shocks originate at points of large real exchange rate deviations from the long run equilibrium however in the absence of shocks no mean reversion is observed finally we report asymmetries in the dynamic adjustment of the rer

revisiting purchasing power parity in latin america sequential panel selection method this study applies the sequential panel selection method spsm proposed by chortareas and kapetanios 2009 to test the validity of long run purchasing power parity ppp in a sample of 15 latin american countries using monthly data spanning from december 1994 to february 2010 spsm classifies the whole panel into a group of stationary and nonstationary series in doing so we can clearly identify how many and which series in the panel are stationary processes empirical results from the spsm using the panel kss unit root test ucar and omay 2009 with a fourier function which accounts for any structural break in the data indicate that ppp holds in many of the latin american countries studied

border region panel evidence on ppp deviations this article examines prices for 32 identical menu items sold by restaurant franchises operating on both sides of the border between el paso in the us and ciudad juarez in mexico from july 1997 to june 2008 the relationship between real exchange rate rer volatility and the degree of price convergence is examined within a panel data context the city pair and goods selected provide a unique experiment in which distance tradability and industry considerations are set aside and the extent of rer volatility is the only factor to influence price convergence we find nonmonotonic relationships between mean reversion and rer volatility very fast adjustments for both low and high volatility panels of goods between 1 and 2 months and slower half lives between 3 and 4 months at moderate levels of uncertainty these figures are however substantially smaller than the 6 or 7 months reported in previous research for general us mexico goods suggesting the very strong price convergence observed along the us m

long memory and mean reversion in real exchange rates in latin america this article examines the long run purchasing power parity ppp hypothesis for 12 latin american real effective exchange rates reers using fractional integration techniques the empirical result

uncertainty in currency mispricing abstractdeclaring a currency to be mispriced is fraught with uncertainties in this article these uncertainties are explicitly recognized in a model of pricing a homogeneous commodity around the world this allows for a common driver of prices due to a base currency effect and country specific factors that lead to departures from absolute ppp on account of income differences local taxes and charges etc this approach leads to estimates of currency mispricing whose significance can be tested in the usual way using big mac prices we show that the approach has advantages over the popular big mac index to currency valuation

purchasing power parity and unit root tests using panel data abstract this paper reports the results of unit root tests for real exchange rates using a panel framework this panel approach provides greatly improved power compared to conventional univariate time series unit root tests we obtain evidence supporting ppp over the recent flexible exchange rate period for g 6 and oecd countries we show explicitly that failure to find such evidence in previous research was due to the low power of the tests

a stochastic convergence model for portfolio selection portfolio selection techniques must provide decision makers with a dynamic model framework that incorporates realistic assumptions regarding financial markets risk preferences and required portfolio characteristics unfortunately multistage stochastic programming sp models for portfolio selection very quickly become intractable as assumptions are relaxed and uncertainty is introduced in this paper i present an alternative model framework for portfolio selection stochastic convergence sc that systematically incorporates uncertainty under a realistic assumption set the optimal portfolio is derived through an iterative procedure where portfolio plans are evaluated under many possible future scenarios then revised until the model converges to the optimal plan this approach allows for scenario analysis over all stochastic components requires no limitation on the structural form of the objective or constraints and permits evaluation over any length planning horizon while maintaining model tractability by aggregating the scenario tree at each stage in the solution process through focused aggregation schemes the sc approach allows for the implementation of a lower partial variance riskmetric which is preferred in investment selection in simulated tests the sc model with scenario aggregation generated portfolios exhibiting performance similar to those generated using the sp model form with no aggregation empirical tests using historical fund returns show that a multiperiod sc decision strategy outperforms various benchmarkstrate gies over a long term test horizon under both asset liability matching and return maximization frameworks

are real exchange rates nonstationary evidence from a panel data test it is well documented that real exchange rates between the united states and many industrialized countries in the post bretton woods period are integrated this result implies that purchasing power parity ppp does not hold even as a long run relationship this paper demonstrates that the failure to reject the unit root hypothesis may result from the low power of existing univariate test procedures i test for unit roots in real exchange rates by employing a more powerful panel based procedure using both cpi and wpi real dollar exchange rate data i strongly reject the null hypothesis of a unit root my results provide overwhelming support for the long run ppp under the current float copyright 1996 by ohio state university press

convergence of per capita co2 emissions across the globe insights via wavelet analysis abstract this paper examines the convergence of per capita carbon dioxide co2 emissions for 162 countries across the globe covering all income groups high income oecd high income non oecd middle income and low income countries as categorized by the world bank the incidence of stochastic convergence is analysed by making use of recently developed wavelet based unit root tests the existing studies on this subject make use of conventional unit root tests using time series and or panel data a serious drawback of these tests is that they analyse the stochastic behaviour of any series in time domain only whereas the stochastic process may behave differently across different frequencies as well thus wavelet methods are an obvious solution as they consider frequency dimension as well in addition to time dimension when analyzing the stochastic behaviour of any data series and hence these methods encompass the conventional unit root testing methodologies by providing a clear and complete picture of the stochastic process our empirical findings based on latest available time series annual data from 1960 to 2010 lend support in favor of convergence among 38 countries including 18 high income oecd countries 2 high income non oecd countries 13 middle income countries and 5 low income countries while for the rest of 124 countries the co2 emission series is found to be non stationary suggesting the divergence in these countries these findings are in contrast with the most of the existing studies which may be due to the use of wavelet based unit root tests that are of course better alternatives some policy implications evolve from the empirical findings

how puzzling is the ppp puzzle an alternative half life measure of convergence to ppp summary evidence of lengthy half lives for real exchange rates in the presence of a high degree of exchange rate volatility has been considered as one of the most puzzling empirical regularities in international macroeconomics this paper suggests that the measure of half life used in the literature might be problematic and proposes alternative measures with desirable properties their focus on the cumulative effects of the shocks distinguishes them from the measures used in the literature an empirical analysis of bilateral us dollar real exchange rates employing the alternative half life measure produces results consistent with theory and indicates that the ppp puzzle is less pronounced than initially thought copyright 2012 john wiley sons ltd

testing for rational bubbles in the presence of structural breaks evidence from nonstationary panels this paper presents new results on the rational bubbles hypothesis for a panel of 18 oecd countries using the model developed by campbell 2000 we provide an analysis of international data that exploits increased power deriving from the panel unit root and cointegration methodology together with the flexibility of allowing explicitly for multiple endogenous structural breaks in the individual series differently from the time series methodology the panel data approach allows for a global analysis of the financial crashes that are related to rational bubbles we find strong evidence in favor of bubbles phenomena

bioeconomic analysis and management this article discusses bioeconomic analysis and different management strategies in fisheries it reviews recent developments which show the need to expand the analysis to multispecies fisheries and management significant gains can be made if the interdependencies between species and or jointness in inputs for many fisheries are identified both common property resource management and individual transferable quotas itqs can be fruitful strategies in different settings the article suggests that there is scope for the development of a multiple use management approach of marine resources besides the aim of an efficient use of fish stocks equal attention should be given to other values from aquatic ecosystems like ecological services biodiversity and recreation possibilities

expectations of future income and real exchange rate movements abstract we show that changes in expectations of future income driven by exogenous factors such as the discovery of oil and an increase in global demand for natural resources can cause movements in the real exchange rate rer in excess of and sometimes even in the opposite direction to what one would expect given the changes in current income we provide both a theoretical model and empirical evidence of this in particular we show that the signing of numerous production sharing agreements psas between the government of azerbaijan and foreign oil companies in 1994 1998 fueled expectations of higher future incomes resulting in a considerable appreciation of the rer some of these psas subsequently failed or ran into difficulties which led to a downward revision of expected future income and a depreciation of the rer in 1999 2003 even though the current income started to rise due to an increase in the current oil revenue

a dynamic bank portfolio planning model with multiple scenarios multiple goals and changing priorities abstract the paper discusses a practical application of a two stage linear goal programming model to the management of the domestic and foreign currency denominated assets and liabilities of a large bank in finland the planning horizon includes three one year planning periods a number of alternative scenarios are used to describe uncertainty concerning future developments in these periods the scenarios are related to general economic conditions as well as the state of the domestic and foreign financial markets the bank is assumed to have multiple conflicting goals with different and changing priorities the goals deal with expected profits risk liquidity capital adequacy growth customer relationships and several other aspects of the bank s operations

real exchange rate behavior the recent float from the perspective of the past two centuries using annual data spanning two centuries for dollar sterling and franc sterling real exchange rates we find strong evidence of mean reverting real exchange rate behavior using simple stationary autoregressive models estimated on prefloat data we easily outperform nonstationary real exchange rate models in dynamic forecasting exercises over the recent float such stationary univariate equations explain 60 80 percent of the in sample variation in real exchange rates although the degree of short run persistence may be high the econometric estimates imply a half life of shocks to the real exchange rate of about 6 years for dollar sterling and a little under 3 years for franc sterling

is the evidence for ppp reliable a sustainability examination of the stationarity of real exchange rates abstract some recent time series studies testing the stationarity of real exchange rates rers produce conflicting results using nonlinear unit root tests and recursive analysis this paper tests whether the evidence on the stationarity of rers is sensitive to different numeraire currencies different sample periods covering regional and global crises and the inclusion of countries with different levels of economic or regional integration the results indicate that evidence for a stationary rer could be substantially sensitive to sample period changes but not so for the currencies of the countries involved in forming the euro area we also find that financial crises have a notable impact on testing the stationarity of rers depending on the numeraire currency used we discuss the policy implications of the findings

the choice of numeraire currency in panel tests of purchasing power parity we investigate the implications of the choice of numeraire currency on panel tests of purchasing power parity under the current regime of flexible exchange rates by conducting panel unit root tests with twenty one different base currencies we show that the conditions necessary for numeraire irrelevancy are not supported empirically and that the choice of numeraire currency can and does matter for ppp the evidence of ppp is stronger for european than for non european base currencies distance between the countries and volatility of the exchange rates are the most important determinants of the results

formulation of the russell yasuda kasai financial planning model this paper describes the formulation of the russell yasuda kasai financial planning model including the motivation for the model the presentation complements the discussion of the technical details of the financial modeling process and the managerial impact of its use to help allocate the firm s assets over time discussed in carin o et al 1994 1998 respectively the multistage stochastic linear program incorporates yasuda kasai s asset and liability mix over a five year horizon followed by an infinite horizon steady state end effects period the objective is to maximize expected long run profits less expected penalty costs from constraint violations over the infinite horizon scenarios are used to represent the uncertain parameter distributions the constraints represent the institutional cash flow legal tax and other limitations on the asset and liability mix over time

increasing evidence of purchasing power parity over the current float we conduct unit root tests of real exchange rates with the united states dollar and the german mark as base currencies using samples of data which begin in 1973 and end between 1982 and 1996 we find that as the sample is extended the evidence of ppp strengthens with panel but not univariate methods because of the sharp rise and fall of the dollar in the early 1980s rejections of the unit root null do not monotonically increase with the sample size the evidence of ppp is uniformly stronger when the mark is used as the base currency

the ppp debate multiple breaks and cross sectional dependence abstract this study implements panel unit root ppp tests accommodating level and trend breaks and cross sectional dependence in the presence of breaks there is evidence of a currency and price index effect additionally accounting for cross sectional dependence overturns support for ppp

a bank asset and liability management model in managing its assets and liabilities in light of uncertainties in cash flows cost of funds and return on investments a bank must determine its optimal trade off between risk return and liquidity in this paper we develop a multiperiod stochastic linear programming model alm that includes the essential institutional legal financial and bank related policy considerations and their uncertainties yet is computationally tractable for realistically sized problems a version of the model was developed for the vancouver city savings credit union for a 5 year planning period the results indicate that alm is theoretically and operationally superior to a corresponding deterministic linear programming model and that the effort required for the implementation of alm and its computational requirements are comparable to those of the deterministic model moreover the qualitative and quantitative characteristics of the solutions are sensitive to the model s stochastic elements such as the asymmetry of cash flow distributions we also compare alm with the stochastic decision tree sdt model developed by s p bradley and d b crane alm is computationally more tractable on realistically sized problems than sdt and simulation results indicate that alm generates superior policies

ecosystems externalities and economies this paper incorporates an ecosystem model into a model of a simple economy the decisionmaking agents in the ecosystem are individual organisms aggregated to the species level a species may provide utility directly to humans or it may provide utility indirectly because it is used either as a raw material in goods fabrication or as sustenance for other species we describe a comparative static equilibrium of the ecosystem where species demands for other species are equal to the supplies of those other species and energy is conserved the ecosystem is then embedded in the economy so that the effects of human intervention can be traced through both the ecosystem and the economy human intervention creates ecosystem externalities such that ecosystem equilibria are shifted and the new equilibria affect the utility or the production processes of other humans this framework allows us to describe in principle which ecosystem services can be efficiently usurped by humans which waste flows can be efficiently allowed into ecosystems and which ecosystem organisms and physical attributes can be efficiently maintained

exchange rate economics is always and everywhere controversial abstractthis article reviews the major developments in the recent literature on exchange rate economics it is argued that the link between the exchange rate and economic fundamentals is breaking new ground evidence indicates that alternative analytical frameworks such as the new open economy macroeconomics and exchange rate arrangements such as the euro have their theoretical and analytical elegance but are proving empirically very difficult to implement the role of methodological advances and alternative fundamental instruments such as world commodity prices is also highlighted

extracting inflation from stock returns to test purchasing power parity relative purchasing power parity ppp holds for pure price inflations which affect prices of all goods and services by the same proportion while leaving relative prices unchanged pure price inflations also affect nominal returns of all traded financial assets by exactly the same amount recognizing that relative ppp may not hold for the official inflation data constructed from commodity price indices because of relative price changes and other frictions that cause prices to be sticky we provide a novel method for extracting a proxy for realized pure price inflation from stock returns we find strong support for relative ppp in the short run using the extracted inflation measures

short term financial planning under uncertainty this paper presents a stochastic linear programming formulation of a firm s short term financial planning problem this framework allows a more realistic representation of the uncertainties fundamental to this problem than previous models in addition using wets s algorithm for linear simple recourse problems this formulation has approximately the same computational complexity as the mean approximation i e the deterministic program obtained by replacing all random elements by their means using this formulation we empirically investigate the effects of differing distributions and penalty costs we conclude that even with symmetric penalty costs and distributions the mean model is significantly inferior to the stochastic linear programming formulation thus we are able to demonstrate that ignoring the stochastic components in linear programming formulations can be very costly without having significant computational savings

a currency preferential approach to international equity investment we propose a timex strategy for reducing the foreign exchange risk associated with international equity investment pertaining to countries with currencies correctly or undervalued by the standard of ppp the performance of timex is examined from the perspectives of eight developed nations with long histories of free floating currencies based on the data from 1986 q1 to 2014 q4 we find unambiguous evidence for the superior performance of timex in the foreign exchange market compared with the passive diversification strategy and the morgan stanley capital international msci world index timex offers higher total returns and risk adjusted total returns when rebalanced every 6 or 12 months for investors based in all eight countries under study when rebalanced at a 3 year interval timex outperforms the passive diversification and the msci world index for five and all eight countries respectively

optimal taxes and the structure of preferences if optimal tax theory is to be the basis for calculating tax rates a close understanding is required of the relationship between the structure of preferences and the configuration of optimal tax rates otherwise hypotheses chosen by the econometrician for practical convenience may completely determine the results independently of measurement this paper explores the relationship between various types of separability particularly weak and implicit separability and optimal tax rates in the various models discussed in the literature the use of distance functions and the antonelli matrix provides a significant unification of previously disparate results in the final analysis optimal tax theory should be the basis for actual calculation of tax rates although recently there have been great advances in theoretical results and in our understanding of their meaning we are still some way from a working knowledge of whether uniform commodity taxes are in practice optimal or if not which commodities should be discriminated against present theoretical formulae do not yield clear cut results except in special cases and it has recently become clear that optimal rates depend crucially on the detailed structure of consumer preferences for example atkinson and stiglitz 3 show that with an optimal nonlinear income tax discriminatory commodity taxes are only necessary to the extent that individual commodities are not weakly separable from leisure more recently deaton 6 has shown that a similar result holds for what is perhaps the most interesting of the standard models that where there are many consumers and only a linear income tax and proportional commodity taxes are allowed in this case separability between goods and leisure together with linear engel curves for goods removes the need for differential commodity taxation in consequence nothing can be learned about commodity taxes from consumer demand studies in which commodity demands are explained conditionally on total expenditure and commodity prices and which assume linear engel curves all such studies require separability from leisure as a maintained hypothesis and so are consistent with uniform commodity taxation these results suggest that the prospects for meaningful empirical calculations of tax rates are bleak econometricians estimating commodity demand and labor supply equations make generous use of separability assumptions to enable estimation at all in consequence it is likely that empirically calculated tax rates based on econometric estimates of parameters will be determined in structure not by the measurements actually made but by arbitrary untested and even unconscious hypotheses chosen by the econometrician for practical convenience to remedy this situation and as a prelude to fruitful empirical work it is necessary to have a more explicit understanding of how preference structure affects optimal tax rates such is the object of this paper three different

deviations from purchasing power parity under different exchange rate regimes do they revert and if so how abstract we propose an empirical model for deviations from long run purchasing power parity ppp that simultaneously accounts for three key features i adjustment toward ppp may occur via nominal exchange rates and relative prices at different speeds ii different exchange rate regimes may generate regime shifts in the structural dynamics of ppp deviations iii nonlinear reversion toward ppp in response to shocks this empirical framework encompasses and synthesizes much previous empirical research using over a century of data for the g5 countries we provide evidence that long run ppp holds the relative importance of nominal exchange rates and prices in restoring ppp varies over time and across different exchange rate regimes and reversion to ppp occurs nonlinearly at a speed that is fairly consistent with the nominal rigidities suggested by conventional open economy models

operational research and financial management abstract the use of operational research in financial management is reviewed its application to both short term problems of cash management and long term problems of capital investment is critically examined the contribution that operational research has made to modern theories of finance and their use is explored and differences in orientation are discussed the increasing complexity of financial management problems facing many corporations is providing more opportunities for the operational researcher whose role in this area is being reappraised

a panel project on purchasing power parity mean reversion within and between countries abstract previous time series studies have shown evidence of mean reversion in real exchange rates deviations from purchasing power parity ppp appear to have half lives of approximately four years however the long samples required for statistical significance are unavailable for most currencies and are potentially inappropriate because of regime changes in this study we re examine deviations from ppp using a panel of 150 countries and 45 annual post wwii observations our panel shows strong evidence of mean reversion that is similar to that from long time series ppp deviations are eroded at a rate of approximately 15 annually i e their half life is around four years such findings can be masked in time series data but are relatively easy to find in cross sections

budgeting costs of nursing in a hospital this paper examines issues in building decision support models for budgeting nursing workforce requirements in a hospital we determine regular time overtime and agency workforce levels for various skill classes in a budget cycle we introduce a family of eight models ranging from a single period aggregate and deterministic model to a multiperiod disaggregate and probabilistic model in a single period model we ignore the time varying nature of demand for nursing hours aggregation is done over the nurse skill class mix for probabilistic models we consider demand uncertainty using empirical data we evaluate the effects of level of sophistication in model building and in information requirements on their relative performances the results suggest that ignoring the time varying nature of demand does not induce gross errors in budget estimates however ignoring demand uncertainty produces underestimates about five to six percent of budget needs a consequence of a madansky madansky a 1960 inequalities for stochastic linear programming problem management sci 6 197 204 inequality it also induces added costs to the system due to implementing nonoptimal regular time workforce levels finally we find that a simple formula using a single period demand estimate gives excellent approximations to the budget estimates obtainable from the more precise models

energy demand convergence in apec an empirical analysis this paper empirically examines the cross country convergence of per capita energy and electricity usage in apec a significant economic bloc to this end the study applies conventional panel unit root tests and sequential panel selection model spsm procedure based on the panel kss unit root with a fourier function for robustness analysis the results from conventional unit root test results indicate that per capita energy usage and electricity consumption are converging for all apec countries in line with improving living standards in apec the findings also provide some support for policies to promote energy integration among apec countries according to spsm analysis evidence of energy convergence is found for 15 out of 19 apec countries and evidence of electricity convergence is found for 17 out of 19 apec countries pursuit of policies to achieve energy supply stability can move divergent countries toward convergence

the evolution of purchasing power parity abstract a large body of literature in international finance has attempted to estimate the speed of convergence between countries aggregate price indices to those levels predicted by purchasing power parity ppp this paper takes a novel approach by considering how this speed of convergence itself has evolved over time using a dynamic common correlated effects dcce framework from chudik and pesaran 2015 applied to a panel of countries real exchange rates over the years 1960 2015 we find an average half life of around 3 years moreover we show that the estimated half life fell by about 2 years over the course of the past five decades suggesting that the so called ppp puzzle rogoff 1996 may abating over time our results also serve to contextualize past estimates by demonstrating a high degree of sample selection sensitivity in this literature furthermore we propose explanations for the observed increase in the speed of international price adjustments focusing primarily on the increasingly tradable nature of the composition of the u s consumer price index cpi we build a measure of tradability of the cpi and show that despite an increase in the proportion of services in the average consumer s basket the cpi has become more tradable over time thus offering a potential explanation for the observed increase in adjustment speed

bank asset and liability management under uncertainty abstract this study presents a multiperiod stochastic linear simple recourse model for asset and liability management in banking the model determines the portfolio of assets and liabilities over the planning horizon given a set of deterministic rates of returns of investments and costs of borrowings and a set of random outstanding deposit levels liquidity and total reserve requirements with a given discrete probability distribution the intention is to develop an optimization tool to assure sustained profitability and good management of risks while balancing sources and uses of funds to meet legal and policy requirements and satisfy withdrawal requests of depositors on time and in full effects of changes in bank policies and banking regulations environmental factors potential risks additional decision alternatives and constraints can be handled and evaluated by the model therefore it can be used both for planning and analysis the model is verified using a turkish sample bank s data over the period 1987 1990 and several sensitivity anallyes are reported as the model takes into account the stochastic behaviour of crucial uncontrollable variables the results of the model can be deemed more realistic compared with the deterministic model

estimating the impacts of eliminating fisheries subsidies on the small island economy of the azores abstract a major problem affecting world fisheries today is overcapacity of which overfishing is both a cause and a consequence there is a general consensus that fisheries subsidies cause great harm to the resource by exacerbating the problems resulting from the common resource issues of fisheries leading to overexploitation of the resource through a new set of perverse incentives many now advocate that subsidies should gradually be terminated and that capacity enhancing and fuel subsidies should be terminated immediately on account of the global fisheries crises highly subsidised fisheries and the anticipated reforms of the european union s common fisheries policy this study aimed to estimate the impact of eliminating fisheries subsidies on various macro and micro economic variables pertaining to the regional economy of the azores using a dynamic computable general equilibrium model based on a social accounting matrix the simulation results suggest that reduction and in particular elimination of fisheries subsidies would have a substantial effect on the region however the negative social and economic effects would be largely confined to the fishing sector conversely the augmentation of fishery subsidies would benefit the fishing sector with an overall adverse effect on the rest of the economy

harnessing the political economy of environmental policy david pearce s contribution to oecd during 34 years david pearce made major contribution to oecd work on environmental economic issues with a particular focus on cost benefit analysis economic instruments biodiversity and distributive issues this article provides a brief review of david pearce s contributions this work was particularly useful in enhancing the political economy of environmental policy which is at the core of oecd work

making a difference how environmental economists can influence the policy process a case study of david w pearce can environmental economists influence policy if so how this paper addresses these two questions using the late david pearce s career as a case study influence can be exercised but pearce s career shows that certain conditions must be met the first is desire he wanted to influence policy and directed a high proportion of his efforts to doing so he focused particular attention on the power centres of his time the oecd world bank european commission un uk government his influence was aided by his status and location as a professor in a prestige university ucl in a major global city london his messages were consistent and clear theory is important and can be used to frame most environmental challenges as regards both explanation and solution externalities can be valued assessing benefits and costs of options is important market signals taxes etc and incentives generally are powerful shapers of behaviour stock of capital human built natural is a key measure of sustainability he communicated simply and clearly in words and phrases that ministers for finance and journalists could understand all of the broadsheet newspapers in england financial times guardian independent telegraph times were grist to pearce s mill of advocacy for environmental economics he provided the blueprint books that could be read on a commute and summaries to the media that they could fit into a 1 000 word piece he didn t seek out but neither did he shirk controversy he worked with various interest groups and politicians but never to the point were he was co opted he initiated and directed the msc in environmental and resource economics that created an ever widening and influential pool of advocates for his ideas finally he achieved a prodigious academic output that ensures a sort of immortality and provided the intellectual ballast the enabled his policy influence

are house prices in south africa really nonstationary evidence from spsm based panel kss test with a fourier function this study applies the sequential panel selection method spsm to investigate the time series properties of provincial house prices for entire large medium and small middle segments of south africa quarterly time series data were collected from nine provinces in south africa for different house size categories over the period of 1978 q1 to 2012 q4 whereas other panel based unit root tests are joint tests of a unit root for all members of a panel and are incapable of determining the mix of integrated of order zero i 0 series and integrated of order one i 1 series in a panel setting the spsm proposed by chortareas and kapetanios 2009 can clearly identify how many and which series in the panel are stationary processes by classifying a whole panel into a group of stationary and nonstationary series the empirical results from several panel based as well as standard pure time series unit root tests indicate that house prices for the nine provinces studied here are either stationary or nonstati

searching for stationarity purchasing power parity under the current float abstract using panel data methods we investigate long run purchasing power parity by testing for unit roots in real exchange rates of industrial countries under the current float the evidence against the unit root hypothesis is stronger for larger than for smaller panels for monthly than for quarterly data and when the german mark rather than the united states dollar is used as the base currency while we find that accounting for serial correlation considerably weakens the evidence against the unit root null the results as a whole are consistent with long run purchasing power parity

quantile unit root test and the ppp in africa abstractin this study we apply the quantile unit root test and revisit the purchasing power parity ppp in 20 african countries using real effective exchange rates over the period 1971q1 to 2012q4 while traditional unit root tests fail to reject unit root hypothesis in most of the countries results from quantile unit root test reject unit root null hypothesis in ghana mauritius niger south africa and togo providing support for the ppp at least in these five countries we further estimate the half life based on quantile autoregressive qar model to be about 4 57 7 96 quarters 1 2 year

harvesting in an integrated general equilibrium model harvesting of prey biomass is analyzed in an integrated ecological economic system whose submodels a predator prey ecosystem and a simple economy are microfounded dynamic general equilibrium models these submodels are interdependent because the ecosystem responds to harvesting through the reactions of optimizing individual organisms by changing the provision of public ecosystem services to consumers general analytical results are derived regarding the impact of harvesting policies on short run equilibria of both submodels on population dynamics and on stationary states of the integrated model a key insight is that prey biomass carries a positive ecosystem price which needs to be added as a tax mark up to the economic price of harvested biomass to attain allocative efficiency further information on the dynamics is gained by resorting to numerical analysis of the policy regimes of zero harvesting laissez faire harvesting and efficient harvesting it is a matter of weighing costs and benefits of taking action whether the action is the inert one of leaving resources alone in order to conserve them or whether it involves exploiting a resource for so called material ends pearce 1976 p 320

testing the relative purchasing power parity hypothesis the case of korea abstractthis study examines the relative purchasing power parity ppp hypothesis using the data from the korean won us dollar and the korean won japanese yen foreign exchange markets we extract proxies for inflation from stock market returns of korea the united states and japan based on the method used by chowdhry roll and xia in 2005 we explicitly test the relative ppp hypothesis in light of the short run price volatility using monthly bimonthly and quarterly data from 1 january 1998 to 31 december 2012 our findings suggest that the empirical test results from the entire sample period do not support the relative ppp hypothesis however the results from the sample period excluding the asian financial crisis period show that the relative ppp hypothesis holds for the korean won us dollar market with a moderate magnitude of inflation impact but not for the korean won japanese yen market abrupt changes in exchange rates during the crisis period may have affected the relationship between inflation an

the overvaluation of purchasing power parity abstract recent panel studies of purchasing power parity have reported strong evidence of mean reversion in real exchange rates however these studies fail to control for cross sectional dependence in the data this failure has dramatic consequences raising the significance level of tests with a nominal size of 5 percent to as much as 50 percent it is shown in this paper that controlling for cross sectional dependence no evidence against the random walk null can be found in panels of up to 64 real exchange rates this finding cannot be attributed to low power as there is ample power in panels of this size to reject the unit root null