government spending the balance of trade and the terms of trade in british history abstract this paper investigates the relationship between government spending the balance of trade and the terms of trade using early british data a large open economy intertemporal framework in which ricardian equivalence holds predicts a larger effect of temporary government spending changes on the trade deficit than permanent ones further a pure switch between debt and taxes should have no effect on trade flows the results provide some support for these hypotheses although they are sensitive to sample period and the method of decomposition of government spending a negative relationship between government spending and the terms of trade is also found

estimating the effects of free trade agreements on international trade flows using matching econometrics abstract this paper provides the first cross section estimates of long run treatment effects of free trade agreements on members bilateral international trade flows using nonparametric matching econometrics our nonparametric cross section estimates of ex post long run treatment effects are much more stable across years and have more economically plausible values than corresponding ols cross section estimates from typical gravity equations we provide plausible estimates of the long run effects of membership in the original european economic community eec and the central american common market cacm between 1960 and 2000 and the estimates confirm anecdotal reports of these agreements effectiveness

heterogeneous trade agreements wto membership and international trade an analysis using matching econometrics this article explores the heterogeneous effects of trade agreements tas and world trade organization wto membership on the volume of international trade we extend baier and bergstrand s 2009a application of matching econometrics by distinguishing between different types of tas and wto participation and account for the endogenous nature of trade policy for a panel data set covering 1960 2005 and 187 countries we find that the treatment effect on international trade systematically varies with the type of ta and wto membership

market efficiency and the bean jar experiment 1987 market efficiency and the bean jar experiment financial analysts journal vol 43 no 3 pp 50 53

the voluntary provision of a pure public good the case of reduced cfc emissions and the montreal protocol abstract this paper applies the theory of the voluntary provision of a pure public good to the behavior of nations to curb chlorofluorocarbon cfc emissions during the late 1980s by devising an empirical test we determine that these cutbacks in emissions are consistent with nash behavior when taste parameters are controlled the relationship between emission cutbacks and national income is nearly linear as implied by the theory if the sample is purged of potential outliers then the linear relationship results a significant taste parameter is the extent of political and civil freedoms while a marginally significant parameter is geophysical position in terms of latitude

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

assessing the impact of unilateral trade policies eba and agoa on african beneficiaries exports using matching econometrics the existing literature studying the impact of non reciprocal preferential trade agreements nrptas assumes implicitly nrptas are non randomly assigned without showing the evidence of that using a matching methodology this paper investigates whether the african growth and opportunity act agoa and the everything but arms eba unilateral trade concessions have had an impact and in what magnitude on the exports of african beneficiary countries in the light of the evidence of the non random nature endogeneity of nrptas methodologically previous studies using the matching procedure focused on bi or multilateral trade agreements our work focuses on nrptas that depend only on donors conditions accordingly we show that for nrptas gravity covariates cannot be used for the matching procedure we propose to use political variables as determinants for obtaining non reciprocal trade preferences in order to address the endogenous nature of nrpta assignment our main results confirm that a country becomes eligible for a nrpta only when it meets certain conditions defined by their donors such as political stability and economic regulation for agoa and freedom of expression and human development for eba results also show that both agoa and eba policies have had a positive impact on african beneficiary countries exports to nrpta s providers even if the magnitude impact of eba is significantly lower than that of agoa

estimating the effects of kyoto on bilateral trade flows using matching econometrics many kyoto countries fear a loss of competitiveness due to unilateral climate policy efforts policymakers therefore call for carbon related border tax adjustments with this paper we attempt to estimate the treatment effect of kyoto commitment on bilateral export flows using regression adjusted differences in differences matching techniques the gravity and international environmental agreement formation literatures provide guidelines for the choice of matching variables we find that kyoto countries exports are reduced by 13 to 14 per cent due to kyoto commitment trade effects are largest in energy intensive homogeneous industries such as iron and steel non ferrous metals organic and inorganic chemicals but also in machinery and equipment

performance evaluation of market timers theory and evidence previous investigators have shown that the sharpe measure of the performance of a managed portfolio may be flawed when the portfolio manager has market timing ability herein we develop the exact conditions under which the sharpe measure will completely and correctly order market timers according to ability the derived conditions are neces sary sufficient and observable we compare these derived conditions to empirical esti mates of actual market conditions and find that under typical market conditions the prac tice of using quarterly portfolio return data will frequently result in a failure of the sharpe measure to order timers according to ability we show however that such failures can be greatly reduced by more frequent sampling of managed portfolio returns

is the green solow model valid for hbox co _ 2 co 2 emissions in the european union this paper addresses the hbox co 2 emission patterns of the european union from 1950 to 2010 and examines the validity of the green solow model which simulates hbox co 2 emissions growth by including only solow forces and assuming emission intensity growth to be exogenous and constant this study verifies that an environmental kuznets curve ekc trajectory exists for per capita hbox co 2 emissions in the european union that emission intensity growth is decreasing over time and that the decreasing intensity growth reflects variations of the dependent variable in the specifications of the green solow model the critique by stefanski on the mechanics of the green solow model oxcarre research paper 47 oxcarre laval university oxford 2013 of the green solow model assumption of exogenous and constant intensity growth is validated the ekc is defined as the emissions plotted against income and emission intensity is defined as the ratio of emissions to income the ekc and emission intensity share identical definitions and similar transition trajectories over time the transition of the ekc trajectory and decline in emission intensity growth began before worldwide attention was focused on global warming

footloose and pollution free in numerous studies economists have found little empirical evidence that environmental regulations affect trade flows in this paper we propose and test several common explanations for why the effect of environmental regulations on trade may be difficult to detect we demonstrate that whereas most trade occurs among industrialized economies environmental regulations have stronger effects on trade between industrialized and developing economies we find that for most industries pollution abatement costs are a small component of total costs and are unrelated to trade flows in addition we show that those industries with the largest pollution abatement costs also happen to be the least geographically mobile or footloose after accounting for these distinctions we measure a significant effect of pollution abatement costs on imports from developing countries and in pollution intensive footloose industries

measuring market timing strategies prior studies have shown how hard it is to measure a manager s stock selection skills when value added by the manager is in a moderate range of 1 5 to 2 per cent a year simulation techniques can be used to generate various levels of value added by market timers switching between the s p 500 and u s treasury bills their market timing abilities can then be measured by various parametric and nonparametric tests most common existing tests to detect statistically significant ability equal to about 2 per cent excess return per year require time periods well beyond human life expectancy to identify significant market timing ability within a reasonable period say four yearsthese tests would require a manager to return at least 1 per cent a month over the s p 500 benchmark

market timing and roulette wheels nobel laureate william f sharpe and others have alerted investors to the potential pitfalls of market timing we also conclude from the study reported here that market timing is generally a difficult game but the difficulty varies substantially over time which has some intriguing implications for performance evaluation using a new measure of investment performance that we call the roulette wheel measure we analyzed monthly quarterly and annual market timing strategies in the 1926 99 period for six major u s asset classes in the 1995 99 period buying and holding large capitalization stocks would have outperformed about 99 8 percent of the more than 1 million possible quarterly switching sequences between large cap stocks and u s t bills in 1994 however if 1 000 portfolio managers had made monthly random choices between large cap stocks and t bills about 591 of them would probably have beaten a buy and hold strategy if 650 of the 1 000 had beaten a buy and hold strategy should all 650 have

impulse response analysis of cointegrated systems abstract impulse response or dynamic multiplier analysis of vector autoregressive systems with cointegrated variables is considered the asymptotic distribution of the responses estimated with johansen s 1988 maximum likelihood procedure is derived the results are illustrated with an analysis of a west german money demand system the investigation shows that a direct interpretation of the cointegration relations may be difficult or misleading thereby the virtue of impulse response analysis for applied work is illustrated

alternative approaches to evaluation in empirical microeconomics four alternative but related approaches to empirical evaluation of policy interventions are studied social experiments natural experiments matching methods and instrumental variables in each case the necessary assumptions and the data requirements are considered for estimation of a number of key parameters of interest these key parameters include the average treatment effect the treatment on the treated and the local average treatment effect some issues of implementation and interpretation are discussed drawing on the labour market programme evaluation literature

kyoto and carbon leakage an empirical analysis of the carbon content of bilateral trade abstract has the kyoto protocol induced carbon leakage we conduct the first empirical ex post evaluation of the protocol we derive a theoretical gravity equation for the carbon dioxide content of trade which accounts for intermediate inputs both domestic and imported the structure of our new panel database of the carbon content of sectoral bilateral trade flows allows controlling for the endogenous selection of countries into the kyoto protocol binding commitments under kyoto have increased committed countries embodied carbon imports from noncommitted countries by around 8 and the emission intensity of their imports by about 3 hence kyoto has indeed led to leakage

non economic engagement and international exchange the case of environmental treaties we examine the role of non economic partnerships in promoting international economic exchange since far sighted countries are more willing to join costly international partnerships such as environmental treaties environmental engagement tends to encourage international lending countries with such non economic partnerships also find it easier to engage in economic exchanges since they face the possibility that debt default might also spill over to hinder their non economic relationships we present a theoretical model of these ideas and then verify their empirical importance using a bilateral cross section of data on international crossholdings of assets and environmental treaties our results support the notion that international environmental cooperation facilitates economic exchange

climate change policy market structure and carbon leakage abstract the 1997 kyoto protocol on climate change obliges the industrialized countries to initiate the international effort of abating anthropogenic greenhouse gas ghg emissions if such an initiative is to be taken the associated competitive effects may lead to significant relocation of developed countries energy intensive production this paper examines this issue i adopt an oligopolistic structure combined with increasing returns to scale production technologies to represent the strategic interaction among the firms producing energy intensive products this representation is then embedded within a multi regional computable general equilibrium model which in turn is used for quantifying these relocational effects the results suggest that significant relocation of energy intensive industries away from the oecd may occur depending on the type of market structure with leakage rates as high as 130 in which case ghg control policies in the industrialized countries actually lead to higher global emissions

trade and carbon taxes we study various scenarios for taxing emissions of carbon dioxide c02 the question is how carbon tax policies will perform given interna tional trade if countries adopt different tax rates we investigate this question quantitatively using cim earth a newly developed open source computable general equilibrium cge model since climate change is a function of global c02 emissions an efficient strategy for control ling emissions would be to impose the same price wherever they occur such an approach presents a free riding problem however because nations have an incentive not to comply while gaining the ben efits of reduced emissions elsewhere moreover because of distributive concerns and claims about

the impact of sanitary and phytosanitary measures on market entry and trade flows in an attempt to disentangle the impact of sanitary and phytosanitary sps measures on trade patterns we estimate a heckman selection model on the hs4 disaggregated level of trade we find that aggregated sps measures constitute barriers to agricultural and food trade consistently to all exporters but conditional on market entry trade flows are positively affected by sps measures additionally we find that sps measures related to conformity assessment hamper market entry and trade flows while sps measures related to product characteristics pose an entry barrier but increase bilateral trade flows conditional on meeting the standard

currency unions and trade how large is the treatment effect currency unions and trade what can the data say the impact of a common currency on trade can be grossly mismeasured if countries that belong to currency unions are systematically different from those that do not and if the relationship between trade and its observable determinants is complex i argue that such complications are plausible and likely to distort the empirical results of a recent economic policy paper by andrew rose issue 30 2000 pp 7 45 using techniques designed to be robust in this situation i find that the effects of common currency on international trade are considerably less dramatic and much less precisely estimated torsten persson i have always maintained that the measured effect of a single currency on trade appears implausibly large but i am not convinced by torsten persson s diagnosis and proposed solution i apply a variety of estimation techniques to a new larger data set where many more instances of currency union creation and abandonment make it possible to rely on time series as well as cross sectional evidence the results are similar to my earlier ones the effect of a single currency on trade is large andrew rose

why cooperate public goods economic power and the montreal protocol this paper develops a correlated probit model to describe dichotomous choices that may contain a public goods component or some other forms of interdependency the key contribution of the paper is to formulate tests for interdependent behavior among agents in particular we examine the decisions by nations whether or not to ratify the montreal protocol on substances that deplete the ozone layer specifically we reject free riding as a motive for not ratifying the protocol and we find little evidence that individual nations were influenced by the behavior of their largest trading partners hence the data suggest that with respect to the montreal protocol most nations acted without regard for the actions of other nations

market timing better than a buy and hold strategy in the postwar era buying and holding stocks has been extremely rewarding a 1 portfolio fully invested in the dow jones industrial average in january 1946 was worth 116 at the end of 1991 including reinvestment of dividends but no deduction for taxes an 11 2 compound annual gain if the investor had missed the 50 strongest months for stocks his annual gain would have fallen to a mere 4 0

free to trade democracies autocracies and international trade trade relations we address this issue by analyzing the relationship between regime type and trade policy in a formal model of commercial policy we establish that the ratification responsibility of the legislature in democratic states leads pairs of democracies to set trade barriers at a lower level than mixed country pairs composed of an autocracy and a democracy we test this hypothesis by analyzing the effects of regime type on trade during the period from 1960 to 1990 the results of this analysis accord with our argument democratic pairs have had much more open trade relations than mixed pairs t he effects of domestic political institutions on trade policy have long been a source of controversy among social scientists despite the widespread interest that this debate has prompted however remarkably few studies have addressed the links between political regime type and commercial policy 1 most work on the political economy of trade policy that examines institutional factors focuses only on variations in policy among democracies and avoids comparing democracies with other types of regimes moreover many analyses of trade barriers especially those by economists ignore the effects of domestic political

a reexamination of the market timing and security selection performance of mutual funds an extended and correctly specified version of the treynor mazuy tm model is used to examine the market timing and stock selection abilities of domestic equity mutual funds this extended model controls for the inclusion of non s p 500 assets in mutual fund portfolios we document positive and significant market timing abilities for 633 mutual funds during the 1984 94 period this finding is in sharp contrast to the negative market timing abilities found when using the original tm model which does not control for non s p 500 assets security selection abilities are significantly positive and cross sectional correlations between market timing and selectivity are significantly negative the monotonic correlation between turnover and market timing is positive and that between turnover and selectivity is negative neither of these findings is evident with the original tm model or with traditional linear parametric measures of correlation

stochastic trends and economic fluctuations in a small open economy in this paper we describe how restricted vector autoregressions can be employed to examine the sources of macroeconomic fluctuations we show how cointegration restrictions can be used to identify a var system with common stochastic trends subject to transitory and permanent changes in average growth and how we may investigate the system s responses to permanent shocks i e to innovations to the trends theoretical cointegration vectors are derived from a small open economy growth model for terms of trade real gdp real consumption and real investments applying these methods to swedish annual data 1875 1986 we find that permanent real supply shocks account for most of the fluctuations in gdp even in the short run