uncertainties and extreme risk spillover in the energy markets a time varying copula based covar approach abstract in this paper we explore the impact of uncertainties on energy prices by measuring four types of delta conditional value at risk covar using six time varying copulas three different measures of uncertainty economic policy financial markets and energy markets are considered and the magnitude and asymmetric effects of their influence are investigated our results suggest that there generally exists negative dependence between energy returns and changes in uncertainty the risks of clean energy and crude oil returns are more sensitive to uncertainties in the financial and energy markets while the impact of economic policy uncertainty is relatively weak the upside and downside covars and covars demonstrate significant asymmetric effects in response to extreme uncertainty movement our findings therefore have important implications for energy portfolio investment

fiscal spillovers in the euro area this paper analyses the dynamic effects of fiscal imbalances in a given emu member state on the borrowing costs of other countries in the euro area the estimation of a multivariate multi country time series model specifically a global var or gvar using quarterly data for the emu period suggests that euro denominated government yields are strongly linked with each other however financial markets seem to be able to discriminate among different issuers consequently fiscal imbalances in italy and in other peripheral countries should be closely monitored by their emu partners and the european institutions

biased signaling and yardstick comparisons in a sovereign debt market abstract this paper develops a sovereign debt model in which governments are privately informed about their likelihood of default but can themselves have a biased perception of this likelihood i show that in this setup government borrowing acts as a signal that is only partially informative about fundamental default probabilities and bond prices do not necessarily reflect true credit risk i also show that in a two country version of the model correlations between the two countries induces yardstick comparisons and the borrowing decision of one government affects the bond price received by the other whether the information spillover increases or decreases the distortion created by the bias depends on the extent to which borrowing signals reinforce each other

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

what is new in the new industrial policy a manufacturing systems perspective this paper explores the recent evolution of manufacturing related policies in leading oecd economies germany japan the united kingdom and the united states a novel framework the industrial policy matrix is introduced and then used to illustrate and compare policy approaches in terms of factor inputs intervention levels and degrees of coordination while approaches adopted in different countries vary reflecting their respective contexts there is some evidence of a convergence on the effectiveness of particular programmes and organizations as well as on the characteristics that support the competitiveness of national manufacturing systems including coordination and alignment of related policies partnerships with industry and longer term investment and planning

economic determinants of the nominal treasury yield curve abstract macroeconomic shocks account for most of the variability of nominal treasury yields inducing parallel shifts in the level of the yield curve we develop a new approach to identifying macroeconomic shocks that exploits model based empirical shock measures technology shocks shift yields through their effect on expected inflation and the term premium shocks to preferences for current consumption affect yields through their impact on real rates and expected inflation for both shocks the systematic reaction of monetary policy is an important transmission pathway we find little evidence that fiscal policy shocks are an important source of interest rate variability

can fiscal spending stimulate private consumption abstract empirically government expenditure shocks seem to crowd in private consumption while neoclassical and new keynesian models predict crowding out we derive conditions under which a government in utility specification in a sticky price model helps to reconcile theory and evidence

triggers of change structural trajectories and production dynamics the transformation of production structures has been at the centre of the historical dynamics of capitalist economies since the first industrial revolution the article concentrates on production processes as principal loci of structural economic dynamics along increasing and decreasing returns trajectories these trajectories are triggered by structural opportunities and constraints embedded in production systems and their historical realisation is subject to different institutional configurations production units at different levels of aggregation the approach envisioned suggests the possibility of governing economic dynamics by structural policies working on the technological and organisational conditions of production as well as on the configuration of production processes within production units capitalist economies have to rely on a mix of co ordination devices across different production units and aggregation levels for capturing structural opportunities and avoiding structural constraints

dynamic return volatility dependence and risk measure of covar in the oil market a time varying mixed copula model abstract this study investigates the risk level in the oil market measured by value at risk var and conditional var covar as well as the dynamic and asymmetric dependence between wti returns and crude oil volatility index ovx by constructing six time varying mixed copula models results show that mixed copula between t copula and the 270 degree rotated clayton copula is the optimal fitting copula to measure dynamic dependence the estimated time varying kendall coefficients indicate that wti returns and ovx present negative dependence most of the time there exists a structural change point of dependence between wti returns and ovx changes on april 17 2009 while the dependence characteristics within the subsamples are similar to that in the whole sample indicating the rationality of our time varying mixed copula models finally the tests show significant risk spillover from ovx to wti returns and also asymmetric effects for covars in response to different upside and downside extreme ovx movements

was it real the exchange rate interest differential relation over the modern floating rate period in this paper we explore the relationship between real exchange rates and real interest rate differentials in the united states germany japan and the united kingdom contrary to theories based on the joint hypothesis that domestic prices are sticky and monetary disturbances are predominant we find little evidence of a stable relationship between real interest rates and real exchange rates we consider both in sample and out of sample tests one hypothesis that is consistent with our findings is that real disturbances such as productivity shocks may be a major source of exchange rate volatility this paper investigates the empirical relationship between major currency real exchange rates and real interest rates over the modern post march 1973 flexible rate experience the exchange rates examined here include the dollar mark dollar yen and dollar pound rates our two major findings are as follows first the data do not indicate a strong correspondence between real interest rate differentials short term or long term and real exchange rates this finding appears to conflict with the predictions of most monetary and portfolio balance models of exchange rate determination though the conflict can be substantially reconciled if aggregate disturbances are primarily real in nature i e changes in productivity tastes etc it is true that in many cases the sign of the estimated exchange rate interest rate differential relationship is consistent with the possible predominance of financial market disturbances but the relationship is not stable enough to be statistically significant second although one does find some evidence of a unit root in both real exchange rates and long term but not shortterm real interest differentials these two series do not appear to be linearly cointegrated hence the nonstationarity or near nonstationarity in the two series cannot be attributed to the same factor in section i we briefly describe a class of small scale monetary models of exchange rate determination the importance of this class of models for empirical work derives from its strong predictions about how the exchange rate will move

discrimination fact or fiction an examination using an alternative approach women earn less than men blacks earn less than whites these facts are blatantly observable in the economy with the proliferation of civil rights legislation in the last two decades social scientists have become increasingly concerned with the determination of the wage gap attributable to discrimination because workers have different productivities statistical methods have been used to isolate the discrimination effect from wage differences justified by differences in productivity the primary method estimates an equation with wages expressed as a function of productivity and sex or race since productivity cannot be directly observed a number of proxies for productivity have been used such as education tenure and experience statisticians 11 have shown that the necessity of using proxies results in statistical biases which may tend to overestimate discrimination they have shown that mismeasuring any independent variable can impart a bias on each regression coefficient thereby causing a severe misestimate of discrimination these errors are proportional to the degree of mismeasurement the relative degree of error variance in the independent variables as well as to the amount of intercorrelation between each variable and race or

cross sectional estimation in marketing direct versus reverse regression empirical results in marketing research are often derived from linear additive models estimated on cross sectional data an underlying assumption of these model specifications is that each exogenous variable contributes an additive effect to the endogenous variable measuring these additive effects is problematic if some components of the endogenous variable are not observable to the researcher reliance on observable correlates to capture those aspects of the endogenous variable might require reverse regression to ensure unbiasedness of the estimated effects in contrast to direct regression used exclusively in marketing research reverse regression first estimates the effect of the endogenous variable on those correlates and then derives unbiased estimates of the additive effect of other exogenous variables specified in the basic model this paper discusses the reverse regression approach relying on recently published analytic results a statistically powerful and analytically simple test is developed which allows the marketing researcher to assess a priori whether direct or reverse regression will provide unbiased parameter estimates an empirical illustration focuses on the measurement of potential market share rewards for pioneering businesses contained in the pims data base other areas in marketing where the issue of direct versus reverse regression is pertinent are mentioned

rejoinder to comments on reverse regression fairness and employment discrimination 1984 rejoinder to comments on reverse regression fairness and employment discrimination journal of business economic statistics vol 2 no 2 pp 126 139

heterogeneous beliefs regret and uncertainty the role of speculation in energy price dynamics abstract this paper proposes to investigate the impact of financialization on energy markets oil gas coal and electricity european forward prices during both normal times and periods of extreme fluctuation by using an original behavioral and emotional approach with this aim we propose a new theoretical and empirical framework based on a heterogeneous agents model in which fundamentalists and chartists co exist and are subject to regret and uncertainty we find significant evidence that energy markets are composed of heterogeneous traders who behave differently depending on the intensity of the price fluctuations and the uncertainty context in particular energy prices are governed primarily by fundamental and chartist agents that are neutral to uncertainty during normal times whereas these prices face irrational chartist investors averse to uncertainty during periods of extreme fluctuations in this context the recent surge in energy prices can be viewed as the consequence of irrational exuberance our new theoretical model is suitable for modeling energy price dynamics and outperforms both the random walk and the arma model in out of sample predictive ability

asymmetric and extreme influence of energy price changes on renewable energy stock performance abstract promoting the development of renewable energy has become the key factor to solve the problems of energy and climate change issues however its development is largely constrained by the prices of traditional fossil energy this paper explores the influence of various fossil energy price changes on renewable energy stock returns using a network approach specifically a positive and negative returns network and value at risk var network are constructed separately for identifying the asymmetric and extreme information spillover our findings show the fossil energy renewable energy network system has a relatively high level of interdependence the electricity market behaves as the major contributor to the changes of renewable energy returns in the returns connectedness network while oil and coal contribute most to the changes of renewable energy returns in the var connectedness network the dynamic results show that the contributions of fossil energy price changes to renewable energy returns have strong time varying pattern with high volatility over time the total connectedness in the positive returns network is slightly stronger than that in the negative returns network for most of the time during our sample period

learning innovation increasing returns and resource creation luigi pasinetti s original sin of and call for a post classical economics we draw on the seminal contribution to economics by luigi pasinetti respond to his call to reverse what he saw as the original sin of classical economists exacerbated by neoclassical economists namely the assumption of non increasing returns to scale and move towards building a post classical economics we outline the contours of a post classical framework that draws on key themes and contributions from pasinetti on learning technical progress increasing returns resource creation trade and catching up and contributions from within and without economics that are in line with lend support to and challenge it we advocate the pressing need and opportune timing for a concerted effort to revitalise ideas from the once vibrant cambridge school of economics and help develop a fresh more pluralist and inclusive post classical economics that cuts across divides and opens up opportunities for a less dismal science

rate fears gauges and the dynamics of fixed income and equity volatilities abstract while cboe s vix index is widely acknowledged as a broad based investor fear gauge for its strong inverse relationship with major equity indexes one cannot necessarily expect it to translate to the level of future turbulence or investor risk aversion in fixed income markets indeed expected volatilities in equity and interest rate markets as measured respectively by cboe s vix and their newly launched swap rate volatility index the srvx exhibit significantly distinct behavior the two indexes react to different events and risk factors thereby providing investors with complementary diversification hedging and risk taking tools

information diffusion cluster formation and entropy based network dynamics in equity and commodity markets this paper investigates the dynamic causal linkages among u s equity and commodity futures markets via the utilization of complex network theory we make use of rolling estimations of extended mat

systemic risk measurement multivariate garch estimation of covar abstract we modify adrian and brunnermeier s 2011 covar the var of the financial system conditional on an institution being in financial distress we change the definition of financial distress from an institution being exactly at its var to being at most at its var this change allows us to consider more severe distress events to backtest covar and to improve its consistency monotonicity with respect to the dependence parameter we define the systemic risk contribution of an institution as the change from its covar in its benchmark state defined as a one standard deviation event to its covar under financial distress we estimate the systemic risk contributions of four financial industry groups consisting of a large number of institutions for the sample period june 2000 to february 2008 and the 12 months prior to the beginning of the crisis we also investigate the link between institutions contributions to systemic risk and their characteristics

multinational enterprises service outsourcing and regional structural change this paper offers a joint analysis of two phenomena characterizing most advanced economies in recent decades the rise of foreign ownership in manufacturing activities and the pervasiveness of the service economy the aim of the study is to examine the structural transformation of regional economic systems within the uk by focusing on the role played by foreign multinational enterprises mnes in manufacturing in facilitating the development of services from a conceptual perspective this research relies on different strands of literature on the impact of foreign direct investment fdi on recipient economies on outsourcing and regional structural transformation and on the identification of local multipliers the empirical analysis focuses on a specific demand side channel for structural change the forward linkage established by foreign manufacturing mnes with local service providers through outsourcing descriptive evidence shows that service outsourcing by foreign plants operating in manufacturing is pervasive compared to outsourcing by their domestic counterparts on this basic premise we estimate the multiplicative effects that foreign manufacturing activity has on the creation of service jobs in local labour markets in order to produce reliable estimates of a local multiplier the methodology adopts an instrumental variable approach our findings suggest that foreign presence in manufacturing can be a catalyst of regional structural change by stimulating the generation of new jobs in the tertiary sector via demand linkages

a conditional dependence approach to co2 energy price relationships abstract this paper uses the conditional vine copula approach to model the dependence structure between european based carbon allowances and major energy prices it makes two central contributions to the related literature first we extend the previous works of reboredo 2013 2014 by allowing for complete coverage of energy markets including natural gas coal and electricity beyond the carbon oil dependencies second we simultaneously investigate the multivariate dependence among all variables in the system so that each of them can interact with the others based on a rich variety of bivariate copula functions the consideration of the electricity market in this context offers the possibility to gauge its influences through the computation of the fuel switching mechanism we mainly find that there is a reliable and positive link between coal and gas prices and between coal and oil prices with or without the presence of electricity prices while a weak and positive link is detected between brent and gas prices carbon prices co move only weakly with energy prices and their link to oil and gas prices is negative moreover the switch from coal to gas does not occur when the relative price of fuels taking into account carbon costs is assessed this happens because the fuel switching mechanism is still more costly than carbon abatement our findings remain intact when alternative electricity prices are used

dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield the main objective of this paper is to address in an a continuous time framework the issue of using storable commodity futures as vehicles for hedging purposes when in particular the convenience yield as well as the market prices of risk evolve randomly over time following the martingale route and by operating a suitable constant relative risk aversion utility function crra specific change of numeraire we solve the investor s dynamic optimization program to obtain quasi analytical solutions for optimal demands which can be expressed in terms of two discount bonds traded and synthetic contrary to the existing literature we explicitly derive the individual optimal proportions invested in the spot commodity in a discount bond and in the futures contracts which can be computed in a simple recursive way we suggest various decompositions allowing an investor to assess the sensitivity of the optimal demands to the state variables and to specify the role played by each risky asset empirical evidence shows that the convenience yield has a strong impact on the speculation and hedging positions and the interaction among time varying risk premia determines the magnitude and the sign of these positions

uncertainty and crude oil returns we use a copula approach to investigate the effect of uncertainty on crude oil returns using copulas to construct multivariate distributions of time series data permit the calculation of the dependence structure between the series independently of the marginal distributions further we implement the copula estimation using a rolling window method to allow for a time varying effect of equity and economic policy uncertainty on oil returns the results show that higher uncertainty as measured by equity and economic policy uncertainty indices significantly increase crude oil returns only during certain periods of time that is we find a positive dependence prior to the financial crisis and great recession interestingly estimation of the copula over the entire sample period leads to a negative dependence between the equity and economic policy indices and the crude oil return

fiscal policy and interest rates in europe the appetite for fiscal discipline has been steadily declining among most industrial countries in the past fiscal profligacy would have been punished by markets with higher interest rates and in some cases also exchange rate depreciation however in post emu europe exchange rate markets no longer discipline the fiscal behaviour of national governments perhaps more crucially even the interest rate punishment to fiscal indiscipline is highly uncertain with academic opinions being quite divided on this issue this paper takes a close look at the link between fiscal policy and interest rates in the european context the key finding is that an expansionary fiscal policy in one emu member will have an effect both on its spreads and on the overall level of interest rates for the currency union as a whole with the second effect however being quantitatively much more significant this suggests that there are indeed substantial spillovers through the interest rate channel among fiscal policies of member countries to limit countries incentive to run expansionary fiscal policies a set of rules like those embedded in the stability and growth pact is then needed some weak evidence is also found that after emu interest rate spillovers seem to be more significant for high debt countries with unsustainable fiscal policies reflecting perhaps market concerns about a possible sovereign bail out or the impact of financial distress there may be a case then for imposing tighter rules on high debt countries riccardo faini

is certainty in carbon policy better than uncertainty abstract uncertainty in the strictness of carbon policy can have significant impacts on power generating firms capacity investment decisions and market outcomes we investigate the effects of this policy uncertainty on firms expected profits consumers surplus and firms cost for reaching a co 2 emission target our results derived from a game theoretical model and applied to realistic data indicate that uncertainty in the carbon policy induces more capacity investments in fossil and renewable technologies we find that it is optimal for firms with higher risk aversion to invest more in renewable technologies than their less risk averse rivals for policy makers our results suggest counter intuitively that retaining the flexibility to update emission targets whilst causing uncertainty in the carbon policy is beneficial this is because it provides higher expected consumer surplus and lower expected electricity price power generating firms are also better off under the policy uncertainty by having lower expected costs for reaching the emission goal and higher expected profits when firms risk aversions are low these results support the approach employed in european power markets to periodically update the co 2 emission cap depending on the prevailing circumstances rather than having certainty in the decrements of the caps over a longer time horizon our insights can help policy makers and firms to make better decisions by understanding how carbon policy uncertainty impacts the optimal capacity investments and how these investments might depend on the firms heterogeneity in risk aversion

fluctuations in uncertainty this review article tries to answer four questions i what are the stylized facts about uncertainty over time ii why does uncertainty vary iii do fluctuations in uncertainty matter and iv did higher uncertainty worsen the great recession of 2007 2009 on the first question both macro and micro uncertainty appears to rise sharply in recessions on the second question the types of exogenous shocks like wars financial panics and oil price jumps that cause recessions appear to directly increase uncertainty and uncertainty also appears to endogenously rise further during recessions on the third question the evidence suggests uncertainty is damaging for short run investment and hiring but there is some evidence it may stimulate longer run innovation finally in terms of the great recession the large jump in uncertainty in 2008 potentially accounted for about one third of the drop in gdp

risk dependence of covar and structural change between oil prices and exchange rates a time varying copula model abstract this paper analyses the dynamic dependence between wti crude oil and the exchange rates of the united states and china taking structural changes of dependence into account by using six time varying copula models upside and downside conditional values at risk covars are introduced specifically to measure the upward and downward risk dependences between oil prices and exchange rates the findings indicate a structural break point of dependence exists between daily or weekly crude oil and the us dollar index the dependence between crude oil and the rmb exchange rate is faintly positive with lower tail dependence while the dependence between crude oil and the us dollar index is significantly negative with lower upper and upper lower tail dependence finally the covars results show that there is significant risk spillover from crude oil to chinese and the us exchange rate markets furthermore the spillover effect is significantly asymmetry in chinese exchange rate market in response to rising and falling oil returns while the asymmetry of spillover effect for the us dollar index is not significant

world public debt and real interest rates real interest rates appear to have risen in virtually all industrialized countries in the 1980s and 1990s relative to levels that prevailed in earlier decades there is concern that this may reflect higher public debt which is crowding out private sector activity there has also been increasing international capital market integration implying that interest rates in any country may be sensitive to global fiscal developments this paper estimates the effects of such fiscal developments on real interest rates in nine industrial countries the results imply that the increase in oecd wide government debt since the late 1970s was a major factor in the rise in real interest rates copyright 1999 by oxford university press

the architecture and dynamics of industrial ecosystems diversification and innovative industrial renewal in emilia romagna the paper aims at advancing our understanding of the architecture and diversification dynamics of industrial ecosystems and identifying policies for the innovative industrial renewal of mature economies industrial ecosystems are here defined as multi tiered production systems involving heterogeneous agents operating in sectoral value chains and contributing to the capability domains of the ecosystem and its participants with closely complementary but dissimilar sets of resources and capabilities the geographical boundaries of the industrial ecosystem are shaped by the evolving interdependencies linking organisations within the ecosystem and by the new linkages consolidating beyond that thus the industrial ecosystem is a structured production space centred mainly on its productive organisations as well as other institutions intermediaries and demand side actors purposefully involved in co value creation processes along various types of diversification and innovative industrial renewal trajectories drawing on a five year research programme in the emilia romagna industrial ecosystem a number of case studies are introduced to highlight these trajectories and the underpinning structural learning dynamics the paper concludes by identifying a number of policy implications focusing on strategies for enhancing the structural readiness of the industrial ecosystem and promoting smart diversification and innovative industrial renewal policies jel classifications d20 o25 o30

modeling and predicting the cboe market volatility index abstract this paper performs a thorough statistical examination of the time series properties of the daily market volatility index vix from the chicago board options exchange cboe the motivation lies not only on the widespread consensus that the vix is a barometer of the overall market sentiment as to what concerns investors risk appetite but also on the fact that there are many trading strategies that rely on the vix index for hedging and speculative purposes preliminary analysis suggests that the vix index displays long range dependence this is well in line with the strong empirical evidence in the literature supporting long memory in both options implied and realized variances we thus resort to both parametric and semiparametric heterogeneous autoregressive har processes for modeling and forecasting purposes our main findings are as follows first we confirm the evidence in the literature that there is a negative relationship between the vix index and the s p 500 index return as well as a positive contemporaneous link with the volume of the s p 500 index second the term spread has a slightly negative long run impact in the vix index when possible multicollinearity and endogeneity are controlled for finally we cannot reject the linearity of the above relationships neither in sample nor out of sample as for the latter we actually show that it is pretty hard to beat the pure har process because of the very persistent nature of the vix index

testing in models of asymmetric information this paper explores the role of testing in models of asymmetric information we demonstrate conditions under which testing for underlying characteristics can overcome adverse selection problems and lead to a full information competitive equilibrium this paper provides a more general statement of mirrlees result on the optimal use of infinite fines where testing cannot fully resolve the problems associated with asymmetric information we outline the source of the difficulties our results developed in the context of a labour market can be directly extended to other environments in problems with asymmetric information testing to discover an agent s chosen action or underlying characteristics may significantly reduce the cost of moral hazard and adverse selection

real interest rates and inflation an ex ante empirical analysis we develop a method of measuring ex ante real interest rates using prices of index and nominal bonds employing this method and newly available data we directly test the fisher hypothesis that the real rate of interest is independent of inflation expectations we find a negative correlation between ex ante real interest rates and expected inflation this contradicts the fisher hypothesis but is consistent with the theories of mundell and tobin darby and feldstein and stulz we also find that nominal interest rates include an inflation risk premium that is positively related to a proxy for inflation uncertainty

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

capabilities structure agency and evolution this paper examines conceptual issues and reviews empirical results bearing on the relationship between research approaches emphasizing organizational capabilities and those based in transaction cost economics tce or in organizational economics more generally following a review of conceptual fundamentals what capability is and why organizations differ in capability it assesses recent progress toward an integration of the capabilities and transaction cost approaches primarily in the context of the analysis of vertical structure and related phenomena this review suggests that progress has been substantial and that the key elements of a promising dynamic synthesis have been identified the paper then considers issues that call for attention if further progress is to be achieved the first of these is the role of agency which must be seen in expansive terms relative to standard economic rationality if its evolutionary significance is to be fully appreciated the second is the role of structure or more specifically industry architecture which affects capability development by way of its effect on the feedback that firms receive after drawing on the recent financial crisis for an illustration of these ideas this paper considers the rise of interest in business models as a useful field of application and it concludes with a discussion of the role of organizational economics beyond tce we argue that whatever the theoretical perspective at the level of the firm analyses must reach beyond that level to grasp the important causal forces affecting capability development firm boundaries and structural features more generally

downside and upside risk spillovers between exchange rates and stock prices abstract we examined downside and upside risk spillovers from exchange rates to stock prices and vice versa for a set of emerging economies we characterized the dependence structure between currency and stock returns using copulas and computed downside and upside value at risk and conditional value at risk we documented a positive relationship between stock prices and currency values in emerging economies with respect to the us dollar and the euro with downside and upside spillover risk effects transmitted both ways finally we also documented asymmetries in upside and downside risk spillovers and asymmetric differences in the size of risk spillovers when the domestic currency values against the us dollar and the euro our results consistent with flight to quality phenomena have implications for downside and upside risk management of international investor portfolios in emerging markets

structural cycles and industrial policy alignment the private public nexus in the emilian packaging valley the article investigates changes in the interaction between business organisations local governments and public technology intermediaries resulting from business organisations shifts towards higher value product segment opportunities specifically we analyse how local governments can or not align their industrial policies to the industrial transformations both technological and organisational underpinning firms value creation capture dynamics the concept of structural cycle is introduced here to study the two interdependent processes of technology transition and organisational reconfiguration characterising those firms shifting towards higher value product segments this private public nexus is investigated in the emilian packaging valley context the mixed method study focuses on the case of ima spa its shifts from the food to the pharmaceutical value product segment of the packaging machine industry and its changing relationships with regional public policies and institutions a number of industrial policy implications for sustainable value creation dynamics in local production systems are finally derived

long term real interest rates evidence on the global capital market the steady removal of capital controls and the consequent increase in international capital flows has led to a growing belief that there is now one global capital market with a single world real interest rate at its core we review the evidence on international real interest rate behaviour using alternative measures of real interest rates including those obtained from the growing set of inflation adjusted government bonds using a range of statistical tests we find that it is hard to argue that real interest rates are converging to single world rate though international factors are important moreover the large and persistent differences in real interest rates across countries cannot be explained in terms of real exchange rate expectations macroeconomic indicators from the countries concerned appear to play some role in accounting for these differences copyright 1999 by oxford university press

asymmetric risk spillover between financial market uncertainty and the carbon market a gas dcs copula approach abstract a thorough understanding the asymmetry in risk transferring mechanisms remains a challenge in the carbon market through the incorporation of the asymmetric tail distribution into the risk transferring mechanism the asymmetric response of the carbon market to financial market uncertainties can be explored herein we propose a generalized autoregressive score dynamic conditional score copula model to investigate the asymmetric risk spillover between financial market uncertainty and the carbon market we discover the existence of considerable asymmetric risk spillover from financial market uncertainty to the carbon market specifically the upper tail risk spillover effect is greater than the lower tail risk spillover effect the degree of risk spillover reached a peak during the european debt crisis also higher degrees of financial market uncertainty and especially uncertainty from the crude oil market cause a greater risk spillover to the carbon market than lower degrees of financial market uncertainty do in addition we discover that stock market uncertainty exhibits greater power than crude oil market uncertainty in transferring risk to the carbon market when systemic events occur our research provides meaningful information to investors and policy makers

disability insurance and the great recession the u s social security disability insurance ssdi program is designed to provide income support to workers who become unable to work because of a severe long lasting disability at present nearly nine million former workers receive ssdi benefits following several decades of rapid growth as the program has expanded observers have debated the degree to which this program growth is due to on the one hand past policy changes and anticipated growth in the insured population or on the other hand declining returns to labor force participation among low skilled workers underscoring the important role of labor markets is the evidence that ssdi payments in appalachia responded counter cyclically to local earnings shocks caused by the coal boom and bust of the 1970s and 1980s black daniel and sanders 2002 more recently linder and burdick 2013 show that the unemployment rate was positively associated with disability benefit claiming during and after the 2001 recession a finding that ssdi receipt is sensitive to economic cycles is of concern for several reasons the first is that there is little evidence that the incidence of severe disability is itself countercyclical because of this ssdi is designed to insure against permanent earnings shocks due to onset of disability and not transitory earnings shocks due to labor market conditions its strict eligibility rules lengthy application processing times and implicit work disincentives reflect this purpose and indeed very few ssdi beneficiaries ever return to substantial labor market activity it is thus problematic if displaced and discouraged workers turn to the ssdi program when they are in need of temporary assistance since they are unlikely to ever return to work once the labor market recovers one explanation for these business cycle effects is that they are driven by conditional applicants that is workers with health impairments who would prefer to remain in the labor force but who would apply for ssdi benefits if they lost their present job autor and duggan 2003 because applying for public ssdi benefits in the united states requires that one s earnings are below the threshold defining substantial gainful activity sga the opportunity cost of applying for benefits is reduced when one becomes unemployed thus not only should there be more ssdi applicants during economic downturns there should be notable compositional differences between those who apply during economic expansions and those who apply during economic recessions using survey data coe and rutledge 2013 find that ssdi applicants during recessions have higher past earnings and more recent work experience see also lindner and burdick 2013 in this study we use administrative data to estimate the effect of labor market conditions as measured by the unemployment rate on the number of ssdi applications the number and composition of initial allowances and denials and the timing of applications relative to disability onset we analyze the period of the great recession and compare this period with business cycle effects over the past two decades from 1992 through 2012 our analysis isolates the quantity and composition of applicants who are induced to apply for ssdi benefits when labor market opportunities decline and therefore provides important new evidence about the group for whom ssdi application is a substitute for labor force participation and their impact on the ssdi program