testing for nonlinear dependence in daily foreign exchange rates the purpose of this article is to investigate whether daily changes in five major foreign exchange rates contain any nonlinearities although the data contain no linear correlation evidence indicates the presence of substantial nonlinearity in a multiplicative rather than additive form further examination reveals that a generalized autoregressive conditional heteroskedasticity model can explain a large part of the nonlinearities for all five exchange rates copyright 1989 by the university of chicago

the environment and emerging development issues development economics for the most part has failed to recognize renewable environmental resources as economic goods yet the lives of the poor in developing countries are intimately tied to the fate of their local common property resources soil fuel wood water and so on ignoring the loss of common property renewable resources via degradation centralization or privatization in calculations of net national product can mask the destruction of resources available to a country s poor behind the false appearance of a growing national economy this paper describes the difference between the problem of managing local common property resources in developing countries and the problem of protecting the global commons such as the atmosphere and oceans it outlines the calculations that would include the local commons in the national income accounting of capital assets and argues that the interests of those most dependent on the increasingly scarce local commons will be best served by placing control in their hands while the central government provides infrastructure and educational support to control the pollution of the global commons on the other hand the paper sketches a plan in which most countries would have a high incentive to participate a global allocation of limited tradable permits to discharge defined pollutants

welfare equivalent nnp under distributional objectives abstract this note concerns social accounting when there are social objectives for the distribution of utility across consumers the most important result is that a suboptimal distribution across agents causes the net national product to fail as a welfare measure

united states export subsidies in wheat strategic trade policy or expensive beggar thy neighbor tactic this paper examines the domestic and international impacts of the u s export enhancement program eep for wheat eep uses targeted in kind subsidies to expand u s exports and was designed specifically to compete with subsidized exports from the european community ec we argue eep cannot be welfare improving for the u s even considering strategic trade theory we then model eep as an in kind constrained targeted export subsidy and determine its price quantity and budgetary effects empirical results show that no exporting country gains from eep and that the intended loser the ec is only slightly harmed we find the export subsidies generate only a small increase in u s wheat exports eep is an expensive program based on our estimates for 1988 government cost of additional wheat exports under eep reached 469 per metric ton

nonlinear nonparametric nonessential exchange rate estimation a wide variety of empirical exchange rate mo dels have been estimated over the years but despite the considerable energies that have been devoted to this work the economics profession has remarkably little to show for itself there is little evidence that conclusively links the bilateral exchange rates of typical oecd countries to fundamental macroeconomic determinants of exchange rates such as money output relative prices or interest differentials coefficient estimates are notoriously unstable and frequently mis signed compared with theoretical predictions exchange rate equations do not fit particularly well and forecast no better than the simplest naive alternatives recently a new class of exchange rate models was introduced by paul krugman 1988 these models provide a potential reason for the poor performance of traditional exchange rate models because they are nonlinear if the exchange rate actually depends in a nonlinear way on exogenous macroeconomic fundamentals linear exchange rate models may work poorly even though the exchange rate is closely linked to fundamentals in this paper we provide a brief sketch of some of this work as well as some preliminary evidence on the actual performance of these nonlinear models in our empirical analysis we use a nonparametric estimator that can handle a wide variety of nonlinear phenomena we examine fixed exchange rate regimes where nonlinearities should be quite easy to detect however we do not find strong empirical support for the hypothesis that the incorporation of nonlinear effects significantly improves models of exchange rate determination in section i we briefly review the theoretical literature on nonlinear target zone exchange rate models linking this work to the tests for intrinsic bubbles we draw heavily on recent papers by kenneth froot and maurice obstfeld 1989a b our methodology and data are discussed in section ii section iii contains new empirical tests for nonlinearities in exchange rate models

agricultural export subsidies and intermediate goods trade in this paper i examine the effects of export subsidies when a bulk commodity is an intermediate good which is either exported or processed into a higher value agricultural good for domestic or export sale the analysis shows that while the industry producing the subsidized good benefits the industry producing the other good may not a bulk commodity export subsidy may lower the price of the higher value agricultural commodity an export subsidy on the higher value agricultural commodity may lower the bulk commodity s price the outcome depends on the relative excess supply and excess demand elasticities and on the market structure

distinguishing between stochastic and deterministic behavior in foreign exchange rate returns further evidence abstract the nature of non linear dependence in hourly exchange rate returns is scrutinized while the brock dechert and scheinkman bds test results reject i i d behavior various correlation dimension estimates reveal little evidence in favor of a low dimensional attractor in the time series

a simulation model of the u s export enhancement program for wheat nash bargaining game models representing negotiations of export enhancement program eep sales are combined with a quarterly spatial price equilibrium model representing non eep world wheat trade to simulate the eep s impact in late 1985 and early 1986 the benefits of the eep in terms of increased u s export revenues adjusted for subsidy costs are estimated to be less than one percent of total u s revenues for the first quarter of 1986 model simulations also show a lowering of the ccc loan rate to have a much greater potential for increasing u s wheat exports than the eep as operated

national product related welfare measures in the presence of technological change externalities and uncertainty the purpose of this paper is to discuss under what conditions welfare can be measured by observables related to the national product or hamiltonian along the optimal trajectory under nonattributable technological or environmental change welfare will depend on time itself meaning that the hamiltonian along the optimal trajectory will be a biased measure of welfare this result will also hold if we make the time dependence of welfare endogenous by replacing technological change will externalities that are not internalized during optimization on the other hand if we take the externalities fully into account then the hamiltonian will represent the appropriate measure of welfare similar results also hold in the case of uncertainty where we show that a generalized hamiltonian provides a welfare measure and that the deterministic measures are special cases of their stochastic counterparts

social accounting and welfare measurement in a growth model with human capital this paper addresses social accounting and welfare measurement in an economy where human capital is an important factor in the economic system human capital accumulation depends on the time consumers spend in education however human capital is also a separate argument in the production function facing firms which gives rise to a production externality in a command optimum where the externality is internalized we show that an augmented nnp measure is the appropriate welfare indicator we also discuss the taxtransfer system required for the decentralized economy to reach a command optimum

economic growth pollution and renewable resources abstract this paper first analyzes a model of economic growth with stock pollution allowing smooth substitution between emissions and reproducible capital when emissions are optimally controlled the steady state consumption is lower than without pollution control but the optimal steady state equilibrium may not exist if the marginal productivity of capital is bounded the steady state is shown to be a local saddle point independent of the rate of discount if pollution is not controlled a competitive economy moves along a stable growth path toward a too heavily polluted steady state next a growth model in which pollution affects the growth of renewable resources is presented the conditions for the existence and saddle point property of the steady state are given and the consequences of nonoptimal externality taxes are discussed when renewable resources are included higher than optimal pollution may decrease steady state consumption contrary to the case where renewable resources are ignored

chaotic dynamics in economic time series abstract there has recently been considerable interest in chaotic dynamics in a variety of disciplines this paper introduces and then surveys some of the associated literature and techniques applications to economic theory are discussed but the primary focus is on empirical applicability in addition to surveying the literature we also provide an example of the use of these techniques in economics we conclude by highlighting the importance of the techniques for empirical work as well as considering their context in econometric methodology

samuelson and neoclassical economics this is not a festschrift but a study of the prodigious samuelson phe nomenon his history making contributions to and impact on the econom ics of our age and the intricate often perplexing and divergent trends in modern economics all intensely controversial subjects that will be argued scrutinized and periodically reassessed by economists of various strands and traditions for years to come for as samuelson wrote of pigou immortality does have its price a scholar with such an out standing body of contributions must expect other men to swarm about it 1966 p 1233 subject it to scholarly scrutiny and challenge it although paul samuelson was 65 on may 15 1980 and our best wishes go out to him for long life and continued enrichment of economics this is neither a birthday party nor a gathering of only the good fairies for as he himself has said of marx a great scholar deserves the compliment of being judged seriously and critically 1972 p 268 in accordance with the rule of roman law audiatur et altera pars i have invited representative scholars of widely divergent perceptions to offer their critical evaluation of the age of samuelson while the response was by and large gratifying some scholars were unable to meet the deadline ix x preface and with much compunction i have had to expand my own essays to partly fill the gaps

why did wicksell change his mind about the machinery question abstract the article investigates wicksell s change of mind about the machinery question between 1890 and 1900 1901 wicksell at first sided with the so called compensation theory that workers are not harmed by the introduction of machinery in his lecture notes of april 1900 made available here for the first time wicksell deployed marginal productivity theory to discuss the effects of labour saving technical progress with inconclusive results finally in his published 1901 lectures and in his 1900 article about marginal productivity wicksell claimed that the introduction of machinery increases output and reduces wages his analysis was based on the demonstration that free competition maximizes output but not total utility it is argued that wicksell s change of mind and his mature formulation of the machinery question result from his critical assessment of the then new concept of pareto optimality together with his reinterpretation and rejection of ricardo s 1821 contention that the introduction of machinery may diminish output and employment

the euro dollar exchange rate chaotic or non chaotic a continuous time model with heterogeneous beliefs abstract the aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents beliefs in order to explore non linearities and possible chaotic behaviour the theoretical model contains an intrinsic non linearity that gives rise to a jerk differential equation which is in principle capable of generating chaos the model is econometrically estimated in continuous time with euro dollar data and examined for the possible presence of chaotic motion our results indicate that the possibility of chaotic dynamics in our model is rejected

asymmetry in the ems new evidence based on non linear forecasts abstract in this paper we provide new evidence on the hypothesis of german leadership and asymmetric performance in the ems in the framework of causality tests using daily data given the evidence about non linearity in financial series we propose applying non linear forecasting methods based on the literature on complex dynamic systems our analysis covers nine countries and the sample period runs until 30 april 1998 so including the more recent events in the ems history a comparison of our results with those obtained from standard linear econometric techniques leads us to conclude that inference on causality based on our non linear predictors would be preferable to that based on the standard linear approach

pollution tax design and green national accounting abstract this paper concerns social accounting when pollution gives rise to a consumption externality the purpose of the paper is to reconcile the willingness to pay technique as a means of collecting information put forward in earlier studies with the growth theoretical approach to social accounting this is accomplished by designing approximations of pigouvian emission taxes on the basis of currently available willingness to pay information the paper analyses the welfare effects of these taxes as well as to what extent they can be used to measure approximately the value of depletion of environmental capital in the national accounts

statistical inference based upon non linear science abstract this paper discusses testing for the presence of deterministic chaos and presents probems surrounding such research statistical inference methods arising from the study of non linear dynamics are presented along with research utilizing these methods the general goal of these inference methods is to test for evidence of hidden structures in economic time series data which may lead to a greater understanding of how the economy functions while evidence of significant non linear structure has been demonstrated in many economic and financial time series precisely how important these structures are to economic science is a relevant issue

national accounts and environmental resources in the paper optimal growth theory is used to derive the appropriate definition of the net national product concept when there are environmental resources and environmental damage to take into account the basic conclusions are that conventional defined np should be corrected by deducting environmental damage and adding the value of the net change of all resources

capital theory and the measurement of sustainable development an indicator of weak sustainability the measurement of sustainable development is not without considerable difficulties yet this should not detract from the positive advances that can be made in this direction in this paper we present one form that a weak sustainability indicator can take derived from a simple but intuitive savings rule it incorporates the idea that the level of overall capital stock should be non decreasing although subject to qualification at this stage some interesting results emerge from the application of the rule to 18 countries

exchange rates forecasting local or global methods exchange rates forecasters usually assume that local methods nearest neighbour dominate the global ones neural networks or genetic programming for example in this article first we use different generalizations of the standard nearest neighbours to predict the dynamic evolution of the yen us and pound sterling us exchange rates one period ahead second we compare our results with those employing global methods such as neural networks genetic programming data fusion and evolutionary neural networks finally we find out the existence of predictable structures periods ahead our results reveal a slightly but significant forecasting ability for one period ahead which is lost when more periods ahead are considered and no important predictive differences between local and global methods have been found

testing nonlinear forecastability in time series theory and evidence from the ems abstract this paper proposes a procedure based on nearest neighbour predictors for testing the existence of nonlinear forecastable dependencies in time series an empirical application to ems exchange rates illustrates the performance of the test

in kind export subsidies for processed and bulk goods this research analyzes the interaction between a bulk commodity and a processed good under in kind export subsidies an in kind export subsidy lowers the export price of the good on which it is paid the other price changes are ambiguous a numerical model for u s wheat and flour illustrates these conditions given the parameters of the model an in kind payment using wheat lowers flour prices and the export price of wheat the u s domestic wheat price rises when flour is used for the payment u s wheat and flour prices rise while the foreign flour price falls

international marketing margins for agricultural products effects of some nontariff trade barriers trade uncertainty occurs when quality changes or when administrative trade barriers atbs cause a chance that a commodity will not enter the import market trade uncertainty adversely affects marketing firms and commodity trade but arbitrage still precludes the distribution of rents to middlemen an exporter subsidy may correct price distortions and expand trade towards the highest world welfare the case for intervention appears strongest in thin markets with a low number of trade transactions and perishable commodities nonetheless promoting trade liberalization before other interventions may still make sense when atbs are present because reduced trade uncertainty also improves world welfare

taxes and subsidies in vertically related markets in the framework of a two country two good partial equilibrium model where one of the commodities the bulk commodity is an intermediate input in the production of the second good the processed good we assume that the government wishes to transfer income to both bulk commodity and processed good producers our analysis is concerned with efficient redistribution the instruments are subsidies or taxes and there is an opportunity cost of public funds we use the targeting principle to characterize the set of optimal subsidies or taxes applied on both the bulk commodity and the final good in this vertically related market structure the theoretical analysis is illustrated using the example of cereals the bulk commodity and pork and poultry the processed good in the european union

accounting for the wealth of nations the net versus gross output controversy and its ramifications there has been a longstanding controversy over the use of net versus gross measures of national product in accounting for economic growth most recently reflected in several papers which have examined the role of environmental variables it is argued in this paper that the two measures are not substitutes but complements which reveal different aspects of the growth process gross product is the correct output concept for estimating the structure of production while net product is the correct concept for measuring the welfare consequences of economic growth an alternative to the conventional solow growth accounting framework is then presented in which the change in national wealth is decomposed into its component elements copyright 1992 by the editors of the scandinavian journal of economics

natural resources national accounting and economic depreciation abstract the current value hamiltonian in an aggregate optimal growth problem with heterogeneous capital stocks including exhaustible renewable and environmental stocks is the nnp function routine substitutions reveal that the using up of natural resource stocks is representable as easy to interpret economic depreciation magnitudes we obtain true nnp inclusive of natural resource stock diminution implications for actual national accounting practices are also discussed

capital gains and net national product in open economies it is shown within a given framework that with the world economy following an egalitarian path the aggregate capital gains being positive is equivalent to the interest rate tending to decrease this result is of importance for the concept of net national product in open economies in particular with positive aggregate capital gains an open economy cannot sustain consuming the return on its capital stocks since some part of the return must be used to augment the country s national wealth it is established that a country s share of world wide sustainable consumption equals its share of worldwide wealth

welfare measurement green accounting and distortionary taxes this paper concerns welfare measurement in the presence of distortionary taxes one purpose is to explain why the traditional green nnp measure fails as a welfare indicator when distortionary taxes are present another is to derive a green nnp analogue in a second best environment in the second best optimum the efficiency cost of taxation will affect both the form of the national welfare measure and the proper principles of accounting for pollution

expectations and chaotic dynamics empirical evidence on exchange rates abstract the paper investigates the dynamic behavior of exchange rates expectations using four different currencies the test follows developments advanced by fernandez rodriguez et al fernandez rodriguez f sosvilla rivero s andrada felix j 2005 testing chaotic dynamics via lyapunov exponents journal of applied econometrics 20 911 930 the evidence however does not favor the presence of chaotic dynamics in exchange rate expectations

on the role of green taxes in social accounting this paper addresses social accounting numerically in a dynamic generalequilibrium model the main purposes are to study i whether emissiontaxes based on static willingness to pay information can be used to improvethe welfare level and ii whether these taxes provide close enoughapproximations of the correct pigouvian emission tax to be useful in thecontext of social accounting the results indicate that if environmentalquality is relatively linear with respect to pollution the approximation ofthe pigouvian emission tax will bring the economy close to the sociallyoptimal solution and at the same time provide a close approximation of thevalue of net investments in environmental capital

on the welfare significance of green accounting as taught by parable abstract green nnp is a national accounting concept that subtracts off from gnp not just depreciation of capital but also depletion of environmental assets for a time autonomous technology green nnp has a rigorous welfare interpretation as an exact measure of the economy s future power to consume the present paper extends the standard framework to cover the case of labor augmenting technological progress for this special case of time dependence a powerful conceptual parable applies it is as if the conclusion from a simple minded welfare story told by the standard neoclassical one sector growth model covers a far more general situation involving any number of different types of capital any convex production possibilities set and fully optimizing behavior implications and applications are discussed

chaotic behaviour in exchange rate series first results for the peseta u s dollar case abstract we test for the presence of deterministic chaos on daily data for the spot and forward spanish peseta u s dollar exchange rates the finding of a chaotic behaviour in the series allows us to make short run predictions which in general outperform those from the random walk model