the introduction of price signals into land use planning decision making a proposal although directed to the british system of town and country planning this paper has relevance for many oecd countries including some with systems of land use regulation which evolved entirely independently of the british the paper starts by characterising the basic features of the british land use planning system viewed from the resource allocation point of view of an economist a conclusion is that the system explicitly excludes any use of price signals from its decisions the paper then summarises the problems which the exclusion of price information has given rise to because the uk planning system has deliberately constrained the supply of space and space is an attribute of housing which is income elastic in demand rising incomes not only drive rising real house prices but also mean that land prices have risen considerably faster than house prices several housing attributes other than garden space are to a degree substitutes for land but the underlying cause of the inelastic supply of housing in the uk is the constraint on land supply the final section proposes a mechanism which would make use of the information embodied in the price premiums of neighbouring parcels of land zoned for different uses such premiums signal the relative scarcity of land for different uses at each location and should become a material consideration in planning decision making if they were above some threshold this should provide a presumption of development unless maintaining the land in its current use could be shown to be in the public interest if combined with impact fees such a change would not only make housing supply more elastic and the system more transparent but would help to distance land availability decisions from the political process

party systems and electoral volatility in latin america a test of economic institutional and structural explanations three different theoretical explanations are tested for the exceptionally high level of electoral volatility found in contemporary latin america economic voting institutional characteristics of political regimes and party systems and the structure and organization of class cleavages a pooled cross sectional time series regression analysis is conducted on 58 congressional elections and 43 presidential elections in 16 latin american countries during the 1980s and 1990s institutional variables have the most consistent effect on volatility while the influence of economic performance is heavily contingent upon the type of election and whether the dependent variable is operationalized as incumbent vote change or aggregate electoral volatility the results demonstrate that electoral volatility is a function of short term economic perturbations the institutional fragilities of both democratic regimes and party systems and relatively fluid cleavage structures

volatility spillovers between oil prices and stock sector returns implications for portfolio management abstract in this article we take a recent generalized var garch approach to examine the extent of volatility transmission between oil and stock markets in europe and the united states at the sector level the empirical model is advantageous in that it typically allows simultaneous shock transmission in the conditional returns and volatilities insofar as volatility transmission across oil and stock sector markets is a crucial element for portfolio designs and risk management we also analyze the optimal weights and hedge ratios for oil stock portfolio holdings with respect to the results our findings point to the existence of significant volatility spillover between oil and sector stock returns however the spillover is usually unidirectional from oil markets to stock markets in europe but bidirectional in the united states our back testing procedures finally suggest that taking the cross market volatility spillovers estimated from the var garch models often leads to diversification benefits and hedging effectiveness better than those of commonly used multivariate volatility models such as the ccc garch of bollerslev 1990 the diagonal bekk garch of engle and kroner 1995 and the dcc garch of engle 2002

linear time varying regression with copula dcc garch models for volatility abstractthis article provides a new linear state space model with time varying parameters for forecasting financial volatility the volatility estimates obtained from the model by using the us stock market data almost exactly match the realized volatility we further compare our model with traditional volatility models in the ex post volatility forecast evaluations in particular we use the superior predictive ability and the reality check for data snooping evidence can be found supporting that our simple but powerful regression model provides superior forecasts for volatility

on the links between stock and commodity markets volatility this paper investigates the links between price returns for 25 commodities and stocks over the period from january 2001 to november 2011 by paying a particular attention to energy raw materials relying on the dynamic conditional correlation dcc garch methodology we show that the correlations between commodity and stock markets evolve through time and are highly volatile particularly since the 2007 2008 financial crisis the latter has played a key role emphasizing the links between commodity and stock markets and underlining the financialization of commodity markets at the idiosyncratic level a speculation phenomenon is highlighted for oil coffee and cocoa while the safe haven role of gold is evidenced

clientelism as persuasion buying evidence from latin america in distributing clientelistic payoffs to citizens the best strategy a party machine can pursue we argue is to target citizens who are opinion leading epicenters in informal conversation networks this persuasion buying strategy carries the highest potential yield for the party because the payoff can create a social multiplier the effect of the clientelistic gift can be magnified via the conversion of multiple voters within a payoff recipient s personal networks using cross sectional survey data from 22 latin american countries and a panel survey from mexico we confirm that individuals who engage in frequent political persuasion and who are located in large political discussion networks are the most likely recipients of clientelistic payoffs we also show that a finding that is key to previous theories namely that loyal partisans are the most likely targets of clientelism is driven by omitted variable and endogeneity bias

macroeconomic forecasting and structural change the aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts we produce real time out of sample forecasts for inflation the unemployment rate and the interest rate using a time varying coefficients var with stochastic volatility tv var for the us the model generates accurate predictions for the three variables in particular for inflation the tv var outperforms in terms of mean square forecast error all the competing models fixed coefficients vars time varying ars and the na ove random walk model these results are also shown to hold over the period commonly referred to as the great moderation

on the evolution of the monetary policy transmission mechanism this paper investigates whether the monetary transmission mechanism has changed or whether apparent changes are due to changes in the volatility of exogenous shocks also the question of whether any changes have been gradual or abrupt is considered a mixture innovation model is used which extends the class of time varying vector autoregressive models with stochastic volatility the advantage of our extension is that it allows us to estimate whether where when and how parameter change is occurring our empirical results indicate that the transmission mechanism the volatility of exogenous shocks and the correlations between exogenous shocks are all changing

market reform programmatic de alignment and party system stability in latin america although democratic regimes in latin america since the early 1980s have been surprisingly durable party systems in much of the region continue to experience very high levels of electoral instability a critical juncture approach to institutional change suggests that variation in party system stability is related to the impact of market liberalization in the 1980s and 1990s on the programmatic alignment or dealignment of partisan competition market reforms that were adopted by conservative leaders and opposed by a major leftist rival aligned party systems programmatically allowing societal opposition to be channeled into institutionalized forms of competition that were highly stable in the postadjustment era by contrast bait and switch reforms adopted by populist or leftist leaders were programmatically dealigning for party systems leaving them vulnerable to highly destabilizing reactive sequences in the aftermath to the reform process including mass social protests the demise of historic conservati

increasing returns path dependence and the study of politics it is increasingly common for social scientists to describe political processes as path dependent the concept however is often employed without careful elaboration this article conceptualizes path dependence as a social process grounded in a dynamic of increasing returns reviewing recent literature in economics and suggesting extensions to the world of politics the article demonstrates that increasing returns processes are likely to be prevalent and that good analytical foundations exist for exploring their causes and consequences the investigation of increasing returns can provide a more rigorous framework for developing some of the key claims of recent scholarship in historical institutionalism specific patterns of timing and sequence matter a wide range of social outcomes may be possible large consequences may result from relatively small or contingent events particular courses of action once introduced can be almost impossible to reverse and consequently political development is punctuated by critical moments or junctures that shape the basic contours of social life

optimal food price stabilization in a small open developing country in poor countries most governments implement policies aiming to stabilize the prices of staple foods which often include storage and trade measures insulating their domestic market from the world market it is of crucial importance to understand the precise motivations and efficiency of those interventions because they can have consequences worldwide this paper addresses those issues by analyzing the case of a small open developing country confronted by shocks to both the crop yield and foreign price in this model government interventions may be justified by the lack of an insurance market for food prices considering this market imperfection the authors design optimal public interventions through trade and storage policies they show that an optimal trade policy largely consists of subsidizing imports and taxing exports which benefits consumers at the expense of producers import subsidies alleviate the non negativity of food storage in other words when stocks are exhausted subsidizing imports prevents domestic price spikes one striking result an optimal storage policy on its own is detrimental to consumers since its stabilizing benefits leak into the world market and it raises the average domestic price by contrast an optimal combination of storage and trade policies results in a powerful stabilizing effect for domestic food prices

the pass through effects of oil price shocks on china s inflation a time varying analysis abstract using a time varying parameter structural vector autoregression with stochastic volatility tvp svar sv model we decompose the structural shocks of oil price fluctuations into four types oil supply shocks global demand shocks domestic demand shocks and oil specific demand shocks we then analyze the time varying effects of these oil price shocks on china s inflation at the import production and consumption stages using monthly data from january 1999 to december 2016 the results show that the pass through effects of the four types of oil price shocks on china s inflation at each stage are time varying and that there are significant differences at different time horizons and points in time the analysis of the variance decomposition shows that the effects of oil price shocks on china s inflation at each stage are incomplete and decrease along the price chain the increase in oil prices driven by oil specific demand shocks is the most important cause of china s inflation at the import and production stages during the full sample period while china s inflation at the consumption stage is mainly affected by domestic demand shocks in addition the inflationary effects of oil price shocks have been dramatically weaker since the international financial crisis compared with before the crisis

food versus fuel what do prices tell us abstract sorting out the impacts of biofuels on global agricultural commodity prices is impossible without turning to data and distinguishing between the short run versus the long run impacts using time series prices on fuels and agricultural commodities the aim is to investigate the long run cointegration of these prices simultaneously with their multivariate short run interactions results indicate no direct long run price relations between fuel and agricultural commodity prices and limited if any direct short run relationships in terms of short run price movements sugar prices are influencing all the other agricultural commodity prices except rice with sugar the number one world input for ethanol results indicate increased ethanol production is potentially influencing short run agricultural commodity prices overall results support the effect of agricultural commodity prices as market signals which restore commodity markets to their equilibria after a demand or supply event shock

on the effects of world stock market and oil price shocks on food prices an empirical investigation based on tvp var models with stochastic volatility abstract transmission of price shocks from one market to another one has long been investigated in the economic literature however studies have namely dealt with the relationship between financial and energy markets with the recent changes in market conditions investors policy makers and interest groups are giving special attention to food market this paper aims at analyzing shock transmission between international food energy and financial markets and to provide some insights into the volatility behavior during the past years and discuss its implications for portfolio management to do this we present a new time varying parameter var tvp var model with stochastic volatility approach which provides extreme flexibility with a parsimonious specification we resort also to a generalized vector autoregressive framework in which forecast error variance decompositions are invariant to the variable ordering for the assessment of total and directional volatility spillovers our main findings suggest that volatility spillovers increase considerably during crisis and namely after mid 2008 when stock markets become net transmitter of volatility shocks while crude oil becomes a net receiver shocks to crude oil or msci markets have immediate and short term impacts on food markets which are emphasized during the financial crisis period moreover we show that augmenting a diversified portfolio of food commodities with crude oil or stocks significantly increases its risk adjusted performance

food energy and environment is bioenergy the missing link abstract we study price linkages between the food energy and bioenergy markets a vertically integrated multi input multi output market model allows us to derive testable hypothesis which we test by applying time series analytical mechanisms to nine major traded food commodity prices along with one weighted average world crude oil price the data consists of 939 weekly observations from january 1993 to december 2010 the empirical findings confirm the theoretical hypothesis that the prices for crude oil and food commodities are interdependent a usd 1 barrel increase in oil prices and food commodity prices increase by between usd 0 09 tonne and usd 1 65 tonne

commodity prices interest rates and the dollar this paper sheds light on recent fluctuations in commodity prices we investigate whether a decline in real interest rates and the us dollar contributes to higher commodity prices and whether commodity prices display overshooting behavior in response to changes in real interest rates we analyze the behavior of real prices of crude oil food metals and industrial raw materials the analysis is based on structural var models estimated on quarterly data over the period 1990q1 2007q4 our results suggest that commodity prices increase significantly in response to reductions in real interest rates moreover oil prices and prices of industrial raw materials tend to display overshooting behavior in response to such interest rate changes the evidence also suggests that a weaker dollar leads to higher commodity prices shocks to interest rates and the dollar are found to account for substantial shares of fluctuations in commodity prices

an examination of dynamic hedging abstract i compare garch modeled dynamic hedging strategies with traditional ols modeled strategies to determine which perform better i find that dynamic hedging reduces risk more than static hedging but only slightly this is consistent with some previous findings that more complex hedging methods may not improve the performance much briys and solnik s 1992 static comparison of the macroeconomic and asset specific components of the hedge ratio is extended to a dynamic setting to examine how the relative importance of these two components evolves through time cointegrating relationship between the spot and forward rates in the macroeconomic component is also considered but its effect is minimal the asset specific component has effect in the out of sample period especially under dynamic strategies and under short term hedging horizons

analyzing time varying volatility spillovers between the crude oil markets using a new method abstract the spillover effect is an important factor affecting the volatility of crude oil price basing on the study of diebold and yilmaz 2009 2012 2014 we propose a new method that calculates the time varying volatility spillover indexes by the generalized forecast error variance decomposition of tvp var sv model then using the new method we study the time varying volatility spillovers between four major crude oil markets wti brent oman tapis from november 29 2002 to july 13 2018 by comparing the results of our new method and traditional rolling window method we verify the superiority of our new method the results show that the volatility spillovers calculated by the new method are clearer more stable and not outlier sensitive from the estimated results of time varying volatility spillovers we find that the volatility spillover between crude oil markets is slowly increasing but there are obvious cyclical changes and from the correlation analysis and the granger causality test we find that the volatility and volatility spillovers are positively correlated and are two way granger causality which supported for the market infection hypothesis of king and wadhwani 1990

the impact of biofuels on commodity food prices assessment of findings for years agriculture has provided most of the fuel for vehicular transportation concerns about availability of fuels balance of trade and climate change led to the introduction of biofuel programs in the united states brazil europeanunion eu andothercountries the impacts of these programs and the relationship between the food and fuel markets have become major topics of economic research this paper summarizes the main findings of alternative lines of research on the relationship between the food and fuel markets and identifies gaps and quandaries that warrant further research this is not meant to be a complete survey and it emphasizes several of our studies within the broader literature the paper distinguishes between two bodies of literature one on the relationship between food and fuel prices and another on the impact of the introduction of biofuel on commodity food prices while biofuel prices do not seem to affect food commodity prices we explain why the introduction of biofuel does moreover biofuelshavenotbeenthemostdominant contributor to the recent food price inflation and different biofuels have different impacts

exogenous impacts on the links between energy and agricultural commodity markets abstract the main purpose of this paper is to identify the effects of exogenous factors which have been somewhat controversial on the price links between the energy and agricultural commodity markets our study differs from other studies by employing multivariate normal mixture models to capture the structural properties of the price dependencies in the underlying states this paper investigates price dependencies from both quantitative and structural perspectives by analyzing the overall dependencies and structural heterogeneity in the empirical results we conclude that the global financial crisis is the most influential shock on the price links between energy and agricultural commodities because price links are vulnerable to financial shocks our results also suggest introducing state based analysis to risk management and portfolio diversification across the energy and agriculture markets during times of turmoil

primary commodity prices manufactured goods prices and the terms of trade of developing countries what the long run shows the authors revisit in this article the empirical foundation of the alleged secular decline in the prices of primary commodities relative to those of manufactures they use a newly constructed index of commodity prices and two modified indexes of manufactured good prices and find that from 1900 to 1986 the relative prices of all primary commodities fell on trend by 0 5 percent a year and those of nonfuel primary commodities by 0 6 percent a year they thus confirm the sign but not the magnitude of the trend implicit in the work of prebisch but even the more limited secular decline shown by their relative price indexes may be magnified by an incomplete account of quality improvements in manufactures they then show that the evolution of terms of trade of nonfuel primary commodities is not the same as that of the net barter terms of trade of non oil exporting developing countries finally they find that despite the decline that has probably occurred during the current century in the terms of trade of nonfuel primary commodities the purchasing power of total exports of these products has increased considerably similarly the fall that may have occurred after world war ii in the net barter terms of trade of developing countries seems to have been more than compensated for by the steady improvement in their income terms of trade

party system competition and private sector development in africa abstractdemocratic transitions by many african countries have generated much analysis of the organisational features of political parties or their role in voter mobilisation during elections yet scholars have largely overlooked how parties negotiate economic policymaking or interact with the private sector in countries that are incipient democracies and emerging markets this article argues that the stability or fragmentation of the party system affects patterns of private sector development and shapes linkages between the state business and labour it compares mozambique and zambia to demonstrate how variations in party system characteristics influence the relationship between economic and political interests

speculation and volatility spillover in the crude oil and agricultural commodity markets a bayesian analysis this paper assesses factors that potentially influence the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets stochastic volatility models are applied to weekly crude oil corn and wheat futures prices from november 1998 to january 2009 model parameters are estimated using bayesian markov chain monte carlo methods speculation scalping and petroleum inventories are found to be important in explaining the volatility of crude oil prices several properties of crude oil price dynamics are established including mean reversion an asymmetry between returns and volatility volatility clustering and infrequent compound jumps we find evidence of volatility spillover among crude oil corn and wheat markets after the fall of 2006 this can be largely explained by tightened interdependence between crude oil and these commodity markets induced by ethanol production

volatility spillover between oil and agricultural commodity markets abstract this study examines volatility transmission between oil and selected agricultural commodity prices wheat corn soybeans and sugar we apply the newly developed causality in variance test and impulse response functions to daily data from 01 january 1986 to 21 march 2011 in order to identify the impact of the food price crisis the data are divided into two sub periods the pre crisis period 01 january 1986 to 31 december 2005 and the post crisis period 01 january 2006 21 march 2011 the variance causality test shows that while there is no risk transmission between oil and agricultural commodity markets in the pre crisis period oil market volatility spills on the agricultural markets with the exception of sugar in the post crisis period the impulse response analysis also indicates that a shock to oil price volatility is transmitted to agricultural markets only in the post crisis period this paper thereby shows that the dynamics of volatility transmission changes significantly following the food price crisis after the crisis risk transmission emerges as another dimension of the dynamic interrelationships between energy and agricultural markets

political parties and uncertainty in developing democracies this article lays out a theoretical framework for understanding the effects of political uncertainty on party development and strategies of mobilization and competition defining uncertainty as the imprecision with which political actors are able to predict future interactions the authors identify three types of political uncertainty regime uncertainty economic uncertainty and institutional uncertainty they argue that political uncertainty is particularly high among developing democracies contributing to puzzling empirical patterns of party development and competition in these contexts taking into account the role of uncertainty in the strategic decision making of party elites will help scholars better understand the differences between parties in advanced and developing democracies but it can also help scholars understand the less dramatic differences between parties even within advanced democracies the authors theoretical framework can be applied broadly since uncertainty informs the strategic

crisis and convergence how the combination of a weak economy and mainstream party ideological de polarization fuels anti system support when do radical parties gain support previous studies cite the economy and mainstream party ideological convergence as important responding to earlier inconsistent findings i provide evidence fo

the impact of exchange rates and developing country debt on commodity prices a major feature of the international economy over the past decade has been the swings in the value of the us dollar the dollar fell to a historically low level in the late i970s but rose sharply over the period i982 4 by the beginning of i985 the dollar was generally considered to be over valued by between 2o and 40 since i985 there has been a depreciation of over one third these wide fluctuations in the value of the dollar have had implications for all major traded goods this paper focuses on the effects of changes in the value of the dollar on primary commodity prices and possible interactions between ldc indebtedness and these effects a rise fall in the value of the dollar must be expected to result in a fall rise in dollar commodity prices ridler and yandle i972 proposed a simple comparative static single commodity model to analyse the effects of exchange rate changes on the price of an individual primary commodity they showed that the commodity price change would be given by the change in an appropriately weighted exchange rate index write the price of commodityj as

how does petroleum price and corn yield volatility affect ethanol markets with and without an ethanol use mandate the recent increase in ethanol use in the us strengthens and changes the nature of links between agricultural and energy markets here we explore the interaction of market volatility and the scope for policy to affect this interaction with a focus on how corn yields and petroleum prices affect ethanol prices mandates associated with new us energy legislation may intervene in these links in the medium term future we simulate stochastically a structural model that represents these markets and that includes mandates in order to assess how shocks to corn or oil markets can affect ethanol price and use we estimate that the mandate makes ethanol producer prices more sensitive to corn yields and less sensitive to changes in petroleum prices overall we note a discontinuity in these links that is caused by the mandate ethanol use can exceed the mandate if petroleum prices and corn yields are high enough but the mandate limits downside adjustments in ethanol use to low petroleum prices or corn yields

a short note on updating the grilli and yang commodity price index the grilli and yang commodity price index is one of the most widely used commodity price series in the applied economics literature this note provides some practical advice on updating this data series by listing the base period index values identifying relevant data sources and describing a method for computing subindex weights in 1988 enzo grilli and maw cheng yang published their seminal article on the long run development of an index of 24 primary commodity prices gycpi deflated by an index of manufactured goods unit values the sample of average annual primary commodity prices covers about 54 percent of the primary commodity trade in the index reference period 1977 79 the deflators considered for manufacturing prices were the u s manufacturing price index usmpi and the manufacturing unit value index muv 1widely used and discussed the grilli and yang data set has been extended by a number of researchers the data have been employed in a variety of contexts in later studies thus the gycpi data continue to enjoy wide popularity in their own right and as a benchmark for new approaches to empirical studies

optimal food price stabilisation policy this paper proposes a framework for designing optimal food price stabilisation policies in a self sufficient developing country it uses a rational expectations storage model with risk averse consumers and incomplete markets government stabilises food prices by carrying public stock and by applying a state contingent subsidy tax to production the policy rules are designed to maximise intertemporal welfare the optimal policy under commitment crowds out all private stockholding activity by removing the profit opportunity from speculation the countercyclical subsidy tax to production helps price stabilisation by subsidising production in periods of scarcity and by taxing it in periods of glut it contributes little to welfare gains most of which come from stabilisation achieved through public storage

what drives commodity prices this paper examines common forces driving the prices of 51 highly tradable commodities we demonstrate that highly persistent movements of these prices are mostly due to the first common component which is closely related to the us nominal exchange rate in particular our simple factor based model outperforms the random walk model in out of sample forecast for the us exchange rate the second common factor and de factored idiosyncratic components are consistent with stationarity implying short lived deviations from the equilibrium price dynamics in concert these results provide an intriguing resolution to the apparent inconsistency arising from stable markets with nonstationary prices

commodity prices and growth in africa a frican economies export primary commodities and most export little else policymakers as well as economists and historians of african economic development have seen these exports as both a hope and a curse the following parable tells the story once upon a time a servant of the ruler discovered a miraculous plant which grew readily in that country and whose seeds could be woven into fine cloth so desirable was this fabric that it became prized all over the world and fetched a high price after two score years the plant accounted for most of the country s trade with the world the ruler ordered the peasants to grow the plant paid them only a fraction of its price and he and his nobles became fabulously wealthy because the ruler wished to be remembered as a great ruler and as the father of his country he used his wealth to build a great army and brought machines from foreign countries to make the fine goods that previously could only be obtained from foreign merchants but the machines often broke down and the goods that they made were of poor quality and after the ruler died they were left to rust under the ruler s successor there was a war in a foreign land where the plant also grew so that there was a great shortage and its price increased threefold in only three seasons the new ruler spent his newfound riches on fantastic extravagance while immense sums were expended on public works after the manner of the east and on productive works carried out in the wrong way or too soon not even the threefold increase in prices could support these expenditures and the country soon found itself deeply in debt when the war ended and the price fell the country could no longer pay the interest on its debt or borrow more money even after it had sold its only useful public work to a foreign power so that power sent a mission to the country the publication of whose report from which the above

modeling asymmetric comovements of asset returns existing time varying covariance models usually impose strong restrictions on how past shocks affect the forecasted covariance matrix in this article we compare the restrictions imposed by the four most popular multivariate garch models and introduce a set of robust conditional moment tests to detect misspecification we demonstrate that the choice of a multivariate volatility model can lead to substantially different conclusions in any application that involves forecasting dynamic covariance matrices like estimating the optimal hedge ratio or deriving the risk minimizing portfolio we therefore introduce a general model which nests these four models and their natural asymmetric extensions the new model is applied to study the dynamic relation between large and small firm returns article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies