conditional dependence structure between oil prices and exchange rates a copula garch approach abstract we study the conditional dependence structure between crude oil prices and u s dollar exchange rates using a copula garch approach various copula functions of the elliptical archimedean and quadratic families are used to model the underlying dependence structure in both bearish and bullish market phases over the 2000 2011 period we find evidence of significant and symmetric dependence for almost all the oil exchange rate pairs considered the rise in the price of oil is found to be associated with the depreciation of the dollar moreover we show that student t copulas best capture the extreme dependence and that taking the extreme comovement into account leads to improve the accuracy of var forecasts our main results remain unchanged when considering alternative garch type specifications and the crisis period but are sensitive to the use of raw returns

the effects of scarcity on cheating and in group favoritism abstract we study the impact of scarcity on cheating and in group favoritism using a two period lab in the field experiment with low income coffee farmers in a small isolated village in guatemala during the coffee harvesting months farmers in this village experience a significant income boost from selling their coffee beans however during the non harvesting months they experience a substantial decline in income inducing a pronounced state of scarcity while other factors remain similar using this distinctive variance in income we first conduct our experiment before the coffee harvest scarcity period we then repeat the experiment with the same group of subjects during the harvest season abundance period first using the fischbacher and follmi heusi 2013 die roll paradigm we find that subjects cheat at high levels in both periods when they are the beneficiaries of the cheating scarcity does not impact this cheating behavior secondly using subjects natural village identity we find significant in group favoritism for cheating in the abundance period which disappears during the scarcity period finally using a dictator game we show that this finding holds even when the cost of favoring an in group member is monetary rather than moral

behavioural development economics lessons from field labs in the developing world abstract explanations of poverty growth and development depend on the assumptions made about individual preferences and the willingness to engage in strategic behaviour economic experiments especially those conducted in the field have begun to paint a picture of economic agents in developing communities that is at variance with the traditional portrait we review this growing literature with an eye towards preference related experiments conducted in the field we also offer lessons on what development economists might learn from experiments we conclude by sharing our thoughts on how to conduct experiments in the field and then offer a few ideas for future research

individual risk attitudes measurement determinants and behavioral consequences this paper studies risk attitudes using a large representative survey and a complementary experiment conducted with a representative subject pool in subjects homes using a question asking people about their willingness to take risks in general we find that gender age height and parental background have an economically significant impact on willingness to take risks the experiment confirms the behavioral validity of this measure using paid lottery choices turning to other questions about risk attitudes in specific contexts we find similar results on the determinants of risk attitudes and also shed light on the deeper question of stability of risk attitudes across contexts we conduct a horse race of the ability of different measures to explain risky behaviors such as holdings stocks occupational choice and smoking the question about risk taking in general generates the best all round predictor of risky behavior

is protection for sale evidence on the grossman helpman theory of endogenous protection grossman and helpman 1994 present a theory of endogenous protection by explicitly modeling government industry interactions for which mere black box models previously existed they obtain a ramsey pricing type solution to the provision of protection which emphasizes the role of inverse import penetration ratios and import elasticities on the lobbying side the model makes predictions about lobbying competition and lobbying spending according to deadweight costs from protection the model not only makes for richer theory in terms of rigor and elegance but its predictions are directly testable whether the grossman helman model stands up to real world data is investigated in this paper predictions from both the protection side and lobbying side are tested using cross sectional u s nontariff barrier data we also compare the second generation grossman helpman model with a more traditional specification our results call for serious consideration of this model in the political economy literature

health shocks and risk aversion we empirically assess whether a health shock influences individual risk aversion we use grip strength data to obtain an objective health shock indicator in order to account for the non random nature of our data regression adjusted matching is employed risk preferences are traditionally assumed to be constant however we find that a health shock increases individual risk aversion the finding is robust to a series of sensitivity analyses and persists for at least four years after the shock income changes do not seem to be the driving mechanism

effects of household shocks on risk preferences and loss aversion evidence from upland smallholders of south east asia avoiding risk in financial decisions is credited to be a key contributor to persistent poverty and poverty traps in spite of this the methods used to measure behaviour under risk rarely reflect a

market access for sale abstract this paper focuses on the links between foreign lobbying and preferential market access granted by the united states government to exporters in the rest of the americas we first develop a simple framework based on grossman and helpman grossman g helpman e 1994 protection for sale american economic review 84 4 833 850 to explain how lobbying by foreign firms affects their preferential access to the united states market we then estimate the model using data on tariff preferences and lobby contributions for the 34 countries in the region empirical results suggest that foreign lobbying is an important force behind preferential market access to the united states the structural estimates indicate that the weight given to foreign lobby contributions in the united states government objective function is five times higher than the weight granted to tariff revenue forgone due to preferences thus our results indicate that market access is up for sale and foreign lobbies are buying it

u s multinationals and preferential market access this paper examines the relationship between oshoring activity by u s multinational rms and the structure of u s trade preferences we combine rm level panel data on u s foreign aliate activity from the u s bureau of economic analysis bea with detailed measures of u s trade preferences from the u s international trade commission usitc to create a three way panel that spans 80 industries 184 countries and ten years 1997 2006 consistent with existing theory we nd that o shoring and preferential market access are positively and consistently correlated both in the pooled sample and within countries industries and years using both instru mental variables and simultaneous equations approaches to address the endogeneity of export oriented foreign investment we nd that a 10 increase in u s foreign aliate exports to the u s from a particular industry and country is associated with a 4 per centage point increase in the rate of preferential duty free access restricting attention to the generalized system of preferences gsp among potentially eligible develop ing countries we nd that the inuence of multinational aliate sales on preferential market access more than triples

high frequency volatility connectedness between the us crude oil market and china s agricultural commodity markets abstract this paper investigates the realised volatility connectedness of us crude oil futures and five china s agricultural commodity futures using connectedness measures and high frequency data time varying volatility connectedness characteristics are identified by combining a multivariate heteroscedastic autoregressive har model with the dcc garch model the results verify the existence of volatility spillover from the us crude oil market to china s agricultural commodity markets although the magnitude of this spillover is weak furthermore the realised volatility is decomposed into positive and negative components to identify the asymmetric effect of volatility connectedness the results show that market interdependence has obviously increased for negative volatility relative to positive volatility implying that volatility transmission has a leverage effect across markets

protection versus free trade lobbying competition between domestic and foreign firms this article considers how political interaction between policymakers and domestic and foreign firms endogenously determines tariff rates we show that because of lobbying competition between foreign and domestic firms even a less competitive foreign firm can successfully elicit a tariff reduction under reasonable conditions moreover lobbying competition may also increase the level of aggregate domestic welfare when the market powers of the competing firms are sufficiently alike

modeling returns and volatility transmission between oil price and us nigeria exchange rate article i nfo this paper models returns and volatility transmission between oil price op and us nigeria exchange rate exr consequently it provides five main innovations i it analyzes op and exr using the recently devel oped test by narayan and popp 2010 np which allows for two structural breaks in the data series ii it employs the narayan and liu 2011 nl garch unit root test to evaluate robustness of np test iii it con siders the newly developed var garch model to capture the spillover effects in the returns and volatility of op and exr iv it modifies the var garch model to account for structural breaks obtained from the np procedure and v using the results obtained from the var garch model it examines the optimal weights of holding oil and foreign exchange fx assets and also computes the hedging ratios in the presence of oil risk based on the np and nl tests it finds robust structural breaks that coincide with the period of global fi nancial crisis as well as period of fx crisis in nigeria also it establishes a bidirectional returns and spillover transmission between oil and fx markets finally its findings reveal evidence of hedging effectiveness involving oil and fx markets in nigeria and thus the inclusion of oil into a diversified portfolio of fx will improve its risk adjusted return performance

oil prices and the rise and fall of the us real exchange rate abstract questions of the relative importance of real vs monetary shocks in explaining exchange rate movements still have no widely accepted answer despite their importance both for the research agenda and for policy questions we examine this issue using a variety of empirical techniques for the us effective exchange rate we find that a stable link exists between oil price shocks and the us real effective exchange rate over the post bretton woods period the results suggest that oil prices may have been the dominant source of persistent real exchange rate shocks and that energy prices may have important implications for future work on exchange rate behavior

do social protection transfers reduce poverty and vulnerability to poverty in pakistan household level evidence from punjab empirical studies in different developing countries have investigated the impact of social protection sp on ex post poverty however few studies analysed the impact of sp on ex ante vulnerability to poverty vtp this paper contributes to the literature by evaluating the impact of sp on vulnerability to poverty vtp and poverty rates among households in the punjab province of pakistan a hierarchical modelling approach is used to analyse the multiple indicator cluster survey mics 2011 data of about 90 000 households matching methods and simultaneous endogenous switching regression are used to control for potential selection bias and estimate average treatment effects our results show that sp has a positive impact in reducing household poverty and vtp but this impact is mainly driven by a short term flood relief cash transfer programme pension of government employees and households regular purchase from utility store network

protection for sale in a developing country democracy vs dictatorship for a genuine small open economy that has experienced both dictatorship and democracy we find support for the predictions of the grossman helpman 1994 protection for sale model in contrast to previous studies we use various protection measures including tariffs the direct measure of the theoretical model and perform both single year and panel regressions using turkish industry level data the government s weight on welfare is estimated to be much larger than that on contributions more importantly we find that this weight is generally higher for the democratic regime than for dictatorship

protection for sale an empirical investigation comment do contributions levels matter for endogenous protection or is the existence of a lobby sufficient are lobbies net benefits from protection identical to their contribution levels or does the level of protection simply reflect contribution levels of supporters and opponents we estimate the influence driven grossman and helpman 1994 and the tariff function findlay and wellisz 1982 models within a unified theoretical framework to examine the contrasting implications derived from these two prominent tariff formation models we find strong evidence that protection is indeed for sale the important new result is however that not only the existence of lobbies matters but also the relative size of the sectoral pro and anti protection contributions using j tests to compare the power of the models directly we cannot reject the null of correct specification of the influence driven model and find evidence of some misspecification in the tariff function model

direct evidence on risk attitudes and migration geographic mobility is important for the functioning of labor markets because it brings labor resources to where they can be most efficiently used it has long been hypothesized that individuals migration propensities depend on their attitudes towards risk but the empirical evidence to the extent that it exists has been indirect in this paper we use newly available data from the german socio economic panel to measure directly the relationship between migration propensities and attitudes towards risk we find that individuals who are more willing to take risks are more likely to migrate between labor markets in germany this result is robust to stratifying by age sex education national origin and a variety of other demographic characteristics as well as to the level of aggregation used to define geographic mobility the effect is substantial relative to the unconditional migration propensity and compared to the conventional determinants of migration we also find that being more willing to take risks is more important for the extensive than for the intensive margin of migration

oil prices and real exchange rates in this paper we investigate the long run relationship between real oil prices and real exchange rates by using a monthly panel of g7 countries from 1972 1 to 2005 10 we first test whether exchange rates are cointegrated with real oil prices it is shown that real oil prices may have been the dominant source of real exchange rate movements and that there is a link between real oil prices and real exchange rates we then examine the ability of real oil prices to forecast future real exchange returns panel predictive regression estimates suggest that real oil prices have significant forecasting power the out of sample prediction performances demonstrate greater predictability over longer horizons

crude oil prices and exchange rates causality variance decomposition and impulse response abstract this paper examines the short run and long run dynamic relationship between the u s imported crude oil prices and exchange rates the monthly data of the u s crude oil imports from five source countries during january 1996 and december 2009 are examined empirical results indicate that the exchange rates granger caused crude oil prices in the short run while the crude oil prices granger caused the exchange rates in the long run furthermore oil prices were affected by the exchange rate changes at a minimal level however in the medium run and the long run oil price shocks had a significant impact on exchange rate changes exchange rate shock has a significant negative impact on crude oil prices while the impulse response of the exchange rate variable to a crude oil price shock was statistically insignificant finally the impact of extreme price volatility in june 2008 on exchange rates was significant when world oil prices are stabilized currency fluctuations and uncertainty can be minimized

are risk aversion and impatience related to cognitive ability is the way that people make risky choices or tradeoffs over time related to cognitive ability this paper investigates whether there is a link between cognitive ability risk aversion and impatience using a representative sample of the population and incentive compatible measures we conduct choice experiments measuring risk aversion and impatience over an annual time horizon for a randomly drawn sample of roughly 1 000 german adults subjects also take part in two different tests of cognitive ability which correspond to sub modules of one of the most widely used iq tests interviews are conducted in subjects own homes we find that lower cognitive ability is associated with greater risk aversion and more pronounced impatience these relationships are significant and robust to controlling for personal characteristics educational attainment income and measures of credit constraints we perform a series of additional robustness checks which help rule out other possible confounds

transient poverty poverty dynamics and vulnerability to poverty an empirical analysis using a balanced panel from rural china china s economic reforms starting in the late 1970s have resulted in rapid economic growth with annual growth in gross domestic product averaging greater than 10 percent per year for more than thirty years accompanying this rapid growth in national accounts have been rapid and widespread reductions in poverty with these reductions in poverty however there has often been observed an increase in income inequality both between as well as within rural and urban sectors this rising income gap challenges the notion that economic reforms in china have been as successful as the poverty statistics would suggest in this paper we suggest that an alternative view would be to consider the effects of these reforms on changing the chronic nature of poverty and reducing household vulnerability to poverty using a balanced panel from rural china from 1991 through 2006 we find that most poverty among our sample has shifted from being chronic in nature to being transient with households either shifting into a state of being non poor moving in and out of poverty among our sample vulnerability to poverty has been declining over time but the declines are not uniform over time or space we decompose household vulnerability status into two proximate causes low expected income and high income variability finding vulnerability increasingly due to income variability additionally we demonstrate that vulnerable households have very different characteristics than non vulnerable households

the role of importers and exporters in the determination of the u s tariff preferences granted to latin america abstract this paper investigates the role played by domestic importers and foreign exporters in improving preferential access to the domestic market to this end the framework used in this paper extends the protection for sale analysis to explicitly model the role of domestic importers and foreign exporters in the determination of preferential trade treatment the predictions of the model are tested using data on preferential trade between the united states and latin american countries the results suggest that latin american exporters and us importers lobbying efforts have a significant and important role in determining the extent of preferential access granted by the united states more interestingly these findings also show that u s importers capture a very substantial share of the rents generated by tariff preferences these results therefore shed a pessimistic view on preferential trade schemes as a reliable source of gains for developing countries

a comparison of optimal tariffs and welfare under no lobbying domestic lobbying and domestic foreign lobbying whether and what type of the lobbying induced trade policies can improve the domestic welfare we show that as compared to the case of no lobbying and the case of domestic lobbying the domestic foreign lobbying may achieve the lowest tariff and may also realise the highest welfare for the domestic country our finding provides a theoretical explanation to the prevalent lobbying competition between asian firms and us firms in usa recently we argue that the domestic foreign lobbying may contribute to a freer trade in the domestic country and lobbying competition may be one of the strongest forces pushing for trade liberalisation

who should be interviewed in surveys of household income summary this study tests the null hypothesis that it is sufficient to interview only the household head to obtain accurate information on household income results show that using a husband s estimate of his wife s income does not produce statistically reliable results for poverty analysis estimates of the wife s income provided by the husband and wife are in agreement in only 6 of households while limiting interviews to one person has the advantage of reducing the time and expense of household surveys this appears detrimental in terms of accuracy and may lead to incorrect conclusions on the determinants of poverty

oil price fluctuations and u s dollar exchange rates adding oil prices to the monetary model of exchange rates we find that oil prices significantly explain movements in the value of the u s dollar usd against major currencies from the 1970s to 2008 our long run and forecasting results are remarkably consistent with an oil exchange rate relationship increases in real oil prices lead to a significant depreciation of the usd against net oil exporter currencies such as canada mexico and russia on the other hand the currencies of oil importers such as japan depreciate relative to the usd when the real oil price goes up

nonlinear causality between crude oil price and exchange rate a comparative study of china and india while several studies have examined the linear causal relationship between oil prices and exchange rates little is known about the nonlinear causality between these two variables the present paper tries to fill this research gap in the context of india and china by applying the hiemstra and jones 1994 nonlinear granger causality test to the var residuals the study finds a significant bi directional nonlinear granger causality between oil prices and exchange rates in both countries the findings suggest that the nonlinearity of oil price influences the exchange rate irrespective of the exchange rate regimes further to check robustness the persistence in the variance of oil price and exchange rate is taken into account using a garch 1 1 model while the results consistently hold in the case of india with respect to china a unidirectional causality runs from exchange rate to oil price however the oil price in china does not granger cause exchange rate

shocks and agricultural investment decisions abstract this study explores the impact of weather shocks on the investment decisions of farmers we distinguish between the long term effect of exposure to weather shocks measured as past exposure to deviations in average rainfall levels and the effect of weather related shocks that have recently occurred we examine how households cope with shocks in the short term in terms of consumption smoothing and the depletion of liquid assets and whether over the longer term shock exposure impacts on household investment decisions and welfare our results show that households on average manage to smooth consumption in the face of recent shocks by depleting savings and borrowing over the longer term households that are exposed to shocks invest less in productive assets leading to lower consumption levels moreover the investment strategies of these households do not appear to pay off once additional shocks occur later on

on the intraday dynamics of oil price and exchange rate what can we learn from china and india abstract the main aim of this paper is to investigate the volatility determinants of crude oil and foreign exchange markets and jump spillover between them we consider currencies of two major oil importing countries india and china over the sample period of january 1 2013 to october 31 2019 we find evidence of positive return spillover from the oil to the foreign exchange market however there is a lack of return spillover in the other direction oil jumps appear to have a negative impact on exchange rate conditional volatility and the latter responds asymmetrically to disentangled positive and negative oil price jumps we also report disentangled exchange rate jumps significant impact on conditional oil price volatility these results however are asymmetric based on the nature of jumps and alternative oil price series finally we do not find evidence of co jump between the oil and foreign exchange markets these results have important implications for investors and policymakers

how do dynamic responses of exchange rates to oil price shocks co move from a time varying perspective abstract with globalization and financialization exchange rates could be sensitive to oil price shocks due to differences of exchange rate policy oil dependence status and other factors the responses of exchange rates to oil price shocks could be either similar or heterogeneous therefore in this paper we integrate a hybrid research framework to investigate the co movement of responses to oil price shocks of four major exchange rate of currencies included in the special drawing rights basket from january 2000 to september 2018 from a time varying aspect and considering the asymmetric effect of the oil price shocks the main results are as follows compared with the general oil price shocks unexpected oil price shocks could have greater influence on currency markets over time with the asymmetric effect happening only when extreme market situations and unexpected oil price shocks appear simultaneously pairwise exchange rates tend to move in either a negatively or a positively similar way rather than in an unrelated manner in 50 of the sampled market time the co movement situation of exchange rates response could be captured by specific small numbers of co movement modes with the euro us dollar usd and great british pound usd tending to co move in more stable manner and having the potential to serve as an early warning of risk while other pairwise exchange rates are characterized by time varying features

shocks individual risk attitude and vulnerability to poverty among rural households in thailand and vietnam summary we examine whether the experience of shocks influences individual risk attitude we measure the risk attitude of more than 4 000 households in thailand and vietnam via a simple survey item the experience of adverse shocks which is typical for poor and vulnerable households is related to a higher degree of risk aversion even when controlled for a large set of socio demographic variables therefore shocks perpetuate vulnerability to poverty via their effect on risk attitude we extend this general finding to various categories of shocks and find differences between thailand and vietnam this suggests that risk coping strategies profit from case specific design

poverty and economic decision making evidence from changes in financial resources at payday we study the effect of financial resources on decision making low income u s households are randomly assigned to receive an online survey before or after payday the survey collects measures of cognitive function and administers risk and intertemporal choice tasks the study design generates variation in cash checking and savings balances and expenditures before payday participants behave as if they are more present biased when making intertemporal choices about monetary rewards but not when making intertemporal choices about non monetary real effort tasks nor do we find before after differences in risk taking the quality of decision making the performance in cognitive function tasks or in heuristic judgments

can poor countries lobby for more us bilateral aid summary this article explores if countries can lobby the us government for the allocation of us bilateral foreign aid we consider an informational lobby model where lobbying has two effects first a direct effect by informing us policymakers about their countries needs second an indirect effect on policymakers by informing them about common interests in economic or geopolitical terms the lobbyist thus influences the decisions about the allocation of aid resources we estimate the effect of the recipient country s lobbying agents in obtaining foreign aid the econometric results show that lobbying positively affects the amount of bilateral aid received

a pair wise analysis of the law of one price evidence from the crude oil market abstract this paper applies a pairwise approach to investigate the validity of the law of one price in the crude oil markets price differentials appear smaller between crude oil pairs with similar physical chemical characteristics and also for pairs within opec

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

oil and us dollar exchange rate dependence a detrended cross correlation approach abstract this paper examines the relationship between oil prices and the us dollar exchange rate using detrended cross correlation analysis for a wide set of currencies in the periods before and since the onset of the recent global financial crisis we characterized the oil price exchange rate relationship at different time scales and documented two main findings first the cross correlation analysis indicated that oil price exchange rate correlations were negative and low having in general lower values for longer time scales second negative dependence between oil and the us dollar increased after the onset of the global financial crisis for all time scales thereby providing evidence of both contagion and interdependence this empirical evidence has important implications for monetary and fiscal policies asset management and risk assessment

on the economics of state lotteries s tate lotteries can be evaluated from either of two perspectives familiar to economists as a consumer commodity or as a source of public revenue l as a commodity the lottery is notable for its broad market penetration and rapid growth sixty percent of the adults in lottery states play at least once in a year the annual growth in real per capita sales in lottery states has averaged 12 percent rising in 1989 dollars from 22 in 1975 to 108 in 1989 as a source of public revenue lotteries account for a rather modest fraction of revenue in states that run them 3 3 percent in 1986 but they are nonetheless one of the most visible state government activities lottery sales exceed those of all other products sold directly by state governments to the public and are larger than all but three major activities of state government education public welfare and highways clotfelter and cook 1989 table 2 5 moreover lotteries are a qualitatively new activity for state governments in that they are a business operated in effect for profit state liquor stores are perhaps the closest analog but they were created to encourage temperate drinking practices and do not engage in the sales promotion and marketing activities that are characteristic of the lotteries lotteries enjoy an honored place in american history as a device for raising funds for public purposes funding for such institutions as the jamestown settlement harvard college and the continental army as well as hundreds of bridges fire houses and schools came from lotteries but after the

poverty risk aversion and path dependence in low income countries experimental evidence from ethiopia in most low income countries rural households depend on mixed rain fed agriculture livestock production which is very risky due to numerous market failures there are few ways to shift risks to third parties the literature has focused on what determines the responses of households in such environments of special concern are path dependencies in which households experiencing failure are prone to further failure and potential poverty traps this paper estimates levels and determinants of risk aversion in the highlands of ethiopia we find high risk aversion and evidence that constraints have important impacts on risk averting behavior with perhaps significant implications for long term poverty the results also suggest the possibility of path dependence and offer insights into links between risk aversion and poverty traps copyright 2009 oxford university press

rationalist explanations for war realist and other scholars commonly hold that rationally led states can and sometimes do fight when no peaceful bargains exist that both would prefer to war against this view i show that under very broad conditions there will exist negotiated settlements that genuinely rational states would mutually prefer to a risky and costly fight popular rationalist and realist explanations for war fail either to address or to explain adequately what would prevent leaders from locating a less costly bargain essentially just two mechanisms can resolve this puzzle on strictly rationalist terms the first turns on the fact that states have both private information about capabilities and resolve and the incentive to misrepresent it the second turns on the fact that in specific strategic contexts states may be unable credibly to commit to uphold a mutually preferable bargain historical examples suggest that both mechanisms are empirically plausible

risk attitudes and economic well being in latin america abstract a common conjecture in both the theoretical and policy literatures on development is that people remain poor because they are too impatient and risk averse to accumulate the resources needed to improve their well being the empirical literature however suggests that this conjecture is far from proven we sample more than 3000 participants drawn representatively from six latin american cities and find little correlation between baseline risk aversion and well being measured as an index of eight outcomes we do however find that measures of ambiguity aversion loss aversion and the willingness to take advantage of a risk pooling scheme all correlate with well being participants who are ambiguity averse loss averse and who react conservatively in the risk pooling condition all have significantly lower scores on our well being index these results are robust to the inclusion of a variety of important controls like human capital accumulation and access to credit

understanding the oil price exchange rate nexus for the fiji islands in this paper we examine the relationship between oil price and the fiji us exchange rate using daily data for the period 2000 2006 we use the generalised autoregressive conditional heteroskedasticity garch and exponential garch egarch models to estimate the impact of oil price on the nominal exchange rate we find that a rise in oil prices leads to an appreciation of the fijian dollar vis a vis the us dollar

growth and risk methodology and micro evidence how exposure to risk affects economic growth is a key issue in development this article quantifies both the ex ante and ex post effects of risk using long running panel data for rural households in zimbabwe it proposes a simulation based econometric methodology to estimate the structural form of a micro model of household investment decisions under risk the key finding is that risk substantially reduces growth in this particular setting the mean capital stock in the sample is in expectation 46 percent lower than in the absence of risk about two thirds of the impact of risk is due to the ex ante effect that is the behavioral response to risk which is usually not taken into account in policy design these results suggest that policy interventions that reduce exposure to shocks or that help households manage risk could be much more effective than is commonly thought

does exchange rate management affect the causality between exchange rates and oil prices evidence from oil exporting countries abstract the bi directional causality between exchange rates and oil prices of oil exporting countries has been widely investigated since the oil crisis in the 1970s the classical theoretical framework assumes that countries adopt free floating exchange rate arrangements and empirical studies seldom consider exchange rate restrictions when investigating oil exporters that always manage exchange rates to address these limitations this study designs a comparative analysis for three groups of oil exporting economies that adopt different foreign exchange rate policies the analysis aims to examine whether and how intervention behavior may distort the causal relationship between exchange rates and oil prices we first show the non linear causality relationships for countries with free floating exchange rate arrangements in both long and short terms then we establish how the managed floating policy can eliminate the impact of oil prices on exchange rates in bull markets but fail to prevent exchange rate depreciation in bear markets in bear markets a negative non linear feedback from exchange rates to oil prices prevails in these countries however contrary to common wisdom the strict soft pegged exchange rate arrangement cannot remove all the linkages between exchange rates and oil prices a small but significant response of exchange rates toward oil prices is detected for kuwait and saudi arabia a similar effect for kazakhstan is only found in bear markets in addition this study re investigates the relationship between exchange rate and the domestic currency price of oil the conclusions are similar except that the relationship is weakened in free floating countries but strengthened in managed floating countries during the bear market periods

risk aversion wealth and background risk we use household survey data to construct a direct measure of absolute risk aversion based on the maximum price a consumer is willing to pay for a risky security we relate this measure to consumer s endowments and attributes and to measures of background risk and liquidity constraints we find that risk aversion is a decreasing function of the endowment thus rejecting cara preferences we estimate the elasticity of risk aversion to consumption at about 0 7 below the unitary value predicted by crra utility we also find that households attributes are of little help in predicting their degree of risk aversion which is characterized by massive unexplained heterogeneity we show that the consumer s environment affects risk aversion individuals who are more likely to face income uncertainty or to become liquidity constrained exhibit a higher degree of absolute risk aversion consistent with recent theories of attitudes toward risk in the presence of uninsurable risks jel d1 d8

protection for sale or surge protection this paper asks whether the results obtained from using the standard approach to testing the influential grossman and helpman protection for sale pfs model of political economy might arise from a simpler setting a model of imports and quotas with protection occuring in response to import surges but only for organized industries is simulated and shown to provide parameter estimates consistent with the protection for sale framework this suggests that the standard approach may be less of a test than previously thought

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

choice under uncertainty evidence from ethiopia india and uganda we review experimental evidence collected from risky choice experiments using poor subjects in ethiopia india and uganda using these data we estimate that just over 50 of our sample behaves in accordance with expected utility theory and that the rest subjectively weight probability according to prospect theory our results show that inferences about risk aversion are robust to whichever model we adopt when we estimate each model separately however when we allow both models to explain portions of the data simultaneously we infer risk aversion for subjects behaving according to expected utility theory and risk seeking behaviour for subjects behaving according to prospect theory

the econometrics of panel data handbook of theory and applications preface 1 formulation and estimation of econometric models for panel data m nerlove p balestra part i linear models 2 introduction to linear models for panel data p balestra 3 fixed effect models and fixed coefficient models p balestra 4 error components models l matyas 5 random coefficients models cheng hsiao 6 linear dynamic models p sevestre a trognon 7 simultaneous equations j krishnakumar 8 panel data with measurement error e biorn 9 specification issues b h baltagi appendix matrix algebra for linear models part ii nonlinear models 10 introduction to nonlinear models c gourieroux 11 logit and probit models cheng hsiao 13 incomplete panels and selection bias m verbeek t nijman 14 pseudo panel data m verbeek 15 point processes j p florens d fougere part iii selected applications introduction to the applications z griliches 16 dynamic labour demand models g bresson f kramarz p sevestre 17 econometric models of company investment r blundell s bond c meghir 18 consumption dynamics and panel data a survey j m robin 19 estimation of labour supply functions using panel data a survey f laisney w pohlmeier m staat 20 individual labour market transitions d fougere t kamionka 21 modelling companies divident policy using account panel data j f malecot 22 software review p blanchard index

changes in background risk and risk taking behaviour economic decision making under uncertainty often takes place in the presence of multiple risks and in markets that are less than complete as a consequence choices about endogenous risks sometimes must be made while simultaneously facing one or more immutable exogenous background risks that are not under the control of the agent and that are independent of endogenous risks it is somehow natural to assume that an exogenous deterioration in background wealth will cause an individual to take more care elsewhere if we define a deterioration for example as making the individual poorer by removing a fixed amount of initial wealth we know from pratt 1964 that decreasing absolute risk aversion dara of an individual s von neumann morgenstern utility function yields this natural result if on the other hand background wealth becomes riskier due to the addition of a zero mean risk that is also statistically independent of all other risks behavior will be more risk averse if and only if preferences are risk vulnerable as defined by gollier and pratt 1996 risk vulnerability described below in section 4 is a stronger notion than dara and includes proper risk aversion pratt and zeckhauser 1987 and standard risk aversion eeckhoudt and kimball 1992 kimball 1993 as particular cases but a deterioration in background wealth may encompass more complicated distribution changes than the introduction of another statistically independent risk in this paper we examine background wealth deteriorations that take the form of both general firstand second degree stochastic dominance changes in risk fsd and ssd respectively in particular we determine conditions that are both necessary and sufficient for each of these two types of background risk changes to imply more risk averse behavior on the part of the individual for the case of fsd changes this condition turns out to be ross stronger characterization of decreasing absolute risk aversion in the case of general ssd changes in the distribution of background wealth the condition derived is a stronger version in ross sense of the conditions characterizing preferences that are locally risk vulnerable in the sense of gollier and pratt the necessary and sufficient conditions derived are fairly restrictive upon preferences however if we take as positive behavior that individuals act in a more risk averse manner whenever the distribution of background wealth deteriorates these conditions place canonical limits upon appropriate utility representations at the very least they

endogenous lobby formation and endogenous protection a long run model of trade policy determination this paper provides a theory of lobby formation within a framework in which trade policy is determined through political contributions under certain conditions free trade turns out to be an equilibrium outcome either when the government has a high affinity for political contributions or when it cares a great deal about social welfare moreover greater inequality in asset distribution results in a greater number of lobbies and in most cases more protection for each of these lobbies furthermore industries with higher levels of capital stock fewer capitalists more inelastic demand and smaller geographical dispersion are the ones that get organized

to ban or not to ban foreign lobbying and cross national externalities this paper studies the costs and benefits of foreign lobbying we show how and when foreign lobbying can help internalize cross national externalities we argue that this is an often overlooked benefit of foreign lobbying we also study under what conditions a constitutional rule banning foreign lobbying is in the national interest of a country a key factor in this calculus is whether the interests of foreign lobby groups and domestic unorganized groups coincide or not we illustrate the logic with examples from trade policy and environmental regulation bannir ou ne pas bannir lobbying etranger et effets externes transnationaux ce texte etudie les couts et avantages du lobbying etranger on montre quand et comment que le lobbying etranger peut aider a internaliser des effets externes transnationaux on suggere que c est souvent un avantage qu on est porte a negliger du lobbying etranger on etudie sous quelles conditions une regle constitutionnelle bannissant le lobbying etranger peut etre dans l interet national d un pays un facteur cle dans ce calcul est le fait que les interets des groupes etrangers coincident ou non avec ceux des groupes nationaux non organises on illustre la logique sous jacente a l aide d exemples portant sur la politique commerciale et la reglementation environnementale

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

oil prices and exchange rates the quotations show a sharply divergent pattern in the response of the foreign exchange market to announcements of oil price increases during the first oil shock news about oil price rises led to a strengthening of the dollar whereas during the i979 surge of oil prices the reverse was generally true when the news was not so bad as feared the dollar fell back in i974 but rose in i979 in 1980 the pattern shifted once again back to dollar appreciation is there a rational fundamental explanation for the behaviour of the foreign exchange market or is it a matter of traders responding to what other traders arbitrarily think it is difficult to resolve this question but some insight can be provided through an analytical examination of the relationship between oil price increases and exchange rates the paper begins with a theoretical framework for analysing the relation between oil prices and exchange rates and then uses the theory to explain the behaviour of the foreign exchange market

oil price dynamics and speculation a multivariate financial approach abstract this paper assesses empirically whether speculation affects oil price dynamics the growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations strategies of this kind foster feedback trading that may cause considerable departures of prices from their fundamental values we investigate this hypothesis using a modified capm following shiller 1984 and sentana and wadhwani 1992 first a univariate garch 1 1 m is estimated assuming the risk premium to be a function of the conditional oil price volatility the single factor model however is outperformed by the multifactor icapm merton 1973 which takes into account a larger investment opportunity set analysis is then carried out using a trivariate ccc garch m model with complex nonlinear conditional mean equations where oil price dynamics are associated with both stock market and exchange rate behavior we find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time varying first and second order conditional moment interactions affects both the capm and feedback trading components of the model despite the difficulties we identify a significant role played by speculation in the oil market which is consistent with the observed large daily upward and downward shifts in prices a clear evidence that it is not a fundamental driven market thus from a policy point of view given the impact of volatile oil prices on global inflation and growth actions that monitor speculative activities on commodity markets more effectively are to be welcomed

household s risk attitudes in indonesian villages this paper estimates attitudes towards risk using data obtained through interviews of 400 households in villages in indonesia participants were invited to play investment games in order to identify household risk attitudes the game result supports the hypothesis of non decreasing partial relative risk aversion using an ordered probit model the determinants of risk attitude were investigated the results show that the variable of co residence is important an individual living with his or her parents is less risk averse than an individual in a nuclear household co residence can be viewed as a type of security blanket partial relative risk aversion decreases with the level of education and wealth

spillovers between oil and stock returns in the us energy sector does idiosyncratic information matter abstract this paper investigates the inter connectedness between wti oil price returns and the returns of listed firms in the us energy sector specifically we focus on the issue of whether firm level idiosyncratic information matters a generalised dynamic factor model is used to separate common components from idiosyncratic components in these energy stocks systemic connectedness is then estimated following diebold and yilmaz 2014 our empirical results demonstrate the important role of industrial level common information in understanding the oil stock relationship a number of interesting points include the us energy sector is the net contributor to wti price changes but the effect is mainly driven by industrial level common information the oil and gas industry dominates other industries in the energy sector the dynamic analysis shows that although idiosyncratic information is mostly independent of oil shocks individual energy stock returns do respond to wti price movements

trade diversion and declining tariffs evidence from mercosur abstract this paper empirically examines the alternative posed by richardson j intern econ 34 1993 39 to the traditional view that trade integration may exacerbate inefficiencies richardson s hypothesis boldly predicts that trade diversion and trade creation may actually cause tariffs to decline the hypothesis is fundamentally attributable to the presence of a political component in the governments objective functions a cross sectionally rich data set on trade and tariffs from the mercosur pact countries primarily argentina is used the evidence yields surprising conclusions about the validity of endogenous tariff determination in models of trade integration

an exogeneity test for a simultaneous equation tobit model with an application to labor supply a test of weak exogeneity in the simultaneous equation tobit model is proposed and illustrated using a female labour supply model estimated using cross section data the test statistic can be simply output from any standard tobit maximum likelihood package and is asymptotically efficient the procedure provides consistent estimators for the simultaneous tobit model whose asymptotic covariance matrix is a simple extension of the usual tobit formula we also provide the lagrange multiplier test of weak exogeneity this abstract was borrowed from another version of this item

temporal stability of risk attitudes and the impact of adverse shocks a panel data analysis from thailand and vietnam summary exogenous negative shocks and intrinsic risk attitudes are two important elements characterizing the vicious cycle of poverty associated with rural households in developing countries recent empirical studies suggest that adverse shocks a key driver of poverty can trigger substantial changes in the risk attitudes of poor people leading to decisions that perpetuate their lives in poverty although the temporal variability of risk attitudes is a controversial topic the literature advocating the temporal variability of risk attitudes suggests that covariate shocks such as natural disasters alter risk attitudes over time whereas idiosyncratic shocks show no such significant impact this paper aims to test the temporal stability of risk attitudes in rural households in thailand and vietnam to determine whether this pattern covariate shocks that affect risk attitudes and idiosyncratic shocks that do not can be confirmed for these households i use an exogenous measure of shocks to explain temporal variation in risk attitudes thus i estimate variation in consumption using a multilevel model in which variation in consumption at the individual level serves as a proxy for idiosyncratic shocks while variation in consumption at the aggregate level is used to measure covariate shocks my study finds temporal variability in risk attitudes that is driven by covariate shocks in vietnam and in contrast to past research by idiosyncratic shocks in thailand the results suggest that vietnamese respondents may be better in insuring idiosyncratic risks for example through safety nets while mutual insurance across individuals does not seem to work well in thailand in addition results indicate that the mutual insurance problem in thailand seems to increase in wealth the differences that i find between thailand and vietnam and across poverty types correspond to the difference in political systems and consequently the focus of socio political measures thailand s recent political volatility and the growing lack of social cohesion in thai society support these findings

oil and the macroeconomy when prices go up and down an extension of hamilton s results in an important paper hamilton 1983 demonstrated a strong correlation between oil price changes and gross national product growth in u s data however his study pertained to a period in which all the large oil price movements were upward and thus it left unanswered the question whether the correlation persists in periods of price decline moreover the price variable he used was somewhat distorted by price controls in the 1970s this note investigates whether hamilton s results continue to hold when the sample is extended to include the recent oil market collapse and the oil price variable is corrected for the effects of price controls particular attention is given to the possibility of asymmetric responses to oil price increases and decreases as suggested in the structural employment literature loungani 1986 davis 1987 hamilton 1988 like hamilton i based my investigation on the gnp equation in sims s 1 980b six variable quarterly vector autoregressive model

the protectionist bias of duty drawbacks evidence from mercosur in a political economy setting where tariffs and duty drawbacks are endogenously chosen through industry lobbying it is shown that full duty drawbacks are granted to exporters who use imported intermediates in their production this in turn decreases their incentives to counter lobby against high tariffs on their inputs in equilibrium higher tariffs will be observed on these goods the creation of a regional block will change the political equilibrium duty drawbacks will be eliminated on intra regional exports which in turn will lead to lower tariffs for goods used as inputs by intra regional exporters evidence from mercosur suggests that the elimination of duty drawbacks for intra regional exports led to increased counter lobbying by users of intermediate products in its absence the common external tariff would have been on average 3 5 percentage points 25 percent higher