covered interest rate arbitrage in the interwar period and the keynes einzig conjecture keynes 1923 conjectured that deviations from covered interest rate parity would not be arbitraged unless a profit of at least a half of one percent on an annualized basis was available and that larger deviations would still be moderately persistent because of less than perfect elasticity of supply of arbitrage funds this two part conjecture was given further emphasis by other writers on this period notably einzig 1937 we apply nonlinear econometric techniques to a previously unexploited weekly data base for the 1920s london and new york markets and find strong support for the conjecture

arbitrage boundaries treasury bills and covered interest parity abstract this paper uses the covered interest parity relationship to define upper and lower arbitrage boundaries on domestic treasury bill t bill rates adapting the methodology for estimating frontier functions empirical tests are specified to determine whether the arbitrage boundaries provide a binding constraint on the behavior of the domestic t bill rate empirical evidence is presented for the covered canadian t bill rate which indicates that at various times the us t bill rate has been a binding lower boundary and the euro us ollar deposit rate has provided a binding upper boundary

diverse information and market efficiency in a monetary model of the exchange rate tests of informational efficiency of a given market involve testing two hypotheses simultaneously the first is the hypothesis about the structure determining equilibrium prices or returns and the second is the hypothesis about the information used in formulating expectations and the ability of agents to set current prices to conform with their expected values we examine this issue in the context of the foreign exchange market by setting up a simple model of exchange rate determination and using equilibrium properties of the model to examine market efficiency the model of exchange rate determination involves monetary equilibrium and rational expectations by virtue of the latter equilibrium prices by definition fully reflect available information yet we show that conventional tests of market efficiency would fail when confronted by data generated by such a model we then proceed to define more restrictive and more appropriate concepts of informational efficiency we also illustrate and clarify a fundamental misconception with current rational expectations models we believe that the current models employing the rational expectations hypothesis overemphasize the distinction between monetary and real shocks and underemphasize the distinction between permanent and transitory distinctions for expectations formation the conventional efficiency tests it is the latter distinction that is the essential one this abstract was borrowed from another version of this item

the out of sample success of term structure models as exchange rate predictors a step beyond abstract a large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate however there is evidence that the term structure of forward premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display nonlinearities this paper proposes a term structure forecasting model of exchange rates based on a regime switching vector equilibrium correction model which is novel in this context our model significantly outperforms both a random walk and to a lesser extent a linear term structure vector equilibrium correction model for four major dollar rates across a range of horizons

short run forecasting of the euro dollar exchange rate with economic fundamentals abstract we propose a fundamentals based econometric model for the weekly changes in the euro dollar rate with the distinctive feature of mixing economic variables quoted at different frequencies the model obtains good in sample fit and more importantly encouraging out of sample forecasting results at horizons ranging from one week to one month specifically we obtain statistically significant improvements upon the hard to beat random walk model using traditional statistical measures of forecasting error at all horizons moreover our model obtains a great improvement when we use the direction of change metric which has more economic relevance than other loss measures with this measure our model performs much better at all forecasting horizons than a naive model that predicts the exchange rate as an equal chance to go up or down with statistically significant improvements

the forward premium puzzle in the interwar period and deviations from covered interest parity we revisit the forward premium puzzle in the interwar period and find that as the deviation from covered interest rate parity increases the coefficient on the forward premium in the standard fama regression tends towards zero

a note on interest parity and the supply of arbitrage funds the divergence of the actual forward premium on foreign exchange from that dictated by the principle of interest rate parity can arise from two separately identifiable causes 1 an equilibrium position as indicated by the interest parity principle has not been reached or 2 that the principle itself is not a correctly specified equilibrium condition it is the purpose of this note to offer a revised specification of the interest parity condition and to determine whether this version approximates more closely the actual premium as determined in the market it should be made clear however that this is a partial analysis and does not deal with the impact of other forces for example speculation on the forward premium as a result a complete model of the spot and forward markets for foreign exchange such as stein s 1965 is not attempted here in general the principle of interest parity maintains that in equilibrium

the brazilian experience of rural electrification in the amazon with decentralized generation the need to change the paradigm from electrification to development abstract there are at least 607 thousand households in the brazilian amazon that need to be attended with some form of regular electricity service these households are not attended by the electricity sector through its electricity distribution companies and most of them have some form of precarious decentralized electricity generation that is not registered or regulated in the institutional framework diverse initiatives were taken by brazilian government to attend these household through alternatives that relied on locally available renewable energy this paper accesses this initiatives of rural electrification in the brazilian amazon first an overview of the problems of rural electricity are discussed and its specificities in the brazilian amazon then the brazilian institutional framework that organizes the decentralized electricity generation is described with its various limitations the diverse initiatives undertaken to attend the rural communities in the amazon since the 1990s are described as well as how these initiatives are linked to the policies for rural electrification the results shows that it can be inferred that sole market mechanisms are not sufficient to guarantee economic sustainability of these projects this can be one of the reasons why traditional electricity distribution companies showed the lack of interest in promoting rural electrification with other means than grid extension the most successful projects had financed efforts to integrate the generation of electricity into local development initiatives in order to guarantee sustainability and used substantial part of funding for local mobilization and organization it needs a paradigm chance by treating these initiatives as local development initiatives and promoting alternative ways for its implementation through partnership between local new actors in the electricity sector and government and implementing policy on a local municipal level

biofuel from jatropha curcas environmental sustainability and option value abstract this paper considers the use of a non edible plant jatropha curcas j curcas for the production of biofuel as a substitute for traditional fossil fuel it is shown that the net energy balance and greenhouse gases ghgs balance are positive the investment value in biofuel from j curcas is also studied and both its intrinsic and option values are calculated a reference case is evaluated namely the cultivation of j curcas as a substitute for conventional fuel in a specific less developed country kenya that lies in the tropical region where j curcas grows the investment is modeled as a perpetual investment call option it is shown that the net present value is positive for a vast range of discount factors and investment costs while the option value depends crucially on the parameters of the model a positive option value points out those cases in which it is optimal to defer the investment even if it entails a positive and possibly high net present value

price movements and price discovery in futures and cash markets r isk transfer and price discovery are two of the major contributions of futures markets to the organization of economic activity working 1962 evans 1978 p 80 and silber 1981 risk transfer refers to hedgers using futures contracts to shift price risk to others price discovery refers to the use of futures prices for pricing cash market transactions working 1948 wiese 1978 p 87 and lake 1978 p 161 the significance of both contributions depends upon a close relationship between the prices of futures contracts and cash commodities this paper examines the characteristics of price movements in cash or spot markets and futures markets for storable commodities section ii presents an analytical model of simultaneous price dynamics which suggests that over short intervals of time the correlation of price changes is a function of the elasticity of arbitrage between the physical commodity and its counterpart futures contract greater elasticity fosters more highly correlated price changes and thereby facilitates the risk transfer function the elasticity of supply of arbitrage services is constrained by among other things storage and transaction costs thus futures contracts will not in general provide perfect risk transfer facilities over short time horizons the essence of the price discovery function of futures markets hinges on whether new information is reflected first in changed futures prices or in changed cash prices hoffman 1932 pp 258259 the model in section ii provides a framework for analyzing whether one market is dominant in terms of information flows and price discovery in section iii we develop a model based on section ii which is appropriate for estimating the lead lag relationship between cash prices and futures prices section iv presents empirical estimates of the parameters of the model for seven different storable commodities wheat corn oats frozen orange juice concentrates copper gold and silver the cost of arbitrage between cash and futures differs across these commodities for this reason we are not surprised to find inter commodity differences in the correlation of short run price changes and in the substitutability of futures contracts for cash market positions with respect to the price discovery function of futures markets we find that while futures markets dominate cash markets cash prices do not merely echo futures prices there are reverse information flows from cash markets to futures markets as well

intervention and sterilisation under floating exchange rates the uk 1973 1983 in this paper a small portfolio balance model in the spirit of obstfeld 1983 is estimated for the sterling pound us dollar exchange rate over the period 1973 quarter 2 to 1983 quarter 4 it is demonstrated inter alia that pure or sterilised foreign exchange market intervention can be effective even when agents form expectations rationally

the effects of tax increment financing on economic development abstract local governments attempt to influence business location decisions and economic development through use of the property tax tax increment financing tif earmarks property tax revenues that result from growth in assessed valuation the tif revenues are to be used for economic development projects but may also be diverted for other purposes using data for the chicago metropolitan area that includes information on property value growth before and after tif adoption we find evidence that cities that adopt tif grow more slowly than those that do not we test for and reject sample selection bias as an explanation of this finding

conscientious vs ambivalent consumers do concerns about energy availability and climate change influence consumer behaviour abstract energy availability and climate change are interrelated concerns with economic components they need to be addressed by policy makers and they require changes in energy consumption this study examines whether concerns about energy availability and climate change influence consumer behaviour policy perceptions and beliefs about future energy consumption this question is investigated by analysing data from the eurobarometer 75 4 a comprehensive survey of citizens from all countries of the european union that was conducted in june 2011 n 26 840 the regression results show that people concerned about climate change were significantly more likely to take action to mitigate climate change and to be more favourably disposed towards energy policies and future changes in energy consumption than people who were not concerned about climate change on the other hand people who were concerned about energy availability undertook fewer actions and neither supported energy policies nor believed in future changes in energy consumption this surprising finding raises questions regarding the adequate communication of energy availability and policies to the public in the european union

from linear fuel switching to multiple cooking strategies a critique and alternative to the energy ladder model abstract promoting sustainable development requires evaluating the technical and policy options that will facilitate the adoption and use of energy efficient and less polluting cooking stoves and practices the transition from traditional to modern fuels and devices has been explained by the energy ladder model that suggests that with increasing affluence a progression is expected from traditional biomass fuels to more advanced and less polluting fuels in this paper we evaluate the energy ladder model utilizing data from a four year 1992 96 case study of a village in mexico and from a large scale survey from four states of mexico we show that an alternate multiple fuel model of stove and fuel management based on the observed pattern of household accumulation of energy options rather than the simple progression depicted in the traditional energy ladder scenario more accurately depicts cooking fuel use patterns in rural households the multiple fuel model integrates four factors demonstrated to be essential in household decision making under conditions of resource scarcity or uncertainty a economics of fuel and stove type and access conditions to fuels b technical characteristics of cookstoves and cooking practices c cultural preferences and d health impacts this model also allows better estimates of the expected fuelwood demand and indoor air pollution in rural households

covered interest arbitrage and market turbulence the covered interest parity theorem states that the covered interest differential between two similar assets denominated in different currencies should be zero this paper utilizes high quality data recorded by the dealers at the bank of england to test covered interest parity during certain historical periods in which there is known to have been turbulence as well as during a relatively calm control period the data is high frequency and allowance is made for the bid offer spread brokerage costs and other considerations the results have three main implications firstly profitable arbitrage opportunities do occasionally occur and sometimes persist during turbulent periods secondly the degree of efficiency of the relevant markets appears to have increased over time thirdly there appears to be a maturity effect whereby the existence and size of profitable arbitrage opportunities appear to be positive functions of the length of maturity a rationalization of this phenomenon is offered in terms of the existence of credit limits copyright 1989 by royal economic society

the macroeconomics of inflation non neutrality inflation non neutrality can only be properly considered in a complete macro model but most existing treatments use partial equilibrium approaches this paper develops an open economy macro model incorporating labor markets and the government budget constraint as well as the product and domestic asset markets that normally feature in the neutrality literature this model is used to examine stability and long run inflation multipliers with various policy combinations numerical simulations show that the quantitative importance of nonneutralities varies across different policy combinations in some cases nonneutralities are very significant copyright 1989 by royal economic society

preferences for domestic fuel analysis with socio economic factors and rankings in kolkata india abstract the choice of domestic fuel is a matter of great concern for households and policy makers in india this paper investigates the demand for domestic fuels when households face four choices fuelwood coal kerosene and lpg the study is based on a survey of 500 households in kolkata india the demand estimates are conducted using a two stage process where the first stage investigates choice and the second the quantity used determinants of fuel demand are identified and their relative importance shown extending the study the paper also analyses the choice of the main cooking fuel in terms of the households stated rankings of six fuels for five attributes the policy discussion indicates that subsidies have less potential to reduce polluting fuels such as coal and fuelwood due to weak cross price elasticities while increased availability of lpg and potentially also increased awareness of indoor air pollution have greater prospect

macroeconomic policy design and control theory a failed partnership my subject is the applicability of control theory to the pressing questions of macroeconomic policy design that face us both domestically and in the international arena i approach the issue with some trepidation conscious that i am a relative amateur in control matters i am also mindful of the dangers of claiming too much in the field of policy design those were nicely stated in a broader context by that eminent biologist sir peter medawar i984 when he wrote

what do we learn from the price of crude oil futures summary despite their widespread use as predictors of the spot price of oil oil futures prices tend to be less accurate in the mean squared prediction error sense than no change forecasts this result is driven by the variability of the futures price about the spot price as captured by the oil futures spread this variability can be explained by the marginal convenience yield of oil inventories using a two country multi period general equilibrium model of the spot and futures markets for crude oil we show that increased uncertainty about future oil supply shortfalls under plausible assumptions causes the spread to decline increased uncertainty also causes precautionary demand for oil to increase resulting in an immediate increase in the real spot price thus the negative of the oil futures spread may be viewed as an indicator of fluctuations in the price of crude oil driven by precautionary demand an empirical analysis of this indicator provides evidence of how shifts in the uncertainty about future oil supply shortfalls affect the real spot price of crude oil copyright 2010 john wiley sons ltd

electricity consumption and economic growth in burkina faso a cointegration analysis abstract this study empirically establishes the direction of causality between electricity consumption and economic growth in burkina faso for the period 1968 2003 the bounds test yields evidence of cointegration between electricity consumption gdp and capital formation when electricity consumption and gdp are used as dependent variable causality results indicate that there is no significant causal relationship between electricity consumption and investment estimates however detect in the long run a bidirectional causal relationship between electricity use and real gdp there is also evidence of a positive feedback causal relationship between gdp and capital formation burkina faso is therefore an energy dependent country it is also a country in which electricity consumption is growing with the level of income all of this shows that electricity is a significant factor in socio economic development in burkina faso as such energy policy must be implemented to ensure that electricity generates fewer potential negative impacts

exchange market efficiency an examination of speculation across forward markets abstract the rejection of the joint hypothesis of exchange market efficiency and no risk premium is shown to hold up all across the term structure of forward rates for the canadian dollar u s dollar exchange rate

do environmental benefits matter evidence from a choice experiment among house owners in germany residential buildings strongly contribute to global co2 emissions due to the high energy demand for electricity and heating particularly in industrialised countries within the eu decentralised heat generation is of particular relevance for future climate policy as its emissions are not covered by the eu ets we conducted a choice experiment concerning energy retrofits for existing houses in germany in the experiment the approximately 400 sampled house owners could either choose a modern heating system or an improved thermal insulation for their home we used standard and mixed logit specifications to analyse the choice data we found environmental benefits to have a significant impact on choices of heating systems however they played no role in terms of insulation choices based on the estimated mixed logit model we further obtained willingness to pay wtp measures for co2 savings

using contingent valuation to explore willingness to pay for renewable energy a comparison of collective and voluntary payment vehicles abstract this study uses a split sample dichotomous choice contingent valuation survey of 1574 u s residents to explore willingness to pay wtp for renewable energy under collective and voluntary payment vehicles and under government and private provision of the good we also evaluate the impact of participation expectations on stated wtp we find some evidence that when confronted with a collective payment mechanism respondents state a somewhat higher wtp than when voluntary payment mechanisms are used similarly private provision of the good elicits a somewhat higher wtp than does government provision we also find that contingent valuation responses are strongly correlated with expectations for the wtp of others our results shed light on strategic response behavior and the incentive compatibility of different cv designs and offer practical insight into u s household preferences for how to support renewable energy

market structure and inefficiency in the foreign exchange market abstract this paper investigates the intradaily operational efficiency of the us foreign exchange market by conducting computer simulation experiments with market structure the numbers of market makers brokers and customers the results indicate significant operational inefficiencies which can be explained by temporary inventory imbalances inherent in a decentralized market the results also suggest that much of this inefficiency could be alleviated through a centralization of price information jel f31 g15

covered interest arbitrage profits the role of liquidity and credit risk we study the profitability of covered interest parity cip arbitrage violations and their relationship with market liquidity and credit risk using a novel and unique dataset of tick by tick firm quotes for all financial instruments involved in the arbitrage strategy the empirical analysis shows that positive cip arbitrage deviations include a compensation for liquidity and credit risk once these risk premia are taken into account small arbitrage profits only accrue to traders who are able to negotiate low trading costs the results are robust to stale pricing and the nonsynchronous trading occurring in the markets involved in the arbitrage strategy

variations in development subsidies under tax increment financing in the face of increasingly scarce federal community development grants and in an effort to encourage the renewal of deteriorated sections of many urban areas states have become interested in tax increment financing tif as a way of providing development incentives to their local units of government 1 tax increment financing laws typically allow cities or local development authorities to recover certain development expenditures that they make in specially created districts from a portion of the property tax revenues realized by the county school district and other local taxing jurisdictions 2 states are attracted to tif largely because of their concern that cities will not engage in socially desirable development or redevelopment efforts such as slum clearance or blight elimination when faced with the incentives inherent in the existing property tax system without tif cities often bear the cost of development alone while several local taxing jurisdictions share the development benefit narrowly defined as increased property tax revenues the resultant distribution of costs and benefits leads to perceptions of inequities and disincentives for development as reflected by the legislative declaration for the wisconsin tif legislation

not irrational but habitual the importance of behavioural lock in in energy consumption abstract a substantial body of literature has shown that our behaviour is often guided by habits the existence of habits not fully conscious forms of behaviour is important as it contradicts rational choice theory their presence thus calls for the setting of new instruments as they make it unlikely that consumers be capable of exercising control over their energy consumption in reaction to given incentives this is further increased in the evolutionary perspective where the current carbon based socio technical system constrains and shapes consumers choices through structural forces habits being potentially counterintentional they may explain the efficiency paradox in energy as well as the continued increase of energy consumption despite the rising environmental awareness among the population policies aiming at reducing energy consumption should thus specifically address the performance context of habits for instance targeting new residents has proven to be more effective given that their preceding habits have been disturbed the results of our empirical analysis confirm this idea by showing how a change of context makes people more receptive to a proposed measure our analysis of the role played by habits also suggests that individuals do not consider the need to change existing habits as an obstacle even though this is contradicted implicitly in the answers they provided to open questions this unconsciousness is one of the most delicate features of habits and it should thus be accounted for when designing measures given the other characteristics of habits the joint use of feedbacks and commitment strategies appears promising

exchange rate theory and practice this volume grew out of a national bureau of economic research conference on exchange rates held in bellagio italy in 1982 in it the world s most respected international monetary economists discuss three significant new views on the economics of exchange rates rudiger dornbusch s overshooting model jacob frenkel s and michael mussa s asset market variants and pentti kouri s current account portfolio approach their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today including those of the european monetary system

estimation of portfolio balance functions that are mean variance optimizing the mark and the dollar abstract this paper offers a way of efficiently estimating the parameters in demand functions for mark and dollar assets the technique imposes the constraint that the parameters rather than being determined arbitrarily are based on investors optimizing behavior regarding expected returns and variances it dominates some previous empirical applications of finance theory in the respect that the expected returns are allowed to vary from period to period which is a necessary feature of any macro model the constraint that the parameters are based on mean variance optimization is also tested and not rejected

a model of covered interest arbitrage under market segmentation existing models of covered interest arbitrage typically assume market participants have equal capital and foreign exchange market access this paper derives sufficient conditions for the existence of neutral interest parity forward price bands when capital markets are segmented and exchange rates are dually quoted all forward price intervals are completely characterized in terms of simultaneous two way and one way arbitrage flow possibilities the parameters of the no arbitrage price region are shown to be established on the basis of relative advantage with respect to the set of available arbitrage strategies copyright 1991 by ohio state university press

the term structure of the forward premium abstract most studies of the efficiency of the foreign exchange market focus on a single maturity usually a one month forward exchange rate however one observes that forward contracts of many maturities are simultaneously traded in the foreign exchange market the hypothesis that the foreign exchange market uses all available information has implications for the joint behavior of forward exchange rates of various maturities this paper proposes an equilibrium theory of the term structure of the forward premium the model is tested using data on the german and canadian exchange rates the results indicate that the data are consistent with the theory for germany and inconsistent with the theory for canada

when and how us dollar shortages evolved into the full crisis evidence from the cross currency swap market abstract this paper investigates when and how the us dollar shortages evolved into the full crisis in the cross currency swap market between major european currencies and the us dollar during the turmoil of 2007 2009 using the dynamic factor model with regime switching coefficients of each swap price with respect to the latent common factor the 1 year market entered the high crisis regime soon after the onset of the subprime problem in august 2007 the 10 year market entered that regime following the collapse of bear sterns in mid march 2008 financial credit spreads have significant predictive power for switches between high and low regimes

sustainable food consumption among young adults in belgium theory of planned behaviour and the role of confidence and values abstract this study investigates determinants of sustainable food consumer behaviour in belgium to gain a better insight in sustainable consumption a study was conducted in which attitudes and behaviour as well as the role of individual characteristics like confidence and values related to sustainable products are analyzed the focus of the analysis is on exploring the influence of determinants as hypothesised by the theory of planned behaviour tpb attitudes perceived behavioural control social norms on sustainable consumption intention in general and specifically depending on consumer s perceived confidence and personal values the empirical research builds on a survey with a sample of 456 young adults using a questionnaire and showing an advertisement for hypothetical sustainable dairy products stepwise multiple regression models showed that 50 of the variance in intention to consume sustainable dairy was explained by the combination of personal attitudes perceived social influences perceived consumer effectiveness and perceived availability in addition different levels of confidence and value orientation yield different strengths of the determinants the findings yield public policy and marketing recommendations for stimulating sustainable food consumption among young adults

the relationship between tax increment finance and municipal land annexation we use detailed information from wisconsin municipalities on annexation and tax increment finance tif activity over the period 1990 2003 to determine whether tif has encouraged annexation declaring a recently annexed area a tif district increases the fiscal benefit of annexation since it allows the municipality to direct the incremental revenue increases from overlying governments to economic development activities within the newly formed tif district our analysis suggests that tif is responsible for as much as 119 square miles or 54 of all the land area annexed over the 1990 2003 period in wisconsin

monetary and real shocks and the optimal target zone abstract an exchange rate target zone is analysed in a model where the economy is disturbed by shocks to money demand and goods demand the stabilising properties of a target zone are compared to those of fixed and flexible exchange rate regimes it is found that a target zone offers a compromise between these two extremes it is also shown that when there are shocks to both money and goods demand a target zone is better than either a fixed rate or a floating rate in the sense that it minimises the variance of output and prices

willingness to pay for energy saving measures in residential buildings this paper uses a choice experiment to evaluate the consumers willingness to pay for energy saving measures in switzerland s residential buildings these measures include air renewal ventilation systems and insulation of windows and facades two groups of respondents consisting respectively of 163 apartment tenants and 142 house owners were asked to choose between their housing status quo and each one of the several hypothetical situations with different attributes and prices the estimation method is based on a fixed effects logit model the results suggest that the benefits of the energy saving attributes are significantly valued by the consumers these benefits include both individual energy savings and environmental benefits as well as comfort benefits namely thermal comfort air quality and noise protection

momentary exchange rate locked in a triangular mechanism of international currency this study uses two way quoted data on major and nonmajor currencies to test the exchange rate dynamics particular attention is paid to the arbitrage and the spread in triangular foreign exchange trades there is only one possible triangle when a bilateral exchange rate equals its trilateral rate otherwise any third currency would potentially create arbitrage opportunities empirical testing evidence supports that small but possibly exploitable profitable arbitrage has significantly occurred over the very short haul of uncertainty and turbulence in other words we are convinced that the bilateral exchange rate could be diverged from one common currency side of the trilateral basket rates until markets function efficiently this helps in better explaining foreign exchange rate movements in addition we find that the currency correlating decreases slightly but the volatility increases over time as we expected

environmental regulation of households an empirical review of economic and psychological factors abstract the literature on sustainable consumption and environmental regulation of household behavior is dominated by conceptual and normative approaches as a result many suggestions lack a firm empirical basis to overcome this deficiency econometric studies in three areas of environmentally relevant activities of households are reviewed residential use of energy generation of solid waste and recycling and residential use of water next to price and income elasticities attention is devoted to individual socio economic features and psychological factors such as attitudes knowledge perceptions and values potential psychological determinants and related insights are further examined by discussing a range of representative and illustrative statistical psychological studies of environmental behavior one important general finding is that there are very few empirical studies that systematically combine socio economic and psychological determinants a range of insights for environmental policy is derived and research recommendations are offered

the law of one price in the eurocurrency market abstract this paper studies the interest rate parity arbitrage condition in the eurocurrency market in the period 1967 to 1980 the results suggest that this market is relatively efficient with few opportunities for arbitrage profits turbulance associated with external shocks to this market is relatively short lived the evidence indicates that the foreign exchange and eurocurrency markets respond rapidly to monetary shocks

short term and long term government debt and nonresident interest withholding taxes abstract this paper examines the incidence of nonresident interest withholding taxes in the international 3 month treasury bill market and the international 5 year government bond market the approach is one of pooled cross section time series regressions the evidence suggests that the yields on national treasury bills and on 5 year government bonds fully reflect the nonresident interest withholding taxes imposed on american or japanese investors nonresident interest withholding taxes on short term and long term government debt thus do not appear to be borne by the international investor

rethinking an old empirical puzzle econometric evidence on the forward discount anomaly using both semiparametric and parametric estimation methods this paper corroborates earlier findings of fractionally integrated behaviour in the forward premium two new explanations are also proposed to help reconcile earlier conflicting empirical evidence on the time series properties of the forward premium traditional regression approaches used to test the forward rate unbiasedness hypothesis are then evaluated including regression in levels in returns fama s 1984 regression and in error correction format interesting statistical and or interpretive implications are found in all three cases for example the predictions of the appropriate nonstandard limit theory are consistent with many of the standard empirical results reported from fama s regression including the commonly occurring yet puzzling negative correlations between spot returns and the forward premium it is suggested that the principal failure of unbiasedness may be due instead to the difference in persistence between these two series copyright 2001 john wiley sons ltd

covered interest arbitrage then versus now we introduce a new weekly database of spot and forward us uk exchange rates and interest rates to examine the integration of forward exchange markets during the classical gold standard period 1880 1914 using threshold autoregressions tars we estimate the transaction cost band of covered interest differentials cids and compare our results with studies of more recent periods we find that cids for the us uk rate were generally largest during the classical gold standard we argue that slower information and communications technology during the gold standard period led to fewer short term financial flows higher transaction costs and larger cids

global political risk and currency momentum using a measure of political risk relative to the united states that captures unexpected political conditions we show that political risk is priced in the cross section of currency momentum and contains information beyond other risk factors our results are robust after controlling for transaction costs reversals and alternative limits to arbitrage the global political environment affects the profitability of the momentum strategy in the foreign exchange market investors following such strategies are compensated for the exposure to the global political risk of those currencies they hold that is the past winners and exploit the lower returns of loser portfolios the risk compensation is mainly justified by the different exposures of foreign currencies in the momentum portfolio to u s political shocks which is the main component of global political risk

woodfuels livelihoods and policy interventions changing perspectives in the 1970s it appeared that fuelwood use was growing rapidly and this could have major adverse impacts on the resource and poor users by the mid 1980s revised assessments indicated that there was less of a problem than had been foreseen and much less of a need for forestry interventions to maintain supplies as a result many of the latter were sharply scaled back additional information and analysis that has become available since the 1980s support the view that there is no need for large scale interventions devoted just to provision of fuelwood however declining access to supplies or markets can raise significant problems in some areas and for particular categories of user growing urban demand for charcoal can also cause local problems in particular in africa the potentials for appropriate forms of intervention are discussed

is the interest differential exogenous in interest rate parity the japanese experience 1979 1983 abstract the paper examines the causal relationship between the interest rate differential intd and the forward exchange rates premium exp with three types of test of daily data between 1979 and 1983 at the tokyo money and foreign exchange markets and the euro dollar market the tests indicate a strong instantaneous and a bidirectional causal relationship between exp and intd such relationship was enhanced in the second period after free capital transactions were permitted in december 1980 with intd s effect on exp being greater than that in the opposite direction

on the effects of sterilized intervention an analysis of weekly data abstract as the recent empirical studies surveyed here illustrate it is very difficult to demonstrate that the exchange rate risk premium depends through a portfolio balance channel on the currency composition of outside assets the existence of a portfolio balance effect is a necessary condition for sterilized intervention to be a genuinely independent tool of monetary policy this paper studies u s canadian data and attempts to improve on earlier studies by using higher frequency weekly data and by implementing an appropriate instrumental variables technique 2s2sls however we still fail to detect evidence of a portfolio balance effect

insights into biofuel development in burkina faso potential and strategies for sustainable energy policies abstract in many african countries the upswing in oil prices is one factor that favours the adoption and implementation of a national biofuel policy this trend has a major impact on state budgets and domestic trade balances while also limiting the access of rural inhabitants to modern energy services contribution of biofuels in stabilizing the energy sector influences ongoing negotiations on the global dynamics of climate change the reduction in greenhouse gas ghg emissions and sustainable development the question of biofuels as an alternative energy thus depends on international national and local considerations biofuels represent opportunities e g energy independence and security new national income and employment sources as well as potential food security problems african policy makers therefore need to make the right choices to guide the development of biofuel production and use this article aims to support the development of a biofuel policy by reviewing the latest technical economic environmental and social knowledge so as to be able to evaluate the potential and limits of biofuels in burkina faso

valuing climate protection through willingness to pay for biomass ethanol abstract this study uses a multi part split sample contingent valuation method cvm and fair share fs survey to better understand the public s valuation of mitigating global climate change through its willingness to pay for biomass or cellulosic ethanol in addition to a basic cvm question a related scenario was developed that asked half of the survey respondents to state their fair share cost to lessen a potential food shortage in the next decade also through the expanded use of cellulosic ethanol three alternative biomass feedstocks were assessed farming residues forestry residues and paper mill wastes and municipal solid wastes overall a slightly larger proportion of respondents were wtp extra for cellulosic ethanol in the basic cvm scenario than in the fs scenario though no significant differences were found in the wtp for the different feedstocks bid curve lognormal regression results for the two models were similar supporting the idea that asking a fs rather than a conventional wtp question may be justifiable in some circumstances such as in cases of a national emergency

foreign exchange market efficiency tests implications of recent empirical findings abstract the recent empirical literature on the efficiency of the foreign exchange market has been characterized by strikingly contradictory conclusions drawn from similar empirical evidence these contradictions result because 1 different maintained hypotheses are held and 2 different criteria e g micro versus macroeconomic are used to judge the evidence in this survey we organize the empirical literature under several headings the presence of risk premiums empirical regularities in regression tests profitable trading rules and advanced econometric techniques in integrating this material we consider the implications of the current evidence for investors forecasters policy makers and theorists

from turmoil to crisis dislocations in the fx swap market before and after the failure of lehman brothers abstract this paper investigates dislocations in the foreign exchange fx swap market between the us dollar and three major european currencies after the failure of lehman brothers in september 2008 deviations from covered interest parity cip were negatively associated with the creditworthiness of us financial institutions as well as that of european institutions consistent with the deepening of a dollar liquidity problem into a global phenomenon us dollar term funding auctions by the ecb snb and boe as well as the us federal reserve commitment to provide unlimited dollar swap lines are found to have ameliorated the fx swap market dislocations

are biofuels an efficient technology for generating sustainable development in oil dependent african nations a macroeconomic assessment of the opportunities and impacts in burkina faso this paper discusses the opportunity for substituting fossil fuels with biofuels in a sahelian country burkina faso bearing in mind the strong link between energy and development and given the country s heavy reliance on imported fossil fuels our study showed that the overall economy private and public companies and basic social services and the state budget could be seriously affected if no viable and local alternative is integrated into the national energy strategy in view of local potential it is recommended that adequate energy resources be sought in order to ensure sustainable socio economic development biofuel opportunities are discussed taking into account technical agronomic and land potentials in this country diversification of energy resources with biofuels would substantially reduce fuel imports in the short term improve overall public finances provide a chance to develop agriculture and provide benefits for the locals however if they are to generate development biofuel projects need to be mindful of food security and economic incentives and should be part of national agricultural strategies

analysing decision behaviour in stated preference surveys a consumer psychological approach this paper applies a typology adapted from the consumer psychology literature to a contingent valuation method cvm survey we argue that the typology is helpful as a way of identifying responses that contain useful information on preferences for the environmental good in question relative to those which are unlikely to contain such information applying this framework to a cvm study of agri environmental payments in germany we find that some 90 of responses are preference revealing this distribution changes when the framing of the good is changed the typology may be of most use during the design stage of future cvm studies since it enables researchers to increase the fraction of responses that are useful

interest rate parity tests switzerland and some major western countries abstract this article reviews briefly the interest rate parity ip theory and possible divergences between covered interest rates on two assets denominated in different currencies from direct ip tests involving pairs of assets denominated in sfr and dm using monthly data on 3 month treasury bills and on 3 month euro deposits it appears that the theory holds better for euro currency pairs of assets than for domestic pairs further investigation uncovers significant occurence of autocorrelation for domestic pairs possibly indicating left out explanatory factors in the standard ip formulation and points to the non normality of the distrbution of arbitrage margins thus casting doubts on most statistical results in such tests

the term structure of forward exchange premiums and the forecastability of spot exchange rates correcting the errors we develop a framework to extract information regarding subsequent spot rate movements from the term structure of forward exchange premiums while admitting possible deviations from rationality and

covered interest parity a high frequency high quality data study profitable deviations from covered interest parity cip represent riskless arbitrage opportunities and so indicate market ineffic iency previous empirical work on cip uses noncontemporaneously sampl ed data and reports mixed results this paper uses high frequency te n minute high quality data gathered personally by the author in th e london foreign exchange market to test the cip condition the resu lts overwhelmingly support the market efficiency hypothesis copyright 1987 by the review of economic studies limited

assessing the potential demand for biofuel by combining economics and psychology a focus on proximity applied to jatropha oil in africa abstract bio energy demand is known to be influenced by geographical origin and social equity this paper aims to highlight the influence of the proximity between biomass production and energy consumption on the demand for alternative bio fuels in the context of burkina faso we explore potential demand for jatropha oil jatropha curcas as a diesel substitute among engine owners survey data are based on a between groups design one group of respondents experiencing a local supply chain while the other a global one results show that proximity has a significant effect on potential demand itself and on the formation and strength of beliefs regarding jatropha oil in a local supply chain context the demand is superior and seems to be guided more by a certain economic and technical rationality conversely the prospect of a jatropha oil produced outside the village restrains demand and this latter is more determined by contextual factors and social interaction our analysis confirms that demand does not only depend on technical and economic factors such as price but also on the integration of the biomass production and processing in the socioeconomic life of local rural populations understanding demand construction and assessing underlying beliefs are key success factors for bio energy projects

the macroeconomic merits of a marginal employment subsidy recent projections by the institute for employment research show that high levels of unemployment are likely to persist throughout the remainder of the decade with this in mind it is relevant to consider the relative merits of alternative policy measures designed to improve the situation and in an article in this journal layard and nickell i980 have proposed a marginal employment subsidy on the basis of a simple algebraic model of the economy this paper presents a further assessment of this type of marginal employment subsidy highlighting the various key assumptions necessary for it to be effective the essence of the marginal employment scheme outlined by layard and nickell henceforth ln is that firms would be entitled to receive a subsidy for each additional job created above a given reference level of employment their method of analysis is to set up an algebraic model using a set of plausible parameters they use three alternative sets of parameters which they term pessimistic reasonable and optimistic and their results show that the relative efficacy of the mes scheme depends very much on which set is most plausible they conclude that their analysis provides some support for a marginal employment subsidy and that it compares quite favourably with alternative means of stimulating employment and in particular with the policy of a general employment subsidy they justify their algebraic approach as follows