sign and volatility switching arch models theory and applications to international stock markets summary this paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news such a reaction is induced by both the sign of past shocks and the size of past unexpected volatility the proposed models are shown to converge in distribution to

efficiency of job creation in a search and matching model with labor force participation in a search and matching model where workers are ex ante heterogeneous with respect to productivity and there is labor force participation albrecht et al 2010 show that satisfying the hosios rule leads to excessive vacancy creation we show that efficient vacancy creation requires a modified version of the hosios condition that captures not only the standard search externalities but also the output externality and the participation externality

enterprises compliance with government carbon reduction labelling policy using a system dynamics approach abstract a carbon reduction labelling scheme is an effective policy tool for motivating enterprises or organizations to reduce their life cycle based carbon emissions to benefit the environment this paper uses system dynamics to model enterprises compliance with a combined government policy instrument for a carbon reduction labelling scheme that is government subsidies and economic sanctions a case study of paper enterprises in china is provided to demonstrate the application of the proposed model in which two optional technological plans to reduce the enterprises carbon emissions are examined the technological plans are categorized as a low cost and high cost plan the simulation results show that both the technological plans are vulnerable to the combined policy making and the high cost plan shows superior environmental performance for carbon emissions reduction however the enterprises are more inclined to choose the low cost plan because of superior economic performance the study offers insights to help enterprises select optimal actions on carbon emissions reduction and to inform government of possible sustainable policy design to promote low carbon development the model limitations are discussed as a basis for further improvements in low carbon development

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

efficiency in a search and matching economy with a competitive informal sector we consider a dual labor market with a frictional formal sector and a competitive informal sector we show that the size of the informal sector is generally too large compared to the optimal allocation of the workers it follows that our results give a rationale to informality reducing policies

a survey on the impediments to low carbon technology investment of the petrochemical industry in korea abstract responding to the climate change korea has been establishing a domestic policy framework for promoting energy saving and greenhouse gases reduction with the expansion of low carbon technologies for industry as a key area this paper analyzes investment barriers for low carbon technology investment and suggests supportive policies based on a survey to petrochemical companies in korea a total of 35 samples were collected among which 32 companies are targeted by the korean domestic emission trading scheme and represent 63 of the total co 2 emissions of all petrochemical companies under this scheme the analysis result indicates that low carbon technology introduction is not a priority for the sampled companies besides the lack of financial support there exist other impediments to low carbon technology investment e g lower investment priority economic loss during new technology replacement technology uncertainty and less pressure on energy prices in addition technology payback period acceptable for companies was estimated by the multi bounded discrete choice method the acceptable payback period on the part of half samples ranges from 2 4 to 3 6 years the relatively high preference to short term profitability of low carbon technologies may hinder the companies to make the investment decision financial support and information dissemination for low carbon technologies may be useful to facilitate company s investment in low carbon technologies carbon pricing policies such as emission trading scheme is agreed to be supportive by providing the price signal for the investment this analysis enhances the understating of korean company s perception on low carbon technology investment and provides meaningful policy implications for the development and improvement of related policies

how competitive are eu electricity markets an assessment of ets phase ii this paper studies the interactions between electricity and carbon allowance prices in the year ahead energy markets of france germany united kingdom and the nordic countries during phase ii of the eu ets var and granger causality methods are used to analyze causal interfaces whereas the volatility of electricity prices is studied with basic and asymmetric ar garch models among the main results the marginal rate at which carbon prices feed into electricity prices is shown to be ca 135 in the eex and nord pool markets where electricity and carbon prices display bidirectional causality and 109 in the uk therefore generators in these markets internalized the cost of freely allotted emission allowances into their electricity prices considerably more than the proportionate increase in costs justified by effective carbon intensity moreover electricity prices in france are found to granger cause the carbon price this study also shows how european electricity prices are deeply linked to coal prices among other factors both in terms of levels and volatility regardless of the underlying fuel mix and that coal was marginally more profitable than gas for electricity generation eu policies aimed at increasing the carbon price are likely to be crucial in limiting the externalities involved in the transition to a low carbon system

price volatility trading volume and market depth evidence from futures markets the relations between volume volatility and market depth in eight physical and financial futures markets are examined evidence suggests that linking volatility to total volume does not extract all information when volume is partitioned into expected and unexpected components the paper finds that unexpected volume shocks have a larger effect on volatility further the relation is asymmetric the impact of positive unexpected volume shocks on volatility is larger than the impact of negative shocks finally consistent with theories of market depth the study shows large open interest mitigates volatility

risk return tradeoff in u s stock returns over the business cycle in the empirical finance literature findings on the risk return tradeoff in excess stock market returns are ambiguous in this study i develop a new qualitative response qr generalized autoregressive conditional heteroskedasticity in mean garch m model combining a probit model for a binary business cycle indicator and a regime switching garch m model for excess stock market return with the business cycle indicator defining the regime estimation results show that there is statistically significant variation in the u s excess stock returns over the business cycle however consistent with the conditional intertemporal capital asset pricing model icapm there is a positive risk return relationship between volatility and expected return independent of the state of the economy

the statistical properties of daily foreign exchange rates 1974 1983 abstract this paper examines the statistical properties of daily rates of change of five foreign currencies from 1974 to 1983 the main purpose is to discriminate between two competing explanations for the observed heavy tails of the distribution that the data are independently drawn from a heavy tail distribution which remains fixed over time and that the data come from distributions which vary over time evidence point to the rejection of the first hypothesis further investigations show that the rejection can be attributed to changing means and variances in the data which can be described by a simple statistical model

the distribution of foreign exchange price changes trading day effects and risk measurement this study investigates the nature of price changes in a variety of major and minor foreign exchange markets the results suggest that the log of price changes over one trading day intervals seems to follow a non normal stable distribution function different measures of location and to lesser extent scale are present for different days of the week dollar denominated price changes are high on mondays and wednesdays and low on thursdays and fridays for all currencies the wednesday thursday result is consistent with the settlement procedures used in foreign exchange transactions in the dollar the friday monday result is consistent with an increase in demand for the dollar prior to the weekend this study offers some previously unavailable results on the nature of price changes in a certain set of speculative markets in particular this is a study of the distributional characteristics of daily and weekly price changes for a number of major and minor foreign exchange markets the results document the existence of non normal stable distributions for price changes in foreign exchange markets these price change distributions differ by day of the week in ways that are only partly attributable to the institutional structure of the market the results of the study are interpreted within the context of understanding how foreign exchange markets operate and within the context of prior studies of stock market data concerned with summarizing the probability distribution of price changes for different intervals including days of the week since bachelier s 1 original treatise that contained the proposition that speculative market prices follow a process that could be described by a normal distribution there have been numerous alternative attempts to describe the stochastic processes which characterize speculative market prices these studies have not resulted in any generalized description of the probability distribution of price changes in such markets indeed the evidence suggests substantial differences in the process among various types of financial instruments the failure to achieve consensus can be traced to the lack of robustness in the statistical procedures employed to estimate processes and to differences in the underlying institutional or economic arrangements which are unique to that market the possibility of differences in the information set used to assess value or differences in technology for transmitting information makes it important to secure additional

job search and mobility in developing countries theory and policy implications abstract a labor market model is developed in which the formal sector is characterized by search frictions whereas the informal sector is competitive we show that there exists a unique steady state equilibrium in this dual economy we then consider different policies financed by a tax on firms profits we find that reducing the unemployment benefit or the firms entry cost in the formal sector induces higher job creation and formal employment reduces the size of the informal sector but has an ambiguous effect on wages we also find that an employment wage subsidy policy and a hiring subsidy policy have different implications in particular the former increases the size of the informal sector while the latter decreases it

good jobs versus bad jobs this article develops a model of noncompetitive labor markets in which high wage good and low wage bad jobs coexist minimum wages and unemployment benefits shift the composition of employment toward high wage jobs because the composition of jobs in the laissez faire equilibrium is inefficiently biased toward low wage jobs these labor market regulations increase average labor productivity and may improve welfare

the role of corporate reputation and employees values in the uptake of energy efficiency in office buildings although office market actors in the united kingdom show a growing interest in energy efficiency the pace of takeup of energy efficient office features is slow previous studies have highlighted the roles of limited direct financial costs and benefits efficiency gaps and market barriers in limiting the rate of technology adoption this study provides further evidence on the importance of these factors but the primary contribution is focused on the role of corporate reputation and on the importance of individuals values in shaping corporate behaviour the paper presents a theoretical framework to explain environmental decision making in firms and we present qualitative evidence drawing from sixteen semi structured individual and group interviews with office market stakeholders in london glasgow and edinburgh the research finds that companies despite gradually becoming more energy conscious still regard energy costs as a negligible part of their business costs nevertheless an increasingly important driver is the reputational gain obtained by corporate businesses implementing sustainable practices all the interviewees agreed that the pace of change in the office market is slow and that only further policy interventions will accelerate it

bounded influence estimator for garch models evidence from foreign exchange rates previous research indicates that the maximum likelihood estimates of generalized autoregressive conditional heteroscedasticity garch models on foreign exchange rates under various distributional assumptions are sensitive to the presence of outliers the advantage of the proposed bounded influence estimator bie is that it limits the influence of a small subset of data and is asymptotically normal the bie provides more consistent and robust estimates than maximum likelihood estimator mle and semi parametric estimator both of which tend to underestimate volatility persistence due to outliers it is thus robust to outliers and model misspecification results of bie estimates of garch models on the exchange rate series of five major currencies indicate that bie offers an efficient mechanism for down weighting outlying observations and is a competitive alternative to mle

volatility persistence and stock valuations some empirical evidence using garch summary in this paper issues of volatility persistence and the changing risk premium in the stock market are investigated using the garch estimation technique we get a point estimate of the index of relative risk aversion of 4 5 and confirm the existence of changing equity premiums in the us during 1962 1985 the persistence of shocks to the stock return volatility is so high that the data cannot reject a non stationary volatility process specification the results of this paper are consistent with malkiel and pindyck s hypothesis that it is the unforseen rise ini the investment uncertainty during 1974 that causes the market to plunge

stock market volatility and the crash of 1987 evidence from six emerging markets abstract this paper studies volatility risk premia and the persistence of volatility in six emerging stock markets before and after the 1987 stock market crash the empirical investigation is conducted by means of the garch in the mean model garch m and monthly data from argentina greece india mexico thailand and zimbabwe between january of 1976 and august of 1994 results indicate changes in the arch parameter risk premia and persistence of volatility before and after the 1987 crash but these noted changes are not uniform and depend upon the individual markets factors other than the 1987 crash may also be responsible for the changes

the relationship between enterprise efficiency in resource use and energy efficiency practices adoption abstract the purpose of this paper is to investigate the relationship between enterprise efficiency in resource use and the adoption of energy efficiency practices recommended by the us department of energy doe through the industrial assessment center iac using non parametric techniques such as data envelopment analysis dea and parametric techniques like stochastic frontier analysis sfa and corrected ordinary least square cols to measure the efficiency the regression quantile rq is carried out to test the hypothesis that the most efficient companies have adopted a higher level of practice the main conclusion is that when the enterprise operates at increasing returns to scale rts the impact of efficiency on adoption increases positively inversely when the enterprise operates at decreasing rts the impact of efficiency on adoption increases negatively

a conditional variance model for daily deviations of an exchange rate a model for the distribution of daily deviations of an exchange rate is suggested the distribution is gaussian with a variance that depends on previous deviations the model is applied to the exchange rate of the u s dollar to special drawing rights

determinants of pollution abatement in developing countries evidence from south and southeast asia abstract developing countries pa ticularly those in asia are fast adopting industrial pollution control standards similar to those in developed countries formal regulation has been greatly hampered however by the absence of clear and legally binding regulations limited institutional capacity lack of appropriate equipment and trained personnel and inadequate information on emissions one would predict highly pollution intensive production under such conditions our research however has uncovered strongly contradictory evidence despite weak or nonexistent formal regulation there are many clean plants in the developing countries of south and southeast asia of course there are also many plants which are among the world s most serious polluters what explains such extreme interplant variation this paper reviews evidence drawn from three empirical studies of plant level abatement practices conducted 1992 1994 the analyses test the importance of plant characteristics economic considerations and external pressure in determining environmental performance the results consistently show that pollution intensity is negatively associated with scale productive efficiency and the use of new process technology it is strongly and positively associated with public ownership but foreign ownership has no significant effect once other plant characteristics are taken into account among external sources of pressure community action or informal regulation emerges as a clear source of interplant differences in all three studies the results suggest that local income and education are powerful predictors of the effectiveness of informal regulation they also show that existing formal regulation has measurably beneficial effects even when it is quite weakly developed

a survey study of energy saving activities of industrial companies in the republic of korea abstract this study measures industrial energy saving activities esas in the republic of korea and identifies their determinant factors by a questionnaire survey to the energy intensive companies more than 90 of the samples have practiced the institutional and managerial esas requiring relatively lower costs and efforts although the companies have felt strong pressures from the governmental regulations and recognized the importance of industrial associations the externally coercive normative and mimetic factors still indicate no significant influence on their esas at present as internal factors the willingness for energy saving support from top management and internal training specific for energy saving determine a company s practice level of esas economic incentives like financial subsidies are useful for encouraging the company s involvement in esas korean government shall also provide more technical support to the companies particularly the small and medium sized ones for enhancing their capacities in promptly reacting to the newly initiated mandatory regulations on industrial energy efficiency

arch models properties estimation and testing abstract the aim of this survey paper is to provide an account of some of the important developments in the autoregressive conditional heteroskedasticity arch model since its inception in a seminal paper by engle 1982 this model takes account of many observed properties of asset prices and therefore various interpretations can be attributed to it we start with the basic arch models and discuss their different interpretations arch models have been generalized in different directions to accommodate more and more features of the real world we provide a comprehensive treatment of many of the extensions of the original arch model next we discuss estimation and testing for arch models and note that these models lead to some interesting and unique problems there have been numerous applications and we mention some of these as we present different models the paper includes a glossary of the acronyms for the models we describe

the intermediary role of an industry association in policy making processes the case of the dutch paper and board industry in the policy making process concerning energy and environmental issues cooperation between government and firms is a means to create a more efficient energy and environmental policy intermediary organizations can play an important role in this policy making process aim of this study is to get insight into the role of one specific intermediary organization the industry association in this paper we focus on the dutch paper and board industry important policy themes for this industry are waste water waste and energy efficiency we distinguished four types of governmental policy instruments top down regulation interactive regulation negative economic instruments and positive economic instruments we analyzed the role of the industry association in the policy making process for all of these four instruments the results clearly show different relative roles of the industry association in different steps of the policy making processes and for different types of instruments

news good or bad and its impact on volatility predictions over multiple horizons we examine whether the sign and magnitude of intra daily returns have impact on expected volatility the next day or over longer future horizons we first let the data speak namely with minimal interference we capture the mapping between intra daily returns and future volatility we revisit the concept of news impact curves introduced by engle and ng 1993 overall we find that moderately good intra daily news reduces volatility the next day while both very good news unusual high intra daily positive returns and bad news negative returns increase volatility with the latter having a more severe impact the asymmetries disappear over longer horizons we also introduce a new class of parametric models which feature asymmetries and with close ties to arch type models albeit applicable to a mixture of high and low frequency data models featuring asymmetries dominate especially during the 2007 2008 financial crisis

hourly volatility spillovers between international equity markets abstract this paper examines the timing of mean and volatility spillovers between new york and london equity markets using an arch model it is found that the evidence of volatility spillovers between these markets is minimal and have a duration which lasts only an hour or so the most significant effects surround the movement of share prices around the new york opening but these results are not strong several new arch models are estimated including an asymmetric or leverage model and a non linear model which allows big shocks to have a different impact from small shocks

efficiency in a search and matching model with endogenous participation abstract we show that in a search matching model with endogenous participation in which workers are heterogeneous with respect to market productivity satisfying the hosios rule leads to excessive vacancy creation

exchange rate volatility and volatility asymmetries an application to finding a natural dollar currency based on six daily spot nominal exchange rate returns denominated in the us dollar viz a viz uk pound japanese yen swiss franc canadian dollar australian dollar and singapore dollar this paper tries to find a natural dollar currency by comparing the linear nonlinear dynamics in the conditional variance of these bilateral exchange rate returns time varying volatility vs asymmetries the characteristics of the unconditional distribution of the fx returns justified the use of the garch class of models of conditional volatility strong time varying symmetric effects are apparent in all the series examined especially in the australian dollar further asymmetric effects in unexpected appreciations and depreciations of currencies are examined based on the gjr model the st garch model and the anst garch model which encompasses several asymmetric models the estimates of asymmetric models show weak evidence of asymmetries in most of the currencies except in the japanese yen and uk pound further find

barriers to increasing energy efficiency evidence from small and medium sized enterprises in china abstract this paper analyzes financial informational and organizational barriers to energy efficiency investments for small and medium sized enterprises smes in china its findings are based on a survey of 480 smes in zhejiang province and complemented by semi structured interviews with enterprises contained in the survey sample responses reveal that only a minority of smes in china actively perform energy saving activities at a significant level the survey data suggest further that informational barriers are the core bottleneck inhibiting energy efficiency improvements in china s sme sector financial and organizational barriers also influence a company s energy saving activities with interview based evidence stronger than statistical evidence the interviews point out three additional barriers to energy saving activities the role of family ownership structures lax enforcement of government regulations and the absence of government support as well as a lack of skilled labor more than 40 of enterprises in the sample declared themselves unaware of energy saving equipment or practices in their respective business area indicating that there are high transaction costs for smes to gather assess and apply information about energy saving potentials and relevant technologies one policy implication of the study is that the chinese government could play a more active role in fostering the dissemination of energy efficiency related information in the sme sector

threshold arch models and asymmetries in volatility this paper attempts to enlarge the class of threshold heteroscedastic models tarch introduced by zakoian 1991a we show that it is possible to relax the positivity constraints on the parameters of the conditional variance unconstrained models provide a greater generality of the paths allowing for nonlinearities in the volatility cyclical behaviour is permitted as well as different relative impacts of positive and negative shocks on volatility depending on their size we give empirical evidence using french stock returns

energy demand and supply energy policies and energy security in the republic of korea abstract the republic of korea rok has enjoyed rapid economic growth and development over the last 30 years rapid increases in energy use especially petroleum natural gas and electricity and especially in the industrial and transport sectors have fueled the rok s economic growth but with limited fossil fuel resources of its own the result has been that the rok is almost entirely dependent on energy imports the article that follows summarizes the recent trends in the rok energy sector including trends in energy demand and supply and trends in economic demographic and other activities that underlie trends in energy use the rok has been experiencing drastic changes in its energy system mainly induced by industrial supply security and environmental concerns and energy policies in the rok have evolved over the years to address such challenges through measures such as privatization of energy sector activities emphases on enhancing energy security through development of energy efficiency nuclear power and renewable energy and a related focus on reducing greenhouse gas emissions the assembly of a model for evaluating energy futures in the rok rok2010 leap is described and results of several policy based scenarios focused on different levels of nuclear energy utilization are described and their impacts on of energy supply and demand in the rok through the year 2030 are explored along with their implications for national energy security and long term policy plans nuclear power continues to hold a crucial position in the rok s energy policy but aggressive expansion of nuclear power alone even if possible given post fukushima global concerns will not be sufficient to attain the rok s green economy and greenhouse gas emissions reduction goals

exploring new ways of assessing the effect of regulation on environmental management abstract studies indicate that while a variety of factors positively influence voluntary environmental management regulatory pressures are among the most important however most research examines samples representing large manufacturers or single industries essentially assuming a level of regulatory constraint using a sample of heterogeneous facilities this study finds that facilities can be classified according to the level of regulatory constraint and that group membership impacts the choice of environmental management strategy when assessed within a utility maximization framework more extensively regulated facilities implement more individual environmental management practices but participate in fewer formal voluntary environmental programs veps compared to other facilities

affordability of energy cost increases for korean companies due to market based climate policies a survey study by sector this paper estimates the affordability of energy cost increases for energy intensive companies due to the introduction of market based climate policies in korea data were collected from 62 respondents from iron steel cement and petrochemical industries over 90 of which are under control of the target management scheme an ongoing mandatory system limiting the greenhouse gases ghg emissions of large energy consuming entities the affordable energy cost increase was estimated using the multiple bounded discrete choice mbdc format results of which show that a mean energy cost increase of 2 6 is acceptable for all the entities sampled companies from the three sectors had similar affordability with an average acceptable energy cost increase of 2 5e2 8 the affordable policy induced energy cost in creases equate to carbon prices of 2500e4000 krw t co2 about 2 3e3 5 usd t co2 for the companies surveyed econometric analysis confirmed a strong correlation between energy price level and company ownership with cost affordability with a view to developing carbon tax policy and a domestic ghg emissions trading scheme in korea this research provides a basis from an industrial perspective for carbon pricing

corporate social responsibility and corporate performance evidence from a panel of us listed companies we investigate whether inclusion and permanence in the domini social index dsi affects corporate performance on a sample of around 1000 firms in a 13 year interval by controlling for size industry business cycle and time invariant firm idiosyncratic characteristics our results find partial support to the hypothesis that corporate social responsibility is a move from the shareholders wealth to a multi stakeholders welfare target on the one side permanence into the domini index di is shown to increase reduce significantly total sales per employee returns on equity but not when large and r d investing firms are excluded from the sample on the other side lower returns on equity for domini firms seem nonetheless to be accompanied by relatively lower conditional volatility and lower reaction to extreme shocks with respect to the control sample an explanation for these findings suggested by the inspection of domini criteria is that social responsibility implies on the one side decisions leadi

intra day and inter market volatility in foreign exchange rates four foreign exchange spot rate series recorded on an hourly basis for a six month period in 1986 are examined a seasonal garch model is developed to describe the time dependent volatility apparent in the percentage nominal return of each currency hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worlds major markets robust lm tests designed to deal with the extreme leptokurtosis in the data fails to uncover any evidence of misspecification or the presence of volatility spillover effects between the currencies or across markets

modeling beef supply response and price volatility under cap reforms the case of greece abstract this study examines the supply response of the greek beef market and the possible effect of the european union s common agricultural policy cap on the greek beef sector during the period 1993 2005 a generalized autoregressive conditional heteroskedasticity garch process is used to estimate expected price and price volatility while several different symmetric asymmetric and non linear garch models are estimated the empirical results show that price volatility and feed price are important risk factors in the supply response function while the negative asymmetric price volatility that was detected implies that producers have a weak market position furthermore the empirical findings confirm that the annual premium paid by the eu to beef producers had a positive impact on the production level and also the change of the eu price support regime after 2006 is having negative effects on beef production level in greece