oil price cycles and wavelets abstract the present paper addresses the question of the oil price macroeconomy relationship using world data and a time scale decomposition based on the theory of wavelets our approach is based on a global indicator the morgan stanley capital international msci index for the world and on the new framework offered by wavelets to analyse the oil price cycles and to investigate the oil price msci relationship this original approach enables us to identify that the cycles which contribute the most to oil price variations are 20 to 40 years cycles which correspond to the size of kuznets infrastructure cycles and probably represent energy investment cycles this wavelet decomposition also provides additional evidence to the reverse causality theory

effects of speculation and interest rates in a carry trade model of commodity prices abstract the paper presents and estimates a model of the prices of oil and other storable commodities a model that can be characterized as reflecting the carry trade it focuses on speculative factors here defined as the trade off between interest rates on the one hand and market participants expectations of future price changes on the other hand it goes beyond past research by bringing to bear new data sources survey data to measure expectations of future changes in commodity prices and options data to measure perceptions of risk some evidence is found of a negative effect of interest rates on the demand for inventories and thereby on commodity prices and positive effects of expected future price gains on inventory demand and thereby on today s commodity prices

oil price shocks and their short and long term effects on the chinese economy a considerable body of economic literature shows the adverse economic impacts of oil price shocks for the developed economies however there has been a lack of empirical study of this kind on china and other developing countries this paper attempts to fill this gap by answering how and to what extent oil price shocks impact china s economy emphasizing on the price transmission mechanisms to that end we develop a structural vector auto regressive model our results show that an oil price increase negatively affects output and investment but positively affects inflation rate and interest rate however with the differentiated price control policies for materials and intermediates on the one hand and final products on the other hand in china the impact on real economy represented by real output and real investment lasts much longer than that to price monetary variables our decomposition results also show that the short term impact namely output decrease induced by the cut of capacity utilization rate is greater in the first one to two years but the portion of the long term impact defined as the impact realized through an investment change increases steadily and exceeds that of short term impact at the end of the second year afterwards the long term impact dominates and maintains for quite some time

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

considering macroeconomic indicators in the food before fuel nexus abstract a structural vector autoregression svar model along with a direct acyclic graph is employed to decompose how supply demand structural shocks affect food and fuel markets the results support the hypothesis that fundamental market forces of demand and supply are the main drivers of food price volatility increased biofuel production may cause short run food price increases but not long run price shifts decentralized freely operating markets will mitigate the persistence of any price shocks and restore prices to their long run trends the main policy implications are that oil gasoline and ethanol market shocks do not spillover into grain prices which indicates no long run food before fuel issue in the short run grain prices can spike due to market shocks so programs designed to blunt these price spikes may be warranted

livelihoods and poverty the role of migration a critical review of the migration literature this review of the literature concludes that development studies have paid insufficient attention to labour migration and makes a plea to integrate analyses of migration within those of agricultural and rural development it emphasises that population mobility is much more common than is often assumed and that this has been so throughout human history in fact available material suggests that it is as likely that population mobility has decreased as that it has increased a review of empirical studies shows that it may not be possible to generalise about the characteristics of migrants or about the effects of migration on broader development inequality or poverty the review concludes that given the importance of migration for the rural livelihoods of many people policies should be supportive of population mobility and possibilities should be explored to enhance the positive effects of migration

long run prices of primary commodities and oil prices acutely volatile movements in primary commodity prices have drawn considerable interest from empirical researchers exports of these commodities account for the bulk of export earnings of developing countries the traditional demand based framework was unable to explain the marked deterioration in these prices during the 1980s this paper tries to ascertain the role played by real oil prices in explaining the extremely volatile movements in real prices of primary commodities by taking into account oil price shocks over the period 1973 1996 using monthly data real primary commodity prices and real oil prices are cointegrated additionally the error in the cointegrating relation stimulates real commodity price adjustment not real oil price adjustment

food energy nexus in europe price volatility approach abstract the literature on food biofuel price volatility spillovers is growing published articles so far have widely ignored nonlinearities and the influence of exogenous variables on volatility patterns this article allows for these issues when characterizing eu biodiesel industry price dynamics while brazilian and us ethanol markets have been thoroughly investigated less attention has been paid to eu biodiesel markets pure eu biodiesel and rapeseed oil prices are the object of our research two different methods are applied to model these data a parametric approach and long et al s 2011 semiparametric approach empirical results suggest significant asymmetries in volatility spillovers between pure biodiesel and rapeseed oil prices rapeseed stock levels and euro dollar exchange rates are found to play a significant role in reducing food and biofuel price volatilities

on the dynamic effects of oil price shocks a study using industry level data abstract this paper analyzes the effects of oil price shocks on demand and supply in various industries the impulse responses of identified var models indicate that for industries that have a large cost share of oil such as petroleum refinery and industrial chemicals oil price shocks mainly reduce supply in contrast for many other industries with the automobile industry being a particularly important example oil price shocks mainly reduce demand the paper suggests that oil price shocks influence economic activities beyond that explained by direct input cost effects possibly by delaying purchasing decisions of durable goods

interstate migration in mexico variations on the todaro theme abstract this study of migration in mexico is based upon a modified todaro approach and utilizes census data in a simultaneous equations model of 13 variables it is unique in several ways a it introduces proxy variables for employment probability and cost of migration that have not heretofore been found in the literature but for which data are often available b it illustrates that in some important cases census data have advantages not available through surveys and c it finds that in some sense land reform in mexico may have operated perversely finally the study opens a new avenue for the study of informal sector growth

discrimination in consumer lending this paper tests for the existence of discrimination in consumer lending by finance companies in texas before the passage of the equal credit opportunity act the data used permit conclusions about discrimination in the market not just in the behavior of a small number of creditors the tests suggest that lenders did not discriminate against factors now protected by ecoa these companies may have discriminated against single borrowers of both sexes and against widows but not married women or divorced borrowers the results support the view that consumer credit markets as a whole were not characterized by widespread systematic discrimination copyright 1990 by mit press

the relationship between energy and equity markets evidence from volatility impulse response functions this paper examines the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate bekk model of the goldman sach s energy index and the sp in addition we also calculate the time varying conditional correlations and time varying dynamic hedge ratios from volatility impulse response functions we find that low sp however we find only a weak response from s p 500 volatility to energy price shocks moreover our dynamic hedge ratio analysis suggests that the energy index is generally a poor hedging instrument

a canonical correlation analysis of commercial bank asset liability structures commercial banks have been the subjects of a large body of empirical re search employing regression and econometric models and discriminant analysis the purpose of this paper is to empirically identify and describe relationships including hedging behavior between the asset side and the liability capital side of the balance sheets of a cross section of large u s banks canonical correla tion analysis is the statistical technique that is employed unlike regression anal ysis which explains the behavior of a single dependent variable as a function of a set of independent variables canonical correlation analysis relates two sets of variables in the present case one set of variables is the composition of the lefthand side of the balance sheet and the other set is the right hand side the vari ables used in this study are asset and liability capital categories expressed as a proportion of total bank assets i e a percentage breakdown of the balance sheet or a common size statement these proportions are used in lieu of the more usual financial ratios and no information exogenous to the bank is employed a recent article by stowe watson and robertson 22 examines the rela tionships between the two sides of the balance sheets of a cross section of 510 large nonfinancial corporations they used canonical correlation analysis to ex plore relationships between the structure of the left and right hand sides of the balance sheet 1 the empirical results suggested several relationships 1 the firms seemed to use hedging matching the maturity structure of assets and lia bilities 2 some assets such as accounts receivable and real estate could be used as collateral for short term bank or factor loans and mortgages respectively 3 commodity producing firms should have higher levels of both inventories and accounts payable than service providing firms and 4 high risk businesses may

modeling volatility and correlations between emerging market stock prices and the prices of copper oil and wheat abstract increased financial integration between countries and the financialization of commodity markets are providing investors with new ways to diversify their investment portfolios this paper uses varma agarch and dcc agarch models to model volatilities and conditional correlations between emerging market stock prices copper prices oil prices and wheat prices the dynamic conditional correlation model is found to fit the data the best and used to generate dynamic conditional correlations hedge ratios and optimal portfolio weights emerging market stock prices and oil prices display leverage effects where negative residuals tend to increase the variance conditional volatility more than positive ones correlations between these assets increased considerably after 2008 and have yet to return to their pre 2008 values on average oil provides the cheapest hedge for emerging market stock prices while copper is the most expensive but given the variability in the hedge ratios one should probably not put too much emphasis on average hedge ratios

internal and international migration in mexico 1995 2000 using micro data from mexico and us 2000 population censuses and following a multi choice variant of roy s 1951 model this article pools into one model the determinants of internal and international migration in mexico while paying explicit attention to the potential problem of self selection the results reveal that ignoring multiple destinations in the migration decision might lead to erroneous inferences about the determinants of migration and the type of selection after controlling for wage differences the results suggest that single adult men with low schooling levels tend to migrate to the us while married women and men with higher levels of schooling tend to migrate within mexico we also found that there are strong differences between domestic and international social networks

time frequency causality and connectedness between international prices of energy food industry agriculture and metals abstract this study analyzes the lead lag relationship between the price indices of energy fuels and each of food industrial inputs agriculture raw materials metals and beverages in the time frequency domain to this end we first use the wavelet coherency and phase differences next we use the diebold and yilmaz 2012 and barunik and krehlik 2017 spillover indices to analyse the connectedness among the set of the price indices under consideration the period of the study is 1990m1 to 2017m5 the wavelet coherency results reveal that there are important and significant relations between the fuel and food prices the fuel and industrial prices and the fuel and metal prices these results also show that there are phase relationships between those paired prices the volatility spillover results indicate that the agricultural sector is the most affected by shocks from the other markets the return series of the industrial input prices at all frequencies appears to be the main source of volatility transmission to the prices of the other commodities over the whole period this finding underlines the relevance of the industrial inputs to policy makers particularly when they design policies to provide incentives related to industrial production

volatility spillovers between food and energy markets a semiparametric approach previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches this article examines these links by using a semiparametric garch model recently proposed by long et al 2011 which is essentially a nonparametric correction of the parametric conditional covariance function the analysis focuses on price links between crude oil ethanol and sugar prices in brazil results suggest strong volatility links between the prices studied parametric approximations of the conditional covariance matrix may lead to misleading results that can be improved upon by using nonparametric techniques

internal migration and urban employment reply despite the diversity and intensity of michael todaro s comment 1986 the essence of controversy reduces to differences in the respective views of the urban subsistence sector each view in turn depends upon a distinctive viewpoint observing from the viewpoint of the bureaucrat and other elite to whom he defers in his comment todaro sees the large cityward flow of third world humanity as a menace destroying urban amenities todaro s focus being the modern sector his model only incorporates an urban subsistence sector indirectly and then only as a way station on the route to modern sector employment his assumption is that every potential migrant has modern sector employment as an explicit goal conceptually he leaves no room for the uneducated rural persons whose aspirations are keyed to the modest employments of the urban subsistence sector we on the other hand look from below from the subsistence sector from there we see both rural and urban welfare gains from observed spatial movement of labor we grant that unpleasant externalities may be involved especially from the point of view of a discomfitted elite however those possible externalities should be studied in their own right and have no place in a debate between competing explanations of migration 2 the present debate therefore comes down to a straightforward empirical question if in fact there are persons who move to the city with the intent of taking up permanent employment in the urban subsistence sector then their decisions cannot be explained by todaro if they are few in number the theorist may assume them away if their numbers are significant however migration flows must be viewed as dual in nature and an alternative explanation for the subsistence portion is required todaro s crucial point is that the colesanders theory requires them to make an artificial separation of migration flows into those who go to the modern sector and those who go to and remain in the subsistence sector this argument is effectively countered we believe by our crucial point that todaro s view of an undifferentiated flow carries with it the inappropriate assumption that all migrants deem themselves able to enter into modern sector employment 3

nonlinearities in the u s corn ethanol oil gasoline price system we use a smooth transition vector error correction model to assess price relationships within the u s ethanol industry monthly ethanol corn oil and gasoline prices from 1990 to 2008 are used in the analysis results indicate the existence of long run relationships among the prices analyzed strong links between energy and food prices are identified

assessing the effect of oil price on world food prices application of principal component analysis the objective of this paper is to investigate the co movement of food prices and the macroeconomic index especially the oil price by principal component analysis to further understand the influence of the macroeconomic index on food prices we examined the food prices of seven major products eggs meat milk oilseeds rice sugar and wheat the macroeconomic variables studied were crude oil prices consumer price indexes food production indexes and gdp around the world between 1961 and 2005 we use the scree test and the proportion of variance method for determining the optimal number of common factors the correlation coefficient between the extracted principal component and the macroeconomic index varies between 0 87 for the world gdp and 0 36 for the consumer price index we find the food production index has the greatest influence on the macroeconomic index and that the oil price index has an influence on the food production index consequently crude oil prices have an indirect effect on food prices

oil prices stock markets and portfolio investment evidence from sector analysis in europe over the last decade this article extends the understanding of oil stock market relationships over the last turbulent decade unlike previous empirical investigations which have largely focused on broad based market indices national and or regional indices we examine short term linkages in the aggregate as well as sector by sector levels in europe using different econometric techniques our main findings suggest that the reactions of stock returns to oil price changes differ greatly depending on the activity sector in the out of sample analysis we show that introducing oil asset into a diversified portfolio of stocks allows to significantly improve its risk return characteristics

instability in rural urban migration following decades of large scale rural urban migration in developing countries the authors note the recent growth in reverse migration or migration from urban centers to suburban or rural areas which suggests that the labor market adjustment process may be unstable it is our purpose here to investigate the question of stability using some recent developments in nonlinear dynamic analysis and to do so within a framework which closely resembles the original harris todaro model we find that instability is indeed a possibility and that regular or irregular nonperiodic fluctuations can be propagated even in the absence of any exogenous shocks the source of these results is the lag in adjustment on labour markets combined with the nonlinearity of the labour supply function excerpt

skilled unskilled wage inequality and urban unemployment i introduction an extensive body of literature has looked at possible effects of trade liberalization on the labor market in the north the effects on the labor market in the south have not drawn as much attention conventional wisdom associated with the stolper samuelson theorem predicts a gradual reduction of skilled unskilled wage inequality in the south however recent studies on latin american countries exhibit conflicting patterns wood 1997 summarizes the empirical findings citing a series of articles by robbins 1995a 1995b 1996a 1996b that convincingly demonstrate that latin america has experienced an increasing wage gap between the skilled and the unskilled following a more open trade and investment regime while globalization induced changes in production patterns and the consequent increase in the demand for skilled labor relative to unskilled labor has often been cited as the root cause of wage inequality there has been no general agreement over the possible source of such increased demand for skilled labor the debate among economists on this has followed two broad paths one relying on technological changes and the other on trade and investment while technological change may have played a key role in the widening wage gap in the industrialized countries there is strong evidence robbins 1994a 1994b 1995a 1995b 1996a 1996b robbins and zveglich 1995 wood 1997 indicating the dominant influence of trade and investment on wage inequality in the developing economies the implications of a more open trade and investment regime need to be analyzed in terms of frameworks that explicitly take into account the structural features of labor markets in the south one of the key structural differences between the north and the south is that the south experiences a pronounced rural urban migration in the presence of urban unemployment basu 1997 ray 1998 the goal of our paper was to capture this feature within the structure of a simple general equilibrium model in an effort to understand the effect of fragmentation on the skilled unskilled wage differential and employment in the south the rest of the paper is organized as follows the next section places this paper in the context of the relevant literature section iii describes the general equilibrium model with the possibility of fragmentation and unemployment section iv compares and contrasts the impact of trade and endowment on the skilled unskilled wage gap and employment with and without fragmentation section v concludes ii context the motivation of this paper stems from our view that the southern experience does not necessarily contradict conventional wisdom as has been claimed in wood 1997 but points to the need for parsimonious yet meaningful modifications of the structure of general equilibrium models from which the wisdom is derived to properly reflect the salient structural features of the south on the one hand production fragmentation has become an important facet of globalization in modern times 1 sharp declines in transportation and communication costs have encouraged this process of slicing the value chain that is evident in international trade data this has been sustained by various regional integration agreements that have reduced the barriers to international trade and investment as well as important technical innovations in telecommunications and information technology that have facilitated the coordination of international production networks this advanced stage in the international division of the chain of production has brought a fundamental change in the nature of international trade as goods increasingly cross multiple national borders while they are in process several authors such as jones kierzkowski and lurong 2005 wan 2005 long 2005 jones and kierzkowski 1998 jones and marjit 2001 arndt 1998 feenstra 1998 harris 1998 hummels rapoport and yi 1998 feenstra and hanson 1996b and dixit and grossman 1982 have analyzed the role of fragmentation in world trade

the effect of global oil price shocks on china s agricultural commodities abstract this paper studied the effect of global oil price shocks on agricultural commodities in china including strong wheat corn soybean bean pulp cotton and natural rubber we regarded oil price volatility process as a combination of continuous process and jump process we not only separated oil price shocks into positive and negative categories to identify different effects on agricultural commodities in continuous process but also investigated how jump behavior influenced these agricultural commodities we found that the oil price was characterized by volatility clustering and jump behavior at the same time oil price shocks had different effects on agricultural commodities in addition the shocks on most agricultural commodities were asymmetric only natural rubber was under influence of the jump intensity of the oil price in contrast to strong wheat corn soybean bean pulp and cotton

international economic policy uncertainty and stock prices wavelet approach this paper examines the link between economic policy uncertainty and stock price in both a time and frequency domain wavelet analysis reveals that the relationship is generally negative but changes over time exhibiting low to high frequency cycles moreover the timing of frequency changes overlaps when us policy uncertainty comoves with other countries policy uncertainty

marriage divorce and interstate risk sharing in this paper we study the importance of marriage for interstate risk sharing in the us we find that us federal states in which married couples account for a higher share of the population are less exposed to state specific output shocks thus in addition to improving the allocation of risk at the individual level marriage also has implications for risk sharing at the more aggregated state level quantitatively the impact of marriage on interstate risk sharing varies over divorce regimes