short selling and the price discovery process we show that stock prices are more accurate when short sellers are more active first in a large panel of nyse listed stocks intraday informational efficiency of prices improves with greater shorting flow second at monthly and annual horizons more shorting flow accelerates the incorporation of public information into prices third greater shorting flow reduces post earnings announcement drift for negative earnings surprises fourth short sellers change their trading around extreme return events in a way that aids price discovery and reduces divergence from fundamental values these results are robust to various econometric specifications and their magnitude is economically meaningful the author 2012 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

distinguishing between equilibrium and integration in spatial price analysis this article introduces a new spatial price analysis methodology based on maximum likelihood estimation of a mixture distribution model incorporating price transfer cost and trade flow data this method permits differentiation between market integration and competitive market equilibrium and derivation of intuitive measures of intermarket tradability competitive market equilibrium perfect integration segmented equilibrium and segmented disequilibrium one can also use these estimates to derive semiparametric measures of time varying regime probabilities to track changing market conditions an application to trade in soybean meal among pacific rim economies demonstrates the usefulness of the method copyright 2002 oxford university press

measures of agricultural support policies in transition economies 1994 1997 in the pre reform period agriculture was heavily subsidized in most central and eastern european countries ceec s around 1989 most ceec s began to open up their markets liberalize prices and reduce subsidies and the level of support provided to agriculture declined drastically while not questioning the direction of economic reforms there was concern that the decline in profitability in farning would slow down the impetus for farm restructuring in particular the drive for privatization of land as demanded by potential new farmers however after pursuing rather liberal agricultural policies at the beginning of the transition period some ceec s in recent years have reintroduced higher levels of support stefan tangerman 1996 in this paper based on estimates of various support indicators for the period beginning roughly in 1994 i will address some of the more important questions regarding agricultural support what has been the impact of trade and price policy interventions on the net income of farmers and government budgets how level has the playing field been since the reintroduction of support does the current economic environment provide an appropriate and sound basis for adjustment toward a more competitive agricultural sector this analysis is part of a comparative study by the world bank which covers bulgaria poland romania ukraine and russia in progress plus germany and turkey two reference cases geographically located at the border of the ceec s for each country employing the same methodology the study considers approximately eight commodities which are representative of the country s major import competing and export products

on the transmission of world agricultural prices two questions are asked about the relationship between domestic prices and world prices of agricultural commodities are variations in world prices transmitted to domestic prices domestic prices are regressed on world prices in various forms taking into account the possible effects of exchange rates and inflation the empirical analysis is based on data from the food and agriculture organization of the united nations for 58 countries from 1968 78 and for the countries of the european community from 1961 85 the results show that most of the variations in world prices are transmitted and that they constitute the dominant component in the variations of domestic prices

producer subsidy equivalents for russian agriculture estimation and interpretation in this paper we present estimates of producer subsidy equivalents pses for russian agriculture over the 1992 94 period the estimated values are highly negative indicating that russian agriculture has been heavily taxed two types of taxation have been at work first government trade and price policies at the regional as well as the federal level have operated to keep domestic producer prices below world prices second deficient russian physical and institutional infrastructure has resulted in high domestic transaction costs for russian agricultural output since in competing with goods on the world market russian producers must bear all the costs of getting their output to final users the high transaction costs in an economic sense also tax domestic production the pse methodology was created to measure the effect on agricultural prices and incomes of government policies targeted specifically at agriculture to be consistent with standard methodology one should subtract out from the initial price gap estimates for russian agricultural output that part of the price differential caused by deficient domestic infrastructure an alternative approach though is based on recognition that the deficient infrastructure was in

energy consumption at business cycle horizons the case of the united states in this paper we propose a simple extension to a keynesian type macro model by augmenting it with energy consumption we show the relationship between energy consumption and output in a macroeconomic setting and ask the question do permanent shocks dominate changes in energy consumption and output at business cycle horizons for the united states to achieve the goal of this paper we undertake a variance decomposition analysis of shocks based on a common trend and common cycle framework within a vector error correction model our main finding is that permanent shocks explain the bulk of the variations in energy consumption and output at business cycle horizons for the united states

calculating levels of protection is it always appropriate to use world reference prices based on current trading status abstract protection measures such as the nominal protection coefficient npc the effective protection coefficient epc the producer subsidy equivalent pse and the consumer subsidy equivalent cse are conventionally calculated using world reference prices based on current trading status under certain conditions the conventional approach can lead to incorrect estimation of the degree and sometimes even the direction of protection this paper spells out the conditions under which use of world reference prices based on current trading status is incorrect and presents data for wheat in pakistan to illustrate how failure to consider these conditions can lead to misleading policy recommendations

co movements of oecd growth cycles the study is of short run and long run co movements and convergence across 21 oecd real per capita outputs on a sample period spanning 1960 to 1992 using dynamic principal components analysis and coherence analysis we reject the hypothesis of convergence but find evidence for long run growth cycles closely related across countries in particular the g5 group exhibits the highest degree of economic integration in the long run the group of the original members of the community also exhibits linkages at high and medium frequencies and represents the most homogeneous area in europe in terms of output dynamics both in the long and short run

the transfer efficiency and trade effects of direct payments all the different ways governments use to provide financialsupport to farmers can potentially distort trade and reduce net economic welfare however there are some types of support that are less trade distorting and more efficient than others this article reports the results of an analysis that examined different policy measures providing support to crop producers to rank them in terms of their effects on a selection of indicators with a particular focus on trade distortion and income transfer efficiency 1 we begin with an analysis of the differences in policy impacts among the three main categories of support provided to crop producers in oecd countries market price support payments based on land use and payments based on use of purchased inputs oecd 2001c that analysis is based on a two region model of equilibrium in the world market for a representative crop analytical solutions to this modelare devel oped to compare the production trade and income effects of the different support measures following procedures used in cahill and in moro and sckokai comparisons are of impact ratios using market price support as the reference category these ratios measure the effect on production trade or farm income of a given joe dewbre jesus anton and wyatt thompson are economists in the agricultural directorate of the organization for economic cooperation and development where the underlying analysis was undertaken the views expressed are our own and not necessarily those of the oecd secretariat or its member countries we thank our secretariat colleagues ken ash carmel cahill wilfrid legg and michele patterson for helpful comments on an earlier draft and stephane guillot for computer programming assistance this article was presented in a principal paper session at the aaea annualmeeting chicago il august 2001 the articl es in these sessions are not subjected to the journal s standard refereeing process 1

friedman s plucking model of business fluctuations tests and estimates of permanent and transitory components in milton friedman s model output cannot exceed a ceiling level but occasionally is plucked downward by recession implying fluctuations are asymmetric recessions transitory and recessions duration dependent though expansions are not the empirical literature lends support but formal modeling has been absent the econometric model presented here encompasses both plucking and symmetric fluctuations around a stochastic trend we find gdp is well characterized by the plucking model implied recessions correspond to nber reference cycles and no role for symmetric cycles decomposition of the unemployment rate reveals a corresponding asymmetry and timing paths of ceiling output and trend unemployment are presented

the ams in agricultural trade negotiations a review abstract this article reviews the role of the aggregate measure of support ams in the agricultural trade negotiations of the uruguay round contrary to expectations at the start of these negotiations the ams only occupies a subsidiary position in the final agreement in order to explain this first an economic analysis is presented of the producer subsidy equivalent pse the basic ams concept in the gatt discussions secondly the political ams debate is described and analysed using information from unpublished gatt documents although the pse concept is based on simple assumptions its measurement already meets a number of difficult problems policy coverage product coverage external reference prices currency once these are solved the concept may offer a brief insight into actual governmental support in agriculture however the calculations do not provide a sound measure of the trade distortions caused by agricultural policies mainly for that reason the idea of a pure aggregated approach based on the ams proved unsuccessful in the negotiations instead the contracting parties accepted the framework of making binding agreements on three separate areas internal support market access and export support while important and very specific commitments were made in the areas of agricultural imports and exports the ams has only found application in the internal support area

a floor and ceiling model of us output abstract building on previous nonlinear time series models we further examine the form of nonlinearity in us output we develop a model of us output that allows for floor and ceiling effects to alter the dynamics of output growth the model estimated on post korean war quarterly data displays features similar to nonlinear trade cycle models of the 1940s and 1950s thus as predicted by many of the earlier theoretical models our empirical results suggest that the turning points of the business cycle provide new initial conditions for the ensuing growth process we also find important asymmetries in the responses of output to positive and negative shocks this history and shock dependence property is not present in linear or approximately linear models of the type that arise in the standard implementations of real business cycle theory

measuring the business cycle effects of permanent and transitory shocks in cointegrated time series abstract this paper proposes a statistical framework to evaluate the contribution of permanent and transitory shocks to the cyclical fluctuations of cointegrated variables an empirical application with us macroeconomic data reveals that transitory shocks are responsible for most of the variability at the business cycle frequencies

an unobserved components model that yields business and medium run cycles we generalize the unobserved components uc model to allow the permanent component to have different dynamics than the transitory components when decomposing u s economic activity using a multivariate uc model of log output consumption and investment we find that these proposed dynamics in the permanent component are statistically significant and distinct from those of the transitory components our approach provides an alternative explanation for the growth cycles identified by comin and gertler 2006 that is related to the cyclical movements in technology in a framework consistent with the beveridge and nelson 1981 decomposition

multivariate detrending under common trend restrictions implications for business cycle research abstract this paper outlines a methodology to detrend multiple time series under common trend restrictions the same filters used to construct the estimated trend in univariate exercises are shown to be appropriate in multivariate studies with a single common trend however to estimate the common trend in the multivariate case the filter is applied to a linear combination of series rather than to each series individually an empirical example and simulation exercises illustrate the implications of common trend detrending for measurement of business cycle properties

trade policy and quality leadership in transition economies trade policy and quality leadership in transition economies are analyzed in a duopoly model of trade and vertical product differentiation we first show that the incidence of trade liberalization is sensitive to whether firms in transition economies are producers of low or high quality second we find that neither free trade nor the absence of a domestic subsidy are optimal both a tariff and a subsidy increase price competition and while the former extracts foreign rents the latter results in quality upgrading third there exists a rationale for a government to commit to a socially optimal policy to induce quality leadership by the domestic firm when cost asymmetries are low finally we establish an equivalence result between the effects of long run exchange rate changes and those of trade policy on price competition but not on social welfare

a new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle abstract this paper introduces a general procedure for decomposition of non stationary time series into a permanent and transitory component allowing both components to be stochastic the permanent component is shown to be a random walk with drift and the transitory or cyclical component is a stationary process with mean zero the decomposition methodology which depends only on past data and therefore is computable in real time is applied to the problem of measuring and dating business cycles in the portwar u s economy we find that measured expansions and contractions are of roughly equivalent duration and that our dating of cyclical episodes tends to lead the traditional nber dating and to a lesser extent the growth cycle chronology of zarnowitz and boschan 1977

is political popularity a random walk this paper tets for nonstationarity in the political popularity of uk parties and governments within the context of an economic model which predicts that party support is an arima 0 1 1 process the hypothesis is rejected for the government s popularity but the results for individual party support are less clear out

some consequences of temporal aggregation in empirical analysis i derive the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class i then study the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity causality cointegration and common features an empirical example with canadian interest rates illustrates the main issues

detrending and business cycle facts a user s guide this note argues that it is hardly the case that the profession is fully aware that the application of di erent filters to the data leads to di erent outcomes and that we have enough evidence to claim that these di erences are unimportant to evaluate the fit models to the data 1998 elsevier science b v all rights reserved jel classification b41 e32

the european union enlargement the case of agriculture in slovenia abstract the costs and benefits of eu accession for slovenian agriculture were estimated and discussed by use of comparative and empirical analyses the structural and natural conditions of slovenian agricultural production and policies differ a lot from the european ones the production is small in scale the support is based on price subsidies producer prices are almost at the level of the european prices and hence they are significantly higher than on the world market the pse computed shows that slovenian agricultural support is at the average level of the oecd member states which directly implies the highest agrarian protection level amongst all ceec candidates by using the static deterministic income model for slovenian agriculture the consequences of various scenarios of accession to the common agricultural policy cap have been estimated also indicating the potential policy changes running the present cap the net income in agriculture would increase further changes of cap and restrictive policy towards new member countries would abate the attractiveness of eu for the slovenian agricultural producers the budget benefits of the eu accession could be described as slightly positive their volume depends on negotiations results as well as on the preparation of domestic policy the eu accession and trade liberalisation process by slovenia calls for a reform of domestic agricultural policy

multivariate estimates of the permanent components of gnp and stock prices the economic assumption that a present value relation holds between consumption and income and between stock prices and dividends or the statistical assumption that the consumption income ratio and the dividend price ratio are stationary imply that the permanent or random walk component in each series of a pair must be the same as the permanent component in the other series of a pair either assumption then allows us to estimate the variance of the permanent component of one series gnp stock prices from the variance of the permanent component of the other consumption dividends or from the covariance of the two series permanent components this paper presents such estimates and finds that the permanent components are about half those estimated by similar univariate methods a series of recent papers has examined the importance of a potential unit root to the behavior of real gnp campbell and mankiw 1986 1987 cochrane 1986 clark 1987 and stock prices fama and french 1986 lo and mai if by 0 the series is stationary the response can be any real number which is the innovation in these estimates instead of forcing us to ask the dichotomous question is there a unit root or not they allow us to continuously measure the importance of a potential unit root the actual estimating technique used in these papers varied somewhat cochrane poterba and summers and lo and mai if a series is stationary the variance of k differences will tend to a precursor to this paper appeared under the title spectral density estimates of unit roots we thank masanao aoki lam hansen masao ogaki and chris sims for helpful suggestions the computer programs and data used in this paper are available on request from the authors

use of the producer subsidy equivalent as a measure of support to agriculture in transition economies measurements of total support or assistance to agriculture using the producer subsidy equivalent pse have become a standard tool of policy analysts in the last decade from its initial use by josling at the food and agriculture organization fao josling fao the pse grew in popularity in parallel with the gatt uruguay round agricultural trade negotiations failure in previous gatt rounds to bring agriculture adequately within gatt rules and disciplines had been attributed in particular to difficulties in capturing the effects of the multiplicity of domestic measures and nontariff barriers to trade in agricultural products grogan pp 297 306 a common yardstick capturing the effects of all these policy measures was needed the organization for economic cooperation and development oecd developed the methodology and applied it progressively to all oecd countries and recently to economies in transition see oecd 1994 1995c and 1995d

analysing agricultural policy reforms under transition in bulgaria abstract the elaboration of an appropriate incentive system including measures of agricultural price and trade policy has important consequences for bulgarian agriculture this paper offers a brief picture of the process of reform towards the establishment of a market economy in bulgaria as well as of the main developments in its agricultural sector an analysis is then presented of the impact of alternative agricultural price and trade policy scenarios for the period up to 2002 the results show that the impact of price and trade policies is modest when compared to that of technological change and the increase in incomes adoption of the cap will stimulate production decrease demand and have strong adverse effects on consumers and taxpayers and wider negative effects on the competitiveness of the food industry thus the issue of extending financial support for structural policies rather than granting direct aid requires further investigation

cyclical fluctuations in strike durations canadian data on strikes between 1946 and 1983 are used to estimate linear regression models for the logarithm of completed duration a thorough investigation of the influence of the business cycle reveals strong support for the hypothesis that strike durations are countercyclical the cyclical effect is shown to be robust to both the choice of cyclical variable and the econometric specification and the magnitude of the effect is quite substantial experimentation with different representations of the cycle reveals that it is difficult to improve on a simple formulation involving a single continuous variable

the term structure of currency carry trade risk premia we nd that average returns to currency carry trades decrease signicantly as the maturity of the foreign bonds increases because investment currencies tend to have small local bond term premia the downward term structure of carry trade risk premia is informative about the temporal nature of risks that investors face in currency markets we show that long maturity currency risk premia only depend on the domestic and foreign permanent components of the pricing kernels since transitory currency risk is automatically hedged by interest rate risk for long maturity bonds our

a measure of the u s output gap abstract an autoregressive distributed lag regression of the unemployment rate on output growth is structurally stable over the 1890 1986 period inverting this equation yields a measure of the output gap which is not subject to the spurious detrending problem

how useful is the pse in determining agricultural support the support of the agricultural sector in developed countries plays a major role in the international policy agenda the producer support estimate pse is one of the best known measures which has been developed by oecd and is used all over the globe in the pse all types of support are aggregated and one of the main components 70 at oecd level is the market price support mps here we show by means of characteristic examples that the mps has no clear relation to basic economic measures determining support for producers as a consequence of policy intervention the mps overestimates the consequences of tariffs and export subsidies and underestimates the consequences of quota systems in determining producer support misperception of the size and directions of support may affect policy decision making wrongly the paper indicates that weighted average producer prices corrected for quantity restrictions may be more useful than the reference prices and quantities used by oecd

producer subsidy equivalents and evaluation of support to russian agricultural producers since many of the conditions taken for granted in mature market economies cannot be assumed for transition economies such as russia the validity of producer subsidy equivalents pse measures is questionable the authors calculate pses for russia being careful in the selection of appropriate farm prices and reference prices and conduct a sensitivity analysis to indicate how the results could be influenced by changes in key assumptions they also provide appropriate interpretations of pse estimations for major agricultural commodities

critical issues suggested by trends in food population and the environment to the year 2020 this article reviews the emerging trends in global food supply and demand up to 2020 and discusses policy challenges and obstacles to meeting this demand data were obtained from the international food policy research institutes international model for policy analysis of commodities and trade rosegrant et al the country specific data pertains to 37 countries and regions and 17 food commodities and prices in the world market cereal prices are expected to decline by about 11 by 2020 meat prices may decline by 6 after 2010 cereal prices are expected to dramatically decline cereal demand will change with changes in income and urbanization maize and coarse grains will be replaced by wheat and rice life style changes may lead to a switch from rice to wheat growth in food consumption in developed countries will slow a projected 82 of growth in global cereal consumption and almost 90 of increased global meat demand will occur in developing countries during 1993 2020 asia alone will account for 48 of increased cereal consumption and 61 of increased meat consumption 88 of food production growth will occur in developing countries through increased yields and 94 in developed countries world trade in cereals will increase from an estimated 185 million metric tons annually to 328 million during 1993 2020 food security for the poor and child malnutrition will remain unimproved yield growth is affected by agricultural research fertilizer and energy use land degradation water scarcity and bad policy water scarcity is the most limiting on yield growth malnutrition problems present multiple challenges

money output and inflation in the longer term major industrial countries 1880 2001 i introduction the empirical role of money growth in the macroeconomy has been studied by many researchers using different data and methods the most prominent studies focusing on the quantity theory of money are those of friedman and schwartz 1963 1982 using data averaged over the phases of the business cycle in order to capture longer run movements with u s and u k data back to 1867 the study by mccandless and weber 2001 is a representative example for a different approach for 110 countries in the post wwii period longer run growth rates are approximated by growth of a variable over a 30 year period average growth rates 1 the problem with phase averaging is that it does not deal with possible nonstationarity of the data 2 the problem with growth averages over long periods while informative to a degree is that they have limitations too it is impossible to assess the timing of movements in these variables 3 in the frequency domain the long run is associated with frequency zero which in our terminology is the long run trend previous studies in the frequency domain on the long run neutrality of money at zero frequency include the studies of lucas 1980 and geweke 1986 the theory of spectral analysis provides a rigorous framework for extracting specific frequency bands from the data instead of considering only frequency zero stock and watson 1998 applied the band pass filter of baxter and king 1999 to extract cycles frequency bands for u s data and focused on the business cycle and on mostly the post wwii period christiano and fitzgerald 2003 proposed an improved band pass filter and provided an application to the longer run relation of money and inflation for bands of 8 20 years and 20 40 years in the united states from 1900 to 1997 4 the usefulness of monetary aggregates for conducting monetary policy has been seriously called into question because of the instability of money demand a prominent empirical study is that of estrella and mishkin 1997 recent mainstream new keynesian models have no explicit role for money woodford 2008 a contrasting view is that the longer term role of money is still of relevance for monetary policy the european central bank explicitly emphasizes a supporting role that monetary aggregates should play in order to provide an anchor for inflation expectations hafer haslag and jones 2007 issing 2006 king 2002 nelson 2003 christiano motto and rostagno 2007 provided a theoretical new keynesian model where inflation expectations lose their anchor unless money is monitored and reacted to also beck and wieland 2008 presented a new keynesian model where cross checking with money growth movements improves inflation control similarly assenmacher wesche and gerlach 2006 2007 found a significant role for a low frequency low pass filtered component of money in the empirical new keynesian phillips curve equation 5 in the spirit of friedman 1961 we use long time spans so that our results are unlikely to be because of a specific policy rule in place in a given period we have 122 years of annual data from 1880 to 2001 before the introduction of the euro in 2002 we have real gross domestic product gdp money and consumer price indices cpis with no gaps for 11 industrialized countries 6 the countries included in our study differ in such terms as their institutions fiscal and monetary policies and economic growth rates nonetheless at least in peace time they were similar in generally having comparatively free markets in which prices and interest rates were determined our aim is to apply analytic methods that are free from economic and statistical models as much as possible in order to explore empirical regularities or stylized facts in the data also the focus of our research is the longer run we employ band pass filters to pick out cycles from each time series that last 8 40 years that is the longer term component

forecasting output gaps in the g 7 countries the role of correlated innovations and structural breaks trend gdp and output gaps play an important role in fiscal and monetary policy formulation often including the need for forecasts in this article we focus on forecasting trend gdp and output gaps with beveridge nelson trend cycle decompositions trend cycle decompositions and investigate how these are affected by assumptions concerning correlated innovations and structural breaks we evaluate expanding window one step ahead forecasts indirectly for the g 7 countries on the basis of real gdp growth rate forecasts we find that correlated innovations affect real gdp growth rate forecasts positively while allowing for structural breaks works for some countries but not for all in the face of uncertainty the evidence supports that in making forecasts of trends and output gap policy makers should focus on allowing for the correlation of shocks as an order of priority higher than unknown structural breaks

the extent of the market and stages of agricultural specialization this paper provides empirical evidence of nonlinearity in the relationship between crop specialization in a village economy and the extent of the market size of the urban market relevant for the village the results suggest that the portfolio of crops in a village economy becomes more diversified initially as the extent of the market increases however after the market size reaches a threshold the production structure becomes specialized again this evidence on the stages of agricultural diversification is consistent with the stages of diversification identified in the recent literature for the economy as a whole and also for the manufacturing sector the evidence highlights the importance of improving farmers access to markets through investment in transport infrastructure and removal of barriers to trading

exchange rate effects on inputs and outputs in canadian agriculture in a seminal piece of work schuh demonstrates using a single market partial equilibrium model that exchange rates have a large impact on the price received for farm products he argued that the overvalued u s dollar reduced export demand and the domestic price of u s grains since then much of the work on estimating the impact of exchange rate changes on agriculture has implicitly assumed that inputs to the agricultural sector come from the nontraded sector we argue this assumption can result in an error in the estimation of the effects of exchange rates in an examination of the passthrough of changes in the us cdn exchange rate we find the data from 1975 to 1989 are consistent with the hypothesis of a complete passthrough of exchange rates for many important variable inputs to canadian agricultural production this analysis indicates that while exchange rates may have had significant impacts on the return to fixed factors and farm income they have had little effect on grain production in the case of livestock feeding in canada exchange rate devaluations may actually reduce production and reduce the return to fixed factors because inputs especially grain are more tradeable than outputs finally we examine the potential welfare impact on nontradeables such as land from changes in the exchange rate theoretical model

valuing the impact of trade on local blue water international trade of agricultural goods impacts local water scarcity by quantifying the effect of trade on crop production on grid cell level and combining it with cell and crop specific virtual water contents we are able to determine green and blue water consumption and savings connecting the information on trade related blue water usage to water shadow prices gives us the possibility to value the impact of international food crop trade on local blue water resources to determine the trade related value of the blue water usage we employ two models first an economic land and water use model simulating agricultural trade production and water shadow prices and second a global vegetation and agricultural model modeling the blue and green virtual water content of the traded crops our study found that globally the international trade of food crops saves blue water worth 2 4 billion us this net saving occurs despite the fact that europe exports virtual blue water in food crops worth 3 1 billion us countries in the middle east and south asia profit from trade by importing water intensive crops countries in southern europe on the other hand export water intensive agricultural goods from water scarce sites deteriorating local water scarcity

on the credit to gdp gap and spurious medium term cycles abstract i provide empirical evidence suggesting that the credit to gdp gap is subject to spurious medium term cycles i e artificial boom bust cycles with a maximum duration of around 40 years

exchange rate alignment and producer support estimates pses for india this article examines the effects of exchange rate alignment during 1985 2002 on agricultural producer support estimates pses for india based on several time series techniques the equilibrium exchange rate of the indian rupee and the corresponding misalignment of the actual rate are estimated and applied to recent pse calculations our results show that the exchange rate was substantially misaligned before a financial crisis and macroeconomic reform in the early 1990s with subsequent indirect effects on the pses we find a relatively high pass through of exchange rate movements to domestic agricultural prices so that removal of the exchange rate misalignment would have improved incentives to indian farmers during this period more recently this indirect exchange rate effect is smaller than the direct effect in the pses indicating the dominance of sectoral specific policies over economy wide policies

examining trends of criteria air pollutants are the effects of governmental intervention transitory despite its growth in other areas of economics time series econometric methods have not beenwidespread in the area of environmental andresource economics we illustrate one use oftime series methods by examining the time pathof us nitrogen oxide nox emission dataover the period 1900 1994 the analysishighlights that proper time series methods canaid in optimal regulatory policy as well asdeveloping empirical verification of theoriesput forth to explain economic phenomena inaddition several interesting results emerge first we find that the emissions seriescontains both a permanent and random component second if one attributed all of the emissionsreductions to regulatory policy interventionanalysis suggests that the 1970 clean air act caa did not merely have transitory effects but permanently influenced the noxemission path in terms of total regulatoryimpact an upper bound on the emissions saveddue to the 1970 caa is in the range of27 48

testing for a santa claus effect in growth cycles abstract we examine the seasonal distribution of turning points in the post war growth cycles of sixteen economies using nonparametric tests for distributions on the circle we cannot reject a uniform distribution for the turning points for most of the countries in the case of troughs uniformity is supported for eleven countries notwithstanding the unusually large number of december or january troughs this provides evidence against a santa claus effect in the growth cycle

time series decomposition and measurement of business cycles trends and growth cycles abstract a study of business cycles does not require trend estimation and elimination but a study of growth cycles does major cyclical slowdowns and speedups deserve to be analyzed but the needed time series decomposition presents difficult problems mainly because trends and cycles influence each other we compare cyclical movements in levels deviations from trend and smoothed growth rates for both the quarterly real gdp and the monthly u s coincident index using the phase average trend pat then we compare alternative trend estimates deterministic and stochastic linear and nonlinear and the corresponding series of deviations from these trends we discuss how the resulting estimates differ for u s growth cycles in the post world war ii period the results of pat show great similarity to the results obtained with the hodrick prescott local linear trend band pass filtering methods

adjustment costs and pricing to market theory and evidence abstract this paper develops an adjustment cost model of pricing to market the model consists of a monopolist who supplies an identical nondurable good to two foreign markets it is shown that the degree of pricing to market increases with the relative importance of the transitory component in exchange rates customs data from 1978 through 1987 on u s and canadian imports of seven german commodities are used to estimate the model s parameters and test its over identifying restrictions

differentiating between business cycles and growth cycles evidence from 15 developed countries growth cycles are often mistaken for business cycles although these two have different statistical properties in order to differentiate between them in a statistically satisfactory manner the bayesian information criterion bic based model selection approach is presented business cycles are described by the cyclical trend model and growth cycles are described by the trend plus cycle model whether the observed time series is derived from business cycles or from growth cycles is determined as a result of model selection it is shown via data based simulations that the proposed method works well in most situations empirical results obtained for 15 countries suggest that the business cycle model is selected for five countries the growth cycle model is selected for two countries and the trend plus noise model is selected for eight countries

analysis of us real gnp and unemployment interactions abstract instead of the more common unemployment rate the time series data of the level of us unemployment is used together with us real gnp and later also with the us money stock to identify a bivariate and trivariate structural model the model is then used to examine the interaction of the unemployment level with the real gnp in the business cycle frequencies the commonly perceived okun s law is shown to disappear in the trivariate model

decomposing changes in agricultural price gaps an application to russia the article develops a method for decomposing changes in agricultural price gaps defined as the difference between a commodity s domestic producer and border prices we use oecd s procedure for decomposing changes in the market price support part of producer support estimates as the starting point for our decomposition method and our method provides a basis for critiquing oecd s decomposition approach the transmission of changes in border prices world prices and the exchange rate to domestic prices is a key element in the decomposition the method is demonstrated using russian agricultural price gaps the results support the argument that for russian agriculture during the transition period the main cause of changes in price gaps has been incomplete transmission of changes in the exchange rate to domestic prices and where the weak transmission results mainly not from policy intervention but rather from deficient market conditions in particular poor market infrastructure the policy implication is that underdeveloped infrastructure has strongly limited the benefits to the russian economy from agricultural trade liberalization

income risk the tax benefit system and the demand for children because children represent an irreversible commitment parents might hedge against higher income risk by having fewer children we show that under plausible assumptions recent increases in income risk might have reduced prudent parents desired fertility responses to this via the tax benefit system are considered introducing an expected revenue neutral transfer cum child benefit system under proportional taxation which lets the government share the household s income risk increases desired fertility for parents who would choose to have small families in this system s absence pound for pound the targeted child benefit enhances fertility more than the lump sum transfer

implications of alternative options for future levels of support for agriculture in central and eastern europe in the process of political economic and social transformation since 1989 agriculture in the central and eastern european countries the ceecs is undergoing dramatic changes privatization and decollectivization of farms not yet completed in all ceecs are creating a completely new structure of the farming industry buckwell replacement of central planning by market forces has uprooted commercial relationships between farms and upstream and downstream industries and has caused problems in input supplies to and marketing opportunities for agriculture brooks et al the persistence of monopoly structures in the food chain has resulted in high marketing margins depriving farms of some of the revenues they could earn in a more competitive economy ivanova et al oecd 1995a a significant decline in domestic food demand and even more pronounced shrinking export demand from other countries in the former council of mutual economic assistance above all the former soviet union have grossly reduced the size of the market to which ceec agriculture can sell jackson and swinnen karp and stefanou in addition to these and other fundamental changes in the economic environment of agriculture in the ceecs agricultural support as provided by domestic and trade policies has kept changing during the transformation process swinnen in the prereform period agriculture was heavily subsidized in most ceecs when the reforms began most ceecs rapidly began to open up their markets liberalize prices and eliminate subsidies as a result support to agriculture declined drastically real producer prices for farm products dwindled and farm incomes decreased at the same time and as a consequence of these changes in the economic environment agricultural output in the ceecs dropped in the process farmers began to lobby for more support and governments in most ceecs responded positively to these political demands they introduced policies such as intervention purchases guaranteed minimum prices higher tariffs variable levies export subsidies and input and credit subsidies as a result agricultural support which had declined sharply during the early stages of the transition process is on the rise again in many ceecs for example the net producer subsidy equivalent pse in poland s agriculture fell from 36 in 1986 to minus 18 in 1990 and rose again to positive 16 in 1993 oecd 1995b when ceec governments began to intervene again in agricultural markets to provide more support to their farmers one of the explanations they gave for this change in policy direction was that they had to prepare for joining ultimately the european union eu and hence that they needed to harmonize their policies with the common agricultural policy cap of the eu swinnen indeed some of the agricultural policy measures introduced in recent years in the ceecs resemble though often only vaguely the policies that have been employed by the cap for a long time no timetable has so far been set for eastern enlargement of the eu nor is it clear in which sequence the individual

the prebisch singer hypothesis a reappraisal independent of stationarity hypotheses time series behaviour of the relative price of primary commodities raul prebisch i950 and hans singer i950 believed that the long term trend of primary commodity prices was negative the latter in an interesting discussion of the above quandary pp 482 3 viewed rises in primary commodity prices as purely temporary sources of surplus that offered short lived opportunities to increase industrial investment these opportunities were missed by private investors who instead increased primary sector investment in such circumstances because all private activity tends to be governed by the price

estimating long run economic equilibria with stochastic trends an asymptotic theory is provided to analyze a menu of currently existing estimators of cointegrated systems we study in detail the single equation ecm seecm approach of hendry our theoretical results lead to prescriptions for empirical work such as specifying seecm s nonlinearly and including lagged equilibrium relationships rather than lagged differences of the dependent variable as covariates simulations support these prescriptions and point to problems of overfitting not encountered in the semiparametric approach of phillips and hansen 1990

the surge in capital inflows to developing countries an analytical overview after being excluded from world capital markets during the debt crisis many developing countries have experienced large capital inflows during the past five years the challenges that these inflows pose for domestic policy in recipient countries have generated a substantial literature this article presents an overview of that literature describing the characteristics of the new inflows analyzing the policy issues they raise assessing their causes and likely sustainability and evaluating potential policy responses the desirable policy response is tied to characteristics of the flows themselves as well as to the characteristics of the recipient economy

unemployment and infant health times series evidence from the state of tennessee this is the first study that decomposes unemployment into its structural and cyclical components and investigates their impact on income distribution controlling for the influence of inflation increases in structural unemployment have a substantial

emerging market business cycles learning about the trend abstract emerging market business cycles feature a higher variability of consumption relative to output and a strongly countercyclical trade balance an equilibrium business cycle model in which agents learn to distinguish between the permanent and transitory components of total factor productivity shocks using the kalman filter accounts for these features calibrated to mexico the model accounts for the behavior of consumption and the trade balance for a wide range of variability and persistence of permanent shocks relative to transitory shocks estimation for mexico and canada suggests more severe informational frictions in emerging markets than in developed economies

international comparisons of pricing to market behavior this paper measures the degree of price discrimination across export destinations that is associated with exchange rate changes using u s u k german and japanese industry level data given the industries sampled more price discrimination across destinations is observed in the u k german and japanese data for industries that match across source countries however behavior is very similar across source countries furthermore destination specific price adjustment on exports to the united states from germany and japan is similar to price adjustment observed on shipments to other destinations most variation in the data appears to be related to industry copyright 1993 by american economic association