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

german demand for tourism in spain abstract since germany has traditionally been one of the most important sources of tourism for spain a deep knowledge of the main determinants of the demand may be useful for policy makers and agents of the industry in this paper a dynamic model is used to examine german demand for tourism in spain the proposed model is applied to a panel data set consisting of inbound german tourism in each of the 17 spanish destinations autonomous communities for the period 1991 2003 the empirical results suggest that tourism demand in the previous period has an important effect on current tourism demand the results also indicate that the demand for tourism in spain is a luxury for the germans and highly dependent on the evolution of relative prices and cost of travel between germany and the destination

tourism as a long run economic growth factor the spanish case this paper examines the role of tourism in the spanish long run economic development the tourism led growth hypothesis is confirmed through cointegration and causality testing the results indicate that at least during the last three decades economic growth in spain has been sensible to persistent expansion of international tourism the increase of this activity has produced multiplier effects over time external competitivity has also been proved in the model to be a fundamental variable for spanish economic growth from the empirical analysis it can be inferred the positive effects on income that government policy in the adequacy of supply as well as in the promotion of tourist activity may bring about

adjusting input output models for capacity utilization in service industries abstract the input output i o models assume the stability of economic ratios and regional multipliers over the evaluation period for manufacturing sectors constant multipliers within a short term period may present a reasonable picture of the real world production function tourism industry however is composed of a variety of services in which total output and factor inputs are strongly influenced by capacity utilization cu a conceptual model is proposed in this paper which purports that shifts in cu for perishable services will lead to economies of scale in inputs price changes in the final output capacity constraint on domestic supply and substitution between input factors especially between capital and labor these factors simultaneously modify i o ratios and multipliers traditional i o analysis which assumes constant economic ratios and multipliers will therefore lead to biases in tourism impact estimates especially to value added components as it does not reflect the changing costs of operation in response to shifting supply and demand

a time series analysis of the impact of recession on national park visitation in the united states abstract this study employed a generalized method of moments gmm estimator to monthly data of u s national park visitation to evaluate the effect of recession on visitation five different models with separate macroeconomic measures of recession were first estimated and then compared on their forecasting performance and accuracy results indicate that recession regardless of the macroeconomic measure used was negatively associated with demand to visit national parks survey based measures of recession that directly captured the consumer s confidence on the current and future state of economy outperformed other measures that relied on secondary economic data in explaining the impact of recession effect of recession varied among various types of visitation suggesting that certain sub sectors of national park tourism could experience a disproportionate burden of recession than others findings have important implications in understanding and managing the impact of recession on national parks and similar recreation areas

cointegration analysis of german and british tourism demand for greece abstract germany and great britain are traditionally two of the most important sources of tourism for greece the purpose of this paper is to investigate changes in the long run demand for tourism to greece by these two countries in order to explain the demand for tourism we are using a number of leading macroeconomic variables including income in origin countries germany and great britain tourism prices in greece and transportation cost and exchanges rates between the three countries annual data from the three countries covering the period from 1960 to 2000 are employed augmented dickey fuller test for unit root is examined in the univariate framework and johansen s maximum likelihood procedure is used to test the cointegration method and to estimate the number of cointegrating vectors of var model error correction models are estimated to explain german and british demand for tourism to greece

forecasting international tourist flows to australia a comparison between the direct and indirect methods this paper compares between the use of direct and indirect forecasting of international tourist flows to australia the indirect method is applicable when time series is a contemporaneous aggregate of others which is often the case for tourist flows time series in this case forecasts are generated by aggregating those of the component variables of aggregation an alternative is the direct method whereby forecasts are generated directly from the aggregated variable this paper uses seasonal arima models regression based models and harvey s structural time series models to compare the accuracy of the two forecasting methods we find evidence strongly in favour of the indirect method using monthly time series for international tourist arrivals to australia

the determinants of italian domestic tourism a panel data analysis abstract in this study a gmm panel data estimation is used to investigate the main determinants of italian domestic tourism demand as measured by regional bilateral tourism flows the analysis is developed both at aggregate level and for the two traditional macro areas of the country namely centre north and south for the whole nation the importance of traditional economic variables in determining domestic tourism flows is confirmed however tourist actual choices appear also to be influenced by past experiences and by regional differences in the quality of the wider environment additionally it appears that for italian tourists domestic and international destinations behave as substitutable goods the sub sample analysis highlights some interesting differences between macro areas in particular southern tourists appear more responsive to income variations and less sensitive to prices differentials than their northern counterparts moreover the degree of competition between domestic and outbound trips is higher in the south finally southern tourists seem to be more influenced by environmental attributes while northern tourists are more sensitive to cultural activities

influential factors in crude oil price forecasting abstract this paper identifies factors that are influential in forecasting crude oil prices we consider six categories of factors supply demand financial market commodities market speculative and geopolitical and test their significance in the context of estimating various forecasting models we find that the least absolute shrinkage and selection operator lasso regression method provides significant improvements in the forecasting accuracy of prices compared to alternative benchmarks relative to the no change and futures based models lasso forecasts at the 8 step ahead horizon yield significant reductions in mean squared prediction error mspe with mspe ratios of 0 873 and 0 898 respectively we also document substantial improvements in forecasting performance of the factor based model that employs only a subset of variables chosen by lasso finally the time varying nature of the relationship between factors and oil prices is used to explain recent movements in crude oil prices

dynamic cyclical comovements of oil prices with industrial production consumer prices unemployment and stock prices abstract this paper examines the empirical relationship between oil prices and several key macroeconomic variables in particular we investigate the cyclical comovements of crude oil prices with output consumer prices unemployment and stock prices the methodology involves the use of the hodrick prescott hodrick r j prescott e c 1980 post war us business cycles an empirical investigation working paper carnegie mellon university and baxter king baxter m king r g 1999 measuring business cycles approximate band pass filters for economic time series review of economics and statistics 81 575 593 filters as well as the recently developed full sample asymmetric christiano fitzgerald christiano l j fitzgerald t j 2003 the band pass filter international economic review 44 435 465 band pass filter contemporaneous and cross correlation estimates are made using the stationary cyclical components of the time series to make inference about the degree to which oil prices move with the cycle besides documenting a number of important cyclical relationships using three different time series filtering methods the results suggest that crude oil prices are procyclical and lag industrial production additionally we find that oil prices lead consumer prices

macro economy stock market and oil prices do meaningful relationships exist among their cyclical fluctuations this paper examines the relationship among consumer price index industrial production stock market and oil prices in greece initially we use a unified statistical framework cointegration and vecm to study the data in levels we then employ a multivariate var model to examine the relationship among the cyclical components of our series the period of the study is from 1996 1 to 2008 6 findings suggest that oil prices and the stock market exercise a positive effect on the greek cpi in the long run cyclical components analysis suggests that oil prices exercise significant negative influence to the stock market in addition oil prices are negatively influencing cpi at a significant level however we find no effect of oil prices on industrial production and cpi finally no relationship can be documented between the industrial production and stock market for the greek market the findings of this study are of particular interest and importance to policy makers financial managers financial analysts and investors dealing with the greek economy and the greek stock market

the asymmetric impact of oil prices interest rates and oil price uncertainty on unemployment in the us abstract in this study we investigate the presence of asymmetric interactions between oil prices oil price uncertainty interest rates and unemployment in a cointegration framework utilizing the nonlinear auto regressive distributed lag nardl approach we show the asymmetric responses of unemployment to changes in oil prices oil price uncertainty and interest rates in the long run more specifically the results of our analyses suggest that an increase in oil price results in increased unemployment while there is no significant impact of reduced oil prices on the one hand reduced oil price uncertainty leads to a decrease in unemployment whereas an increase in oil price uncertainty does not have an impact we also observe increased unemployment in response to a decrease in interest rates as the impact of increased interest rates is not significant last but not least we find that option implied oil price volatility as a measure of oil price uncertainty outperforms the conditional volatility of crude oil prices in predicting unemployment this study provides valuable implications for policymakers to design sound economic policies

modeling and forecasting tourism demand for arrivals with stochastic nonstationary seasonality and intervention abstract this paper presents the use of time series sarima and marima with interventions in forecasting tourism demand using ten arrival series for hong kong augmented dickey fuller tests indicated that all the series were seasonal nonstationary significant interventions such as relaxation of the issuance of out bound visitors visas the asian financial crisis the handover and the bird flu epidemic were all empirically identified with significant test results and expected signs the forecasts obtained using models that capture stochastic nonstationary seasonality and interventions sarima and marima with intervention analysis are compared with other eight time series models and were found to have the highest accuracy

unemployment equilibria and input prices theory and evidence from the united states the paper develops an efficiency wage model where input prices affect the equlibrium rate of unemployment we show that a simple framework based on only two prices the real price of oil and the real rate of interest is able to explain the main post war movements in the rate of u s joblessnss the equations do well in forecasting unemployment many out of sample and provide evidence that the oil price spike associated with iraq s invasion of kuweit appears to be a component of the mystery recession which followed

forecasting volatility of crude oil markets abstract this article investigates the efficacy of a volatility model for three crude oil markets brent dubai and west texas intermediate wti with regard to its ability to forecast and identify volatility stylized facts in particular volatility persistence or long memory in this context we assess persistence in the volatility of the three crude oil prices using conditional volatility models the cgarch and figarch models are better equipped to capture persistence than are the garch and igarch models the cgarch and figarch models also provide superior performance in out of sample volatility forecasts we conclude that the cgarch and figarch models are useful for modeling and forecasting persistence in the volatility of crude oil prices

cointegration analysis of quarterly tourism demand by hong kong and singapore for australia hong kong and singapore are two of the most important and fastest growing markets for tourists to australia the purpose of this paper is to investigate movements in the long run demand for tourist travel by these two origin countries for australia some of the leading macroeconomic variables examined to explain tourism demand are incomes in hong kong and singapore tourism prices in australia and transportation costs and exchange rates between the two countries and australia seasonally unadjusted quarterly data are used for hong kong for the period 1975 1 1996 4 and for 1980 4 1996 4 for singapore several proxy variables are used for the incomes of tourists from hong kong and singapore to explain quarterly tourist arrivals to australia the augmented dickey fuller test for unit roots is examined in the univariate framework and johansen s maximum likelihood procedure is used to test for cointegration and to estimate the number of cointegrating vectors error correction models are estimated to exp

tourism demand modelling and forecasting a review of recent research abstract this paper reviews the published studies on tourism demand modelling and forecasting since 2000 one of the key findings of this review is that the methods used in analysing and forecasting the demand for tourism have been more diverse than those identified by other review articles in addition to the most popular time series and econometric models a number of new techniques have emerged in the literature however as far as the forecasting accuracy is concerned the study shows that there is no single model that consistently outperforms other models in all situations furthermore this study identifies some new research directions which include improving the forecasting accuracy through forecast combination integrating both qualitative and quantitative forecasting approaches tourism cycles and seasonality analysis events impact assessment and risk forecasting

partitioning seasonal employment in the hospitality industry abstract adjustment of labor to variation in demand is known to be a major tool in hotel productivity management the pace and timing of hotel labor adjustment depends presumably on the characteristics of the hotel internal labor force as well as prevailing conditions in the external labor markets the actual adjustment process depends however on past experience of hotel operators and on their expectations with respect to future occupancy rates this paper analyzes longitudinal employment adjustment trends in eight tourist centers in israel five variables are employed in order to account for monthly variation in hotel employment these are measures of foreign and domestic demand rates of bed occupancy and indices of the expected monthly fluctuation and long term trend most results confirm the hypothesized relationships with r2 ranging from 0 47 to 0 95 only the effect of the occupancy rate was found to be inversely related to the level of monthly hotel employment the results suggest that while hotel operators are accustomed to hiring and firing employees according to the rhythm of regular seasonal fluctuations they are less prepared unwilling or unable to fully synchronize labor to demand major differences appear to exist among the eight local tourist centers in the way hotel operators adjust internal employment to their respective external labor markets

explaining crude oil prices using fundamental measures abstract oil is the world s most important commodity and improving the understanding of drivers of its price is a longstanding research objective this article analyses real oil prices during 1984 2007 using a monthly dataset of fundamental and market parameters that cover financial markets global economic growth demand and supply of oil and geopolitical measures the innovation is to incorporate proxies for speculative and terrorist activity and dummies for major industry events and quantify price impacts of each new findings are positive links between oil prices and speculative activity bond yields an interaction term incorporating opec market share and oecd import dependence and the number of us troops and frequency of terrorist attacks in the middle east shocks also prove significant with a 6 18 per barrel impact on price for several months

forecasting international tourist flows to macau abstract the vector autoregressive var modelling technique is used to forecast tourist flows to macau from eight major origin countries regions over the period 2003 2008 the existing literature shows that the var model is capable of producing accurate medium to long term forecasts and also separate forecasts of the explanatory variables are not required a further justification for using the var technique is that it permits an impulse response analysis to be performed in order to examine the ways in which the demand for macau tourism responds to the shocks in the economic variables within the var system the implications of this analysis are discussed the forecasts generated by the var models suggest that macau will face increasing tourism demand by residents from mainland china since the needs of chinese tourists tend to be different from those from other origin countries regions especially western countries the business sectors in macau need to pay considerable attention to catering for the needs of chinese tourists

an analysis of seasonality in monthly per person tourist spending in turkish inbound tourism from a market segmentation perspective abstract this study analyses seasonal variations in monthly per person tourist spending in turkish inbound tourism from a market segmentation perspective in this study a seasonal unit root test and recently developed decomposition techniques tramo seats x 12 arima are used it is found that there is a stochastic and strong seasonality in per person tourist spending data the findings interestingly show that the seasonal pattern in per person tourist spending is considerably different from the seasonal pattern in tourist arrivals the results have implications for decision makers in tourism both at micro and macro levels in terms of effective resource allocation and market segmentation

characteristics of west german demand for international tourism in the northern mediterranean region the purpose of this paper is to establish the economic determinants of west germany s demand for international tourism in six northern mediterranean nations the methodology makes use of the translog utility function homotheticity and additivity restrictions of the utility theory are tested as hypotheses expenditure income own and cross price elasticities are claculated for each of the twenty years from 1966 to 1985

seasonal concentration of the hotel demand in costa del sol a decomposition by nationalities abstract costa del sol is a mature mediterranean destination in the south of spain with a degree of seasonality that has shown little variation during the last 20 years in this paper we apply the decomposition of the gini index of seasonal concentration by nationalities the main outcome of this decomposition is the estimation of relative contributions to the overall seasonal concentration and marginal effects by nationalities these measures can be of great help in the design of counter seasonal policies our results suggest that planners interested in reducing seasonality may concentrate their efforts in consolidating markets with negative marginal effect over the index of concentration like the british and nordic ones in addition marketing targets may be focused primarily in the winter season for the markets with positive relative marginal effect

identifying the oil price macroeconomy relationship an empirical mode decomposition analysis of us data this paper employs the empirical mode decomposition emd method to filter cyclical components of us quarterly gross domestic product gdp and quarterly average oil price west texas intermediate wti the method is adaptive and applicable to non linear and non stationary data a correlation analysis of the resulting components is performed and examined for insights into the relationship between oil and the economy several components of this relationship are identified however the principal one is that the medium run component of the oil price has a negative relationship with the main cyclical component of the gdp in addition weak correlations suggesting a lagging demand driven component and a long run component of the relationship were also identified comparisons of these findings with significant oil supply disruption and recession dates were supportive the study identifies a number of lessons applicable to recent oil market events including the eventuality of persistent oil price and economic decline following a long oil price run up in addition it was found that oil market related exogenous events are associated with short to medium run price implications regardless of whether they lead to actual supply losses

relationships between oil price shocks and stock market an empirical analysis from china this paper investigates the interactive relationships between oil price shocks and chinese stock market using multivariate vector auto regression oil price shocks do not show statistically significant impact on the real stock returns of most chinese stock market indices except for manufacturing index and some oil companies some important oil price shocks depress oil company stock prices increase in oil volatility may increase the speculations in mining index and petrochemicals index which raise their stock returns both the world oil price shocks and china oil price shocks can explain much more than interest rates for manufacturing index

the influence of low fare airlines on vacation choices of students results of a stated portfolio choice experiment this paper reports the results of a portfolio model of vacation choices of students the portfolio model concerns the combined choice of destination type transport mode duration accommodation and travel party for vacations in addition to usual transport modes such as airline train bus and car a distinction was made between low fare airlines as these may be especially appealing to students and regular airlines stated choice data were used to estimate the model the attributes of the transport modes were systematically varied in the experiment while respondents were faced with free options for the other choice facets estimation results indicated that the developed model of portfolio choice performs satisfactory in substantive terms it seems that transport mode predominantly influences the portfolio choices the attributes that are significant tend to amplify the specific role of transport modes in general and low fare airlines in particular

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

are oil shocks inflationary asymmetric and nonlinear specifications versus changes in regime this paper identifies a structural break in core u s inflation phillips curves such that oil prices contributed substantially before 1981 but since that time pass through has been negligible this characterization is robust to a variety of re specifications and fits the data better than asymmetric and nonlinear oil price alternatives evidence does not support the hypotheses that declining energy intensity or deregulation of energy producing and consuming industries played an important role monetary policy did not itself become less accommodative of oil shocks but may have helped create a regime where inflation is less sensitive to price shocks more generally

oil prices and real estate investment trusts reits gradual shift causality and volatility transmission analysis abstract according to literature oil price shocks and volatility can have sector specific impacts in the market while these studies include most asset groups the dynamic relationship between the oil market and real estate investment trusts reits has not been tested this study examines the role of oil price shocks and volatility on six reit categories residential hotel healthcare retail mortgage and warehouse industrial reits for the january 2005 december 2013 period in addition a new causality approach is proposed by augmenting the toda yamamoto method with a fourier approximation this approach is capable of capturing gradual or smooth shifts and does not require a prior knowledge regarding the number dates and form of structural breaks the so called fourier toda yamamoto causality mean spillover test finds uni directional causality running from oil prices to all reits except for the mortgage reits in the latter case the causality is reversed in addition the relatively new and simple causality in variance test shows that there is bi directional volatility transmission between the oil market and all reits our results have important implications for reit managers and investors

detrending stylized facts and the business cycle the stylized facts of macroeconomic time series can be presented by fitting structural time series models within this framework we analyse the consequences of the widely used detrending technique popularised by hodrick and prescott 1980 it is shown that mechanical detrending based on the hodrick prescott filter can lead investigators to report spurious cyclical behaviour and this point is illustrated with empirical examples structural time series models also allow investigators to deal explicitly with seasonal and irregular movements that may distort estimated cyclical components finally the structural framework provides a basis for exposing the limitations of arima methodology and models based on a deterministic trend with a single break

length of stay for low cost tourism abstract awareness of tourists length of stay and the factors which determine that is an essential element for good planning and management at tourist destinations this article analyses to what extent the personal characteristics of the low cost tourist those of the trip and stay and those of the destination itself are significant in determining the duration of a trip to this end an econometric duration model is estimated the results obtained show that the effect of time restrictions seem to be relevant for explaining the observed differences in length of stay as well as the effects of the tourist s spending capacity prices and the differences between urban and sun and sand destinations furthermore the model also allows us to analyse changes in the likelihood of the stay being ended at a specific point in time hazard associated with changes in the explanatory variables and to obtain predicted survival times for different groups of tourists

development circumstances of four recycling industries used motor oil acidic sludge plastic wastes and blown bitumen in the world abstract the conspicuous global challenges that we are departing towards them today comprise to be addressed in the multifaceted frameworks of economy society environment and technology in recent years the consensus of demanding for sustainable development and its implementation has been unanimously posed along with this affirm high added value knowledge based competitive sustainable manufacturing and business excellence have been widely scrutinized as a prominent enabler and handler especially in recycling industries sector current review survey encompasses the development circumstances of four major recycling industries in iran and over the world thus evaluation of the individual techniques exploited in the four recycling industries indicated that employed processes had the lowest economic outlay and the highest revenue in comparison to other technologies additives can be utilized as raw materials for production of economically valuable bituminous products the recycling and converting processes are not only cost effective but they also descent the environmental risk to a large level using new techniques to zero economic indices business excellence score and the quality of the obtained products represented that these processes support sustainable development of industries

the effects of crude oil shocks on stock market shifts behaviour a regime switching approach abstract in this paper we develop a two regime markov switching egarch model introduced by henry henry o 2009 regime switching in the relationship between equity returns and short term interest rates journal of banking and finance 33 405 414 to examine the relationship between crude oil shocks and stock markets an application to stock markets of uk france and japan over the sample period january 1989 to december 2007 illustrates plausible results we detect two episodes of series behaviour one relative to low mean high variance regime and the other to high mean low variance regime furthermore there is evidence that common recessions coincide with the low mean high variance regime in addition we allow both real stock returns and probability of transitions from one regime to another to depend on the net oil price increase variable the findings show that rises in oil price has a significant role in determining both the volatility of stock returns and the probability of transition across regimes

real time forecasting regional tourism with business sentiment surveys abstract this study provides evidence that supply side soft information retrieved from business surveys is effective in real time forecasting of hotel arrivals at the regional level we assess the effect of including business sentiment indicators in commonly used naive specifications and structural time series models using residuals and predictive diagnostics we find that both the goodness of fit and the forecasting accuracy of the augmented models are superior to those of the baseline models whence the opportunity to extend to the tourism sector the surveys on the business sentiment currently realized by the provincial chambers of commerce for the manufacturing sector allowing an effective and timely managing of local tourism market where official information is likely to be either lacking or poor in quality

the demand for international tourism in the mediterranean region the paper studies the demand for international tourism in the mediterranean region first a review of the most important attempts to model econometrically the demand for international tourism in the past is given followed by a formal presentation of the proposed theoretical model in particular a version of the almost ideal demand system aids is adopted and a description of the variables involved and their sources together with the estimation procedure are provided the diagrammatic analysis performed contributes to a better understanding of the evolution of the dependent variable over time the results with respect to the expenditure as well as to the own and cross price elasticities may be regarded as econometrically satisfactory and a reasonable economic explanation is given

dynamic cyclical comovements between oil prices and us gdp a wavelet perspective abstract in this paper we use wavelet analysis to investigate the cyclical comovements between crude oil prices and us gdp taking into account the decline in the volatility of us gdp growth that has occurred since the mid 1980s our main findings suggest that before 1984 q1 the crude oil prices were leading the us gdp cycle by 3 quarters and granger cause us gdp in contrast after 1984 q1 the crude oil prices were lagging the us business cycle and a reverse causality is found to run from us gdp to oil prices the multiscale granger causality tests globally corroborate theses results

the influence of distance and prices on the choice of tourist destinations the moderating role of motivations abstract the literature of tourist destination choice pays great attention to the direct impact of the attributes of distance to the destination and prices of the destination but does not reach any consensus around them regarding their inhibitory or attraction effect alternatively our study proposes that the effects of distance and prices are moderated by tourist motivations at the moment of choosing a destination which leads us to make hypotheses to explain this decision through the interaction between destination attributes and the personal motivations of the individual tourists the methodology applied estimates random coefficient logit models which control possible correlations between different destinations and consider tourist heterogeneity the empirical application carried out in spain on a sample of 2127 individuals shows that the dissuasive influence of distance and prices on the selection of destinations is moderated by motivations in the sense that the motivations have a direct increasing the dissuasive effect or inverse reducing the dissuasive effect moderating effect on the influences of distance and prices

the role of routines in the vacation decision making process of dutch vacationers abstract for most dutch vacationers going on holiday has become a normal thing in their lives this study attempts to find what that means for the way they decide on their vacation if routinization occurs how does it relate to factors such as the extensiveness of the decision making process the search for internal and external information and the type of destination selected this paper presents the results of a qualitative study among 32 dutch households which is part of a larger research project on the routinization of vacation choice behavior of dutch vacationers it appears that the vacation decision making processes of the interviewed households are much less extensive and far more routinized than described in the rational choice models a limited or routine choice process entails a greater emphasis on an internal search for information furthermore the results indicate that a domestic vacation in most cases required a less extensive decision making process compared to a vacation abroad the results however appear to be not always consistent due to the fact that the extensiveness of the vacation choice process is influenced by several interacting factors factors related to both the type of vacationer and type of vacation play an important role policy makers and marketers can use these results in their communication and provision of services to the dutch tourist

exploiting the oil gdp effect to support renewables deployment the empirical evidence from a growing body of academic literature clearly suggests that oil price increases and volatility dampen macroeconomic growth by raising inflation and unemployment and by depressing the value of financial and other assets surprisingly this issue seems to have received little attention from energy policy makers in percentage terms the oil gdp effect is relatively small producing losses in the order of 0 5 of gdp for a 10 oil price increase in absolute terms however even a 10 oil price rise oil has risen at least 50 in the last year alone produces gdp losses that could they have been averted would significantly offset the cost of increased re deployment this paper draws on the empirical oil gdp literature which we summarize to show that i by displacing gas and oil renewable energy investments can help nations avoid costly macroeconomic losses produced by the oil gdp effect and ii that these avoided losses represent a significant external macroeconomic benefit of such investments we show that a 10 increase in re share avoids gdp losses in the range of 29 53 billion in the us and the eu 49 90 billion for oecd these avoided losses offset one fifth of the re investment needs projected by the erec and half the oecd investment projected by a g 8 task force for the us the figures further suggest that each additional kw of renewables on average avoids 250 450 in gdp losses a figure that varies across technologies as a function of annual capacity factors we approximate that the offset is worth 200 kw for wind and solar and 800 kw for geothermal and biomass while we focus only on renewables the gdp offset will apply in some measure to other non fossil technologies including energy efficiency dsm and nuclear the societal valuation of non fossil alternatives must reflect these avoided gdp losses whose benefit is not fully captured by private investors this said we fully recognize that wealth created in this manner does not directly form a pool of public funds that is easily earmarked for renewables support finally the oil gdp relationship has important implications for correctly estimating direct electricity generating cost for conventional and renewable alternatives and for developing more useful energy security and diversity concepts we also address these issues

museum and monument attendance and tourism flow a time series analysis approach this article takes a time series analysis approach to evaluate the directions of causality between tourism flows on the one side and museum and monument attendance on the other we consider italy as a case study and analyse monthly data over the period january 1996 to december 2010 all the considered series are seasonally integrated and co integration links emerge we focus on the error correction mechanism among co integrated time series to detect the directional link s of causality clear cut results emerge bi directional causality exists in the long run dynamics but it is the long run dynamics of visits to museums and monuments that mainly adjust to tourism variables arrivals overnights average stays in the short run there are some causal effects going from the cultural sites attendance to tourism dynamics the nonstationary nature of time series their co integration relationships and the direction of causal links suggest specific implications for tourism and cultural policies

managing tourism in the galapagos islands through price incentives a choice experiment approach abstract this study analyzes nature based tourism in ecuador s galapagos national park which faces great risks of invasive species due to visitor contacts the analysis uses visitors preference data to evaluate the potential impacts of various pricing strategies on revenues data come from choice experiment surveys conducted in 2009 regarding four characteristics of a tour to the galapagos length of stay depth of experience in the islands ecosystem level of protective measures taken against invasive species and price we found that the typical tourist would be willing to pay 2 5 times more for a tour with high level of protection against invasive species than for a tour with the current level of protection and otherwise similar characteristics the mean marginal willingness to pay for a tour with an in depth natural experience is 1 8 times more than for a similar tour providing only an overview of the galapagos ecosystem further we determined that differences in elasticity of demand between long and short tours suggest that a pricing strategy may be used to encourage tourists to take longer tours without affecting total revenue such a pricing strategy would decrease the number of unique island visitor contacts per year thereby reducing the threat to the islands unique ecosystem

a review of the decomposition methodology for extracting and identifying the fluctuation characteristics in electricity demand forecasting abstract electricity consumption data is regarded as nonlinear non stationary series and is often made up by a superposition of several distinct frequencies thus most of the conventional approaches currently employed for the modeling and forecasting involve great complexity and uncertainty recently fluctuation characteristic analysis has increasingly become essential step in the application of electricity demand forecasting yet the implementation of this analysis is an inherently difficult task to obtain reasonable accuracy and stability in the modeling there has been the tendency to accommodate multidimensional attributes of the consumption demands with decomposition based approach in terms of more advanced and hybrid form and the decomposition can be achieved through utilization of two different procedures namely component model based and frequency domain analysis based decomposition consequently a comprehensive review and summarization of decomposition based approach for the prediction is conducted in this paper more specifically the issues of demand forecasting classification the dependency between the electricity demand and external indicators features of various decomposition approach as well as the unique fluctuation characteristic of electricity demand at different time scales are discussed in addition future research directions of the decomposition based prediction approach are outlined

a latent class approach to tourists length of stay abstract in this paper a conditional demand function is estimated for the length of stay at a tourist destination the microeconomic model specifies the demand for the length of stay conditional on the remaining holiday characteristics that the tourist has chosen the destination type of accommodation etc the empirical model uses a latent class truncated poisson regression which acknowledges the existence of groups or segments of demand with different preferences in the case under study a distinction is made between two segments with a preference for either a longer or shorter holiday the statistical model also resolves a problem of multimodality acknowledged in previous analyses to be one of the main characteristics of this variable

oil and the macroeconomy since the 1970s economists have long been intrigued by empirical evidence that suggests that oil price shocks may be closely related to macroeconomic performance this interest dates back to the 1970s the 1970s were a period of growing dependence on imported oil unprecedented disruptions in the global oil market and poor macroeconomic performance in the united states thus it was natural to suspect a causal relationship from oil prices to u s macroeconomic aggregates since then a large body of work has accumulated that purports to establish this link on theoretical grounds and to provide empirical evidence in its support we do not attempt a comprehensive survey of this literature but rather provide an idiosyncratic synthesis of what we view as the key issues in this debate and the insights gained over the last 30 years the timing seems right for such an account although the experience of the 1970s continues to play an important role in discussions of the link between oil and the macroeconomy there have been a number of new oil price shocks since the 1970s notably the 1986 collapse of oil prices and the 2000 boom in oil prices as well as the oil price increases associated with the 1990 1991 gulf war and the 2003 iraq war given this richer case history we are arguably in a better position than two decades ago to distinguish the idiosyncratic features of each oil crisis from the systematic effects increases in oil prices have been held responsible for recessions periods of excessive inflation reduced productivity and lower economic growth in this paper we review the arguments supporting such views first we highlight some of the conceptual difficulties in assigning a central role to oil price shocks in explaining

recent advances in modelling seasonality abstract in this paper we review recent developments in econometric modelling of economic time series with seasonality the prime focus is on econometric models which incorporate explicit descriptions of seasonal variation instead of removing this variation using a seasonal adjustment method this review centres around developments in seasonal unit root models and in periodic parameter models both in the univariate and multivariate context several empirical examples are used for illustration we also discuss several areas for further research

statistical properties of country risk ratings under oil price volatility evidence from selected oil exporting countries abstract this paper focuses on the application of panel models for identification and analysis of influence of oil price volatility on statistical properties of country risk ratings which stem from uncertainty of macroeconomic fluctuations firstly two statistical properties of country risk ratings volatility clustering and asymmetrical revision were identified in a theoretical framework based on cruces 2006 secondly considering the oil price volatility numerical experiments were conducted based on extended models to test and verify specific properties of country risk ratings in selected oil exporting countries empirical results suggest that properties of country risk remain comparatively steady despite oil price volatility it is also found that the oil price volatility can obviously exaggerate the country risk volatility as it happened during 2007 2009 country clustering based on the properties of country risk ratings shows that the selected countries maintain a significant clustering tendency these features are of great importance for estimating risk exposure of international trade and investments in oil export during extreme situations

a seasonal analysis of asian tourist arrivals to australia rapid economic growth in south east and east asia has seen a surge in tourist arrivals from this region to australia in the 1990s prior to the currency crisis in late 1997 the purpose of the paper is to use autoregressive integrated moving average arima models to explain the nonstationary seasonally unadjusted quarterly tourist arrivals from hong kong and singapore to australia from 1975 1 to 1996 4 as the tourist arrivals series display strong seasonal patterns deterministic and stochastic seasonality are examined as possible explanations for variations in the international tourist arrivals series the hylleberg et al journal of econometrics 99 pp 215 38 1990 test for seasonal unit roots is used to examine stochastic seasonality in the various series

a dynamic network analysis of the world oil market analysis of opec and non opec members abstract we characterize the dynamic network structure of major oil producing countries we examine the oil production coordination of 13 organization of the petroleum exporting countries opec and 17 non opec members we construct the dynamic network structure using the network connectedness measure of diebold and yilmaz 2009 we investigate the structural changes in connectedness of opec and non opec members additionally we study how the influence of opec members non opec countries and major oil producers evolve we find that the network structure of major oil producing countries changes significantly over time specifically the impact of changes in oil production of all opec members on global oil production declines whereas the impact of non opec on global oil production increases opec s increase decisions have a significant and positive impact on opec and non opec coordination however cut decisions do not affect coordination we find that opec countries and developing countries have significantly higher levels of connectedness additionally countries with high oil production levels have significantly more influence the empirical results provide intuition about the recent developments in global oil production

oil price uncertainty and unemployment abstract in this study we empirically search the effects of oil price uncertainty and oil price shocks on u s unemployment rate using a garch in mean var model for the period 1974 q2 2017 q4 based on our findings we show that oil price uncertainty significantly increases unemployment rate in the u s economy likewise our impulse response analysis affirms that a positive oil price shock increases unemployment while the response of unemployment to a negative oil price shock is negative moreover we reveal that unemployment rate reacts to positive and negative shocks asymmetrically more specifically the response of unemployment to negative oil price shocks is negative and slighter in size besides oil price uncertainty is found to magnify the rise in the u s unemployment rate these findings are in keeping with the real options theory which reveals that the uncertainty about goods prices leads firms to postpone or abandon their production and investment and they seem to be robust to the use of different real oil price measures

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

hyperinflations their origins development and termination abstract this paper summarizes and critically surveys research on hyperinflation appraisal and review of the literature considers the origins development termination and the lessons to be learned from hyperinflations the historical evidence as well as the econometric evidence is analyzed it is concluded that while the lessons to be learned from such episodes perhaps have been overstated a number of useful implications may be derived from studying hyperinflations such as an understanding of the forces which link monetary and fiscal policies to inflation and policy makers role in influencing individuals expectations

a comparison of three different approaches to tourist arrival forecasting abstract forecasting plays a major role in tourism planning the promotion of tourism projects involving substantial sums of money requires an estimate of future demand and market penetration the commitment to developing tourism would be much easier if it were possible to analyse current and past tourist traffic and predict the nature of changes in tourism demand these extrapolative approaches to forecasting require historical data this paper investigates the application of three time series forecasting techniques namely exponential smoothing univariate arima and elman s model of artificial neural networks ann to predict travel demand i e the number of arrivals from different countries to hong kong exponential smoothing and arima are two commonly used statistical time series forecasting techniques the third approach neural networks is an artificial intelligence technique derived from computer science according to the analysis presented in this paper neural networks seems to be the best method for forecasting visitor arrivals especially those series without obvious pattern

relationship between oil prices interest rate and unemployment evidence from an emerging market abstract while the interrelation between oil price changes economic activity and employment is an important issue that has been studied mainly for developed countries little attention has been devoted to inquiries on fluctuations in the price of crude oil and its impact on employment for small open economies adopting an efficiency wage model for equilibrium employment that does not require any assumptions regarding labor supply this paper contributes to the literature by investigating the causality between unemployment and two input prices namely energy crude oil and capital real interest rate in an emerging market turkey for the period 2005 01 2009 08 applying a relatively new technique the toda yamamoto procedure we find that the real price of oil and interest rate improve the forecasts of unemployment in the long run this finding supports the hypothesis that labor is a substitute factor of production for capital and energy

examination of taiwan s travel and tourism market cycle through a two period markov regime switching model abstract this study analyzes the taiwan travel and tourism t t market cycle according to data of the weighted taiwan tourism stock index from january 1997 to august 2015 the two period markov regime switching model identifies two distinct regimes of the t t cycle and incorporates a specific set of mean and variance parameters for each period to control for the structural changes in taiwan s t t market the effect of china visitor arrivals to taiwan on the t t market is also verified the empirical findings offer essential information and policy implications for taiwan s government tourism policymakers and business managers

oil shocks and aggregate macroeconomic behavior the role of monetary policy hamilton and herrera hh have provided an interesting comment on our 1997 paper bernanke gertler and watson 1997 bgw we take the opportunity offered to us by the editors to respond briefly the goal of bgw was to show that the magnitude and shape of the economy s response to a particular exogenous shock will typically depend critically on how monetary policy makers choose to react to the shock as a consequence we argued that assessments of the importance of monetary policy for real activity should take into account the systematic portion of policy i e the policy rule as well as the unsystematic component i e monetary policy shocks the specific type of exogenous shock that we considered in bgw was a sharp increase in the price of oil of the magnitude observed during several episodes in the 1970s using a modified var framework we considered counterfactual scenarios in which monetary policy represented by the level of the federal funds rate does not respond to an oil price shock we found that the adverse effects of an oil price shock on output are reduced considerably when the endogenous response of the funds rate is shut off indeed our point estimates suggested that the endogenous response of monetary policy accounted for virtually all the negative impact of the oil shock on this research was funded in part by nsf grants to each of the authors we thank michele cavallo for research assistance

estimation of direct and indirect impact of oil price on growth abstract using a new methodology this paper measures the direct and indirect effects of oil prices on gdp growth of 12 economies because of the indirect effect which is transmitted through a trade matrix even the net oil exporters like indonesia and malaysia cannot escape the negative influence of high oil prices

impact of financial economic crisis on demand for hotel rooms in hong kong abstract the main objectives of this study are 1 to identify the factors that influence the demand for hotel rooms in hong kong and 2 to generate quarterly forecasts of that demand to assess the impact of the ongoing financial economic crisis the demand for four types of hotel room from the residents of nine major origin countries is considered and forecasts are generated from the first quarter of 2009 to the fourth quarter of 2015 econometric approaches are employed to calculate the demand elasticities and their corresponding confidence intervals which are then used to generate interval demand predictions the empirical results reveal that the most important factors in determining the demand for hotel rooms in hong kong are the economic conditions measured by income level in the origin markets the price of the hotel rooms and the word of mouth effect demand for high tariff a and medium tariff hotel rooms is estimated to have experienced negative annual growth in 2009 due to the influence of the financial economic crisis whereas that for high tariff b hotel rooms is thought to have grown in 2009 after having decreased in 2008 the demand for tourist guesthouse rooms is expected to be the least affected by the crisis overall demand is predicted to recover gradually from 2010 onwards

modelling the uncertainty in monthly international tourist arrivals to the maldives abstract the indian ocean tsunami of 26 december 2004 made clear the devastating short term impact in lost lives as well as the longer term impact in lost livelihoods and an uncertain future tourism was one of the more obvious non human casualties of this tragic natural phenomenon tourism is the principal industry in the maldives accounting for more than 30 of gdp and more than 60 of foreign exchange earnings as over 55 of government tax revenue arises from tourism related taxes and monthly government budget financing depends largely on international tourist arrivals the monitoring of daily weekly and monthly international tourist arrivals is essential for fiscal policy evaluation over 600 000 tourists visited the maldives in 2004 this paper examines the time series properties of monthly international tourist arrivals to the maldives from eight major tourist source countries namely italy germany uk japan france switzerland austria and the netherlands from 1 january 1994 to 31 december 2003 monthly international tourist arrivals and the associated uncertainty are estimated for the eight principal tourist source countries univariate and multivariate time series models of conditional volatility or uncertainty are estimated and tested the conditional correlations are estimated and examined to ascertain whether there is specialization diversification or segmentation in the international tourism demand shocks from the major tourism source countries to the maldives the estimated static conditional correlations for monthly international tourist arrivals as well as for the respective transformed series were found to be significantly different from zero but also relatively low this indicates that the government of the maldives and the major tour operators that organise tourist vacations have to emphasise their marketing efforts independently of each tourist source country

micro economic determinants of tourist expenditure a quantile regression approach abstract we assess the effect of the main determinants of tourist expenditure by applying both linear and quantile regression models to individual micro data collected by a survey addressed to non resident tourists who spent their holidays in sardinia during the period april october 2012 we find that in addition to income and foreign nationality tourist expenditure is crucially driven by trip related party size stay length accommodation sea and sun typology and transport modality and psychographic characteristics repeated visits and holiday motivations moreover our results indicate that the effects vary with respect to the expenditure component and the level of spending thus confirming the high complexity of the tourism product higher positive effects were found for heavy spenders in the case of foreign nationality previous visits and notoriety motivated holidays while party size and the number of visited sites contribute to reducing the level of expenditure for light spending tourists

the nature of oil shocks and the global economy abstract this paper identifies the main driving force behind oil price shocks in 1970 2006 by applying a simple identification strategy of supply driven and demand driven price shocks the identification hypothesis states that supply driven oil price shocks have a negative impact on the macroeconomic activity of countries which are net consumers of oil while demand driven oil price shocks do not have negative effects in order to identify global demand driven shocks a weighted aggregate gdp series of countries which are net consumers of oil is constructed over 1970 2006 the key result is that the main driving force behind oil price shocks has changed from supply driven shocks in 1970 1992 to demand driven shocks in 1992 2006

uk tourism arrivals and departures seasonality persistence and time trends issues such as seasonality persistence and trends are examined in the series referring to the number of uk arrivals and departures using techniques based on fractional integration this methodolog

seasonality and regional productivity in the spanish accommodation sector abstract this study quantifies the impact of peak demand and seasonality on regional productivity in the spanish accommodation sector we then identify factors affecting seasonal fluctuations and their relative contributions to regional variations in seasonality the results show that demand for accommodation in the peak season mainly determines productivity thus improving a region s attractiveness as a tourist destination is most effective for tourism based regional development in addition reducing seasonal variations has a non negligible impact on productivity a decomposition analysis reveals that providing climate independent tourist attractions and attracting business travelers are effective in reducing seasonality

the length of stay in the demand for tourism abstract one of the main characteristics of current tourism is the reduction in the length of stay at a destination nevertheless this variable has received little attention in literature this paper examines the microeconomic determinants of the length of stay at one of the mediterranean s leading sun and sand destinations the estimation of a conditional demand function model highlights the explanatory power of the tourist s sociodemographic profile and of holiday characteristics as well as the sensitivity of the length of stay to price changes

causality between financial development and economic growth an application of vector error correction and variance decomposition methods to saudi arabia this article makes an attempt to test the possible directions of causality between financial development and economic growth which were labelled by patrick 1966 as the supply leading and demand following hypothesis saudi arabia is taken as a case study the methods applied are the error correction and variance decompositions techniques including the most recently developed long run structural modelling lrsm pesaran and shin 2002 which by imposing exactly identifying and overidentifying restrictions on the cointegrating vector has taken care of a major limitation of the conventional cointegrating estimates in that they were atheoretical in nature to the best of our knowledge there has not been any study on this issue with the application of the techniques that incorporate lrsm the stability of the functions has also been tested by cumulative sum cusum cumulative sum of squares cusumsq and chow test chow tests our findings based on the above mentioned rigorous techniques tend to s

tourism demand for italy and the business cycle this study provides a strategy for modelling the effect of the business cycle on tourism demand under the rationale that tourism cycles are heavily influenced by lagged effects of the overall business cycle using quarterly data on overnight stays in italian hotels both domestic and inbound between 1985 and 2004 we adopt a structural time series approach to evaluate two alternative models the first with a latent cycle component lcc and the second based on specific economic explanatory variables xcv the two models are compared in terms of explanatory power best fit residual diagnostics and forecasting ability the results show similar performances the policy implication is that the xcv model can be used for calibrating countercyclical interventions in tourism policy

vacation length choice a dynamic mixed multinomial logit model abstract this paper uses panel data to develop and estimate a dynamic model of choice of the length of stay of a vacation controlling for unobserved heterogeneity and state dependency length of stay options vary from short 1 3 nights medium 4 9 nights to long vacations 10 nights or more and the decision not to go on vacation in a particular year independent variables include family lifecycle stage income month and lags of the dependent variable results indicate that long holidays are most strongly affected by trips made previously in the same year than medium and short vacations in contrast there is an increased need for a vacation when any medium or long trips were not yet made in the current year month specific variables confirm that respondents have preferences for making leisure trips during the main holidays and warm seasons the observed differences given the various lifecycle stages reflect imposed constraints given age and or household composition that are typical of each particular group

the end of the hungarian hyperinflation of 1945 1946 the rational expectations approach to macroeconomics suggests that hyperinflations were ended abruptly without significant output or unemployment costs using new evidence the author finds that while transition costs did take place following the hungarian hyperinflation of 1945 46 they were not linked to the credibility of the regime change although the evidence presented actually reinforces the rational expectations interpretation of the end of hyperinflations the paper also stresses the importance of distinguishing between an economy experiencing high inflation and one emerging from a milder inflation copyright 1989 by ohio state university press

the employment and wage effects of oil price changes a sectoral analysis in this paper we use micro panel data to examine the effects of oil price changes on employment and real wages at the aggregate and industry levels we also measure differences in the employment and wage responses for workers differentiated on the basis of skill level we find that oil price increases result in a substantial decline in real wages for all workers but raise the relative wage of skilled workers the use of panel data econometric techniques to control for unobserved heterogeneity is essential to uncover this result which is completely hidden in ols estimates while the short run effect of an oil price increase on aggregate employment is negative the long run effect is in fact positive we find that changes in oil prices induce changes in employment shares and relative wages across industries however we find little evidence that oil price changes cause labor to consistently flow into those sectors with relative wage increases copyright 1996 by mit press

monitoring tourism flows and destination management empirical evidence for portugal we propose the use of a tool recently introduced by gayer 2010 known as the economic climate tracer to analyze and monitor the cyclical evolution of tourism source markets to portugal considering the period 1987 2015 we evaluate how tourism to portugal has been affected by economic cycles this tool is useful as it clearly illustrates the evolutionary patterns of different markets and allows us to identify close relationships with economic fluctuations we found that german tourism plays a leading role since its movements are followed with delays by tourism flows from other countries and exhibits higher resilience to shocks also domestic and spanish tourism have both displayed less irregular behaviors than tourism from other source markets on the contrary tourism from the netherlands and the uk have displayed irregular patterns which demonstrates the urgency to diversify tourism source markets to reduce the country s vulnerability to external shocks and economic cycles

the relevance of business cycles in forecasting international tourist arrivals abstract casual empiricism suggests that there may be a cyclical trend associated with international tourist arrivals in which variation around the linear trend can be formed by the interaction with other cyclical phenomena this paper employs a simple model that incorporates a linear trend and sine function to capture these two characteristics in forecasting international tourist arrivals in hong kong the model is extended to include a set of sine functions through the application of fourier analysis to account for situations in which more than one phenomenon may be present in the time series the forecasting accuracy of the model is compared with other forecasting approaches evaluation of the results using the mean absolute percentage error measure show that the forecasting performance of the extended model with a linear trend and two sine functions is superior in terms of accuracy when compared with other forecasting models

the linkages between oil market uncertainty and islamic stock markets evidence from quantile on quantile approach abstract in recent years islamic finance has become increasingly influential especially islamic stocks which have created huge investment attractiveness at the same time the financialization of oil has made the international oil market increasingly uncertain and more likely to affect other markets to effectively understand the correlation between the two markets we empirically analyze the cases of four typical countries from the perspective of oil market uncertainty this paper utilizes ovx as an accurate measure of oil market uncertainty and applies quantile on quantile approach to detect the asymmetric and heterogeneous relations between the variables our results show overall negative linkages between ovx changes and islamic stock returns and there is indeed asymmetry namely the effects of oil market uncertainty will be more pronounced when it is at higher quantiles further comparing the results of the selected four countries we find some heterogeneities oil importing countries are more sensitive than oil exporting countries and islamic countries are more sensitive than non islamic countries the findings of this article about the linkages between oil market uncertainty and islamic stock markets is meaningful to the research and financial practice in related fields

the elephant in the ground managing oil and sovereign wealth many oil exporters accumulate large sovereign wealth funds though their portfolio allocation does not take into account below ground assets like oil similarly the above ground portfolio does not affect the decision to extract oil this paper shows that subsoil oil wealth should change a country s above ground asset allocation in two ways first the holding of all risky assets is leveraged because there is additional wealth outside the fund second more less is invested in financial assets that are negatively positively correlated with oil to hedge against the riskiness of subsoil exposure furthermore if marginal oil rents move pro cyclically with the value of the financial assets in the fund then oil will be extracted slower than predicted by the standard hotelling rule this leaves a buffer of oil to be extracted when both oil prices and asset returns are high finally any unhedged residual volatility must be managed through additional precautionary saving

oil shocks and aggregate macroeconomic behavior the role of monetary policy a recent paper by bernanke gertler and watson 1997 suggests that monetary policy could be used to eliminate any recessionary consequences of an oil price shock this paper challenges this conclusion on two grounds first we question whether the federal reserve actually has the power to implement such a policy for example we consider it unlikely that additional money creation would have succeeded in reducing the fed funds rate by 900 basis points relative to the values seen in 1974 second we point out that the size of the effect that bernanke gertler and watson attribute to oil shocks is substantially smaller than that reported by other researchers primarily due to their choice of a shorter lag length than that used by other researchers we offer evidence in favor of the longer lag length employed by previous research and show that under this specification even the aggressive federal reserve policies proposed would not have succeeded in averting a downturn