have trading rule profits in the currency markets declined over time abstract previous studies have reported mixed results regarding the success of technical trading rules in currency markets abnormal returns were observed in many studies using data up to the mid 1980s while more recent studies generally report less success for technical trading rules this paper tests whether moving average trading rule profits have declined over the period from 1971 to 2000 if so previous profits may represent a temporary inefficiency that has since been eliminated in the currency markets the hypothesis is tested using 18 exchange rate series over a longer time period than in previous studies rules are optimized for successive 5 year in sample periods from 1971 to 1995 and tested over subsequent 5 year out of sample periods results show that risk adjusted trading rule profits have declined over time from an average of over 3 in the late 1970s and early 1980s to about zero in the 1990s thus market inefficiencies reported in previous studies may have been only temporary inefficiencies

are all central bank interventions created equal an empirical investigation abstract this study investigates the relationship between central bank interventions and technical trading rule profitability in the spot foreign exchange market because interventions are not necessarily exogenous events we analyze the relationships between interventions by the g 3 central banks financial market conditions changes in monetary policy and technical trading profitability by considering announced unannounced unilateral and coordinated interventions separately we provide more insight into the interrelationships between these factors than previous studies we find that the level of technical trading profits and market uncertainty increase preceding and remain high during interventions especially announced and coordinated but decrease afterward a preliminary investigation of the possible role of a time varying risk premium around interventions cannot be rejected

global water transfers embodied in mainland china s foreign trade production and consumption based perspectives abstract water resources are embodied in global trade although china is the largest water withdrawal economy in the world 50 of its direct water withdrawal is embodied in chinese imports and exports due to an increasing division of activities between different production units economies such as mainland china mainly import intermediate products for further processing and then export final goods to other economies overall mainland china is a net embodied water supplier not only in final consumption based trade relations but also in intermediate production based ones china s total per capita water use is much lower than the global average but yet china exports embodied water through trade activities pakistan myanmar and india are china s largest embodied water suppliers and hong kong the united states and japan are its largest net recipients the main water exporting sectors in mainland china are electrical and machinery sector 9 and textiles and wearing apparel sector 5 respectively and the main importing sector is agriculture sector 1 with imports coming mainly from myanmar pakistan the united states and north korea this analysis of china s global embodied water transfers can inform policies to increase china s water use efficiency and can be generated to build embodied water budgets for a systematic allocation of water resources on the globe especially from the production and consumption based perspectives

energy content in manufacturing exports a cross country analysis abstract this article compares the energy content in manufacturing exports in a set of 30 advanced and emerging economies and examines its evolution from 1995 to 2005 combining information from the oecd input output matrices and international trade data in 17 manufacturing sectors in addition the article suggests a methodology to disentangle export structure and sectoral energy efficiency effects presenting results according to technological categories the article concludes that brazil india and mostly china present a high energy content in manufacturing exports which has increased from 1995 to 2005 conversely many advanced economies notably in europe and north america which showed energy contents below the world average in 1995 reinforced their position as exporters with relatively lower energy usage the contribution of export structure and energy efficiency effects to explain differences in the energy content of exports draws attention to the situation of china this country increased its relative energy usage in the exports of all technological categories of goods this effect was reinforced by the stronger export specialization in high tech products and hindered by a comparatively lower specialization in medium high tech products

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

fuzzy logic trading uncertainty and technical trading abstract from the market microstructure perspective technical analysis can be profitable when informed traders make systematic mistakes or when uninformed traders have predictable impacts on price however chartists face a considerable degree of trading uncertainty because technical indicators such as moving averages are essentially imperfect filters with a nonzero phase shift consequently technical trading may result in erroneous trading recommendations and substantial losses this paper presents an uncertainty reduction approach based on fuzzy logic that addresses two problems related to the uncertainty embedded in technical trading strategies market timing and order size the results of our high frequency exercises show that fuzzy technical indicators dominate standard moving average technical indicators and filter rules for the euro us dollar eur usd exchange rates especially on high volatility days

energy overview for globalized world economy source supply chain and sink abstract energy use of the globalized world economy is comprehensively overviewed by means of a systems input output analysis based on statistics of 2010 emphases are put on the sources of primary energy exploitation inter regional trade imbalance of energy use via global supply chains and sinks of energy use in final demand the largest final user turns out to be the united states compared with china as the leading energy exploiter the global trade volume of energy use is shown in magnitude up to about 90 of the global primary energy exploited the united states is recognized as the world s biggest energy use importer in contrast to russia as the biggest exporter approximately one third of global primary energy exploited is shown to be embodied in inter regional net trade japan and russia are respectively illustrated to be the world s leading net importer and leading net exporter of energy use for china as the leading energy exploiter about 30 of its exploited energy is for foreign regions final use and 70 for its own final use for the european union as the largest sink region nearly 80 of the energy required in its final use is from foreign regions led by russia as reflected in the results the conventional perspective based only on the direct energy consumption by region inevitably leads to inter regional energy grabbing and carbon leakage which raises a serious concern of regional decrease at the expense of global increase in current context of energy shortage and climate change this global energy overview can provide essential strategic implications at the international national and regional scales for sustainable energy policy making

network perspective of embodied pm2 5 a case study abstract economic growth due to social activities such as industrialization urbanization population growth and transportation in countries like india is coupling with an increase in pm 2 5 emissions which are main contributors to air pollution in this paper the embodied pm 2 5 emissions generated from economic activities in india were investigated we quantified the pm 2 5 emissions from each economic sector based on input output analysis ioa also the control relations within these economic sectors were identified based on ecological network analysis ena to determine the dominance and dependency of each sector the results showed that 86 4858 kt of total pm 2 5 emissions were direct and 14 812 kt were indirect in 2010 furthermore ena based results represented the pairwise control relationships among sectors by finding that sale maintenance and repair of motor vehicles retail sale of fuel chemicals and chemical products smelting of nonmetal mineral products and ordinary special machinery equipment were the dominant sectors that controlled the flow of embodied pm 2 5 emissions from other sectors such as construction agriculture mining and dressing catering services and waste manufacturing and recycling it is suggested that ena be adopted as a more systematic approach to uncover pm 2 5 flow pattern among the economic sectors as compared to traditional methods

allocation of initial public offerings and flipping activity abstract there is a general perception that the large trading volume in initial public offerings is mostly due to flippers that are allocated shares in the offering and immediately resell them on average however flipping accounts for only 19 of trading volume and 15 of shares offered during the first two days of trading institutions do more flipping than retail customers and hot ipos are flipped much more than cold ipos institutions do not quickly flip cold ipos to take advantage of price support activities by the underwriter explicit penalty bids are rarely assessed against flippers

the impact of domestic trade on china s regional energy uses a multi regional input output modeling to systematically reveal how domestic trade impacts on china s regional energy uses an interprovincial input output modeling is carried out to address demand derived energy requirements for the regional economies in 2007 based on the recently available data both the energy uses embodied in final demand and interregional trade are investigated from the regional and sectoral insights significant net transfers of embodied energy flows are identified from the central and western areas to the eastern area via interregional trade shanxi is the largest energy producer and interregional embodied energy deficit receiver in contrast to guangdong as the largest energy user and surplus receiver by considering the impacts of interregional trade the energy uses of most eastern regions increase remarkably for instance shanghai hainan zhejiang beijing jiangsu and guangdong have their embodied energy requirements 87 49 19 97 13 64 12 60 6 46 and 6 38 times of their direct energy inputs respectively in contrast the embodied energy uses of some central and western regions such as inner mongolia shanxi xinjiang shaanxi and guizhou decrease largely the results help understand the hidden network linkages of interregional embodied energy flows and provide critical insight to amend china s current end reduction oriented energy policies by addressing the problem of regional responsibility transfer

energy embodied in the international trade of china an energy input output analysis abstract growing international trade has not only positively affected the people s republic of china s china s economic development but also expanded the exportation of energy embodied in goods during their production this energy flow out will pose risks to china s rational utilization of natural resources as well as environmental protection in this paper we evaluate the energy embodied in goods produced in china during 1992 2005 and use input output structural decomposition analysis to identify five key factors causing the changes of energy embodied in exports direct primary energy efficiency primary energy consumption structure structure of intermediate inputs structure of exports and scale of exports for the three sub periods of 1992 1997 1997 2002 and 2002 2005 results show that china is a net exporter of energy and the energy embodied in exports tends to increase over time the expanding total volume of exports and increasing exports of energy intensive goods tend to enlarge the energy embodied in exports within all three sub periods but these driving forces were offset by a considerable improvement of energy efficiency and changes in primary energy consumption structure from 1992 to 2002 and the effects of structure of intermediate input only in the sub period from 1992 to 1997 from 2002 to 2005 the sharp augmentation of energy embodied in exports was driven by all the five factors our research has practical implications for the chinese economy results of this study suggest that the energy embodied in trade should receive special attentions in energy policies design to limit the energy resource out flow and pollution generation

tests of unbiasedness in the foreign exchange futures markets an examination of price limits and conditional heteroscedasticity daily price limits an institutional feature of futures markets truncate the distribution of price changes and dampen the variance previous tests of the unbiasedness hypothesis using daily foreign exchange futures prices have accounted for the observed conditional heteroscedasticity in the data but have neglected to adequately incorporate the additional effects of daily price limits this article examines both time variation and truncation of futures price changes empirical results suggest that previous rejections of the unbiasedness hypothesis in the foreign exchange futures market are not substantively altered by inclusion of price limits but may be attributed to potentially biased testing procedures copyright 1993 by university of chicago press

the pricing of forward contracts for foreign exchange this paper investigates the nature of observed deviations from the unbiased expectations hypothesis in the forward foreign exchange market if these deviations are due to risk premia then the same premia should be observed in nominal bonds denominated in different currencies this condition imposes testable restrictions on the parameters of a multivariate regression model the empirical results are consistent with a world in which time varying risk premia cause the observed deviations from unbiased expectations

natural gas overview for world economy from primary supply to final demand via global supply chains abstract as the world is smoothing the transition towards a low carbon energy structure natural gas has occupied a critical position in global energy supply also globalization has catalyzed ever increasing indirect energy flows in international trade in order to present a comprehensive overview of natural gas use in globalized economy this paper applies the systems multi regional input output mrio analysis to track natural gas use from primary suppliers to final consumers via the links by producers in the world economy supported by typical statistics for the year of 2011 natural gas embodied in international trade is revealed amounting to 2722 1 bcm in magnitude up to 90 of total gas extraction for energy use indicating the intensive relocation of gas use by trade 83 of traded embodied natural gas is associated with intermediate trade mainly from leading primary suppliers including russia usa and western asia to dominant final consumers like usa eu27 and east asia significant differences are found between direct and embodied natural gas flows consumption based resource efficiency can break the illusion of efficiency improvements and trade imbalance in terms of gas use can be opposite to the trade imbalance in conventional monetary terms this paper has constructed a comprehensive analytical framework to trace natural gas flows in globalized economy for the first time aiming to provide new insights for policy making

global overview for energy use of the world economy household consumption based accounting based on the world input output database wiod abstract globalization has integrated nations into a world economy based on the world input output database wiod this paper explored the energy use of the world economy under a household consumption based mrio multi region input output accounting scheme pertaining to normative economics the household consumption based mrio accounting scheme corresponds to the value judgement of household consumption being the ultimate driver of the economy which complements existing accounting methods based on different viewpoints the energy use associated with the internationally traded products is calculated to be around one fifth of the global total energy consumption for china as the largest exporter and also the biggest deficit economy in terms of energy use its trade imbalance is nearly the summation of that of the united states the united kingdom japan and germany energy self sufficiency rates by supply and by demand are respectively proposed while the united states economy as the largest importer maintains the majority of the energy welfare denoted by the onsite energy use at home china exports large quantities of energy use abroad for economies like germany south korea and taiwan they could be regarded as hubs that export a considerable amount of energy use abroad and absorb massive energy use from outside simultaneously for sustainable use of energy resources economies are suggested to carefully identify their roles in the global trading network of energy use

performance of technical analysis in growth and small cap segments of the us equity market abstract a large universe of technical trading rules applied to a set of technology industry and small cap sector portfolios over the 1995 2010 period yields superior predictability after adjusting for data snooping bias in the first half of the sample period and delivers statistically significant profits for a number of portfolios when the transaction cost is assumed to be of small to moderate size technical analysis is not able to outperform the buy and hold approach for any portfolio in the set in the second half of the sample period the finding that the short term return predictability becomes much weaker in the more recent period suggests that the underlying segments of the equity market have become more efficient over time the fact that mechanical trading strategies have been futile after adjusting for data snooping bias for two samples of portfolios where technical analysis is most anticipated to succeed suggests that it is unlikely to have delivered abnormal returns in any other segment of the domestic equity market in the last decade

time varying risk premia volatility and technical trading rule profits evidence from foreign currency futures markets abstract this paper re examines the efficiency of foreign currency futures markets by evaluating the role of time varying risk premia and volatility in explaining technical trading rule profits the results show that large parts of the technical rule profits can be explained by the time varying risk premia estimated from a general model for the conditional capm the bootstrap distributions for the profits under the null model average one third to one half of the actual profits and enclose the actual profits well within the 90 confidence intervals time varying conditional volatility explains an additional 10 of the profits

optimal embodied energy abatement strategy for beijing economy based on a three scale input output analysis abstract energy strategies in china s 11th and 12thzfive year plan failed to reduce the total energy consumption and misled the implementation of energy saving measures as they were focused towards the direct energy input as well as formulated based on incomplete energy consumption information therefore an optimal energy abatement strategy built on comprehensive information on overall embodied energy consumption is in urgent need adopting the three scale input output analysis this study uses beijing as a case to depict a specific urban economy s overall energy consumption impacted by local direct energy use domestic and foreign trade the results show that energy embodied in domestic trade dominated beijing s energy consumption while local direct energy is accounting for less than 1 3 of beijing s total embodied energy consumption the quantity of energy embodied in imports far exceeds that embodied in exports making the city a net embodied energy importer and indicating that policies considering direct energy use only will cause energy leakage problem these findings suggest that the current measures such as displacing energy intensive sectors to other regions lead to local reduction but overall rise moreover analysis for five abatement scenarios average intensity share absolute share discriminatory absolute and discriminatory intensity was carried out to figure out the optimal abatement strategy for beijing due to less loss of potential output it is found that intensity share scenario is the optimal one among all the scenarios concerned analysis in this study suggests that each region should break limits of self centered perceptions and multi scale governance for more appropriate responsibility assignment is recommended for overall energy abatement

do momentum based strategies still work in foreign currency markets this paper examines the performance of momentum trading strategies in foreign exchange markets we find the well documented profitability of momentum strategies during the 1970s and the 1980s has continued throughout the 1990s our approach and findings are insensitive to the specification of the trading rule and the base currency for analysis finally we show that the performance is not due to a time varying risk premium but rather depends on the underlying autocorrelation structure of the currency returns in sum the results lend further support to prior momentum studies on equities the profitability to momentum based strategies holds for currencies as well

tests for a systematic risk component in deviations from uncovered interest rate parity in the intertemporal asset pricing model investments in spot foreign currencies involve time varying risk proportional to the conditional covariance of the value of the position with the intertemporal marginal rate of substitution of domestic currency we detect such risk premia in deviations from uncovered interest rate parity using weekly spot currency prices and eurocurrency interest rates our tests use the conditional capital asset pricing model with a world equity index as benchmark to represent aggregate wealth

the temporal pattern of trading rule returns and exchange rate intervention intervention does not generate technical trading profits abstract this paper characterizes the temporal pattern of trading rule returns and official intervention for australian german swiss and u s data to investigate whether intervention generates technical trading rule profits the data reject the hypothesis that intervention generates inefficiencies from which technical rules profit in particular high frequency data show that abnormally high trading rule returns precede german swiss and u s intervention australian intervention precedes high trading rule returns but trading intervention patterns make it implausible that intervention actually generates those returns rather intervention responds to exchange rate trends from which trading rules have recently profited

do energy prices stimulate food price volatility examining volatility transmission between us oil ethanol and corn markets this paper examines volatility transmission in oil ethanol and corn prices in the united states between 1997 and 2011 we follow a multivariate garch approach to evaluate the level of interdependence and the dynamics of volatility across these markets preliminary results indicate a higher interaction between ethanol and corn markets in recent years particularly after 2006 we only observe however significant volatility spillovers from corn to ethanol prices but not the converse we also do not find major cross volatility effects from oil to corn markets the results do not provide evidence of volatility in energy markets stimulating price volatility in grain markets

the significance of technical trading rule profits in the foreign exchange market a bootstrap approach abstract in this paper we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market we utilize a new data base currency futures contracts for the period 1976 1990 and we implement a new testing procedure based on bootstrap methodology our results suggest that simple technical trading rules have very often led to profits that are highly unusual splitting the entire sample period into three 5 year periods reveals that on average the profitability of some trading rules declined in the latest period although profits remained positive on average and significant in many cases jel f31 f47 g15

time varying betas and risk premia in the pricing of forward foreign exchange contracts abstract this paper specifies the single beta capital asset pricing model for the pricing of forward foreign exchange contracts from the point of view of a u s investor parametric specification of the betas as arch like processes explicitly allows for time variation as well as sign variation of the risk premium in the forward foreign exchange market i estimate the model jointly for four currencies using a generalized method of moments procedure the results show significant time variation for the betas and tests of the overidentifying restrictions are generally favorable to the model

the time variation of risk and return in the foreign exchange and stock markets this paper attempts to determine whether the fluctuations of conditional first and second moments which are observed for many assets are consistent with the sharpelintner mossin capital asset pricing model we test the mean variance model under several different assumptions about the time variation of conditional second moments of returns using weekly data from july 1974 to december 1986 that include returns on a portfolio composed of dollar deutsche mark sterling and swiss franc assets together with the u s stock market the results indicate that estimated conditional variances cannot explain the observed time variation of risk premia rates of return on international financial assets are characterized by statistical properties that are quite common to all financial markets they are highly volatile and largely unpredictable these properties make it very difficult to extract statistically reliable estimates of systematic exchange rate and assetprice movements and are at the root of the generally poor empirical performance of international asset pricing models nevertheless two important results have been uncovered by empirical researchers and can be considered a fair characterization of the data a expected returns on foreign assets vary over time cumby and obstfeld 1981 and the numerous articles that followed recently surveyed by frankel and meese 1987 b the volatility of returns of foreign assets also changes over time cumby and obstfeld 1984 hodrick and srivastava 1984 and hsieh 1988 among others as giovannini and jorion 1987 suggest the

biofuel related price transmission literature a review abstract in this article an extensive review of the rapidly growing biofuel related time series literature is carried out the data used the modeling techniques and the main findings of this literature are discussed providing a review of this flourishing research area is relevant as a guidepost for future research this literature concludes that energy prices drive long run agricultural price levels and that instability in energy markets is transferred to food markets

tests of international capm with time varying covariances we perform maximum likelihood estimation of a model of international asset pricing based on capm we test the restrictions imposed by capm against a more general asset pricing model the betas in our capm vary over time as the supplies of assets change and as the conditional covariances or returns on those assets change we let the covariances change over time as a function of macroeconomic data and an alternative model allows the covariances to follow a multivariate arch process we also can identify a modified capm model with measurement error we find that the estimated capm performs much better when variances are not constant over time nonetheless capm is rejected in favour of the lessrestricted model of asset pricing

return predictability in emerging equity market sectors this article investigates the predictive power of technical trading rules in the emerging equity market sector portfolios and finds that trading strategies based on technical indicators significant

coal use for world economy provision and transfer network by multi region input output analysis concerns surrounding climate change and environmental challenge make the coal utilization network essential not only for understanding the pattern of energy provision and transfer but also for illustrating the interaction between anthropogenic activities and ecological systems at global level this paper fills the research gap by dint of multi regional input output model to outline coal embodied routes from natural boundaries to economic activities and to identify the central hubs in the global coal supply chain based on the most recent available statistics for 2011 as the economic value and environmental influences of different kinds of coals could be remarkably diverse the separation of coal categories in systematic analysis could provide fundamental information regarding the displacement and teleconnection of coal utilization in the world the estimation shows that in weight 64 99 of coal direct supply is ultimately embodied in international trade indicating the crucial roles of trade interlinks in global coal utilization apart from this the findings pertinent to sectoral structure regional supply chain and per capita characteristics of coal embodied utilization could be valuable to identify the global energy routes driven by international trade as well as to facilitate energy and environmental policy

urban energy transition in china insights from trends socioeconomic drivers and environmental impacts of beijing abstract the coal dominated energy structure has not only fueled china s rapid economic development but also brought great pressure on china promoting energy transition is among the great challenges for china as one of the most developed megacities in china beijing promotes energy transition intensively in this study we explored the trends socioeconomic drivers and environmental impacts of the energy transition process in beijing during the decades we found that beijing s energy transition has gone through four typical stages after a parallel growth between the economy and coal dominated energy consumption at beginning the growth rate of energy consumption has gradually slowed down since 1996 between 2000 and 2007 the energy structure became relatively balanced and diversified driven by the changes of energy intensity energy structure and final demand composition along with the economic structure s shift from heavy manufacturing to service thereafter economic development was seriously decoupled from direct energy consumption and the de coal trend had made remarkable achievements so2 and nox emissions have declined significantly since 2007 diversified energy structure based on the de coal trend cleaner energy and economic restructuring promotes energy transition meanwhile the feasibility of implementation also should be considered in other cities energy transition process in china

asymmetric return dynamics and technical trading strategies abstract we investigate the profitability of technical trading strategies based on an asymmetric reverting property of stock returns we identify an asymmetry in return dynamics for daily returns on the s p 500 index return dynamics evolve along a positive negative unconditional mean after a prior positive negative return the trading strategies based on this asymmetry generate a positive return for buy signals a negative return for sell signals and a positive return for the spread between buy and sell signals our results imply that the observed asymmetry in return dynamics is the main source of profitability for the implied strategies thereby corroborating arguments for the usefulness of technical trading strategies

energy requirements of sydney households supporting the lifestyles of the populations of modern cities requires vast quantities of natural resources and leads to environmental stresses such as air and water pollution research into the metabolism of cities therefore aims at understanding the physical flows into within and out of cities with a view to reducing the use of resources and the environmental impacts one important physical indicator is energy use most studies on cities only consider direct or end user energy consumption since the function of cities is to serve the lives of their residents indirect energy use in cities or energy embodied in the consumption of goods and services by its residents can be regarded as being as important as direct energy use however physical models of cities are extremely complex and have difficulty in dealing with boundary issues and hence the indirect resource requirements in this paper we use input output analysis and detailed household expenditure data to yield comprehensive energy use breakdowns for the 14 statistical subdivisions of sydney multivariate regression and structural path analysis spa are used to interpret the results clear correlations can be drawn between energy use and income household size age and degree of urbanity the structural path analysis is used to demonstrate how significant differences in lifestyles between inner and outer areas of sydney leads to different energy use characteristics this final consumption based approach to analysing the energy requirements for households has important implications for measures aimed at reducing energy use which tend to only consider direct energy use d 2004 elsevier b v all rights reserved

testing for market timing ability abstract in this paper we examine the henriksson merton test of market timing and its potential usefulness in evaluating investment advice the paper proposes a natural extension of the test that is valid under more general assumptions about the distribution of asset returns we show that the henriksson merton test and its more general counterpart are special cases of standard tests of market rationality and efficiency both tests are applied to a group of foreign exchange advisory services

financial returns and efficiency as seen by an artificial technical analyst abstract we introduce trading rules which are selected by an artificially intelligent agent who learns from experience an artificial technical analyst these rules restrict the data mining concerns associated with the use of simple technical trading rules as model evaluation devices and are good at recognising subtle regularities in return processes the relationship between the efficiency of financial markets and the efficacy of technical analysis is investigated and it is shown that the artificial technical analyst can be used to provide a quantitative measure of market efficiency we estimate this measure on the djia daily index from 1962 to 1986 and draw implications for the optimal behaviour of certain classes of investors it is also shown that the structure of technical trading rules commonly used is consistent with utility maximisation for risk neutral agents and in a myopic sense even for risk averse agents

evidence of risk premiums in foreign currency futures markets benchmark portfolios for con sumption and wealth when the parameters rep resenting the prices of the covariance risks areheld constant no risk premiums are detected however when these prices are allowed to varywith the conditional expected returns and vari ances of the benchmark portfolios possibly reflect ing changing investment opportunities strong evi dence of risk premiums is obtained recent examinations of foreign currency futures datahave tested the hypothesis that today s futures priceis an unbiased predictor of tomorrow s price againstan unspecified alternative hypothesis the accumu lated evidence against the unbiasedness hypothesishas not been accompanied by evidence consistentwith a particular equilibrium risk premium model

beating the foreign exchange market filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods as shown by statistical tests developed and implemented here the test is consistent with but independent of a wide variety of asset pricing models the profits found cannot be explained by risk if risk premia are constant over time inclusion of the home foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy and hold in the early years of the generalized managed floating that began in march 1973 filter rule profits in excess of buy and hold were found for many countries logue sweeney and willett 18 dooley and shafer 6 cornell and dietrich 5 it was unclear however whether such profits indicated inefficiencies first it was not clear that risk was adequately handled in such tests and often risk was ignored second there was no evidence such profits would be available postsample and third there was no statistical test of the significance of these profits this paper uses the logic of risk return tradeoffs to analyze the role of risk in such tests and illustrates the logic in a discussion using the sharpe lintner capital asset pricing model capm although a breeden consumption based capm a merton intertemporal capm or an arbitrage pricing model apm could easily be used the paper develops a test of statistical significance appropriate to foreign exchange markets section i analyzing the rate of return on foreign exchange speculation less the foreign domestic interest rate differential the test explicitly assumes that risk premia are constant over the sample the excess rates of return observable in using filters in going from a risk free dollar asset to a risk free deutsche mark dm asset persist into the 1980 s section ii and this is true even when taking account of transactions costs it turns out that these results for the dm case do not depend very much on the interestrate differential but primarily on exchange rate behavior this is useful to know because it is often quite difficult to find matching interest rate data of high quality for a sample of nine other currencies using only exchange rates section iii shows that the excess returns made in the first 610 days of the float persist in the next 1 220 days into the 1980 s dooley and shafer 7 find similar persistence in experiments that do not use buy and hold and have no significance tests when filter rule profits have been found in spot exchange markets it has often been argued that the profits are due to risk this paper uses the capm to analyze rates of return both to buy and hold and to filter strategies it turns out that the claremont mckenna college and claremont graduate school arthur d warga douglas joines and thomas d willett offered helpful comments and ning ning koo provided research assistance

pricing capital assets in an international setting an introduction this paper shows how differences across countries of 1 inflation rates 2 consumption baskets of investors and 3 investment opportunity sets of investors matter when one applies capital asset pricing models in an international setting in particular the fact that countries differ is shown to affect the portfolio held by investors the equilibrium expected returns of risky assets and the financial policies of firms

energy security in china a quantitative analysis and policy implications abstract this study aims to examine how china s energy security has changed over 30 years of reform and the opening period it constructs a 4 as quantitative evaluation framework the availability of energy resources the applicability of technology the acceptability by society and the affordability of energy resources the quantitative results show that china s energy security was at its best during the sixth fyp period 1981 1985 but then deteriorated until it hit higher levels between 1995 and 2005 however it was still lower than the level reached during the sixth fyp period during the eleventh fyp period 2006 2010 the energy security situation deteriorated again differences in policy priority over the study period appear to affect the country s energy security status this study suggests that china needs to develop renewable energy resources on a large scale and pay more attention to emissions control to reverse the downward trend in energy security

an overview of energy consumption of the globalized world economy abstract for the globalized world economy with intensive international trade an overview of energy consumption is presented by an embodied energy analysis to track both direct and indirect energy uses based on a systems input output simulation in 2004 the total amounts of energy embodied in household consumption government consumption and investment are 7749 874 and 2009 mtoe million tons of oil equivalent respectively the united states is shown as the world s biggest embodied energy importer 683 mtoe and embodied energy surplus receiver 290 mtoe in contrast to china as the biggest exporter 662 mtoe and deficit receiver 274 mtoe energy embodied in consumption per capita varies from 0 05 uganda to 19 54 toe rest of north america based on a forecast for 2005 2035 china is to replace the united states as the world s leading embodied energy consumer in 2027 when its per capita energy consumption will be one quarter of that of the united states

have oil and gas prices got separated abstract this paper applies vector error correction models that show that oil and natural gas prices decoupled around 2009 before 2009 us and uk gas prices had a long term equilibrium with crude prices to which gas prices always reverted after exogenous shocks both us and uk gas prices adjusted to the crude oil price individually and departure from the equilibrium gas price on one continent resulted in a similar departure on the other after an exogenous shock the adjustment between us and uk gas prices took approximately 20 weeks on average and the convergence was mediated mainly by crude oil with a necessary condition that arbitrage across the atlantic was possible after 2009 however the uk gas price has remained integrated with oil price but the us gas price decoupled from crude oil price and the european gas price as the atlantic arbitrage has halted the oversupply from shale gas production has not been mitigated by north american export as there has been no liquefying and export capacity

energy abatement in chinese industry cost evaluation of regulation strategies and allocation alternatives abstract for chinese industry the costs of different energy consumption abatement scenarios are evaluated by the method of directional distance function these scenarios are based on the combinations of regulation strategies and allocation alternatives the former are sectors and provinces and the latter include the five principles of average intensity share absolute share discriminatory absolute and discriminatory intensity for all the scenarios the quantitative impacts in terms of output potential loss are calculated and compared due to less output potential loss for all the allocation alternatives the sector regulation strategy is shown to be more effective than the province regulation strategy it is also demonstrated that among all the scenarios considered the sector regulation based on the intensity share principle and the province regulation based on the absolute share principle are the two optimal the performances of energy abatement allocation of the 11th and 12th five year plans of china are assessed against the simulated scenarios

testing nonlinear forecastability in time series theory and evidence from the ems abstract this paper proposes a procedure based on nearest neighbour predictors for testing the existence of nonlinear forecastable dependencies in time series an empirical application to ems exchange rates illustrates the performance of the test

world oil and agricultural commodity prices evidence from nonlinear causality abstract the increasing co movements between the world oil and agricultural commodity prices have renewed interest in determining price transmission from oil prices to those of agricultural commodities this study extends the literature on the oil agricultural commodity prices nexus which particularly concentrates on nonlinear causal relationships between the world oil and three key agricultural commodity prices corn soybeans and wheat to this end the linear causality approach of toda yamamoto and the nonparametric causality method of diks panchenko are applied to the weekly data spanning from 1994 to 2010 the linear causality analysis indicates that the oil prices and the agricultural commodity prices do not influence each other which supports evidence on the neutrality hypothesis in contrast the nonlinear causality analysis shows that i there are nonlinear feedbacks between the oil and the agricultural prices and ii there is a persistent unidirectional nonlinear causality running from the oil prices to the corn and to the soybeans prices the findings from the nonlinear causality analysis therefore provide clues for better understanding the recent dynamics of the agricultural commodity prices and some policy implications for policy makers farmers and global investors this study also suggests the directions for future studies

the use of technical analysis in the foreign exchange market abstract technica or chartist analysis of financial markets involves providing forecasts or trading advice on the basis of largely visual inspection of past prices without regard to any underlying economic or fundamental analysis this paper reports the results of a questionnaire survey conducted on behalf of the bank of england among chief foreign exchange dealers based in london in november 1988 amongst other findings it is revealed that at least 90 per cent of respondents place some weight on this form of non fundamental analysis when forming views at one or more time horizons there is also a skew towards reliance on technical as opposed to fundamentalist analysis at shorter horizons which becomes steadily reversed as the length of horizon considered is increased a very high proportion of chief dealers view technical and fundamental analysis as complementary forms of analysis and a substantial proportion suggest that technical advice may be self fulfilling jel f31

electricity consumption and economic growth nexus in beijing a causal analysis of quarterly sectoral data abstract traditional energy economy nexus analysis is limited to aggregated and annual data because more detailed energy consumption data are usually not available however probing the disaggregated sectoral data usually provides a deep insight of energy economy nexus at sectoral level which is vital for governments to make proper policies in a timely manner this paper developed a deep research to find detailed quarterly and sectoral nexus between electricity consumption and economic growth sectoral data of electricity consumption and economic growth from 2005q1 to 2016q3 in beijing were exploited to model with granger causality analysis the results show that at the aggregated level there is a unidirectional causality running from economic growth to electricity consumption at sectoral level for the primary sector the electricity consumption impacts its added value with two quarter lagged for the secondary sector and the tertiary sector there is a unidirectional causality running from economic growth to electricity consumption at cross sector level the economic growth of the secondary sector has no impact on that of the tertiary sector while the economic growth of the tertiary sector strongly affects that of the secondary sector in terms of energy saving and emission reduction different policies should be employed in the three sectors beijing should encourage the electrification of the primary sector to stimulate its development beijing should make more efforts on tertiary sector to reduce electricity consumption however these policies should be more prudent while for the secondary sector improving energy efficiency and technological innovation should be paid more attention to

on biases in the measurement of foreign exchange risk premiums abstract the hypothesis that the forward rate is an unbiased predictor of the future spot rate has been consistently rejected in recent empirical studies this paper examines several sources of measurement error and misspecification that might induce biases in such studies although previous inferences are shown to be robust to a failure to construct true returns and to omitted variable bias arising from conditional heteroskedasticity in spot rates we show that the parameters were not stable over the 1975 89 sample period estimation that allows for endogenous regime shifts in the parameters demonstrates that deviations from unbiasedness were more severe in the 1980s jel f31

impact of energy prices and cellulosic biomass supply on agriculture energy and the environment an integrated modeling approach abstract the accelerated growth in biofuel markets has both created and reinforced linkages between agriculture and energy the evolution of biofuel markets over the next 10 20 years and the implications for energy agriculture and the environment are uncertain building on an integrated agriculture energy modeling framework this study analyzes a baseline and three alternative scenarios two scenarios based on energy prices crude oil and natural gas and one based on assumptions regarding cellulosic biomass availability by examining the impact of scenarios driven by a changes in the energy sector and b changes in the agricultural sector we can compare the differential effects on biofuels markets commodity prices and quantities in each sector and co 2 emissions scenario comparisons show biofuel markets affected more by crude oil prices than natural gas prices however higher natural gas prices shift the biofuel production mix away from corn grain based to more cellulosic ethanol via multiple mechanisms alternatively the scenario with no cellulosic feedstock lowers total ethanol production and raises ethanol and corn prices in terms of environmental impacts higher ethanol levels driven by higher oil prices lead to lower co 2 emissions in comparison the no cellulosic scenario results in the highest co 2 trajectory relative to the baseline

effects of us biofuel policies on us and world petroleum product markets with consequences for greenhouse gas emissions abstract us biofuel policy includes greenhouse gas reduction targets regulators do not address the potential that biofuel policy can have indirect impacts on greenhouse gases through its impacts on petroleum product markets and scientific research only partially addresses this question we use economic models of us biofuel and agricultural markets and us and world petroleum and petroleum product markets to show that discontinuing biofuel tax credits and ethanol tariff lower biofuel use could lead to increased us petroleum product use and a reduction in petroleum product use in other parts of the world the net effect is lower greenhouse gas emissions under certain assumptions we show that biofuel use mandate elimination can have positive or negative impacts on greenhouse gas emissions the magnitude and the direction of effects depend on how us biofuel trade affects biofuel in other countries with different emissions context that determines how important use mandates are in the first place who pays mandate costs and the price responsiveness of global petroleum supplies and uses however our results show that counter intuitive effects are possible and discourage broad conclusions about the greenhouse gas impacts of removing these elements of us biofuel policy

coal use embodied in globalized world economy from source to sink through supply chain abstract an empirical analysis of coal use embodied in the globalized world economy is performed in the present work via the application of a systems multi regional input output model for 2012 the use of primary coal is tracked from the sources of exploitation to the sinks of final use through inter regional trade as a global supply network mainland china is revealed to be the largest coal user but the per capita coal use embodied in its household consumption is only a quarter of that in the united states and doesn t even exceed the level in the united kingdom the leader in the movement away from coal the global trade volume of coal use is in magnitude calculated up to seventy percent of the world total coal exploitation the united states is demonstrated to be the world s leading importer of coal use of which the imports are dominated by non coal products as indirect coal imports in contrast mainland china is the leading exporter mainly due to the massive exports of commodities made in china two new indicators of self sufficiency rates are developed in order to explore the direct and indirect external coal dependence of the region two fifths of the coal finally used by the united states turns out to be exploited from foreign areas which is different from the result that the united states has no dependence on foreign coal resources based on the conventional external dependence degree this overview of coal use aims to provide a global insight into energy sustainability as well as a sound scientific reference for policy making for global resources management and climate change mitigation

oil price agricultural commodity prices and the dollar a panel cointegration and causality analysis abstract this study examines the dynamic relationship between world oil prices and twenty four world agricultural commodity prices accounting for changes in the relative strength of us dollar in a panel setting we employ panel cointegration and granger causality methods for a panel of twenty four agricultural products based on monthly prices ranging from january 1980 to february 2010 the empirical results provide strong evidence on the impact of world oil price changes on agricultural commodity prices contrary to the findings of many studies in the literature that report neutrality of agricultural prices to oil price changes we find strong support for the role of world oil prices on prices of several agricultural commodities the positive impact of a weak dollar on agricultural prices is also confirmed

land allocation effects of the global ethanol surge predictions from the international fapri model we quantify the emergence of biofuel markets and its impact on world agriculture using the multimarket multicommodity international fapri model the model incorporates trade offs between biofuel feed and food production and consumption and international feedback effects of the emergence through world prices and trade we shock the model with exogenous changes in ethanol demand first in the united states then in brazil and other countries and compute shock multipliers for land allocation decisions for important crops and countries the brazilian ethanol expansion using sugarcane has fewer consequences on existing arable land allocation than the u s ethanol expansion does using corn feedstock

an overview of mercury emissions by global fuel combustion the impact of international trade abstract this study provides an overview of mercury emissions by global fuel combustion by compiling the detailed inventory as well as elaborating the impact of international trade based on the global fuel related mercury emissions inventory covering 26 sectors in 186 economies for the year of 2010 systems multi region input output analysis is employed for the first time to investigate international trade s impact on mercury emissions induced by each economy the estimated mercury emissions mainly contributed by coal burning are 859 12 t approximately 30 of which are embodied in commodities transported to consumers in other economies via international trade the emerging economies such as mainland china and india are the prominent net exporters of embodied mercury emissions while developed economies like japan germany and the usa are the net importers indicating that developed economies avoided a large amount of direct mercury emissions by transferring the production of emission intensive commodities to developing economies by integrating the direct emissions and the net trade effect mainland china has the largest embodied mercury emissions followed by the usa and india this study verifies the significant role of international trade in drawing a holistic picture of global fuel related mercury emissions the findings also suggest that focusing on the atmospheric mercury pollution directly emitted by local producers in isolation may result in an absurd situation of regional reduction at the cost of global rise it is anticipated that the current study provides insights for forming a reasonable emission responsibility sharing mechanism and facilitating comprehensive abatement strategies

rational expectations equilibrium with conditioning on past prices a mean variance example abstract the paper uses an intertemporal mean variance model of the market for a dividend paying risky asset to analyse rational expectations equilibria when all agents condition their expectations on past rather than current prices the main result shows that if the time span between successive market periods is short the market will approximate full informational efficiency arbitrarily closely yet the returns to being informed are bounded away from zero this contrasts with the grossman stiglitz proposition that markets cannot come close to informational efficiency if the acquisition of information is costly

integrating bioenergy into computable general equilibrium models a survey in the past years biofuels have received increased attention since they were believed to contribute to rural development energy security and to fight global warming it became clear though that bioenergy cannot be evaluated independently of the rest of the economy and that national and international feedback effects are important computable general equilibrium cge models have been widely employed in order to study the effects of international climate policies the main characteristic of these models is their encompassing scope global models cover the whole world economy disaggregated into regions and countries as well as diverse sectors of economic activity such a modelling framework unveils direct and indirect feedback effects of certain policies or shocks across sectors and countries cge models are thus well suited for the study of bioenergy biofuel policies one can currently find various approaches in the literature of incorporating bioenergy into a cge framework this paper gives an overview of existing approaches critically assesses their respective power and discusses the advantages of cge models compared to partial equilibrium models grouping different approaches into categories and highlighting their advantages and disadvantages is important for giving a structure to this rather recent and rapidly growing research area and to provide a guidepost for future work

the relation between forward prices and futures prices abstract this paper consolidates the results of some recent work on the relation between forward prices and futures prices it develops a number of propositions characterizing the two prices these propositions contain several testable implications about the difference between forward and futures prices many of the propositions show that equilibrium forward and futures prices are equal to the values of particular assets even though they are not in themselves asset prices the paper then illustrates these results in the context of two valuation models and discusses the effects of taxes and other institutional factors

is technical analysis in the foreign exchange market profitable a genetic programming approach using genetic programming techniques to find technical trading rules we find strong evidence of economically significant out of sample excess returns to those rules for each of six exchange rates over the period 1981 1995 further when the dollar deutsche mark rules are allowed to determine trades in the other markets there is significant improvement in performance in all cases except for the deutsche mark yen betas calculated for the returns according to various benchmark portfolios provide no evidence that the returns to these rules are compensation for bearing systematic risk bootstrapping results on the dollar deutsche mark indicate that the trading rules detect patterns in the data that are not captured by standard statistical models

volatility in the foreign currency futures market we examine the volatility implications of around the clock foreign exchange trading with transaction data on futures contracts from the chicago mercantile exchange and the london international financial futures exchange we find higher u s european and u s japanese exchange rate volatilities during u s trading hours and higher european cross rate volatilities during european trading hours while the diclosure of private information through trading may partly explain these volatility patterns we conclude that the increased volatility is more likely driven by macroeconomic news announcements an analysis of inter and intraday data also reveals that volatility increases at times that coincide with the release of u s macroeconomic news article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

temporal patterns in foreign exchange returns and options although the foreign exchange market is believed to be one of the most efficient financial markets in the world there is significant evidence that technical analysis is profitable in this market in this study we investigate the ability of information from the options market to supplement the commonly used information on past prices to predict temporal patterns in foreign exchange returns we find that information from the options market improves the performance of technical trading strategies strategies using information from at the money options were more consistently profitable than the most commonly used strategies based on only historical spot exchange rates past prices our results hold out of sample as well as in the late nineties a period when few sources of information have proven reliable consequently options appear to contain valuable information regarding future spot exchange rate movements

energy regulation in china objective selection potential assessment and responsibility sharing by partial frontier analysis to cope with the excessive growth of energy consumption the chinese government has been trying to strengthen the energy regulation system by introducing new initiatives that aim at controlling the total amount of energy consumption a partial frontier analysis is performed in this paper to make a comparative assessment of the combinations of possible energy conservation objectives new constraints and regulation strategies according to the characteristics of the coordination of existing regulation structure and the optimality of regulation strategy four scenarios are constructed and regional responsibilities are reasonably divided by fully considering the production technology in the economy the relative importance of output objectives and the total amount controlling is compared and the impacts on the regional economy caused by the changes of regulation strategy are also evaluated for updating regulation policy

land requirements feedstock haul distance and expected profit response to land use restrictions for switchgrass production abstract energy crop production has been proposed for land of poor quality to avoid competition with food production and negative indirect land use consequences the objective of this study was to determine the land area requirements biomass transportation distance and expected profit consequences of restricting switchgrass biomass production for use as biofuel feedstock to marginal land relative to unrestricted land use the usa soils capability classification system was used to differentiate between high quality land and land of marginal quality fifty years of historical weather data were used in combination with a biophysical simulation model to estimate switchgrass biomass yield distributions for land of different quality for counties in the case study region a mathematical programming model was designed and solved to determine the economic consequences for the levels of biofuel price considered 0 50 0 75 and 1 00 l and a 262 5 m l year biorefinery modeled restricting land use to marginally productive capability class iv soils increases the quantity of land optimally leased by 42 to 52 increases biomass trucking total transportation distance by 115 to 116 and reduces the expected net returns by 11 to 15 m year compared to when land use is unrestricted in the absence of government restrictions for profit companies are not likely to limit energy crop production to land of marginal quality

an analysis of co2 emissions in italy through the macro multiplier mm approach abstract the issue of policy design into the environmental economic literature is becoming a crucial point especially for the relevance of its implication on international agreements for climate change and for the definition of climate actions against ghgs emissions the identification of economic drivers accountable for the co2 emissions which represent the major part of ghgs emissions represents a central topic on literature using input output analysis the paper proposes a methodological innovation on the study of suitable policy instrument against the raise of co2emissions which is based on the approach of the macro multipliers mm that leads with the recognition of the impact of all those industries responsible for co2 emissions from the policy perspective the relevance of industries responsible for co2 emissions is also analysed in this approach in which we introduce the target efficiency index and the control effectiveness index across industries as part of final demand vector each commodity has its own relevance or effectiveness in pursuing the attainment of the target vector on the other hand as part of the target vectors each industry emission has its own efficiency in being conveniently modified by changing the policy control vector the results deriving from the mm approach demonstrate the possibility to overcome the limits of the linkages analysis in particular the set of information deriving from the target efficiency and the control effectiveness indices for industries allows designing environmental policies in a framework where economic aggregates are defined in value and physical units using the input output table this study investigates the impacts of industries activities on co2 emission using the mm approach for the italian economy

naive trading rules in financial markets and wiener kolmogorov prediction theory a study of technical analysis this article attempts a formal study of technical analysis which is a class of informal prediction rules often preferred to wiener kolmogorov prediction theory by participants of financial markets yet wiener kolmogorov prediction theory provides optimal linear forecasts this article investigates two issues that may explain this contradiction first the article attempts to devise formal algorithms to represent various forms of technical analysis in order to see if these rules are well defined second the article discusses under which conditions if any technical analysis might capture those properties of stock prices left unexploited by linear models of wiener kolmogorov theory copyright 1991 by university of chicago press

conditional variance and the risk premium in the foreign exchange market abstract we investigate the existence of a risk premium in the foreign exchange market based on the conditional variance of market forecast errors the forecast errors are assumed to follow the arch process introduced by engle 1982 estimation and diagnostic testing of the model are discussed and results are presented for the currencies of the united kingdom france germany japan and switzerland