quantile dependence of oil price movements and stock returns we examine the impact of quantile and interquantile oil price movements on different stock return quantiles by testing the hypothesis of equality in conditional and unconditional quantile distribution functions of stock returns we capture quantile dependence under different stock market conditions while taking into account different kinds of oil price movements by computing unconditional and conditional stock return quantiles through marginal models for stock returns and copula functions for oil stock dependence analyzing stock return data for three developed economies the us the uk and the european monetary union and the five brics countries brazil russia india china and south africa for 2000 to 2014 our results indicate that 1 the impact of extreme upward and downward oil price changes on upper and lower stock price quantiles was much smaller before compared to after crisis onset 2 the downside spillover effects were larger than the upside spillover effects for most countries before crisis onset and for all countries after crisis onset and 3 small positive and negative oil price movements had no impact on any stock return quantiles neither before nor after crisis onset

a rational expectations approach to macroeconometrics frederic s mishkin university of chicago press for the national bureau of economic research chicago 1983 pp xii 172 20 00

an investigation into the interdependence of global water indices a var analysis we investigate the extent and manner of equity price interdependence among four water indices world water index s network global water index s net s p global water index s p and msci acwi water utilities index msci acwi using the vector autoregression var framework for the period 2004 2014 we also employ methods of granger causalities variance decomposition and impulse responses we find granger causality significance between s net and msci acwi and s net and s p indices at the 1 level of significance suggesting that the indices are significantly linked further s net is the most influential index amongst them in the forecast variance that can be accounted by s net at level of 55 75 our study indicates that the four water indices are interdependent and related so the water indices are influenced by movements in the other water indices

quantile relationship between oil and stock returns evidence from emerging and frontier stock markets abstract this study extends the literature on the asymmetric effect of oil price fluctuations on emerging and frontier stock markets via a quantile on quantile approach that allows to capture normal and extreme states in each respective market we find that oil risk exposures are heterogeneous across the emerging and frontier stock markets and indeed display quantile specific characteristics observing uniform patterns of oil risk exposures within groups of countries that include both importers and exporters we argue that oil price risk serves as a systematic risk proxy capturing the market s concerns regarding global growth expectations rather than a simple import export commodity our findings suggest that signals from the oil market either via measures of trading activity in oil futures or changes in basis values could be utilized by policy makers to improve models of stock market volatility

annual versus lifetime income redistribution by social security abstract in this study we compare the redistributive impact of the dutch social security on an annual basis with the lifetime redistributive impact the analysis confirms the theoretical notion that the lifetime impact is smaller than the annual incidence studies suggest this holds especially for old age pensions and social assistance and to a lesser extent the disability state pension we also find that for the netherlands the younger the cohort is the larger the difference however employee insurances do not necessarily imply a smaller redistributive impact on a lifetime basis the results are of course affected by the discount rate used and the assumptions with respect to economic growth the discount rate generally appears to be negatively correlated with the redistributive impact whereas the effect of growth is less straightforward

oil price shocks economic policy uncertainty and industry stock returns in china asymmetric effects with quantile regression abstract this paper investigates the impact of crude oil shocks and china s economic policy uncertainty on stock returns at different locations on the return distributions based on monthly data from 1995 1 to 2016 3 we address this issue by employing the quantile regression technique this approach enables a more detailed investigation in different market circumstances namely bearish normal and bullish markets empirical results indicate that the effects of oil price shocks and economic policy uncertainty are asymmetric and highly related to stock market conditions moreover both the nexus of oil and economic policy uncertainty stock are changed at the onset of a crisis specially rising oil prices have greater negative effects on stock returns when stock markets are bullish extreme higher quantiles before a crisis whereas the effects are significantly positive under different market conditions after the onset of the crisis falling oil prices lower stock returns when stock markets are bullish and normal before the crisis whereas lower stock returns under different market conditions except extreme bullish after the onset of the crisis these findings might be related to the optimistic or pessimistic investor sentiments and investors might become more frightened after the crisis

does oil move equity prices a global view many studies indicate that oil price shocks have an adverse effect on real output and hence an adverse effect on corporate profits where oil is used as a key input the present study examines whether and to what extent the adverse effect of oil price shocks impacts stock market returns to this end we analyse 35 datastream global industry indices for the period from april 1983 to september 2005 our findings indicate that oil price rises have a negative impact on equity returns for all sectors except mining and oil and gas industries generally these results are consistent with economic theory and evidence provided by previous empirical studies little evidence of any asymmetry is detected in the oil price sensitivities in light of our findings we recommend that international portfolio investors consider hedging oil price risk

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

oil shocks and oil stocks evidence from the 1970s the present paper examines the returns to 29 oil companies listed on the new york stock exchange during the period surrounding the oil shock of 1973 the returns are decomposed into production refining foreign and domestic operations the hypothesis that domestic price controls benefitted refiners is tested finally the hypothesis that oil price risk was priced in the sense of the arbitrage pricing theory is tested

a distributional analysis of the fairtax plan annual and lifetime income considerations dissatisfaction with the current federal tax system is fostering serious interest in the fairtax plan which would replace most of the federal taxes with a national retail sales tax the fairtax is promoted as being progressive but there is considerable skepticism of this claim we examine the distributional effects of the fairtax as well as the current system it intends to replace under both annual income and lifetime income approaches global measures of progressivity suggest that the current federal tax system is progressive while the fairtax is regressive our results are also robust to different assumptions used for estimation

oil and stock market momentum abstract this study provides a novel perspective to the oil stock market nexus by examining the predictive ability of oil return and volatility on stock market momentum in china we find that oil return volatility serves as a strong predictor of industry momentum even after controlling for stock market state volatility and key macroeconomic variables we argue that the predictive ability of oil over momentum payoffs is driven by time varying investor sentiment that relates to excess buying pressure on winner stocks during uncertain times captured by oil return volatility our tests also show that an oil based momentum strategy wherein the investor conditions the trade on the state of oil return volatility yields significant abnormal returns more than double that could be obtained from the conventional momentum strategy in short the findings suggest that oil market dynamics can contribute to stock market inefficiencies in such a way that these inefficiencies create significant abnormal profits for active managers

oil prices inflation and interest rates in a structural cointegrated var model for the g 7 countries sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries moreover the very recent highs registered in the world oil market are causing concern about possible slowdowns in the economic performance of the most developed countries in this paper a structural cointegrated var model has been considered for the g 7 countries in order to study the direct effects of oil price shocks on output and prices and the reaction of monetary variables to external shocks our results can be summarized as follows i a stationary money demand as suggested by the classic theory of money can be identified for most countries ii according to the estimated coefficients of the structural part of the model for all countries except japan and u k the null hypothesis of an influence of oil prices on the inflation rate cannot be rejected inflation rate shocks are transmitted to the real economy by increasing interest rates iii impulse response analysis suggests for most countries the existence of an instantaneous temporary effect of oil price innovations on prices iv impulse response functions indicate different monetary policy reactions to inflationary and growth shocks v the simulation exercises directed to estimate the total impact of the 1990 oil price shock indicate that for some countries u s a significant part of the effects of the oil price shock is due to the monetary policy reaction function for other countries canada france and italy however the total impact is offset at least in part by an easing of monetary conditions

monetary information and monetary neutrality abstract the monetary theory of business fluctuations in market clearing models constructed under the rational expectations assumption as advanced by lucas and others involves the idea that suppliers and demanders will typically misinterpret movements in the general level of prices as representing more or less favorable relative opportunities for real activities the present paper examines the consequences of agents possessing contemporaneous monetary information of a potentially noisy variety for the non neutrality of unanticipated monetary events within such an equilibrium business cycle model this modification of the information structure has the strong testable implication that real activity will be uncorrelated with contemporaneous monetary data

regional and copula estimation effects on eu and us energy equity portfolios the aim of this paper is to investigate the regional interdependence structure of energy equities in the us and in the eu based on weekly stock prices of 28 big energy firms in the two regions fro

the influence of unanticipated money growth on real output some cross country estimates two major propositions can be deduced from the theories of the business cycle developed in 4 14 15 161 1 monetary growth affects real output only if it is unanticipated 2 the impact on output of unanticipated monetary growth declines the more unpredictable monetary growth becomes proposition 1 has been tested on u k data in 2 3s on u s data in 5 6 7 and on canadian data in 19 the best known but somewhat informal test of proposition 2 is contained in 15 on data from a cross section of eighteen countries l in this paper we apply the method described in 3 to test proposition 1 using data from a range of countries furthermore we develop and discuss a formal method of testing proposition 2 and apply that method to the same data our main conclusion is that neither proposition can be decisively rejected

tax incidence analysis of developing countries an alternative view misleading conclusions can be drawn from studies of tax incidence that ignore the special features of developing countries incorporating these features can sometimes reverse the incidence pattern of taxes relative to what is often taken to be conventional wisdom even where patterns are not reversed quantitative differences can be substantial the newer views of incidence have implications for tax restructuring options being considered in several developing countries the proposed restructuring may appear to lead only to a more regressive tax system because of improper incidence analysis copyright 1991 by oxford university press

the redistribution of income in canada this original study challenges the widely held belief that government policies to redistribute income have made canada a more egalitarian state the author bases his conclusions on extensive documentation of the real effect of changes in taxes transfers and government expenditures

the marginal cost of redistribution lifetime and annual perspectives approximately 40 of federal government expenditures are spent on redistributing income from high income households to low income households 20 293 changing income redistribution policies causes distortions which affect the efficiency of resource allocation costs caused by these distortions are an important consideration in determining redistribution policies and practices previous studies such as browning and johnson 5 looked at the marginal cost of redistribution using annual income data however as is shown in this article using annual rather than lifetime income data greatly understates the marginal cost of redistribution the time period is an important consideration when calculating the marginal cost of redistribution over a lifetime a person may be a young student expecting a higher future income be retired having had a higher income in the past be changing jobs or recently divorced lifetime income includes these age and transitory differences in earnings and thus if we are concerned about the cost of decreasing inequality lifetime income is more accurate also the relevant time period partly depends on the capability of households to even out income fluctuations by spreading income from good to bad times upper income groups find it easier to spread income by borrowing or waiting until income rises again while lower income groups find it more difficult to borrow or wait if we are measuring the number of people in poverty and poor people find it difficult to spread income from good to bad periods the relevant period of time may be about a week but using a week for upper income groups would be misleading as many would appear poor but not face the difficulties of the poor if most people can average their income then the annual distribution of income is more appropriate than weekly however because of the above mentioned age and transitory differences in income annual income may also be misleading people are affected differently in different years by the tax transfer system in some years a person may receive transfers and in others pay taxes since households live their lives rather than a single year under the tax transfer system well being is more accurately described on a lifetime basis lifetime income gives a more accurate picture of households chances in life and of the degree of economic inequality in this article the annual and lifetime marginal costs of redistribution are calculated by a simulation that uses a lifetime dynamic labor supply model a linear income tax type of redistri

nonparametric panel data model for crude oil and stock market prices in net oil importing countries abstract this paper introduces an innovative nonparametric panel data approach to model the long run relationship between the monthly oil price index and stock market price indices of ten large net oil importing countries namely the united states japan china south korea india germany france singapore italy and spain in the proposed model we allow the coefficient on the oil price index to be a time varying function which evolves over time in a way that is assumed to be unknown we also allow the common trend function to evolve over time as well as extending the model further to incorporate country specific trend functions we employ a data driven local linear method to estimate these time varying trend and coefficient functions the results show that despite being largely positive there are several downward trends reflecting the aftermath of the iraq war and the recent unprecedented drop in the oil price overall we find that the nonparametric panel data model better captures the way in which the underlying stock oil price relationship has evolved over time in comparison to the point estimates of the parametric counterpart moreover we find that stock market fundamentals play a significant role in determining the oil stock price relationship our findings have important implication for policymakers and financial speculators

dynamic relations between international equity and currency markets the role of currency order flow previous research on the dynamic linkages between international financial markets focused on bivariate interequity or intercurrency relationships and do not allow a specific role for the currency or equity market respectively in this paper we hypothesize that there are important yet not well understood dynamic relationships between international equity and currency markets and these are driven by information spillover via the mechanism of currency order flow using a trivariate asymmetric garch framework we find that the relationships between equity and currency markets are significant bidirectional and pervasive these relationships which coexist with the relationships between u s and foreign equity markets are much stronger in the volatilities than in the means importantly we find strong support for our information spillover hypothesis where currency order flow is the economic mechanism by which information is transmitted

oil and the macroeconomy since world war ii all but one of the u s recessions since world war ii have been preceded typically with a lag of around three fourths of a year by a dramatic increase in the price of crude petroleum this does not mean that oil shocks caused these recessions evidence is presented however that even over the period 1948 72 this correlation is statistically significant and nonspurious supporting the proposition that oil shocks were a contributing factor in at least some of the u s recessions prior to 1972 by extension energy price increases may account for much of post opec macroeconomic performance

crude oil and the macroeconomy tests of some popular notions a note perhaps no other economic events in the post world war ii era have generated as much attention as the series of crude oil price shocks that have jolted the world economy since the opec boycott of 1973 a tremendous amount of space in the popular and professional literature has been devoted to analyzing the impacts of these shocks on the developed economies and the adjustments these shocks have induced one residual of this literature has been a general impression that since 1973 the functional relationship between crude oil prices and the developed macroeconomies has been dramatically and fundamentally altered yet to our knowledge no one has formally tested this impression recent evidence of hamilton 1983 suggests that crude oil prices had a strong impact on the u s business cycle well before 1973 further while textbook treatments of oil price shocks tend to highlight cost push inflationary effects the research of berndt and wood 1975 1979 and wilcox 1983 indicates the net complementarity between energy and capital in the u s economy is quite strong both before and after 1973 thus oil price shocks may have stronger real effects than generally believed in this paper we formally test three popular notions associated with the so called

time varying volatility spillover between chinese fuel oil and stock index futures markets based on a dcc garch model with a semi nonparametric approach abstract this paper reveals some new evidence on the volatility spillover between fuel oil and stock index futures markets in china by considering its time variant feature time varying effect is specified by the legendre polynomials in a dcc garch model moreover the semi nonparametric snp approach accounting for marginal excess kurtosis and asymmetry is applied we find different time evolving patterns of volatility spillover across multiple periods due to the structural breaks the direction of mean volatility spillover is found to be bilateral moreover the strength of mean volatility spillover shows that the effect from stock index to fuel oil futures is much stronger than the other way around this implies that the stock index futures market plays a leading role in information processing these findings have important implications for the fuel oil stakeholders as well as risk management

oil prices and real exchange rates in this paper we investigate the long run relationship between real oil prices and real exchange rates by using a monthly panel of g7 countries from 1972 1 to 2005 10 we first test whether exchange rates are cointegrated with real oil prices it is shown that real oil prices may have been the dominant source of real exchange rate movements and that there is a link between real oil prices and real exchange rates we then examine the ability of real oil prices to forecast future real exchange returns panel predictive regression estimates suggest that real oil prices have significant forecasting power the out of sample prediction performances demonstrate greater predictability over longer horizons

income redistribution and local tax progressivity a reconsideration this paper investigates and clarifies the relation between global tax progressivity as measured by musgrave and thin s effective progression and pointwise local progression as measured by the elasticity of after tax income with respect to pre tax income residual progression liu s 1985 vigorous defence of the global measure of effective progression is shown to rest upon an erroneous proposition of jakobsson 1976 a counter example is presented demonstrating that the link between residual progression and lorenz domination is much weaker than the work of liu and jakobsson suggests redistribution des revenus et mesure ponctuelle de la progressivite de l imp6t un re examen ce memoire examine et clarifie les rapports entre la progressivite globale de l impot telle que mesuree par l indice de progression effective de musgrave et thin et la progressivite ponctuelle de l imp6t telle que mesuree par l elasticite du revenu apres impot par rapport au revenu avant impot la progression residuelle on montre que la vigoureuse defense de liu 1985 de la mesure globale de progression effective est batie sur une proposition erronnee de jakobsson 1976 un exemple montre bien que le lien entre la progression residuelle et la domination au sens de lorenz est bien plus faible que ne le suggerent les travaux de liu et jakobsson

systemic risk spillovers between crude oil and stock index returns of g7 economies conditional value at risk and marginal expected shortfall approaches abstract in this study we examine systemic risk and dependence between oil and stock market indices of g7 economies between january 2003 and november 2017 coincidentally this timeframe covers different distress periods in financial and energy markets we use several time constant time varying and time varying markov copula models to examine the dependence further we use the delta conditional value at risk covar of adrian and brunnermeier 2016 and marginal expected shortfall mes of acharya et al 2012 to captures the risk spillover effects and give evidence of systemic risk from the copula analysis we find dissimilar dependence structure between returns series of oil and the g7 stock markets for france germany and japan the dependence is markov switching time varying while it is time varying for the united states and canada constant for the united kingdom and around zero for italy our empirical evidence on systemic risk indicates that oil price dynamics contributes significantly more to the g7 stock market returns during volatile times than during tranquil times in particular the canada stock market appears more sensitive and vulnerable to negative external shocks emerging from the crude oil market than the other markets further the country risk rankings identified using mes and covar may not be identical in addition the analysis results suggest that the crude oil market can be a good diversifier for investors in japan and france and that the investors in the rest of g7 countries must act more carefully

sectoral shifts and cyclical unemployment a substantial fraction of cyclical unemployment is better characterized as fluctuations of the frictional or natural rate than as deviations from some relatively stable natural rate shifts of employment demand between sectors of the economy necessitate continuous labor reallocation since it takes time for workers to find new jobs some unemployment is unavoidable this paper presents evidence that most of the unemployment fluctuations of the seventies unlike those in the sixties were induced by unusual structural shifts within the u s economy simple time series models of layoffs and unemployment are constructed that include a measure of structural shifts within the labor market these models are estimated and a derived natural rate series is constructed

oil price shocks and the dispersion hypothesis recent research by david lilien shows that a significant fraction of aggregate unemployment can be explained by the dispersion of employment growth across industries this paper presents two new results in this area first it is shown that a significant fraction of the variation in lilien s dispersion index is due to the differential impact of oil shocks across industries second and more important it is shown that once the dispersion in employment growth due to oil shocks is accounted for the residual dispersion has no explanatory power for unemployment

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

lifetime versus annual tax and transfer progressivity sweden 1968 2009 in this paper we analyze the evolution of tax and transfer progressivity in sweden over both annual and lifetime horizons using a rich micro panel covering the period 1968 2009 we calculate tax rates over a cohort s entire working life cycle our main finding is that taxes are considerably less progressive over the lifetime than in any single year social insurance transfers to transitory low income earners account for most of this result we offer a number of robustness checks of the measurement of lifetime incomes and progressivity but none of them changes our overall findings

inequality and poverty economists tend to be quite egalitarian in their evaluation of social issues according to one survey 71 percent of american economists believe the distribution of income in the united states should be more equal and 81 percent feel that redistribution of income is a legitimate role for government support for these positions is even stronger among economists with academic affiliations and stronger still among economists with elite academic affiliations of course as economists we also have a healthy regard for economic efficiency we are concerned with the size of the economic pie as well as with its distribution borrowing from the title of alan blinder s recent book 1 economists can be characterized as having hard heads and soft hearts hardheaded in our emphasis on efficiency and soft hearted in our concern with equality the hard headed soft hearted approach is familiar to economists who argue that it is reasonable to sacrifice a bit of efficiency in return for greater equality in principle this position seems unobjectionable but i intend to argue that we may have gone too far in attempting to promote economic equality through government policies in taking this position i run the risk of being labeled hard hearted and perhaps soft headed as well an important part of my argument however is based on distinguishing between economic inequality within the large nonpoor part of the population and the poverty that afflicts a small portiop of our population i fav9r a role for government in helping the truly needy but i will attempt to show that extending that role to permit redistribution among the general population is often counterproductive

the heterogeneity dependence between crude oil price changes and industry stock market returns in china evidence from a quantile regression approach this paper explores the dependence between real crude oil price changes and chinese real industry stock market returns based on the monthly data from 1994 03 to 2014 06 we address this issue using the quantile regression approach enabling a more detailed investigation of structure and degree of dependence empirical results reveal that the reaction of market returns to crude oil is highly heterogeneous across conditional distribution of industry stock returns furthermore there is evidence that this dependence is positive and exists only in recessions or bearish markets with low expected returns the dependence at low quantiles is not limited to one market but is a common feature across industries additionally dependence also changes since the onset of structural breaks we determine that chinese industry stock and global crude oil markets have contagion in rare situations most cases do not demonstrate contagion

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

optimal tax rates and tax design during systemic reform abstract budgets in eastern europe are under strain as taxes are reformed and receipts fall should expenditure be maintained or should personal taxes be cut this paper asks how optimal tax rates might respond to a transition in which the government becomes less averse to inequality but the inequality in skills increases these are roughly offsetting and less important than falling enterprise revenue and the decline in the efficiency of personal taxation both of which cause a sharp fall in optimal transfers tax design consists of balancing the diffeiing inefficiencies of incompleteness in indirect tax coverage against evasion prone direct taxes

asymmetric effects of oil price shocks on stock returns evidence from a two stage markov regime switching approach abstractthe asymmetric effects of oil price shocks on stock returns have attracted the attention of many researchers in the past several decades most of these researchers studies however do not separate out the sources of oil price shocks when examining the asymmetric effects in this article we address this limitation using a two stage markov regime switching approach our results indicate that oil supply and demand shocks have a null or minimal impact on stock returns in a low volatility regime and a statistically significant impact in a high volatility regime we observe that oil demand shocks affect stock returns significantly more than oil supply shocks a positive aggregate demand shock significantly increases stock returns whereas a positive oil specific demand shock markedly decreases stock returns these results have important implications for policymakers and investors

distributional impacts of carbon pricing a general equilibrium approach with micro data for households article i nfo many policies to limit greenhouse gas emissions have at their core efforts to put a price on carbon emissions carbon pricing impacts households both by raising the cost of carbon intensive products and by changing factor prices a complete analysis requires taking both effects into account the impact of carbon pricing is determined by heterogeneity in household spending patterns across income groups as well as heterogeneity in factor income patterns across income groups it is also affected by precise formulation of the policy how is the revenue from carbon pricing distributed as well as the treatment of other government policies e g the treatment of transfer payments what is often neglected in analyses of policy is the heterogeneity of impacts across households even within income or regional groups in this paper we incorporate 15 588 households from the u s consumer and expenditure survey data as individual agents in a comparative static general equilibrium framework these households are represented within the mit usrep model a detailed general equilibrium model of the u s economy in particular we categorize households by full household income factor income as well as transfer income and apply various measures of lifetime income to distinguish households that are temporarily low income e g retired households drawing down their financial assets from permanently low income households we also provide detailed within group distributional measures of burden impacts from various policy scenarios

price of oil and world inflation and recession new evidence shows that the commonly held assumption that the 1973 74 oil price increase directly affected us and world inflation and subsequent recession is consistent with the empirical data an extended lucas varro real income equation applied to the us united kingdom canada france germany italy japan and the netherlands gives mixed results partly because of price control and decontrol programs simulation experiments on the price control variable using us data finds strong effects further studies can be made when consistent international data is available for the 1979 80 period 18 references 4 figures 3 tables dck

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

grazing the commons an empirical analysis of externalities subsidies and sustainability abstract an empirical means of measuring externalities in the fifty states of the us is presented and the relationship between externalities subsidies and sustainability is investigated firms seeking to maximize profits create externalities thus securing implicit internal subsidies the subsidies are generally supported by those less well off and the socioeconomic energy and environmental indicators of the public sector worsen as externalities and subsidies increase implicit subsidies due to externalities in pollution control energy consumption and taxes are quantified the amount of subsidy is calculated by state and statistically compared to socioeconomic energy environmental and economic variables poverty unemployment and income disparity are found to increase significantly while income economic development attractiveness energy efficiency and environmental quality decline with increasing externalization across states an empirical method of operationalizing sustainability is presented and the relationship of sustainability to subsidies is investigated and found to be significant and negative recommendations are presented for minimizing the effects of externalities

a quarterly model of unanticipated monetary growth output and the price level in the u k 1963 1978 abstract this paper develops and estimates using quarterly data from 1963 to 1978 a three equation model of the u k economy in which output is affected only by unanticipated monetary growth whereas the price level is influenced by both anticipated and unanticipated changes in the money supply expectations of monetary growth are assumed to be muth rational the model was estimated using efficient procedures and tests of the over identifying restrictions were favourable to the model specification in particular anticipated monetary growth was found to have no significant effect on output

the role of intergenerational transfers in aggregate capital accumulation this paper uses historical u s data to directly estimate the contribution of intergenerational transfers to aggregate capital accumulation the evidence presented indicates that intergenerational transfers account for the vast majority of aggregate u s capital formation only a negligible fraction of actual capital accumulation can be traced to life cycle or hump savings a major difference between this study and previous investigations of this issue is the use of more accurate longitudinal age earnings and age consumption profiles these profiles are simply too flat to generate substantial life cycle savings this paper suggests the importance of and need for substantially greater research and data collection on intergenerational transfers life cycle models of savings that emphasize savings for retirement as the dominant form of capital accumulation should give way to models that illuminate the determinants of intergenerational transfers

this is what happened to the oil price macroeconomy relationship abstract many of the quarterly oil price increases observed since 1985 are corrections to even bigger oil price decreases the previous quarter when one looks at the net increase in oil prices over the year recent data are consistent with the historical correlation between oil shocks and recessions

exchange rate exposure abstract in this paper we examine the relationship between exchange rate movements and firm value we estimate the exchange rate exposure of publicly listed firms in a sample of eight non us industrialized and emerging markets we find that exchange rate movements do matter for a significant fraction of firms though which firms are affected and the direction of exposure depends on the specific exchange rate and varies over time suggesting that firms dynamically adjust their behavior in response to exchange rate risk exposure is correlated with firm size multinational status foreign sales international assets and competitiveness and trade at the industry level

crude oil and stock markets stability instability and bubbles abstract we analyze the long run relationship between the world price of crude oil and international stock markets over 1971 1 2008 3 using a cointegrated vector error correction model with additional regressors allowing for endogenously identified breaks in the cointegrating and error correction matrices we find evidence for breaks after 1980 5 1988 1 and 1999 9 there is a clear long run relationship between these series for six oecd countries for 1971 1 1980 5 and 1988 2 1999 9 suggesting that stock market indices respond negatively to increases in the oil price in the long run during 1980 6 1988 1 we find relationships that are not statistically significantly different from either zero or from the relationships of the previous period the expected negative long run relationship appears to disintegrate after 1999 9 this finding supports a conjecture of change in the relationship between real oil price and real stock prices in the last decade compared to earlier years which may suggest the presence of several stock market bubbles and or oil price bubbles since the turn of the century

separating bric using islamic stocks and crude oil dynamic conditional correlation and volatility spillover analysis abstract this paper explores the dynamic conditional correlation and volatility linkage between islamic indexes and oil for bric countries correlations between these assets increase during the global financial crisis for india and china but not for brazil and russia the volatility error forecast variance of all five indexes comes from spillover but is much lower compared to volatility spillover between conventional indexes and oil hedging performance of islamic indexes are superior in india and china compared to conventional indexes in emerging markets an optimal minimum variance portfolio without reducing expected return can be achieved by investing in lower weights of bric islamic indexes and oil compared to conventional indexes

volatility spillovers for energy prices a diagonal bekk approach abstract we examine the relationship between return and volatility as well as the covolatility spillover for energy foreign currency and stock markets using the diagonal bekk model using daily crude oil natural gas and the coal prices as proxies for energy prices the s p500 index as a proxy for the u s stock market and the eur usd exchange rate as a proxy for the exchange rate we find robust evidence for the volatility spillover effects among the three markets also in the 16 out of 20 pairwise relationships in the five markets there are significant negative covolatility spillover effects in the four pairs involving coal there are positive and significant covolatility spillover effects we conclude that the energy markets and the stock market have stronger covolatility spillovers than others

the exchange rate exposure of u s multinationals this article examines the exposure of u s multinationals to foreign currency risk evidence is presented that the relationship between stock returns and exchange rates differs systematically across multinationals given these results the study focuses on the determinants of exchange rate exposure the comovements between stock returns and the value of the dollar is found to be positively related to the percentage of foreign operations of u s multinationals copyright 1990 by the university of chicago

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

oil price shocks stock market economic activity and employment in greece abstract using a multivariate vector autoregression var approach this paper attempts to shed light into the dynamic relationship among oil prices real stock prices interest rates real economic activity and employment for greece the empirical evidence suggests that oil price changes affect real economic activity and employment oil prices are important in explaining stock price movements stock returns do not lead to changes in real activity and employment

relative price variability real shocks and the stock market in this paper we investigate the effects of relative price variability on output and the stock market and gauge the extent to which inflation proxies for relative price variability in stock return inflation regressions the evidence shows that the negative stock returninflation relations proxy for the adverse effects of relative price variability on economic activity particularly during the seventies when the u s experienced oil supply shocks hence it appears that inflation spuriously affects the stock market in two ways the aggregate output link of fama 1981 and the supply shocks reflected in relative price variability a number of papers have attempted to explain the anomalous negative relations between stock returns and inflation witnessed in the post war period one hypothesis that has held up well in light of empirical evidence suggests that the negative relation between stock returns and unexpected inflation simply reflects the more fundamental positive relation between stock returns and future real variables see e g fama 1981 geske and roll 1983 and kaul 1987 1989 in this paper we investigate the effects of relative price variability on output and the stock market and gauge the extent to which inflation proxies for relative price variability in stock return inflation regressions first relative price variability can have detrimental effects on output and employment see e g friedman 1977 and barro 1976 second absolute relative price confusion models of the lucas 1973 type suggest that monetary shocks can induce a positive relation between inflation and relative price variability see e g cukierman 1983 hence the negative stock return inflation relations could simply be a reflection of the negative effects of relative price variability on the stock market we use data for the 1947 1985 period to test the various links of our hypothesis the results indicate that relative price variability is positively related to both expected and unexpected inflation measures relative price variability also has a significant negative effect on output and the stock market more importantly

monetary policy and the information content of prices rational expectations and cleared markets lead to the proposition that feedback monetary policy is irrelevant to real activity as in the analyses of sargent and wallace however if agents are differentially informed and have access to a common price then prospective monetary policy actions future feedback to imperfectly known current circumstances can alter real activity by changing the information content of prices

lorenz domination and global tax progressivity the paper clarifies the concept of global progressivity as opposed to pointwise progressivity and proposes a summary measure for global progressivity on the basis of lorenz domination as a ranking criterion for income distributions by extending the work of musgrave and thin 1948 and jakobsson 1976 other ad hoc summary measures for global progressivity are evaluated from both a positive and a normative viewpoint domination selon le critere de lorenz et progressivite globale de la fiscalite ce memoire clarifie le concept de progressivite globale par opposition au concept de progressivite ponctuelle et propose une mesure sommaire de progressivite globale fondee sur la domination selon le critere de lorenz ce critere pour la comparaison de distributions de revenus est developpe en prolongeant certains travaux de musgrave et thin 1948 et de jakobsson 1976 l auteur examine aussi de fa on critique d autres mesures sommaires de progressivite globale dans une optique normative et positive

exchange rate fluctuations and stability in the oil market abstract this paper attempts to assess the impact of exchange rate fluctuations on the ability of opec to stabilize the oil market since oil prices are denominated in us dollars changes in the exchange rate parity influence the cost of imported oil of major european countries and japan which in turn influences the demand for oil and eventually demand for opec oil these variations become important factors for the stability of the market when opec output is at either maximum or minimum limits of the organization s production capacity

tests of equilibrium macroeconomics using contemporaneous monetary data abstract this paper uses contemporaneous monetary data to carry out econometric tests of the equilibrium approach to modelling the relation between monetary disturbances and macroeconomic fluctuations the theoretical analysis introduces into an equilibrium macroeconomic model the availability of preliminary data on current monetary aggregates and the process of accumulation of revised monetary data the econometric analysis tests two hypothesis derived from this extended model one hypothesis concerns the neutrality of perceived monetary policy the econometric results imply rejection of this hypothesis the other hypothesis concerns the non neutrality of errors in preliminary monetary data the econometric results fail to reject the contrary of this hypothesis these tests provide strong evidence against the reality of the equilibrium approach

the taxation of the poor this paper uses microsimulation modeling to estimate the annual burden offederal state and local taxes on the poor in two states we find that in 1988 the average burden of taxation on poorfamilies and individuals was 15 3 percent in massachusetts and 18 percent in new york as most of the burden is due to state and local taxes federal tax reform had only a minor impact on the overall tax burdens faced by the poor though the analysis is for two state we argue that the basic results are applicable for most other states given the high incidence of persistent poverty among those who are poor in any given year we argue that annual burdens provide a good indication of long run burden for a significant proportion of the poor

tests of a rational expectations structural neutrality model with persistent effects of monetary disturbances abstract this paper describes tests of a rational expectations structural neutrality resn model capable of accounting for the persistent effects of aggregate demand shocks the model imposes the identifying restriction that only contemporaneous shocks to aggregate demand affect a vector stochastic process of highly cyclic real variables tests are performed using a well known measure of unanticipated monetary change as the demand disturbance the results suggest that resn models observationally inequivalent from keynesian models can be constructed in such a way as to account for observable relationships between monetary and real variables

some calculations of lifetime tax incidence this paper reports a set of lifetime tax incidence calculations using a life cycle simulation model for canada due to davies 1979a 1982 a repeatedly stated qualification to annual calculations in the empirical tax incidence literature is that it would be more satisfactory to make calculations on a lifetime basis even though it is acknowledged that lifetime tax incidence could well differ from annual it is widely believed that data and other difficulties make such calculations next to impossible indeed the widespread acceptance of the data problems of lifetime calculations seems also to have inhibited speculation about how lifetime tax incidence might differ from annual as a result redistributive tax policy judgments continue to be based on annual incidence calculations in spite of the reservations many have about their usefulness our paper is intended to reorient discussion towards lifetime tax incidence by providing some initial null hypotheses about the shape of lifetime tax profiles our main finding is that under the standard competitive assumptions common in the incidence literature lifetime and annual incidence calculations both produce mild progression in tax rates across household deciles ignoring the bottom decile in the annual calculation while the income tax is less progressive in lifetime than in annual calculations other taxes are for the most part less regressive also lifetime incidence calculations are much more robust to alternative shifting assumptions than annual calculations in the lifetime context key distributions such as earnings transfer payments and consumption are less heavily concentrated in particular percentiles of the population than is true in annual data as a result changing the allocative series for any particular tax does not have the large effect on incidence results found in annual calculations each component of the tax system is allocated to households grouped by lifetime income using particular distributive series following a procedure similar to that employed in annual incidence calculations for example richard musgrave et al 1974 joseph pechman and benjamin okner 1974 edgar browning and william johnson 1979 w irwin gillespie 1980 in the process we are able to compare lifetime and annual incidence calculations using the same data set in both lifetime and annual calculations we allocate five groups of taxes among households using distributive series which come partly from the 1971 statistics canada survey of consumer finances scf and partly from our life cycle simulation model the scf data are used to construct synthetic longitudinal lifetime profiles of earnings and transfer payments for a sample of 500 households the latter are assigned inheritances by simulating patterns of mortality and bequest these data are then used in the life cycle model to generate lifetime consumption profiles and bequests the earnings transfer and inheritance data plus the model output provide the distributive series on which alternative incidence calculations are based while the incidence calculations presented in this paper use canadian data results would likely be similar for the united states

asymmetric impact of oil price on islamic sectoral stocks abstract this paper extends the literature concerning non linearity in oil stock relationships by putting forward a new paradigm of sectoral and islamic elements we explore the asymmetric impact of oil price on islamic stocks from a sectoral perspective using non linear autoregressive distributed lag cointegration methodology the main advantage of this methodology relies on its ability to simultaneously capture the short and long run asymmetries through both positive and negative oil price shocks our results show weak linkages between oil price changes and the islamic composite index however the nature and sensitivity of the reaction of stock prices to oil price shocks vary considerably across different sectors in the longer horizon the relationships between oil price and many islamic sectoral stocks tend to follow a nonlinear pattern furthermore the behavior of the real economic sectors indices reflects the performance of the composite index that is oil price resistant during the turbulent period after 2008 the response of the sectoral indices to oil price movements witnessed notable changes where the sectoral gains from oil price drop that have been observed during the period of study have been found to diminish after 2008 our finding is in line with the argument that the islamic composite index is grounded more on and within the real sectors these findings are robust when considering different oil proxies and different data time frequencies

oil prices and economic activity an asymmetric cointegration approach the aim of this paper is to study the long term relationship between oil prices and economic activity proxied by gdp to account for asymmetries existing in the links between the two variables we propose an approach based on asymmetric cointegration our empirical analysis concerns the u s economy but also the g7 europe and euro area economies results indicate that while standard cointegration is rejected there is evidence for asymmetric cointegration between oil prices and gdp

price inertia and policy ineffectiveness in the united states 1890 1980 this paper introduces a new approach to the empirical testing of the lucas sargent wallace lsw policy ineffectiveness proposition which compares the lsw hypothesis with an alternative that states that prices respond fully in the long run but only gradually in the short run to nominal aggregate demand disturbances the empirical equations estimated for a new set of quarterly data extending back to 1890 exhibit uniformly high responses of real output and low responses of price changes to anticipated changes in nominal gnp the paper compares and tests three alternative methods of introducing persistence effects into the lsw framework

interdependence of oil prices and stock market indices a copula approach article i nfo article history in this paper we study the relationship between the oil price and stock market index of various countries between 1982 and 2007 we exclude oil and gas stock companies from the stock indices to remove the obvious direct linkage oil price series are converted into local currency to account for possible exchange rate effects the method of copula is used to model the general dependence between stock returns and oil price returns our findings suggest a weak dependence between oil prices and stock indices for most cases which are consistent with the results from previous studies exceptions are for the stock index returns of large oil consuming and producing countries united states and canada which are shown to have a relatively strong dependence with the oil price series the introduction of euro in 1999 altered considerably dependence between oil prices and stock returns

do structural oil market shocks affect stock prices abstract this paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock market returns in a sample of eight countries australia canada france germany italy japan the united kingdom and the united states for each country the analysis proceeds in two steps first modifying the procedure of kilian kilian l forthcoming not all oil price shocks are alike disentangling demand and supply shocks in the crude oil market american economic review we employ a vector error correction or vector autoregressive model to decompose oil price changes into three components oil supply shocks global aggregate demand shocks and global oil demand shocks the last component relates to specific idiosyncratic features of the oil market such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies second recovering the oil supply shocks global aggregate demand shocks and global oil demand shocks from the first analysis we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries we find that international stock market returns do not respond in a large way to oil market shocks that is the significant effects that exist prove small in magnitude

dynamic co movement between oil and stock markets in oil importing and oil exporting countries two types of wavelet analysis abstract this study explores the dynamic co movement between oil and six stock markets china india japan saudi arabia russia and canada by using two types of wavelet analysis wavelet multi scale decomposition and wavelet coherence the main empirical results are as follows 1 maximal overlap discrete wavelet transform analysis shows that there are feedback relationships between the price movement of oil and stock markets in all six countries in the wavelet based decomposition at the d4 d5 and d6 scales 2 the pairs of oil and stock returns show high overall co movement at the 16 to 128 week scale based on continuous wavelet transform analysis the wavelet coherence and phase plots show that the pairs of oil and oil importing stock market returns have high co movement for the period between 2007 and 2012 especially during the global financial crisis of 2008 in addition the wavelet coherence and phase plots show that the pairs of oil and oil exporting stock market returns have high co movement from 2007 to 2017 3 oil price returns lead the stock returns of saudi arabia russia and canada from 2007 to 2017 at the 16 to 128 week scale the stock prices are more influenced by oil prices in oil exporting countries than in oil importing countries this evidence implies that the economic structure of oil exporting countries depends strongly on crude oil production 4 from the results of the wavelet based granger causality test there is a lead lag causality linkage in which the oil price leads stock market indices from 27 to 30 weeks 189 210 days the implications of these findings are discussed

oil and the macroeconomy when prices go up and down an extension of hamilton s results in an important paper hamilton 1983 demonstrated a strong correlation between oil price changes and gross national product growth in u s data however his study pertained to a period in which all the large oil price movements were upward and thus it left unanswered the question whether the correlation persists in periods of price decline moreover the price variable he used was somewhat distorted by price controls in the 1970s this note investigates whether hamilton s results continue to hold when the sample is extended to include the recent oil market collapse and the oil price variable is corrected for the effects of price controls particular attention is given to the possibility of asymmetric responses to oil price increases and decreases as suggested in the structural employment literature loungani 1986 davis 1987 hamilton 1988 like hamilton i based my investigation on the gnp equation in sims s 1 980b six variable quarterly vector autoregressive model