on jumps and arch effects in natural resource prices an application to pacific northwest stumpage prices continuous time models of natural resource prices usually preclude the possibility of large changes jumps resulting from unexpected events to test for the presence of jumps and or arch effects we combine bounds and the monte carlo test technique to obtain finite sample level exact p values we apply this methodology to stumpage prices from the pacific northwest and find evidence of jumps and arch effects to assess the impact of neglecting jumps on the decision to harvest old growth timber we develop an autonomous infinite horizon stopping model for which we provide a new method of resolution our numerical results show the importance of modeling jumps explicitly copyright 2002 oxford university press

marriage bequest and assortative matching in rural ethiopia abstract this article examines the determinants of human and physical capital at marriage using detailed data from rural ethiopia we find that assets brought to marriage are distributed in a highly unequal manner for first unions assets brought to marriage are positively associated with parents wealth indicating that a bequest motive affects assets at marriage parental wealth affects the inheritance of neither groom nor bride sibling competition from brothers affects grooms inheritance but sisters have no effect the marriage market is a major conduit for rural and gender inequality although avenues do exist for couples to accumulate wealth over their life cycle

the message in weekly exchange rates in the european monetary system mean reversion conditional heteroscedasticity and jumps weekly rates of the european monetary system ems vis a vis the deutsche mark from april 1979 to march 1991 are modeled as a combined ma 1 garch 1 1 jump process the moving average ma part accounts for mean reversion required for the rates to stay inside the target zone the generalized autoregressive conditional heteroscedasticity garch part accounts for changing volatility whereas the jump process models parity changes and other erratic movements using an adjusted pearson chi squared goodness of fit test we find similar results for the bernoulli and the poisson jump processes in those cases in which the bernoulli normal distribution does not pass the goodness of fit test a mixture of three normals does finally the ma 1 garch 1 1 bernoulli jump models are jointly estimated assuming a constant contemporaneous correlation matrix for the disturbances and a common jump probability for all the currencies

trilemma stability and international macroeconomic archetypes this paper uses the simple geometry of the classic open economy trilemma to introduce a new gauge of the stability of international macroeconomic arrangements the new stability gauge reflects the simultaneity of a country s choices of exchange rate fixity financial openness and monetary sovereignty so the new gauge is bounded and correspondingly non gaussian we use the new stability gauge in nonlinear panel estimates to examine the post bretton woods period and we find that trilemma policy stability is linked to official holdings of foreign exchange reserves in low income countries we also find that the combination of fixed exchange rates and financial market openness is the most stable arrangement within the trilemma and middle income countries have less stable trilemma arrangements than either low or high income countries the paper also characterizes international macroeconomic arrangements in terms of their semblance to definitive policy archetypes and it uses the trilemma constraint to provide a new gauge of monetary sovereignty

beyond death do us part the long term implications of divorce perceptions on women s well being and child schooling in rural ethiopia summary this paper examines how women s perception of the division of household assets upon divorce affects women s well being and child schooling outcomes in rural ethiopia findings suggest that women who perceive that their husband would get all the assets in case of a divorce also tend to perceive less control over their lives implications of perceptions of unequal divorce allocations on child schooling are more striking not only do children in households where perceived divorce allocations favor the husband do worse compared to children of the same age but girls fare even worse than boys in these households

rising u s earnings inequality and family labor supply the covariance structure of intrafamily earnings this paper studies the labor supply contributions to individual and family earnings inequality during the period of rising wage inequality in the early 1980 s working couples have positively correlated labor market outcomes which are almost entirely attributable to permanent factors an intertemporal family labor supply model with this feature is used to estimate labor supply elasticities for husbands of 0 05 and wives of 0 40 this implies that labor supply explains little of the rising annual earnings inequality for married men but over 20 percent of the rise in family inequality and 50 percent of the modest rise in female inequality

equation by equation estimation of multivariate periodic electricity price volatility electricity prices are characterised by strong autoregressive persistence periodicity e g intraday day of the week and month of the year effects large spikes or jumps garch and as evidenced by recent findings periodic volatility we propose a multivariate model of volatility that decomposes volatility multiplicatively into a non stationary e g periodic part and a stationary part with log garch dynamics since the model belongs to the log garch class the model is robust to spikes or jumps allows for a rich variety of volatility dynamics without restrictive positivity constraints can be estimated equation by equation by means of standard methods even in the presence of feedback and allows for dynamic conditional correlations dccs that can optionally be estimated subsequent to the volatilities we use the model to study the hourly day ahead system prices at nord pool and find extensive evidence of periodic volatility and volatility feedback we also find that volatility is characterised by positive leverage in half of the hours and that a dcc model provides a better fit of the conditional correlations than a constant conditional correlation ccc model

intergenerational transfers in philippine rice villages gender differences in traditional inheritance customs abstract this paper examines education land and nonland asset transfers from parents to children in five rice villages in the philippines a model with family fixed effects explains transfers better than either individual heterogeneity or observed parent and child characteristics without family fixed effects families facing different land constraints exhibit significantly different patterns of educational investment in children in a subsample with completed inheritance daughters receive less education land and total inheritance but are compensated with nonland assets parents also exhibit preferential behavior towards children of the same gender daughters of better educated mothers receive more land nonland assets and total inheritance better educated fathers give land preferentially to sons but favor daughters in education

the role of international reserves holding in buffering external shocks an extended literature analyzes the accumulation foreign exchange holding observed in many developing and emerging countries since the 2000s empirical studies on the self insurance motive suggest that high reserves economies are more resilient to financial crises and to international capital inflows volatility they show also that pre crisis foreign reserve accumulation explains post crisis growth however some papers suggest that the relationship between international reserves holding and reduced vulnerability is nonlinear meaning that reserve holding is subject to diminishing returns this paper devotes more attention to the potential nonlinear relationship between the foreign reserves holding and macroeconomic resilience to shocks for a sample of 9 emerging economies we assess to what extent the accumulation of international reserves allows to mitigate negative impacts of external shocks on the output gap while a major part of the literature focuses on the global financial crisis we investigate this question by considering two sub periods 1995 2003 and 2004 2013 we implement threshold var tvar model in which the structure is allow to change if the threshold variable crosses a certain estimated threshold we find that the effectiveness of reserve holding to improve the resilience of domestic economies to shocks has increased over time hence the diminishing returns of foreign reserve holding stressed in the previous literature must be qualified

target zones and exchange rates an empirical investigation this paper develops an empirical model of exchange rates in a target zone the distribution of exchange rate changes is conditioned on a latent jump variable where the probability and size of a jump vary over time as a function of financial and macroeconomic variables when there is no jump the target zone is credible and exchange rate changes are constrained to remain within the target zone band the paper revisits the empirical evidence from the european monetary system regarding the conditional distribution of exchange rate changes the credibility of the system and the size of the foreign exchange risk premia in contrast to some previous findings we conclude that the french franc deutschmark rate exhibits considerable nonlinearities realignments are somewhat predictable and the credibility of the system did not increase substantially after 1987 moreover our model implies that the foreign exchange risk premium becomes large during speculative crises

control and ownership of assets within rural ethiopian households this article investigates how the control and devolution of productive assets are allocated among husband and wife theory predicts that bargaining power within marriage depends on the division of assets upon divorce and on control over assets during marriage using detailed household data from rural ethiopia we show that assets brought to marriage ownership of assets control within marriage and disposition upon death or divorce are only partly related productive resources are controlled by the household head disposition upon death or divorce only loosely depends on individual ownership during marriage but control is associated with larger claims upon divorce assets brought into marriage have little impact on disposition upon death but matter in case of divorce

dynamic conditional score models a review of their applications abstractin this paper applications of dynamic conditional score dcs models are reviewed and those models are discussed in relation to classical time series models from the literature dcs models

dynamic discrete mixtures for high frequency prices the tick structure of the financial markets entails discreteness of stock price changes based on this empirical evidence we develop a multivariate model for discrete price changes featuring a mec

cash crops and food security evidence from ethiopian smallholder coffee producers one of the central questions in food policy debates has been the role of cash cropping for achieving food security in low income countries we revisit this question in the context of smallholder co

european gasoline markets price transmission asymmetries in mean and variance the main objective of this article is to analyse the different sources of asymmetric price transmissions in the fuel market for france germany and spain during the last decades the eu has carrie

balance of payments crises in a cash in advance economy the author shows that a flexible prices sidrauski type model with a cash in advance constraint is capable of depicting some of the phenomena associated with a balance of payments crisis like the onesrecently observed in argentina and mexico current accounts deficits and appreciation of the real exchange rat e it is also shown that these phenomena become exacerbated as the rate of devaluation before the crisis occurs becomes smaller copyright 1987 by ohio state university press

conditional euro area sovereign default risk we propose an empirical framework to assess the likelihood of joint and conditional sovereign default from observed cds prices our model is based on a dynamic skewed t distribution that captures all salient features of the data including skewed and heavy tailed changes in the price of cds protection against sovereign default as well as dynamic volatilities and correlations that ensure that uncertainty and risk dependence can increase in times of stress we apply the framework to euro area sovereign cds spreads during the euro area debt crisis our results reveal significant time variation in distress dependence and spill over effects for sovereign default risk we investigate market perceptions of joint and conditional sovereign risk around announcements of eurosystem asset purchases programs and document a strong impact on joint risk

schooling search and spouse selection testing economic theories of marriage and household behavior the implications of the economic theories of marriage and of household fertility behavior are tested in a framework in which educational investment marital search and marital matches are responsive to marriage market conditions and the personal traits of individual agents some of which are unobserved by the econometrician implications are also derived and tested for the effects of longevity attractiveness preferences and labor and marriage market conditions on schooling marriage age and spouse choice the empirical results indicate that inattention to heterogeneity and martial selection leads to a false rejection of the economic theory of marriage but to a false acceptance of the value of time fertility hypothesis

haddad lawrence john hoddinott and harold alderman eds intrahousehold resource allocation in developing countries models methods and policy baltimore md johns hopkins university press 1997 384 pp 55 00 in this volume economists demographers sociologists and anthropologists collaborate in the study of how resources are allocated within households in developing countries and why it matters from a policy perspective surveying a broad range of theory and evidence the contributors examine the many social and cultural factors that influence decisions about the family and household level about the allocation of time income assets and other resources ths contributors show that a more complete understanding of intrahousehold behaviour can increase the likelihood that policies will reach the people they are intended to affect

discrete devaluations and multiple equilibria in a first generation model of currency crises the flrst generation models of currency crises have often been criticized because they predict that in the absence of very large triggering shocks currency attacks should be predictable and lead to small devaluations this paper shows that these features of flrst generation models are not robust to the inclusion of private information in particular this paper analyzes a generalization of the krugman flood garber kfg model which relaxes the assumption that all consumers are perfectly informed about the level of fundamentals in this environment the kfg equilibrium of zero devaluation is only one of many possible equilibria in all the other equilibria the lack of perfect information delays the attack on the currency past the point at which the shadow exchange rate equals the peg giving rise to unpredictable and discrete devaluations

the rising price of husbands a hedonic analysis of dowry increases in rural india dowries in south asia have steadily risen over the last 40 years and now often amount to over 50 percent of a household s assets this paper attempts to investigate the reasons behind this increase it adapts rosen s implicit market model to the indian marriage market and tests predictions from the model with data from six villages in south central india and from the indian census it is found that a marriage squeeze caused by population growth resulting in larger younger cohorts and hence a surplus of women in the marriage market has played a significant role in the rise in dowries

for a few dollars more reserves and growth in times of crises abstract based on a dataset of 112 emerging economies and developing countries this paper addresses the question whether the accumulation of international reserves has effectively protected countries during the 2008 09 financial crisis more specifically the paper investigates the relation between international reserves and the existence of capital controls we find that the level of reserves matters countries with high reserves relative to short term debt suffered less from the crisis particularly when associated with a less open capital account this suggests some degree of complementarity between reserve accumulation and capital controls

crop choice school participation and child labor in developing countries cotton expansion in burkina faso we estimate the effects of changes in cotton adoption on children s schooling and child labor in rural burkina faso using time and spatial variations we find evidence that expansion of cotton farming has led to an increase in enrollment and to a reduction of participation in child labor for girls there are however no detectable effects on boys in theory cotton adoption could increase household income leading to increased demand for schooling and reduced child labor on the other hand because children are productive on cotton farms adoption of cotton could increase the opportunity cost of child time and the demand for child labor we provide suggestive evidence showing that boys are more productive than girls on cotton farms taken together the results suggest that the income effect from cotton adoption might have been larger than the wage effect for girls hence the overall positive impacts on school enrollment for girls

renewables diffusion and contagion effect in italian regional electricity markets assessment and policy implications abstract in the electricity market sudden price jumps occur more frequently than in other markets due to the peculiarity of electricity furthermore the structural spot characteristics of the electricity market determine high price variability all these characteristics have been accentuated by the dramatic increase of renewable energy supply in italy starting in 2010 these features suggest the possibility of contagion effects across italian regional electricity markets considering contagion such as a sudden and significant increase in cross market links arising from a shock to a specific market in this paper we investigate whether such a renewable energy increase has affected the contagion behavior in the italian electricity spot market taking into account both the difference between interdependence and contagion and the direction of the shock we find empirical evidence with significant tests that no changes have occurred in interdependence mechanism nor in contagion effects due to renewable energy sources development in italy

the effect of sibling sex composition on women s education and earnings this paper documents the impact of siblings on the education of men and women born in the united states between 1920 and 1965 we examine the effect of the number and sex composition of a boy or girl s siblings on that child s educational attainment we find that throughout the century women s educational choices have been systematically affected by the sex composition of her siblings and that men s choices have not women raised only with brothers have received on average significantly more education than women raised with any sisters controlling for household size since sibling sex composition affects women s educational attainment and plausibly may be unrelated to other determinants of earnings it may provide a useful instrument for education in earnings functions for women our results suggest that standard estimates significantly underestimate the return to schooling for women

sovereign defaults and liquidity crises abstract sovereign debt crises in emerging markets are usually associated with liquidity and banking crises the conventional view is that the domestic turmoil is the consequence of foreign retaliation although there is no clear empirical evidence on classic default penalties this paper emphasizes instead a direct link between sovereign defaults and liquidity crises building on two natural assumptions i government bonds represent a source of liquidity for the domestic private sector and ii the government cannot discriminate between domestic and foreign creditors in the event of default in this context external debt emerges even in the absence of classic penalties and government default is countercyclical triggers a liquidity crunch and amplifies output volatility in addition a reform that involves a substitution of government bonds with privately sourced liquidity instruments could backfire by restricting governments access to foreign credit

asymmetric volatility in european day ahead power markets a comparative microeconomic analysis this paper uses high frequency spot price data from fourteen wholesale electricity markets in europe to analyze asymmetric volatility in european day ahead power markets with exponential garch e garch and tarch models our data set ranges from 1992 to 2015 and consists of approximately 926 000 observations as such this paper constitutes the most extensive and comprehensive work conducted so far on european power markets to the best of our knowledge unlike most of the literature that treats price as a continuous variable and attempts to model its trajectory this paper adopts a unique approach and regards each hour in a day a separate market the results show in post 2008 period the most expensive electricity is consumed in turkey ireland and uk while the cheapest power is in russia nordic countries and czech republic russia poland and czech republic have the least volatile markets while france ireland and portugal have the most volatile ones volatility has decreased in many european countries in post 2008 period besides we find magnitude effect is usually larger than the leverage effect meaning that the absolute value of price change is relatively more important than the sign of the change whether it is an increase or a decrease to explain volatility in european day ahead power markets moreover the results imply there is not a uniform inverse leverage effect in electricity prices that is price increases are more destabilizing in some european markets e g poland slovenia ireland netherlands than comparable price decreases but vice versa also holds true in some other countries e g portugal and france leverage or inverse leverage effect in post 2008 period is relatively stronger in portugal france and ireland but its impact is quite limited in turkey and germany furthermore although the impact of seasonality on prices is obvious a specific pattern cannot be identified finally large changes in the volatility will affect future volatilities for a relatively longer period of time in nordic countries ireland and the uk while changes in current volatility will have less effect on future volatilities in czech republic russia and turkey

using stated preferences and beliefs to identify the impact of risk on poor households abstract whilst the importance of uncertainty in shaping economic behaviour of poor households is widely acknowledged empirically identifying the impact of risk is difficult by using data on risk preferences and perceptions of risk collected through hypothetical questions in combination with more traditional measures of a household s ability to deal with risk this article identifies the impact of risk on production decisions it shows both that data on stated preferences and beliefs can be usefully utilised to explain household behaviour and that risk has a significant impact on the production decisions of poor households

component estimation for electricity prices procedures and comparisons abstract electricity price time series usually exhibit some form of nonstationarity corresponding to long term behavior one or more periodic components as well as dependence on calendar effects as a result modeling electricity prices requires accounting for both long term and periodic components in the literature several filtering procedures have been proposed but a standard has not yet been found furthermore since different procedures are applied in contexts that are not homogeneous with respect to data periods and final goals a fair comparison is difficult this work considers several methods for component estimation in a homogeneous framework and compares them according to specific criteria the final purpose is to find an estimation procedure that performs well independently of the intended market and that can be proposed as a reference for electricity price time series filtering

when is it optimal to abandon a fixed exchange rate the influential krugman flood garber kfg model of balance of payment crises assumes that a fixed exchange rate is abandoned if and only if international reserves reach a critical threshold value from a positive standpoint the kfg rule is at odds with many episodes in which the central bank has plenty of international reserves at the time of abandonment we study the optimal exit policy and show that from a normative standpoint the kfg rule is generally suboptimal we consider a model in which the fixed exchange rate regime has become unsustainable due to an unexpected increase in government spending we show that when there are no exit costs it is optimal to abandon immediately when there are exit costs the optimal abandonment time is a decreasing function of the size of the fiscal shock for large fiscal shocks immediate abandonment is optimal our model is consistent with evidence suggesting that many countries exit fixed exchange rate regimes with still plenty of international reserves in the central bank s vault copyright 2008 wiley blackwell

disinflation and fiscal reform a neoclassical perspective abstract many latin american countries engaged in disinflation programs based on both exchange rate management and fiscal reforms in most of the cases part of the fiscal reform was not implemented and the program had to be abandoned the aftermath of these programs is not encouraging in this paper we show that if the reform process is uncertain and inflation has welfare costs the optimal exchange rate policy indeed implies the initiation of a disinflation program at the announcement of the fiscal reform even if it implies the possibility of a balance of payments crisis finally we show that it is optimal to engage in a sequence of stabilization programs until one of them is successful

why do electricity prices jump empirical evidence from the nordic electricity market the paper empirically explores the possible causes behind electricity price jumps in the nordic electricity market nord pool a time series model a mixed garch earji jump model capturing the com

government finance in the wake of currency crises we address three questions i can classical models be reconciled with the fact that many crises are marked by high rates of depreciation and small increases in seignorage revenue ii what are the implications of different financing methods for post crisis rates of inflation and depreciation iii how do governments pay for the fiscal costs associated with currency crises to study these questions we use a general equilibrium model in which prospective government deficits trigger a currency crisis we then use our model in conjunction with fiscal data to interpret government financing in the wake of three recent currency crises korea 1997 mexico 1994 and turkey 2001

international reserves and global interest rates abstract in this paper we study the relationship between foreign currency international reserve holdings and global interest rates to guide empirical work we solve a simple small open economy model with money where the central bank manages international reserves to smooth inflation over time this model shows that changes in interest rates are positively related to the target level of reserves as a consequence interest rate hikes increase reserve transfers defined as the change in international reserves net of the interest earned on reserves using quarterly data for 75 countries between 2000 and 2013 we document a positive relationship between interest rate changes and reserve transfers as a share of gdp that is consistent with the model

land inheritance and market transactions in uganda studies on the role of nonmarket land transactions remain limited this paper addresses two questions is land inheritance driven by underdeveloped land markets how does land inheritance influence land disposal and acquisition we use a switching regression model on household data from rural uganda we find that the initially landless or near landless households due to little or no land inheritance obtain land through land markets while those that are land rich dispose of land through land sales and bequests the results suggest that a process of land equalization is unfolding within the sample

conditional jump dynamics in stock market returns this article develops a new conditional jump model to study jump dynamics in stock market returns we propose a simple filter to infer ex post the distribution of jumps this permits construction of the shock affecting the time t conditional jump intensity and is the main input into an autoregressive conditional jump intensity model the model allows the conditional jump intensity to be time varying and follows an approximate autoregressive moving average arma form the time series characteristics of 72 years of daily stock returns are analyzed using the jump model coupled with a generalized autoregressive conditional heteroscedasticity garch specification of volatility we find significant time variation in the conditional jump intensity and evidence of time variation in the jump size distribution the conditional jump dynamics contribute to good in sample and out of sample fits to stock market volatility and capture the rally often observed in equity markets following a significant downturn

stochastic trends and jumps in ems exchange rates abstract in this paper we study the statistical properties of ems exchange rate returns our findings show that jumps time varying parameters and conditional leptokurtosis are pertinent features in the empirical distributions of ems exchange rate returns allowance for fat tails however tends to reduce the measured frequency of jumps in the distributions to more realistic proportions most successful in capturing the relevant features of ems exchange rate returns is a combined jump garch model with conditionally t distributed innovations jel f31

allocation of land tenure rights in tigray how large is the gender bias this study investigates gender differences in land ownership and use in northern ethiopia female headed households have 23 smaller owned landholdings and 54 smaller operational landholdings household endowments of nonland productive inputs are important but decomposition analysis shows that differences in observable characteristics such as labor and oxen explain less than half of these differences whereas the remaining differences can be attributed to differences in returns to these characteristics the latter suggests a gender bias in land allocation the main policy recommendation is to strengthen women s opportunities to cultivate their land and continue the process of securing women s tenure rights

on jump processes in the foreign exchange and stock markets exchange rates exhibit systematic discontinuities even after allowingfor conditional heteroskedasticity in the diffusion process the results are much more significant in theforeign exchange market than in the stock market which suggests differences in the structure of these markets finally this jump component is shown to explain some of the empirically observed mispricings in the currency options market the objective of this article is to analyze and compare the empirical distribution of returns in the stock market and in the foreign exchange market there are a number of reasons why a better understanding of the stochastic processes driving prices in these markets would be useful many financial models rely heavily on the assumption of a particular stochastic process while relatively little attention is paid to the empirical fit of the postulated distribution as a result models like option pricing models are applied indiscriminately to various markets such as the stock market and the foreign exchange market when the underlying processes may be fundamentally different the foreign exchange market for instance is characterized by active exchange rate man

revisiting the techno economic analysis process for building mounted grid connected solar photovoltaic systems part two application part one in this two part paper identified monte carlo analysis as an improved approach over traditional deterministic techno economic methods for solar pv prosumers in deregulated markets in this

household bargaining power and agricultural supply response evidence from ethiopian coffee growers summary this paper investigates whether preference heterogeneity between spouses contributes to limited cash crop production in southern ethiopia using the value of livestock each spouse would take in the event of divorce as a measure of bargaining power this paper shows a significant negative correlation between the bargaining power proxies and coffee output livestock ownership during marriage does not have a significant impact on coffee production in contrast to the case in commercial production women s exit options have a weak positive effect on production of the staple crop enset

a dynamic multivariate heavy tailed model for time varying volatilities and correlations we propose a new class of observation driven time varying parameter models for dynamic volatilities and correlations to handle time series from heavy tailed distributions the model adopts generalized autoregressive score dynamics to obtain a time varying covariance matrix of the multivariate student t distribution the key novelty of our proposed model concerns the weighting of lagged squared innovations for the estimation of future correlations and volatilities when we account for heavy tails of distributions we obtain estimates that are more robust to large innovations we provide an empirical illustration for a panel of daily equity returns

fear of appreciation abstract in recent years the term fear of floating has been used to describe exchange rate regimes that while officially flexible in practice intervene heavily to avoid sudden or large depreciations however the data reveals that in most cases and increasingly so in the 2000s intervention has been aimed at limiting appreciations rather than depreciations often motivated by the neo mercantilist view of a depreciated real exchange rate as protection for domestic industries as a first step to address the broader question of whether this view delivers on its promise we examine whether this fear of appreciation has a positive impact on growth performance in developing economies we show that depreciated exchange rates indeed lead to higher growth but that the effect rather than through import substitution or export booms as argued by the mercantilist view works largely through the deepening of domestic savings and capital accumulation

dowry and wife s welfare a theotrical and empirical analysis becker attributes the existence of marital transfers to inflexibility in the division of joint product within the marriage if that were the only reason we would not have observed the coexistence of dowries and bride prices this paper offers an alternative analysis while becker s interpretation is retained for bride prices a dowry is now represented as a premortem bequest by altruistic parents for a daughter it not only increases the wealth of the new conjugal household but also enhances the bargaining power of the bride in the allocation of the output within the household thereby safeguarding here welfare using micro data from taiwan we found that a dowry improves the bride s welfare whereas a bride price has no effect these empirical results support the theoretical predictions of the model

effect of intergenerational asset transfers on land distribution in rural cambodia case studies of three rice growing villages after land reallocation in the early 1980s inequality in landholdings has re emerged in rural cambodia besides land sales and purchases intergenerational transfers of assets may foster inequality in landholdings among second generation 2g couples who having wed after the 1980s reallocation received no land from the government data analysis of three rice growing villages reveals that land received directly from parents accounts for 18 41 of inequality in landholdings among sample 2g couples although net land gain after marriage primarily through purchases is the largest contributor to the inequality nonland assets received from parents positively affect the net gain direct and indirect effects combined assets received from parents account for 35 57 of inequality in landholdings the effect of assortative matching of the acreage received from parents has hitherto been small

regime jumps in electricity prices many countries are liberalizing their energy markets participants in these markets are exposed to market risk due to the characteristics of electricity price dynamics electricity prices are known to be mean reverting very volatile and subject to frequent spikes models that describe the dynamics of electricity prices should incorporate these characteristics in order to capture the price spikes many researchers have introduced stochastic jump processes but we argue and show that this specification might lead to potential problems with specifying the true amount of mean reversion within the process in this paper we propose a regime switching model that models price spikes separated from normal mean reverting prices

a bayesian markov switching correlation model for contagion analysis on exchange rate markets this article develops a new markov switching vector autoregressive var model with stochastic correlation for contagion analysis on financial markets the correlation and the log volatility dynamics are driven by two independent markov chains thus allowing for different effects such as volatility spill overs and correlation shifts with various degrees of intensity we outline a suitable bayesian inference procedure based on markov chain monte carlo algorithms we then apply the model to some major and asian pacific cross rates against the u s dollar and find strong evidence supporting the existence of contagion effects and correlation drops during crises closely in line with the stylized facts outlined in the contagion literature a comparison of this model with its closest competitors such as a time varying parameter var reveals that our model has a better predictive ability supplementary materials for this article are available online

land fragmentation and food insecurity in ethiopia this paper revisits the economic consequences of land fragmentation taking seriously concerns regarding the exogeneity of fragmentation its measurement and the importance of considering impacts in terms of welfare metrics using data that are well suited to addressing these issues the analysis finds that land fragmentation reduces food insecurity this result is robust to how fragmentation is measured and to how exogeneity concerns are addressed further the paper finds that land fragmentation mitigates the adverse effects of low rainfall on food security this is because households with diverse parcel characteristics can grow a greater variety of crop types

collapsing exchange rate regimes some linear examples abstract we construct a pair of linear examples to study the collapse time of a fixed exchange rate regime the first example is a perfect foresight continuous time model which allows calculation of the exact collapse time and the tracking of reserves the second example is a discrete time stochastic model which yields an endogenous probability distribution over the collapse time and produces a forward discount of the exchange rate

long term impact of investments in early schooling empirical evidence from rural ethiopia abstract we examine the cumulative impact of early schooling investments on later schooling outcomes using enrollment status and relative grade attainment as short run and long run measures of schooling using a child level longitudinal data set from rural ethiopia we estimate a dynamic conditional schooling demand function where the coefficient estimate on the lagged dependent variable captures the impact of all previous period schooling inputs and resources we find that a child who is enrolled in the prior period is 33 percentage points more likely to be enrolled currently these lagged effects are stronger for girls and for children from higher income households

education and off farm work an investigation is presented of the determinants of educational selectivity in a framework that emphasizes the coordination of household members sectoral time allocation is based on members comparative advantage which in turn depends on the utilization and returns to schooling in the farm and nonfarm sectors central to the model is a knowledge spillover hypothesis that workers who participate in off farm work may still contribute knowledge to farm management estimation of the model is based on cross sectional chinese farm household data collected in 1990 from 204 households in sichuan province it is concluded that schooling does not enhance labour productivity when carrying out routine tasks that the contribution to farm efficiency by the most educated members is not affected by their non farm participation and that schooling increases labour market wage rates these empirical results give comparative advantage for the better educated farmers to work off the farm

the economics of polygyny in sub saharan africa female productivity and the demand for wives in cote d ivoire polygyny is still practiced throughout much of sub saharan africa with important social consequences this paper makes the first attempt to link african polygyny directly to the productivity of women in agriculture using micro data i develop a structural model of the demand for wives that disentangles wealth and substitution effects using a large household survey from cote d ivoire i find that marked geographic diversity in cropping patterns leads to regional variation in female labor productivity i also find that conditional on wealth men do have more wives when women are more productive that is cheaper this substitution effect may explain why polygyny declined in rural areas of cote d ivoire during agricultural development

the recent growth of international reserves in developing economies a monetary perspective abstract the massive accumulation of international reserves in developing economies is a puzzling recent development in the world economy this paper studies reserve accumulation as the outcome of a simple model in which the central bank smooths inflation i explore the view that central banks accumulate reserves to face large fiscal shocks that need monetary financing central bank revenues are obtained through inflation but inflation is distortionary as a result the central bank optimally accumulates international reserves in order to spread the costs associated with inflation over time a simple numerical exercise for an average developing economy using data between 1970 and 2009 yields fast growth of international reserves

financial instability reserves and central bank swap lines in the panic of 2008 in this paper we connect the events of the last twelve months the panic of 2008 as it has been called to the demand for international reserves in previous work we have shown that international reserve demand can be rationalized by a central bank s desire to backstop the broad money supply to avert the possibility of an internal external double drain a bank run combined with capital flight thus simply looking at trade or short term debt as motivations for reserve holdings is insufficient one must also consider the size of the banking system m2 here we show that a country s reserve holdings just before the current crisis relative to their predicted holdings based on these financial motives can significantly predict exchange rate movements of both emerging and advanced countries in 2008 countries with large war chests did not depreciate and some appreciated meanwhile those who held insufficient reserves based on our metric were likely to depreciate current account balances and short term debt levels are not statistically significant predictors of depreciation once reserve levels are taken into account our model s typically high predicted reserve levels provide important context for the unprecedented u s dollar swap lines recently provided to many countries by the federal reserve this abstract was borrowed from another version of this item

effects of renewables on the stylized facts of electricity prices abstract many countries around the world have increased their renewable installed capacity due to a greater awareness of climate concerns under this new framework with renewables being among the main generation sources the literature warns of a dramatic change in price behaviour some of the most commonly claimed effects of having a significant proportion of renewable generating sources in the total electricity production mix include i a systematic decrease in overall wholesale market prices ii a higher occurrence of price jumps and iii a significant increase in price volatility the goal of the present study is to test whether these changes in price behaviour have actually come about to do so we focus on the spanish day ahead electricity market as a paradigmatic example in line with the literature it is found a statistically negative relationship between the renewable generation share and the day ahead market marginal prices as well we have obtained statistical confirmation of the fact that renewables generation share volatility is transferred to price volatility though similarly to other generation technologies finally in contrast to the general belief that the introduction of renewable generation would give rise to extreme positive prices according to our results increases in renewables generation share reduce the probability of upward jumps in prices the results obtained are of interest for portfolio managers practitioners and regulators

electricity spot price dynamics beyond financial models we reveal properties of electricity spot prices that cannot be captured by the statistical models commonly used to model financial asset prices that are increasingly used to model electricity prices using more than eight years of half hourly spot price data from the new zealand electricity market we find that the half hourly trading periods fall naturally into five groups corresponding to the overnight off peak the morning peak daytime off peak evening peak and evening off peak the prices in different trading periods within each group are highly correlated with each other yet the correlations between prices in different groups are lower models adopted from the modeling of security prices that are currently applied to electricity spot prices are incapable of capturing this behavior we use a periodic autoregression to model prices instead showing that shocks in the peak periods are larger and less persistent than those in off peak periods and that they often reappear in the following peak period in contrast shocks in the off peak periods are smaller more persistent and die out perhaps temporarily during the peak periods current approaches to modeling spot prices cannot capture this behavior either

prospective deficits and the asian currency crisis this paper argues that a principal cause of the 1997 asian currency crisis was large prospective deficits associated with implicit bailout guarantees to failing banking systems the expectation that these future deficits would be at least partially financed by seigniorage revenues or an inflation tax on outstanding nominal debt led to a collapse of the fixed exchange rate regimes in asia we articulate this view using a simple model whose key feature is that a speculative attack is inevitable once the present value of future government deficits rises we present empirical evidence in support of the key assumptions underlying our interpretation of the crisis