regime switches in exchange rate volatility and uncovered interest parity abstract we use a regime switching model to examine how exchange rate volatility is related to the failure of uncovered interest parity main findings are as follows first exchange rate returns are strongly influenced by regime switches in the relationship between the returns and interest rate differentials second low yielding currencies appreciate less frequently but once it occurs their movements are faster than when they depreciate third depreciation of low yielding currencies and low volatility are mutually dependent on each other finally these three findings are more evident for shorter horizons the second and third results are consistent with a market participants view short term carry trades in a low volatility environment and their rapid unwinding substantially influence exchange rates we consider the effects of funding liquidity to explain these results

feer for the cfa franc we investigate the behaviour of the real effective exchange rates reer of the two cfa franc zone monetary unions cemac and waemu vis a vis their long run equilibrium paths a reduced form of the edwards 1989 fundamentals equilibrium exchange rate feer model is estimated using the johansen s 1995 cointegration methodology and equilibrium paths and associated misalignments are derived for the period 1970 to 2005 our results suggest that for both cemac and waemu the fundamentals account for most of the exchange rates fluctuation increases in the terms of trade government consumption and productivity tend to appreciate the exchange rate while increases in investment and openness tend to depreciate it at end of 2005 we find no evidence that either the cemac or waemu reers were significantly over valued which suggests that no exchange rate action is currently needed our analysis also reveals significant differences in the fundamentals marginal impact and speed of reversion to equilibr

monetary union price level convergence and inflation how close is europe to the usa abstract the pattern of price dispersion across european and us cities from 1990 to 2004 is documented there is a striking decline in dispersion for traded goods prices in europe most of which took place prior to the launch of the euro dispersion in the euro area is now quite close to that of the usa this evidence provides useful facts for future work assessing the importance of various developments in europe harmonization of tax rates convergence of incomes and labor costs liberalization of trade and factor markets and increased coherence of monetary policy

cliometrics and time series econometrics some theory and applications the paper discusses a range of modern time series methods that have become popular in the past 20 years and considers their usefulness for cliometrics research both in theory and via a range of applications issues such as spurious regression unit roots cointegration persistence causality structural time series methods including time varying parameter models are introduced as are the estimation and testing implications that they involve applications include a discussion of the timing and potential causes of the british industrial revolution income convergence and the long run behaviour of english real wages 1264 1913 finally some new and potentially useful developments are discussed including the mildly explosive processes graphical modelling and long memory

accounting for asymmetric price responses and underlying energy demand trends in oecd industrial energy demand abstract this paper explores the way technical progress and improvements in energy efficiency are captured when modelling oecd industrial energy demand the industrial sectors of the developed world involve a number of different practices and processes utilising a range of different technologies consequently given the derived demand nature of energy it is vital when modelling industrial energy demand that the impact of technical progress is appropriately captured however the energy economics literature does not give a clear guide on how this can be achieved one strand suggests that technical progress is endogenous via asymmetric price responses whereas another strand suggests that it is exogenous more recently it has been suggested that potentially there is a role for both endogenous technical progress and exogenous technical progress and consequently the general model should be specified accordingly this paper therefore attempts to model oecd industrial energy demand using annual time series data over the period 1962 2010 for 15 oecd countries using the structural time series model framework the general specifications allow for both asymmetric price responses for technical progress to impact endogenously and an underlying energy demand trend for technical progress and other factors to impact exogenously but in a non linear way the results show that almost all of the preferred models for oecd industrial energy demand incorporate both a stochastic underlying energy demand trend and asymmetric price responses this gives estimated long run income elasticities in the range of 0 34 to 0 96 estimated long run price maximum elasticities in the range of 0 06 to 1 22 estimated long run price recovery elasticities in the range of 0 00 to 0 27 and estimated long run price cut elasticities in the range of 0 00 to 0 18 furthermore the analysis suggests that when modelling industrial energy demand there is a place for endogenous technical progress and an exogenous underlying energy demand trend consequently it is argued that any modelling strategy should start by including both and only imposed restrictions if accepted by the data

german dominance in the ems evidence from interest rates abstract the paper presents an empirical analysis of german dominance and asymmetries in the ems based on a dynamic system of equations explaining national money market interest rates the hypothesis of strict german dominance of the ems is rejected however there are some noticeable asymmetries in the ems germany is a relatively strong player and has been the least dependent country in the early phase of the system since 1983 german independence has diminished in contrast france throughout and italy in the early phase of the ems have been relatively weak players in the system

can markov switching models replicate chartist profits in the foreign exchange market abstract in this paper we show that the markov switching model is a relevant statistical alternative to the classical martingale model for exchange rates by extending the standard markov switching model we decisively reject the martingale model moreover the model generates autocorrelations and linear structures in line with what is observed in reality subsequently we test whether this model can explain chartist profits we find that the extended markov switching model is able to explain the profitability of a simple ma 30 rule finally we decompose the profitability of the ma 30 rule into a linear and nonlinear part we find that although the implied linear structure of the markov model explains a substantial part of the profitability part of the profits of the ma 30 rule can be attributed to the specific nonlinearities implicit in the markov model

early marketing matters a time varying parameter approach to persistence modeling are persistent marketing effects most likely to appear right after the introduction of a product the authors give an affirmative answer to this question by developing a model that explicitly reports how persistent and transient marketing effects evolve over time the proposed model provides managers with a valuable tool to evaluate their allocation of marketing expenditures over time an application of the model to many pharmaceutical products estimated through exact initial kalman filtering indicates that both persistent and transient effects occur predominantly immediately after a brand s introduction subsequently the size of the effects declines the authors theoretically and empirically compare their methodology with methodology based on unit root testing and demonstrate that the need for unit root tests creates difficulties in applying conventional persistence modeling the authors recommend that marketing models should either accommodate persistent effects that change over time or be applied to mature brands or limited time windows only

modelling industrial energy demand in saudi arabia abstract between 1986 and 2016 industrial energy consumption in saudi arabia increased by tenfold making it one of the largest end use sectors in the kingdom despite its importance there appear to be no published econometric studies on aggregate industrial energy demand in saudi arabia we model aggregate industrial energy demand in saudi arabia using harvey s 1989 structural time series model showing that it is both price and income inelastic with estimated long run elasticities of 0 34 and 0 60 respectively the estimated underlying energy demand trend suggests improvements in energy efficiency starting from 2010 applying decomposition analysis to the estimated econometric equation highlights the prominent roles of the activity effect the growth in industrial value added and the structure effect the shift towards energy intensive production in driving industrial energy demand growth moreover the decomposition shows how exogenous factors such as energy efficiency helped mitigate some of that growth delivering cumulative savings of 6 8 million tonnes of oil equivalent mtoe between 2010 and 2016 saudi arabia implemented a broad energy price reform program in 2016 which raised electricity fuel and water prices for households and industry the decomposition results reveal that holding all else constant higher industrial energy prices in 2016 reduced the sector s energy consumption by 6 9 a decrease of around 3 0 mtoe saudi policymakers could therefore build on the current policy of energy price reform and energy efficiency standards to mitigate the rate of growth of industrial energy consumption increase economic efficiency and maintain industrial sector competitiveness

can the markov switching model forecast exchange rates abstract a markov swirching model is fit for 18 exchange rates at quarterly frequencies the model fits well in sample for many exchange rates by the mean squared error criterion the markov model does not generate superior forecasts to a random walk or the forward rate there appears to ne some evidence that the forecasts of the markov model are superior at predicting the direction of change of the exchange rate

testing the monetary model of exchange rate determination new evidence from a century of data abstract we test the long run monetary model of exchange rate determination for a collection of 14 industrialized countries using data spanning the late nineteenth or early twentieth century to the late twentieth century interestingly we find support for a simple form of the long run monetary model in over half of the countries we consider for these countries we estimate vector error correction models to investigate the adjustment process to the long run monetary equilibrium in the spirit of meese and rogoff journal of international economics 14 1983 3 24 we also compare nominal exchange rate forecasts based on monetary fundamentals to those based on a naive random walk model

price index convergence among united states cities we study the dynamics of price indices for major u s cities using panel econometric methods and find that relative price levels among cities mean revert at an exceptionally slow rate in a panel of 19 cities from 1918 to 1995 we estimate the half life of convergence to be approximately nine years the surprisingly slow rate of convergence can be explained by a combination of the presence of transportation costs differential speeds of adjustment to small and large shocks and the inclusion of nontraded goods prices in the overall price index do price indices in major u s cities share a common trend and if so how quickly do they revert to that trend following a local shock to the price index to answer this question we study the dynamics of consumer price indices for 19 major u s cities over the period from 1918 to 1995 the panel time series methods we employ are now commonly used for studying real output growth rates and levels of real exchange rates across countries we estimate that price index divergences across u s cities are temporary but surprisingly persistent with a half life of nearly nine years our research has two primary motivations first we hope to gain a better understanding of the sources of persistence in the deviations from purchasing power parity ppp found in studies of national price indices and exchange rate data second and more importantly we see the european monetary union as having many similarities to the united states and believe that studying the behavior of prices across u s cities will help us in understanding the likely nature of inflation convergence in the euro area the european central bank s stated inflation objective is a year on year change in the harmonized index of consumer prices hicp of not more than 2 but how large might we expect regional deviations from this euro area wide average to be and how long are they likely to persist the lack of data prevents us from answering this question directly using european prices under monetary union instead we look to the united states a mature common currency area of similar regional diversity size and industrial development

revisiting long run relations in power markets with high res penetration abstract electricity generation from renewable energy resources res has become increasingly significant to reach eu and emissions reduction targets at the same time one of the main eu policy goals has been the creation of a common internal energy market for europe in this paper we focus on these two issues previously studied separately considering their possible interactions we first analyze the long run relationship between day ahead electricity prices and fuel prices natural gas and coal looking at two samples of years characterized by low and high res penetration then we explore the integration of eu markets we show that the electricity fuel nexus found over 2006 2008 changed dramatically over 2010 2014 for the majority of countries considered in particular the long run dependence of electricity from gas and coal prices is much lower in recent years furthermore our results confirm that the considered eu countries are becoming less integrated as res e increases our findings suggest that nationally implemented policies to support renewables are successful in increasing res penetration but they have lessened the linkage among eu markets then making integration more difficult to obtain

an alternative explanation of india s growth transition a demand side hypothesis this paper formalises the balance of payments constrained bpc growth model in a two regime framework to re examine india s growth transition in 1980 from a demand side perspective as an alternative to the supply oriented approaches of previous studies the results provide strong evidence of a demand led growth transition although the government led expenditure strategy of the 1980s fulfilled the role of moving the indian economy out of its slow growing demand regime 1952 79 into a faster growing one it could not sustain demand growth at the natural rate due to a balance of payments constraint consistent with the prediction of the bpc growth model faster export growth in the post 1990 liberalisation period sustained demand growth at its maximum rate by allowing expenditure including government spending to grow at a fast rate the analysis further suggests that india s export surge in the post 1990 liberalisation period has a significant demand side explanation rather than an exclusively supply side interpretation

understanding long run price dispersion abstract a unique panel of retail prices spanning 123 cities in 79 countries from 1990 to 2005 is used to uncover the novel properties of long run international price dispersion at the ppp level almost all of price dispersion is attributed to unskilled wage dispersion at the level of individual goods and services the average contribution of these wages is significantly reduced reflecting that good specific sources of price dispersion such as trade costs and good specific markups tend to average out across goods at the lop level borders and distance contribute about equally to price dispersion that is rising in the distribution share

does oilrig activity react to oil price changes an empirical investigation in this paper we analyze how oilrig activity in different non opec regions is affected by the crude oil price we estimate relationships between oilrig activity and crude oil prices using dynamic regression models augmented with latent components capturing trend and seasonality the results generally show a positive relationship between oilrig activity and the crude oil price but the strength of the relationship differs across regions overall there seems to be a clear relationship between the oil industry structure in the region and the oilrig activity s reaction to price changes on average the long run price elasticity for oilrig activity in non opec countries is around unity

modelling residential electricity demand in the gcc countries abstract this paper aims at understanding the drivers of residential electricity demand in the gulf cooperation council countries by applying the structural time series model in addition to the economic variables of gdp and real electricity prices the model accounts for population weather and a stochastic underlying energy demand trend as a proxy for efficiency and human behaviour the resulting income and price elasticities are informative for policy makers given the paucity of previous estimates for a region with particular political structures and economies subject to large shocks in particular the estimates allow for a sound assessment of the impact of energy related policies suggesting that if policy makers in the region wish to curtail future residential electricity consumption they would need to improve the efficiency of appliances and increase energy using awareness of consumers possibly by education and marketing campaigns moreover even if prices were raised the impact on curbing residential electricity growth in the region is likely to be very small given the low estimated price elasticities unless that is prices were raised so high that expenditure on electricity becomes such a large proportion of income that the price elasticities increase in absolute terms

time varying risk interest rates and exchange rates in general equilibrium under mild assumptions the data indicate that time varying risk is the primary force driving nominal interest rate differentials on currency denominated bonds this finding is an immediate implication of the fact that exchange rates are roughly random walks a general equilibrium monetary model with an endogenous source of risk variation a variable degree of asset market segmentation can produce key features of actual interest rates and exchange rates in this model the endogenous segmentation arises from a fixed cost for agents to exchange money for assets as inflation varies so does the benefit of asset market participation and that changes the fraction of agents participating these effects lead the risk premium to vary systematically with the level of inflation this model produces variation in the risk premium even though the fundamental shocks have constant conditional variances

price level co movements within currency unions an alternative integration metric this paper analyses currency union integration by testing whether price levels in member countries possess a common stochastic trend the trace statistic test for cointegration proposed by johansen 1995 demonstrates the presence of such a trend for most unions a disaggregated analysis identifies a common stochastic trend for several though fewer than half of country pairs within a union some unions such as the eurozone have small shares of cointegrated country pairs yet the share of cointegrated country pairs is large relative to countries outside currency unions comparison to a control group country pairs where one country belongs to a given union and the other country does not indicates that the cointegration found within a currency union is a union specific trait and not a feature of the individual countries within the union these results provide an alternative metric to intraunion trade for gauging the extent of currency union integration

price differentials in monetary unions the role of fiscal shocks we study the effect of regional expenditure and revenue shocks on price differentials for 47 us states and 9 eu countries we identify shocks using sign restrictions on the dynamics of expenditures revenues deficits and output and construct two estimates for structural price differentials dynamics one for the average and one for each unit which optimally weight information contained in the data for all units on average expansionary fiscal disturbances produce positive while distortionary balance budget shocks produce negative price differential responses the negative price differentials responses in some units is partially explained by spillovers and labour supply effects

examining the role of energy efficiency and non economic factors in energy demand and co2 emissions in nigeria policy implications abstract this paper examines the role of energy efficiency and non economic factors such as consumers preferences lifestyles and values which have hitherto been ignored in energy demand and co2 emissions modelling for nigeria we use a structural time series model to estimate various energy demand and co2 intensity models that take account of the aforementioned factors we adopt preferred models from these estimates to analyse how energy demand and co2 emissions in nigeria might evolve by generating three different future scenarios to 2025 we find energy efficiency and non economic factors to influence energy demand and co2 emissions the long run income and price elasticities obtained differ significantly from those in existing studies that have ignored these salient factors in a business as usual scenario the results indicate that energy demand will continue to grow consequently present policies do not sufficiently mitigate aggregate co2 emissions in nigeria the lesson for policy makers is that the extant policies introduced to restrain co2 emissions from a production perspective have to be combined with new policies that influence consumers lifestyles and behaviours develop energy efficient technologies and apply low tariffs on imported energy efficient appliances to drive down co2 emissions from a consumption perspective

impact of macro economic surprises on carry trade activity abstract can official news and policy announcements affect foreign exchange speculation a widespread speculative strategy in foreign exchange markets is carry trade this paper explores the links between macro economic news and foreign exchange options to identify macro economic fundamentals most relevant to the pricing of downside risk measured by risk reversals options contracts to carry trade activity focusing primarily on the japanese yen carry trade we identify a significant impact of macro economic surprises on dollar yen risk reversals the effect is sizeable with news related to bilateral trade balance of particular concern moreover there is a close link between risk reversals and speculative futures positions in japanese yen this allows us to quantify a substantial effect of macro economic news on carry trade activity with the cost of hedging as the transmission mechanism

economic factors and traffic crashes in new zealand the aim of this study was to examine the changes in the trend and seasonal patterns of fatal crashes in new zealand in relation to changes in economic conditions between 1970 and 1994 the harvey harvey and durbin journal of the royal statistical society 149 3 187 227 1986 structural time series model stsm an unobserved components class of model was used to estimate the quarterly number of fatal traffic crashes independent variables included distance travelled the unemployment rate uer real gross domestic product per capita rgdp the proportion of motorcycles the proportion of young males in the population alcohol consumption per capita the open road speed limit and dummy variables for the 1973 and 1979 oil crises and seatbelt wearing laws distance travelled rgdp uer and alcohol consumption per capita were significant factors in explaining the short run dynamics of fatal crashes with the effect of rgdp greater than uer increases in either rgdp or uer were related with decreas

energy price reform in saudi arabia modeling the economic and environmental impacts and understanding the demand response abstract saudi arabia has regulated domestic energy prices for decades setting them below international market levels energy subsidies in saudi arabia are generally implicit because they lead to foregone revenues for the government low energy prices also encourage rapid energy demand growth and wasteful consumption while limiting incentives to invest in energy efficiency saudi arabia recently started to reform energy prices leading to large increases in gasoline and residential electricity prices in 2018 to measure the economic and environmental impacts of energy price reform we econometrically model gasoline and residential electricity demand using harvey s 1990 structural time series model our estimated equations reveal that gasoline demand and residential electricity demand in saudi arabia are strongly price and income inelastic despite the major reforms that were recently implemented our welfare analysis also shows that the energy price reforms in 2018 in gasoline and residential electricity respectively delivered welfare gains of 8 8 and 3 8 billion sar annually 2 3 and 1 0 billion us additionally our decomposition analysis reveals that these energy price reforms were the largest contributors to the observed decreases in gasoline and residential electricity consumption in 2018

quantifying the impact of exogenous non economic factors on uk transport oil demand abstract this paper attempts to quantify the impact of exogenous non economic factors on uk transport oil demand in addition to income price and fuel efficiency by estimating the demand relationship for oil transport for 1960 2007 using the structural time series model from this the relative impact on uk transport oil demand from income price and efficiency are quantified moreover the relative impact of the non economic factors is also quantified based on the premise that the estimated stochastic trend represents behavioural responses to changes in socio economic factors and changes in lifestyles and attitudes the estimated elasticities for income price and efficiency are 0 6 0 1 and 0 3 respectively and it is shown that for efficiency and price the overall contribution is relatively small whereas the contribution from income and non economic factors is relatively large this has important implications for policy makers keen to reduce transport oil consumption and associated emissions but not willing to reduce the trend rate of economic growth taxes and improved efficiency only have a limited impact hence a major thrust of policy should perhaps be on educating and informing consumers to persuade them to change their lifestyle and attitudes and thus reduce their consumption through the non economic instruments route

the evidence on globalisation globalisation is blamed for many socioeconomic shortcomings i discuss the consequences of globalisation by surveying the empirical globalisation literature my focus is on the kof indices of globalisation that have been used in more than 100 studies early studies using the kof index reported correlations between globalisation and several outcome variables studies published more recently identify causal effects the evidence shows that globalisation has spurred economic growth promoted gender equality and improved human rights moreover globalisation did not erode welfare state activities did not have any significant effect on labour market interaction and hardly influenced market deregulation it increased however within country income inequality the consequences of globalisation thus turn out to be overall much more favourable than often conjectured in the public discourse

a short history of price level convergence in europe we study the evolution of price level dispersion in europe by combining time series information on harmonized indices of consumer prices hicps with occasional observations of absolute price levels we find that european price levels converged over much of the last 40 to 50 years in the united states our benchmark price level dispersion is more or less stable a back of the envelope calculation suggests that indirect tax rate harmonization convergence of nontraded input costs and convergence of traded input costs in the form of exchange rate stability and increased openness are all important in explaining european price level convergence

modelling and forecasting turkish residential electricity demand abstract this research investigates the relationship between turkish residential electricity consumption household total final consumption expenditure and residential electricity prices by applying the structural time series model to annual data over the period from 1960 to 2008 household total final consumption expenditure real energy prices and an underlying energy demand trend are found to be important drivers of turkish residential electricity demand with the estimated short run and the long run total final consumption expenditure elasticities being 0 38 and 1 57 respectively and the estimated short run and long run price elasticities being 0 09 and 0 38 respectively moreover the estimated underlying energy demand trend which as far as is known has not been investigated before for the turkish residential sector should be of some benefit to turkish decision makers in terms of energy planning it provides information about the impact of past policies the influence of technical progress the impacts of changes in consumer behaviour and the effects of changes in economic structure furthermore based on the estimated equation and different forecast assumptions it is predicted that turkish residential electricity demand will be somewhere between 48 and 80 twh by 2020 compared to 40 twh in 2008

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

diagnostic checking of unobserved components time series models diagnostic checking of the specification of time series models is normally carried out using the innovations that is the one step ahead prediction errors in an unobserved components model other sets of residuals are available these auxiliary residuals are estimators of the disturbances associated with the unobserved components they can often yield information that is less apparent from the innovations but they suffer from the disadvantage that they are serially correlated even in a correctly specified model with known parameters this article shows how the properties of the auxiliary residuals may be obtained how they are related to each other and to the innovations and how they can be used to construct test statistics applications are presented showing how residuals can be used to detect and distinguish between outliers and structural change

underlying trends and seasonality in uk energy demand a sectoral analysis this paper demonstrates the importance for energy demand modelling of allowing for trends and seasonal effects that are stochastic in form inherent underlying trends may be non linear and reflect not only technical progress which usually produces greater energy efficiency but also other factors such as changes in consumer tastes and the economic structure that may be working in the opposite direction using quarterly unadjusted data for various sectors in the uk it is shown that unless energy demand models are formulated so as to allow for stochastic trends and seasonals estimates of price and income elasticities could be seriously biased

convergence of euro area inflation rates abstract we study the behavior of inflation rates among the 12 initial euro countries in order to test whether and when the group convergence initially dictated by the maastricht treaty and now by the ecb occurs we also assess the impact of events such as the advent of the euro and the 2008 financial crisis due to the small size of the estimation sample we propose a new procedure that increases the power of panel unit root tests when used to study group wise convergence applying this new procedure to euro area inflation we find strong and lasting evidence of convergence among the inflation rates soon after the implementation of the maastricht treaty and a dramatic decrease in the persistence of the differential after the occurrence of the single currency after the 2008 crisis euro area inflation rates follow the ecb s price stability benchmark although greece reports relatively higher inflation

where ricardo and mill rebut and confirm arguments of mainstream economists supporting globalization most noneconomists are fearful when an emerging china or india helped by their still low real wage rates outsourcing and miracle export led developments cause layoffs from good american jobs this is a hot issue now and in the coming decade it will not go away prominent and competent mainstream economists enter into the debate to educate and correct warm hearted protestors who are against globalization here is a fair paraphrase of the argumentation that has been used recently by alan greenspan jagdish bhagwati gregory mankiw douglas irwin and economists john or jane doe spread widely throughout academia yes good jobs may be lost here in the short run but still total u s net national product must by the economic laws of comparative advantage be raised in the long run and in china too the gains of the winners from free trade properly measured work out to exceed the losses of the losers this is not by mysterious fuzzy magic but rather comes from a sharing of the trade induced rise in total global vectors of the goods and services that people in a democracy want never forget to tally the real gains of consumers alongside admitted possible losses of some producers in this working out of what schumpeter called creative capitalist destruction correct economic law recognizes that some american groups can be hurt by dynamic free trade but correct economic law vindicates the word creative destruction by its proof sic that the gains of the american winners are big enough to more than compensate the losers

industrial electricity demand for turkey a structural time series analysis abstract this research investigates the relationship between turkish industrial electricity consumption industrial value added and electricity prices in order to forecast future turkish industrial electricity demand to achieve this an industrial electricity demand function for turkey is estimated by applying the structural time series technique to annual data over the period 1960 to 2008 in addition to identifying the size and significance of the price and industrial value added output elasticities this technique also uncovers the electricity underlying energy demand trend uedt for the turkish industrial sector and is as far as is known the first attempt to do this the results suggest that output and real electricity prices and a uedt all have an important role to play in driving turkish industrial electricity demand consequently they should all be incorporated when modelling turkish industrial electricity demand and the estimated uedt should arguably be considered in future energy policy decisions concerning the turkish electricity industry the output and price elasticities are estimated to be 0 15 and 0 16 respectively with an increasing but at a decreasing rate uedt and based on the estimated equation and different forecast assumptions it is predicted that turkish industrial electricity demand will be somewhere between 97 and 148 twh by 2020

does the dm dominate the euro market an empirical investigation starting point is the german dominance hypothesis according to which germany has a dominant position within the ems this makes it impossible for other member countries to pursue their own monetary policies using monthly data of three month euro market rates from 1980 to 1988 for the u s germany the u k the netherlands france and italy we test this hypothesis in a multivariate cointegration framework we find that germany has a strong position in europe which is not restricted to the ems concerning long run development one might speak of a dominant position however there are short run relations between european countries which are not linked to relations with germany copyright 1993 by mit press

real and monetary convergence between the european union s core and recent member countries a rolling cointegration approach abstract we use rolling cointegration to measure the convergence of base money m2 the cpi and industrial output between germany and france and recent eu members and some transition countries that are now joining the eu countries that joined the eu previously exhibit time varying cointegration with the core countries over the 1980 2000 sample period cointegration for the transition economies was comparable for m2 and prices but not for monetary policy and industrial output thus a peg to the euro soon after accession is feasible for the east european countries but the benefits of joining the euro zone are as yet limited

currency unions and international integration this paper characterizes the integration patterns of international currency unions such as the cfa franc zone we empirically explore different features of currency unions and compare them to countries with sovereign monies by examining the criteria for mundellos concept of an optimum currency area we find that members of currency unions are more integrated than countries with their own currencies for instance we find that currency union members have more trade and less volatile real exchange rates than countries with their own monies business cycles are more highly synchronized across currency union countries than across countries with sovereign monies

disaggregated trade and disaggregated currency unions a ranking of common currency effects andrew rose has long argued that a common currency has a large effect on increasing trade recently rose has called into question the reliability of this conclusion as new techniques have emerged for estimating gravity equations this article uses the sector specific gravity model developed by anderson and yotov 2010a to investigate if disaggregated trade can provide a reliable estimate of a common currency s effect disaggregating trade alone is insufficient to obtain a reliable estimate of a currency union regardless of econometric technique when the effect of a common currency on trade is uniform across all unions disaggregating the universe of currency unions with individual effects provides a reliable ranking of currency unions independent of estimation method by the effect that each union s currency has on increasing trade these rankings differ across sectors