risk sharing and contagion in networks we investigate the socially optimal design of financial networks that allows to tackle the trade off between risk sharing and contagion we identify conditions on the shock distribution under which full integration or maximal segmentation is optimal we also show that under different conditions the optimal network displays different levels of strength of linkages to other firms or intermediate degrees of segmentation in the latter case the individual and social incentives to establish linkages are not necessarily aligned when firms face heterogeneous distributions of risks they should optimally form linkages only with firms facing risks of the same kind

the heterogeneous dependence between global crude oil and chinese commodity futures markets evidence from quantile regression this paper explores the dependence between global crude oil and chinese commodity futures markets across different quantiles of the return distributions based on weekly data from 11 june 2004 to 7

a machine learning approach to identifying different types of uncertainty abstract we implement natural language processing techniques to extract uncertainty measures from federal reserve beige books between 1970 and 2018 business and economic related uncertainty is associated with future weakness in output higher unemployment and elevated term premia on the other hand political and government uncertainty while high during recent times has no statistically significant impact on the economy

real sectoral spillovers a dynamic factor analysis of the great recession abstract dynamic factor methods are used to identify the impact of common and idiosyncratic shocks on sixteen u s nonfarm business sectors this paper then studies changes in the transmission of these shocks across sectors during the great recession and evaluates the cross sectoral spillovers the great recession is found to be largely a time of heightened impact of common shocks which accounts for 3 4 of aggregate volatility and large spillovers of negative finance related shocks in addition prior to the recession aggregate fluctuations are mainly driven by sector specific shocks in contrast with findings from previous studies

price and volatility spillovers across the international steam coal market we examine the degree of integration of the global steam coal market using a variety of measures we show that the australian market remains the dominant force in setting world coal prices followed by mozambique and south africa we find little evidence of asymmetric price and volatility transmission in fact most markets react to both positive and negative shocks in a symmetric manner the coal market displays a significant degree of integration although this effect varies over time while china provides a major source of volatility to the global coal market it is relatively insignificant in terms of price transmission

an investigation into the dynamic relationship between international and china s crude oil prices abstractthis article studies the dynamic relationship between international wti brent and dubai and domestic da qing crude oil prices in china using threshold cointegration method we find evidence of a long run equilibrium relationship between each pair of international and da qing oil prices favouring the market integration hypothesis we also estimate asymmetric adjustments under the momentum threshold autoregressive m tar specification in a tvecm and the results show that adjustments to eliminate disequilibrium happen faster when oil price spread increases than when it decreases the long run and short run granger causality tests support the notion that china has influence on the international oil markets the results imply that china should open up its domestic and imported oil markets and also establish a well functioning crude oil futures market as they are essential for arbitrage and hedging strategies

oil and foreign exchange market tail dependence and risk spillovers for mena emerging and developed countries vmd decomposition based copulas abstract this paper examines the short and medium run dependence structures between oil and currency markets for mena other developing and developed countries using a novel multiresolution decomposition method namely the variational mode decomposition vmd along with a battery of time invariant and time varying symmetric and asymmetric copula functions further we assess the downside and upside short and medium run risk spillovers from oil to u s exchange rate returns and vice versa by computing the conditional value at risk covar risk measures before the copula estimations we apply the spillover index of diebold and yilmaz 2012 and network diagrams to identify and select the currencies that are the most significant net contributors or net receivers of returns from to the oil currency markets the copula results show strong evidence of time varying and high average tail dependence between oil returns and the fx markets which are net transmitters to oil for the short and medium time horizons on the other hand we find average and relatively low dynamic dependence between oil and the net receiver currencies regardless of the time horizons moreover there is evidence of up and down risk asymmetric systemic risks from oil to currencies and vice versa for some countries in the short and medium run horizons finally the risk spillovers are asymmetric over time and investment horizons these results have several important implications for hedging strategies and diversification benefits for oil and fx traders and institutional investors

the factor content of foreign trade in the factor proportions trade theory the heckscher ohlin theory the factor content of the pattern of trade plays a major role both in theoretical and in empirical investigations it is therefore valuable to identify restrictions on permissible vectors of the factor content of trade which necessarily hold in equilibrium if certain restrictions are empirically testable they can be used for preliminary testing of the theory before a more thorough examination is undertaken or they can be used to reject the theory it is my intention to develop in this paper a set of restrictions on the vectors of the factor content of trade which can be used for these purposes it is well known that autarky commodity prices impose restrictions on possible patterns of trade these restrictions provide a precise prediction of the pattern of trade for a two country two commodity world in the sense that the exporter of a good is readily identifiable from autarky price data as the country with the lower relative price of the good i will start by showing that in the presence of factor price equalisation autarky factor rewards impose restrictions on the factor content of trade patterns which are completely analogous to the restrictions imposed by autarky commodity prices on the commodity patterns of trade this result is in line with the view that in the factor proportions model trade in commodities represents indirect trade in factor services unfortunately these restrictions rely on autarky information and they are therefore not very useful for empirical work in order to overcome this difficulty i explore an alternative approach i argue that common predictions of the factor content of trade flows which are based on post trade observable data the data relevant for empirical studies rely on unnecessarily restrictive assumptions i e the assumption that preferences are homothetic and identical across countries and the assumption of factor price equalisation the assumption of identical homothetic preferences seems to be necessary when factor price equalisation is assumed because in this case there is an indeterminancy in the pattern of production nevertheless the two assumptions taken together imply the same factor content of a country s net import vector from the rest of the world for every equilibrium production pattern however in a many country world the factor content of bilateral trade flows depends on the realised production patterns and they cannot therefore be predicted i will show that in the absence of factor price equalisation which many

the spillover of macroeconomic uncertainty between the u s and china abstract we investigate the spillover of macroeconomic uncertainty between the u s and china since 2002 following jurado et al 2015 we construct a monthly aggregate macroeconomic uncertainty index for china from 224 economic variables the structural vector autoregression model suggests a unidirectional spillover of macroeconomic uncertainty from the u s to china both u s and chinese uncertainty have negative effects on china s real economy but the impact of u s uncertainty is greater

quantifying the risk to crude oil imports in china an improved portfolio approach abstract china s rapid economic development caused a sharp increase in crude oil demand in 2011 china imported 254 million tons of crude oil in total with its dependence on imported oil reaching 56 5 this paper carries out a quantitative study on the risk of china s crude oil imports by establishing an assessment model which has two primary characteristics first the model not only uses portfolio theory to assess the risk to china s crude oil imports taking into consideration the effect of the diversified sources of imports but also introduces a correlation coefficient which considers the risks associated with importing oil from oversea sources second the correlation between import prices and global oil prices is analyzed with respect to each exporting country the ease of doing business index grading system is introduced in order to represent the risk weight for each exporting country because of these improvements the model provides operable methods for studying how global oil prices import volumes the diversification index and the political and economic situation of the exporting countries affects china s crude oil import risks as well as offers a method for implementing optimal crude oil import strategies it is concluded that china s crude oil import risks associated with the middle east are not as precarious as researchers traditionally reported among countries in the middle east there exist obvious disparities and differences affecting the kinds and types of risks involved therefore these risks should be treated piecemeal when performing an overall assessment of crude oil import risks in china it should also be noted that with respect to the middle east there is still room for china to optimize the mix of source countries in order to reduce risks china should raise the volume of imports coming from low risk countries as well as add new low risk exporting countries to its importing portfolio

period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications abstract this paper analyses the changing impact of oil price shocks on a bouquet of metal and agro prices and their implications for investment decisions during different oil price regimes separated by structural breaks endogenously identifying the structural breaks we use network analysis to decipher the nature and extent of such shock transfer across different sub periods we suggest optimal portfolios based on conditional variance estimates to hedge oil shocks during each period this is the first study to analyse the portfolio decisions during specific oil price regimes the results are of significant interest to investors and policy makers

the effects of economic policy uncertainty on china s economy evidence from time varying parameter favar this article explores the effects of china s economic policy uncertainty epu on its fiscal policy monetary policy and a wide range of macro economic variables using a time varying parameter fava

evaluating energy security in the asia pacific towards a more comprehensive approach the energy security conundrum how to equitably provide available affordable reliable efficient and environmentally benign energy services is a technology and policy challenge perhaps unlike any other the recent article on an energy security in the asia pacific by vlado vivoda is an excellent starting point for how to best capture the unique energy security challenges facing the region this article builds on vivoda s work but also points out some shortcomings with his analysis

connectedness of economic policy uncertainty and oil price shocks in a time domain perspective abstract in this paper we investigate causality and connectedness between economic policy uncertainty and oil price shocks across time scales by incorporating the wavelet approach into the structural vector autoregression var framework proposed by diebold and yilmaz 2009 2012 2014 we find that crude oil prices behave like receivers of information from economic policy uncertainty regardless of time scale however the causality relationship between economic policy uncertainty and oil price shocks intensifies as time scales increase in addition the connectedness relationship is robust to time scale changes whereas the causal relationship intensifies as time scales increase notably the weight of us economic policy uncertainty increases in the var system as time scales increase in particular we employ the west texas intermediate wti crude oil price as an alternative measure to increase the robustness of our results and identify differences in the var system overall the total connectedness of the wti crude oil price is lower than that of the brent crude oil price regardless of time scale our results provide meaningful information for both investors and policymakers

commodity price changes and the predictability of economic policy uncertainty in this study we forecast economic policy uncertainty epu using input on 23 commodity price changes we reveal the significant predictability of epu using three forecast combinations this indicates that commodity price changes can be taken as a leading indicator of epu

a broadened causality in variance approach to assess the risk dynamics between crude oil prices and the jordanian stock market within the new developed causality in variance approach this paper builds up a broad methodological framework to more accurately capture the risk spillover effects between global oil prices and jordanian stock market returns during the period 1 march 2003 31 january 2014 the sample period is divided on the basis of the 2008 financial crisis into pre crisis and post crisis periods results for the pre crisis period show a lack of risk spillovers between global oil and the jordanian stock market after the crisis however we find evidence for one way risk spillover running from the oil market these findings have implications for the design of appropriate asset allocation and regulatory policies to manage risk spillover effects

economic policy uncertainty shocks economic activity and exchange rate adjustments abstract we investigate the impact of foreign and domestic economic policy uncertainty epu shocks on the uk economy simulations with a structural var model indicate that domestic industrial production declines after a shock to the epu index in the us on the contrary disturbances to domestic uncertainty are an important source of real exchange rate fluctuations historical decomposition shows that a surge in domestic epu after brexit referendum was the reason behind a massive depreciation of the british pound these results are robust to different model specifications

oil shocks and financial systemic stress international evidence abstract by conducting a structural var analysis on the financial systemic stress in 20 countries this paper provides international evidence that oil structural shocks impact not only stress in individual financial markets but also their connectedness the oil structural shocks explain a large fraction of the variation in the connectedness among various financial markets the effect of oil structural shocks on financial systemic stress is largely dependent on the origins of oil price changes and a country s net oil export position in most oil importing economies financial systemic stress is negatively impacted by supply and aggregate demand shocks and positively impacted by oil market specific demand shocks opposite patterns are detected in oil exporting economies the effects of the spillovers are asymmetrically related with market conditions during normal periods more risks are spilled over from the oil market to financial systems but during financial crises the opposite occurs in periods of financial crises and oil price collapses there is noticeable contagion between the oil market and financial systems

food oil volatility spillovers and the impact of distinct biofuel policies on price uncertainties on feedstock markets over recent decades the link between crude oil and agricultural markets has been reinforced following the introduction of biofuels we use timely measures of co variation spillovers to analyze the role of crude oil in shaping price uncertainties of agricultural commodities which are largely used as biofuel feedstocks our sectoral and market specific measures distinguish tranquil 1995 2005 and crisis episodes 2006 2015 as well as periods during which either consumption mandates or tax credits were enacted to spur biofuels during the crisis period crude oil volatility transmissions account for 16 20 of price uncertainties in ethanol biodiesel feedstock markets on average moreover we find evidence of enhanced volatility transmissions under tax credit regimes compared with consumption mandates the results from pooled regressions confirm stronger volatility transmissions by about 12 under the enactment of tax credits

the factor content of international trade without factor price equalization abstract within the basic two factor multi commodity model of a two country world the present paper shows that international factor price equalization is unnecessary for deriving the heckscher ohlin theorem in its factor content version according to which the bundle of goods exported by the capital abundant country will use more capital and less labour than the bundle exported from the labour abundant country the factor content version remains valid when the model is generalized to include trade impediments intermediate goods or additional countries except perhaps if the first of these extensions is combined with either of the other two

a variance spillover analysis without covariances what do we miss we evaluate the relevance of covariances in the transmission mechanism of variance spillovers across the us stock us bond and gold markets from july 2003 to december 2012 for that purpose we perform a comparative spillover analysis between a model that considers covariances and a model that considers only variances our results emphasise the importance of covariances including covariances leads to an overall increase of the spillover level and detects the beginnings of the financial crisis and of the us debt ceiling crisis earlier than the spillover measure that considers only variances even for the low dimensional system that we consider one misses important variance spillover channels when covariances are excluded

is the relationship between gold and the u s dollar always negative the role of macroeconomic uncertainty abstractthe main work of this article is to access the role of macroeconomic uncertainty in effecting the correlation between gold and the dollar the empirical analysis is divided into two parts firstly we examine the impact of macroeconomic uncertainty on short and long correlation between gold and the dollar secondly we analyse the explanatory power of economic uncertainty for the abnormal market relation between gold and the dollar with a threshold model in particular we investigate impacts of economic uncertainty sourced from different economies the empirical results indicate that economic uncertainty generates direct impacts on the correlation between gold and the dollar moreover our results emphasize that uncertainty sourced from different economies have different impacts on the dynamics between gold and the dollar this article also presents the relative contribution of gold and the dollar shocks to the likelihood of being in the high uncertainty regime these results have implications fo

dynamic connectedness of uncertainty across developed economies a time varying approach abstract economic uncertainty has attracted a significant part of the modern research in economics proving to be a significant factor for every economy in this study we focus on the transmission channel of uncertainty between developed economies examining potential spillover effects between the u s the e u the u k japan and canada within a time varying framework our empirical results indicate of a significant spillover of uncertainty from the e u to the u s

covariance breakdowns and connectedness of crude oil futures markets with non synchronous data this article identifies the breakdowns in the covariance of three benchmark crude oil futures markets wti brent and dubai and investigates the changes of market connectedness across the breakdow

the directional volatility connectedness between crude oil and equity markets new evidence from implied volatility indexes in this paper we use a set of newly introduced implied volatility indexes to investigate the directional connectedness between oil and equities in eleven major stock exchanges around the globe from 2008 to 2015 the inference on the oil equity implied volatility relationships depends on diebold and yilmaz 2012 2014 2015 who proposed a set of directional measures that enable the dynamic and directional characterization of the relationships among financial variables we find uniform results across the sample countries indicating that the connectedness between oil and equity is established by the bi directional information spillovers between the two markets however we find that the bulk of association is largely dominated by the transmissions from the oil market to equity markets and not the other way around the pattern of transmissions is varying over the sample period however most of the linkages between oil and equities are established from the mid of 2009 to the mid of 2012 which is a period that witnessed the start of global recovery

learning and complementarities in speculative attacks we study a model where the aggregate trading of currency speculators reveals new information to the central bank and affects its policy decision we show that the learning process gives rise to coordination motives among speculators leading to large currency attacks and introducing non fundamental volatility into exchange rates and policy decisions we show that the central bank can improve the ex ante effectiveness of its policy by committing to put a lower weight ex post on the information from the market and that transparency may either increase or decrease the effectiveness of learning from the market depending on how it is implemented

international economic policy uncertainty and stock prices revisited multiple and partial wavelet approach abstract this paper introduces a new dimension to the relationship between economic policy uncertainty epu and stock prices sp by extending the contributions of ko and lee 2015 by using multiple and partial wavelet coherence techniques the vulnerability of sp due to combined and isolated impact of international us epu and domestic policy uncertainty depu is investigated the main findings are a the combined effect of depu and us epu is more significant for developed market s sp b the emerging market s sp are more sensitive to depu and c amongst developed markets japan and european countries are more sensitive to us epu than depu

economic policy uncertainty shocks and stock bond correlations evidence from the us market abstract this paper examines the effects of economic policy uncertainty shocks on stock bond correlations for the us market we devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case the results show that innovations in the policy uncertainty index impact negatively and asymmetrically on the subsequent stock bond correlations which are characterized by a structural break and positive type asymmetry

spillover effect between the regional and the national housing markets in the uk tsai i c spillover effect between the regional and the national housing markets in the uk regional studies this study uses regional and national data from the uk housing market to analyse the spillovers between these markets and to test whether a ripple effect exists in uk housing prices cross market return spillovers are determined by performing spillover indices an analysis of the direction and magnitude of return spillovers can be used to discriminate the transmission mechanism of information between the regional and the national housing markets over different areas and different time spans empirical findings indicate that the difference in housing prices between the northern and southern regions of the uk will increase each time a new financial crisis occurs

cross country determinants of economic policy uncertainty spillovers this study explores the determinants of cross country economic policy uncertainty epu spillovers we find that bilateral factors such as trade and common language play a highly significant role i

information linkage dynamic spillovers in prices and volatility between the carbon and energy markets abstract the european union emissions trading system eu ets has strengthened the information flow and connection between carbon market and energy markets which makes the carbon energy system more complicated this paper investigates information linkages and dynamic spillover effects between the carbon and energy markets we adopt a systemic time series approach to study connectedness in both returns and volatility in the carbon energy system moreover a rolling windows method is used to show the dynamic features empirical results show that brent oil prices play an important role in affecting carbon price changes and risks feedback exists from the carbon market to other energy markets and electricity prices are shown to be the biggest information receiver in the system it is also shown that the level of connectedness in the volatility system is substantially higher than that in the returns system our results can provide useful implications for policymakers to design market mechanisms and market investors to manage their portfolios

volatility transmission in emerging european foreign exchange markets abstract this paper studies the dynamics of volatility transmission between central european ce currencies and the eur usd foreign exchange using model free estimates of daily exchange rate volatility based on intraday data we formulate a flexible yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well as on the lagged realized volatilities of the other exchange rates we find evidence of statistically significant intra regional volatility spillovers among the ce foreign exchange markets with the exception of the czech and prior to the recent turbulent economic events polish currencies we find no significant spillovers running from the eur usd to the ce foreign exchange markets to measure the overall magnitude and evolution of volatility transmission over time we construct a dynamic version of the diebold yilmaz volatility spillover index and show that volatility spillovers tend to increase in periods characterized by market uncertainty

us presidential elections and implied volatility the role of political uncertainty abstract this paper focuses on the effects of political uncertainty and the political process on implied stock market volatility during us presidential election cycles using monthly iowa electronic markets data over five elections we document that stock market uncertainty as measured by the vix volatility index increases along with positive changes in the probability of success of the eventual winner the association between implied volatility and the election probability of the eventual winner is positive even after controlling for changes in overall election uncertainty these findings indicate that the presidential election process engenders market anxiety as investors form and revise their expectations regarding future macroeconomic policy

volatility spillovers in commodity markets a large t vector autoregressive approach abstract prices of commodities have shown large fluctuations a high volatility of one commodity today may impact the volatility of another commodity tomorrow as such agricultural and energy commodities are closely dependent due to the expansion of the biofuel industry we study volatility spillovers among a large number of energy agriculture and biofuel commodities using the vector auto regressive var model to account for the possible fat tailed distribution of the model errors we propose the t lasso method for obtaining a large var the t lasso is shown to have excellent properties and a forecast analysis shows that the t lasso attains better forecast accuracy than standard estimators our empirical analysis shows the existence of volatility spillovers between energy and biofuel and between energy and agricultural commodities

determinants of bilateral trade flows what factors influence the level of trade flows that occur between nations past studies have answered this question primarily in terms of distance and economic size the present study considers additional variables as potential determinants of trade relations between nations also trade flows are analyzed by the type of products being exported and imported the findings show that several additional variables are significant determinants of the level of bilateral trade relations between nations in addition it is found that models of trade flows are more appropriate for manufactured goods than they are for basic commodities

time frequency causality and connectedness between international prices of energy food industry agriculture and metals abstract this study analyzes the lead lag relationship between the price indices of energy fuels and each of food industrial inputs agriculture raw materials metals and beverages in the time frequency domain to this end we first use the wavelet coherency and phase differences next we use the diebold and yilmaz 2012 and barunik and krehlik 2017 spillover indices to analyse the connectedness among the set of the price indices under consideration the period of the study is 1990m1 to 2017m5 the wavelet coherency results reveal that there are important and significant relations between the fuel and food prices the fuel and industrial prices and the fuel and metal prices these results also show that there are phase relationships between those paired prices the volatility spillover results indicate that the agricultural sector is the most affected by shocks from the other markets the return series of the industrial input prices at all frequencies appears to be the main source of volatility transmission to the prices of the other commodities over the whole period this finding underlines the relevance of the industrial inputs to policy makers particularly when they design policies to provide incentives related to industrial production

unconventional monetary policy and the credit channel in the euro area abstract we disentangle credit supply and demand and we then embed this information into a bayesian threshold var model to investigate the importance of the demand channel and the broad credit channel in the transmission of unconventional monetary policy on the macroeconomy during financial stress periods we find that during such periods ump shocks boost aggregate demand for loans increase agents net worth and revitalize credit to firms and households in addition counterfactual analysis suggests that non standard policy measures aiming at stimulating loan demand and relaxing banks balance sheet constraints would provide a significant support to economic activity prices and the financial sector

on international uncertainty links bart based empirical evidence for canada we use the indexes of economic policy uncertainty epu developed by baker et al 2015 for canada and seven china france germany japan russia united kingdom and united states other countries to study international uncertainty links by means of a bayesian additive regression trees bart algorithm using partial dependence plots relative importance measures and permutation tests we shed light on how epu in canada is linked to epu in seven other countries

an empirical investigation of the heckscher ohlin theorem further empirical tests are required to substantiate or disprove the heckscher ohlin theorem because earlier tests were based on an incorrect test statistic a multi commodity two country two factor model is constructed to test the theorem and derive an appropriate test statistic the model provides testable hypotheses for trade based on its profit and wage content rather than on its capital and labour content the results show that the 1968 trade patterns for australia ireland japan korea new zealand and the united states support the heckscherohlin theorem while those of israel kenya and the united kingdom do not une etude empirique du theoreme heckscher ohlin il faut des tests empiriques additionnels pour decider si l on doit supporter ou renvoyer le theoreme de heckscher ohlin puisque les tests anterieurs ont ete eriges sur une statistique incorrecte les auteurs developpent un modele de commerce international pour deux pays deux facteurs de production et plusieurs biens afin de pouvoir confectionner un test approprie du theoreme le modele suggere des hypotheses veifiables construites a partir des variables profits et salaires plutot qu a partir de variables comme les coefficients d intensite en capital et en travail les resultats indiquent que les patterns de commerce en 1968 pour l australie l irlande le japon la nouvelle zelande et les etats unis tendent a supporter le theoreme heckscher ohlin alors que 1 experience du kenya et du royaume uni va dans l autre sens starting with leontief s seminal paper 1953 examinations of the factoral content of international trade have cast doubt on the reliability of the heckscher ohlin theorem in these studies patterns of trade between the rest of the world and the united states japan west germany and canada contradicted the theorem while those of east germany and india supported it bharadwaj 1962 leontief 1953 1956 roskamp 1961 stolper and roskamp 1961 tatemoto and ichimura 1959 and wahl 1961 as baldwin 1971 126 stated these results effectively destroyed the comfortable confidence of economists in the simple version of the heckscher ohlin trade theory they also provoked numerous articles advancing other ways to account for the pattern of a country s trade the test statistic used for these empirical studies of the heckscher ohlin theorem was developed by leontief and further applied by later investigators although it was never set within a theoretical framework no one questioned it until williams canadian journal of economics revue canadienne d economique xvii no 1 february fevrier 1984 printed in canada imprime au canada 0008 4085 84 0000 0032 1 50 1984 canadian economics association this content downloaded from 157 55 39 104 on mon 20 jun 2016 05 49 18 utc all use subject to http about jstor org terms empirical investigation of heckscher ohlin theorem 33 published his paper in 1970 in that work williams asserted that leontief s inference is incorrect the united states is plentiful in capital and he provided a model from which he derived a correct test statistic williams 1970 from a practical point of view a major limitation of williams s model is the assumption that trade is perfectly free and that factor prices will be equalized through trade more recent papers by deardorff 1979 and brecher and choudhri 1982 have suggested in a two country context at least that the factor content condition developed by williams should hold when factor prices are unequal and there are tariffs or other impediments to trade marxsen 1983 has demonstrated that such is the case and therefore that the williams condition should hold even if factor prices are unequal and trade is tariff ridden the purpose of this paper is to provide an empirical test of the heckscher ohlin theorem in the first section a multi commodity two country two factor model is constructed and an approprite test statistic is devised based on the profit and wage content rather than the capital and labour content of trade the second section presents the empirical test results for the 1968 trade patterns of the nine countries under study in the third section these results are considered in the light of previous work and conclusions are drawn about the heckscher ohlin theorem

volatility spillover and multivariate volatility impulse response analysis of gfc news events abstractthis article applies two measures to assess spillovers across markets the diebold and yilmaz s 2012 spillover index and the hafner and herwartz s 2006 analysis of multivariate garch models using volatility impulse response analysis we use two sets of data daily realized volatility rv estimates taken from the oxford man rv library for the s p500 and the ftse plus 10 years of daily returns series for the new york stock exchange index and the ftse 100 index both data sets capture both the global financial crisis gfc and the subsequent european sovereign debt crisis esdc the spillover index captures the transmission of volatility to and from markets plus net spillovers the volatility impulse responses virf have to be calibrated to conditional volatility estimated at a particular point in time we explore the impact of three different shocks the onset of the gfc the height of the gfc and the impact of the esdc our modelling includes leverage and asymmetric effects applying a mu

dynamic spillovers of oil price shocks and economic policy uncertainty this study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil exporting and net oil importing countries over the period 1997 01 2013 06 to achieve that an extension of the diebold and yilmaz 2009 2012 dynamic spillover index based on structural decomposition is employed the results reveal that economic policy uncertainty oil price shocks responds negatively to aggregate demand oil price shocks economic policy uncertainty shocks furthermore during the great recession of 2007 2009 total spillovers increase considerably reaching unprecedented heights moreover in net terms economic policy uncertainty becomes the dominant transmitter of shocks between 1997 and 2009 while in the post 2009 period there is a significant role for supply side and oil specific demand shocks as net transmitters of spillover effects these results are important for policy makers as well as investors interested in the oil market

economic policy uncertainty in the us does it matter for the euro area abstract we investigate the effects of a us economic policy uncertainty shock on some euro area macroeconomic aggregates via structural vars we model the indicators of economic policy uncertainty recently developed by baker et al 2013 jointly with the aggregate price indexes and alternative indicators of the business cycle for the two above indicated economic areas according to our svars a one standard deviation shock to us economic policy uncertainty leads to a statistically significant fall in the european industrial production and prices of 0 12 and 0 06 respectively the contribution of the us uncertainty shock on the european aggregates is shown to be quantitatively larger than the one exerted by an euro area specific uncertainty shock

an empirical analysis of the risk of crude oil imports in china using improved portfolio approach abstract this paper quantifies the diversification index of china s crude oil imports during the period 1996 2004 and explores the relationship between the monthly prices and brent crude oil cash prices accordingly we calculate the systematic and specific risks using portfolio theory of china s crude oil import over the period 1996 2004 because china s crude oil import increased rapidly since 1996 we improve upon the traditional portfolio theory and develop a risk index model of portfolio theory for crude oil imports in order to explore objectively the changes in china s crude oil import risks the results show that china s crude oil import risk is affected extensively by the fluctuation of international oil prices so the traditional portfolio theory is insufficient to measure china s crude oil import risk the improved portfolio theory risks index model reflects the effect of international oil prices diversification imports and geopolitics factors etc on crude oil import risk and changes in crude oil import risk therefore the risk index model of portfolio theory provides greater theoretical and methodological robustness as an indicator of china s crude oil import security than that offered from the application of traditional measures of dependence

measuring financial asset return and volatility spillovers with application to global equity markets we provide a simple and intuitive measure of interdependence of asset returns and or volatilities in particular we formulate and examine precise and separate measures of return spillovers and volatility spillovers our framework facilitates study of both non crisis and crisis episodes including trends and bursts in spillovers and both turn out to be empirically important in particular in an analysis of sixteen global equity markets from the early 1990s to the present we find striking evidence of divergent behavior in the dynamics of return spillovers vs volatility spillovers return spillovers display a gently increasing trend but no bursts whereas volatility spillovers display no trend but clear bursts

balancing energy security priorities portfolio optimization approach to oil imports the notion of energy security in most interpretations includes the physical supply and price affordability components making financial risks a crucial part of energy security strategies mainstrea

time varying co movements between energy market and global financial markets implication for portfolio diversification and hedging strategies abstract this study explores the time patterns of volatility spillovers between energy market and stock prices of seven major global financial markets including clean energy energy information technology corporations equity markets and united states economic policy index over the period vary from december 28 2000 to december 31 2018 we employ a time domain connectedness measures of diebold and yilmaz dy 2009 2012 and 2014 to examine spillover mechanism of volatility shocks across future markets optimal weights and hedge ratios are calculated for portfolio diversification and risk management the main findings of the study conclude that oil shocks are exogenous and contribution of oil market volatility to global financial markets is insignificant the returns of world stock index and world energy index are major transmitters of volatility to clean energy market moreover the impact of energy market become strong in global financial market when data is divided into pre during and post financial crisis periods finally the hedge ratios are volatile over time and their maximum value is observed during the financial crisis period of 2008 09 the optimal portfolio between energy and stock prices are heavily weighted to the stock markets

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

regional spillover and rising connectedness in china s urban housing prices regional housing prices may be dynamically linked and converge to a long run equilibrium the level of connectedness can be used to describe systemic risk in the housing market this paper uses a r

analyzing time varying volatility spillovers between the crude oil markets using a new method abstract the spillover effect is an important factor affecting the volatility of crude oil price basing on the study of diebold and yilmaz 2009 2012 2014 we propose a new method that calculates the time varying volatility spillover indexes by the generalized forecast error variance decomposition of tvp var sv model then using the new method we study the time varying volatility spillovers between four major crude oil markets wti brent oman tapis from november 29 2002 to july 13 2018 by comparing the results of our new method and traditional rolling window method we verify the superiority of our new method the results show that the volatility spillovers calculated by the new method are clearer more stable and not outlier sensitive from the estimated results of time varying volatility spillovers we find that the volatility spillover between crude oil markets is slowly increasing but there are obvious cyclical changes and from the correlation analysis and the granger causality test we find that the volatility and volatility spillovers are positively correlated and are two way granger causality which supported for the market infection hypothesis of king and wadhwani 1990

macroeconomic policy uncertainty shocks on the chinese economy a gvar analysis abstractthis article studies the spillovers of economic policy uncertainty epu from developed economies to china in terms of the source extent and persistence by estimating a global vector autoregressive gvar model with both financial and trade variables acting as the transmission channels our findings confirm the existence of international transmissions of policy uncertainty while the patterns differ markedly the us epu appears to be the most significant cause of the fall of export industrial production equity price and exchange rate meanwhile the eu epu is also to be blamed for the depreciation of rmb in contrast to industrial production which shows the largest negative impact chinese inflation increases to a relatively smaller extent with the epu shocks ranking as the us japanese and the eu regardless of the minor impact on a long term interest rate the short term interest rate in china reacts positively to the european and us epu shocks despite the independent national monetary poli

the impact of oil price shocks on u s bond market returns abstract this paper examines the effect of the demand and supply shocks driving the global crude oil market on aggregate u s bond index real returns a positive oil market specific demand shock is associated with significant decreases in aggregate bond index real returns for 8 months following the shock a positive innovation in aggregate demand has a negative effect on real bond return that is statistically significant and becomes more adverse over 24 months structural shocks driving the global oil market jointly account for 27 1 of the variation in real bond returns at 24 month horizon a spillover index from rolling svar models is used to identify the interdependence between the oil market and bond returns the mean for this spillover index is 0 381 over 2001 01 2011 12 and 0 476 over september through december 2008 during the height of the global financial crisis

dynamic interdependence of sovereign credit default swaps in brics and mist countries abstractthis article examines the interactions of emerging markets sovereign credit default swaps cds using a generalized vector autoregressive framework and principal component analysis we find significant spillover effects within the two groups of emerging markets under study using the principal component analysis we show that global financial market factors are important drivers of brics and mist sovereign cds spreads variability focusing on the forecast error variance decomposition most of the spillover effects are documented among the emerging markets cds brazil and mexico contribute the largest net directional spillovers to the other emerging markets studied highlights there exist significant cds spillover effects for mist and brics countries mexico dominates the spillover effects within the mist group while brazil dominates the spillover effects within the brics group as determined by principal component analysis global financial market factors are important drivers of brics and mist sov

time and frequency connectedness among oil shocks electricity and clean energy markets abstract this paper examines the time and frequency connectedness among electricity carbon and clean energy markets and oil price demand and supply shocks in doing so we use the spillover method proposed by diebold and yilmaz 2012 and its extension in the frequency domain by barunik and k ehlik 2018 we find increased connectedness during the global financial crisis as well as in the shale oil revolution period the total connectedness is also higher in the short run compared to the long run due to their low connectedness electricity futures can act as a risk diversifier and safe haven asset against oil shocks net pairwise directional connectedness among oil shocks and the clean energy index is higher during the shale oil revolution these results have important implications for investors with different investment time horizons

volatility in electricity derivative markets the samuelson effect revisited this article proposes an empirical study of the samuelson effect in electricity markets our motivations are twofold first although the literature largely assesses the decreasing pattern in the volatilities along the price curve in commodity markets it has not extensively tested the presence of such a dynamic feature in electricity prices second the analysis of a non storable commodity enriches the literature on the behavior of commodity prices indeed it has been sometimes asserted that the samuelson effect results from the presence of inventories we examine the four most important electricity futures markets worldwide for the period from 2008 to 2014 the german nordic australian and us markets we also use the american crude oil market as a benchmark for a storable commodity negotiated on a mature futures market our analysis has two steps i in addition to the traditional tests we propose and test a new empirical implication of the samuelson effect price shocks should spread from the physical market to the paper market and not the reverse ii based on the concept of indirect storability we investigate the link between the samuelson effect and the storability of the commodity we find evidence of a samuelson effect in all of the electricity markets and show that storage is not a necessary condition for such an effect to appear these results should be taken into account for the understanding of the dynamic behavior of commodity prices for the valuation of electricity assets and for hedging operations

meteor showers or heat waves heteroskedastic intra daily volatility in the foreign exchange market this paper seeks to explain the causes of volatility clustering in exchange rates careful examination of intra daily exchange rates provides a test of two hypotheses heat waves and meteor showers the heat wave hypothesis is that the volatility has only country specific autocorrelation alternatively the meteor shower is a phenomenon of intra daily volatility spillovers from one market to the next using the garch model to specify the heteroskedasticity across intra daily market segments we find that the empirical evidence is generally against the null hypothesis of the heat wave using a volatility type of vector autoregression we examine the impact of news in one market on the time path of per hour volatility in other markets

oil shocks and stock volatility new evidence via a bayesian graph based var approach abstractthis article examines the temporal dependence between three oil shocks and realized volatility in the stock markets of g20 countries between 1994 and 2019 by applying a novel graphical b

on the transmission mechanism of country specific and international economic uncertainty spillovers evidence from a tvp var connectedness decomposition approach abstract we investigate the internal and external categorical economic policy uncertainty epu spillovers between the us and japan using a novel extension of the tvp var connectedness approach of antonakakis and gabauer 2017 the decomposition of our approach gives us insights about the dynamics with and without international spillovers which has essential policy implications our results suggest that monetary policy uncertainty is the main driver followed by uncertainties associated with fiscal currency market and trade policies furthermore we find that the fukushima daiichi accident can be interpreted as a negative trade shock that spread internationally

measuring cross category spillovers of policy specific uncertainty in china abstract this paper examine cross category spillovers of policy specific uncertainty in china we find that monetary policy and exchange rate policy are net givers while fiscal policy and trade policy are net receivers monetary policy plays the dominant role spillovers are countercyclical

intra daily volatility spillovers in international stock markets abstract using a novel four phase model based upon a conditional autoregressive wishart framework for realized variances and covariances we quantify intra daily volatility spillovers within and across the us german and japanese stock markets before and during the subprime crisis we find significant short term spillovers from one stock market to the next trading market which have substantially intensified during the crisis indicating a global volatility contagion coming from the us market the strongest contagion with the largest burst of spillover effects from and to foreign markets is observed for the japanese market which was prior to the crisis fairly uncoupled from the german and us market we also find that the crisis leads to a significant reduction of the general persistence of volatility shocks in international stock markets hence it appears that during the turmoil of the crisis news generating volatility become outdated more quickly than before the crisis

international economic policy uncertainty and stock prices wavelet approach this paper examines the link between economic policy uncertainty and stock price in both a time and frequency domain wavelet analysis reveals that the relationship is generally negative but changes over time exhibiting low to high frequency cycles moreover the timing of frequency changes overlaps when us policy uncertainty comoves with other countries policy uncertainty

volatility spillovers between crude oil and chinese sectoral equity markets evidence from a frequency dynamics perspective abstract we examine the frequency dynamics of volatility spillovers between crude oil and china s stock markets in a spectral representation framework of generalized forecast error variance decomposition using sectoral stock indices data we find evidence of total volatility spillover driven mainly by short term spillovers the net spillovers of the oil market are almost all positive and dominated by short ter m components although the spillover during china s 2015 financial crisis is negative and attributable to long term components in addition there exists heterogeneity in net pairwise frequency spillovers between the oil and sectoral stock markets moreover structural breaks in volatilities appear to be a significant feature of volatility spillovers finally frequency spillovers in our system can predict future stock market volatility these results have economic implications for investors and policymakers

the roles of inter fuel substitution and inter market contagion in driving energy prices evidences from china s coal market abstract coal has been dominating energy supply and consumption in china with the country becoming the largest energy supplier and consumer worldwide due to inter fuel substitution of crude oil and inter market contagion of international coal market china s coal price might be interrelated with crude oil price and international coal price however the precise roles of these two effects in determining china s coal price are unknown this paper contributes to previous literature by investigating this issue we find that co movements between china s coal price and crude oil price largely hinge on the shares of oil and coal in china s energy mix while its co movements with international coal price depend on scales of coal trade inter fuel substitution dominated the interaction of china s coal market with other energy types but the importance of inter market contagion has been increasing we also find that china might have become an originator for driving the returns of crude oil and international coal in particular after 2008 furthermore china s coal market is still a net volatility recipient for shocks from both crude oil market and international coal market given the increased integration of global energy markets we anticipate this paper to provide a better understanding on the dynamic changes in china s coal prices

assessing international commonality in macroeconomic uncertainty and its effects this paper uses a large vector autoregression var to measure international macroeconomic uncertainty and its effects on major economies using two datasets one with gdp growth rates for 19 industrialized countries and the other with a larger set of macroeconomic indicators for the u s euro area and u k using basic factor model diagnostics we first provide evidence of significant commonality in international macroeconomic volatility with one common factor accounting for strong comovement across economies and variables we then turn to measuring uncertainty and its effects with a large var in which the error volatilities evolve over time according to a factor structure the volatility of each variable in the system reflects time varying common global components and idiosyncratic components in this model global uncertainty is allowed to contemporaneously affect the macroeconomies of the included nations both the levels and volatilities of the included variables in this setup uncertainty and its effects are estimated in a single step within the same model our estimates yield new measures of international macroeconomic uncertainty and indicate that uncertainty shocks surprise increases lower gdp and many of its components adversely affect labor market conditions lower stock prices and in some economies lead to an easing of monetary policy

the international transmission of volatility shocks an empirical analysis this paper proposes an empirical model which can be used to estimate the international transmission of volatility shocks using this model we estimate that a one standard deviation increase in the volatility of the shock to us real gdp leads to a decline in uk gdp of 1 relative to trend and a 0 7 increase in uk cpi relative to trend at the two year horizon using a nonlinear open economy dsge model we find that these empirical estimates are consistent with the response to a perturbation to the volatility of foreign supply type shocks while an increase in the volatility of demand shocks has a negligible impact

international spillovers of policy uncertainty using the baker et al 2013 index of policy uncertainty for six developed countries this paper estimates spillovers of policy uncertainty we find that spillovers account for slightly more than one fourth of the dynamics of policy uncertainty in these countries with this share rising to one half during the financial crisis the us and uk are responsible for a large fraction of the spillovers since the financial crisis while the remaining countries are all net receivers of policy uncertainty shocks during and after this period

determinants of inward investment in the uk a panel analysis this paper develops an inter industry model of inward investment using a fixed effects approach this demonstrates that when inward investment is investigated in such a framework previous findings relating to the specification of measures of location advantage and ownership advantages no longer hold this also shows that there are some industries that have attracted significant inward investment over time and continue to do so while others are noticeably less successful reasons for this and potential policy measures are briefly discussed

oil prices and mena stock markets new evidence from nonlinear and asymmetric causalities during and after the crisis period this article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in middle east and north africa mena countries during a black swan period that is characterized by rarity and devastating impacts our study is carried out using the daily data for 11 mena countries over the period from 2 july 2007 to 27 august 2012 by using the nonlinear and asymmetric causality test of kyrtsou and labys 2006 we mainly find that i the oil prices and mena stock markets interact in a nonlinear manner ii the signs of changes in the causing variables are important for detecting the true causality links between the variables and iii the nonlinear causality is more pronounced in the case of the brent than west texas intermediate oil prices

measuring interconnectedness between financial institutions with bayesian time varying vector autoregressions we propose a market based framework that exploits time varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects we apply it to financials in the standard poor s 500 index and estimate interconnectedness at the sectoral and institutional levels at the sectoral level we uncover two main events in terms of interconnectedness the long term capital management crisis and the 2008 financial crisis after these crisis events we find a gradual decrease in interconnectedness not observable using the classical rolling window approach at the institutional level our framework delivers more stable interconnectedness rankings than other comparable market based measures

the dynamics of spillover effects during the european sovereign debt turmoil abstract in this paper we modify and extend the framework of diebold and yilmaz 2011 to quantify spillovers between sovereign credit markets and banks in the euro area spillovers are estimated recursively from a vector autoregressive model of daily changes in credit default swap cds spreads with exogenous common factors we account for interdependencies between sovereign and bank cds spreads and derive generalized impulse response functions specifically we assess the systemic effect of an unexpected shock to the creditworthiness of a sovereign or country specific bank index on other sovereigns and bank cdss between october 2009 and july 2012 channels of shock transmission from or to sovereigns and banks are summarized in a contagion index and its four components i among sovereigns ii among banks iii from sovereigns to banks and iv from banks to sovereigns we also highlight the impact of policy related events on the contagion index