transfers and the generalized theory of distortions and welfare recent theoretical attention devoted to the transfer paradox has included attempts to incorporate it into the body of commercial policy in this paper the existence of a family of always feasible corrective tax policies is proved which guarantees normal welfare response the set of pol icies is shown to contain the external trade fixing tariff and the op timal tariff the set of policies is then extended to include a capit al flow fixing profits tax to deal with the problems of foreign inves tment the results are then interpreted in terms of a general proposi tion in the theory of distortions and welfare copyright 1987 by the review of economic studies limited

foreign aid tariffs and nontraded private or public goods abstract the possibility of transfer paradoxes or immiserizing growth in tariff ridden small open developing countries with a nontraded goods sector is analysed in four models a short run sector specific factor model a dual economy model capital is mobile between some but not all sectors a long run model factors are mobile between all sectors and a model with public goods several results of the received literature on transfer paradoxes and or immiserizing growth in distorted small open economies are generalized to nontraded private and public goods allowing for intersectoral factor mobility or immobility

advantageous reallocations a constructive example this note shows how to construct smooth examples of a phenomenon noted by gale in which a pair of agents make themselves better off at the expense of a third agent by reallocating their own endowments walrasian stability prevails

foreign ownership and the theory of trade and welfare some standard topics in the theory of international trade are reconsidered in this paper by distinguishing between national and aggregate income when fixed supplies of foreign inputs are present within the home country under conditions that would ensure a national welfare gain if foreign ownership were absent international transfer economic growth or tariff policy might cause a national welfare loss in the presence of foreign ownership the techniques developed could be applied to other domestic distinctions such as those based on race sex age or ethnicity and to the theory of customs unions in a three country world

the short and long run effects of tied foreign aid on pollution abatement pollution and employment a pilot model abstract there exists in the literature a presumption that tied foreign aid can be used effectively to reduce cross border pollution focusing in contrast to the received literature on the interaction between the public and private provisions of pollution abatement in the recipient country we question the effectiveness of tied foreign aid in reducing pollution in this context we obtain many novel and policy relevant insights allowing for changes in labour employment and distinguishing between short and long run effects tied foreign aid is shown to crowd out the private provision for pollution abatement in the short run in the long run tied foreign aid raises employment and therefore may be desirable for the recipient but undesirable for the donor country because it also raises pollution the results change drastically if only the government provides pollution abatement

electricity market integration decarbonisation and security of supply dynamic volatility connectedness in the irish and great britain markets abstract this study investigates the volatility connectedness between the irish and great britain electricity markets and how it is driven by changes in energy policy institutional structures and political ideologies we assess various aspects of this volatility connectedness including static unconditional vs dynamic conditional symmetric vs asymmetric characteristics between 2009 and 2018 we find that the volatility connectedness is time varying and it is significantly affected by important events policy reforms or market re designs such as brexit oil price slump an increasing share of renewables and fluctuations in the exchange rates our asymmetric analysis shows that magnitude of the good volatility connectedness is marginally larger than that of the bad volatility connectedness our result suggests that good volatility levels would be even higher once the irish market adopts the carbon price floor therefore supporting renewable generation by setting an appropriate price of carbon in interconnected wholesale electricity markets will improve market integration

inferring future volatility from the information in implied volatility in eurodollar options a new approach we study the information content of implied volatility from several volatility specifications of the heath jarrow morton 1992 hjm models relative to popular historical volatility models in the eurodollar options market the implied volatility from the hjm models explains much of the variation of realized interest rate volatility over both daily and monthly horizons the implied volatility dominates the garch terms the glosten et al 1993 type asymmetric volatility terms and the interest rate level however it cannot explain that the impact of interest rate shocks on the volatility is lower when interest rates are low than when they are high article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

magnitude and persistence of extreme risk spillovers in the global energy market a high dimensional left tail interdependence perspective abstract this paper studies the magnitude and persistence of extreme risk spillovers among stock returns of 124 energy companies worldwide between january 2006 and june 2019 as well as the corresponding firm specific determinants of firms extreme risk spillovers the high dimensional nonparametric method the coefficient of tail interdependence cti enables us to make better use of available information and to evaluate risk spillovers more precisely moreover we use spatial panel models that consider spatial heterogeneity among firms to explore the determinants of the risk spillovers the empirical findings from a study of energy firms risk spillover effects verify the necessity of persistence measurement also the most systemically risky energy companies are not necessarily the largest and some small firms can also generate large risk spillovers when they are in distress which indicates that determinants other than firm size could also affect the spillover effect such as business complexity and geographic location our regression results suggest that the extreme risk spillover of the energy companies exhibits significant heterogeneity in terms of business and region which deserves more attention for energy risk management the estimates can be used for making portfolio decisions and designing regulatory policies

endogenous number of firms horizontal concentration and heterogeneity of firms a note we re examine implications of heterogeneity of firms under a cournot setting on free entry equilibria concerning the number of firms heterogeneity reduces the number of firms in equilibrium the larger the cost asymmetries the smaller the free entry equilibrium number of firms in an industry

asymmetric volatility spillovers between oil and stock markets evidence from china and the united states abstract the relationship between oil and stock markets is a hot topic but little research has focused on the time varying asymmetric volatility spillover in a quantitative manner in this study we use a new spillover directional measure and asymmetric spillover measures to investigate the dynamic asymmetric volatility spillover between oil and stock markets during the period of 2007 to 2016 using the intra day data of wti future prices the sp the results also show strong evidence of asymmetries in volatility shocks between the oil and stock markets due to bad volatility

who benefits from aid for trade comparing the effects on recipient versus donor exports recent studies offer an ambiguous picture on the effectiveness of foreign aid in strengthening the export capacity of recipient countries moreover the literature on aid for trade aft has often neglected that exporters in the donor countries may be among the main beneficiaries we hypothesize that aft is as much in the self interest of donor countries as it may have promoted the exports of recipient countries we simultaneously estimate and compare the effects of aft on trade in both directions we find that aft increases recipient exports to donors as well as recipient imports from donors the first effect tends to dominate the latter which contradicts the skeptical view that donors grant aft primarily to promote their own export interests

hedging downside risk of oil refineries a vine copula approach abstract the financial health of an oil refinery greatly depends on its refining margin or the difference between the prices of its refined products typically gasoline and heating oil and the cost of crude oil the refinery may hedge against the downside risk of unfavorable price movements using crude oil gasoline and heating oil futures this paper examines the use of a vine copula approach to estimate multiproduct hedge ratios that minimize the downside risk of the refinery the advantage of the vine copula approach is that it allows us to capture important characteristics of petroleum price changes including skewness and fat tailedness in the marginal distributions of individual price change series as well as heterogeneous tail dependence patterns between different pairs of price changes the out of sample hedging effectiveness of two popular classes of vine copula models canonical c and drawable d vine copula models are evaluated and compared with that of the widely used nonparametric method and three standard multivariate copula models the empirical results reveal that the d vine copula model is a good and safe choice in managing the downside risk of the refinery

hedging crude oil using refined product a regime switching asymmetric dcc approach abstract in this paper we explore the strategy on hedging crude oil using refined product we develop a regime switching asymmetric dcc rs adcc model by taking into account both of regime switching and asymmetry in correlations our out of sample findings indicate that rs adcc displays greater hedging effectiveness than some conventional multivariate garch heating oil can better hedge crude oil than gasoline

a test for volatility spillovers abstract this paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate markov switching model an empirical application of this procedure to three emerging markets is examined and discussed

the generalized theory of transfers and welfare bilateral transfers in a multilateral world paul samuelson s 1952 1954 classic papers on the transfer problem addressed two separate analytical issues the positive effect of a transfer on the terms of trade and the welfare effect of the transfer on the donor and the recipient since then a considerable body of literature has grown up on the positive analysis while samuelson 1954 himself had extended the 2 x 2 x 2 free trade analysis to allow for tariffs and transport costs subsequent writers have analyzed other extensions of the model for example to allow for nontraded goods as with leisure in samuelson 1971 or general nontraded goods in john chipman 1974 and ronald jones 1970 1975 remarkably however the welfare analysis of transfers has not paralleled these developments since wassily leontief 1936 produced an example of immiserizing transfer from abroad and samuelson 1947 argued that the example required market instability the proposition that has monopolized attention has been that a transfer in the conventional 2 x 2 x 2 model in its free trade version cannot immiserize the recipient or enrich the donor as long as world markets are stable in the walras sense interestingly samuelson 1954 who did extend the positive analysis to include tariffs did not go on to ask whether immiserization of the transfer recipient and hence symmetrically enrichment of the donor in a two country model could now arise consistent with market stability recently the welfare analysis of transfers has been extended in two different directions both apparently unconnected and both yielding the conclusion that transfers from abroad can be immiserizing and that the donor may improve its welfare despite market stability one route to this conclusion has been the introduction of a third economic agent or country that is outside of the transfer process in the appendix of his 1960 paper analyzing the interaction between trade policy and income distribution harry johnson discussed the possibility of welfareparadoxical redistribution between two factor income classes capital and labor in an open economy thereby providing what can be interpreted as a treatment of the threeagent transfer problem for the case in which donor and recipient are both completely specialized in the ownership of a single different factor an independent analysis of the three agent transfer problem using a restrictive model with given endowments of goods and fixed coefficients in consumption was also undertaken in an important paper by david gale 1974 2 brecher and bhagwati bhagwati department of economics columbia university new york ny 10027 brecher department of economics carleton university ottawa on kis 5b6 hatta department of political economy the johns hopkins university baltimore md 21218 we thank the national science foundation grant no 524718 for partial financial support of the research underlying this paper the paper was written when brecher and hatta were visiting columbia university 1981 82 gratefully acknowledged are helpful comments and suggestions from john chipman avinash dixit jacques dreze robert feenstra jacob frenkel ronald jones murray kemp andreu mas colell michael mussa john riley lars svensson and robert willig from anonymous referees and from seminar participants at berkeley harvard minnesota rochester chicago and the university of california los angeles after the present paper was submitted for publication and following its presentation at rochester our attention was drawn to this appendix which was noticed by a student of ronald jones subsequently we learned from makoto yano that motoshige itoh had pointed out an important related paper by ryuotaro komiya and t shizuki 1967 whose condition 11 for the johnson case anticipated our equation 12 below we are grateful for having both of these references brought to our attention 2 gale constructs an example in which the donor is enriched along with the recipient furthermore this immediately implies that a reverse transfer will immis

modeling asymmetric comovements of asset returns existing time varying covariance models usually impose strong restrictions on how past shocks affect the forecasted covariance matrix in this article we compare the restrictions imposed by the four most popular multivariate garch models and introduce a set of robust conditional moment tests to detect misspecification we demonstrate that the choice of a multivariate volatility model can lead to substantially different conclusions in any application that involves forecasting dynamic covariance matrices like estimating the optimal hedge ratio or deriving the risk minimizing portfolio we therefore introduce a general model which nests these four models and their natural asymmetric extensions the new model is applied to study the dynamic relation between large and small firm returns article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

macro determinants of volatility and volatility spillover in energy markets abstract we analyze the time varying volatility and spillover effects in crude oil heating oil and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather related events into the conditional variance equations we allow asymmetric responses to random disturbances in each market as well as to good and bad economic news related to the overall economy results show the presence of asymmetric effects in both random disturbances and macroeconomic variables a bidirectional volatility spillover effect is found between natural gas and crude oil and between the natural gas and heating oil markets crude oil volatility is found to increase following major political financial and natural events seasonality and day of the week effects are found in the crude oil and heating oil markets

risk transmission mechanism between energy markets a var for var approach abstract the global financial crisis gfc of 2007 2009 that originated in the us has revealed the need for measuring and monitoring the transmission of extreme downside market risk this paper investigates the risk transmission mechanism between the oil and natural gas markets we apply the recently introduced test statistics based on cross quantilogram function and the multivariate quantile regression model var for var to the us oil and natural gas prices which are independently formed our results show two asymmetric patterns first the shocks in the oil market substantially increase the value at risk var in the natural gas market but the reverse impact does not exist second we highlight the significant asymmetric response of gains and losses transmission in energy markets cautioning about the underlying weakness of adopting volatility to measure risk in the energy market moreover an extreme market risk is more easily transmitted across markets than moderate risks our results are in general robust in application to other regional energy markets such as europe and asia but the heterogeneities in responses are underpinned by the different role of natural gas in regions the findings in this paper have important implications for academic researchers policy makers in gas dependent economies and business practitioners in light of projected increases in the use of natural gas worldwide as well as the development of independent gas on gas competitive hub prices in asia and europe

welfare losses under cournot competition abstract in a market for a homogeneous good where firms are identical compete in quantities and produce with constant returns the percentage of welfare losses pwl is small with as few as five competitors for a class of demand functions which includes linear and isoelastic cases we study markets with positive fixed costs and asymmetric firms we provide exact formulae of pwl and robust constructions of markets were pwl is close to one in these two cases we show that the market structure that maximizes pwl is either monopoly or dominant firm depending on demand finally we prove that pwl is minimized when all firms are identical a clear indication that the assumption of identical firms biases the estimation of pwl downwards

optimal foreign aid and tariffs this paper investigates the optimal choice of foreign aid when trade policies are decided in a non cooperative fashion three alternative scenarios depending on the timing of the actions and on whether aid is tied are analyzed it is shown that in the case where aid is decided before tariffs untied aid can lead to the reduction of the recipient s optimal trade tax when the donor can tie the aid to a reduction in the recipient s tariff the optimal aid level is always positive and the world can always achieve a pareto efficient equilibrium

welfare aspects of the transfer problem using the standard trade model with three countries and allowing for substitutability in both production and consumption this paper demonstrates that a country may gain by giving a transfer that the receiver may lose and that these two phenomena may appear at the same time this result is an extension of gale s example in a fixed coefficient model where he shows both transferer and transferee may become better off harming the third country and it is contrasted with the traditional welfare proposition whereby a giver is immiserized and a recipient is enriched

analyzing and forecasting volatility spillovers asymmetries and hedging in major oil markets crude oil price volatility has been analyzed extensively for organized spot forward and futures markets for well over a decade and is crucial for forecasting volatility and value at risk var there are four major benchmarks in the international oil market namely west texas intermediate usa brent north sea dubai oman middle east and tapis asia pacific which are likely to be highly correlated this paper analyses the volatility spillover and asymmetric effects across and within the four markets using three multivariate garch models namely the constant conditional correlation ccc vector arma garch varma garch and vector arma asymmetric garch varma agarch models a rolling window approach is used to forecast the 1 day ahead conditional correlations the paper presents evidence of volatility spillovers and asymmetric effects on the conditional variances for most pairs of series in addition the forecast conditional correlations between pairs of crude oil returns have both positive and negative trends moreover the optimal hedge ratios and optimal portfolio weights of crude oil across different assets and market portfolios are evaluated in order to provide important policy implications for risk management in crude oil markets

forecasting the volatility of crude oil futures using har type models with structural breaks abstract we introduce sixteen har type volatility models with structural breaks and estimate their parameters by applying 5 min high frequency transaction data for wti crude oil futures we find significant structural breaks in the volatility of crude oil futures additionally the historical realized volatility continuous sample path variation negative realized semivariance signed jump signed semi jump and leverage components contain substantial and salient information for forecasting the volatility of crude oil futures then we use loss functions to assess the forecasting performance of these sixteen new models and finally rank these models using the promethee ii method our results indicate that different models exhibit different predictive power in forecasting the 1 day 1 week and 1 month volatility of crude oil futures of the new har type models the new har rsv model performs best at forecasting the 1 day and 1 month volatilities whereas the new har cj best forecasts the 1 week volatility

on the tying of aid to tariff reform this paper considers the welfare effects of foreign aid that is tied to changes in the recipient s tariff by constructing a three country model with tariffs and by allowing for changes both in the amount of aid and in the tariff rates we are able to consider the welfare implications of two different rules of aid conditionality i a rule which leaves the donor s welfare unchanged and ii a rule which leaves the recipient government s total revenue unchanged it is shown that the tying of aid to a tariff reform can inter alia be used to ensure pareto improvement

time varying granger causality tests for applications in global crude oil markets abstract this paper proposes time varying granger causality tests based on the tests developed by hong 2001 and two dynamic correlation estimators i e rolling correlation and dynamic conditional correlation multivariate garch here called the rolling hong and dcc mgarch hong tests respectively the proposed tests are used to examine time varying information spillover among global crude oil markets the results provide empirical evidence of time varying information spillover in particular the instantaneous causal effects of dubai and tapis crudes on brent and wti become stronger when a major event or events occur in major oil producing countries such events include the iraq war in march 2003 opec s announcement of a record production cut in december 2008 and the libyan civil war in early 2011 and consistent with previous studies wti and brent play dominant roles in global crude markets impulse response analysis shows that market information has a positive influence on the spillover effect in global crude oil markets moreover the dcc mgarch hong test consistently leads the rolling hong test which indicates that the former performs better

market structure and price cost margins in a paper that has become a standard reference in the structure conductperformance approach to industrial economics cowling and waterson 1976 developed a theoretical rationale for expecting industry profitability to be positively correlated with the level of concentration their model based on a simple algebraic description of oligopoly behaviour has been interpreted as providing a justification for the common empirical practice of cross industry regression analysis of price cost margins in terms of concentration levels in the present paper we show that on further examination this model implies a joint determination of margins and concentration this provides some interesting comparative static results of relevance to inter industry differences in concentration levels equally however it leads to various cautionary insights concerning the meaning of price cost margin versus concentration regressions

tied aid and the paradoxes of donor enrichment and recipient impoverishment it is part of received doctrine that in a two country world without hindrance of commodity taxes or other distortions and with market stability assured international transfers necessarily harm the donor and benefit the recipient 2 however in the case of most non private international aid those conditions fail donors often require that aid be spent in a manner not closely related to private preferences in the recipient countries indeed not closely related to any well behaved preferences and they normally finance the aid by means of distorting taxation hence one cannot rule out by appeal to standard theorems the possibility that aid perversely leaves the donor better off and or the recipient worse off let us say that aid is tied in the recipient if it is spent inefficiently in terms of individual preferences and that aid is tied in the donor if it is financed inefficiently thus whether aid is tied is a question of how it is spent or financed it is not a question of the numeraire in terms of which aid is accounted nor of the form in which it is offered 3 evidently the definition of tying is uncommonly broad for example aid may be tied in the recipient not because the donor attaches strings but because the government of the recipient is incompetent or unrepresentative moreover the definition is relevant however the aid is applied whether to private or public goods whether to consumption or investment goods we follow the literature on the transfer problem in assuming that aid is spent on private consumption goods like hospital services and powdered milk this is a matter of convenience and continuity only 4 in the present note we seek to rework the economics of foreign aid under novel assumptions in particular allowance will be made for the possibility that aid is tied in whole or in part in the donor or in the recipient it will be verified that the donor may benefit and the recipient suffer and that these outcomes are com

aid and trade this paper surveys the recent theoretical and empirical literature that explores the relations between aid and trade and asks about the complementarity or substitution effects at work we distinguish between the effects of aid on trade flows and on trade policies of the donor as well as the recipient countries special focus is given on trade facilitation or aid for trade

aid nontraded goods and the transfer paradox in small countries this paper constructs a model of the transfer paradox for a small open economy with nontraded goods it demonstrates that increased production of nontraded goods can change their domestic price so as to offset the otherwise beneficial effect of aid and under certain conditions to create a transfer paradox even in a small country the model is estimated with time series data for 44 aid dependent countries for the period 1970 90 the results support the model and show that the nontraded goods expansion effect is more likely to cause immiserization than harry g johnson s 1967 tariff distorting export displacement effect

some recent developments in futures hedging the use of futures contracts as a hedging instrument has been the focus of much research at the theoretical level an optimal hedge strategy is traditionally based on the expected utility maximization paradigm a simplification of this paradigm leads to the minimum variance criterion although this paradigm is quite well accepted alternative approaches have been sought at the empirical level research on futures hedging has benefited from the recent developments in the econometrics literature much research has been done on improving the estimation of the optimal hedge ratio as more is known about the statistical properties of financial time series more sophisticated estimation methods are proposed in this survey we review some recent developments in futures hedging we delineate the theoretical underpinning of various methods and discuss the econometric implementation of the methods

volatility spillovers for spot futures and etf prices in agriculture and energy abstract the agricultural and energy industries are closely related both biologically and financially the paper discusses the relationship and the interactions on price and volatility and on the covolatility spillover effects for these two industries the interaction and covolatility spillovers or the delayed effect of a returns shock in one asset on the subsequent volatility or covolatility in another asset between the energy and agricultural industries is the primary emphasis of the paper although there has already been significant research on biofuel and biofuel related crops only a few published papers have been concerned with volatility spillovers it must be emphasized that there have been numerous technical errors in the theoretical and empirical research which need to be addressed the paper considers futures prices as a widely used hedging instrument and also considers an interesting new hedging instrument etf which is regarded as index futures when investors manage their portfolios in the empirical analysis multivariate conditional volatility diagonal bekk models are estimated for comparing patterns of covolatility spillovers the paper provides a new way of analyzing and describing the patterns of covolatility spillovers which should be useful for the future empirical analysis of estimating and testing covolatility spillover effects

foreign aid and public goods abstract most less developed countries ldcs use foreign economic aid to finance public consumption goods or public intermediate inputs this paper constructs a two country general equilibrium trade model where an income transfer that takes place between the two countries is used by the recipient to finance a public consumption good within this framework the paper identifies the conditions under which the income transfer improves or deteriorates the donor country s terms of trade and shows that the transfer can be welfare enriching for the donor and welfare immiserizing for the recipient country the paper also demonstrates that the transfer can raise reduce world welfare in which case a welfare increase decrease in both the donor and the recipient country is possible

welfare effects of aid under quantitative trade restrictions the paper examines the effects of tied aid on the welfare of both the donor and the recipient countries we depart from the previous literature by assuming preexistence of quantitative trade distortions to mitigate these distortions the donor country provides aid that is tied to the rationed good conditions for the presence of the transfer paradox and of the enrichment of both countries are derived and interpreted under the stability of the system furthermore we show that whereas untied aid cannot increase global welfare tied aid unambiguously does so

transfers returns to scale tied aid and monopolistic competition we examine transfers and tied aid in a model with increasing returns to scale and monopolistic competition transfers give rise to an additional love of variety welfare effect and affect the utility possibility locus generic tied aid may exacerbate or reverse these results the popularity of aid tied to specific manufactured goods can be explained through rent seeking behavior since such aid gives rise to profits in the donor country these profits in turn largely repatriate the transfer such that donors can appear to be more generous than they really are

correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies abstract in this paper multivariate garch models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies four different multivariate garch models bekk diagonal constant conditional correlation and dynamic conditional correlation are compared and contrasted the dynamic conditional correlation model is found to fit the data the best and generates results showing that the stock prices of clean energy companies correlate more highly with technology stock prices than with oil prices on average a 1 long position in clean energy companies can be hedged for 20 cents with a short position in the crude oil futures market

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

short and long run determinants of commodity price volatility to explain price volatility in the u s agricultural energy and metal futures markets we estimate a model of common and commodity specific high and low frequency factors by building on the spline garch model of engle and rangel 2008 a better model fit results from allowing the unconditional variance to slowly change over time moreover the persistence of volatility shocks is shown to be much weaker than what standard garch models imply combining the volatility results with monthly macroeconomic indicator data we find that decomposing realized volatility into high and low frequency components better reveals the impact of slowly evolving aggregate variables on price volatility moreover over the period 1990 2005 most of the macroeconomic variables had similar effects within the same commodity category e g grain but their effects differed across commodity groups e g grain versus livestock over the period 2006 2009 however commodity specific factors dominated common factors copyright 2013 oxford university press

spillover effects in energy futures markets price discovery in crude oil and refined oil products has been extensively undertaken in organised futures markets for over a decade now there are two dominant such markets today the first one in the new york mercantile exchange and the second in london s international petroleum exchange with the demise of opec as the leading price setter for crude and products nymex light sweet crude and brent crude have usurped the role of benchmark grades for price setting to date considerable work has been done to scrutinise the degree to which these two markets price efficiently but little with regard to the way the two markets interact participants in these markets move with relative ease from one market to the other and usually take positions in both of them it is of interest therefore to investigate the information transmission mechanism by looking at spillover effects and perhaps identify which market is the true price leader this paper is a first attempt to look at such a problem in the energy market although similar studies have been done on stock market indices it is found that substantial spillover effects do exist when both markets are trading simultaneously although ipe morning prices seem to be considerably affected by the close of the previous day on nymex q 2001 elsevier science b v all rights reserved

evolution of the world crude oil market integration a graph theory analysis this paper investigates the evolution of the world crude oil market and the pricing power for major oil producing and oil consuming countries using graph theory a minimal spanning tree for the world crude oil market is constructed and some empirical results are given the integration of the world crude oil market is verified furthermore the world crude oil market is characterised as a geographical and organisational structure the crude oil markets of adjacent countries or regions tend to link together while opec is well integrated we also found that the links in the south and north american region and the african region are relatively stable the crude oil markets in the u s angola and saudi arabia take up the core with a higher betweenness centrality and lower farness whereas the markets in the east and southeast asian countries are on the fringe finally the degree of globalisation for the world crude oil market is becoming further entrenched verified by a decreasing normalised tree length hence its systemic risk may increase due to the future uncertainty of world politics

a characterization of oil price behavior evidence from jump models abstract this paper is concerned with the statistical behavior of oil prices in two ways it firstly applies a combined jump garch model in order to characterize the behavior of daily weekly as well as monthly oil prices secondly it relates its empirical results to implications of hotelling type resource extraction models the empirical analysis shows that oil prices are characterized by garch as well as conditional jump behavior and that a considerable portion of the total variance is triggered by sudden extreme price movements this finding implies that first oil price signals are not reliable and as a consequence both finding optimal extraction paths and decisions regarding the transmission to alternative technologies are likely to be compromised second this behavior is in stark contrast to the notion of deterministic trends in the price of oil

on the provision of official and private foreign aid abstract the provision of official relative to private foreign aid varies considerably between donor countries we explain the variations in terms of country size household composition income distribution and the government s ability to commit to aid and derive inter alia the results 1 official aid crowds out private aid 2 total aid and official aid collected from each household are lower in more populous countries 3 total aid is lower if i the distribution of income favors the more altruistic households and ii the government can credibly commit to a certain level of aid evidences suggest that the theoretical results can explain stylized facts

are differences in firm size transitory or permanent an erratum for this article has been published in journal of applied econometrics 18 2 2003 249 previous empirical work on corporate growth rates using cross section or short panel econometric techniques suggests that growth rates are random but that some degree of mean reversion exists this means that size differences between firms are transitory another more natural way to explore the long run distribution of firm sizes is to examine data on the growth of particular firms over long periods of time using a sample of 147 uk firms observed continually for more than 30 years our conclusions are that growth rates are highly variable over time and that differences in growth rates between firms do not persist for very long further firms show no tendency to converge to either a common size or to a pattern of stable size differences over time these results are compared and contrasted with standard approaches that suggest that firms reach and maintain stable positions in a skewed size distribution copyright 2002 john wiley sons ltd

green technology transfers and border tax adjustments we develop a two country general equilibrium model of foreign technology transfers tied to environmental clean up and border tax adjustments in the presence of transboundary pollution pollution is generated in the aid recipient as a by product in the production of a dirty good which it consumes as well as exports to the donor country in contrast to the literature which typically treats aid as a monetary transfer we assume that foreign aid consists of a transfer of environmental technology that lowers the cost of public clean up we also consider a border tax adjustment bta as a secondary policy instrument used in order to internalize the residual transboundary externality we study the environmental and welfare outcomes of the technology transfer and the bta as well as the interaction between the two policy instruments we derive conditions under which the additional presence of a bta may lead to a lower transfer and less public pollution abatement in the recipient with counter productive consequences for both the environment and welfare contrary to intuition we find that the green technology transfer and the border tax adjustment are not always complements

forecasting energy market volatility using garch models can multivariate models beat univariate models abstract in this paper we forecast energy market volatility using both univariate and multivariate garch class models first we forecast volatilities of individual assets and find that multivariate models display better performance than univariate models second we forecast crack spread volatility and contrast the performance of multivariate models for two underlyings with the alternative of univariate ones for crack spreads directly our evidence shows that univariate models allowing for asymmetric effects display the greatest accuracy we also discuss the hedging strategy based on multivariate models and its implications for market participants

good volatility bad volatility what drives the asymmetric connectedness of australian electricity markets efficient delivery of network services and the electricity infrastructure to meet the long term consumer s interests are the main objectives and the strategies of a national electricity market while the main interests of generators are to maximize their profit through pricing strategies therefore the objective of this study is to explore whether electricity prices across the four australian states display symmetric price volatility connectedness the study is the first attempt in the literature to make use of intraday 5 min australian dispatch electricity prices spanning the period december 8th 1998 to may 5th 2016 to quantify asymmetries in volatility connectedness emerging from good and bad volatility the results provide supportive evidence that the australian electricity markets are connected asymmetrically implying the presence of some degree of market power that is exercised by generators across regional electricity markets

when are nash equilibria independent of the distribution of agents characteristics author s bergstrom ted varian hal r abstract we present examples of nash equilibria that do not vary with the distribution of a parameter across agents and then offer a general theorem that characterizes this independence

optimal gasoline hedging strategies using futures contracts and exchange traded funds this article employs a variety of econometric models including ols vec var dcc garch and a class of copula based garch models to estimate optimal hedge ratios for gasoline spot prices using gasoline exchange traded funds etfs and gasoline futures contracts we then compare their performance using four different measures from the perspective of both their hedging objectives and trading position using four different measures variance reduction measure utility based measure and two tail based measures value at risk and expected shortfall the impact of the 2008 financial market crisis on hedging performance is also investigated our findings indicate that in terms of variance reduction the static models ols and vec var are found to be the best hedging strategies however more sophisticated time varying hedging strategies could outperform the static hedging models when the other measures are used in addition etf hedging is a more effective hedging strategy than futures hedging during the high

immiserizing transfers from abroad abstract this paper shows that an international transfer payment may paradoxically immiserize the recipient country or increase the donor country s welfare even when world markets are stable despite the traditional view that such a paradox theoretically requires market instability to demonstrate this paradoxical possibility the paper extends the conventional trade theoretic analysis to admit exogenous distortions created by tax cum subsidies in domestic production or endogenous distortions due to additionality requirements imposed by the donor on the recipient this analysis of immiserizing transfers from abroad immediately suggests significant implications for important policy issues including the evaluation of real benefits from foreign aid

volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory abstract this paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four widely traded commodities crude oil natural gas gold and silver a broad set of the most popular linear and nonlinear garch type models is used to investigate this relevancy our in sample and out of sample results show that volatility of commodity returns can be better described by nonlinear volatility models accommodating the long memory and asymmetry features in particular the fiaparch model is found to be the best suited for estimating the var forecasts for both short and long trading positions this model also gives for all four commodities the lowest number of violations under the basel ii accord rule given a risk exposure at the 99 confidence level several implications for commodity market risks policy regulations and hedging strategies can be drawn from the obtained results

forecasting realized volatility of crude oil futures with equity market uncertainty this paper examines whether the equity market uncertainty emu index contains incremental information for forecasting the realized volatility of crude oil futures we use 5 min high frequency tran