on the impacts of oil price fluctuations on european equity markets volatility spillover and hedging effectiveness the objective of this paper is to investigate the volatility spillovers between oil and stock markets in europe as not all industries are expected to be equally affected by oil price changes we conduct our study at both the aggregate as well as sector levels empirically we make use of a recently developed var garch approach which allows for transmissions in volatilities in addition we analyze the optimal weights and hedge ratios for oil stock portfolio holdings based on our results on the whole our findings show significant volatility spillovers between oil price and sector stock returns and suggest that a better understanding of those links is crucial for portfolio management in the presence of oil price risk

trade credit in a monetary economy abstract this paper examines the importance of financial and technological stochastic trends in the context of a stochastic dynamic general equilibrium monetary economy with multiple means of payment in contrast to earlier empirical work we find support for both a long run substitution condition between money trade credit and interest rates as well as a long run transactions demand for alternative payments media consistent with real business cycle frameworks

analysis of policies to reduce oil consumption and greenhouse gas emissions from the us transportation sector abstract even as the us debates an economy wide co 2 cap and trade policy the transportation sector remains a significant oil security and climate change concern transportation alone consumes the majority of the us s imported oil and produces a third of total us greenhouse gas ghg emissions this study examines different sector specific policy scenarios for reducing ghg emissions and oil consumption in the us transportation sector under economy wide co 2 prices the 2009 version of the energy information administration s eia national energy modeling system nems a general equilibrium model of us energy markets enables quantitative estimates of the impact of economy wide co 2 prices and various transportation specific policy options we analyze fuel taxes continued increases in fuel economy standards and purchase tax credits for new vehicle purchases as well as the impacts of combining these policies all policy scenarios modeled fail to meet the obama administration s goal of reducing ghg emissions 14 below 2005 levels by 2020 purchase tax credits are expensive and ineffective at reducing emissions while the largest reductions in ghg emissions result from increasing the cost of driving thereby damping growth in vehicle miles traveled

the american business cycle continuity and change in recent decades the american economy has experienced the worst peace time inflation in its history and the highest unemployment rate since the great depression these circumstances have prompted renewed interest in the concept of business cycles which joseph schumpeter suggested are like the beat of the heart of the essence of the organism that displays them in the american business cycle some of the most prominent macroeconomics in the united states focuses on the questions to what extent are business cycles propelled by external shocks how have post 1946 cycles differed from earlier cycles and what are the major factors that contribute to business cycles they extend their investigation in some areas as far back as 1875 to afford a deeper understanding of both economic history and the most recent economic fluctuations seven papers address specific aspects of economic activity consumption investment inventory change fiscal policy monetary behavior open economy and the labor market five papers focus on aggregate economic activity in a number of cases the papers present findings that challenge widely accepted models and assumptions in addition to its substantive findings the american business cycle includes an appendix containing both the first published history of the nber business cycle dating chronology and many previously unpublished historical data series

testing dependence between gdp and tourism s growth rates abstract the main aim of this paper is to link the economic behaviour and statistical properties of gdp and tourism receipts growth rates through modelling the dependence to that end two developed economies such as the united kingdom non tourist oriented and spain tourist oriented and an emerging economy such as croatia tourist oriented are considered as case studies therefore a copula based garch approach is employed to describe the dependence structure between gdp and tourism receipts growth rates in this respect any causality and cointegration between tourism and gdp could justify public policies that promote a more efficient public resource allocation in the tourism industry additionally evidence of dependence between growth rates can justify the extent and direction of these policies results indicate that there is a significant asymmetric and positive dependence between tourism and gdp growth rates for the three countries studied though only for croatia is it time varying over time

the federal funds rate and the channels of monetary transmission the authors show that the interest rate on federal funds is extremely informative about future movements of real macroeconomic variables then they argue that the reason for this forecasting success is that the funds rate sensitively records shocks to the supply of bank reserves that is the funds rate is a good indicator of monetary policy actions finally using innovations to the funds rate as a measure of changes in policy the authors present evidence consistent with the view that monetary policy works at least in part through credit i e bank loans as well as through money i e bank deposits copyright 1992 by american economic association

does trade credit play a signalling role some evidence from smes microdata using micro data on small and medium sized enterprises this paper empirically investigates the signalling hypothesis formulated on the role of trade credit biais and gollier in rev financ stud 10 903 937 1997 burkart and ellingsen in am econ rev 94 569 590 2004 the research method adopted allows evaluation of the impact of suppliers credit on bank debt accounting for the strength duration of bank firm relationships our main finding is that trade credit seems to have an information content for banks especially when the latter do not dispose of adequate soft information on firms which is likely the case at the beginning stages of bank firm relationships an implication of our results is that the availability of suppliers credit might be crucial to foster access to institutional funding for new firms entering the market our evidence also suggests that banks seem to consider suppliers a reliable source of information on firms financial conditions even after several years of lending relationships

modelling and forecasting daily international mass tourism to peru peru is a south american country that is divided into two parts by the andes mountains the rich historical cultural and geographic diversity has led to the inclusion of ten peruvian sites on unesco s world heritage list for the potentially negative impacts of mass tourism on the environment and hence on future international tourism demand to be managed appropriately require modelling growth rates and volatility adequately the paper models the growth rate and volatility or the variability in the growth rate in daily international tourist arrivals to peru from 1997 to 2007 the empirical results show that international tourist arrivals and their growth rates are stationary and that the estimated symmetric and asymmetric conditional volatility models all fit the data extremely well moreover the estimates resemble those arising from financial time series data with both short and long run persistence of shocks to the growth rate in international tourist arrivals

trade credit bank lending and monetary policy transmission this paper investigates the role of trade credit in the transmission of monetary policy most models of the transmission mechanism allow the firm to access only financial markets or bank lending according to some net worth criterion in our model we introduce trade credit as an additional source of funding we predict that when monetary policy tightens there will be a reduction in market and bank lending and an increase in trade credit this is confirmed with an empirical investigation of 16 000 manufacturing firms

energy efficiency in the japanese transport sector abstract we examine energy efficiency in the japanese transportation sector since the 1970s comparisons with the united states and other developed economies illustrate that japan primarily stands out due to low activity levels and modal structure rather than modal energy intensity on road automobile energy intensity has shown little improvement albeit from a low base over the past four decades we also consider policy measures undertaken by the japanese government political arrangements in japan after world war ii made it attractive for politicians to pursue energy conservation by making transportation particularly by automobile expensive for the average japanese citizen the revenues raised from various fees and taxes on automobile transportation were redistributed to core supporters of the ruling liberal democratic party these political arrangements have come under fire in recent years calling into question japan s traditional approach towards transportation sector energy efficiency

supply chains global financial shocks and firm behaviour towards liquidity needs driven by the increasingly important role of supply chains in global production this paper studies empirical association between global credit market shocks and firm behaviour towards liquidity needs across countries and industries focusing on the adjustment of working capital financing we find two pieces of supporting evidence from international firm level panel data covering the period 2002 i 2012 iv first for industries where specific investment in the input supplier customer relationship is large firms are more exposed to credit market shocks we find that measures of global credit market shocks are negatively associated with trade receivables trade payables and inventories conditional on the level of contract intensity in the industries where firms operate second firms in emerging markets are more vulnerable to credit market shocks than are firms in developed countries we are also able to verify the economic significance of sales growth operating cash flows cash stock and firm size in the overall adjustment our findings highlight the importance of balance sheet contagion along supply chains during the 2007 09 global financial crisis

evidence on the determinants of credit terms used in interfirm trade trade credit is created whenever a supplier offers terms that allow the buyer to delay payment in this paper we document the rich variation in interfirm credit terms and credit policies across industries we examine empirically the firm s basic credit policy choices whether to extend credit or to require cash payment and if credit is extended whether to adopt simple net terms or terms with discounts for prompt payment we also examine determinants of variations in two part terms results are supportive primarily of theories that explain credit terms as contractual solutions to information problems concerning product quality and buyer creditworthiness trade credit has important economic significance from both micro and macroeconomic perspectives during the 1990s vendor financing has accounted for an average 1 5 trillion of the book value of all assets of u s corporations and has represented approximately 2 5 times the combined value of all new public debt and primary equity issues during a given year as a component of the money supply trade credit in the form of accounts payable exceeds the primary money supply mi by a factor of 1 5 on average 1 clearly efforts to control economic growth through monetary policy can be confounded by aggregate decisions of businesses to increase or decrease reliance on trade credit financing several recent empirical studies examine determinants of firm reliance on trade credit 2 these studies model supply and demand for trade credit using financial statement data accounts receivable and payable 3 however many aspects of trade credit practice are unexplored most notably little is known about the types of credit terms e g net 30 2 10 net 30 and credit policies that are observed across firms and industries the only comprehensive doc

modeling returns and volatility transmission between oil price and us nigeria exchange rate article i nfo this paper models returns and volatility transmission between oil price op and us nigeria exchange rate exr consequently it provides five main innovations i it analyzes op and exr using the recently devel oped test by narayan and popp 2010 np which allows for two structural breaks in the data series ii it employs the narayan and liu 2011 nl garch unit root test to evaluate robustness of np test iii it con siders the newly developed var garch model to capture the spillover effects in the returns and volatility of op and exr iv it modifies the var garch model to account for structural breaks obtained from the np procedure and v using the results obtained from the var garch model it examines the optimal weights of holding oil and foreign exchange fx assets and also computes the hedging ratios in the presence of oil risk based on the np and nl tests it finds robust structural breaks that coincide with the period of global fi nancial crisis as well as period of fx crisis in nigeria also it establishes a bidirectional returns and spillover transmission between oil and fx markets finally its findings reveal evidence of hedging effectiveness involving oil and fx markets in nigeria and thus the inclusion of oil into a diversified portfolio of fx will improve its risk adjusted return performance

trade credit and cross country predictable firm returns we investigate the role of trade credit links in generating cross border return predictability between international firms using data from 42 countries from 1993 to 2009 we find that firms with high trade credit located in producer countries have stock returns that are strongly predictable by the returns of their associated customer countries this behavior is especially prevalent for firms with high levels of foreign sales and is robust to a variety of controls to better understand this effect we develop an asset pricing model in which firms in different countries are connected by trade credit links the model has further predictions about this phenomenon including stronger predictability during periods of high credit constraints and high uninformed trading volume we find supportive empirical evidence for these results

are australia s tourism markets converging in this paper we make an important contribution towards understanding australia s tourism industry by examining whether or not australia s tourism markets are converging we define convergence as the reduction in tourist arrivals differential which is calculated as the difference between total visitor arrivals to a country and visitor arrivals from a particular tourist source market we analyze australia s thirteen major tourist source markets using monthly data over the period january 1991 to september 2003 to test for convergence we use the univariate and panel lagrange multiplier lm tests our main finding is that when we allow for two structural breaks in the data series both univariate and panel lm tests provide strong evidence for convergence of australia s tourism markets this implies that policies aimed at attracting visitor arrivals from any one of australia s thirteen tourist source markets will boost the volume of tourists coming into the country

optimal strategy for an integrated system with variable production rate when the freight rate and trade credit are both linked to the order quantity abstract this paper presents an integrated inventory model with variable production rate and price sensitive demand rate the buyer s purchases trade credit linked to the order quantity offered by the supplier in addition the buyer pays the freight charge according to a weight schedule this paper attempts to offer a best policy that aims at maximizing the joint total profit while the trade credit and freight rate are simultaneously linked to the order quantity the same policy also incorporates considerations on the optimal retail price order quantity and delivery decision we provide possible solutions for the buyer and the supplier to collaboratively agree on inventory control warehouse management transportation logistics delivery and billing our study demonstrates that significant profit increase for the entire supply chain can be achieved by linking both trade credit policy and freight rate policy to order quantities an algorithm is furnished to determine the optimal solution in addition numerical examples and sensitivity analysis are presented to illustrate the theoretical results

capital markets and firm organization how financial development shapes european corporate groups we investigate the effect of financial development on the formation of european corporate groups because cross country regressions are hard to interpret in a causal sense we exploit exogenous industry measures to investigate a specific channel through which financial development may affect group affiliation internal capital markets using a comprehensive firm level data set on european corporate groups in 15 countries we find that countries with less developed financial markets have a higher percentage of group affiliates in more capital intensive industries this relationship is more pronounced for young and small firms and for affiliates of large and diversified groups our findings are consistent with the view that internal capital markets may under some conditions be more efficient than prevailing external markets and that this may drive group affiliation even in developed economies this paper was accepted by bruno cassiman business strategy

changing effects of monetary policy in the u s evidence from a time varying coefficient var we estimate a time varying coefficient var model for the us economy to analyse i if the effect of monetary policy on output has been changing systematically over time and ii if monetary policy has asymmetric effects over the business cycle we find that the impact of monetary policy shocks has been gradually declining over the sample period 1962 to 2002 as some theories of the monetary transmission mechanism imply in addition our results indicate that the effects of monetary policy are greater in a recession than in a boom

tourism demand modelling and forecasting a review of recent research abstract this paper reviews the published studies on tourism demand modelling and forecasting since 2000 one of the key findings of this review is that the methods used in analysing and forecasting the demand for tourism have been more diverse than those identified by other review articles in addition to the most popular time series and econometric models a number of new techniques have emerged in the literature however as far as the forecasting accuracy is concerned the study shows that there is no single model that consistently outperforms other models in all situations furthermore this study identifies some new research directions which include improving the forecasting accuracy through forecast combination integrating both qualitative and quantitative forecasting approaches tourism cycles and seasonality analysis events impact assessment and risk forecasting

inflation dynamics during the financial crisis using confidential product level price data underlying the u s producer price index ppi this paper analyzes the effect of changes in firms financial conditions on their price setting behavior during the great recession that surrounds the financial crisis the evidence indicates that during the height of the crisis in late 2008 firms with weak balance sheets increased prices significantly relative to industry averages whereas firms with strong balance sheets lowered prices a response consistent with an adverse demand shock these stark differences in price setting behavior are consistent with the notion that financial frictions may significantly influence the response of aggregate inflation to macroeconomic shocks we explore the implications of these empirical findings within a general equilibrium framework that allows for customer markets and departures from the frictionless financial markets in the model firms have an incentive to set a low price to invest in market share though when financial distortions are severe firms forgo these investment opportunities and maintain high prices in an effort to preserve their balance sheet capacity consistent with our empirical findings the model with financial distortions relative to the baseline model without such distortions implies a substantial attenuation of price dynamics in response to contractionary demand shocks

taxing tourism and subsidizing non tourism a welfare enhancing solution to dutch disease abstract using a combined analysis of a general equilibrium and a partial equilibrium this study models the impacts of a combined policy tool based on taxing tourism and subsidizing non tourism in a tourism dependent destination the results suggest that such a policy tool while widely discussed in economics literature may not be suitable for a tourism destination as it might have adverse effects on local welfare

bank credit and trade credit evidence from natural experiments abstract prior studies find mixed evidence about the substitution relation between bank credit and trade credit in this paper using two bank interest rate deregulations in china we revisit the substitution hypothesis by examining how exogenous increases in the availability of bank credit affect trade credit we find that firms with higher credit risk increased their use of bank credit and reduced their use of trade credit after the 2004 bank interest rate ceiling deregulation whereas firms with lower credit risk increased their use of bank credit and reduced their use of trade credit after the 2013 bank interest rate floor deregulation our results provide supportive evidence for the substitution hypothesis that firms reduce their use of trade credit after the relaxation of bank credit and suggest that bank credit is more favorable short term financing than trade credit

trade credit and bank relationships evidence from pre world war i belgium we investigate the determinants of trade credit granted by suppliers in a historical environment which was characterized by high information asymmetries and strong banks focusing on the role of bank firm relationships our results which are based on a unique sample of 535 firm year observations for 125 listed belgian firms in four dominant industries in the period 1905 to 1909 are generally consistent with the financing role of trade credit they suggest that trade credit was a tool for channelling funds from firms with close bank ties to other firms which is consistent with findings for contemporary developing countries

trade credit and the effect of macro financial shocks evidence from u s panel data using disaggregated panel data we examine how firms change trade credit in response to a monetary tightening we find that both accounts payable and accounts receivable increase with tighter monetary policy implying that trade credit helps firms absorb the effect of a credit contraction further both s p 500 firms and a comparison group of smaller firms increase net trade credit accounts receivable minus payable making up for the reduced liquidity associated with tighter policy however we find no evidence that large firms play this role more actively than smaller firms

the lmdi approach to decomposition analysis a practical guide in a recent study ang energy policy 32 2004 compared various index decomposition analysis methods and concluded that the logarithmic mean divisia index method is the preferred method since the literature on the method tends to be either too technical or specific for most potential users this paper provides a practical guide that includes the general formulation process summary tables for easy reference and examples

complementary credit networks and macroeconomic stability switzerland s wirtschaftsring abstract the swiss wirtschaftsring economic circle credit network founded in 1934 provides residual spending power that is highly counter cyclical individuals are cash short in a recession and economize by greater use of wir credits a money in the production function mipf specification implies that transactions in wir form a stabilizing balance that makes up for the lack of ordinary currency thus unlike the ordinary money wir money is negatively correlated with gdp in the short run this implication is confirmed by empirical estimates such credit networks play a stabilizing role that should be considered in monetary policy

trade credit and the bank lending channel the bank lending channel theory posits that during monetary contractions banks restrict some firms loans thus reducing their desired investment independently of interest rates previous research finds small firms reduce while large firms accelerate loan growth we find that small firms increase trade credit a substitute credit indicating a strong loan demand it supports the bank lending channel they do not voluntarily cut bank loans since they increase a less desirable alternative using trade credit is propitious since unlike commercial paper investigated by previous researchers it is widely used by the small firms suffering the loan decline surprisingly we also find large firms increase trade credit a puzzle since they are typically assumed to have wide access to other credit using individual manufacturing firm data we find the reasons large firms use trade credit are financial in nature those without a bond rating increase trade credit that is without access to open market credit as relatively few firms have this mark of quality it implies that more firms are affected by credit constraints than previously believed

recent theoretical results for time series models with garch errors this paper provides a review of some recent theoretical results for time series models with garch errors and is directed towards practitioners starting with the simple arch model and proceeding to the garch model some results for stationary and nonstationary arma garch are summarized various new arch type models including double threshold arch and garch arfima garch charma and vector arma garch are also reviewed copyright 2002 by blackwell publishers ltd

in kind finance a theory of trade credit it is typically less profitable for an opportunistic borrower to divert inputs than to divert cash therefore suppliers may lend more liberally than banks this simple argument is at the core of our contract theoretic model of trade credit in competitive markets the model implies that trade credit and bank credit can be either complements or substitutes among other things the model explains why trade credit has short maturity why trade credit is more prevalent in less developed credit markets and why accounts payable of large unrated firms are more countercyclical than those of small firms

consumer credit liquidity and the transmission mechanism of monetary policy i introduction despite calls for its obsolescence the lending channel of the monetary transmission mechanism continues to generate interest among monetary economists recently den haan sumner and yamashiro 2007 find the loan supply effect is evident for consumer lending and real estate loans in data up to 2004 the loan supply effect or lending channel arises in the transmission mechanism if tight monetary policy forces banks to contract the supply of loans independent of a direct interest rate effect i e the liquidity effect and such a contraction has real effects for bank dependent borrowers although some such as perez 1998 and ashcraft 2006 have emphasized the lending channel s lack of relevance for the monetary transmission mechanism den haan sumner and yamashiro s 2007 results support a number of recent papers that offer detailed and disaggregated reasons why the channel is alive and well for certain lenders and borrowers for recent examples see nilsen 2004 and peek rosengren and tootell 2003 den haan sumner and yamashiro s 2007 findings suggest that the role of the consumer in the lending channel may be deserving of more attention 1 this paper asks whether consumer lending is or has become a significant component of the lending channel even if it was not thought crucial in lending channel studies published in the 1990s specifically i take a closer look at the statistical and possible economic significance of the consumer loan supply effect with disaggregated monthly consumer credit data from both commercial bank and nonbank sources and for the nonrevolving and revolving components of consumer credit from each source with this array of data i test the assumptions of the channel by considering whether households are forced to use more expensive nonbank credit as bank credit declines or that a household might switch into more costly revolving credit as installment loans decline to examine the consumer lending channel i estimate impulse response functions for the disaggregated consumer loan components mentioned above with the monthly data spanning 1968 2006 the sources of which are discussed later this strategy follows the examples of numerous lending channel studies that analyze the responses of disaggregated data to a monetary policy shock to discern evidence of the loan supply effect den haan sumner and yamashiro 2007 e g compare the behavior of commercial and industrial loans with real estate and consumer loans i follow the methods of previous studies in order to compare as closely as possible the results of this paper with the rich body of lending channel literature for robustness this paper estimates the impulse response functions from both a typical vector autoregression var model and using jorda s 2005 linear projection technique the latter method provides impulse response functions less prone to misspecification than in a var along with conditional standard errors to aid in the statistical inference of the responses see also jorda 2009 and further discussion in section iii finally for additional robustness i employ den haan sumner and yamashiro s 2007 identification strategy for isolating the loan supply effect in preview of the results ultimately the consumer credit data analyzed in this paper suggest that both the statistical and by extension the economic significance of the consumer loan supply effect is weak in the least the effect has weakened over time although monthly consumer credit data from commercial banks from 1968 through 2006 substantiate previous research on consumer lending matching the decline documented by gertler and gilchrist 1993 and den haan sumner and yamashiro 2007 after 1984 the responses of both nonrevolving and revolving consumer bank credit are not consistent with the lending channel instead both series increase similar to the result found by den haan sumner and yamashiro 2007 for commercial lending in fact total nonrevolving and revolving consumer credit increase for 2 yr after the monetary shock

bank lending standards and access to lines of credit this paper examines how changes in bank lending standards are related to the availability of bank lines of credit for private and comparable public firms overall we find that access to lines of credit is more contingent on bank lending standards for private than for public firms the impact of bank lending standards is however asymmetric while private firms are less likely than public firms to gain access to new lines when credit market conditions are tight we find no difference between public and private firms in terms of their use or retention of pre existing lines we also find that private firms without lines of credit use more trade credit when bank lending standards are tight which is suggestive of a supply effect overall the evidence suggests that credit crunches are likely to have a disproportionate impact on private firms however pre existing banking relationships appear to mitigate the impact of these contractions on private firms

modelling multivariate international tourism demand and volatility international tourism demand which is typically measured as tourist arrivals to australia has experienced dramatic fluctuations in recent years due to changes in the economic financial and political environment however variations in tourism demand specifically the conditional variance or volatility have not previously been investigated in the tourism literature an analysis of such volatility is essential for investigating the effects of shocks in tourism demand models this paper models the conditional mean and conditional variance of the logarithm of the monthly tourist arrival rate from the four leading tourism source countries to australia namely japan new zealand uk and usa using three multivariate static or constant conditional correlation ccc volatility models specifically the symmetric ccc mgarch model of rev econ stat 72 1990 498 symmetric vector arma garch model of econ theory 19 2003 278 and asymmetric vector arma agarch model of australasian meeting of the econometric society brisbane australia 2002 monthly data from july 1975 to 2000 are used in the empirical analysis the results suggest the presence of interdependent effects in the conditional variances between the four leading countries and asymmetric effects of shocks in two of the four countries this is an important result as it emphasizes interdependencies between major tourism source countries as well as the asymmetric effects of positive and negative shocks in tourism demand the estimated ccc matrices for the three models are not substantially different from each other which confirms the robustness of the estimates to alternative specifications of the multivariate conditional variance

modelling international tourism and country risk spillovers for cyprus and malta abstract small island tourism economies sites are developing sovereign countries that rely on tourism as a source of exports and need a consistent inflow of foreign investment in order to facilitate economic growth access to international capital markets helps sites smooth out their consumption over time while absorbing adverse domestic production shocks this paper provides a comparison of tourism growth country risk returns and their associated volatilities or uncertainty for 2 sites namely cyprus and malta monthly data are available for both international tourist arrivals and composite country risk ratings compiled by the international country risk guide icrg for the period may 1986 to may 2002 the time varying conditional variances of tourism growth and country risk returns for the 2 sites are analysed using multivariate models of conditional volatility empirical results show that cyprus and malta are complementary destinations for international tourists changes to tourism patterns in cyprus lead to changes to tourism patterns in malta hence tour operators and national tourism promotion authorities in cyprus and malta should collaborate closely in marketing and promoting joint tourism products moreover foreign entities interested in investing in the tourism sectors of cyprus and malta should consider investment projects that span a long period of time the performance of the tourism sector and the associated composite risk are independent of each other for the two countries however there is a direct relationship between the tourism sectors of cyprus and malta and their respective country risk settings

the financial accelerator in an evolving credit network we model a credit network characterized by credit relationships connecting i downstream d and upstream u firms and ii firms and banks the net worth of d firms is the driver of fluctuations the production of d firms and of their suppliers u firms in fact is constrained by the availability of internal finance proxied by net worth to the d firms the structure of credit interlinkages changes over time due to an endogeneous process of partner selection which leads to the polarization of the network at the aggregate level the distribution of growth rates exhibits negative skewness and excess kurtosis when a shock hits the macroeconomy or a significant group of agents in the credit network a bankruptcy avalanche can follow if agents leverage is critically high in a nutshell we want to explore the properties of a network based financial accelerator

are shocks to tourism transitory at business cycle horizons the goal of this article is to propose a theoretical framework based on a macro model that can be used to examine the relative importance of permanent and transitory shocks in explaining variations in tourist expenditure and gross domestic product gdp at business cycle horizons we estimate the model for australia our findings reveal a common trend and common cycle relationship among tourist expenditure and gdp and the variance decomposition analysis of shocks reveals that at business cycle horizons permanent shocks explain the bulk of the variations in output while transitory shocks explain the bulk of the variations in tourist expenditure

a transactions theory of trade credit use this paper derives a transactions theory of trade credit use from the motives of trading partners to economize on the joint costs of exchange in the formal analysis uncertain delivery time is used to generate a demand by firms to hold inventories of both goods and money trade credit is viewed as a mechanism that separates the exchange of money from the uncertainty present in the exchange of goods by forewarning both trading partners of the timing of money flows credit permits a reduction in precautionary money holdings and the more effective management of net money accumulations

regional energy efficiency evaluation in china a super efficiency slack based measure model with undesirable outputs abstract with the rapid development of global economy the demand for energy has increased significantly therefore energy efficiency improvement is essential for global energy and economic transformation in the chinese context study on the energy efficiency of various provinces can contribute to better understand china s energy utilization status and provide policy implications for improving china s energy utilization efficiency in this study based on the super efficiency slack based measure model with undesirable outputs the energy efficiency of china s 30 provinces in 2013 and 2014 was investigated then the energy efficiency of the eastern central and western china was compared and further discussed finally according to the results the relevant policy implications were put forward the results showed that china s overall energy efficiency had decreased while taking the undesirable outputs into consideration in addition eastern china had the highest energy efficiency and the energy efficiency of western china was relatively low the energy efficiency gap among china s provinces was still large therefore it was necessary to improve china s overall energy efficiency by developing targeted policies considering regional conditions

investigating causality in international air freight and business travel the case of australia few studies have examined the link between air cargo and business travel despite there being a generally accepted understanding that these two variables are inextricably related to each other thi

macroeconomic cycles and the stock market s reaction to monetary policy abstract this paper examines cyclical variation in the effect of fed policy on the stock market we find a much stronger response of stock returns to unexpected changes in the federal funds target rate in recession and in tight credit market conditions using firm level data we also show that firms that face financial constraints are more affected by monetary shocks in tight credit conditions than the relatively unconstrained firms overall the results are consistent with the credit channel of monetary policy transmission

trade credit and monetary policy transmission recently an increasing number of papers have investigated the role of trade credit as an external source of finance when analyzing the monetary transmission mechanism these works support the balance sheet channel view and at the same time explain the difficulties encountered when looking for evidence in favor of the bank lending channel this paper presents a survey of the emerging literature on the role of trade credit in the transmission of monetary policy trying to link it with the well established credit channel literature copyright blackwell publishers ltd 2005

the impact of the economic crisis and policy actions on ghg emissions from road transport in spain abstract road traffic is the greatest contributor to the carbon footprint of the transport sector and reducing it has become one of the main targets of sustainable transport policies an analysis of the main factors influencing greenhouse gas ghg emissions is essential for designing new energy and environmentally efficient strategies for the road transport this paper addresses this need by i identifying factors which influence the carbon footprint including traffic activity fuel economy and socioeconomic development and ii proposing a methodological framework which uses modified laspeyres index decomposition to analyze the effect of important drivers on the changes in emissions of road transport in spain during the period from 1990 to 2010 the results demonstrate that the country s economic growth has been closely linked to the rise in ghg emissions the innovative contribution of this paper is the special analysis of the changes in mobility patterns and ghg emissions during the economic crisis when for the first time spanish road traffic emissions decreased the reduction of road transport and improved energy efficiency has been powerful contributors to this decrease demonstrating the effectiveness of energy saving measures on the basis of this analysis several tailored policy recommendations have been suggested for future implementation

oil price fluctuation volatility spillover and the ghanaian equity market implication for portfolio management and hedging effectiveness abstract this study attempts to contribute to the literature on stock markets and energy prices by examining the dynamic volatility and volatility transmission between oil and ghanaian stock market returns in a multivariate setting using the recently developed var garch var agarch and dcc garch frameworks in turn the models results are used to compute and analyze the optimal weights and hedge ratios for oil stock portfolio holdings for comparison purposes and to put the paper more in the perspective of west africa the nigerian stock market is also included in the analysis our findings point to the existence of significant volatility spillover and interdependence between oil and the two stock market returns while spillover effects are stronger for nigeria the transmission of volatility is much more apparent from oil to stock than from stock to oil in the case of ghana also the study demonstrates evidence of short term predictability in oil and stock price changes through time and reveals that conditional volatility changes more rapidly as result of substantial effects of past volatility rather than past news shocks for all market returns moreover we show that there is a slightly more effective hedge in the two stock markets under the dcc garch framework our preferred model compared to the other two models although hedging effectiveness is much greater for ghana on the whole our findings for optimal hedge ratios are consistent with other studies and particularly the view that oil assets should be an integral part of a diversified portfolio of stocks and suggest that a better understanding of volatility links is crucial for portfolio management in the presence of oil price risk finally the existence of multivariate asymmetric effects and dynamic conditional correlations as revealed by the var agarch and dcc garch models make it clear that the assumptions of symmetric effects and constant conditional correlations are not supported empirically

modelling the uncertainty in monthly international tourist arrivals to the maldives abstract the indian ocean tsunami of 26 december 2004 made clear the devastating short term impact in lost lives as well as the longer term impact in lost livelihoods and an uncertain future tourism was one of the more obvious non human casualties of this tragic natural phenomenon tourism is the principal industry in the maldives accounting for more than 30 of gdp and more than 60 of foreign exchange earnings as over 55 of government tax revenue arises from tourism related taxes and monthly government budget financing depends largely on international tourist arrivals the monitoring of daily weekly and monthly international tourist arrivals is essential for fiscal policy evaluation over 600 000 tourists visited the maldives in 2004 this paper examines the time series properties of monthly international tourist arrivals to the maldives from eight major tourist source countries namely italy germany uk japan france switzerland austria and the netherlands from 1 january 1994 to 31 december 2003 monthly international tourist arrivals and the associated uncertainty are estimated for the eight principal tourist source countries univariate and multivariate time series models of conditional volatility or uncertainty are estimated and tested the conditional correlations are estimated and examined to ascertain whether there is specialization diversification or segmentation in the international tourism demand shocks from the major tourism source countries to the maldives the estimated static conditional correlations for monthly international tourist arrivals as well as for the respective transformed series were found to be significantly different from zero but also relatively low this indicates that the government of the maldives and the major tour operators that organise tourist vacations have to emphasise their marketing efforts independently of each tourist source country

environmental efficiency of land transportation in china a parallel slack based measure for regional and temporal analysis abstract as the second largest economic entity in the world china plays an important role in controlling global carbon dioxide co 2 emissions the land transportation sector including railway transportation and road transportation has been the most important source of emissions in china and the average co 2 emissions of land transportation were 529 31 million tons during the period 2009 2012 in this study a parallel slack based measure data envelopment analysis model is proposed which is used for evaluating the overall efficiency of the land transportation sector and individual efficiencies of the railway transportation and highway transportation subsectors at the same time considering co 2 emissions the empirical results lead to three conclusions a only anhui province is efficient each year during 2009 2012 b the environmental efficiency of the eastern area in china is the best followed by the central area with the western area being the worst c the performance of railway transportation is better than that of highway transportation these three conclusions lead to policy suggestions to promote highway transportation technological innovation and narrow the regional imbalances in land transportation this paper makes two main contributions the model advances improvements to methods used in the data envelopment analysis technique and also provides governments with a practical and yet easy to adopt perspective to implement land transportation performance measurement that aids in decision making

the source of fluctuations in money evidence from trade credit abstract this paper tests the relative importance of technology shocks and financial shocks as sources of fluctuations in money the model extends the theory of king and plosser 1984 by recognizing that both money and trade credit provide transactions services under certain conditions the co movements between money and trade credit can reveal the nature of the underlying shocks the empirical results strongly suggest that shocks to the financial system account for most of the fluctuations in money in the long run and at business cycle frequencies on the other hand technology shocks appear to be more important at seasonal frequencies

counter cyclical substitution between trade credit and bank credit abstract this paper explores the substitution relationship between trade credit and bank credit and its counter cyclic dynamic pattern through economic cycles we propose a new theoretical model using a mechanism design method which predicts the substitution between the two credits and its counter cyclic behavior subject to the condition of technological efficiency not less than one this model also helps explain the somewhat contradictory evidence in the literature on the relationship between the two credits we present empirical evidence on the substitution effect and its counter cyclic behavior by using a balanced panel data set of 284 listed chinese companies for the period 1998 2006 we further find that the substitution behaves counter cyclically with respect to the coincident macroeconomic indicator namely gdp our empirical analysis also has some new features such as treating endogeneity carefully and incorporating the lag effect of trade credit coherently

the benefits of lending relationships evidence from small business data this paper empirically examines how ties between a firm and its creditors affect the availability and cost of funds to the firm we analyze data collected in a survey of small firms by the small business administration the primary benefit of building close ties with an institutional creditor is that the availability of financing increases we find smaller effects on the price of credit attempts to widen the circle of relationships by borrowing from multiple lenders increases the price and reduces the availability of credit in sum relationships are valuable and appear to operate more through quantities rather than prices

an agency model to explain trade credit policy and empirical evidence this article explains trade credit policy based on the agency theory according to this theory we have developed an agency model based on the adverse selection and moral hazard phenomena arising from the relation between sellers and buyers this model has been estimated by using panel data methodology applied to uk companies our findings strongly support the model proposed we find that smaller firms those with a smaller proportion of fixed assets and those that are less profitable extend more trade credit whereas firms with a high proportion of variable costs and high percentage of bad debts extend less

trust and the provision of trade credit abstract state controlled listed firms in china receive preferential treatment when borrowing from commercial banks in contrast private controlled firms rely on informal finance and on trade credit we argue for and find evidence that private firms located in higher social trust regions use more trade credit from suppliers extend more trade credit to customers and collect receivables and pay payables more quickly these findings are enhanced for firms located in provinces with weak protection of property rights our results are robust to different measures of social trust legal environment and endogeneity overall our results show that social trust helps private firms overcome institutional difficulties in financing their activities

tourism demand and economic growth in spain new insights based on the yield curve abstract this study examines for the first time the dynamic relationship between tourism growth and expected macroeconomic conditions of the destination country using a dcc garch model the focus is on the spanish economy in which monthly tourist arrivals data from 1998 to 2017 were collected for five key origin countries and around the world to capture expected macroeconomic conditions the spanish term structure of interest rates is used the results suggest that the tourism expected economic growth relationship is time varying without any country specific differences in the behaviour of the correlations importantly positive correlations reportedly coincides with a regime shift in the spanish economy whereas negative correlations are evident when expected economic conditions are stable it is also shown that the aforementioned relationship is influenced by key geopolitical and economic events the 9 11 terrorist attacks global financial crisis and the ecb s quantitative easing programme finally policy implications derived from the main findings are discussed