production chains and aggregate output volatility abstract a production chain s aggregate output volatility depends upon a number of factors including the number of firms in a chain the management strategy of the firms the point at which products are differentiated lead times and the persistence of demand shocks the influence of these factors is quantified here with an n firm model of the production chain under pure production to stock pts the firms in the chain respond simultaneously to a demand shock producing a positive covariance across firms that raises aggregate volatility under production to order pto the chain s response to a demand shock is staggered but when demand shocks are persistent there is a catch up effect that raises the volatility of each firm s production above that of a firm that under pts nevertheless pto chains typically exhibit less volatility than pts chains thanks to the covariance effect further simulations demonstrate that the production chain stabilizes as the number of production cycles in an observation period increases

understanding the inventory cycle abstract careful examination of aggregate data from the u s and other oecd countries reveals that production and inventory behavior exhibit paradoxical features 1 inventory investment is strongly countercyclical at very high frequencies e g 2 3 quarters per cycle it is procyclical only at relatively low cyclical frequencies such as the business cycle frequencies e g 8 40 quarters per cycle 2 production is less volatile than sales around the high frequencies it is more volatile than sales only around business cycle or lower frequencies 3 unlike capital investment or gdp the bulk of the variance of inventory investment is concentrated around high frequencies rather than around business cycle frequencies these features of production and inventory behavior at the low and high frequencies provide a litmus test for inventory theories this paper shows that the stockout avoidance theory kahn j 1987 inventories and the volatility of production american economic review 77 667 679 has much better potential than other competing theories for explaining the seemingly paradoxical features of inventory fluctuations observed at different cyclical frequencies my analysis suggests that demand shocks are the main source of the business cycle

economic growth and multiskilled workers in manufacturing this article analyzes the causes of workers multiskill training and based on a survey of manufacturing plants and workers in korea concludes that multiskill capability arises from specific on the job training paid for by the firm i describe various aspects of multiskilled workers and set up a theoretical model in which multiskilled workers are assumed to be more productive than specialized workers for producing a new product but less productive for producing an existing product the model entails several implications including a positive cross sectional correlation between the proportion of multiskilled workers and the growth rate of labor productivity

correlations in price changes and volatility across international stock markets the short run interdependence of prices and price volatility across three major international stock markets is studied daily opening and closing prices of major stock indexes for the tokyo london and new york stock markets are examined the analysis utilizes the autoregressive conditionally heteroskedastic arch family of statistical models to explore these pricing relationships evidence of price volatility spillovers from new york to tokyo london to tokyo and new york to london is observed but no price volatility spillover effects in other directions are found for the pre october 1987 period article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

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

inventories as factors of production and economic fluctuations this paper presents a theory of inventory investment by stage of processing and uses it to examine the role of inventory investment in economic fluctuations the model in which inventories are treated as factors of production is estimated for four durable goods industries three conclusions emerge from the estimation first the estimates generally satisfy the theoretical restrictions second the elasticity of inventory demand with respect to output is high indicating an important accelerator effect finally the estimates suggest that shifts in the demand for inventories are an important source of economic fluctuations copyright 1989 by american economic association

commodity currencies and commodity prices modelling static and time varying dependence abstractthis article employs the copula approach to study the relationship between exchange rates and commodity prices for large commodity exporters using data for the nominal exchange rates of four commodity currencies australian canadian and new zealand dollars and norwegian krone against the us dollar and the relevant country specific commodity price indices constructed on a daily basis we find 1 a positive dependence between the values of commodity currencies and commodity indices i e a commodity index increases when a respective currency appreciates and provides several explanations for this finding 2 no major asymmetries in the tail dependence for most pairs of exchange rates and commodity indices and 3 a pronounced increase in the time varying tail dependence following the global financial crisis

international transmission of stock market movements this paper investigates the international transmission mechanism of stock market movements by estimating a nine market vector autoregression var system using simulated responses of the estimated var system we i locate all the main channels of interactions among national stock markets and ii trace out the dynamic responses of one market to innovations in another generally speaking a substantial amount of multi lateral interaction is detected among national stock markets innovations in the u s are rapidly transmitted to other markets in a clearly recognizable fashion whereas no single foreign market can significantly explain the u s market movements also the dynamic response pattern is found to be generally consistent with the notion of informationally efficient international stock markets

the ramaswami proposition and the choice among labor capital and technology flows abstract this paper examines the choice between labor and capital flows in the context of a one good two country model where the two countries differ in their levels of disembodied technology in contrast to the ramaswami proposition it is shown that a country may prefer an optimal outflow of its abundant factor to an optimal inflow of its scarce factor it is also shown that for sufficiently small differences in technology the labor rich technology inferior country will benefit more from an optimal outflow of labor than from a gift of superior technology

people flows in globalization the policy debate over globalization in the past decade has largely bypassed the international mobility of labor restrict trade and cries of protectionism resound suggest linking labor standards to trade and it s protectionism in disguise limit capital flows and the international monetary fund is on your back but restrict people flows that s just an accepted exercise of national sovereignty during the last few decades when most countries reduced barriers to trade in goods and services and liberalized financial capital markets most also sought to limit immigration in this essay i examine what we know about the causes and consequences of immigration i argue that people flows are fundamental to creating a global economy and that the interplay among immigration capital and trade is essential to understanding the way globalization affects economies i consider ways to reduce barriers to immigration that could improve the well being of workers around the world

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

choice between international capital and labor mobility for diversified economies abstract this paper ranks two international economic regimes free trade plus free international capital mobility and free trade plus free international labor mobility from the viewpoint of two countries which are under diversified production in a two factor two good general equilibrium model in which production technologies are internationally different it shows that a country s preference toward the two regimes is determined by relative factor endowments relative factor intensities and inter country difference in labor productivity and that under some circumstances both countries unanimously prefer the same regime but under other circumstances they prefer different regimes

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

the impact of the asian crisis on the behavior of us and international petroleum prices the strong long run relationships among the petroleum spot and futures prices have weakened after the asian crisis as manifested in less co integration among these prices in the post crisis period the directional causal relationships have either changed the direction as in the case of wti crude or weakened somewhat as in the case of nymex gasoline and heating oil these changes should complicate the job of those who try to benefit from predicting the movements of petroleum prices after the asian crisis in the international gasoline spot markets movements in the nymex gasoline price are found to precede movements in the gulf coast and rotterdam gasoline prices in the pre crisis period and the movements of these prices and those of the singapore price in the post crisis period implying that the nymex price is the gasoline leader in both periods the monday friday day of the week effect is only significant for the nymex gasoline 1 month and 3 month futures prices and the gulf coast gasoline spot economic and political shocks related to the spot prices have greater impacts on all prices than shocks related to the futures prices regardless of the petroleum type and the time period

international spillovers of u s financial volatility abstract we study the international spillover effects of u s bond and stock market volatility using a panel data set of seventeen developed countries we find significant spillover impacts of u s financial market volatility on international output growth volatility of u s bonds with longer maturities is shown to have a more significant impact on international output growth than volatility of u s bonds with shorter maturities regardless of the maturity of the bonds u s financial market volatility is shown to play a larger role statistically in explaining international output growth than a country s own financial market volatility

an empirical investigation of dynamic ordering policies adaptive base stock policy is a well known tool for managing inventories in nonstationary demand environments this paper presents empirical tests of this policy using aggregate firm level data first we extend a single item adaptive base stock policy in previous literature to a multi item case second we transform the policy derived for the multi item case to a regression model that relates firm level inventory purchases to firm level sales and changes in sales forecasts we focus on two research questions can the adaptive base stock policy explain cross sectional ordering behaviors under sales growth to the extent that the adaptive base stock policy fails to explain ordering behaviors under sales growth are there frictions that explain such a finding our empirical results demonstrate disparities in ordering behaviors between firms experiencing high and moderate sales growth contrary to theoretical prediction this implies that inventory purchases are a function of not only current sales and changes in sales forecast but also past sales growth as potential explanations for this departure from theoretical prediction we show that both future demand dynamics and inventory holding risks depend on past sales growth in addition we find that firms inventory holding risks may also be affected by purchasing constraints imposed by supply chain contracts our results provide managerial implications for practitioners and inform future theoretical research this paper was accepted by martin lariviere operations management

estimating value at risk of crude oil price and its spillover effect using the ged garch approach estimation has been carried out using garch type models based on the generalized error distribution ged for both the extreme downside and upside value at risks var of returns in the wti and brent crude oil spot markets furthermore according to a new concept of granger causality in risk a kernel based test is proposed to detect extreme risk spillover effect between the two oil markets results of an empirical study indicate that the ged garch based var approach appears more effective than the well recognized hsaf i e historical simulation with arma forecasts moreover this approach is also more realistic and comprehensive than the standard normal distribution based var model that is commonly used results reveal that there is significant two way risk spillover effect between wti and brent markets supplementary study indicates that at the 99 confidence level when negative market news arises that brings about a slump in oil price return historical information on risk in the wti market helps to forecast the brent market conversely it is not the case when positive news occurs and returns rise historical information on risk in the two markets can facilitate forecasts of future extreme market risks for each other these results are valuable for anyone who needs evaluation and forecasts of the risk situation in international crude oil markets

s s inventory policies in general equilibrium we study the aggregate implications of s s inventory policies in a dynamic general equilibrium model with aggregate uncertainty firms in the model s retail sector face idiosyncratic demand risk and s s inventory policies are optimal because of fixed order costs the distribution of inventory holdings affects the aggregate outcome in two ways variation in the decision to order and variation in the rate of sale through the pricing decisions of retailers we find that both mechanisms must operate to reconcile observations that orders are more volatile than and inventory investment is positively correlated with sales while remaining consistent with other salient business cycle characteristics the model exhibits strong amplification for some shocks and persistence to a limited extent

the cyclical behavior of the price cost markup countercyclical markups constitute the key transmission mechanism for monetary and other demand shocks in new keynesian models this paper tests the foundation of those models by studying the cyclical properties of the markup of price over marginal cost the first part of the paper studies markups in the aggregate economy and the manufacturing sector we use bils s 1987 insights for converting average cost to marginal cost but do so with richer data we find that all measures of markups are either procyclical or acyclical moreover we show that monetary shocks lead markups to fall with output the second part of the paper merges input output information on shipments to the government with detailed industry data to study the effect of demand changes on industry level markups industry level markups are found to be acyclical in response to demand changes

the choice between international labour and capital mobility in a dynamic model of north south trade abstract in a dynamic model of trade between two regions producing different products and having dissimilar labour market structures the impact of movements of capital and labour is examined it is shown that mobility of either factor of production benefits the full employment solow type economy in contrast an inflow of capital is detrimental to a labour surplus lewis type economy while labour outflow is beneficial

indivisible labor lotteries and equilibrium abstract this paper considers an economy where labor is indivisible and agents are identical although the discontinuity in labor supply at the individual level disappears as a result of aggregation it is shown that indivisible labor has strong consequences for the aggregate bahavior of the economy it is also shown that optimal allocations involve lotteries over employment and consumption

explaining investment dynamics in u s manufacturing a generalized s s approach we are grateful to olivier blanchard whitney newey james stock an editor three anonymousreferees and seminar participants at brown cepr champoussin chicago columbia econometric society meetings caracas and tokyo efcc harvard impa lse nber princeton rochester site toronto u de chile and yale for their comments financial support to caballero from the national science and sloan foundations and to engel from fondecyt grant 195 510 and the mellon foundation grant 9608 is gratefully acknowledged 2since plants entry is excluded from their sample these statistics are likely to represent lowerbounds on the degree of lumpiness in plants investment patterns 3we use the word project to emphasize the fact that the actual implementation of a projectmay cover more than a year observation realistic time to build aspects of investment are not incontradiction with the view that investment episodes are lumpy in nature 4 see chirinko 1994 for a survey of the empirical investment literature

the variability of aggregate demand with s s inventory policies this paper develops a general theory of the aggregate implications of s s inventory policies it is shown that s s policies add to the variability of demand with the variance of orders exceeding the variance of sales overall the s s theory contradicts the widely held notion that retail inventories act as a buffer protecting manufacturers from fluctuating sales in 1951 arrow harris and marschak 3 introduced the s s form of inventory policy the policies are designed for retailers of finished goods who face economies of scale when placing orders with their suppliers to pursue an s s inventory policy the retailer establishes a lower stock point s and an upper stock point s no order is placed until inventories fall to s or below whereupon they are restored to the maximum of s a general proof of the optimality of these s s inventory policies was provided by scarf 13 at the microeconomic level the model has been extensively investigated formulae are available to compute optimal policies e g ehrhardt 6 and these policies are xidely used in industry e g schwartz ed 14 in addition the model has been extended to increasingly complex demand environments e g karlin and fabens 11 in contrast little is known about the macroeconomic implications of s s policies several recent papers have begun to correct this deficiency akerlof has suggested that pursuit of constant threshold money holding policies of the s s variety might be responsible for the observed low short run income elasticity of the demand for money akerlof 1 and akerlof and milbourne 2 in the operations research literature ehrhardt schultz and wagner 7 analyzed the demand environment of a wholesaler supplying several retailers they required that the distinct retailers have independent sales ruling out the analysis of common factors in sales finally simulation results of blinder 4 suggested a role for the s s model in understanding retail sector inventories however the theoretical difficulties with the model remained unresolved blinder commented if firms have a technology that makes the s s rule optimal aggregation across firms is inherently difficult indeed it is precisely this difficulty which has prevented the s s model from being used in empirical work to date blinder 4 p 459 in this paper we present a general theory of the aggregate implications of s s policies our central finding is that s s policies add to the variability of demand with the variance of orders exceeding the variance of sales this result holds even in the presence of common factors in retail sales in addition a close connection

nonconvex costs and the behavior of inventories this paper explores one possible explanation for the apparent excess volatility of production relative to sales nonconvexities in the technology facing firms it is shown that if firms operate in a region of declining marginal costs then small shifts in demand can cause production to jump substantially estimates for six production to stock industries as well as the automobile industry suggest that all these industries behave as if they were operating in the region of nonconvex costs the results have important implications not only for inventory investment but also for the cyclical behavior of productivity and prices

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

long and plosser meet bewley and lucas abstract we develop an n sector business cycle network model a la long and plosser 1983 featuring heterogenous money demand a la bewley 1980 and lucas 1980 despite incomplete markets and a well defined distribution of real money balances across heterogeneous households the bewley lucas long plosser model remains analytically tractable with closed form solutions relying on the tractability we establish several important results i the economy s input output network linkages become endogenously time varying over the business cycle thanks to the endogenous time varying distribution of money demand and its influence on cross sector allocations of commodities ii despite flexible prices transitory money injections can generate highly persistent effects on sectoral output also thanks to the time varying distribution of money demand and its effect on input output coefficients iii although money injection is distributed equally across households by design the real effects are asymmetric across production sectors e g the impact of money is strongest on downstream sectors that purchase intermediate goods from the rest of the economy but weakest on upstream sectors that supply intermediate goods to the other sectors in sharp contrast to the case of sectoral technology shocks and government spending shocks our model also provides a micro foundation for the labor wedge and shows that movements in the distribution of money demand can explain the cyclical behavior of the labor wedge

inventories markups and real rigidities in menu cost models a growing consensus in new keynesian macroeconomics is that nominal cost rigidities rather than countercyclical markups account for the bulk of the real effects of monetary policy shocks we revisit these conclusions using theory and data on inventories we study an economy with nominal rigidities in which goods are storable our theory predicts that if costs of production are sticky and markups do not vary much in response to say expansionary monetary policy firms react by excessively accumulating inventories in anticipation of future cost increases in contrast if the data inventories are fairly constant over the cycle and in response to changes in monetary policy we show that costs must increase and markups must decline sufficiently in times of a monetary expansion in order to reduce firm s incentive to hold inventories and thus bring the model s inventory predictions in line with the data versions of the model consistent with the dynamics of inventories in the data imply that countercyclical markups account for a sizable fraction of the response of real variables to monetary shocks

do emerging markets matter in the world oil pricing system evidence of imported crude by china and india abstract this paper provides empirical evidence on the changing structure of world oil price system by identifying an additional driver emerging market factor we choose china and india as a representative of emerging markets to examine if the quantity of crude oil imported by china and india is significant in the existing oil pricing system kaufmann et al 2004 our data starts from january 2002 and ends in march 2010 which includes the oil shock of 2007 2008 we utilize cointegration and error correction model framework developed by engle granger 1987 and gregory hansen 1996 in the analysis our results indicate that demand from emerging markets has become a significant factor in the world oil pricing system since 2003 this result is significant as it lends empirical support to the widely held conjecture that the oil shock of 2007 2008 is a demand led shock hamilton 2009 our result also has significant policy implications that go beyond the oil shock the emerging market factor is there to stay and reflects the changing power between emerging and developed economies in the world economic system as a result of decades of fast economic development in the former it will certainly influence policy issues related to oil and beyond

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

international factor mobility and national advantage abstract in this paper we prove rigorously v k ramaswami s proposition that in bilateral trade between two countries sharing the same technology represented by a strictly concave production function with positive marginal productivities of capital and labor the policy active country can gain more by importing monopsonistically the relatively scarce factor than by placing monopolistic restrictions on the export of the relatively abundant one we show that what matters is not the location but the constraints within which maximization takes place hence the monopsonistic results can be replicated by appropriate export arrangements the analysis is extended to consider the welfare implications to the policy passive country

market efficiency of oil spot and futures a mean variance and stochastic dominance approach this paper examines the market efficiency of oil spot and futures prices by using both mean variance mv and stochastic dominance sd approaches based on the west texas intermediate crude oil data for the sample period 1989 2008 we find no evidence of any mv and sd relationships between oil spot and futures indices this infers that there is no arbitrage opportunity between these two markets spot and futures do not dominate one another investors are indifferent to investing spot or futures and the spot and futures oil markets are efficient and rational the empirical findings are robust to each sub period before and after the crises for different crises and also to portfolio diversification

on the choice between capital and labour mobility trade theorists since the pioneering work of kemp 1966 have considered the question of national advantage from international factor mobility by considering only one factor to be so mobile kemp analyzed elegantly the question of optimal policies in 2 x 2 x 2 model and showed that since monopoly power could exist in both the goods and factor markets in consequence of international capital mobility the optimal policy intervention would generally involve two policy instruments tariffs cum subsidies on goods and duties cum subsidies on international capital flows jones 1967 subsequently extended kemp s argument to the secondbest context by examining the optimal level of one of these instruments when the other was arbitrarily set at zero elsewhere in this issue brecher 1983 shows in an elegant and original contribution that the jones policy problem is in fact a third best rather than a second best problem as generally believed and that if only one of the tariff and capital mobility taxes cumsubsidies can be used it is generally possible to improve welfare further by admitting an altogether different domestic policy instrument namely a production or consumption tax cum subsidy as the case may be the research of bhagwati was supported by the german marshall fund grant no l 34015 the problem analyzed in the paper was posed in bhagwati 1979 and an early ingenious and neglected analysis in ramaswami 1968 was noted by bhagwati we have profited greatly from these contributions also from reading webb 1970 ramaswami 1970 and a recent paper of calvo and wellisz 1983 on this problem this result is in consonance with the results of bhagwati ramaswami and srinivasan 1969 for the case without international capital mobility but the consonance is intuitive only after the result was established for the case with international capital mobility

effects of nymex trading on ipe brent crude futures markets a duration analysis abstract recent developments in the energy markets and the surge and dip in crude oil prices over the last few years have renewed the interest in the workings of the two main price setting markets london s international petroleum exchange ipe and new york s mercantile exchange nymex the interaction of these two markets when both of them are open synchronous trading and when only london is open asynchronous trading is important in view of the fact that most participants take positions in both markets this paper looks at how london is affected by new york by analysing the transaction duration of the ipe brent futures contract both when the nymex wti futures contract is being traded and when nymex is closed using tick by tick data obtained from ipe transaction durations are found to form two distinctive and inverted u shaped patterns autoregressive conditional duration acd model first introduced by engle and russell is applied to the data parameters of ipe morning and afternoon are significantly different from each other underlining the dominant effects of nymex on ipe trading the results from the current analysis reinforce previous results by the authors which indicate that nymex is a leading price setter in crude oil futures prices and has a dominant effect on the ipe traded contracts

cross commodity news transmission and volatility spillovers in the german energy markets this study investigates volatility spillovers to electric power from large exogenous shocks in the prices of gas coal and carbon emission allowances in the german energy market our sample ranges from 2008 to 2016 and covers periods of different market conditions we use a general var bekk model and the volatility impulse response function methodology to analyze and evaluate the spillover effects special attention is paid to selecting an appropriate econometric volatility model our results show that the spillover effects often are of a significant magnitude and display considerable variation over time and across commodities coal and gas generate non negligible spillovers during almost the entire sample period carbon has very little impact during the early and late parts of the sample but generates significant and highly variable spillovers during the period from 2011 to the end of 2014

taking stock a critical assessment of recent research on inventories empirical and theoretical aspects of inventory behavior became hot topics in the 1950s and early 1960s no one seemed to notice the tension that was developing between the emerging macroeconomic and microeconomic views of inventories macroeconomists routinely thought of inventories as a destabilizing factor yet the prevailing micro theory viewed inventories as a stabilizing factor it was a fascinating question that was barely explored instead somewhat inexplicably interest in inventories dried up as if inventories were of minor economic significance and little intrinsic interest by the early 1980s then economists once again knew something they had known in the 1950s that inventory investment is of first order importance in business cycles but they were also beginning to realize that the standard production smoothing buffer stock model of inventories was in deep trouble this paper focuses on developments since that realization

metal volatility in presence of oil and interest rate shocks abstract this study uses three two factor volatility models of the garch family to examine the volatility behavior of three strategic commodities gold silver and copper in the presence of crude oil and interest rate shocks the results of the standard garch models suggest that gold and silver have almost the same volatility persistence which is greater than that of copper the cgarch estimates indicate that the short run transitory component of volatility converges to zero much faster for copper than for gold and silver in this sequence however the permanent volatility component demonstrates equally strong persistence in the long run for all three metals the egarch results suggest that the leverage effect is present and significant for copper only implying that gold and silver can be good investment in anticipation of bad times past oil shock does not impact all three metals similarly monetary policy and to leaser extent the oil shocks have calming effects on precious metals but not on copper if the t bill rate is used crises such as the 2003 iraq war heighten metal volatility these results have implications for derivatives valuations using gold as a reserve asset risk analysis and for the commodity exporting countries and commodity producing firms

international factor movements in the presence of a fixed factor abstract to the basic model of international factor mobility is added a third immobile factor unlike the basic model the factor flows that result from a policy of free mobility are now uniquely determined additionally a large variety of privately optimal national policies is predicted each dependent upon the country s endowment pattern and the fiscal instruments available to it several of the predicted policies e g subsidies paid to migrant factors and simultaneous restrictions on the export of both factors are incompatible with the basic model

measuring world business cycles using kalman filtering and dynamic factor analysis the authors decompose aggregate output consumption and investment for the g7 countries into factors that are 1 common across all countries and aggregates 2 common across aggregates within a country and 3 specific to each individual aggregate in quarterly data for the period 1970 through 1993 fluctuations in all aggregates contain world and country specific common components that are both statistically significant and quantitatively important the authors find that the world and country specific common components play different roles in different business cycle episodes for each of the seven countries and that either may be dominant during a particular episode copyright 1997 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

price discovery in energy markets abstract in this study we empirically analyze the price discovery process in the futures and spot markets for crude oil heating oil and natural gas using daily closing prices we use two different information share measures that are based on the methods proposed by gonzalo and granger 1995 and lien and shrestha 2014 both measures indicate that almost all the price discovery takes place in the futures markets for the heating oil and natural gas however for the crude oil the price discovery takes place both in the futures and spot markets as a whole our study indicates that futures markets play an important role in the price discovery process

some empirical evidence on the production level and production cost smoothing models of inventory investment the production smoothing model of inventories has long been the basic paradigm within which empirical research on inventories has been conducted the basic hypothesis embedded in this model is that inventories of finished goods serve primarily to smooth production levels in the face of fluctuating demand and convex cost functions however once we allow for shocks to technology and the costs of producing output firms will also use inventories to shift production from periods in which production costs are relatively high to periods in which production costs are relatively low in this sense inventories can serve to smooth production costs rather production levels in this paper we examine the empirical plausibility of the production level and production cost smoothing models of inventories our basic strategy is to derive and contrast a set of unconditional moment restrictions implied by these models in a way that minimizes the role of auxiliary assumptions regarding market structure and industry demand we find overwhelming evidence against the production level smoothing model and very little evidence against the production cost smoothing mode1 we conclude that the variance of production exceeds the variance of sales in most manufacturing industries because the production cost smoothing role of inventories is quantitatively more important than the production level smoothing role of inventories this abstract was borrowed from another version of this item

nonconvex factor adjustments in equilibrium business cycle models do nonlinearities matter recent empirical analysis has found nonlinearities to be important in understanding aggregated investment using an equilibrium business cycle model we search for aggregate nonlinearities arising from the introduction of nonconvex capital adjustment costs we find that while such costs lead to nontrivial nonlinearities in aggregate investment demand equilibrium investment is effectively unchanged our finding based on a model in which aggregate fluctuations arise through exogenous changes in total factor productivity is robust to the introduction of shocks to the relative price of investment goods

business cycle stylized facts and inventory behaviour new evidence for the euro area abstract the purpose of this paper is for the first time to use business tendency survey data first to identify new facts that are useful for the interpretation of the decline in the volatility of real activity in the euro area and second to test the inventory management hypothesis as an explanation for the great moderation in europe we present stylized facts from the business tendency data on series for inventories current production current orders and expected production for the euro area emphasizing the decline in the volatility of the series further we investigate whether the decline in inventory volatility can be attributed to an endogenous change in the persistence of shocks to the accumulation dynamics of inventories or to an exogenous change in the shocks hitting the inventory optimisation process our results at euro level generally indicate that there is no evidence of a break in the inventory accumulation process on the contrary the impact of exogenous shocks on inventory volatility appears to be steadily declining over time beginning from the mid 1980s

volatility transmission and volatility impulse response functions in crude oil markets abstract using daily data from july 2005 to february 2011 for wti dubai and brent futures contracts we employ a var bekk model to investigate crude oil markets integration on the second moment we also quantify the size and persistence of these connections through the analysis of volatility impulse response functions virf for two historical shocks namely the 2008 financial crisis and the bp deepwater horizon oil spill we observe that brent and dubai crude are highly responsive to market shocks whereas wti crude shows the least responsiveness of the three benchmarks which creates questions about its predominance as a benchmark crude oil furthermore we fit the density of the virf at different forecast horizons these fitted distributions are asymmetric showing that the probability of observing a large impact of a shock is lower while the probability of a relatively smaller impact is much higher finally we simulate the virf for a given probability of a random shock the virf shows that only a large shock derived from a smaller probability will result in an increase in expected conditional volatilities these results provide useful insights into the volatility transmission mechanism in crude oil markets and their associated risk estimation and may have significant implications for various market participants and regulators

trade inventories and s s the paper presents empirical tests of the s s model of inventory behavior using aggregate retail trade data estimation and testing are based on the probability distributions of inventories derived by caplin 1985 the excess volatility of retailers demand over their consumers demand and the forgetfulness of inventories under s s are emphasized test results indicate that the time series properties of deliveries and sales are consistent with s s and not a quadratic cost model finally when autoregressions of inventories are given an s s rather than a stock adjustment interpretation traditional empirical problems such as low speeds of adjustment are explained

stock market volatility and international business cycle dynamics evidence from oecd economies abstract how does a surprise movement in stock market volatility affect our forecasts of future output across countries this paper studies the time series and cross sectional responses of output to variation in stock market volatility across 27 countries over 40 years controlling for a number of country specific characteristics high levels of stock market volatility are detrimental to future output growth not only after financial crises as previously emphasized in the literature but also in non crisis periods output growth and interest rates react negatively to a random shock to volatility and revert to their means quickly thereafter moreover these results are robust after controlling for economic policy uncertainty the level of financial development and the direction of the market

the time varying volatility of macroeconomic fluctuations we investigate the sources of the important shifts in the volatility of us mac roeconomic variables in the postwar period to this end we propose the esti mation of dsge models allowing for time variation in the volatility of the structural innovations we apply our estimation strategy to a large scale model of the business cycle and find that shocks specific to the equilibrium condition of investment account for most of the sharp decline in volatility of the last two decades jel c51 e32

income and wealth heterogeneity in the macroeconomy how do movements in the distribution of income and wealth affect the macroeconomy we analyze this question using a calibrated version of the stochastic growth model with partially uninsurable idiosyncratic risk and movements in aggregate productivity our main finding is that in the stationary stochastic equilibrium the behavior of the macroeconomic aggregates can be almost perfectly described using only the mean of the wealth distribution this result is robust to substantial changes in both parameter values and model specification our benchmark model whose only difference from the representative agent framework is the existence of uninsurable idiosyncratic risk displays far less cross sectional dispersion and skewness in wealth than u s data however an extension that relies on a small amount of heterogeneity in thrift does succeed in replicating the key features of the wealth data furthermore this extension features aggregate time series that depart significantly from permanent income behavior

inventories and the volatility of production a stylized fact associated with inventory behavior is that the variance of production exceeds the variance of sales this paper presents a model of production decisions with demand uncertainty that incorporates no nnegativity constraints on inventories even with no productivity shocks optimal behavior by the firm is consistent with this stylized fact either if demand exhibits positive serial correlation or if the firm can backlog excess demand the reason is that a demand shock affects both the actual inventory level given unchanged production and the desired level production must replenish the stock and adjust to the new desired level copyright 1987 by american economic association

hourly volatility spillovers between international equity markets abstract this paper examines the timing of mean and volatility spillovers between new york and london equity markets using an arch model it is found that the evidence of volatility spillovers between these markets is minimal and have a duration which lasts only an hour or so the most significant effects surround the movement of share prices around the new york opening but these results are not strong several new arch models are estimated including an asymmetric or leverage model and a non linear model which allows big shocks to have a different impact from small shocks

differentiated assets an experimental study on bubbles i introduction the bubble and crash phenomenon in experimental asset markets first reported in smith suchanek and williams 1988 has been shown to be rather robust to various manipulations in the experimental design see e g king et al 1993 porter and smith 1995 van boening williams and lamaster 1993 1 in all these markets an asset with a life of 15 or 30 periods is traded the asset pays a common dividend to all holders at the end of each trading period and the dividend structure is common knowledge to all traders rather than tracking the fundamental value which is derived from the expected dividend for the number of periods remaining prices tend to exhibit a prolonged boom and crash pattern in a vast majority of the markets studied in the literature note that the bubble and crash phenomenon has also been observed in a setting where two assets are traded in two separate double auction markets simultaneously fisher and kelly 2000 study rate of return parity in such an environment the main treatment variable that they consider is the expected dividends of the assets in some treatments the two assets pay exactly the same expected dividend whereas in some others one asset pays twice as much they find that bubbles not only exist in both markets but also positively correlate with each other childs and mestelman 2006 manipulate the expected dividend as well as the variance of the dividends their findings are consistent with fisher and kelly s in that bubbles occur in both markets and that rate of return parity receives less support as the assets become more differentiated the main objective of this paper is to continue the research line initiated by fisher and kelly 2000 and investigate if and how differences in assets characteristics affect investors trading strategies and as a result the magnitude of bubbles motivated by empirical evidence which suggests that bond markets are in general less susceptible to the dramatic boom and crash price pattern we first construct a bond market like laboratory environment where investors are free to trade assets that can be differentiated not only from their dividend payments but also from their maturity periods 2 the research questions we ask are as follows does the existence of multiple assets that can be differentiated from their dividends and or maturities help reduce mispricing and if so why to tackle these questions we adopt a 2 x 2 design in which an asset called x has a 30 period life duration and pays on average 7 francs per period as a dividend these intrinsic characteristics are fixed in all treatments the characteristics of an alternative asset called y on the other hand vary depending on the treatment it pays either the same expected dividend as x or twice as much in terms of its life duration it lasts either 30 or 15 periods as a result we have the following four treatments for this set of the experiment sdursdiv baseline sdurddiv ddursdiv and ddurddiv where s d dur and div stand for same different duration and dividend respectively if we assume that traders have common and rational expectations we would expect prices to follow fundamental values in both markets but since the evidence of the bubble and crash phenomenon is so overwhelming in the literature we feel that evaluating a hypothesis of no bubbles is a bit insensitive instead we propose the following hypothesis for evaluation hypothesis 1 price deviations from the fundamental in either x or y market do not depend on if and how the two assets are intrinsically different we also evaluate the relative price between the two assets against the prediction of rate of return parity as in fisher and kelly 2000 and childs and mestelman 2006 the null hypothesis that we advance for evaluation is stated as follows hypothesis 2 deviations from the prediction of rate of return parity do not depend on if and how the two assets are intrinsically different

optimal policy toward international factor movements with a country specific factor abstract this paper examines the optimal taxation of factor movements in a three factor model where two factors are potentially mobile results emphasize the role of substitutability or complementarity between factors in determining the optimal pattern of factor flows in particular a result analogous to the ramaswami result on the desirability of factor importing over factor exporting will hold if factors are complements but may not hold if they are substitutes also a capitalexporting country that cannot tax imported labor should allow labor imports when capital and labor are substitutes but may not allow labor imports if they are complements

is stock price volatility increasing several different measures of stock price volatility over the period from march 1885 through october 20 1989 indicate that volatility has not increased substantially if one looks at the entire period and that volatility today is much less than it was in the 1930s this holds true whether one considers daily movements within a decade monthly movements within a decade or daily movements over the whole period daily market volatility in the 1980s has been greater than in any decade since 1950 however volatility was unusually low in the 1950s and 1960s furthermore the increase in daily volatility in the 1980s disappears when volatility is measured as month to month percentage changes our perception of volatility is a function of the benchmark used to make comparisons and the time period over which volatility is measured

modeling and forecasting the volatility of petroleum futures prices we investigate volatility models and their forecasting abilities for three types of petroleum futures contracts traded on the new york mercantile exchange west texas intermediate crude oil heating oil 2 and unleaded gasoline and suggest some stylized facts about the volatility of these futures markets particularly in regard to volatility persistence or long memory properties in this context we examine the persistence of market returns and volatility simultaneously using the following arfima garch class models arima garch arfima garch arfima igarch and arfima figarch although the arfima figarch model better captures long memory properties of returns and volatility the out of sample analysis indicates no unique model for all three types of petroleum futures contracts suggesting that investors should be careful when measuring and forecasting the volatility risk of petroleum futures markets

factor content functions and the theory of international trade this paper introduces the concepts of direct and indirect factor trade utility functions and uses them to derive marshallian and hicksian factor content functions which express the quantities of factors of production embodied in net imports as functions of the exogenous variables facing the economy the properties of these functions are discussed and they are used to derive a number of new results in particular it is shown that in certain circumstances the existence of gains from trade is sufficient for the heckscher ohlin theorem to hold in its factor content form

inventories and optimal monetary policy in a small open economy abstract we study how inventory investment affects the design of optimal monetary policy in a new keynesian small open economy model we find that under producer currency pricing when the intratemporal elasticity of substitution is smaller than 1 optimal monetary policy in our model with inventories is similar to a standard model without inventories however when the intratemporal elasticity of substitution is larger than 1 inventory investment increases the importance of nominal exchange rate stabilization relative to a standard model without inventories the importance of nominal exchange rate stabilization increases with the intratemporal elasticity of substitution

understanding the evolution of world business cycles abstract this paper studies the changes in world business cycles during the period 1960 2003 we employ a bayesian dynamic latent factor model to estimate common and country specific components in the main macroeconomic aggregates output consumption and investment of the g 7 countries we then quantify the relative importance of the common and country components in explaining comovement in each observable aggregate over three distinct time periods the bretton woods bw period 1960 1 1972 2 the period of common shocks 1972 3 1986 2 and the globalization period 1986 3 2003 4 the results indicate that the common g 7 factor explains on average a larger fraction of output consumption and investment volatility in the globalization period than it does in the bw period

are international trade and factor mobility substitutes abstract this paper analyzes whether factor flows and commodity trade are substitutes or complements i e whether increasing the level of one impacts adversely or favorably on the volume of the other it derives with the aid of a new general equilibrium framework of the world which allows possible differences in factor endowments tastes and technologies across the two trading countries the necessary and sufficient condition for substitutability and complementarity the results are then further examined in two special cases a survey of different concepts of substitutability and complementarity which have appeared in the literature is also given

volatility transmission and volatility impulse response functions in european electricity forward markets using daily data from march 2001 to june 2005 we estimate a var bekk model and find evidence of return and volatility spillovers between the german the dutch and the british forward electricity markets we apply hafner and herwartz 2006 journal of international money and finance 25 719 740 volatility impulse response function virf to quantify the impact of shock on expected conditional volatility we observe that a shock has a high positive impact only if its size is large compared to the current level of volatility the impact of shocks are usually not persistent which may be an indication of market efficiency finally we estimate the density of the virf at different forecast horizon these fitted distributions are asymmetric and show that extreme events are possible even if their probability is low these results have interesting implications for market participants whose risk management policy is based on option prices which themselves depend on the volatility level

input and output inventories abstract this paper presents a new stage of fabrication inventory model with delivery usage and stocks of input materials that distinguishes between gross production and value added it extends the linear quadratic model of output inventories by adding the joint determination of input inventories empirically input inventories are more important than output inventories maximum likelihood estimation of the decision rules yields correctly signed and significant parameter estimates using data for nondurable and durable goods industries but the overidentifying restrictions of the model are rejected the value added specification dominates because adjustment costs on materials usage are critical to fitting the data

what rate of return can you reasonably expect or what can the long run tell us about the short run conventional studies of long run returns on capital market assets because of changes in valuation between the starting date and the ending date obscure the basic return each asset earns consequently both absolute returns and measured risk premiums are distorted the basic return can be extracted by selecting widely separated dates with identical valuation levels over nearly 200 years the analysis for equities produced 63 episodes averaging 35 years with a mean nominal basic return of 9 6 percent and standard deviation of 1 6 percent 63 bond episodes averaging 43 years produced a mean nominal basic return of 4 9 percent and standard deviation of 2 3 percent equities revealed a tendency to regress to the mean over time but no such tendency was apparent in the bond data thus long run equity returns were more predictable than long run bond returns this conclusion applies with even greater force to real returns

the changing nature of stock and bond volatility this article examines the changing nature of u s stock and bond risk from 1871 through 2000 and the implications for asset allocation using geometric means and standard deviations we examine nominal and inflation adjusted monthly returns over nonoverlapping 5 year periods as well as annual returns over periods of approximately 25 years and we document how stock and bond volatility changed over the period our analysis suggests that the relative change in the volatility of stocks and volatility of bonds over the past 50 years has increased the importance of stocks in asset allocation the change is even more pronounced when inflation is considered

investor induced contagion during the banking and european sovereign debt crisis of 2007 2012 wealth effect or portfolio rebalancing this study investigates the way a crisis spreads within a country and across borders by testing the investor induced contagion hypothesis through the liquidity channel on stock bond relationships of the us and five european countries before and during the global banking and european sovereign debt crisis of 2007 2012 we provide evidence consistent with the wealth effect as a source of contagion for the majority of countries nevertheless we uncover evidence of investor induced contagion sourced by the portfolio rebalancing effect for correlations involving spanish and italian bonds during the debt crisis further we find that tight narrow credit spreads reduce magnify the wealth and portfolio rebalancing effects which are offset by the opposite effects of risk aversion amongst investors a dynamic that is not restricted to crisis periods

lumpy investment lumpy inventories the link between the physical micro environment frictions and heterogeneity and the macroeconomic dynamics in general equilibrium macro models is influenced by the details of how exactly general equilibrium closes such a model we make this general observation concrete in the context of the recent literature on how important nonconvex capital adjustment costs are for aggregate investment dynamics specifically we introduce inventories into a two sector lumpy investment model we find that with inventories nonconvex capital adjustment costs dampen and propagate the reaction of investment to shocks the initial response of fixed capital investment to productivity shocks is 50 higher with frictionless adjustment than with the calibrated capital adjustment frictions once inventories are introduced the reason for this result is that with two means of transferring consumption into the future fixed capital and inventories the tight link between aggregate saving and fixed capital investment is broken in contrast in the case the literature has focussed on with only one type of capital good to save and invest in fixed capital investment dynamics are more tightly linked to consumption dynamics which in turn are determined by the euler equation of a representative household which holds regardless of whether fixed capital investment is costly or not

multiskilling technical change and the japanese firm worker cooperation with technical change accounts for much of the success of large japanese firms the authors argue t hat this cooperative attitude is due in large part to multiskilling by training workers in more than one job a firm assures its workers th at they will not be made worse off by labor saving innovations in a simple model the authors show that multiskilling leads to an endoge nous distinction between permanent and temporary workers wages that are attached to the worker rather than the job and comparative advantage in process style innovations there is even a role for the company song copyright 1993 by royal economic society

is the 2007 u s sub prime financial crisis so different an international historical comparison the first major financial crisis of the twentyfirst century involves esoteric instruments unaware regulators and skittish investors it also follows a well trodden path laid down by centuries of financial folly is the special prob lem of sub prime mortgages really different our examination of the longer historical record which is part of a larger effort on cur rency and debt crises finds stunning qualitative and quantitative parallels across a number of standard financial crisis indicators to name a few the run up in us equity and housing prices that graciela l kaminsky and reinhart 1999 find to be the best leading indicators of crisis in countries experiencing large capital inflows closely tracks the average of the previous 18 post world war ii banking crises in industrial countries so too does the inverted v shape of real growth in the years prior to the crisis despite widespread concern about the effects on national debt of the tax cuts of the early 2000s the run up in us public debt is actually some what below the average of other crisis episodes in contrast the pattern of us current account deficits is markedly worse at this juncture the book is still open on how the current dislocations in the united states will play out the precedent found in the aftermath of other episodes suggests that the strains can be quite severe depending especially on the initial degree of trauma to the financial system and to some extent the policy response the average drop in real per capita output growth is over 2 percent and it typically takes two years to return to trend for the five most catastrophic cases which include episodes in finland japan

energy markets volatility modelling using garch abstract this paper investigates the empirical properties of oil natural gas and electricity price volatilities using a range of univariate and multivariate garch models and daily data from wholesale markets in the united states for the period from 2001 to 2013 the key contribution to the literature is the estimation of trivariate bekk and dcc models that allow us to observe spillovers and interactions among energy markets we evaluate and compare the performance of univariate and multivariate models with a range of diagnostic and forecast performance tests and assess forecasting performance and conditional correlation dynamics

what do inventories tell us about news driven business cycles there is widespread disagreement over the quantitative contribution of news shocks to business cycle fluctuations this paper provides a simple identifying restriction based on inventory dynamics that tightly pins down this contribution structural models predict that finished good inventories should fall when there is an increase in consumption and investment induced by news shocks a structural var with these sign restrictions indicates that news shocks account for at most 20 percent of output volatility since inventories comove positively with consumption and investment in the data shocks that generate negative comovement cannot account for the bulk of fluctuations

a theory of on the job learning in this paper the author assumes that a junior worker learns on the job from senior workers the worker s earnings are equal to his value of marginal product minus the tuition to his senior workers plus the teaching reward from his junior workers the slope of the experience earnings profile decreases with the employment growth rate the earnings of an inexperienced worker of an unusually large cohort tend to be higher than the normal level finally the author shows that his model generates an age earnings profile which is increasing concave in age and declining near to retirement copyright 1997 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

dynamic s s economies in this paper the authors provide a framework to study the aggregate dynamic behavior of an economy where individual units follow s s policies and are subject to aggregate and idiosyncratic shocks they characterize structural and stochastic heterogeneities that ensure convergence of the economy s aggregate to that of its stochastic frictionless counterpart determine the speed at which convergence takes place and describe the transitional dynamics of this economy they study the evolution of the economy s aggregate and the evolution of the difference between this aggregate and that of the difference between this aggregate and that of an economy without microeconomic friction where the latter pertains to a situation where individual units adjust with no delay to all shocks copyright 1991 by the econometric society

price discount inventories and the distortion of wti benchmark abstract applying a rolling estimation to the hasbrouck information share model this study investigates the changing status of wti benchmark over time results show the ability of wti in reflecting market conditions decreases sharply and wti s efficiency in processing information has been surpassed by brent s since the second half of 2004 in the short run the wti distortion is related to its price discount problem but the distortion cannot be indicated by contangos in the long run wti s price discount problem coexists with a positive forward curve and both have harmed the price discovery role of wti the rising inventories in cushing significantly deteriorate wti s ability in serving as a world benchmark

inventories inflation dynamics and the new keynesian phillips curve abstract we introduce inventories into an otherwise standard new keynesian model and study the implications for inflation dynamics inventory holdings are motivated as a means to generate sales for demand constrained firms we derive various representations of the new keynesian phillips curve with inventories and show that one of these specifications is observationally equivalent to the standard model with respect to the behavior of inflation when the model s cross equation restrictions are imposed however the driving variable in the new keynesian phillips curve real marginal cost is unobservable and has to be proxied by for instance real unit labor cost an alternative approach is to impute marginal cost by using the model s optimality conditions we show that the stock sales ratio is linked to marginal cost we also estimate these various specifications of the new keynesian phillips curve using gmm we find that the predictive power of the inventory specification at best approaches that of the standard model but does not improve upon it

inventories and the business cycle an equilibrium analysis of s s policies we develop an equilibrium business cycle model where nonconvex delivery costs lead firms to follow s s inventory policies calibrated to postwar us data the model reproduces two thirds of the cyclical variability of inventory investment moreover it delivers strongly procyclical inventory investment greater volatility in production than sales and a countercyclical inventory to sales ratio our model challenges several prominent claims involving inventories including the widely held belief that they amplify aggregate fluctuations despite the comovement between inventory investment and final sales gdp volatility is essentially unaltered by inventory accumulation because procyclical inventory investment diverts resources from final production thereby dampening fluctuations in sales

superexogeneity and the dynamic linkages among international equity markets abstract in this article we combine the johansen procedure for cointegration testing with tests of weak exogeneity and invariance in order to ascertain whether a system of equity markets is characterized by superexogeneity superexogeneity is rejected for the system comprised of stock indices of the us uk germany and japan this finding implies that agents participating in these financial markets are forward looking all markets are endogenous in our system and the assumption of stability of the asset demand function is questionable

an analysis of the s p 500 index and cowles s extensions price indexes and stock returns 1870 1999 this article provides a consistent monthly stock price index from january 1871 through 1999 the broadly defined s p weekly index is reconstructed from 1918 and carried forward as the s p 500 composite index to the present cowles s monthly index is improved in order to provide month end estimates from february 1885 cowles s estimates of dividends and earnings for this index from 1871 are reevaluated and are carried forward until spliced to the s p daily estimates that began in 1957 the result is a monthly index of prices dividends and earnings based on consistent definitions over a period of 130 years

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

what are the macroeconomic effects of high frequency uncertainty shocks this paper evaluates the effects of high frequency uncertainty shocks on a set of low frequency macroeconomic variables that are representative of the u s economy rather than estimating models at the same common low frequency we use recently developed econometric models which allows us to deal with data of different sampling frequencies

the economic analysis of international migration a generalization this note examines and extends the following two propositions that finite international factor movements are beneficial to the nationals of the destination country but detrimental to those left behind in the source country and that marginal movements do not have such welfare effects using some newly developed techniques the propositions are found to be valid irrespective of the number of goods and factors if the economy starts from the autarky position when only one factor can flow the gain of the nationals loss of those left behind will be positively dependent upon the amount of inflow outflow however if goods trade and or factor flow are initially present the propositions are in general not true summary in fre excerpt