quantile dependence of oil price movements and stock returns we examine the impact of quantile and interquantile oil price movements on different stock return quantiles by testing the hypothesis of equality in conditional and unconditional quantile distribution functions of stock returns we capture quantile dependence under different stock market conditions while taking into account different kinds of oil price movements by computing unconditional and conditional stock return quantiles through marginal models for stock returns and copula functions for oil stock dependence analyzing stock return data for three developed economies the us the uk and the european monetary union and the five brics countries brazil russia india china and south africa for 2000 to 2014 our results indicate that 1 the impact of extreme upward and downward oil price changes on upper and lower stock price quantiles was much smaller before compared to after crisis onset 2 the downside spillover effects were larger than the upside spillover effects for most countries before crisis onset and for all countries after crisis onset and 3 small positive and negative oil price movements had no impact on any stock return quantiles neither before nor after crisis onset

an investigation into the interdependence of global water indices a var analysis we investigate the extent and manner of equity price interdependence among four water indices world water index s network global water index s net s p global water index s p and msci acwi water utilities index msci acwi using the vector autoregression var framework for the period 2004 2014 we also employ methods of granger causalities variance decomposition and impulse responses we find granger causality significance between s net and msci acwi and s net and s p indices at the 1 level of significance suggesting that the indices are significantly linked further s net is the most influential index amongst them in the forecast variance that can be accounted by s net at level of 55 75 our study indicates that the four water indices are interdependent and related so the water indices are influenced by movements in the other water indices

quantile relationship between oil and stock returns evidence from emerging and frontier stock markets abstract this study extends the literature on the asymmetric effect of oil price fluctuations on emerging and frontier stock markets via a quantile on quantile approach that allows to capture normal and extreme states in each respective market we find that oil risk exposures are heterogeneous across the emerging and frontier stock markets and indeed display quantile specific characteristics observing uniform patterns of oil risk exposures within groups of countries that include both importers and exporters we argue that oil price risk serves as a systematic risk proxy capturing the market s concerns regarding global growth expectations rather than a simple import export commodity our findings suggest that signals from the oil market either via measures of trading activity in oil futures or changes in basis values could be utilized by policy makers to improve models of stock market volatility

demand for rural tourism the effects of quality and information the development of rural tourism is regarded as a promising diversification strategy especially for lagging and mountainous areas of the european union research concerning the demand and or supply of rural tourism services has been limited within the agricultural economics domain despite the significance attached to rural tourism by various rural development policy measures and initiatives the article examines the expenditure behavior of rural tourists within a framework of demand for composite heterogeneous goods the proposed framework captures the quality of the tourism experience as the commodity s unit value a quantifiable economic variable examines its effects on expenditures and allows for the estimation of elasticity in prices regarding expenditure and quantity empirical analysis is facilitated by a survey recording the expenditure behavior of 465 tourists in two rural and lagging areas of greece the quality of the tourism experience is significantly and positively affected by the income the source from which information about the trip is retrieved internet newspapers as well as general press and special travel press and by the amount of information sought by the consumer prior to the trip in turn the quality of the tourism experience is the major endogenous factor that positively influences expenditures for rural tourism further research is needed before evidence provided in this work can be used to draw policy conclusions and recommendations

oil price shocks economic policy uncertainty and industry stock returns in china asymmetric effects with quantile regression abstract this paper investigates the impact of crude oil shocks and china s economic policy uncertainty on stock returns at different locations on the return distributions based on monthly data from 1995 1 to 2016 3 we address this issue by employing the quantile regression technique this approach enables a more detailed investigation in different market circumstances namely bearish normal and bullish markets empirical results indicate that the effects of oil price shocks and economic policy uncertainty are asymmetric and highly related to stock market conditions moreover both the nexus of oil and economic policy uncertainty stock are changed at the onset of a crisis specially rising oil prices have greater negative effects on stock returns when stock markets are bullish extreme higher quantiles before a crisis whereas the effects are significantly positive under different market conditions after the onset of the crisis falling oil prices lower stock returns when stock markets are bullish and normal before the crisis whereas lower stock returns under different market conditions except extreme bullish after the onset of the crisis these findings might be related to the optimistic or pessimistic investor sentiments and investors might become more frightened after the crisis

does oil move equity prices a global view many studies indicate that oil price shocks have an adverse effect on real output and hence an adverse effect on corporate profits where oil is used as a key input the present study examines whether and to what extent the adverse effect of oil price shocks impacts stock market returns to this end we analyse 35 datastream global industry indices for the period from april 1983 to september 2005 our findings indicate that oil price rises have a negative impact on equity returns for all sectors except mining and oil and gas industries generally these results are consistent with economic theory and evidence provided by previous empirical studies little evidence of any asymmetry is detected in the oil price sensitivities in light of our findings we recommend that international portfolio investors consider hedging oil price risk

food scandals media attention and habit persistence among desensitised meat consumers abstract consumer reactions to food scandals and their resulting economic implication are well documented however studies have typically neglected the roles that consumption habits and media usage behaviours may play in explaining household s response to food safety incidences in this study we develop a model of heterogeneous media usage intensity information impacts and decay over time to estimate household s behavioural responses to the 2011 german dioxin scandal we are specifically interested in determining the degree of heterogeneity in household s short term adjustments demand patterns versus persisting long term consumption habits of meat products chicken and pork directly affected by the incident the empirical analysis employs detailed household level retail scanner and media usage data collected by the gfk consumer scan panel for a total of 16 023 households over a period of 104 calendar weeks results of dynamic correlated random effect tobit models indicate an important role of unobserved heterogeneity in explaining household responses during the food scandal we find strong empirical evidence supporting our hypothesis that short term marginal adjustments in demand and propensity to buy affected products triggered by the negative impact of household media exposure were over compensated by habit persistence the question of how consumption patterns evolve over time in the presence of food scandals is expected to be of interest for both policy makers and the food industry the potential biases in the projection of economic impacts resulting from simplifying assumptions of household s response patterns to a proliferating numbers of food safety incidences has implications for risk management and public policy

oil shocks and oil stocks evidence from the 1970s the present paper examines the returns to 29 oil companies listed on the new york stock exchange during the period surrounding the oil shock of 1973 the returns are decomposed into production refining foreign and domestic operations the hypothesis that domestic price controls benefitted refiners is tested finally the hypothesis that oil price risk was priced in the sense of the arbitrage pricing theory is tested

oil and stock market momentum abstract this study provides a novel perspective to the oil stock market nexus by examining the predictive ability of oil return and volatility on stock market momentum in china we find that oil return volatility serves as a strong predictor of industry momentum even after controlling for stock market state volatility and key macroeconomic variables we argue that the predictive ability of oil over momentum payoffs is driven by time varying investor sentiment that relates to excess buying pressure on winner stocks during uncertain times captured by oil return volatility our tests also show that an oil based momentum strategy wherein the investor conditions the trade on the state of oil return volatility yields significant abnormal returns more than double that could be obtained from the conventional momentum strategy in short the findings suggest that oil market dynamics can contribute to stock market inefficiencies in such a way that these inefficiencies create significant abnormal profits for active managers

oil prices inflation and interest rates in a structural cointegrated var model for the g 7 countries sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries moreover the very recent highs registered in the world oil market are causing concern about possible slowdowns in the economic performance of the most developed countries in this paper a structural cointegrated var model has been considered for the g 7 countries in order to study the direct effects of oil price shocks on output and prices and the reaction of monetary variables to external shocks our results can be summarized as follows i a stationary money demand as suggested by the classic theory of money can be identified for most countries ii according to the estimated coefficients of the structural part of the model for all countries except japan and u k the null hypothesis of an influence of oil prices on the inflation rate cannot be rejected inflation rate shocks are transmitted to the real economy by increasing interest rates iii impulse response analysis suggests for most countries the existence of an instantaneous temporary effect of oil price innovations on prices iv impulse response functions indicate different monetary policy reactions to inflationary and growth shocks v the simulation exercises directed to estimate the total impact of the 1990 oil price shock indicate that for some countries u s a significant part of the effects of the oil price shock is due to the monetary policy reaction function for other countries canada france and italy however the total impact is offset at least in part by an easing of monetary conditions

price transmission in the spanish bovine sector the bse effect a regime switching vector error correction model is applied to monthly price data to assess the impact of bovine spongiform encephalopathy bse outbreaks on price relationships and patterns of transmission among farm and retail markets for bovines in spain to evaluate the degree to which price transmission is affected by bse food scares a bse food scare index is developed and used to determine regime switching results suggest that bse scares affect beef producers and retailers differently consumer prices are found to be weakly exogenous and not found to react to bse scares while producer prices are conversely adjusted the magnitude of the adjustment is found to depend on the magnitude of the bse scare

regional and copula estimation effects on eu and us energy equity portfolios the aim of this paper is to investigate the regional interdependence structure of energy equities in the us and in the eu based on weekly stock prices of 28 big energy firms in the two regions fro

diffusion of a new product under network effects the us dvd market we formulate a model that captures the inter dependence between hardware demand and software supply indirect network effect in the dvd industry the identification of the network effect comes from the difference in software availability across two different formats vhs and dvd we find that a 1 increase in the number of dvd titles raises the demand for dvd players by 0 87 simultaneously a 1 increase in video player ownership leads to a 0 14 increase in the variety of video titles our simulations show that hardware manufacturers might be able to internalize the network externality to increase total industry revenues

nonparametric panel data model for crude oil and stock market prices in net oil importing countries abstract this paper introduces an innovative nonparametric panel data approach to model the long run relationship between the monthly oil price index and stock market price indices of ten large net oil importing countries namely the united states japan china south korea india germany france singapore italy and spain in the proposed model we allow the coefficient on the oil price index to be a time varying function which evolves over time in a way that is assumed to be unknown we also allow the common trend function to evolve over time as well as extending the model further to incorporate country specific trend functions we employ a data driven local linear method to estimate these time varying trend and coefficient functions the results show that despite being largely positive there are several downward trends reflecting the aftermath of the iraq war and the recent unprecedented drop in the oil price overall we find that the nonparametric panel data model better captures the way in which the underlying stock oil price relationship has evolved over time in comparison to the point estimates of the parametric counterpart moreover we find that stock market fundamentals play a significant role in determining the oil stock price relationship our findings have important implication for policymakers and financial speculators

dynamic relations between international equity and currency markets the role of currency order flow previous research on the dynamic linkages between international financial markets focused on bivariate interequity or intercurrency relationships and do not allow a specific role for the currency or equity market respectively in this paper we hypothesize that there are important yet not well understood dynamic relationships between international equity and currency markets and these are driven by information spillover via the mechanism of currency order flow using a trivariate asymmetric garch framework we find that the relationships between equity and currency markets are significant bidirectional and pervasive these relationships which coexist with the relationships between u s and foreign equity markets are much stronger in the volatilities than in the means importantly we find strong support for our information spillover hypothesis where currency order flow is the economic mechanism by which information is transmitted

optimal allocation of an indivisible good abstract in this paper we consider the problem of allocating an indivisible good efficiently between two agents with monetary transfers we focus on allocation mechanisms that are dominant strategy incentive compatible when agents types are private information inefficiency of an allocation mechanism may come from two sources misallocation of the indivisible good and an imbalanced budget unfortunately as green and laffont 1979 demonstrate no allocation mechanism can always overcome both kinds of inefficiency we identify allocation mechanisms that maximize the expected total utilities of agents and characterize optimal mechanisms for a large class of agents type distributions for strongly regular type distributions we show that the optimal mechanisms must be budget balanced they are either fixed price mechanisms or option mechanisms the result may not hold for other type distributions for certain type distributions we show that optimal mechanisms are hybrids of vickrey clarke groves mechanisms and budget balanced mechanisms

seasonality in the consumer response to milk advertising with implications for milk promotion policy permitting seasonal variation in the goodwill effect in measuring the impact of fluid milk advertising on milk sales in new york city improved the statistical significance of the estimating equation the allocation of generic advertising dollars according to optimization rules during the period 1979 81 would have resulted in a 9 percent increase in returns to dairymen supplying the new york city market harmonic variables are used to account for seasonality a pascal distribution is used to account for the decay structure and goodwill elasticities are estimated to indicate the impact of generic advertising on sales

no news is good news stochastic parameters versus media coverage indices in demand models after food scares we develop a stochastic parameter approach to model the time varying impacts of food scares on consumption as an alternative to the inclusion of news coverage indices in the demand function we empirically test the methodology on data from four food scares the 1982 heptachlor milk contamination in oahu hawaii and the bovine spongiform encephalopathy and two escherichia coli scares on u s meat demand over the period 1993 9 results show that the inclusion of time varying parameters in demand models enables the capturing of the impact of food safety information and provides better short term forecasts

oil and the macroeconomy since world war ii all but one of the u s recessions since world war ii have been preceded typically with a lag of around three fourths of a year by a dramatic increase in the price of crude petroleum this does not mean that oil shocks caused these recessions evidence is presented however that even over the period 1948 72 this correlation is statistically significant and nonspurious supporting the proposition that oil shocks were a contributing factor in at least some of the u s recessions prior to 1972 by extension energy price increases may account for much of post opec macroeconomic performance

crude oil and the macroeconomy tests of some popular notions a note perhaps no other economic events in the post world war ii era have generated as much attention as the series of crude oil price shocks that have jolted the world economy since the opec boycott of 1973 a tremendous amount of space in the popular and professional literature has been devoted to analyzing the impacts of these shocks on the developed economies and the adjustments these shocks have induced one residual of this literature has been a general impression that since 1973 the functional relationship between crude oil prices and the developed macroeconomies has been dramatically and fundamentally altered yet to our knowledge no one has formally tested this impression recent evidence of hamilton 1983 suggests that crude oil prices had a strong impact on the u s business cycle well before 1973 further while textbook treatments of oil price shocks tend to highlight cost push inflationary effects the research of berndt and wood 1975 1979 and wilcox 1983 indicates the net complementarity between energy and capital in the u s economy is quite strong both before and after 1973 thus oil price shocks may have stronger real effects than generally believed in this paper we formally test three popular notions associated with the so called

advertising information and product quality the case of butter this study examines the roles of cholesterol information and advertising in explaining consumption trends for fats and oils focusing on butter results suggest increased consumer awareness of the health effects of blood cholesterol has contributed to the secular decline in butter consumption in canada although consumers responses to negative information appear to outweigh their responses to positive information the industry advertising campaign launched in 1978 by the dairy bureau of canada has had a positive effect on butter demand

time varying volatility spillover between chinese fuel oil and stock index futures markets based on a dcc garch model with a semi nonparametric approach abstract this paper reveals some new evidence on the volatility spillover between fuel oil and stock index futures markets in china by considering its time variant feature time varying effect is specified by the legendre polynomials in a dcc garch model moreover the semi nonparametric snp approach accounting for marginal excess kurtosis and asymmetry is applied we find different time evolving patterns of volatility spillover across multiple periods due to the structural breaks the direction of mean volatility spillover is found to be bilateral moreover the strength of mean volatility spillover shows that the effect from stock index to fuel oil futures is much stronger than the other way around this implies that the stock index futures market plays a leading role in information processing these findings have important implications for the fuel oil stakeholders as well as risk management

competing technologies the learning curve and rational expectations abstract the problem of choice between several variants of a technology subject to dynamic learning economies is examined in a rational expectations model with overlapping adopters it is shown that even with rational expectations the long term market outcome depends sensitively on the pattern of early chance events and that only one variant of the technology will come to dominate the market in the long run this variant need not be the one which is socially optimal or most promising technically

systemic risk spillovers between crude oil and stock index returns of g7 economies conditional value at risk and marginal expected shortfall approaches abstract in this study we examine systemic risk and dependence between oil and stock market indices of g7 economies between january 2003 and november 2017 coincidentally this timeframe covers different distress periods in financial and energy markets we use several time constant time varying and time varying markov copula models to examine the dependence further we use the delta conditional value at risk covar of adrian and brunnermeier 2016 and marginal expected shortfall mes of acharya et al 2012 to captures the risk spillover effects and give evidence of systemic risk from the copula analysis we find dissimilar dependence structure between returns series of oil and the g7 stock markets for france germany and japan the dependence is markov switching time varying while it is time varying for the united states and canada constant for the united kingdom and around zero for italy our empirical evidence on systemic risk indicates that oil price dynamics contributes significantly more to the g7 stock market returns during volatile times than during tranquil times in particular the canada stock market appears more sensitive and vulnerable to negative external shocks emerging from the crude oil market than the other markets further the country risk rankings identified using mes and covar may not be identical in addition the analysis results suggest that the crude oil market can be a good diversifier for investors in japan and france and that the investors in the rest of g7 countries must act more carefully

welfare implications of increased us beef promotion demand estimates from a rotterdam model are combined with a muth type equilibrium displacement model of the us meat sector to isolate the impacts of increased beef advertising on quasi rents at the farm gate results suggest beef and pork producers gained at the expense of poultry producers the negative externalities generated in the poultry sector are of sufficient magnitude to suggest that under certain conditions the beef advertising programme may be welfare decreasing for meat producers as a group the broader social welfare implications of increased beef advertising in terms of its impacts on the environment heart disease celebrity and consultant income madison avenue profits or the quality of television programming are not considered in this research

dynamic model of fresh fruit promotion a household production approach many studies consider the dynamic effects of commodity promotion on demand but few derive the theoretical basis for these effects in a model of optimal consumer behavior this study develops a dynamic household production model of u s fresh fruit consumption which it uses to evaluate the effectiveness of advertising and promotion expenditures by the washington apple commission estimates from a dynamic dual generalized leontief system show direct advertising to be marginally more effective than retail promotion in increasing apple sales but advertising has positive spillover effects to sales of other fruits whereas promotion reduces sales of competing products

monopoly pricing with network externalities abstract how should a monopolist price a durable good or a new technology that is subject to network externalities in particular should the monopolist set a low introductory price to attract a critical mass of adopters in this paper we provide intuition as to when and why introductory pricing might occur in the presence of network externalities incomplete information about demand or asymmetric information about costs is necessary for introductory pricing to occur in equilibrium when consumers are small

oil price shocks and the dispersion hypothesis recent research by david lilien shows that a significant fraction of aggregate unemployment can be explained by the dispersion of employment growth across industries this paper presents two new results in this area first it is shown that a significant fraction of the variation in lilien s dispersion index is due to the differential impact of oil shocks across industries second and more important it is shown that once the dispersion in employment growth due to oil shocks is accounted for the residual dispersion has no explanatory power for unemployment

relationships between oil price shocks and stock market an empirical analysis from china this paper investigates the interactive relationships between oil price shocks and chinese stock market using multivariate vector auto regression oil price shocks do not show statistically significant impact on the real stock returns of most chinese stock market indices except for manufacturing index and some oil companies some important oil price shocks depress oil company stock prices increase in oil volatility may increase the speculations in mining index and petrochemicals index which raise their stock returns both the world oil price shocks and china oil price shocks can explain much more than interest rates for manufacturing index

the heterogeneity dependence between crude oil price changes and industry stock market returns in china evidence from a quantile regression approach this paper explores the dependence between real crude oil price changes and chinese real industry stock market returns based on the monthly data from 1994 03 to 2014 06 we address this issue using the quantile regression approach enabling a more detailed investigation of structure and degree of dependence empirical results reveal that the reaction of market returns to crude oil is highly heterogeneous across conditional distribution of industry stock returns furthermore there is evidence that this dependence is positive and exists only in recessions or bearish markets with low expected returns the dependence at low quantiles is not limited to one market but is a common feature across industries additionally dependence also changes since the onset of structural breaks we determine that chinese industry stock and global crude oil markets have contagion in rare situations most cases do not demonstrate contagion

the demand for canadian fats and oils a case study of advertising effectiveness the fats and oils market in canada is characterized by generic butter and brand margarine shortening vegetable oils advertising in this study the economic interrelationships in the consumption of fats and oils are examined and the effectiveness of the advertising programs is evaluated the two stage demand model used is made up of a single equation determining canadian aggregate expenditure on fats and oils and an expenditure share system derived from a translog indirect utility function for each of four products butter margarine shortening and vegetable oils the demand for individual fats and oils is significantly affected by lagged advertising expenditure levels habit persistence and a time trend as well as the traditional variables of price and expenditure

bertrand competition under network externalities abstract two firms engage in price competition to attract buyers located on a network the value of the good of either firm to any buyer depends on the number of neighbors on the network who adopt the same good when the size of externalities increases linearly with the number of adoptions we identify the set of pricing strategies that are consistent with an equilibrium in which one of the firms monopolizes the market the set includes marginal cost mc pricing as well as bipartition pricing which offers discounts to some buyers and charges markups to others we show that mc pricing fails to be an equilibrium under non linear externalities in a general network but identify conditions for an equilibrium with bipartition pricing to be robust against perturbations in the externalities from linearity the analysis is applied to platform competition in a two sided market under local and approximately linear externalities

speeding up the internet regulation and investment in european fiber optic infrastructure in this paper we study how the coexistence of access regulations for legacy copper and fiber networks shapes the incentives to invest in network infrastructure to this end we develop a theoretical model explaining investment incentives by incumbent telecom operators and heterogeneous entrants and test its main predictions using panel data from 27 eu member states over the last decade our theoretical model extends the existing literature by among other things allowing for heterogeneous entrants in internet access markets as we consider both other telecom and cable tv operators as entrants in the empirical part we use a novel data set including information on physical fiber network investments legacy network access regulation and recently imposed fiber access regulations our main finding is that more stringent access regulations for both the legacy and the fiber networks harm investments by incumbent telecom operators but in line with our theoretical model do not affect cable tv operators

asymmetric effects of oil price shocks on stock returns evidence from a two stage markov regime switching approach abstractthe asymmetric effects of oil price shocks on stock returns have attracted the attention of many researchers in the past several decades most of these researchers studies however do not separate out the sources of oil price shocks when examining the asymmetric effects in this article we address this limitation using a two stage markov regime switching approach our results indicate that oil supply and demand shocks have a null or minimal impact on stock returns in a low volatility regime and a statistically significant impact in a high volatility regime we observe that oil demand shocks affect stock returns significantly more than oil supply shocks a positive aggregate demand shock significantly increases stock returns whereas a positive oil specific demand shock markedly decreases stock returns these results have important implications for policymakers and investors

coordinating adoption decisions under externalities and incomplete information abstract a monopolist sells a good whose value depends on the number of buyers who adopt it as well as on their private types the seller coordinates the buyers adoption decisions based on their reported types and charges them the price based on the number of adoptions we study ex post implementable sales schemes that are collusion proof and show that under the revenue maximizing scheme more buyer types are willing to adopt when there are more adoptions and the number of adoptions is maximized subject to the participation constraints

technology adoption in the presence of network externalities we analyze technology adoption in industries where network externalities are significant the pattern of adoption depends on whether technologies are sponsored a sponsor is an entity that has property rights to the technology and hence is willing to make investments to promote it key findings include the following 1 compatibility tends to be undersupplied by the market but excessive standardization can occur 2 in the absence of sponsors the technology superior today has a strategic advantage and is likely to dominate the market 3 when one of two rival technologies is sponsored that technology has a strategic advantage and may be adopted even if it is inferior 4 when two competing technologies both are sponsored the technology that will be superior tomorrow has a strategic advantage

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

a fresh meat almost ideal demand system incorporating negative tv press and advertising impact abstract this paper investigates fresh meat consumption in belgium during 1995 1998 through the specification of a three equation almost ideal demand system aids incorporating a media index of tv coverage and advertising expenditures as explanatory variables estimated parameters and elasticity coefficients are plausible and consistent with demand theory own price elasticities are relatively low indicating a low fresh meat demand sensitivity to price changes over this period which was dominated by mass media reports about the potential health risks associated with meat consumption the scope of the paper extends beyond the estimation of elasticity coefficients and includes the specification of a media index and simulations that provide insights into the impact of negative press relative to advertising efforts specifically the impact of television publicity is shown to have been particularly negative on beef veal expenditures in favour of pork mixture this finding corroborates expectations since mass media issues mainly pertained to bse mad cow disease and hormone residues during the investigated period with relatively little effort being undertaken and with its current strategy fresh meat advertising is found to have only a minor impact compared with negative press

wholesale and farm level impacts of generic advertising the case of catfish a four equation econometric model of the us catfish industry is estimated to determine the impacts of industry funded advertising on the wholesale and farm levels of the market results suggest that despite the market power held by middlemen the compaign has increased quasi rents to producers the relatively large benefit cost ratios about 13 1 however are attributed primarily to the price effects of the campaign this highlights the importance of supply response in evaluating the economic effects of industry generic advertising programmes elasticity estimates based on 1980 89 monthly data are farm level supply 0 15 wholesale level demand 1 01 farm wholsale price transmission 0 68 and advertising 0 0075

news and volatility of food prices financial markets exhibit an asymmetric news effect with unexpected low prices generating more price volatility than news of high prices the present study examines us food markets for such asymmetric news effects analysis of 25 years of monthly data for 45 retail food items shows that price news destabilizes about a third of the markets with unexpected price increases more destabilizing

this is what happened to the oil price macroeconomy relationship abstract many of the quarterly oil price increases observed since 1985 are corrections to even bigger oil price decreases the previous quarter when one looks at the net increase in oil prices over the year recent data are consistent with the historical correlation between oil shocks and recessions

exchange rate exposure abstract in this paper we examine the relationship between exchange rate movements and firm value we estimate the exchange rate exposure of publicly listed firms in a sample of eight non us industrialized and emerging markets we find that exchange rate movements do matter for a significant fraction of firms though which firms are affected and the direction of exposure depends on the specific exchange rate and varies over time suggesting that firms dynamically adjust their behavior in response to exchange rate risk exposure is correlated with firm size multinational status foreign sales international assets and competitiveness and trade at the industry level

crude oil and stock markets stability instability and bubbles abstract we analyze the long run relationship between the world price of crude oil and international stock markets over 1971 1 2008 3 using a cointegrated vector error correction model with additional regressors allowing for endogenously identified breaks in the cointegrating and error correction matrices we find evidence for breaks after 1980 5 1988 1 and 1999 9 there is a clear long run relationship between these series for six oecd countries for 1971 1 1980 5 and 1988 2 1999 9 suggesting that stock market indices respond negatively to increases in the oil price in the long run during 1980 6 1988 1 we find relationships that are not statistically significantly different from either zero or from the relationships of the previous period the expected negative long run relationship appears to disintegrate after 1999 9 this finding supports a conjecture of change in the relationship between real oil price and real stock prices in the last decade compared to earlier years which may suggest the presence of several stock market bubbles and or oil price bubbles since the turn of the century

separating bric using islamic stocks and crude oil dynamic conditional correlation and volatility spillover analysis abstract this paper explores the dynamic conditional correlation and volatility linkage between islamic indexes and oil for bric countries correlations between these assets increase during the global financial crisis for india and china but not for brazil and russia the volatility error forecast variance of all five indexes comes from spillover but is much lower compared to volatility spillover between conventional indexes and oil hedging performance of islamic indexes are superior in india and china compared to conventional indexes in emerging markets an optimal minimum variance portfolio without reducing expected return can be achieved by investing in lower weights of bric islamic indexes and oil compared to conventional indexes

volatility spillovers for energy prices a diagonal bekk approach abstract we examine the relationship between return and volatility as well as the covolatility spillover for energy foreign currency and stock markets using the diagonal bekk model using daily crude oil natural gas and the coal prices as proxies for energy prices the s p500 index as a proxy for the u s stock market and the eur usd exchange rate as a proxy for the exchange rate we find robust evidence for the volatility spillover effects among the three markets also in the 16 out of 20 pairwise relationships in the five markets there are significant negative covolatility spillover effects in the four pairs involving coal there are positive and significant covolatility spillover effects we conclude that the energy markets and the stock market have stronger covolatility spillovers than others

coordination and discrimination in contracting with externalities divide and conquer abstract the paper studies bilateral contracting between n agents and one principal whose trade with each agent generates externalities on other agents it examines the effects of prohibiting the principal from i coordinating agents on her preferred equilibrium and ii making different contracts available to different agents these effects depend on whether an agent is more or less eager to trade when others trade more the prohibitions reduce the aggregate trade in the former case and have little or no effect in the latter case the inefficiencies under different contracting regimes are linked to the sign of the relevant externalities and are shown to be typically reduced by both prohibitions

the exchange rate exposure of u s multinationals this article examines the exposure of u s multinationals to foreign currency risk evidence is presented that the relationship between stock returns and exchange rates differs systematically across multinationals given these results the study focuses on the determinants of exchange rate exposure the comovements between stock returns and the value of the dollar is found to be positively related to the percentage of foreign operations of u s multinationals copyright 1990 by the university of chicago

oil prices stock markets and portfolio investment evidence from sector analysis in europe over the last decade this article extends the understanding of oil stock market relationships over the last turbulent decade unlike previous empirical investigations which have largely focused on broad based market indices national and or regional indices we examine short term linkages in the aggregate as well as sector by sector levels in europe using different econometric techniques our main findings suggest that the reactions of stock returns to oil price changes differ greatly depending on the activity sector in the out of sample analysis we show that introducing oil asset into a diversified portfolio of stocks allows to significantly improve its risk return characteristics

oil price shocks stock market economic activity and employment in greece abstract using a multivariate vector autoregression var approach this paper attempts to shed light into the dynamic relationship among oil prices real stock prices interest rates real economic activity and employment for greece the empirical evidence suggests that oil price changes affect real economic activity and employment oil prices are important in explaining stock price movements stock returns do not lead to changes in real activity and employment

theorizing path dependence a review of positive feedback mechanisms in technology markets regional clusters and organizations the concept of path dependence has often been criticized as vague and only narrowly applicable although we can find some very refined definitions of the concept we also find a wide range of empirical phenomena being described as path dependent we argue that more detailed accounts of the positive feedback mechanisms that form paths can take path dependence beyond this state of being overdetermined but under specified reviewing three well described cases of path dependent dynamics in technology markets regional clustering and organizations we define a core set of positive feedback mechanisms that constitute path dependence at different analysis levels and clarify the relationship between positive feedback and increasing returns we show that path dependent processes that is processes driven by positive feedback that veer toward rigidity or lock in can be but do not have to be found under many labels including structural inertia coevolution or institutional persistence we conclude that a precise definition of path dependence does not need to be at odds with the concept s widespread use in understanding organizational and industrial development processes copyright 2013 the author 2012 published by oxford university press on behalf of associazione icc all rights reserved oxford university press

accounting for changes in tastes health concerns are thought by many to have shifted consumption away from red meats though econometric evidence is mixed testing for structural change is difficult especially when one time series is used for both estimating demand equations and testing their stability specification errors may suggest a shift where none has occurred using nonparametric demand analysis we find that meat consumption patterns in the united states and australia can be explained using only relative prices and expenditures only imposing particular functional forms can reverse the conclusion suggesting that specification errors in econometric demand studies can account for findings of taste changes

exchange rate fluctuations and stability in the oil market abstract this paper attempts to assess the impact of exchange rate fluctuations on the ability of opec to stabilize the oil market since oil prices are denominated in us dollars changes in the exchange rate parity influence the cost of imported oil of major european countries and japan which in turn influences the demand for oil and eventually demand for opec oil these variations become important factors for the stability of the market when opec output is at either maximum or minimum limits of the organization s production capacity

the economics of convention c onventions regulate much of economic and social life yet they have received surprisingly little attention from economists by a convention we mean a pattern of behavior that is customary expected and self enforcing everyone conforms everyone expects others to conform and everyone has good reason to conform because conforming is in each person s best interest when everyone else plans to conform lewis 1969 familiar examples include following rules of the road adhering to conventional codes of dress and using words with their conventional meanings conventions with direct economic implications include species of money and credit industrial and technological standards accounting rules and forms of economic contracts indeed it would scarcely be an exaggeration to say that almost all economic and social institutions are governed to some extent by convention the main feature of a convention is that out of a host of conceivable choices only one is actually used this fact also explains why conventions are needed they resolve problems of indeterminacy in interactions that have multiple equilibria indeed from a formal point of view we may define a convention as an equilibrium that everyone expects in interactions that have more than one equilibrium the economic significance of conventions is that they reduce transaction costs imagine the inconvenience if whenever two vehicles approached one another the important exceptions are sugden 1986 and ullman margalit 1977 the interested reader might also refer to the symposium on social norms that appeared in the fall 1989 issue of this journal with articles by sugden 1989 and elster 1989

adoption externalities as public goods abstract a public good problem arises naturally in situations characterized by positive externalities or negative externalities for positive externalities agents furnish a public good by taking an action similarly for negative externalities agents furnish a public good by not taking an action we examine these externalities in a binary choice problem i e adoption externalities in each case there is a potential role for government intervention even when equilibrium transfers are not allowed since one equilibrium pareto dominates all others we analyze the positive and normative features of equilibria in these models and we explore the possibility of useful government intervention

information and consumer perception of the organic attribute in fresh fruits and vegetables using a double hurdle model on panel data from 3 200 danish households monthly observations for 2002 2007 we study the effects of health related media information on the demand for organic fruit and vegetables we find that negative information about pesticides contained in conventional fruit and vegetables mainly influences the probability of a consumer entering the organic market not the quantities consumed by households that are already active on the organic market positive information that links health and the consumption of organic food influences both steps of the decision process our dataset includes information about consumers media habits which allows us to disentangle the direct effects of media information from the indirect effects of this information as it is disseminated through the population our results suggest that directly obtained information is the main type of information influencing consumers while information loadings by dissemination through the population have almost no effect on consumption

asymmetric impact of oil price on islamic sectoral stocks abstract this paper extends the literature concerning non linearity in oil stock relationships by putting forward a new paradigm of sectoral and islamic elements we explore the asymmetric impact of oil price on islamic stocks from a sectoral perspective using non linear autoregressive distributed lag cointegration methodology the main advantage of this methodology relies on its ability to simultaneously capture the short and long run asymmetries through both positive and negative oil price shocks our results show weak linkages between oil price changes and the islamic composite index however the nature and sensitivity of the reaction of stock prices to oil price shocks vary considerably across different sectors in the longer horizon the relationships between oil price and many islamic sectoral stocks tend to follow a nonlinear pattern furthermore the behavior of the real economic sectors indices reflects the performance of the composite index that is oil price resistant during the turbulent period after 2008 the response of the sectoral indices to oil price movements witnessed notable changes where the sectoral gains from oil price drop that have been observed during the period of study have been found to diminish after 2008 our finding is in line with the argument that the islamic composite index is grounded more on and within the real sectors these findings are robust when considering different oil proxies and different data time frequencies

oil prices and economic activity an asymmetric cointegration approach the aim of this paper is to study the long term relationship between oil prices and economic activity proxied by gdp to account for asymmetries existing in the links between the two variables we propose an approach based on asymmetric cointegration our empirical analysis concerns the u s economy but also the g7 europe and euro area economies results indicate that while standard cointegration is rejected there is evidence for asymmetric cointegration between oil prices and gdp

dynamic co movement between oil and stock markets in oil importing and oil exporting countries two types of wavelet analysis abstract this study explores the dynamic co movement between oil and six stock markets china india japan saudi arabia russia and canada by using two types of wavelet analysis wavelet multi scale decomposition and wavelet coherence the main empirical results are as follows 1 maximal overlap discrete wavelet transform analysis shows that there are feedback relationships between the price movement of oil and stock markets in all six countries in the wavelet based decomposition at the d4 d5 and d6 scales 2 the pairs of oil and stock returns show high overall co movement at the 16 to 128 week scale based on continuous wavelet transform analysis the wavelet coherence and phase plots show that the pairs of oil and oil importing stock market returns have high co movement for the period between 2007 and 2012 especially during the global financial crisis of 2008 in addition the wavelet coherence and phase plots show that the pairs of oil and oil exporting stock market returns have high co movement from 2007 to 2017 3 oil price returns lead the stock returns of saudi arabia russia and canada from 2007 to 2017 at the 16 to 128 week scale the stock prices are more influenced by oil prices in oil exporting countries than in oil importing countries this evidence implies that the economic structure of oil exporting countries depends strongly on crude oil production 4 from the results of the wavelet based granger causality test there is a lead lag causality linkage in which the oil price leads stock market indices from 27 to 30 weeks 189 210 days the implications of these findings are discussed

interdependence of oil prices and stock market indices a copula approach article i nfo article history in this paper we study the relationship between the oil price and stock market index of various countries between 1982 and 2007 we exclude oil and gas stock companies from the stock indices to remove the obvious direct linkage oil price series are converted into local currency to account for possible exchange rate effects the method of copula is used to model the general dependence between stock returns and oil price returns our findings suggest a weak dependence between oil prices and stock indices for most cases which are consistent with the results from previous studies exceptions are for the stock index returns of large oil consuming and producing countries united states and canada which are shown to have a relatively strong dependence with the oil price series the introduction of euro in 1999 altered considerably dependence between oil prices and stock returns

do structural oil market shocks affect stock prices abstract this paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock market returns in a sample of eight countries australia canada france germany italy japan the united kingdom and the united states for each country the analysis proceeds in two steps first modifying the procedure of kilian kilian l forthcoming not all oil price shocks are alike disentangling demand and supply shocks in the crude oil market american economic review we employ a vector error correction or vector autoregressive model to decompose oil price changes into three components oil supply shocks global aggregate demand shocks and global oil demand shocks the last component relates to specific idiosyncratic features of the oil market such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies second recovering the oil supply shocks global aggregate demand shocks and global oil demand shocks from the first analysis we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries we find that international stock market returns do not respond in a large way to oil market shocks that is the significant effects that exist prove small in magnitude

oil and the macroeconomy when prices go up and down an extension of hamilton s results in an important paper hamilton 1983 demonstrated a strong correlation between oil price changes and gross national product growth in u s data however his study pertained to a period in which all the large oil price movements were upward and thus it left unanswered the question whether the correlation persists in periods of price decline moreover the price variable he used was somewhat distorted by price controls in the 1970s this note investigates whether hamilton s results continue to hold when the sample is extended to include the recent oil market collapse and the oil price variable is corrected for the effects of price controls particular attention is given to the possibility of asymmetric responses to oil price increases and decreases as suggested in the structural employment literature loungani 1986 davis 1987 hamilton 1988 like hamilton i based my investigation on the gnp equation in sims s 1 980b six variable quarterly vector autoregressive model