renewable to total electricity consumption ratio estimating the permanent or transitory fluctuations based on flexible fourier stationarity and unit root tests abstract this paper examines the stationarity properties of the renewable to total electricity consumption ratio for this purpose we use becker et al s 2006 flexible fourier stationarity test as a benchmark and the recent advanced fourier adf unit root test for 90 countries over the period 1980 2011 the results of the first test document the stationarity of the renewable to total electricity consumption ratio for 65 countries from different geographic areas namely africa america asia pacific and europe however when validated the fourier adf test shows that the null hypothesis of unit root is rejected in all the cases except for the united kingdom the fact that the stationarity in the share of renewable to total electricity consumption is documented by the new proposed more powerful tests does not necessarily mean that the renewable energy policies are ineffective as the previous literature states a wide range of elements might influence the stationarity or non stationarity of this ratio however our findings are important from the modeling perspective as the empirical studies on renewable energy can produce reliable results and use appropriate techniques for modeling and forecasting only if the stationarity or non stationarity is correctly documented

diversification and heterogeneity of investor beliefs abstract in the paper we find that diversification reduces the heterogeneity of investor beliefs on firm value we obtain this finding by comparing not only between diversified and focused firms but also between diversifying and non diversifying mergers we also find that the reduced heterogeneity of investor beliefs on a diversified firm relative to its focused peers is negatively associated with its contemporaneous excess value and positively associated with its future excess value overall our results contribute to the understanding about how corporate organization structure affects the heterogeneity of investor beliefs and further firm value

contagion as a wealth effect financial contagion is described as a wealth effect in a continuous time model with two risky assets and three types of traders noise traders trade randomly in one market long term investors provide liquidity using a linear rule based on fundamentals convergence traders with logarithmic utility trade optimally in both markets asset price dynamics are endogenously determined numerically as functions of endogenous wealth and exogenous noise when convergence traders lose money they liquidate positions in both markets this creates contagion in that returns become more volatile and more correlated contagion reduces benefits from portfolio diversification and raises issues for risk management during the f inancial panic associated with the default of the russian government in august 1998 and the subsequent collapse of the hedge fund long term capital management numerous hedge funds banks and securities firms tried simultaneously to reduce exposures to a variety of financial instruments such as russian bonds brazilian stocks u s mortgages spreads between on therun and off the run government securities and spreads between swaps and u s treasuries although the fundamental values of these positions would appear to have little correlation during this financial crisis the asset prices in these markets exhibited the following common empirical pattern 1 financial intermediaries suffered losses as prices moved against their positions 2 market depth and liquidity decreased simultaneously in several markets 3 the volatility of prices increased simultaneously in several markets and

network models and financial stability abstract systemic risk is a key concern for central banks charged with safeguarding overall financial stability in this paper we investigate how systemic risk is affected by the structure of the financial system we construct banking systems that are composed of a number of banks that are connected by interbank linkages we then vary the key parameters that define the structure of the financial system including its level of capitalisation the degree to which banks are connected the size of interbank exposures and the degree of concentration of the system and analyse the influence of these parameters on the likelihood of knock on defaults first we find that the better capitalised banks are the more resilient is the banking system against contagious defaults and this effect is non linear second the effect of the degree of connectivity is non monotonic i e initially a small increase in connectivity increases the contagion effect but after a certain threshold value connectivity improves the ability of a banking system to absorb shocks third the size of interbank liabilities tends to increase the risk of knock on default even if banks hold capital against such exposures fourth more concentrated banking systems are shown to be prone to larger systemic risk all else equal in an extension to the main analysis we study how liquidity effects interact with banking structure to produce a greater chance of systemic breakdown we finally consider how the risk of contagion might depend on the degree of asymmetry tiering inherent in the structure of the banking system a number of our results have important implications for public policy which this paper also draws out

nonmonetary effects of the financial crisis in propagation of the great depression this paper examines the effects of the financial crisis of the 1930s onthe path of aggregate output during that period our approach is complementary to that of friedman and schwartz who emphasized the monetary impact of the bank failures we focus on non monetary primarily credit related aspects of the financial sector output link and consider the problems of debtors as well as those of the banking system we argue that the financial disruptions of 1930 33 reduced the efficiency of the credit allocation process and that the resulting higher cost and reduced availability of credit acted to depress aggregate demand evidence suggests that effects of this type can help explain the unusual length and depth of the great depression this abstract was borrowed from another version of this item

do bond credit ratings lead to excess comovement abstract we investigate whether non fundamental comovement results from investors using credit ratings to group assets into different styles we find that bonds that join a new rating class start comoving more with the bonds in this class even when fundamental factors suggest otherwise we show that this comovement effect varies according to the nature of the bond considered and the modalities of the rating action downgrades have a larger impact than upgrades and rating reviews matter as much as actual movements finally rating changes between grades bbb and bb which lead bonds to be reclassified as either high yield or investment grade assets seem to be of particular importance

time varying smooth transition autoregressive models nonlinear regime switching behavior and structural change are often perceived as competing alternatives to linearity in this article we study the so called time varying smooth transition autoregressive tv star model which can be used both for describing simultaneous nonlinearity and structural change and for distinguishing between these features two modeling strategies for empirical specification of tv star models are developed monte carlo simulations show that neither of the two strategies dominates the other a specific to general to specific procedure is best suited for obtaining a first impression of the importance of nonlinearity and or structural change for a particular time series a specific to general procedure is most useful in careful specification of a model with nonlinear and or time varying properties an empirical application to a large dataset of u s macroeconomic time series illustrates the relative merits of both modeling strategies

energy consumption and gdp in developing countries a cointegrated panel analysis in this paper we re investigate the co movement and the causality relationship between energy consumption and gdp in 18 developing countries using data for the period 1975 to 2001 recently developed tests for the panel unit root heterogeneous panel cointegration and panel based error correction models are employed the empirical results provide clear support of a long run cointegration relationship after allowing for the heterogeneous country effect the long run relationship is estimated using a full modified ols the evidence shows that long run and short run causalities run from energy consumption to gdp but not vice versa this result indicates that energy conservation may harm economic growth in developing countries regardless of being transitory or permanent

revisited are shocks to energy consumption permanent or temporary new evidence from a panel suradf approach abstract this paper explores whether the hypothesis of energy consumption stationarity is supported in different regions the stationarity properties indicate that the impact of a reduction in energy consumption or a realignment policy is only temporary and over time the series will revert back to the trend path this paper first applies the panel seemingly unrelated regressions augmented dickey fuller panel suradf test developed by breuer et al breuer j b mcnown r wallace m s 2001 misleading inferences from panel unit root tests with an illustration from purchasing power parity review of international economics 9 3 482 493 which allows us to account for possible cross sectional effects and to identify how many and which members of the panel contain a unit root the main conclusion is that the stationarity of energy consumption will be affected by the differences among the five regions made up of 84 countries during the period 1971 2003 similar conclusions are reached when we analyze country groups based on levels of development moreover the results reveal that conventional panel unit root tests can lead to misleading inferences which are biased towards stationarity even if only one series in the panel is strongly stationary lastly some policy implications emerge from our results

disaggregate energy consumption employment and income in turkey the purpose of this paper is to contribute to literature on energy consumption and economic growth relationship by examining how much of the variance in national income growth can be explained by the growth of different sources of energy consumption and employment in turkey we use the recently developed generalized forecast error variance decomposition technique of koop et al j econom 74 1996 119 and pesaran and shin econ lett 58 1998 17 to determine the information content of the growth rate of energy consumption waste seems to have the largest initial impact followed by oil however over a 3 year horizon lignite appears to explain the largest forecast error variance of gdp the total energy consumption explains 21 of forecast error variance of gdp energy consumption appears to be almost as important as employment in turkey therefore policy makers may be interested in identifying the energy dependencies of economic growth in allocating the energy investment budget

the effect of asymmetries on optimal hedge ratios there is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news this article considers the impact of asymmetry on time varying hedges for financial futures an asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return innovations gives superior in sample hedging performance however the simpler symmetric model is not inferior in a hold out sample a method for evaluating the models in a modern risk management framework is presented highlighting the importance of allowing optimal hedge ratios to be both time varying and asymmetric

persistence in natural gas consumption in the us an unobserved component model abstract this article re examines the persistence in natural gas consumption using an alternative methodology in particular we report estimates of an unobserved components model in which hysteresis exists if cyclical and natural gas consumptions do not evolve independently in addition this framework is also extended by using the nonlinear approach in which nonlinearities are introduced by allowing past cyclical component to have a different impact on the natural component depending on the regime in a linear framework our results seem to indicate that hysteresis does not exist however when non linearity is taken into account we provide evidence in favor of hysteresis in natural gas consumption when the variations in natural gas consumption are above the threshold value we also selectively survey the empirical literature that examines the long term properties of energy series in order to put our contribution in perspective

can markov switching models replicate chartist profits in the foreign exchange market abstract in this paper we show that the markov switching model is a relevant statistical alternative to the classical martingale model for exchange rates by extending the standard markov switching model we decisively reject the martingale model moreover the model generates autocorrelations and linear structures in line with what is observed in reality subsequently we test whether this model can explain chartist profits we find that the extended markov switching model is able to explain the profitability of a simple ma 30 rule finally we decompose the profitability of the ma 30 rule into a linear and nonlinear part we find that although the implied linear structure of the markov model explains a substantial part of the profitability part of the profits of the ma 30 rule can be attributed to the specific nonlinearities implicit in the markov model

contagion of self fulfilling financial crises due to diversification of investment portfolios abstract we look at two countries that have independent fundamentals but share the same group of investors each country might face a self fulfilling crisis agents withdrawing their investments fearing that others will a crisis in one country reduces agents wealth this makes them more averse to the strategic risk associated with the unknown behavior of other agents in the second country increasing their incentive to withdraw their investments consequently the probability of a crisis there increases this generates a positive correlation between the returns in the two countries since diversification affects returns in our model its welfare implications are non trivial

energy consumption and gdp causality relationship in g 7 countries and emerging markets abstract the causality relationship between energy consumption and income is a well studied topic in energy economics this paper studies the time series properties of energy consumption and gdp and reexamines the causality relationship between the two series in the top 10 emerging markets excluding china due to lack of data and g 7 countries we discover bi directional causality in argentina causality running from gdp to energy consumption in italy and korea and from energy consumption to gdp in turkey france germany and japan hence energy conservation may harm economic growth in the last four countries

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

are shocks to disaggregated energy consumption in malaysia permanent or temporary evidence from lm unit root tests with structural breaks abstract the objective of this paper is to examine whether energy consumption in malaysia disaggregated by sector and type is stationary or contains a unit root to realize our objective we apply the lagrange multiplier lm family of unit root tests with up to two structural breaks depending on the decision rule for selecting between results in the no break one break and two break cases we find that energy consumption is stationary for between 50 per cent and 70 per cent of the disaggregated energy series and between 25 per cent and 50 per cent of sectors implications for the malaysian government s attempts to reduce fossil fuel consumption are discussed

hysteresis in unemployment after two decades of ratcheting unemployment in europe most economists agree that structural changes associated with higher equilibrium rates of unemployment have occurred but the direction of causality is a matter of controversy have the structural changes caused the long lasting increases in actual unemployment or have the increases in actual unemployment caused the structural changes the latter possibility is often referred to as hysteresis during the past decade a distinct research program has evolved around the idea that equilibrium employment tracks actual unemployment this survey reviews the various hysteretic explanations offered in the literature and evaluates their empirical standing

estimating the natural rate of unemployment and testing the natural rate hypothesis how should one measure the natural rate of unemployment this paper proposes a systems procedure as an alternative to nairu the natural rate is treated as an unobserved state variable in a system that includes measurement equations for the unemployment rate the rate of wage growth and the rate of inflation the model is derived from a version of the wage bargaining model of blanchard and embodies a version of the natural rate hypothesis the model is estimated by embedding the kalman filter within the full information maximum likelihood procedure for us data the estimated model implies substantial post war variation in the natural rate and a negative but weak effect of inflation surprises on unemployment copyright 1999 john wiley sons ltd

are fluctuations in oil consumption permanent or transitory evidence from linear and nonlinear unit root tests abstract this paper examines the integration properties of the total oil consumption in 57 countries for the period of 1965 2012 a combination of new and powerful linear and nonlinear stationarity tests are employed to achieve the objectives of the study we find that the oil consumption series in 21 countries follow a nonlinearity path while those in the other countries are linear in nature evidence of the presence of a unit root is found for the total oil consumption series in 38 countries while the series is stationary in the remaining 19 countries an important insight is that the blueprints that were designed to reduce oil consumption are likely to have a permanent effect in most of the countries

are oil shocks permanent or temporary panel data evidence from crude oil and ngl production in 60 countries this paper examines the unit root properties of crude oil production for 60 countries employing a range of panel data unit root tests for the period 1971 to 2003 the study first employs a number of panel data tests that do not accommodate structural breaks and then proceeds to apply the lagrange multiplier lm panel unit root test with one structural break the results of the panel data tests without a structural break are inconclusive with at best mixed support for joint stationarity the findings from the lm panel unit root test with a structural break however are conclusive suggesting that for a world panel and smaller regional based panels crude oil and ngl production are jointly stationary

evidence of long memory behavior in u s renewable energy consumption this study examines the degrees of time persistence in u s total renewable energy consumption using innovative fractional integration and autoregressive models with monthly data from 1981 1 to 2010 10 the results indicate that renewable energy consumption is better explained in terms of a long memory model that incorporates persistence components and seasonality the degree of integration is above 0 5 but significantly below 1 0 suggesting nonstationarity with mean reverting behavior the presence of long memory behavior persistence in renewable energy consumption suggests that random shocks may very well move renewable energy consumption from pre determined target levels for a period of time

an analysis of oil production by opec countries persistence breaks and outliers this study examines the time series behaviour of oil production for opec member countries within a fractional integration modelling framework recognizing the potential for structural breaks and outliers the analysis is undertaken using monthly data from january 1973 to october 2008 for 13 opec member countries the results indicate there is mean reverting persistence in oil production with breaks identified in 10 out of the 13 countries examined thus shocks affecting the structure of opec oil production will have persistent effects in the long run for all countries and in some cases the effects are expected to be permanent

the energy growth nexus reconsidered persistence and causality abstract this article applies a recent econometric framework to the analysis of the relationship between energy consumption and economic growth in the us which allows a joint study of causality and persistence we provide evidence suggesting a nonlinear relationship with a structural break in the most recent regime we find that gdp causes energy consumption and vice versa furthermore both series show persistence i e cyclical and natural components do not evolve independently thus policies oriented to the reduction of energy consumption could constrain economic growth and policy shocks can have permanent effects

financial fragility with rational and irrational exuberance this article formalizes investor rationality and irrationality exuberance and apprehension to consider the implications of belief formation for the fragility of an economy s financial structure the model presented generates a financial structure with portfolio linkages that make it susceptible to contagious financial crises despite the absence of coordination failures investors forecast the likelihood of loss from contagion and may shift preemptively to safer portfolios breaking portfolio linkages in the process the entire financial structure collapses when the last group of investors reallocates their portfolios if some investors are irrationally exuberant the financial structure remains intact longer in fact financial collapse occurs sooner when almost all investors are rationally exuberant than when they are irrationally exuberant additionally a financial crisis initiated by real shocks is indistinguishable from one caused solely by the presence of rationally apprehensive investors in a fundamentally sound economy policies that make portfolio linkages more resilient can improve welfare

some relations between volatility and serial correlations in stock market returns this article explores the relation between serial correlation and volatility for several different stock return series at daily and weekly frequencies it is found that serial correlations are changing over time and are related to stock return volatility an extension to the garch model is proposed and estimated revealing parameters consistent with other findings in this article copyright 1992 by university of chicago press

the determinants of asymmetric volatility volatility in equity markets is asymmetric contemporaneous return and conditional return volatility are negatively correlated in this article i develop an asymmetric volatility model where dividend growth and dividend volatility are the two state variables of the economy the model allows both the leverage effect and the volatility feedback effect the two popular explanations of asymmetry the model is estimated by the simulated method of moments i find that both the leverage effect and volatility feedback are important determinants of asymmetric volatility and volatility feedback is significant both statistically and economically the relationship between stock price and its volatility has long interested financial researchers empirically returns and conditional variance of next period s returns are negatively correlated that is negative positive returns are generally associated with upward downward revisions of the conditional volatility this empirical phenomenon is often referred to as asymmetric volatility in the literature see engle and ng 1993 zakoian 1994 and wu and xiao 1999 the presence of asymmetric volatility is most apparent during stock market crashes when a large decline in stock price is associated with a significant increase in market volatility formal econometric models have been developed by researchers to capture asymmetric volatility for example asymmetric arch models of nelson 1991 and glosten jagannathan and runkle 1993 have been found to significantly outperform their counterparts that do not accommodate the asymmetry moreover continuous time stochastic volatility models generally produce estimates of a negative correlation between return and return volatility bakshi cao and chen 1997 and bates 1997 for a review of the literature on asymmetric volatility see bekaert

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

nonlinear dynamics and stock returns simple deterministic systems are capable of generating chaotic output that mimics the output of stochastic systems for this reason algorithms have been developed to distinguish between these two alternatives these algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series in this article the authors apply these procedures to stock returns and find evidence that indicates the presence of nonlinear dependence on weekly returns from the center for research in security prices value weighted index copyright 1989 by the university of chicago

a new approach to energy consumption per capita stationarity evidence from oecd countries abstract applying a new panel stationary test procedure to data from 32 oecd countries from 1971 to 2013 this study examines the time series properties of per capita energy consumption the results indicate that energy consumption per capita follows a mean reverting process for 16 oecd countries whereas for the remaining 16 oecd countries a mean reverting process is not the case besides energy consumption per capita exhibits some sharp and smooth structural shifts breaks in its mean and or trend levels and the endogenously identified break dates correspond to specific macroeconomic events such as oil crises gulf war asian and global financial crises these results also have important policy implications for the 16 oecd countries that have stationary energy consumption per capita series government policies intended to stabilize energy demand will have no long lasting effects and therefore governments should not adopt unnecessary policy targets for energy demand level however for the remaining 16 oecd countries such policies will have long lasting effects

oil price and inflation abstract an oil price rise would be expected to result in an immediate reduction by about 20 in the standard of living of the oil importing countries and a corresponding increase in that of the oil exporters since the price rises experienced during recent years have not been reflected in wage reductions the result has been high long lasting inflation which this paper shows will increase in the coming years to more than 20 measures taken by the oil importers include energy saving which results in a still lower standard of living if instead the industrialized countries increase production by increasing energy consumption and improving production efficiency the effect of a rise in oil price will be compensated for in a few years

applied econometrics and implications for energy economics research abstract developments in applied econometrics particularly with regard to unit root tests and cointegration tests have motivated a rich empirical literature on energy economics over the last decade this study reviews recent developments in time series econometrics applications in the energy economics literature we first consider the literature on the integration properties of energy variables we begin with a discussion of the implications of whether energy variables contain a unit root and proceed to examine how results differ according to the specific unit root or stationarity test employed we then proceed to examine recent developments in the literature on cointegration granger causality and long run estimates between disaggregated energy consumption and economic growth we review both single country and panel studies and pay particular attention to studies which have expanded the literature through adding variables such as financial development and trade in addition to energy consumption to the augmented production function as well as studies which have extended the literature through examining disaggregated energy consumption by type in each case we highlight best practice in the literature point to limitations in the literature including econometric modeling challenges and suggest recommendations for future research a key message of our survey is that the profession needs to guard against overload of research in these areas as most applied studies are no longer adding anything more to what is already known

is energy consumption per capita broken stationary new evidence from regional based panels abstract for the first time a new panel unit root testing procedure developed by 51 carrion i silvestre et al 2005 breaking the panels an application to gdp per capita econometrics journal 8 159 175 is applied to re investigate the stationarity of energy consumption per capita for 7 regional panel sets covering the 1971 2002 period with structural breaks and cross sectional correlations introduced into the model it becomes clear that all regional based panels of energy consumption per capita are stationary the structural breakpoints identify the likely causes of major changes in energy consumption in the past the findings underscore the importance of accounting for exogenous shocks to a series and offer several important implications for policy makers and energy economists

long memory and disaggregated energy consumption evidence from fossils coal and electricity retail in the u s abstract in this paper the long memory properties of disaggregated fossils coal and electricity retail consumption in the u s over the 1989 2009 period are examined the presence of long memory is related to autocorrelation persistence of each series our results show that there is heterogeneity in the order of integration between these types of energy consumption and for the different sectors employed which is affected by the inclusion of a break event the order of integration was generally higher for the case of a break in the intercept than in the slope with the latter being more plausible for all series

long run equilibrium real exchange rates and oil prices abstract using cointegration and causality tests this paper demonstrates that the nonstationary behavior of us dollar real exchange rates over the post bretton woods era is due to the nonstationary behavior of real oil prices

the effects of crude oil shocks on stock market shifts behaviour a regime switching approach abstract in this paper we develop a two regime markov switching egarch model introduced by henry henry o 2009 regime switching in the relationship between equity returns and short term interest rates journal of banking and finance 33 405 414 to examine the relationship between crude oil shocks and stock markets an application to stock markets of uk france and japan over the sample period january 1989 to december 2007 illustrates plausible results we detect two episodes of series behaviour one relative to low mean high variance regime and the other to high mean low variance regime furthermore there is evidence that common recessions coincide with the low mean high variance regime in addition we allow both real stock returns and probability of transitions from one regime to another to depend on the net oil price increase variable the findings show that rises in oil price has a significant role in determining both the volatility of stock returns and the probability of transition across regimes

asymmetric predictability of conditional variances we show that there is an asymmetry in the predictability of the volatilities of large versus small firms using both univariate and multivariate arma garch m parameterizations we find that volatility surprises to large market value firms are important to the future dynamics of their own returns as well as the returns of smaller firms conversely however shocks to smaller firms have no impact on the behavior of either the mean or the variance of the returns of larger capitalization companies article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

price of oil and world inflation and recession new evidence shows that the commonly held assumption that the 1973 74 oil price increase directly affected us and world inflation and subsequent recession is consistent with the empirical data an extended lucas varro real income equation applied to the us united kingdom canada france germany italy japan and the netherlands gives mixed results partly because of price control and decontrol programs simulation experiments on the price control variable using us data finds strong effects further studies can be made when consistent international data is available for the 1979 80 period 18 references 4 figures 3 tables dck

stability analysis of financial contagion due to overlapping portfolios abstract common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis we develop a network approach to the amplification of financial contagion due to the combination of overlapping portfolios and leverage and we show how it can be understood in terms of a generalized branching process this can be used to compute the stability for any particular configuration of portfolios by studying a stylized model we estimate the circumstances under which systemic instabilities are likely to occur as a function of parameters such as leverage market crowding diversification and market impact although diversification may be good for individual institutions it can create dangerous systemic effects and as a result financial contagion gets worse with too much diversification there is a critical threshold for leverage below it financial networks are always stable and above it the unstable region grows as leverage increases note that our model assumes passive portfolio management during a crisis however we show that dynamic deleveraging during a crisis can amplify instabilities the financial system exhibits robust yet fragile behavior with regions of the parameter space where contagion is rare but catastrophic whenever it occurs our model and methods of analysis can be calibrated to real data and provide simple yet powerful tools for macroprudential stress testing

is monthly us natural gas consumption stationary new evidence from a garch unit root test with structural breaks we apply a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks to united states monthly natural gas consumption we find that united states monthly natural gas consumption is stationary our results illustrate the importance of accounting for heteroskedasticity when testing for a unit root in energy consumption with higher frequency data

rational contagion and the globalization of securities markets this paper argues that globalization may promote contagion by weakening incentives for gathering costly information and by strengthening incentives for imitating arbitrary market portfolios in the presence of short selling constraints the gain of gathering information at a fixed cost may diminish as markets grow moreover if a portfolio manager s marginal cost for yielding below market returns exceeds the marginal gain for above market returns there is a range of optimal portfolios in which all investors imitate arbitrary market portfolios and this range widens as the market grows numerical simulations suggest that these frictions can have significant implications for capital flows in emerging markets

a re examination of stationarity of energy consumption evidence from new unit root tests abstract in this paper we re examine the stochastic behaviour of per capita total primary energy consumption across 178 countries around the world for this purpose in addition to conventional unit root tests we apply newly developed tests that allow for nonlinear adjustments and structural breaks in the data generating process the results of the unit root tests show that allowing for structural breaks and nonlinearity result in more frequent rejection of the null hypothesis of unit root suggesting that most of the series under consideration follow a stationary process these findings imply that both energy economists and policy makers must be careful and take account of possible nonlinearities and structural breaks in their analyses of energy consumption in addition the results imply that government interventions into the energy markets in most countries have no effect in the long run although the short run effects of the interventions depend on the size and the direction of interventions

long memory in us disaggregated petroleum consumption evidence from univariate and multivariate lm tests for fractional integration previous studies that have tested for a unit root in aggregate energy consumption have potentially reached misleading conclusions because they fail to allow for the possibility that energy consumption might be fractionally integrated and do not distinguish between different types of energy consumption this study tests for long memory in disaggregated petroleum consumption in the united states using univariate and multivariate lagrange multiplier lm tests for fractional integration the results point strongly to the need to distinguish between different forms of energy consumption and allow for a generalization of the i 0 i 1 dichotomy when considering the order of integration of energy consumption allowing for short run dynamics the univariate test suggests that less than 50 of the series are fractionally integrated consistent with expectations the non stationary series are found to have the highest mean and standard deviation the multivariate test suggests that petroleum consumption in the commercial and industrial sectors is clearly fractionally integrated when allowing for short run dynamics and as such exhibits persistent effects while petroleum consumption in the residential sector is a stationary process

some evidence on hysteresis in unemployment rates abstract we propose an unobserved components model to evaluate unemployment data for evidence on hysteresis effects unemployment is decomposed into a natural rate component assumed to be nonstationary and a cyclical component assumed to be stationary hysteresis effects are modelled by allowing lagged cyclical unemployment to affect the current natural rate the model is estimated using canadian german u k and u s unemployment rate series we find substantive hysteresis effects in the canadian german and u k unemployment series hysteresis effects in the u s unemployment series are negligible

evaluating the dynamic performance of energy portfolios empirical evidence from the dea directional distance function abstract in recent years the complex global energy commodity market has led to increased uncertainty for energy investment returns and tremendous challenges for investors to design appropriate energy portfolios therefore we employ four popular portfolio methods to determine energy portfolios based on daily fossil fuel futures prices during 2006 2015 moreover we use the dea window analysis method and dea directional distance function to comprehensively evaluate the dynamic performance of these energy portfolios based on the efficiency perspective the empirical results indicate that first to increase investment returns the mean variance method that exclusively emphasizes the maximization of returns shows the best performance however in order to decrease the volatility and risk of investment returns the mean variance method that aims to resist risk more than make profits and the bootstrap historical simulation value at risk var method have the best performance second when the global financial crisis broke out in the second half of 2008 and energy markets experienced a sharp downturn in the second half of 2014 the dea efficiency of energy portfolios appeared relatively lower than those of their neighboring periods regardless of which portfolio method is employed finally the average dea efficiencies of energy portfolios are all higher than those of single energy investment throughout the sample period except when the equally weighted method and the information entropy comprehensive index method are used meanwhile the mean variance method that prefers profit making to risk resisting possesses the highest average dea efficiency among various methods concerned

are shocks to energy consumption permanent or temporary evidence from 182 countries this article applies univariate and panel data unit root tests to annual panel data for 182 countries over the period 1979 2000 to examine the stationarity properties of per capita energy consumption the univariate unit root test can only reject the unit root null for 56 countries or 31 of the sample at the 10 level or better however univariate unit root tests have low power with short spans of data and therefore failure to reject the unit root null should be treated with caution when we apply the panel data unit root test we find overwhelming evidence that energy consumption is stationary we discuss the policy implications of these findings and offer suggestions for future research

are shocks to natural gas consumption temporary or permanent evidence from a panel of u s states abstract this short communication examines whether or not u s natural gas consumption follows a stationary process unlike previous research that has focused on regional country or industrial sector based panel studies this study undertakes a sub national investigation of natural gas consumption for the 50 u s states levin et al 2002 im et al 2003 maddala and wu 1999 and hadri 2000 panel unit root and stationarity tests reveal that natural gas consumption is integrated of order one however once allowance is made for endogenously determined structural breaks the carrion i silvestre et al 2005 im et al 2005 and westerlund 2005 panel unit root and stationarity tests indicate that natural gas consumption is integrated of order zero discussion of the structural breaks is briefly surveyed in relation to the natural gas industry s response to legislative actions

market integration and price transmission in the u s natural gas market from the wellhead to end use markets abstract examination of the upstream downstream pricing behavior in u s natural gas industry reveals that a natural gas markets are integrated but subject to regime shifts and asymmetric adjustments suggesting market imperfections b demand and supply side shocks play important roles in determining short run price movements as evidenced by tests of causality and impulse response functions c the response of end use prices to deviations from equilibrium with wellhead prices vary electrical industrial and city gate prices adjust fast while commercial and residential prices adjust slowly consistent with the role of administered pricing in later markets d long run variations in end use prices are primarily due to their own shocks while long run variations in wellhead prices are due to innovations in residential and electrical prices these findings point to the importance of demand shocks as the primary determinant of natural gas prices in the long run

are fluctuations in energy consumption per capita transitory evidence from a panel of pacific island countries this study applies the panel stationarity test developed by carrion i silvestre et al 2005 breaking the panels an application to gdp per capita econometrics journal 8 159 175 to examine the stationarity of energy consumption per capita for a panel of 13 pacific island countries over the period 1980 2005 this test has the advantage that it allows for multiple structural breaks at unknown dates that can differ across countries and can account for all forms of cross sectional correlation between countries the conclusion from the study is that energy consumption per capita in approximately 60 of countries is stationary and that energy consumption per capita for the panel as a whole is stationary the study offers several suggestions for modelling energy consumption and policy making in the pacific islands

trading asymmetric trend and volatility by leverage trend garch in taiwan stock index this article develops a leverage trend generalized autoregressive conditional heteroscedasticity garch model by incorporating asymmetric trend of returns of the exponential autoregressive and asymmetric volatility of garch models to study the asymmetric effects using in sample daily data of taiex over the period 4 january 1980 to 25 august 1997 and postsample daily data over the period 26 august 1997 to 10 september 2007 the evidence reveals that a curvaceous risk return relationship and both asymmetric volatility and asymmetric trend of returns are significant in taiex the episode of asymmetric trend of returns is that the positive information creates a higher return trend than the negative information of the same amount while similarly to most studies the evidence of asymmetric volatility appears that the negative information makes a higher volatility than the positive information of the same size most remarkably we evidence that the volatility asymmetry effect is a conservative trading factor

income and co2 emissions evidence from panel unit root and cointegration tests abstract this paper re investigates the stationarity properties of per capita carbon dioxide co 2 emissions and real gross domestic product gdp per capita for 109 countries within seven regional panel sets covering 1971 2003 we apply the recent unit root test of the panel seemingly unrelated regressions augmented dickey fuller suradf test developed by breuer et al 2001 misleading inferences from panel unit root tests with an illustration from purchasing power parity review of international economics 9 482 493 2002 series specific unit root tests with panel data oxford bulletin of economics and statistics 64 527 546 the panel suradf test accounts for the presence of cross country correlations in the data and the parameters in the panel specification vary across countries more importantly this test allows us to identify how many and which members of the panel contain a unit root overall our empirical results illustrate that real gdp and co 2 emissions in these countries are a mixture of i 0 and i 1 processes and that the traditional panel unit root tests could lead to misleading inferences as well as the conduct of cointegration analysis being perhaps inappropriate the results of our analysis carry critical implications for the modeling of co 2 emissions and gdp because of the different orders of integration for the two variables

structural break unit root and the causality between energy consumption and gdp in turkey abstract this paper tries to investigate a series of unit root and causality tests to detect causality between the gdp and energy consumption in turkey employing hsiao s version of granger causality method for the 1950 2000 period the conventional unit root tests indicate the series are i 1 whereas the endogenous break unit root tests proposed by zivot and andrews zivot e and andrews d w k 1992 further evidence on the great crash the oil price shock and the unit root hypothesis journal of business and economics statistics 10 251 270 and perron perron p 1997 further evidence on breaking trend functions in macroeconomic variables journal of econometrics 80 355 385 reveal that the series are trend stationary with a structural break therefore it is inappropriate to take the first difference of the data to achieve stationarity the main conclusion of this study is that there is no evidence of causality between energy consumption and gdp in turkey based on the detrended data

the asymmetric effects of oil price and monetary policy shocks a nonlinear var approach in this paper we investigate the asymmetric effects of oil price shocks and monetary policy on macroeconomic activity using monthly data for the united states over the period from 1983 1 to 2008 12 in doing so we use a logistic smooth transition vector autoregression var as detailed in terasvirta and anderson 1992 and weise 1999 and make a distinction between two oil price volatility regimes high and low using the realized oil price volatility as a switching variable we isolate the effects of oil price and monetary policy shocks and their asymmetry on output growth and following koop et al 1996 and weise 1999 we employ simulation methods to calculate generalized impulse response functions girfs to trace the effects of independent shocks on the conditional means of the variables our results suggest that in addition to the price of oil oil price volatility has an impact on macroeconomic activity and that monetary policy is not only reinforcing the effects of oil price shocks on output it is also contributing to the asymmetric response of output to oil price shocks

diversification and systemic risk abstract portfolio diversification makes investors individually safer but creates connections between them through common asset holdings such connections create endogenous covariances between assets and investors and enhance systemic risk by propagating shocks swiftly through the system we provide a theoretical model in which shocks spread through constrained selling from n diversified portfolio investors in a network of asset holdings with home bias and study the desirability of diversification by comparing the multivariate distribution of implied losses for every level of diversification there may be a region on the parameter set for which the propagation effect dominates the individually safer one we derive analytically the general element of the covariance between two assets i and j we find agents may minimize their exposure to endogenous risk by spreading their wealth across more and more distant assets the resulting network enhances systemic stability

the employment and wage effects of oil price changes a sectoral analysis in this paper we use micro panel data to examine the effects of oil price changes on employment and real wages at the aggregate and industry levels we also measure differences in the employment and wage responses for workers differentiated on the basis of skill level we find that oil price increases result in a substantial decline in real wages for all workers but raise the relative wage of skilled workers the use of panel data econometric techniques to control for unobserved heterogeneity is essential to uncover this result which is completely hidden in ols estimates while the short run effect of an oil price increase on aggregate employment is negative the long run effect is in fact positive we find that changes in oil prices induce changes in employment shares and relative wages across industries however we find little evidence that oil price changes cause labor to consistently flow into those sectors with relative wage increases copyright 1996 by mit press

a literature survey on energy growth nexus abstract this paper provides a survey of the recent progress in the literature of energy consumption economic growth and electricity consumption economic growth causality nexus the survey highlights that most empirical studies focus on either testing the role of energy electricity in stimulating economic growth or examining the direction of causality between these two variables although the positive role of energy on growth has become a stylized fact there are some methodological reservations about the results from these empirical studies a general observation from these studies is that the literature produced conflicting results and there is no consensus neither on the existence nor on the direction of causality between energy consumption electricity consumption and economic growth as a policy implication to avoid from conflicting and unreliable results the authors may use the autoregressive distributed lags bounds test two regime threshold co integration models panel data approach and multivariate models including new variables such as real gross fixed capital formation labor force carbon dioxide emissions population exchange rates interest rates etc thus the authors should focus more on the new approaches and perspectives rather than by employing usual methods based on a set of common variables for different countries and different intervals of time

structural breaks and petroleum consumption in us states are shocks transitory or permanent abstract this short communication extends the literature on the stationarity of energy consumption to the case of us petroleum consumption at the state level from 1960 to 2007 the results of lee and strazicich 2003 and narayan and popp forthcoming unit root tests with endogenously determined structural breaks in the intercept and slope of the trend function reveal break dates that correspond to the two opec oil shocks of the 1970s along with the double dip recession of 1980 1982 the null hypothesis of a unit root in petroleum consumption is rejected for a majority of states these results highlight the importance of recognizing the heterogeneity in the behavior of petroleum consumption across states in the formulation of energy conservation and demand management policies