union coverage and profitability among u s firms this paper utilizes unique survey data on labor union coverage at the firm level to examine union effects on the profitability of 705 u s companies during the 1970s market value and earnings are estimated to be about 10 15 percent lower in an average unionized company than in a nonunion company following extensive control for firm and industry characteristics deleterious union effects on firm profitability are sizable throughout the 1972 80 period but vary considerably across industries the relatively poor profit performance of unionized companies may help explain the recent decline in u s union membership the author thanks the w e upjohn institute for employment research for financial support elizabeth gregory for assistance with the union coverage survey zvi griliches for providing access to the rd donald deere terry seaks and anonymous referees for helpful suggestions and seminar participants at connecticut florida state harvard texas a m and william and mary for comments on earlier versions of this research

income elasticities of exports and imports a re examination of the empirical evidence it is conclusively shown that in times of world wide economic expansionceteris paribus developing countries balance of trade accounts improve but those of developed countries deteriorate

common trends and common cycles in regional crime this paper uses the vahid and engle journal of applied econometrics 8 341 360 1993 common trend common cycle approach to model the dynamics of regional crime rates in england over the period

monetary union in west africa and business cycles synchronicity new evidence in the light of the initiative of the west african monetary zone wamz to introduce a common currency by 2020 this paper investigates the intricacies of the business cycles synchronicity among the six countries given i the rising importance of trade and cooperation with china ii the consideration of the euro as a potential anchor currency and a vehicle for trade with the eurozone and iii the importance of nigeria as the largest country of the group and the main supplier of oil we investigate the relative importance of these three major players in having their business cycles linked with the group in addition we investigate the underlying determinants of the business cycles synchronicity among the wamz countries on a pairwise basis results show a clear dominance of china s business cycle synchronicity with the wamz over europe s and nigeria s trade integration emerges as the key underlying factor of the common cycle observed

balance of payments the harrod foreign trade multiplier and economic growth the european and north american experience 1970 85 1988 balance of payments the harrod foreign trade multiplier and economic growth the european and north american experience 1970 85 applied economics vol 20 no 12 pp 1635 1642

cliometrics and time series econometrics some theory and applications the paper discusses a range of modern time series methods that have become popular in the past 20 years and considers their usefulness for cliometrics research both in theory and via a range of applications issues such as spurious regression unit roots cointegration persistence causality structural time series methods including time varying parameter models are introduced as are the estimation and testing implications that they involve applications include a discussion of the timing and potential causes of the british industrial revolution income convergence and the long run behaviour of english real wages 1264 1913 finally some new and potentially useful developments are discussed including the mildly explosive processes graphical modelling and long memory

the harrod foreign trade multiplier and economic growth in asian countries the validity of the harrod foreign trade multiplier for 11 asian countries is tested the results obtained generally support thrilwall s specification of the multiplier this suggests in an open economy relevant economic management is the factor that manipulates the income elasticities of exports and imports

energy consumption at business cycle horizons the case of the united states in this paper we propose a simple extension to a keynesian type macro model by augmenting it with energy consumption we show the relationship between energy consumption and output in a macroeconomic setting and ask the question do permanent shocks dominate changes in energy consumption and output at business cycle horizons for the united states to achieve the goal of this paper we undertake a variance decomposition analysis of shocks based on a common trend and common cycle framework within a vector error correction model our main finding is that permanent shocks explain the bulk of the variations in energy consumption and output at business cycle horizons for the united states

monetary policy synchronization in the asean 5 region an exchange rate perspective in light of the long standing vision of economic and monetary integration in the asean association of southeast asian nations region and the importance of coordinating monetary policies to achieve it the objective of this article is to assess the monetary policy synchronization among the founding members of the asean that is indonesia malaysia the philippines singapore and thailand due to the importance of exchange rate movements to monetary policies we approach this issue from a currency exchange rate perspective specifically multivariate trend cycle decomposition is employed to investigate common trends and common cycles among the exchange rates of these countries during the period 1976 2012 our analysis reveals that the real exchange rates of malaysia the philippines singapore and thailand share common cycles in the short term and have common trends in the long term but the indonesian currency does not share these relationships thus our results augur well for the synchronization of mo

testing for common features in north american energy markets abstract using recent advances in the field of applied econometrics we explore the strength of shared trends and shared cycles between north american natural gas and crude oil markets in doing so we use daily data from january 1991 to april 2001 on spot u s henry hub natural gas and wti crude oil prices the results show that there has been decoupling of the prices of these two sources of energy as a result of oil and gas deregulation in the united states we also investigate the interconnectedness of north american natural gas markets and find that north american natural gas prices are largely defined by the u s henry hub price trends

common trends and common cycles in international labor productivity abstract the objective of this paper is to present a trend cycle decomposition of the industrial labor productivity series in six major industrialized countries to study the relationship between trend and cycle innovations and to highlight the role of monetary policy as a possible source of transitory and permanent variations in labor productivity

common and uncommon trends and cycles abstract the paper discusses the concepts of co movements of macro variables in the short run and the long run when different trend cycle decompositions are considered moreover it specifies a model for the trend where identification is achieved by imposing restrictions on the shape of the impulse response function to the permanent shock this is a multivariate generalization of lippi and reichlin 1994 where the trend and the cyclical components are easily derived from the estimation of a var model an empirical section illustrates differences in implications between our suggested decomposition and other decompositions widely used in the literature for a bivariate case of cointegrated variables

unions and monopoly profits using cross sectional data for u s manufacturing the author identifies a negative effect of unions on the profits of highly concentrated industries and virtually no effect on the profits of unconcentrated industries the results for concentrated industries are explained in terms of the monopoly model which predicts a negative effect of unions on profits equivalent to the change in employer s surplus the monopoly model also suggests that previous profit studies which omitted the union variable were likely to significantly underestimate the relationship between concentration and profits this prediction is also supported by empirical evidence m sany studies have demonstrated the ability of unions to raise wages above the level of nonunion workers higher union wages in turn may affect the level of prices employment capital intensity productivity and profits recent studies by clark 1982 and freeman 1983 have found significant negative effects of unions on profit rates in the united states using line of business data from 1970 to 1980 for 900 firms clark found a negative effect of unions on the rate of return to capital more specifically the union effects were found to be significantly negative when market shares were low and insignificant when market shares were high according to clark the absence of a union effect in the latter case can be explained by the ability of firms with market power to pass on higher union wages into higher prices 1982 p 47 on the other hand freeman 1983 using data from the survey of manufactures from 1958 to 1976 and the internal revenue service from 1965 to 1976 also found a negative effect of unions on profits contrary to clark s results however the union profit effect was negative only in concentrated industries the point of contention appears to be the role of concentration in determining the union profit effect rather than the overall negative impact of unions the results of clark and freeman are important because previous industrial organization research on profit rates generally ignored unions for instance of the forty six profit studies surveyed by weiss 1974 none included a union variable more recently a profit study in this review by ravenscraft 1983 using high quality line of business data from the federal trade commission also ignored unionization as will be demonstrated the omission of the union variable leads to an understatement of the effect of industrial concentration on profits this means that concentrated industries generate much greater profits than indicated by previous research in order to measure the size of the understatement a new concept employer s surplus is developed which illustrates the theoretical impact of a union wage increase on monopoly profits the empirical estimates of employer s surplus in this paper indicate how monopoly profits are divided between firms and unions most of the data used in this study were obtained from james medoff and charles brown 2 unlike the previous two studies each observation corresponds to a state by two digit sic industry for manufacturing in 1972 because of the large variations in unionization across states this data set offers a useful test of the union profit effect i employer s surplus according to accepted theory the profit maximizing monopolist will employ labor up to the point where the market wage equals the marginal revenue product mrp 3 if for simplicity we assume that all other factors are variable then the mrp curve represents the monopolist s long run demand for labor in the absence of unions employment is determined by the intersection of the mrp curve and nonunion wage wn as pictured in figure 1 if unions raise wages to wa employment will decrease from ln to l with the reducreceived for publication november 28 1983 revision accepted for publication july 6 1984 eastern washington university i am very grateful to dave bunting lisa brown bill dickens claire brown and george strauss for their valuable suggestions on this research this paper is a revised version of chapter 3 from the author s ph d thesis the union impact on profits productivity and prices university of california berkeley 1 see parseley 1980 for a recent review of this literature 2 i would like to thank brown and medoff for making these data available to me 3 marginal revenue product is equal to marginal revenue multiplied by marginal physical product see rees 1979

common trends and common cycles the existence of a serial correlation common feature among the first differences of a set of i 1 variables implies the existence of a common cycle in the beveridge nelson stock watson decomposition of those variables a test for the existence of common cycles among cointegrated variables is developed the test is used to examine the validity of the common trend common cycle structure implied by flavin s excess sensitivity hypothesis and campbell and mankiw s mixture of rational expectations and rule of thumb hypothesis for consumption and income linear independence between the cointegration and the cofeature vectors is exploited to decompose consumption and income into their trend and cycle components copyright 1993 by john wiley sons ltd

an unobserved components model that yields business and medium run cycles we generalize the unobserved components uc model to allow the permanent component to have different dynamics than the transitory components when decomposing u s economic activity using a multivariate uc model of log output consumption and investment we find that these proposed dynamics in the permanent component are statistically significant and distinct from those of the transitory components our approach provides an alternative explanation for the growth cycles identified by comin and gertler 2006 that is related to the cyclical movements in technology in a framework consistent with the beveridge and nelson 1981 decomposition

setor agricola brasileiro uma aplicacao do modelo de tendencias e ciclos comuns no periodo de 1990 a 2005 the present study analyzes the behavior of agricultural gdp real exchange rate and the current account balance agricultural in brazil during the period of 1990 to 2005 cointegration techniques were used to identify a var system with common stochastic trends and to investigate the system responses to transitories and permanent shocks the tests had proven the existence of a common trend and two cycles between the variables variance decomposition indicates that transiotories shocks account form most of the short and long run fluctuations in agricultural gdp it was found that permanent shocks explain most of the variance of the exchange rate and of the current account balance mainly in the long run

a new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle abstract this paper introduces a general procedure for decomposition of non stationary time series into a permanent and transitory component allowing both components to be stochastic the permanent component is shown to be a random walk with drift and the transitory or cyclical component is a stationary process with mean zero the decomposition methodology which depends only on past data and therefore is computable in real time is applied to the problem of measuring and dating business cycles in the portwar u s economy we find that measured expansions and contractions are of roughly equivalent duration and that our dating of cyclical episodes tends to lead the traditional nber dating and to a lesser extent the growth cycle chronology of zarnowitz and boschan 1977

some consequences of temporal aggregation in empirical analysis i derive the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class i then study the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity causality cointegration and common features an empirical example with canadian interest rates illustrates the main issues

the dynamic effects of aggregate demand and supply disturbances we interpret fluctuations in gnp and unemployment as due to two types of disturbances disturbances that have a permanent effect on output and disturbances that do not we interpret the first as supply disturbances the second as demand disturbances demand disturbances have a hump shaped mirror image effect on output and unemployment the effect of supply disturbances on output increases steadily over time peaking after two years and reaching a plateau after five years

does ppi lead cpi in brazil abstract the main question of the paper is to add an additional explanation to an economic empirical causality between ppi producer price index and cpi consumer price index that is does ppi s final stage of processing also known as final goods is a lead indicator for the cpi in the brazilian economy if so how strong or weak this relationship is is there a one way or two way causality how does exogenous shocks affect both variables in terms of future trajectories this is analysed empirically through a traditional var vector autoregressive and bvar bayesian vector autoregressive models so as to understand the dynamics of both ppi and cpi inertial and principal components and also out of sample forecasting we conclude that it can be verified that ppi final goods can be a good leading indicator for the domestic cpi purging ex in natura foods

forecasting the volatility of australian stock returns do common factors help this article develops multivariate factor models for forecasting volatility in australian stocks we suggest estimation procedures for approximate factor models that are robust to jumps when the cross sectional dimension is not very large and also work with volatility measures that have been constructed so that they contain no jump components out of sample forecast analysis shows that multivariate factor models of volatility outperform univariate models but there is little difference between simple and sophisticated factor models

measuring common cyclical features during financial turmoil evidence of interdependence not contagion abstract this paper develops a test of contagion in financial markets by considering a measure of co movement based on the notion of common cycles to detect short run co movements between a set of time series we apply our methodology to the international effects of the 1994 mexican peso crisis and the 1997 asian crisis our results can be interpreted as evidence of a high level of market co movement during all states of the world and therefore question the hypothesis of shift contagion in the transmission of financial shocks during the 1997 asian crisis and to a lesser extent the 1994 mexican crisis

permanent vs transitory components and economic fundamentals any non stationary series can be decomposed into permanent or trend and transitory or cycle components typically some atheoretic pre filtering procedure is applied to extract the permanent component this paper argues that analysis of the fundamental underlying stationary economic processes should instead be central to this process we present a new derivation of multivariate beveridge nelson permanent and transitory components whereby the latter can be derived explicitly as a weighting of observable stationary processes this allows far clearer economic interpretations different assumptions on the fundamental stationary processes result in distinctly different results but this reflects deep economic uncertainty we illustrate with an example using garratt et al s 2003a small vecm model of the uk economy

multicointegration in us consumption data the present study tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the usa in doing so the study exploits the fact that the flows of disposable income and consumption expenditure on the one hand and the stock of consumers wealth which can be considered as cumulative past discrepancies between the flows of income and expenditure on the other hand can be thought of as a stock flow model in which multicointegration is likely to occur recently developed i 2 techniques are applied for testing for multicointegrating relations and find supporting evidence for the existence of multicointegration in us consumption data

regional and outward economic integration in south east asia the subject of this article tackles macroeconomic integration of the south east asian countries south korea singapore and taiwan economically the analysis is based on notions of stochastic long run convergence and business cycle synchrony in the gross domestic products gdps relevant tests for cointegration and common serial correlation features reveal a high degree of coherence in long run growth and medium run fluctuations this allows extracting a common stochastic growth trend and a common business cycle further analysis shows that both these components are subject to stronger influences from the us than from japan convergence towards these matured economies conspicuously appears since the 1990s

productivity shocks in a sectoral real business cycle model for west germany abstract if aggregate output is driven by integrated productivity shocks then sectoral output series should display few if any cointegrating relationships similarly serial correlation cofeature should be a rare occurrence these conjectures are confirmed in an analysis with west german data however productivity shocks identified and tested in an extended version of the long and plosser real business cycle model do not contain enough unit roots to account for those found in the output series hence productivity shocks can at best provide a partial explanation for aggregate output fluctuations

the relationship between union wage and profitability effects abstract this paper presents empirical evidence on the relationship between union effects on wages and on profitability as expected unions are found to increase wages albeit significantly in smaller firms only and to reduce profitability in a sample of british engineering firms over the period 1979 1982 the key question asked is whether the observed union effect on profitability is no more than a further manifestation of the observed wage effect estimates of profit equations normalised to take account of the union wage effect do not reject the hypothesis that it is

the nobel memorial prize for robert f engle work is a fine example of best practice applied time series econometrics he identifies important dynamic economic phenomena formulates precise and interesting questions about those phenomena constructs sophisticated yet simple econometric models for measurement and testing and consistently obtains results of widespread substantive interest in the scientific policy and financial communities although many of engle s contributions are fundamental i will focus largely on the two most important the theory and application of cointegration and the theory and application of dynamic volatility models moreover i will discuss much more extensively engle s volatility models and their role in financial econometrics for several reasons first engle s nobel citation was explicitly for methods of analyzing economic time series with time varying volatility arch whereas granger s was for for methods of analyzing economic time series with common trends cointegration second the credit for

real output co movements in east asia any evidence for a monetary union of integration in the region would greatly shape the economic structure of each individual economy an d has direct implications for the effectiveness of domestic stabilisation policy and policy coordination this paper empiricall y examines the feasibility of forming a monetary union in east asia by assessing the real output co movements among these economies as suggested by the optimum curr ency area oca theory that losing monetary independence would be the major cost for adopting

the determination of profit margins in uk manufacturing this paper examines the determinants of profit margins in 91 u k manufacturing industries over the period 1983 86 it considers how the inclusion of labor market characteristics in empirical industrial organization specifications affects the estimated concentration margins relationship the empirical work pays detailed attention to the endogenous nature of variables derived from structural industrial organization models the authors report instrumental variables estimates of margins equations in which there emerges a significant role for labor market characteristics indeed both unionization and industrywide unemployment are found to depress profit margins the impact of concentration is seen to be biased downward when these variables are omitted

evidence of efficiency wage payments in uk firm level panel data efficiency wage theories have been put forward as attractive ways of explaining different aspects of the labour market to find direct evidence of efficiency wage payments has proven to be quite difficult we model various vertical spillovers from wage determination in an upstream labour market to market share performance in a downstream product market and vice versa we do this within sutton s 1991 general oligopoly model under alternative theories of the labour market rent sharing due to efficiency wages is shown to create only a downstream vertical spillover while rent sharing due to wage bargaining creates a two way vertical spillover the spillovers due to efficiency wage payments are shown to be the only downstream spillover that drives a positive relationship between a firm s wage growth and product market performance using u k firm level panel data we constrain the data with our theory to pinpoint the downstream spillover due to efficiency wage payments the spillover turns out to be significant and we claim this to be the first direct and general empirical evidence for efficiency wage payments

thirlwall s law and balance of payments constrained growth more on the debate the various criticisms that have levelled against thirlwall s law by mcgregor and swales are examined it is shown that their arguments are untenable the relationship between the necolassical law of one price and thirlwall s law is clarified thirlwall s law is not overwhelmingly rejected by the evidence as mcgregor and swales assert their suppression of the influence of the price term on the estimates used in the test proposed by mccombie is inappropriate their regression analyis is also mid specified and a preferable specification provides no support for their conclusions they repeatedly argue that thirlwall s modele cannot account for changes in market shares and the that the estimated income elasticities of demand for exports and imports cannot capture the effects of non price competition this was shown to be erroneous by mccombie and the reasons advanced are further elaborated mcgregor and swales provide another interpretation of the relationship between thirlwll s law and the harrod foreign tr

why is consumption so smooth for thirty years it has been accepted that consumption is smooth because permanent income is smoother than measured income this paper considers the evidence for the contrary position that permanent income is in fact less smooth than measured income so that the smoothness of consumption cannot be straightforwardly explained by permanent income theory the paper argues that in postwar u s quarterly data consumption is smooth because it responds with a lag to changes in income

business cycles synchronicity and income levels has globalisation brought us closer than ever research on business cycle linkages shows a tendency to model countries of relatively the same income levels jointly however the issue of whether these countries move along the same business cycles has not been formally investigated in the literature in this paper we take this approach and investigate whether each group of countries follows its own dynamics and is therefore subjected to the same business cycle and whether these cycles are independent of each other across income groups results indicate that high income per capita countries hics tend to be guided by stronger similarity in business cycles than countries in the middle mics and low income lics groups in search for an explanation of the business cycles synchronicity observed panel data analysis was explored the results from the robust fixed effects estimation show neither trade openness nor shocks to consumption underlie international business cycle synchronization but rather shocks to oil prices

testing for codependence of cointegrated variables we analyse nonstationary time series that do not only trend together in the long run but restore the equilibrium immediately in the period following a deviation while this represents a common serial correlation feature the framework is extended to codependence allowing for delayed adjustment we show which restrictions are implied for the moving average ma and vector error correction model vecm representations and put forward a generalized method of moments gmm test in addition for cases where the constraints can be uniquely imposed on a vecm a likelihood ratio test is proposed we apply the concept to us and european interest rate data examining the capability of the federal reserve bank fed and european central bank ecb to control overnight money market rates

static versus dynamic specifications and the harrod foreign trade multiplier the validity of the harrod foreign trade multiplier is tested using new econometric techniques the equations obtained still support the conclusions drawn from the results obtained in the past

common cycles in seasonal non stationary time series this paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies it is shown that common cycles are present in the hylleberg engle granger yoo decomposition of these series when there exists a linear combination of their seasonal differences which follows an ma process of order at most three the pitfalls of seasonal adjustment for common cycles analysis are also documented inference on common cycles in seasonally cointegrated series is derived from existing statistical methods for codependence concepts and methods are illustrated with an empirical analysis of the comovements between consumption and output using italian data copyright 1999 john wiley sons ltd

recent advances in modelling seasonality abstract in this paper we review recent developments in econometric modelling of economic time series with seasonality the prime focus is on econometric models which incorporate explicit descriptions of seasonal variation instead of removing this variation using a seasonal adjustment method this review centres around developments in seasonal unit root models and in periodic parameter models both in the univariate and multivariate context several empirical examples are used for illustration we also discuss several areas for further research

common features in economics and finance an overview of recent developments this introductory article offers an overview of some developments in the common features literature since the publication of the seminal article by engle and kozicki in the journal of business economic statistics in 1993 with the aim of highlighting the unifying theme of the contributions in this volume

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

output dynamics of the g7 countries stochastic trends and cyclical movements using a time series framework the paper studies the interactions of the annual real per capita gdp data of the g7 countries evidence is found of six common nonstationary processes behind the international output dynamics in addition there is evidence for the existence of a common business cycle among these countries the trend and cycle components of each output series are obtained with a procedure that accounts for the presence of both the common nonstationary and cyclical factors it is found that the relative variability and the correlation of the trend and cycle components are not similar across the g7 countries

a new approach to statistical arbitrage strategies based on dynamic factor models of prices and their performance statistical arbitrage strategies are typically based on models of returns we introduce a new statistical arbitrage strategy based on dynamic factor models of prices our objective in this paper is to exploit the mean reverting properties of prices reported in the literature we do so because to capture the same information using a return based factor model a much larger number of lags would be needed leading to inaccurate parameter estimation to empirically test the relative performance of return based and price based models we construct portfolios long short long only and equally weighted based on the forecasts generated by two dynamic factor models using the stock of companies included in the s p 500 index for constructing portfolios the empirical analysis statistically tests the relative forecasting performance using the diebold mariano framework and performing the test for statistical arbitrage proposed by hogan et al 2004 our results show that prices allow for significantly more accurate forecasts than returns and pass the test for statistical arbitrage we attribute this finding to the mean reverting properties of stock prices the high level of forecasting accuracy using price based factor models has important theoretical and practical implications

evidence for common features in g7 macroeconomic time series systems of economic data potentially exhibit a number of common features which aid both econometric modelling and economic interpretation this paper surveys a variety of common features and applies the corresponding testing and estimation techniques to systems of macroeconomic time series in the g7 countries strong evidence is found of common trends and common or co dependent cycles in the data and for two countries empirical support for common non linearities

explaining long and short run interactions in time series data in this article i extend the concept of separate cointegration to include the common feature trend cycle decomposition approach this combined approach operates a reduction of the parameter space and permits the identification of the time series long and short run constituent factors a careful assessment of their reciprocal relations in turn allows for the answering of potentially interesting economic questions to show the usefulness of the proposed methodology i apply it to the study of the relationships between the international business cycle and trade flows

does unmeasured ability explain inter industry wage differentials this paper provides empirical assessments of the two leading explanations of measured inter industry wage differentials 1 true wage differentials exist across industries and 2 the measured differentials simply reflect unmeasured differences in workers productive abilities first we summarize the existing evidence on the unmeasured ability explanation second we construct a simple model which shows that if matching is important then endogenous job change decisions can create important self selection biases even in first differenced estimates of industry wage differentials third we analyze a sample that approximates the experiment of exogenous job loss we find that i the wage change experienced by a typical industry switcher closely resembles the difference in the relevant industry differentials estimated in a cross section and ii pre displacement industry affiliation plays an important role in post displacement wage determination

measuring international business cycles by saving for a rainy day macroeconomics inevitably begins with a trend cycle decomposition of a nation s output we propose a decomposition in which consumption is the trend component and savings is the cycle component using data from the g 7 plus australia we show that this decomposition identifies international business cycles that are i more volatile ii of longer mean duration and iii less correlated across countries than the cycle component from the hodrick prescott filter we argue that this difference stems from the fact that our method imposes a basic theoretical restriction arising from the permanent income hypothesis similar to the restriction used in cochrane s 1994 decomposition resume mesurer les cycles d affaires internationaux par l epargne les travaux en macroeconomie commencent inevitablement par une decomposition du profil de la production nationale en tendance et cycles les auteurs proposent une decomposition ou la composante consommation est la tendance et l epargne est la composante cyclique utilisant les donnees du g 7 et de l australie on montre que cette decomposition identifie les cycles d affaires internationaux qui sont i plus volatiles ii d une duree moyenne plus longue et iii moins co relies entre pays que la composante cyclique a la hodrick prescott les auteurs suggerent que la difference provient du fait que leur methode impose une restriction theorique de base emergent de l hypothese du revenu permanent semblable a la restriction utilisee dans la decomposition a la cochrane 1994

statistical properties of uk house prices an analysis of disaggregated vintages the statistical properties of uk house prices are considered at a disaggregated level where disaggregation occurs according to the age or vintage of the housing given the frequency of transactions in the housing market and the sophistication of the estate agent system it might be expected that the series would share long run relationships and be subject to common short run shocks it is found via conventional techniques that both the long run and short run relationships are less pronounced than might be expected however by extending recent research concerning the testing of common features commonality in the short run cycles of the house price series is uncovered albeit with a partial lag despite this the cycles are shown to differ in terms of their asymmetric behaviour

unions and the capture of economic rents an investigation using british firm level data this paper considers the relationship between unions and profitability in a sample of large british firms in 1984 and 1985 the initial finding is that unionised firms have significantly lower profit margins than otherwise comparable non union firms tests of whether the ability of unions to influence profit margins varies with the product and labour market characteristics of the firms in which they are located are then conducted the ability of unions to capture economic rents is seen to be significantly greater in firms which have a high market share and or operate in highly unionised industries

business cycles under monetary union a comparison of the eu and us reserve districts in the usa and the 15 countries that make up the eu the comparison is suggestive of what might be expected to emerge in the way of business cycle synchronization from a monetary union between the member states of the eu now simply non decimal denominations of the euro and the national central banks of the 11 are branches of the european system of central banks many prominent observers doubted that europe would ever reach this stage and many continue to believe that monetary union between such a large and dispar ate group of countries is fundamentally unsound a key element in the argu ments of many critics of emu is the degree of business cycle asynchronicity between the member states of the eu this paper contributes to the ongoing debate by documenting key differences and similarities between business cycles in the eu and business cycles in the 12 federal reserve districts in the united states the practice of looking to the us experience for insights into the problems and functioning of a monetary union has a long precedent in the literature on fixed exchange rates in general and in the literature on emu in particular for example in making an argument for fixed exchange rates rolnick and weber 1994 note that the usa can be viewed as having a system of fixed exchange rates between currencies issued by the 12 regional federal reserve banks they argue that the notes issued by the 12 banks are not strictly ident ical and that the difference between the notes creates the possibility that the united states could have a system of floating exchange rates among the 12 federal reserve districts 1 rolnick and weber go on to examine the features of the relationship among the 12 regional federal reserve banks that make a system of fixed exchange rates between them feasible in the process drawing lessons for how a monetary union among the countries of the eu might work the analysis in this paper complements earlier analyses in a number of ways the resurgence of interest in business cycle research over the past 20

on the welfare costs of business cycle fluctuations and economic growth variation in the 20th century and beyond lucas 1987 has shown a surprising result in business cycle research the welfare cost of business cycles are very small our paper has several original contributions first in computing welfare costs we propose a novel setup that separates the eects of uncertainty stemming from business cycle uctuations and economic growth variation second we extend the sample from which to compute the moments of consumption the whole of the literature chose primarily to we gratefully acknowledge the comments of caio almeida carlos e da costa robert f engle pedro c ferreira antonio fiorencio rodolfo manuelli samuel pessoa and octavio tourinho on this or on earlier versions of this paper all errors are ours we thank cnpq brazil faperj and inct for nancial support y corresponding author

on the optimality of a gcc monetary union structural var common trends and common cycles evidence this paper examines the suitability of the proposed monetary union among the members of the gulf cooperation council gcc to do so we identify the underlying structural shocks that these economies are subject to and assess the extent to which the shocks are symmetric additionally we test for common trends and common business cycles among the gcc economies we find that while the transitory demand shocks are typically symmetric the permanent supply shocks are asymmetric furthermore we do not find synchronous long run and short run movements in output despite the progress that has been made in terms of integration our findings indicate that the conditions for forming a gcc monetary union have not as yet been met

long run and short run co movements in energy prices and the prices of agricultural feedstocks for biofuel recent expansions in biofuel production have led to concerns about an emerging new relationship between energy prices and the prices of agricultural feedstock for biofuel we provide new econometric evidence on this relationship using common trend common cycle decompositions to estimate long run and short run co movement across various energy and agricultural prices we also test for the presence of regime changes that may alter the relationship between energy and agricultural feedstock prices under certain conditions we find that co movements between energy and agricultural feedstock prices tend to dissipate in the long run which has important implications for biofuel and food policy

what moves oecd real interest rates this paper conducts a structural time series analysis of ex ante real interest rates of the five major oecd economies the relationships of rates to permanent and temporary real and nominal shocks appear to be qualitatively consistent with predictions of stochastic general equilibrium business cycle models u s real and nominal shocks are found to be the most important causes of persistence in rates but only nominal shocks cause dynamic movements that are coherent across all countries the rise in real interest rates in the early 1980s was mainly due to nominal shocks real shocks played little or no role

common cycles and common trends in the stock and oil markets evidence from more than 150 years of data abstract this paper investigates the role of permanent and transitory shocks within the framework of common cycles and common trends in explaining stock and oil prices we perform a multivariate variance decomposition analysis of monthly data on the west texas intermediate wti oil price and the s p 500 the dataset used in the study spans a long period of 150 years and therefore contains a rich history to examine both the short and long run comovement properties of oil and stock prices given that the oil and stock markets might comove both in the short and long run it is of interest to see the relative impacts of transitory and permanent shocks on both variables we find that log oil price and log s p 500 share a common stochastic trend for our full sample of september 1859 to july 2015 but a common cycle only exists during the post ww ii period full and post ww ii samples have quite different common feature estimates in terms of the impact of permanent and transitory shocks as measured by the impulse responses and forecast error variance decompositions we also find that in the short run oil is driven mostly by cycles transitory shocks and stock market is mostly driven by permanent shocks but permanent shocks dominate in the long run

how strong is co movement in employment over the business cycle evidence from state sector data abstract this study measures the extent of co movement in employment across states and sectors at business cycle frequencies the strength of co movement is quantified using the cohesion measure developed by croux forni and reichlin rev econ statist 83 2001 232 the data indicate that cohesion is generally positive for the state sector pairs although the distributions mass around relatively low values the results suggest that cohesion has risen over time and that cohesion increases with spatial aggregation evidence reveals that the measured degree of co movement is sensitive to the chosen periodicity of the data and that there is much greater cohesion across states for a given sector than across different sectors within a state an investigation into the sources of cross state variation in cohesion reveals that important determinants include the share of state employment in manufacturing the different effects of monetary policy actions on each state s employment and the degree of sectoral diversity within a state

regional income fluctuations common trends and common cycles this paper investigates trend and cycle dynamics in per capita income for the major u s regions during the 1956 1995 period cointegration and serial correlation common features information are used in jointly decomposing the series into trend and cycle components we find considerable differences in the volatility of regional cycles controlling for differences in volatility we find a great deal of comovement in the cyclical response for all regions but the far west possible sources underlying differences in regional cycles are explored such as the share of a region s income accounted for by manufacturing defense spending as a proportion of a region s income oil price shocks and the stance of monetary policy somewhat surprisingly we find that the share of manufacturing in a region seems to account for little of the variation in regional cycles relative to national cycles but manufacturing share differentially affects trend growth for four of the seven regions studied

do unions capture monopoly profits this paper challenges the conclusion reached in recent studies that unions reduce profits exclusively in highly concentrated industries from their review of previous studies and their analysis of 1977 data on 367 fortune 500 firms the authors conclude that there is no convincing evidence that concentration produces monopoly profits for unions to capture moreover they find that the union wage effect is not greater in concentrated industries as suggested by the hypothesis that unions capture concentration related profits evidence is found suggesting that a firm s market share its expenditures on research and development and its protection from foreign competition provide more likely sources for union rents than does industry concentration several recent studies have found that unions reduce profits significantly and some have concluded that this profit reduction is restricted to highly concentrated industries both conclusions are important the finding that unions reduce profitability indicates that in general the cost increasing effects of unions outweigh any positive productivity effects they may bring to the workplace such a

long and short run fisher effects new tests and new results we find fisher effects both long and short run in our full sample period and in the lengthy first sub period using mishkin s monthly data for treasury bill yields and the corresponding inflation rate recently developed cointegration techniques ahn and reinsel 1990 reinsel and ahn 1992 are used to detect a long run fisher effect the short run effect is analysed within a cointegration framework using a granger causality test that we developed in the two more recent but comparatively short sub periods since october 1979 our results indicate the fisher effect is not present in either long or short run form these methodologies and results differ from the conclusions of mishkin s 1992 recent study

can interest rates really control house prices effectiveness and implications for macroprudential policy this paper investigates how changes in the central bank policy and retail mortgage rates affected real housing prices in new zealand during the period 1999 2009 we find that real interest rates are significantly and positively related to real housing prices indicating that increases in the policy rate may not be effective in depressing real housing prices by testing interest rates we also find some evidence of housing price bubbles our findings suggest that the central bank could have limited housing price bubbles if it had started to intervene in the housing market prior to 2003 our results set international exemplars for using policy rates or macroprudential tools to cool the housing market where the extent of policy rate adjustments is limited by internal or external economic factors