modelling the joint determination of household labour supplies and commodity demands in addition to choosing the allocation of total expenditure between commodities households may also be able to make decisions over the allocation of their time between market work and leisure in both theoretical and empirical work it has often been the case that these decisions have been analysed separately in this paper we stress the theoretical attractions of considering the joint determination of the allocation of time between work and leisure and the allocation of total expenditure between commodities in a utility maximising framework using a sample of individual households we attempt to evaluate the empirical importance of the joint determination model over the separate determination of labour supplies and commodity demands our approach follows that of abbott and ashenfelter i976 phlips i978 barnett i979 deaton and muellbauer i980 and atkinson and stern i980 here we pay particular attention to the following four important aspects of household decision making over commodity demand and labour supply the first concerns the commonly assumed restriction on the household s preferences of weak separability between goods and leisure this assumption allows the estimation of commodity demand systems and engel curves that exclude wage rate variables in cross section household budget data with large variation in wage rates across the sample the invalidity of this assumption would involve a serious mis specification any correlation between the excluded wage variable and the included price income and demographic variables would lead to biased parameter estimates and hence biased estimated elasticities similarly this assumption allows the estimation of labour supply curves that exclude relative price variables and its invalidity could produce biased labour supply elasticities a second aspect of household decision making which we wish to highlight arises from the suspicion commonly alluded to in labour economics texts that primary male workers may not be free to choose their hours of work thus we estimate a matched pair of rationed and unrationed systems following the work of neary and roberts i 980 and deaton and muellbauer i 979 the separability restriction is not unrelated to this point since without it we will see that the rationed hours of work enter demand systems in a complex fashion in effect

the effect of advance notification of plant closings on unemployment using data from the 1984 displaced worker survey the authors model the determinants of time without work following job displacement for a large sample of workers laid off because of plant shutdowns between 1979 and 1984 the major focus of the paper is on the role of advance notification in mitigating unemployment the estimating procedure accommodates right censored observations stemming from continuing or open ended spells of unemployment advance notification is found to have significantly reduced the duration of unemployment of those notified workers who did not draw unemployment insurance benefits and in particular of those who left the plant prior to termination advance notice had much less effect on the time without work of notified workers whose spell length of unemployment was long enough for them to collect unemployment insurance benefits

a comparison of petroleum futures versus spot prices as predictors of prices in the future abstract even though studies have indicated that the futures market leads the spot market in price discovery this paper hypothesizes that the predictive significance of each should be the same a number of different statistical tests are presented to test this hypothesis when deseasonalized data is employed the predictive significance of each series is found to be the same but when actual prices are employed futures prices did correctly anticipate the observed seasonal pattern

supply and demand driven oil price changes and their non linear impact on precious metal returns a markov regime switching approach abstract this paper examines the nonlinear effect of oil price shocks on precious metal returns using markov regime switching regression we use ready s 2018 approach to decompose oil price changes into supply demand and risk driven shocks results indicate a significant positive impact of demand and supply shocks and a negative impact of risk shocks on precious metal returns although we find evidence of switching between low and high volatility regimes we do not find strong regime effect on supply or demand shocks contemporaneous relationship with precious metal returns however risk shocks influence on precious metal returns is strongly regime dependent these results generally hold for different distributional specification of error terms

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

modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition based copula method abstract this study combines the variational mode decomposition vmd method and static and time varying symmetric and asymmetric copula functions to examine the dependence structure between crude oil prices and major regional developed stock markets s p500 stoxx600 djpi and tsx indexes during bear normal and bull markets under different investment horizons furthermore it analyzes the upside and downside short and long run risk spillovers between oil and stock markets by quantifying three market risk measures namely the value at risk var conditional var covar and the delta covar covar the results show that there is a tail dependence between oil and all stock markets for the raw return series by considering time horizons we show that there is an average dependence between the considered markets for the short run horizons however the tail dependence is also found for the long run horizons between the oil and stock markets with the exception of the s p500 index which exhibits average dependence with the oil market moreover we find strong evidence of up and down risk asymmetric spillovers from oil to stock markets and vice versa in the short and long run horizons finally the market risk spillovers are asymmetric over the time and investment horizons

the impact of oil shocks on exchange rates a markov switching approach abstract this paper uses markov switching models to investigate the impact of oil shocks on real exchange rates for a sample of oil exporting and oil importing countries this is an important topic to study because an oil shock can affect a country s terms of trade which can affect its competitiveness we detect significant exchange rate appreciation pressures in oil exporting economies after oil demand shocks we find limited evidence that oil supply shocks affect exchange rates global economic demand shocks affect exchange rates in both oil exporting and importing countries though there is no systematic pattern of appreciating and depreciating real exchange rates the results lend support to the presence of regime switching for the effects of oil shocks on real exchange rates

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

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

modeling oil price us stock nexus a varma bekk agarch approach abstract this study adds to the existing literature on oil price us stock nexus in three ways first it employs the varma agarch model developed by mcaleer et al 2009 within the context of bekk framework using west texas intermediate wti and brent as proxies for oil market and s p stocks as a proxy for us stock market secondly it modifies the model to include endogenously determined structural break using the general structure for analyzing breaks with unit roots in perron 2006 third it uses the adopted model to compute optimal portfolio weight and hedge ratios between oil price and us stocks using different sample data based on the break date on average our empirical evidence suggests a significant positive return spillover from us stock market to oil market and bi directional shock spillovers between the two markets in addition there is significant own asymmetric shock effect in both markets while volatility spillover from oil market to stock market became pronounced after the break which coincides with the period of global economic slowdown similarly the results of portfolio management differ across the sample data more importantly we find that ignoring structural break when it exists may exaggerate hedging effectiveness

oil shock and economic growth in japan a nonlinear approach abstract this paper investigates the relationship between oil price shock and economic growth on the basis of the nonlinear approach developed by hamilton hamilton j 2001 a parametric approach to flexible nonlinear inference econometrica 537 573 we use the approach also in hamilton hamilton j 2003 what is an oil shock journal of econometrics 363 398 of capturing this relationship in japan in a nonlinear model the idea is that negative oil price shocks price increase tend to have larger impact on growth than positive shocks do our empirical evidence confirmed the existence of nonlinearity between these two variables and a flexible nonlinear model is estimated additionally several other form of nonlinearity are estimated and tested

do green investments react to oil price shocks implications for sustainable development abstract this study investigates whether green investments are connected to oil price shocks while earlier papers mainly investigate the linkage between clean energy stock and crude oil prices we consider recently introduced environmental indexes consisting of companies that use eco friendly production processes and develop green infrastructures using the markov regime switching regression approach we observe that the effect of crude oil prices on environmental investments appears to be statistically insignificant albeit positive in most of the cases one possible reason behind such a finding is that the oil dependence is limited to the case of eco friendly firms the results further indicate switching between low and high volatility regimes implying that there exist high and low volatility states for green assets given that growing concerns about climate change and energy security would inspire market participants shift towards ethical investments our results could be of interest to investors aiming at decarbonizing their portfolios by including more environmental assets one important finding of our empirical analysis is that green assets are found to be more susceptible to oil market volatility rather than to oil price fluctuations this is a novel finding given that prior literature focusing on the association of oil sectors and green assets mainly consider the information on oil prices rather than oil volatility hence our study aims to conceal an important void in the exiting literature

volatility spillovers among oil and stock markets in the us and saudi arabia in this article we use high frequency data and an identification via changes in volatility approach to assess the volatility spillovers among oil and the us and saudi arabian stock markets we doc

efficient market hypothesis evidence from a small open economy this article studies the efficient market hypothesis for the istanbul stock exchange national 100 isen 100 price index within the lumsdaine and papell two structural breaks unit root test framework the main finding of the article shows that the isen 100 index is characterized by a unit root with two structural breaks which is consistent with the efficient market hypothesis in addition the article applies the augmented dickey fuller test runs test and the variance ratio test to test the weak form efficiency of the isen 100 the analyses are repeated for three sub periods delineated in view of the endogenously determined break points

price discovery in oil markets a time varying analysis of the 1990 1991 gulf conflict abstract this study examines the behaviour of crude oil spot and futures markets in the uk and usa during the 1990 1991 gulf conflict the objective is to investigate the relative ability of spot and futures markets to impound information this is achieved with the use of a generalized model of price discovery which represents a synthesis of the two most commonly used methodologies in its field emphasis is placed on the time varying nature of price discovery relationships results indicate that such relationships are strongly temporal these findings offer new insights into the nature of relationships between spot and futures markets

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

the dependence and risk spillover between crude oil market and china stock market new evidence from a variational mode decomposition based copula method abstract this paper examines the dependence structure between crude oil market and china stock market over different investment horizons before and after the recent financial crisis by combining the variational mode decomposition vmd method with various static and time varying copulas based on the decomposed time series and the copula dependence the value at risk var conditional var covar and delta covar covar are quantified to analyze the upside and downside risk spillovers from oil market to china stock market in raw short and long run investment horizons before and after the financial crisis the empirical results show that first the recent financial crisis enhances the dependences between the crude oil market and china stock market and the long run dependence increases more significantly than that of short run for the raw return series there are symmetric upper and lower tail dependencies in full sample and pre crisis subsample periods but an average dependence in post crisis subsample period second the var of china stock market increases heavily around the financial crisis but the average var after the crisis deceases compared to the risk before the crisis third the risk spillovers from crude oil price to china stock market are found in each sample periods before the crisis however it mainly exists in long run horizon while after the crisis it happens in both short and long run horizons finally the risk spillovers from oil price to china stock market display strong asymmetric features with larger long term downside risk spillovers in post crisis subsample

unbiasedness and time varying risk premia in the crude oil futures market abstract this paper presents some empirical evidence on market efficiency and unbiasedness in the crude oil futures market and some related issues on the basis of monthly observations on spot and futures prices of the west texas intermediate wti crude oil several tests are carried out on the relevant hypotheses the evidence suggests that futures prices are neither unbiased nor efficient forecasters of spot prices furthermore a garch m 1 1 model reveals the existence of a time varying risk premium

a trivariate model of participation fertility and wages the italian case italy has unusually low fertility by organization of economic cooperation and development standards accompanied by unusually low female participation in paid work this paper addresses the issue of the empirical relationship between fertility female participation in the labor market and wages with these italian peculiarities as a backcloth a trivariate model of participation fertility and wages has been constructed and estimated using three pooled cross sections of italian micro data allowing for the identification of cohort effects this model follows a purist approach the participation and fertility decisions as well as the wage equation are modeled as completely joint the cohort effects turn out to be significant the point estimates do not appear to confirm actual trends which are negative for fertility and positive for participation the female wage is the most important variable influencing the propensity to have children and the propensity to participate in the labor market casting doubt on suggestions that observed trends are the products of shifts in womens tastes authors

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

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

is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters although the link between oil prices and dollar exchange rates has been frequently analyzed a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided in addition previous studies have mostly neglected nonlinearities which for example may stem from exogenous oil price shocks using monthly data for various oil exporting and oil importing countries this study contributes to the clarification of those issues we discriminate between long run and time varying short run dynamics using a markov switching vector error correction model in terms of causality the results differ between the economies under observation but suggest that the most important causality runs from exchange rates to oil prices with a depreciation of the dollar triggering an increase in oil prices on the other hand changes in nominal oil prices are responsible for ambiguous real exchange rate effects mostly through the price differential and partly also through a direct influence on the nominal exchange rate overall the fact that the adjustment pattern frequently differs between regimes underlines the fact that the relationships are subject to changes over time suggesting that nonlinearities are an important issue when analyzing oil prices and exchange rates

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

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

careers and motherhood policies for compatibility this paper examines the economic issues relevant to policy debates that surround the increasing labour force participation of mothers we review the main changes in women s labour market participation in britain the main source of increase in women s participation rates has come from mothers returning to work after child birth after progressively shorter intervals the major influences on this behaviour and the length of time spent out of work over the first childbirth and the associated empirical work are also reviewed these changes have raised issues relevant to maternity and parental leave childcare provision employers family friendly working arrangements and children s welfare the paper makes some recommenda tions about how to further gender equity in a form compatible with family life

the causal nexus between oil prices and equity market in the u s a regime switching model abstract the aim of this paper is to analyse the causal link between monthly oil futures price changes and a sub grouping of s p 500 stock index changes the causal linkage between oil and stock markets is modelled using a vector autoregressive model with time varying parameters so as to reflect changes in granger causality over time a markov switching vector autoregressive ms var model in which causal link between the series is stochastic and governed by an unobservable markov chain is used for inferring time varying causality although we do not find any lead lag type granger causality the results based on the ms var model clearly show that oil futures price has strong regime prediction power for a sub grouping of s p 500 stock index during various sub periods in the sample while there is a weak evidence for the regime prediction power of a sub grouping of s p 500 stock indexes the regime prediction non causality tests on the ms var model show that both variables are useful for making inference about the regime process and that the evidence on regime prediction causality is primarily found in the equation describing a sub grouping of s p 500 stock market returns the evidence from the conditional non causality tests shows that past information on the other series fails to improve the one step ahead prediction for both oil futures and stock returns

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