the federal funds rate and the channels of monetary transmission the authors show that the interest rate on federal funds is extremely informative about future movements of real macroeconomic variables then they argue that the reason for this forecasting success is that the funds rate sensitively records shocks to the supply of bank reserves that is the funds rate is a good indicator of monetary policy actions finally using innovations to the funds rate as a measure of changes in policy the authors present evidence consistent with the view that monetary policy works at least in part through credit i e bank loans as well as through money i e bank deposits copyright 1992 by american economic association

for better or for worse till the human development index do us part abstract this paper describes the results of research intended to explore the volatility inherent in the united nations development programme s undp human development index hdi the hdi is intended to be a simple and transparent device for comparing progress in human development and is an aggregate of life expectancy education and gdp per capita values of the hdi for each country are presented in the human development reports hdrs the first being published in 1990 however while the methodology is consistent for all countries in each year there are notable differences between years that make temporal comparisons of progress difficult the paper presents the results of recalculating the hdi for a simplified sample of 114 countries using various methodologies employed by the undp the results are a set of deviations of recalculated hdi ranks compared to the original ranks given in the hdrs the volatility that can result from such recalculation is shown to be substantial 10 15 ranks yet reports in the popular press are frequently sensitive to movements of only a few ranks such movement can easily be accounted for by changes in the hdi methodology rather than genuine progress in human development while the hdrs often carry warnings about the inadvisability of such year on year comparisons it is argued that the existence of such a high profile index and the overt presentation within league tables do encourage such comparison assuming that the hdi will be retained as a focal point within the hdrs then it is suggested that greater focus be upon more meaningful and robust categories of human development e g low medium and high rather than league tables where shifts of a few places perhaps as a result of nothing more than a methodological or data artefact may be highlighted in the press and by policy makers

expectations capital gains and income i introduction this article argues that the distinction between expected and unexpected capital gains losses is fundamental to the measurement of income the way capital gains are treated can have a significant impact on major macroeconomic statistics such as national income and saving the balance of payments government income and saving and depreciation see gale and sabelhaus 1999 joisce and wright 2001 the recent sale of spectrum licenses is a case in point the spectrum a natural asset over which governments enforce property rights became unexpectedly valuable as a result of the development of mobile telephones in 2000 and 2001 some governments realized gains of 30 billion or more in a day by auctioning licenses to use sections of the spectrum see un statistics division 2000 the concept of income although widely used remains vague it is necessary to inquire why the concept of income is needed and what use it serves the main purpose of income is to provide guidance to households or other economic units including government on the rate at which they can afford to consume when there is uncertainty about future resources the more successfully measured income meets this requirement the greater its power as an explanatory variable for the analysis of consumer behavior the treatment of expected and unexpected capital gains in income measurement is a continuing source of controversy 1 even in a perfect foresight setting the concept of income is not straightforward hicks 1946 considered a number of definitions two in particular command support in the literature hicksian income no 1 is the maximum amount that can be consumed while maintaining wealth intact 2 hicksian income no 2 is the maximum sustainable level of consumption the general consensus that emerges from the literature is that with perfect foresight all capital gains are included in hicksian income no 1 however asheim 1996 shows that some capital gains are excluded from hicksian income no 2 when the interest rate varies over time both income concepts coincide when the interest rate is fixed when the perfect foresight assumption is relaxed a distinction must be drawn between expected and unexpected capital gains it is important that we move beyond a perfect foresight setting because the concept of income has been developed primarily to assist decision taking under uncertainty if income is meant to act as a budget constraint indicating the resources available for consumption each period the important question is how should a rational consumer react to unexpected capital gains this article develops a general theoretical framework for the measurement of hicksian income no 1 under uncertainty that is capable of handling all kinds of capital gains on all kinds of assets ranging from money market assets to mineral deposits 3 first the concept of income with perfect foresight is developed and analyzed in the following section uncertainty is introduced income depends on expectations of future receipts that are liable to be revised with the passage of time the time at which income in a particular period is measured is therefore crucial income can be measured at any time but attention has tended to focus on the beginning and end of the period hicks 1946 178 79 described income as measured at these times as ex ante and ex post income ex ante income as noted by eisner 1990 p 1180 is essentially the same as friedman s 1957 concept of permanent income ex post income as defined by hicks now usually described as haig simons income after two earlier proponents of the concept is a widely used objective measure familiar to most economists however it is conceptually flawed because it utilizes two different and generally inconsistent set of expectations those held at the beginning and end of the period we define a family of conceptually consistent income measures each based only on the expectations held at the time of measurement that we describe as generalized hicksian income

asymmetric monetary policy empirical evidence for italy a growing body of empirical work has examined the potential asymmetry in the effects of monetary policy on united states real activity this study looks for such an empirical evidence for italy in the period 1982 1998 monetary shocks are obtained as residuals from a central bank reaction function where the three months interbank rate is taken as the indicator of the monetary policy stance the effects of these positive and negative shocks on output are statistically different from zero and the null of symmetry between the two is rejected in favour of negative shocks having a greater impact on real output growth thus confirming an asymmetric effect of monetary policy even for italy

time series econometric analyses of biofuel related price volatility time series econometrics studies have analyzed volatility interactions between biofuel and food and fossil fuel markets we review data modeling techniques and the main findings in the literature and present our latest contributions we identify areas for further research

correlations between biofuels and related commodities before and during the food crisis a taxonomy perspective abstract in this paper we analyze the relationships between the prices of biodiesel ethanol and related fuels and agricultural commodities with a use of minimal spanning trees and hierarchical trees to distinguish between short term and medium term effects we construct these trees for different frequencies weekly and monthly we find that in short term both ethanol and biodiesel are very weakly connected with the other commodities in medium term the biofuels network becomes more structured the system splits into two well separated branches a fuels part and a food part biodiesel tends to the fuels branch and ethanol to the food branch when the periods before and after the food crisis of 2007 2008 are compared the connections are much stronger for the post crisis period this is the first application of this methodology on the biofuel systems

value at risk estimation with the optimal dynamic biofuel portfolio abstract in the past petroleum companies only paid attention to hedging the variation in the crude oil price and volatility however they have now expanded their analysis to encompass renewable sources such as corn and soybeans under the current low carbon biofuel obligations this paper employs garch 1 1 and arji models to estimate the one day ahead value at risk var of the optimal dynamic biofuel portfolio which consists of crude oil corn and soybeans the optimal blended standard is subject to the dual limitations of minimum production costs and the lowest biofuel using requirements our empirical findings confirm that the arji model is more suitable than the garch 1 1 model and further captures the discontinuous jump behavior from the in the sample data the results of out of sample forecasts also are represented that our models play important roles in var estimation and risk management for biofuel portfolio we therefore suggest that the petroleum companies should simultaneously pay attention to jump risk in hedging material costs in the prices of energy related crops

impact of r d expenditures rainfall and temperature variations in agricultural productivity empirical evidence from bangladesh abstractthis study aims to investigate dynamic relationships between research and development r d expenditure climate change measured by annual rainfall and temperature variations human capit

social indicators and comparisons of living standards abstract construction of an international index of standards of living incorporating social indicators and economic output typically involves scaling and weighting procedures that lack welfare economic foundations revealed preference axioms can be used to make quality of life comparisons if we can estimate the representative household s production technology for the social indicators this method is applied to comparisons of gross domestic product gdp and life expectancy for 58 countries neither gdp rankings nor the rankings of the human development index hdi are consistent with the partial ordering of revealed preference a method of constructing a utility consistent index incorporating both consumption and life expectancy is suggested

towards a science of sustainability improving the way ecological economics understands human well being abstract ecological economics seeks to recognize what traditional economics often ignores that the economy is embedded in wider social and biophysical systems to date ecological economics has focused on the biophysical dimensions of these interactions yet achieving sustainable development will require difficult decisions regarding which environmental and other assets should be preserved and in what form this emphasizes the importance of understanding why particular environmental resources and services are important to human well being and how social and economic institutions may be structured to make the best use of these and other forms of capital the paper thus examines a variety of approaches to well being characterizing these as interpreting well being as a state of mind as a state of the world as human capability or as the satisfaction of underlying needs the literature surveyed is drawn largely from political philosophy and psychology and includes classical utilitarianism and self evaluative approaches descriptive utilitarianism and preference based approaches the basic needs approach functional approaches and underlying needs based and virtue based approaches particular authors include michalos scitovsky easterlin hirsch galbraith rawls sen maslow boyden and max neef the ideas examined are found to have significant implications for economic theory and policy especially regarding the social construction of preferences the treatment of distributional issues the identification of universal underlying needs and the relationship between the satisfaction of these needs and perceived well being these insights suggest that rising real incomes are unlikely to result in improved community well being calling into question the traditional economic view of progress they also offer a new path to sustainable development in which the primary focus is on the cultivation of appropriate institutions and attitudes rather than on the better management of resources the paper concludes that important aspects of social economic and environmental systems are codetermined and thus that achieving sustainable development will require an expansion of the scope of analysis to encompass a wider system dynamic the most promising approaches to well being in this context are those that identify universal underlying human needs thus avoiding the commodity fetishism of mainstream economics

asymmetric effects of federal funds target rate changes on s p100 stock returns volatilities and correlations we study the effects of fomc announcements of federal funds target rate decisions on individual stock returns volatilities and correlations at the intraday level for all three characteristics we find that the stock market responds differently to positive and negative target rate surprises first the average response to positive surprises that is bad news for stocks is larger second in case of bad news the mere occurrence of a surprise matters most whereas for good news its magnitude is more important these new insights are possible due to the use of high frequency intraday data

elasticities of substitution in real business cycle models with home production this paper constructs a simple model of home production that demonstrates the connection between the intertemporal elasticity of substitution in market consumption ies and the static elasticity of substitution between home and market consumption ses understanding this connection is important because there is a large body of empirical evidence suggesting that the ies is small but little evidence on the size of the ses we use our framework to shed light on the properties of a home production model with a low ies we find that such a model must have three fundamental properties in order to match key aspects of aggregate u s data first the steady state growth rate of technology must be the same across sectors second shocks to technology must be sufficiently positively correlated across sectors third capital must be used more intensively in the market sector than in the home sector a home production model with these three properties can be surprisingly successful at reconciling the rbc paradigm with evidence for a low ies

degradation of environmental capital and national accounting procedures abstract the capital theoretic approach to the environment as a wastable stock a stock with a flow of abatement services is explored in a simple ricardo like model involving wheat production and pollution production as an essential by product we then turn to how the national accounts are implicit in growth or capital theory models and how formulae emerge for accounting for the wasting of environmental capital airsheds and watersheds from excessive use

evaluating interval forecasts a complete theory for evaluating interval forecasts has not been worked out to date most of the literature implicitly assumes homoskedastic errors even when this is clearly violated and proceed by merely testing for correct unconditional coverage consequently i set out to build a consistent framework for conditional interval forecast evaluation which is crucial when higher order moment dynamics are present the new methodology is demonstrated in an application to the exchange rate forecasting procedures advocated in risk management

valuing lost home production of dual earner couples using a life cycle model in which women divide their time between home and market work we establish a link between retirement wealth and the value of forgone home production we use data from the health and retirement study to estimate the model s parameters and adjust the growth rate of gdp to reflect reductions in non market output we find that the value of forgone home production is modest about 25 percent of women s measured earnings

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

comparison of historically simulated var evidence from oil prices abstract cabedo and moya cabedo j d moya i 2003 estimating oil price value at risk using the historical simulation approach energy economics 25 239 253 find that arma with historical simulation delivers var forecasts that are superior to those from garch we compare the arma with historical simulation to the semi parametric garch model proposed by barone adesi et al barone adesi g giannopoulos k vosper l 1999 var without correlations for portfolios of derivative securities journal of futures markets 19 5 583 602 the results suggest that the semi parametric garch model generates var forecasts that are superior to the var forecasts from the arma with historical simulation this is due to the fact that garch captures volatility clustering our findings suggest that cabedo and moya s conclusion is mainly driven by the normal distributional assumption imposed on the future risk structure in the garch model

measuring sustainable welfare a new approach to the isew abstract sustainability and welfare assessment is a contemporary theme of major scientific and policy relevance requiring the consideration of multiple dimensions and diverse perspectives the economic approach to sustainability and welfare assessment has frequently relied on alternatives or adjustments to gdp widely used as an indicator of macroeconomic performance several authors have proposed alternative indicators such as the isew which intend to measure sustainability and economic welfare in a way that avoids the limitations of gdp namely accounting for the value of externalities the distribution of income and natural resources depletion since daly and cobb 1989 there have been proposed improvements to the isew however its aptitude to represent a sound alternative to gdp is still the subject of scientific debate this paper presents a new approach to the isew named modified isew including new components and methodological changes for the estimation of the index these have the purpose of avoiding some of the index shortcomings and allow for a direct comparison with the gdp which are advantages over previous studies an application is developed for the us case taking advantage of wide data availability and the possibility of comparing the results with previous works the results obtained provide a clearer picture of the success or failure of environmental and social policies namely by avoiding the tampering effect resulting from the cumulative accounting of environmental externalities this work also emphasizes the inadequacy of gdp as a welfare indicator as well as the need to develop and adopt alternative indicators

measuring global poverty why ppp methods matter abstract we present theory and evidence to suggest that in the context of analyzing global poverty the eks approach to estimating purchasing power parities yields more appropriate international comparison of real incomes than the geary khamis approach our analysis of the 1996 and 2005 international comparison project data confirms that the geary khamis approach substantially overstates the relative incomes of the world s poorest nations and this leads to misleading comparisons of poverty across regions and over time the eks index of real income is much closer to being a true index of economic welfare and is therefore preferred for assessment of global poverty

an analysis of substitution bias in measuring inflation 1959 851 we analyze the substitution bias in laspeyres type price indexes such as the cpi using 1959 1985 nipa consumption data for 101 commodities we employ two methodological approaches to calculation of the bias first we construct the tightest theoretical bounds on the col by applying nonparametric methods using algorithms developed by afriat and by varian second following diewert we construct superlative price index formulas namely tomqvist and fisher s ideal indexes under a chain as well as a fixed base specification homothetic preferences are found to be consistent with the data and sensitivity tests indicate that this result is not vacuous if the hypothesis of homotheticity is maintained the col bias has upper and lower limits of 0 22 and 0 14 percent per year respectively using the superlative indexes as the measure of the col the bias is about 0 18 percent per year for the period 1959 85 this estimate is somewhat larger than found in earlier studies our use of more disaggregated data is found to be responsible for part of the difference with the size of the estimated bias directly related to the extent of the aggregation

environmental accounting useful to whom and for what abstract the development of statistics as with any other tool can only be understood in relation to their particular uses this is confirmed by the development of national income estimates and of the national accounts proposals to integrate environmental costs and benefits into the national accounts can similarly only be evaluated by considering them in the context of their likely policy use the most important potential use is as a general measure of welfare or progress for policy to aim to maximise environmentally adjusted national accounts correspond to a very weak view of sustainability the use of adjusted national income as a measure of welfare essentially assumes complete substitutability between manufactured and natural capital problems of monetary valuation are likely to lead to huge underestimation of environmental costs issues of inequality and poverty essential to a more robust view of sustainability are ignored policy targeting a revised national income will continue to aim for ever higher output while making very limited concessions to environmental concerns adjusting the national accounts for environmental costs is not the only way to ensure they are allowed for in policy making an alternative approach more appropriate if sustainable development in the stronger sense is to be achieved is the construction and use of a set of social and environmental indicators

on jumps in common stock prices and their impact on call option pricing the black scholes call option pricing model exhibits systematic empirical biases the merton call option pricing model which explicitly admits jumps in the underlying security return process may potentially eliminate these biases we provide statistical evidence consistent with the existence of lognormally distributed jumps in a majority of the daily returns of a sample of nyse listed common stocks however we find no operationally significant differences between the black scholes and merton model prices of the call options written on the sampled common stocks

housework fixed effects and wages of married workers although the primacy of household responsibilities in determining gender differences in labor market outcomes is universally recognized there has been little investigation of the direct effect of housework on wages using data from the panel study of income dynamics cross sectional wage regressions reveal a substantial negative relation between wages and housework for wives which persists in specifications controlling for individual fixed effects the evidence for husbands is inconclusive married women s housework time is on average three times that of married men s the addition of housework time to the wage equations increases the explained component of the gender wage gap from 27 30 percent to 38 percent

estimating multi period value at risk of oil futures prices abstractin this study we estimate the multi period value at risk var of oil future prices under a generalized autoregressive conditional heteroscedasticity with a skewed t residuals garch st model which is developed to account for the stylized facts of oil futures returns such as serial correlation volatility clustering asymmetry and heavy tails an efficient approximation algorithm based on the moment calibration method is developed to compute the multi period var and the numerical experiments show that the algorithm can yield good approximation quality in the empirical analysis we find that the garch st model can yield superior out of sample performance to a garch normal model or a garch t model especially when measuring the extreme tail risk meanwhile the square root of time rule srtr tends to underestimate the multi period tail risk and cannot produce a better performance than the garch family models

measuring personal savings consumption and disposable income in canada this paper highlights the fact that more adequate measurement of personal savings as well as a consumption and disposable income in canada yields a totally different picture from that projected by the national accounts niea the author measures of consumption excludes purchases of durables but includes their depreciation savings are measured as the change in the net real market value of the end of year balance sheet while according to the niea the savings income ratio reached 15 percent in 1981 their measure suggests that this ratio was negative and amounted to 10 5 percent in conclusion possible implications of the mismeasurement of savings on economic policy decisions are considered

biofuel related price transmission literature a review abstract in this article an extensive review of the rapidly growing biofuel related time series literature is carried out the data used the modeling techniques and the main findings of this literature are discussed providing a review of this flourishing research area is relevant as a guidepost for future research this literature concludes that energy prices drive long run agricultural price levels and that instability in energy markets is transferred to food markets

globalization and taxation challenges to the swedish welfare state many have argued that the increased international mobility of both capital and labor witnessed in recent years will force advanced capitalist democracies to cut taxes and thus ultimately roll bac

equilibrium search unemployment endogenous participation and labor market flows the sustainability of welfare states requires high employment and high participation to raise the tax base to analyze labor supply in a world with market frictions we propose and solve a macro model of the labor market with unemployment and labor force participation as endogenous and distinct states in our world workers decisions of participating are determined by an entry decision and an exit decision a calibration of the model improves the usual representations of labor markets since it quantitatively accounts for the observed flows between employment and nonparticipation the paper investigates also the effect of payroll taxes and unemployment benefits on participation decisions taxes reduce entries and increase exits whereas unemployment benefits at a given job finding rate raise entries and have ambiguous effects on exits jel j2 j6

extreme value theory and value at risk application to oil market recent increases in energy prices especially oil prices have become a principal concern for consumers corporations and governments most analysts believe that oil price fluctuations have considerable consequences on economic activity oil markets have become relatively free resulting in a high degree of oil price volatility and generating radical changes to world energy and oil industries as a result oil markets are naturally vulnerable to significant negative volatility an example of such a case is the oil embargo crisis of 1973 in this newly created climate protection against market risk has become a necessity value at risk var measures risk exposure at a given probability level and is very important for risk management appealing aspects of extreme value theory evt have made convincing arguments for its use in managing energy price risks in this paper we apply both unconditional and conditional evt models to forecast value at risk these models are compared to the performances of other well known modelling techniques such as garch historical simulation and filtered historical simulation both conditional evt and filtered historical simulation procedures offer a major improvement over the parametric methods furthermore garch 1 1 t model may provide equally good results as well as the combining of the two procedures

true measures of gdp and convergence widely used purchasing power parity comparisons of per capita gdp are not true quantity indexes and are subject to systematic substitution bins this bias may distort measurement of convergence and divergence extending varian s nonparametric construction of a true index gives the set of true indexes including the new ideal afriat index these indexes are utility consistent and independent of arbitrary reference price vectors we establish bounds on the dispersion of true multilateral indexes hence bounds on convergence international price indexes understate both true gdp dispersion and where prices are converging over time the rate of true quantity convergence

international business cycles financial markets and household production abstract this paper investigates the properties of an international real business cycle model with household production we show that a model with disturbances to both market and household technologies reproduces the main regularities of the data and improves existing models in matching international consumption investment and output correlations without irrealistic assumptions on the structure of international financial markets sensitivity analysis shows the robustness of the results to alternative specifications of the stochastic processes for the disturbances and to variations of unmeasured parameters within a reasonable range

the concept of income in a general equilibrium this paper derives a concept of aggregate real income for a competitive economy in general equilibrium consisting of heterogeneous infinitely lived people and relates it to current and future consumption possibilities an important characteristic of our measure of income which we call real income is that deflation is carried out using a consumption deflator rather than any price index of output we suggest that it may be inappropriate to regard capital gains as income we also present a coherent treatment of the effects of changes to the terms of trade on real income and explain the implications of this for resourceexporting economies hicks 1939 defined income as the maximum amount a man can spend and still be as well off at the end of the week as at the beginning since then there has been a succession of attempts to apply this definition the problem is as hicks acknowledged that the correct interpretation of as well off is by no means clear weitzman 1976 and asheim 1997 suggest that income is equal to the level of consumption which could be sustained indefinitely out of the capitalized value of current income and equate this to being as well off at the end of the week as at the beginning eisner 1988 argues specifically that in a total incomes system effects arising from asset price changes and conventionally regarded as capital gains should be included with income here building on earlier work by sefton and weale 1996 asheim and weitzman 2001 and pemberton and ulph 2001 we provide a comprehensive account of the implications of the idea that as well off should be understood to mean that the present discounted value of current and future utility should be unchanged over the interval considered we work in the context of a general equilibrium taking the prices established in the general equilibrium as given we first look at income from the production side showing that in an economy where prices and the interest rates satisfy an intertemporal efficiency condition income along an equilibrium path can be interpreted as a weighted average of the value of the current and future consumption bundle plus a term adjusting for changes in the nominal price level converting prices to real prices by deflating by the divisia consumption price index removes the need for this adjustment these results are suggestive first they offer a way of defining the income of a household entirely in terms of its consumption possibilities second they indicate that to calculate real income deflation is best carried out using a price index of consumption this is a substantial divergence from current national accounting practice third because we have assumed constant returns there is a trivial aggregation result that aggregate income is equal to the sum of the incomes from the individual sectors

causality and predictability in distribution the ethanol food price relation revisited abstract this paper examines the relationship between biofuels field crops and cattle prices in the u s from a new perspective we focus on predictability in distribution by asking whether ethanol returns can be used to forecast different parts of field crops and cattle returns distribution or vice versa density forecasts are constructed using conditional autoregressive expectile models estimated with asymmetric least squares forecast evaluation relies on quantile weighed scoring rules which identify regions of the distribution of interest to the analyst results show that both the centre and the left tail of the ethanol returns distribution can be predicted by using field crops returns on the contrary there is no evidence that ethanol can be used to forecast any region of the field crops or cattle returns distributions

predicting within country household food expenditure variation using international cross section estimates there is a long and distinguished literature involving demand analysis using international cross section data such models are widely used for predicting national per capita consumption however there is nothing in this literature testing the performance of estimated models in predicting demands across the income spectrum within a single country this paper fills the gap we estimate an aidads model using cross section international per capita data and find that it does well in predicting food demand across the income distribution within bangladesh this suggests that there may be considerable value in using international cross section analysis to study poverty and distributional impacts of policies

the asymmetric effects of monetary policy a nonlinear vector autoregression approach this paper tests for nonlinearity in a standard vector autoregression including output prices and money supply using an estimation strategy that is consistent with a wide range of structural macroeconomic models shocks to the money supply are found to have stronger output effects and weaker price effects when output growth is initially low positive and negative monetary shocks are found to have nearly symmetric effects in addition there is some evidence that shocks of different magnitudes have asymmetric effects these results are consistent with the view that the aggregate supply curve is convex

measuring substitution bias in international comparisons based on additive purchasing power parity methods abstract this paper shows that additive purchasing power parity ppp methods such as geary khamis are subject to substitution bias as a result geary khamis comparisons tend to underestimate per capita income differentials across countries the magnitude of the bias is measured for a cross section of 64 countries using international comparison programme icp data geary khamis overestimates some poorer countries per capita incomes relative to richer countries by as much as 70 these results have important implications for much empirical work in development and international economics since geary khamis is the ppp method used by the world bank imf oecd icp and the penn world table

the crash of ʼ87 was it expected the evidence from options markets transactions prices of s p 500 futures options over 1985 1987 are examined for evidence of expectations prior to october 1987 of an impending stock market crash first it is shown that out of the money puts became unusually expensive during the year preceding the crash second a model is derived for pricing american options on jump diffusion processes with systematic jump risk the jump diffusion parameters implicit in options prices indicate that a crash was expected and that implicit distributions were negatively skewed during october 1986 to august 1987 both approaches indicate no strong crash fears during the 2 months immediately preceding the crash attempts to explain what caused the stock market crashes around the world in october 1987 have suffered from the paucity of major economic developments occurring around that time that could have triggered the crashes shifting expectations regarding monetary policy foreign investors fears of a dollar decline increasing riskiness of assets none of these appeared major enough if present at all to explain the magnitude of the crashes and although portfolio insurance strategies could conceivably magnify the effects of a jump in fundamentals the initiating jump in fundamentals appears to be lacking

a note on different approaches to index number theory the central question in a recent paper by j peter neary 2004 concerning real incomes and the penn world tables is what exactly do the numbers mean this question is important because these data are widely used in empirical research more generally index number data including indicators of inflation and economic growth are used so extensively in research throughout the profession that it indeed seems helpful to understand what they actually indicate in the literature two approaches to index numbers are distinguished the axiomatic approach and the economic approach in this note we would like to discuss the way in which these two approaches differ and how that affects what the numbers mean in neary s paper the difference is described as one between an approach that does and an approach that does not assume that quantities arise from optimizing behavior this is in line with a tradition in index number theory that can be traced back to ragnar frisch 1936 we will argue that a more accurate description is that the difference lies in whether or not optimizing agents or representative consumers are assumed to optimize the same utility function it is exactly this distinction that sets the differ ent limitations of both approaches for constructing a meaningful indicator of real income those limitations will be described in some detail and being aware of them is helpful for assessing the value of results from both the axiomatic and the economic approach they also suggest ways in which the two approaches may be complementary for constructing meaningful index numbers introducing the geary allen international accounts gaia system neary combines taking the economic approach with judging the resulting indices in view of some axioms we think that this makes his paper a suitable point of departure for the discussion of how the two approaches handle differences in relative prices on the one hand and differences in preferences on the other

estimating oil price value at risk using the historical simulation approach abstract in this paper we propose using value at risk var for oil price risk quantification var provides an estimation for the maximum oil price change associated with a likelihood level and can be used for designing risk management strategies we analyse three var calculation methods the historical simulation standard approach the historical simulation with arma forecasts hsaf approach developed in this paper and the variance covariance method based on autoregressive conditional heteroskedasticity models forecasts the results obtained indicate that hsaf methodology provides a flexible var quantification which fits the continuous oil price movements well and provides an efficient risk quantification

testing data for consistency with revealed preference the author develops a method of hypothesis testing for revealed preference tests this method is particularly well suited to tests of commonality of tastes or tests of preference stability he devises a metric based on an estimate of the fraction of expenditure wasted in maximizing utility if all consumers in the sample share the same utility function this metric increases in size with increases in the proportion of observations having different tastes and with increasing differences in tastes the author proposes bootstrap methods for estimating the distribution of the test statistic copyright 1995 by mit press

understanding the persistence properties of international macroeconomic aggregates in this paper the ability of a two country model of growth and cycles is evaluated to explain the persistence properties of output and consumption across countries simulated output and consumption levels replicate the observed appearance of noncointegration across countries simulated output growth rates however do not explain the observed positive serial correlation of output growth rates the reallocation of resources in response to technology shocks generates a negative serial correlation for output growth rates

investor sentiment and the stock market s reaction to monetary policy this paper shows that monetary policy decisions have a significant effect on investor sentiment the effect of monetary news on sentiment depends on market conditions bull versus bear market we also find that monetary policy actions in bear market periods have a larger effect on stocks that are more sensitive to changes in investor sentiment and credit market conditions overall the results show that investor sentiment plays a significant role in the effect of monetary policy on the stock market

this blessed plot when should capital gains on land be regarded as income national balance sheets for a number of advanced economies show land to be a valuable form of natural capital whose value has increased sharply over the last twenty years or so this paper investigates when or whether capital gains on land should be counted as a component of income while development projects can lead to increases in rental rates and land values it is shown that although the benefits any project should be counted as income increases in rental rates and land values should not normally be seen as additional real income however if land benefits from exogenous land saving technical progress the resulting capital gains can be seen as income applying the same principle to human capital it is shown on a steady growth path that these capital gains are equal to weitzman s 1997 growth premium in the relationship between income and sustainable consumption

real government saving and the future abstract government saving should properly include government financed investment changes in public tangible investment and investment in education are found to be positively related to changes in inflation adjusted structural deficits changes in these deficits have also been associated with changes in the same direction in gross private domestic investment and even changes in narrow measures of national saving hence changes in real deficits have been associated a fortiori with changes in the same direction in a broader measure of national saving including government and household investment in tangible capital our data also suggest that the pay off to more public tangible investment at least is distinctly positive and very possibly larger than that to more private investment

conditional jump dynamics in stock market returns this article develops a new conditional jump model to study jump dynamics in stock market returns we propose a simple filter to infer ex post the distribution of jumps this permits construction of the shock affecting the time t conditional jump intensity and is the main input into an autoregressive conditional jump intensity model the model allows the conditional jump intensity to be time varying and follows an approximate autoregressive moving average arma form the time series characteristics of 72 years of daily stock returns are analyzed using the jump model coupled with a generalized autoregressive conditional heteroscedasticity garch specification of volatility we find significant time variation in the conditional jump intensity and evidence of time variation in the jump size distribution the conditional jump dynamics contribute to good in sample and out of sample fits to stock market volatility and capture the rally often observed in equity markets following a significant downturn

indeterminacy home production and the business cycle a calibrated analysis abstract in this paper i present a business cycle model with one market sector that produces a standard good and another that produces a non market or home good the model can have multiple equilibria and therefore cycles driven only by self fulfilling expectations with low externalities to market production in particular an upward sloping aggregate labor demand as e g in farmer and guo j economic theory 63 1994 42 72 is not required for indeterminacy the effect of technology shocks is also studied in all cases the time series that are generated have properties that are comparable to the real us postwar series

on jump processes in the foreign exchange and stock markets exchange rates exhibit systematic discontinuities even after allowingfor conditional heteroskedasticity in the diffusion process the results are much more significant in theforeign exchange market than in the stock market which suggests differences in the structure of these markets finally this jump component is shown to explain some of the empirically observed mispricings in the currency options market the objective of this article is to analyze and compare the empirical distribution of returns in the stock market and in the foreign exchange market there are a number of reasons why a better understanding of the stochastic processes driving prices in these markets would be useful many financial models rely heavily on the assumption of a particular stochastic process while relatively little attention is paid to the empirical fit of the postulated distribution as a result models like option pricing models are applied indiscriminately to various markets such as the stock market and the foreign exchange market when the underlying processes may be fundamentally different the foreign exchange market for instance is characterized by active exchange rate man

swedish economic performance and swedish economic debate a view from outside the papers by korpi henrekson and agell raise important questions both about the swedish economy and about the way in which evidence on economic growth should be handled in debate on economic policy i want to comment in particular on the fundamental question of whether the international evidence allows us to judge that swedish growth has been below par the papers raise two further questions on the first whether growth is inhibited by high taxation and a large welfare state the hallmarks of the post war swedish economy agell provides as good an assessment of the cross country macroeconomic evidence as we can probably hope to get at the moment unproven on the final vexed question of whether the structure of the economics profession has been inimical to open debate i have only a few comments to make let me start with the criteria and method by which we should attempt to assess relative economic performance this is a methodological minefield there are numerous paths leading to divergent conclusions the least we can do is to be explicit about our choices and subject our provisional conclusions to some checks for robustness what performance measure is relevant we could look at gdp or consumption scaled per head of population or per member of the workforce or per hour worked what deflators do we use we can reduce measures denominated in local currency to a common unit using exchange rates or using fixed international prices or using utility based indexes which derivative of the performance measure do we use we might want to compare levels or rankings or we might choose to assess relative rates of growth or even relative changes in growth rates which time period is relevant in particular comparisons of growth rates are often very sensitive to choice of start and end years when business cycle fluctuations are asynchronous what is the reference pointfor assessing underor overachievement the definition of par might be either the best performance or average performance for some group of countries for some period of time finally what exogenousfactors are to be taken into account we might wish to control for the influence on our preferred performance measure of a wide range of factors which are extraneous to the policy question under examination i will take a brisk jog through this minefield explaining briefly some of the choices which seem most relevant to the problem in hand but without attempting a full exposition of the problems the most usual starting place is to choose real gdp per capita as a measure of aggregate performance this

economic growth and welfare state a case study of sweden in this article we analyse the relation between the dynamics of economic growth and the welfare state using the swedish experience as a case study we defend three theses concerning the swedish experience that the deep economic crisis of 1990 93 constituted the definite breaking point for the accumulation pattern in force since the 1950s and in crisis since the mid 1970s that the new accumulation pattern eroded the long standing symbiotic relationships between economic growth and the welfare state and that the welfare state has suffered retrenchments and qualitative changes of great importance which can be fundamentally explained by the transformations in the accumulation pattern we conclude that the changes introduced in sweden have continued to subordinate the welfare state s main goals giving priority to the new accumulation pattern

macroeconomic cycles and the stock market s reaction to monetary policy abstract this paper examines cyclical variation in the effect of fed policy on the stock market we find a much stronger response of stock returns to unexpected changes in the federal funds target rate in recession and in tight credit market conditions using firm level data we also show that firms that face financial constraints are more affected by monetary shocks in tight credit conditions than the relatively unconstrained firms overall the results are consistent with the credit channel of monetary policy transmission

is public expenditure productive abstract this paper considers the relationship between aggregate productivity and stock and flow government spending variables the empirical results indicate that i the nonmilitary public capital stock is dramatically more important in determining productivity than is either the flow of nonmilitary or military spending ii military capital bears little relation to productivity and iii a core infrastructure of streets highways airports mass transit sewers water systems etc has most explanatory power for productivity the paper also suggests an important role for the net public capital stock in the productivity slowdown of the last fifteen years

estimation of value at risk for energy commodities via fat tailed garch models the choice of an appropriate distribution for return innovations is important in var applications owing to its ability to directly affect the estimation quality of the required quantiles this study investigates the influence of fat tailed innovation process on the performance of one day ahead var estimates using three garch models garch n garch t and garch ht daily spot prices of five energy commodities wti crude oil brent crude oil heating oil 2 propane and new york harbor conventional gasoline regular are used to compare the accuracy and efficiency of the var models empirical results suggest that for asset returns that exhibit leptokurtic and fat tailed features the var estimates generated by the garch ht models have good accuracy at both low and high confidence levels additionally mrsb indicates that the garch ht model is more efficient than alternatives for most cases at high confidence levels these findings suggest that the heavy tailed distribution is more suitable for energy commodities particularly var calculation

are the effects of monetary policy asymmetric huntley schaller by building on the hamilton 1989 markov switching model we examine questions like does monetary policy have the same effect in expansions and recessions given that the economy is currently in a recession does a fall in interest rates increase the probability of an expansion does monetary policy have an incremental effect on the growth rate within a given state or does it only affect the economy if it is sufficiently strong to induce a state change e g from recession to expansion as suggested by models with sticky prices or finance constraints interest rate changes have larger effects during recessions jel e52 e32 much of the recent work in macroeconomics has proceeded under the assumption that variables follow linear stochastic processes with constant coefficients as a result some of the richness of the burns mitchell analysis such as its focus on asymmetries between recessions and expansions may well have been lost blanchard and fischer 1989 7 i introduction for decades macroeconomists have debated whether monetary policy has the same effect on real output in expansions and recessions as far back as the 1930s keynes and pigou debated whether monetary policy would have less effect on output during a severe economic downturn in the 1960s there were active debates on a very different proposition namely whether the rightward portion of the aggregate supply curve was vertical so that monetary policy would have less effect on real output during expansions in this article we provide a new type of evidence on whether monetary policy has different effects depending on whether the economy is in an expansion or recession empirical evidence on this issue is particularly relevant in light of new theoretical work in macroeconomics that predicts asymmetric effects of demand shocks conditional on the state of the economy two examples of this work are s s type models of price adjustment and models in which there are agency costs of financial intermediation 1 the intuition for the latter class of models is simple 2 when there is information asymmetry in financial markets agents may behave as if they were constrained for a variety of reasons these finance constraints are more likely to bind during recessions when the net worth of agents is low an increase in interest rates will then have two effects on investment the standard effect of increasing the cost of capital and therefore reducing investment demand and an additional effect of reducing liquidity e g by increasing debt service obligations and thus reducing investment demand for constrained agents as a result monetary policy actions that change interest rates will have greater effects during a recession 3 the s s type price adjustment models of ball and mankiw 1994 caballero and engel 1992 and tsiddon 1993 lead to a convex aggregate supply curve and therefore also imply that monetary policy will have stronger effects during recessions one of the more frequently cited empirical papers on the potentially asymmetric effects of monetary policy is cover 1992 which finds evidence that positive monetary shocks have different effects from negative monetary shocks we are looking at a different type of asymmetry namely between booms and recessions we study asymmetries using an extension of the markov switching model developed by hamilton 1989 estimated over the period 1955 93 in hamilton s econometric specification the growth rate of output depends on a state variable that corresponds to an expansion or recession this approach has several advantages first unlike linear projections it allows for nonlinearities and asymmetries second in estimating the recession coefficients it gives greater relative weight to observations that most clearly correspond to recessions and similarly for the expansion coefficients

a simple framework for analysing bull and bear markets bull and bear markets are a common way of describing cycles in equity prices to fully describe such cycles one would need to know the data generating process dgp for equity prices we begin with a definition of bull and bear markets and use an algorithm based on it to sort a given time series of equity prices into periods that can be designated as bull and bear markets the rule to do this is then studied analytically and it is shown that bull and bear market characteristics depend upon the dgp for capital gains by simulation methods we examine a number of dgps that are known to fit the data quite well random walks garch models and models with duration dependence we find that a pure random walk provides as good an explanation of bull and bear markets as the more complex statistical models in the final section of the paper we look at some asset pricing models that appear in the literature from the viewpoint of their success in producing bull and bear markets which resemble those in the data copyright 2002 john wiley sons ltd

national account of timber and forest environmental resources in sweden this paper outlines an extension of the national account of income from forest resources in sweden 1987 incorporating changes in timber inventories production of nonmarketed timber and nontimber goods and depletion or improvement in vital environmental stocks such as soil nutrients biodiversity and carbon sinks the total net value added provided by forest resources and forestry labour 1987 is estimated to 22 billions sek this is one third more than the contribution of forestry to ordinary gnp

an operative framework for total hicksian income measurement application to a multiple use forest a methodology for estimating total hicksian income in multiple use forests is presented the approach consistently incorporates commercial as well as non commercial economic values and enables the measurement of national accounting aggregates taking into account variation in man made and natural capital innovative solutions are developed i for the estimation of non market values such as recreation where an attempt to determine exchange values has been made simulating markets ii for timber where standing timber valuation methods have been extended to cover uneven stands and iii for carbon fixation valuation where only permanently fixed carbon after 1990 has been taken into account the methodology is applied to a multiple use pinewood in the guadarrama mountains near madrid spain timber cattle grazing hunting recreation carbon fixation and conservation values are measured and integrated in the accounting system using primary microeconomic data from the case study results indicate the importance of non commercial income which accounts for 51 of the total income and the social relevance of the analysed forest implying that only 31 of the total income generated is appropriated by the forest owner

natural resources national accounting and economic depreciation abstract the current value hamiltonian in an aggregate optimal growth problem with heterogeneous capital stocks including exhaustible renewable and environmental stocks is the nnp function routine substitutions reveal that the using up of natural resource stocks is representable as easy to interpret economic depreciation magnitudes we obtain true nnp inclusive of natural resource stock diminution implications for actual national accounting practices are also discussed

the paradox of redistribution and strategies of equality welfare state institutions inequality and poverty in the western countries the structure of welfare state institutions 2 a trade off exists between the degree of low income targeting and the size of redistributive budgets 3 outcomes of market based distribution are often more unequal than those of earnings related social insurance programs we argue that social insurance institutions are of central importance for redistributive outcomes using new data our comparative analyses of the effects of different institutional types of welfare states on poverty and inequality indicate that institutional differences lead to unexpected outcomes and generate the paradox of redistribution the more we target benefits at the poor and the more concerned we are with creating equality via equal public transfers to all the less likely we are to reduce poverty and inequality social scientists and social reformers have long debated how the welfare state and social policies should be designed so as to best reduce poverty and inequality this debate involves two different issues one question concerns whether social policies should be targeted or universal that is should they be organized for the poor only or should the welfare state include all citizens in the context of nontargeted programs another question concerns the level of benefits should benefits be equal for all or should they be related to previous earnings and in

energy risk management and value at risk modeling abstract the value of energy trades can change over time with market conditions and underlying price variables the rise of competition and deregulation in energy markets has led to relatively free energy markets that are characterized by high price shifts within oil markets the volatile oil price environment after opec agreements in the 1970s requires a risk quantification value at risk has become an essential tool for this end when quantifying market risk there are various methods for calculating value at risk the methods we introduced in this paper are historical simulation arma forecasting and variance covariance based on garch modeling approaches the results show that among various approaches the hsaf methodology presents more efficient results so that if the level of confidence is 99 the value at risk calculated through hsaf methodology is greater than actual price changes in almost 97 6 percent of the forecasting period

does monetary policy have asymmetric effects on stock returns this paper investigates whether monetary policy has asymmetric effects on stock returns using markov switching models different measures of a monetary policy stance are adopted empirical evidence from monthly returns on the standard poor s 500 price index suggests that monetary policy has larger effects on stock returns in bear markets furthermore it is shown that a contractionary monetary policy leads to a higher probability of switching to the bear market regime

measuring the contribution of public infrastructure capital in sweden the authors purpose is to examine ways of evaluating and measuring the contribution of public infrastructure capital to private sector output and productivity growth in sweden they do this by specifying and implementing empirically a number of alternative econometric models using annual data for sweden from 1960 to 1988 applying a dual cost function approach they find that increases in public infrastructure capital ceteris paribus reduce private sector costs the authors compute that amount of public infrastructure capital that would rationalize the cost savings incurred by the private business and manufacturing sectors and find that the amount that can be rationalized in this manner is less than what was in fact available in 1988 but that the extent of excess public infrastructure capital has been falling in the 1980s copyright 1992 by the editors of the scandinavian journal of economics

catching up with the economy in his presidential address five years ago zvi griliches 1994 called attention to the severe difficulties that beset current attempts to measure the growth of labor productivity in the american economy because of these difficulties it is likely that the true rate of economic growth is substantially underestimated the root of the problem is the difficulty in measuring output in the service sector which now represents two thirds of the economy in such sectors as health care and information services the contribution to gross domestic product gdp is measured by inputs rather than outputs a procedure that makes it impossible to gauge accurately improvements in the quality of output thus in the case of computers which are transforming american society economists have been unable so far to find a measurable contribution of computers to the rise in labor productivity an astonishing paradox i want to follow up on this problem of mismeasurements my thesis is that the profession

structural var models for malaysian monetary policy analysis during the pre and post 1997 asian crisis periods this article conducts an in depth investigation into building a structural vector autoregression svar model and analysing the malaysian monetary policy considerable attention is paid to i the selection of foreign policy and target variables ii establish identifying restrictions and improve the estimates of impulse response functions iii assess the importance of intermediate channels in transmitting monetary policy mechanism and iv the way in which the 1997 asian financial crisis affected the working of monetary policy malaysia is an interesting small open economy to study because following this crisis the government imposed capital and exchange rate control measures the overall results suggest that the crisis and the subsequent major shift in the exchange rate regime have significantly affected the malaysian black box in the pre crisis period domestic variables appear to be more vulnerable to foreign monetary shocks further the exchange rate played a significant role in transmitt

dematerialization and capital maintenance two sides of the sustainability coin abstract the reductionist trend of equating sustainable development with sustained economic growth needs to be reversed new accounts and balances help to operationalize the elusive notion of sustainability they provide a coherent picture of the interaction between environment and economy greened national accounts measure economic sustainability in terms of produced and natural capital maintenance balances of material flows assess ecological sustainability as the dematerialization of production and consumption both concepts aim to preserve environmental assets but differ in scope strength and evaluation of sustainability first results for germany indicate weak sustainability of the economy strong sustainability is not in sight because of insufficient reduction of material throughput attaining sustainability through integrated policies needs the support of share and stakeholders of sustainable development

simon kuznets sectoral shares in labor force a different explanation of his i s a ratio in estimating intersectoral productivity differences kuznets concludes that per worker product in agriculture is significantly lower than in industry and services agriculture s productivity backlog is explained by labor market failure especially in developing countries structural dualism however by analyzing agriculture as an economic activity organized by farm households competing with off farm and household production efficient allocation of resources in agriculture can be demonstrated therefore productivity measurements based on the concept of the farm as a firm are misleading a model of the farm household and empirical evidence are presented in his seminal book economic growth of nations simon kuznets 1971 has systematically analyzed intersectoral productivity differences to be observed in almost all countries with respect to labor productivity in agriculture a as compared to industry and services i s he has found out that per worker product in the a sector is significantly lower than in the i s sector and intersectoral inequality in per worker product is greatest at the low per capita product levels and smallest at the high per capita product levels p 236 hollis chenery and moises syrquin 1975 p 53 have confirmed but somewhat modified kuznets findings by explaining that relative labor productivity in the primary sector falls from about 70 percent to 50 percent at an income level of 500 and then gradually rises as agricultural technology is modernized and the surplus agricultural labor is absorbed by the rest of the economy as far as developing countries are concerned kuznets p 156 illustrates this explanation by the most plausible combination of economic determinants affecting an absolute decline in per worker product in the a sector resulting from increased pressure of population on land under conditions of relatively stagnant agricultural technology and some rise in per worker product in the i s sector resulting from a growth of modern components in industry and services in discussing several explanations of intersectoral differentials in per worker product p 238 kuznets finally comes to the conclusion that whatever the formulation the discussion tended justifiably to emphasize various aspects of duality in structure in the less developed countries p 247 he thereby confirms the dogma of structural dualism as the main source of disguised unemployment in agriculture seen as the cornerstone of the theory of development of underdeveloped countries since the 1940s according to paul rosenstein rodan 1957 p 1 already in 1954 arthur lewis has generated a micro model of agriculture within economic development with unlimited supplies of labour 1954 which during following years has been extended and modified by various development economists 2 with respect to developed professor of agricultural economics university of gottingen federal republic of germany platz der gottinger sieben 5 d 3400 gottingen the author acknowledges helpful comments of two unknown referees to an earlier draft of this article wide ranging international differences in intersectoral productivity discrepancies have been already observed and discussed mainly with respect to agriculture by marc latil 1956 j r bellerby 1956 and colin clark 1957 but none of them has provided a consistent explanation therefore clark p 254 had to admit that no immediate deductions can be drawn from the data more recent information on far reaching sectoral productivity differences between oecd countries are provided by oecd see table 1 2various models of agriculture in a dual economy are discussed inter alia by hans bemd schafer 1983

transmission effects of the u s and china monetary policy shocks on the world this paper applies the markov switching model to analyse the transition probabilities and generalized method of moments gmm with newey west heteroscedasticity and autocorrelation consistent covar

unemployment in regional labor markets using structural theories to understand local jobless rates in west virginia the author uses a range of structural labor market models to understand differing regional jobless rates in a state affected by pockets of structural unemployment four theories of regional structural unemployment are presented and their hypotheses are statistically evaluated using west virginia county panel data the author then presents case study evidence to compare these statistical results with the realities of the county labor markets both types of empirical evidence suggest that a segmented non market clearing model in which structural unemployment stems from queuing for above market clearing wages in both a high wage primary sector and a lower wage secondary sector can shed the most light on regional unemployment rates in west virginia

market risk in commodity markets a var approach we put forward value at risk models relevant for commodity traders who have long and short trading positions in commodity markets in a 5 year out of sample study on aluminium copper nickel brent crude oil and wti crude oil daily cash prices and cocoa nearby futures contracts we assess the performance of the riskmetrics skewed student aparch and skewed student arch models while the skewed student aparch model performs best in all cases the skewed student arch model delivers good results and its estimation does not require non linear optimization procedures as such this new model could be relatively easily integrated in a spreadsheet like environment and used by market practitioners

natural resources national accounting and economic depreciation stock effects abstract hartwick s analysis of incorporating resource depletion in standard national income accounting is extended to the consideration of stock effects under both certainty and uncertainty

cost and income based measures of human capital human capital is increasingly believed to play an important role in the growth process however adequately measuring its stock remains controversial in this paper three general approaches to measurement are identified cost based income based and educational stock based this survey focuses on the first two approaches and provides a critical review of the theories and their applications to data from a range of countries particular emphasis is placed upon the work of jorgenson and fraumeni 1989 1992 and some new results for new zealand based upon their approach are also presented

asymmetric effects of positive and negative money supply shocks this paper examines whether positive and negative money supply shocks have symmetric effects on output the results are consistent with the hypothesis that positive money supply shocks do not have an effect on output while negative money supply shocks do have an effect on output this finding is independent of whether or not expected money is assumed to affect output the results reported in this paper imply that the fed could increase the growth rate of real output by reducing the standard deviation of unexpected changes in the money supply

monetary policy effectiveness and stock market cycles in asean 5 this article examines the asymmetric effects of monetary policy on real output in bull and bear phases of stock market in five asean economies malaysia singapore indonesia the philippines and thailand using the recently developed pooled mean group pmg technique stock market cycles are identified by employing markov switching models and the rule based nonparametric approach estimating the models using monthly data from 1991 1 to 2011 12 the results show that monetary policy measured by short term interest rate has a negative and statistically significant long run effect on real output in bull and bear market periods while the effects are stronger in bear periods than bulls in the short run there is no statistically significant relationship between monetary policy and real output these results are consistent with finance constraints capital market imperfection models that predict that monetary policy is more effective during bear periods than bulls