short selling and the price discovery process we show that stock prices are more accurate when short sellers are more active first in a large panel of nyse listed stocks intraday informational efficiency of prices improves with greater shorting flow second at monthly and annual horizons more shorting flow accelerates the incorporation of public information into prices third greater shorting flow reduces post earnings announcement drift for negative earnings surprises fourth short sellers change their trading around extreme return events in a way that aids price discovery and reduces divergence from fundamental values these results are robust to various econometric specifications and their magnitude is economically meaningful the author 2012 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

a multiobjective approach to vendor selection abstract purchases from vendors involve significant costs for many firms decisions related to these purchases include the selection of vendors and the determination of order quantities to be placed with the selected vendors such decisions are frequently multiobjective in nature that is they are evaluated by more than one criterion at least 23 criteria for various vendor selection problems have been identified in this article we present a multiobjective approach to systematically analyze the inherent tradeoffs involved in multicriteria vendor selection problems the approach is motivated by and demonstrated with an actual purchasing problem facing a division of a fortune 500 company

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

co movements of oecd growth cycles the study is of short run and long run co movements and convergence across 21 oecd real per capita outputs on a sample period spanning 1960 to 1992 using dynamic principal components analysis and coherence analysis we reject the hypothesis of convergence but find evidence for long run growth cycles closely related across countries in particular the g5 group exhibits the highest degree of economic integration in the long run the group of the original members of the community also exhibits linkages at high and medium frequencies and represents the most homogeneous area in europe in terms of output dynamics both in the long and short run

common persistence in conditional variances since the introduction of the autoregressive conditional heteroskedastic arch model in engle 1982 numerous applications of this modeling strategy have already appeared a common finding in many of these studies with high frequency financial or monetary data concerns the presence of an approximate unit root in the autoregressive polynomial in the univariate time series representation for the conditional second order moments of the process as in the so called integrated generalized arch igarch class of models proposed in engle and bollerslev 1986 in the igarch models shocks to the conditional variance are persistent in the sense that they remain important for forecasts of all horizons this idea is readily extended to a multivariate framework even though many time series may exhibit persistence in variance it is likely that several different variables share the same common long run component in that situation the variables are naturally defined to be co persistent in variance and the co persistent linear combination is interpretable as a long run relationship conditions for co persistence to occur in the multivariate linear garch model are presented these conditions parallel the conditions for linear co integration in the mean as developed by engle and granger 1987 the presence of co persistence has important implications for asset pricing relationships and in optimal portfolio allocation decisions an empirical example relating to the time series properties of nominal u s dollar exchange rates for the deutschemark and the british pound provides a simple illustration of the ideas

friedman s plucking model of business fluctuations tests and estimates of permanent and transitory components in milton friedman s model output cannot exceed a ceiling level but occasionally is plucked downward by recession implying fluctuations are asymmetric recessions transitory and recessions duration dependent though expansions are not the empirical literature lends support but formal modeling has been absent the econometric model presented here encompasses both plucking and symmetric fluctuations around a stochastic trend we find gdp is well characterized by the plucking model implied recessions correspond to nber reference cycles and no role for symmetric cycles decomposition of the unemployment rate reveals a corresponding asymmetry and timing paths of ceiling output and trend unemployment are presented

multiple objectives in agricultural planning a compromise programming application this article shows how multiobjective programming compromise programming and filtering techniques can be used to tackle some problems found in agricultural planning a real case involving the establishment of workers cooperatives within an agrarian reform program in andalusia spain is studied the underlying problem is to find a compromise between the following objectives employment seasonal labor and business profitability the multiobjective programming approach is used to find the efficient set among these objectives and after a filtering procedure a compromise between the objectives is established based on the compromise programming approach

a floor and ceiling model of us output abstract building on previous nonlinear time series models we further examine the form of nonlinearity in us output we develop a model of us output that allows for floor and ceiling effects to alter the dynamics of output growth the model estimated on post korean war quarterly data displays features similar to nonlinear trade cycle models of the 1940s and 1950s thus as predicted by many of the earlier theoretical models our empirical results suggest that the turning points of the business cycle provide new initial conditions for the ensuing growth process we also find important asymmetries in the responses of output to positive and negative shocks this history and shock dependence property is not present in linear or approximately linear models of the type that arise in the standard implementations of real business cycle theory

measuring the business cycle effects of permanent and transitory shocks in cointegrated time series abstract this paper proposes a statistical framework to evaluate the contribution of permanent and transitory shocks to the cyclical fluctuations of cointegrated variables an empirical application with us macroeconomic data reveals that transitory shocks are responsible for most of the variability at the business cycle frequencies

multivariate detrending under common trend restrictions implications for business cycle research abstract this paper outlines a methodology to detrend multiple time series under common trend restrictions the same filters used to construct the estimated trend in univariate exercises are shown to be appropriate in multivariate studies with a single common trend however to estimate the common trend in the multivariate case the filter is applied to a linear combination of series rather than to each series individually an empirical example and simulation exercises illustrate the implications of common trend detrending for measurement of business cycle properties

permanent and transitory movements in labor income an explanation for excess smoothness in consumption many have argued that if labor income is difference stationary the permanent income hypothesis predicts that consumption should be relatively volatile in u s aggregate data labor income is well characterized as having a unit root however consumption turns out to be relatively smooth this anomaly is known as deaton s paradox i resolve deaton s paradox by providing decompositions of labor income into permanent and transitory components these preserve the univariate dynamic properties of labor income however when agents distinguish permanent and transitory movements in their labor income as the rational expectations hypothesis asserts they should the permanent income hypothesis correctly predicts the observed smoothness in consumption

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

multiattribute utility analysis the case of filipino rice policy major uncertainties and conflicting objectives often arise in public policy analysis this paper advances a framework that is appropriate for public policy problems frequently encountered in agriculture and food systems among other possible benefits its principal value is to provide focus on the major conflicts trade offs and subjective perceptions among affected groups it can be used to isolate major disagreements needed empirical evidence appropriate degrees of risk aversion equity value judgments and consensus solutions in an empirical setting the framework is used to evaluate price policy for rice in the philippines

relative price variability inflation and the allocative efficiency of the price system abstract this paper develops a theory of the relationship between aggregate and relative price variability based on the inability of people even in a rational world to identify permanent changes in relative demands whether caused by real or by monetary variability and relative productivities as soon as they occur the theory implies that the variance of the rate of inflation and the variance of relative price change are positively related although expectations are rational and markets always clear production decisions respond sluggishly to changes in relative prices temporary shocks to relative demands cause prolonged changes in the structure of production available information is used so as to maximize the efficiency of the price system however this efficiency decreases when any of the underlying variances increases this decrease is more pronounced when the production lag is longer

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

trade integration and business cycle convergence is the relation robust across time and space in this paper we investigate the relationship between trade intensity and the business cycle correlation using a panel data set taken from 24 countries over the period 1959 2003 most previous studies did not account for the possibility that the business cycle correlation may be influenced by unobservable country pair specific effects our estimates using both fixed and random effects methodologies suggest that trade intensity and the business cycle correlation are positively related to one another however detailed investigation shows that this relationship exists mainly for the european countries

is political popularity a random walk this paper tets for nonstationarity in the political popularity of uk parties and governments within the context of an economic model which predicts that party support is an arima 0 1 1 process the hypothesis is rejected for the government s popularity but the results for individual party support are less clear out

the u s current account a long and short run empirical perspective the persistence of the u s current account deficit is thought to be one of america s foremost economic problems an omen of a decline in u s economic hegemony that seems even more foreboding in the wake of plans for europe 1992 the u s current account balance began its sustained decline in the third quarter of 1982 having earlier hovered anywhere from an annualized surplus high of 22 2 billion to a deficit low of 26 64 billion between 1973 and 1982 beginning in the third quarter of 1982 the u s current account balance registered an annualized deficit of 29 billion this would be but one of many yet one of the smallest steps down the road to the triple digit deficits that have endured throughout the 1980s and remain today is the persistence of the current account deficit now in its eighth year an indication of a trend which fiscal prudence exchange rate intervention increases in u s competitiveness or demand stimulus abroad cannot suspend in the long run these issues are investigated by using the more recent work on unit roots and cointegration applications that have not yet been made regarding trade issues and trade related data granger causality tests are also used to investigate the short run causes of the current account deficit

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

emerging market business cycles learning about the trend abstract emerging market business cycles feature a higher variability of consumption relative to output and a strongly countercyclical trade balance an equilibrium business cycle model in which agents learn to distinguish between the permanent and transitory components of total factor productivity shocks using the kalman filter accounts for these features calibrated to mexico the model accounts for the behavior of consumption and the trade balance for a wide range of variability and persistence of permanent shocks relative to transitory shocks estimation for mexico and canada suggests more severe informational frictions in emerging markets than in developed economies

multicriteria analysis for agricultural resource management a critical survey and future perspectives abstract this paper reviews multicriteria analysis applied to agricultural resource management the applications utilize either methods for selecting multiattribute discrete alternatives including multiattribute utility theory or methods for solving multiobjective planning problems including goal programming our main purpose is to classify and evaluate the criteria attributes objectives used for modeling agricultural systems and to identify the difficulties for practitioners in applying the methodology the fields of study in agricultural decisions requiring further investigation are also discussed

detrending and business cycle facts a user s guide this note argues that it is hardly the case that the profession is fully aware that the application of di erent filters to the data leads to di erent outcomes and that we have enough evidence to claim that these di erences are unimportant to evaluate the fit models to the data 1998 elsevier science b v all rights reserved jel classification b41 e32

a model of crop planning under uncertainty in agricultural management abstract the crop planning problem is often formulated as a linear programming problem but in many actual cases the profit coefficients for agricultural products are not certain values because of the influence of the future weather so a linear programming model with constant coefficients does not describe the environment of decision making properly therefore we propose a model of crop planning with uncertain stochastic values which may support decision making of agricultural farms in this paper we treat such uncertain elements as the values with the fuzziness and randomness

multivariate estimates of the permanent components of gnp and stock prices the economic assumption that a present value relation holds between consumption and income and between stock prices and dividends or the statistical assumption that the consumption income ratio and the dividend price ratio are stationary imply that the permanent or random walk component in each series of a pair must be the same as the permanent component in the other series of a pair either assumption then allows us to estimate the variance of the permanent component of one series gnp stock prices from the variance of the permanent component of the other consumption dividends or from the covariance of the two series permanent components this paper presents such estimates and finds that the permanent components are about half those estimated by similar univariate methods a series of recent papers has examined the importance of a potential unit root to the behavior of real gnp campbell and mankiw 1986 1987 cochrane 1986 clark 1987 and stock prices fama and french 1986 lo and mai if by 0 the series is stationary the response can be any real number which is the innovation in these estimates instead of forcing us to ask the dichotomous question is there a unit root or not they allow us to continuously measure the importance of a potential unit root the actual estimating technique used in these papers varied somewhat cochrane poterba and summers and lo and mai if a series is stationary the variance of k differences will tend to a precursor to this paper appeared under the title spectral density estimates of unit roots we thank masanao aoki lam hansen masao ogaki and chris sims for helpful suggestions the computer programs and data used in this paper are available on request from the authors

a critical review of multi criteria decision making methods with special reference to forest management and planning abstract this paper provides a review of research contributions on forest management and planning using multi criteria decision making mcdm based on an exhaustive literature survey the review primarily focuses on the application aspects highlighting theoretical underpinnings and controversies it also examines the nature of the problems addressed and incorporation of risk into forest management and planning decision making the mcdm techniques covered in this review belong to several schools of thought for each technique a variety of empirical applications including recent studies has been reviewed more than 60 individual studies were reviewed and classified by the method used country of origin number and type of criteria and options evaluated the review serves as a guide to those interested in how to use a particular mcdm approach based on the review some recent trends and future research directions are also highlighted

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

global factors and trend inflation abstract we develop an empirical model to study the influence of global factors in driving trend inflation and the inflation gap we apply our model to 7 developed economies and 21 emerging market economies our results suggest that while global factors can have a sizeable influence on the inflation gap they play only a marginal role in driving trend inflation much of the influence of global factors in the inflation gap may be reflecting commodity price shocks finally we find the effect of global factors to be greater in our sample of emerging market economies relative to the developed economies there is some evidence which suggest propagation mechanisms which may reflect institutional structures or policy choices can explain the greater role for global factors in driving trend inflation in emerging market economies

cyclical fluctuations in strike durations canadian data on strikes between 1946 and 1983 are used to estimate linear regression models for the logarithm of completed duration a thorough investigation of the influence of the business cycle reveals strong support for the hypothesis that strike durations are countercyclical the cyclical effect is shown to be robust to both the choice of cyclical variable and the econometric specification and the magnitude of the effect is quite substantial experimentation with different representations of the cycle reveals that it is difficult to improve on a simple formulation involving a single continuous variable

modeling synergies in multi criteria supplier selection and order allocation an application to commodity trading abstract we propose a novel meta approach to support collaborative multi objective supplier selection and order allocation ssoa decisions by integrating multi criteria decision analysis and linear programming lp the proposed model accounts for suppliers performance synergy effects within a hierarchical decision structure it incorporates both heterogeneous objective data and subjective judgments of the decision makers dms representing various groups with different voting powers vps we maximize the total value of purchasing tvp by optimizing order quantity assignment to suppliers and taking into consideration their synergies encountered in different time horizons we apply the proposed model to a contractor selection and order quantity assignment problem in an agricultural commodity trading act company we maximize the strategic effectiveness of both the customers and the suppliers minimize risks increase the degree of cooperation between trading partners on all levels of supply chain integration enhance transparent knowledge sharing and aggregation and support collaborative decision making

a simple adaptive measure of core inflation this paper proposes a new measure of core inflation and compares it with several existing measures the new measure is adaptive and is designed to track sudden and persistent movements in inflation such as those arising from changes in monetary policy regimes the adaptive measure filters out transients more effectively than existing measures and it is a superior predictor of locally mean reverting components of inflation

multi objective models for lot sizing with supplier selection abstract in this paper two multi objective mixed integer non linear models are developed for multi period lot sizing problems involving multiple products and multiple suppliers each model is constructed on the basis of three objective functions cost quality and service level and a set of constraints the total costs consist of purchasing ordering holding and backordering and transportation costs ordering cost is seen as an ordering frequency dependent function whereas total quality and service level are seen as time dependent functions the first model represents this problem in situations where shortage is not allowed while in the second model all the demand during the stock out period is backordered considering the complexity of these models on the one hand and the ability of genetic algorithms to obtain a set of pareto optimal solutions we apply a genetic algorithm in an innovative approach to solve the models comparison results indicate that in a backordering situation buyers are better able to optimize their objectives compared to situations where there is no shortage if we take ordering frequency into account the total costs are reduced significantly

preference programming for robust portfolio modeling and project selection in decision analysis difficulties of obtaining complete information about model parameters make it advisable to seek robust solutions that perform reasonably well across the full range of feasible parameter values in this paper we develop the robust portfolio modeling rpm methodology which extends preference programming methods into portfolio problems where a subset of project proposals are funded in view of multiple evaluation criteria we also develop an algorithm for computing all non dominated portfolios subject to incomplete information about criterion weights and project specific performance levels based on these portfolios we propose a project level index to convey i which projects are robust choices in the sense that they would be recommended even if further information were to be obtained and ii how continued activities in preference elicitation should be focused the rpm methodology is illustrated with an application using real data on road pavement projects

supplier selection order allocation a two stage multiple criteria dynamic programming approach this paper proposes a two stage multiple criteria dynamic programming approach for two of the most critical tasks in supply chain management namely supplier selection and order allocation in the first stage to address multiple decision criteria in supplier ranking the analytic hierarchy process ahp is employed in the second stage supplier ranks are fed into an order allocation model that aims at maximizing a utility function for the firm as well as minimizing the total supply chain costs subject to constraints on demand capacity and inventory levels a dynamic programming approach is crafted to solve the proposed bi objective model

a measure of the u s output gap abstract an autoregressive distributed lag regression of the unemployment rate on output growth is structurally stable over the 1890 1986 period inverting this equation yields a measure of the output gap which is not subject to the spurious detrending problem

the term structure of currency carry trade risk premia we nd that average returns to currency carry trades decrease signicantly as the maturity of the foreign bonds increases because investment currencies tend to have small local bond term premia the downward term structure of carry trade risk premia is informative about the temporal nature of risks that investors face in currency markets we show that long maturity currency risk premia only depend on the domestic and foreign permanent components of the pricing kernels since transitory currency risk is automatically hedged by interest rate risk for long maturity bonds our

a review of multi criteria decision making mcdm towards sustainable renewable energy development abstract in the current era of sustainable development energy planning has become complex due to the involvement of multiple benchmarks like technical social economic and environmental this in turn puts major constraints for decision makers to optimize energy alternatives independently and discretely especially in case of rural communities in addition topographical limitations concerning renewable energy systems which are mostly distributed in nature the energy planning becomes more complicated in such cases decision analysis plays a vital role for designing such systems by considering various criteria and objectives even at disintegrated levels of electrification multiple criteria decision making mcdm is a branch of operational research dealing with finding optimal results in complex scenarios including various indicators conflicting objectives and criteria this tool is becoming popular in the field of energy planning due to the flexibility it provides to the decision makers to take decisions while considering all the criteria and objectives simultaneously this article develops an insight into various mcdm techniques progress made by considering renewable energy applications over mcdm methods and future prospects in this area an extensive review in the sphere of sustainable energy has been performed by utilizing mcdm technique

structuring resource allocation decisions a framework for building multi criteria portfolio models with area grouped options multi criteria portfolio modelling has been extensively employed as an effective means to allocate scarce resources for investment in projects when considering costs benefits and risks some of these modelling approaches allow the grouping of projects into organisational areas thus also supporting the decision of resource allocation among organisational units in a way that is collectively efficient for the organisation however structuring in practice a portfolio model using this latter type of approach is not a trivial task how should areas be defined where should new projects be included how should one define the criteria to evaluate performance as far as we know there is very little indication in the operational research and decision sciences literatures on how to structure this type of model this paper suggests different ways to structuring portfolio models where projects are divided into areas and evaluated by multiple criteria and illustrates their use in two action research projects drawing on these experiences it then suggests a general framework for the structuring of such models in practice directions for future research are also identified

canadian economic growth random walk or just a walk this paper analyses the role of shocks in canadian economic growth since 1870 it uses a nonparametric technique to evaluate the degree of presistence of an innnovation in long run gnp it is found that a one percent shock to canadian gnp changes the long run forecast of this variable by appproximately the same amount which is characteristic of a random walk process it is also shown that in important periods of canadian economic growth its gnp evolved as a random walk with constant drift with the exception of the period 1929 42 no evidence of business cycles is found these results lead to the conclusion that movements and oscillations in the gnp of canada since 1870 have been primarily driven by the accumulation of shocks rather than by cyclical movements

handling uncertainty in agricultural supply chain management a state of the art given the evolution in the agricultural sector and the new challenges it faces managing agricultural supply chains efficiently has become an attractive topic for researchers and practitioners against this background the integration of uncertain aspects has continuously gained importance for managerial decision making since it can lead to an increase in efficiency responsiveness business integration and ultimately in market competitiveness in order to capture appropriately the uncertain conjuncture of most agricultural real life applications an increasing amount of research effort is especially dedicated to treating uncertainty in particular quantitative modeling approaches have found extensive use in agricultural supply chain management this paper provides an overview of the latest advances and developments in the application of operations research methodologies to handling uncertainty occurring in the agricultural supply chain management problems it seeks to i offer a representative overview of the predominant research topics ii highlight the most pertinent and widely used frameworks and iii discuss the emergence of new operations research advances in the agricultural sector the broad spectrum of reviewed contributions is classified and presented with respect to three most relevant discerned features uncertainty modeling types programming approaches and functional application areas ultimately main review findings are pointed out and future research directions which emerge are suggested

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

the total cost of logistics in supplier selection under conditions of multiple sourcing multiple criteria and capacity constraint abstract little attention is given in the literature to decisions on the appropriate selection of suppliers and on assigning order quantities to these suppliers in the case of multiple sourcing with multiple criteria and with suppliers capacity constraints only a few mathematical programming models to analyse such decisions have been published to date and these have tended to consider only net price as the cost of purchasing although the costs of transportation ordering and storage may be significantly important to the decision in this paper a mixed integer non linear programming model is presented to solve the multiple sourcing problem which takes into account the total cost of logistics including net price storage transportation and ordering costs buyer limitations on budget quality service etc can also be considered in the model an algorithm is proposed to solve the model and the model is illustrated using a numerical example

computation of the beveridge nelson decomposition in the case of cointegrated systems with i 0 variables abstract this paper shows how the result of arino and newbold economics letters 61 1998 37 for the multivariate bn decomposition in the cointegrated case can be extended when i 0 variables are considered in the vec model an application of the extended procedure to the spanish peseta french franc real exchange rate is also provided

common mistakes in making value trade offs value trade offs define how much must be gained in the achievement of one objective to compensate for a lesser achievement on a different objective value trade offs that adequately express a decision maker s values are essential both for good decision making in multiple objective contexts and for insightful analyses of multiple objective decisions this paper identifies and illustrates 12 important mistakes frequently made that limit one s ability to determine useful value trade offs it then suggests how to avoid making these mistakes the intent is to provide practical advice for making good value trade offs and hence better decisions

the beveridge nelson decomposition of economic time series another economical computational method abstract this note describes a simple and an economical computational procedure for generating the permanent cyclical decomposition of economic time series proposed by beveridge and nelson 1981 our procedure is a more complete alternative than the method suggested by cuddington and winters 1987

a survey of some recent econometric methods this survey is written mainly for the applied economist though we hope that the specialist econometrician will find something of interest too our aim has been to try to bring the applied worker as up to date as possible and in the process to improve the quality of applied work by providing access to the latest ideas in econometrics we have tried to describe and explain in a relatively non technical way the main developments that have taken place in the last ten years partly for reasons of space the survey is by no means exhaustive but it does cover a wide range of topics in both time series and cross section analysis among the subjects covered are the followoing the nature of data including integrated and fractionally integrated data four estimation methods maximum likelihood method of moments m estimators and non parametric estimation inference with stationary and integrated regressors a comparison of various model evaluation principles the formulation of models including dynamic specification cointegration and conditional expectations in mean and variance copyright 1989 by royal economic society

production growth and business cycles ii new directions abstract this paper outlines new directions for investigations of real business cycle models consideration of stochastic growth of exogenous and endogenous forms analysis of suboptimal outcomes arising due to externalities of distorting taxes and implications of labor market heterogeneity

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

money output and inflation in the longer term major industrial countries 1880 2001 i introduction the empirical role of money growth in the macroeconomy has been studied by many researchers using different data and methods the most prominent studies focusing on the quantity theory of money are those of friedman and schwartz 1963 1982 using data averaged over the phases of the business cycle in order to capture longer run movements with u s and u k data back to 1867 the study by mccandless and weber 2001 is a representative example for a different approach for 110 countries in the post wwii period longer run growth rates are approximated by growth of a variable over a 30 year period average growth rates 1 the problem with phase averaging is that it does not deal with possible nonstationarity of the data 2 the problem with growth averages over long periods while informative to a degree is that they have limitations too it is impossible to assess the timing of movements in these variables 3 in the frequency domain the long run is associated with frequency zero which in our terminology is the long run trend previous studies in the frequency domain on the long run neutrality of money at zero frequency include the studies of lucas 1980 and geweke 1986 the theory of spectral analysis provides a rigorous framework for extracting specific frequency bands from the data instead of considering only frequency zero stock and watson 1998 applied the band pass filter of baxter and king 1999 to extract cycles frequency bands for u s data and focused on the business cycle and on mostly the post wwii period christiano and fitzgerald 2003 proposed an improved band pass filter and provided an application to the longer run relation of money and inflation for bands of 8 20 years and 20 40 years in the united states from 1900 to 1997 4 the usefulness of monetary aggregates for conducting monetary policy has been seriously called into question because of the instability of money demand a prominent empirical study is that of estrella and mishkin 1997 recent mainstream new keynesian models have no explicit role for money woodford 2008 a contrasting view is that the longer term role of money is still of relevance for monetary policy the european central bank explicitly emphasizes a supporting role that monetary aggregates should play in order to provide an anchor for inflation expectations hafer haslag and jones 2007 issing 2006 king 2002 nelson 2003 christiano motto and rostagno 2007 provided a theoretical new keynesian model where inflation expectations lose their anchor unless money is monitored and reacted to also beck and wieland 2008 presented a new keynesian model where cross checking with money growth movements improves inflation control similarly assenmacher wesche and gerlach 2006 2007 found a significant role for a low frequency low pass filtered component of money in the empirical new keynesian phillips curve equation 5 in the spirit of friedman 1961 we use long time spans so that our results are unlikely to be because of a specific policy rule in place in a given period we have 122 years of annual data from 1880 to 2001 before the introduction of the euro in 2002 we have real gross domestic product gdp money and consumer price indices cpis with no gaps for 11 industrialized countries 6 the countries included in our study differ in such terms as their institutions fiscal and monetary policies and economic growth rates nonetheless at least in peace time they were similar in generally having comparatively free markets in which prices and interest rates were determined our aim is to apply analytic methods that are free from economic and statistical models as much as possible in order to explore empirical regularities or stylized facts in the data also the focus of our research is the longer run we employ band pass filters to pick out cycles from each time series that last 8 40 years that is the longer term component

the effects of trade policies for fresh fruit and vegetables of the european union abstract this paper examines the economic effects of the trade policies for fresh fruit and vegetables adopted by the european union eu after the uruguay round agreement on agriculture uraa the new import regimes are based on entry prices that in effect work as minimum prices at the same time the eu has signed trade preference agreements particularly with southern mediterranean countries that are important suppliers of fruit and vegetables to the eu the management of the import regime is a balance between two conflicting objectives to support internal producers and to preserve trade flows from preferred countries on the side of export subsidies to handle the reduction commitments under the uraa the eu has introduced rationing trough tender procedures the analysis shows that such subsidies do not seem able to boost the exports of eligible products therefore eu policy makers should ask whether the eu should continue to offer such subsidies

forecasting output gaps in the g 7 countries the role of correlated innovations and structural breaks trend gdp and output gaps play an important role in fiscal and monetary policy formulation often including the need for forecasts in this article we focus on forecasting trend gdp and output gaps with beveridge nelson trend cycle decompositions trend cycle decompositions and investigate how these are affected by assumptions concerning correlated innovations and structural breaks we evaluate expanding window one step ahead forecasts indirectly for the g 7 countries on the basis of real gdp growth rate forecasts we find that correlated innovations affect real gdp growth rate forecasts positively while allowing for structural breaks works for some countries but not for all in the face of uncertainty the evidence supports that in making forecasts of trends and output gap policy makers should focus on allowing for the correlation of shocks as an order of priority higher than unknown structural breaks

examining trends of criteria air pollutants are the effects of governmental intervention transitory despite its growth in other areas of economics time series econometric methods have not beenwidespread in the area of environmental andresource economics we illustrate one use oftime series methods by examining the time pathof us nitrogen oxide nox emission dataover the period 1900 1994 the analysishighlights that proper time series methods canaid in optimal regulatory policy as well asdeveloping empirical verification of theoriesput forth to explain economic phenomena inaddition several interesting results emerge first we find that the emissions seriescontains both a permanent and random component second if one attributed all of the emissionsreductions to regulatory policy interventionanalysis suggests that the 1970 clean air act caa did not merely have transitory effects but permanently influenced the noxemission path in terms of total regulatoryimpact an upper bound on the emissions saveddue to the 1970 caa is in the range of27 48

on the credit to gdp gap and spurious medium term cycles abstract i provide empirical evidence suggesting that the credit to gdp gap is subject to spurious medium term cycles i e artificial boom bust cycles with a maximum duration of around 40 years

real business cycle models and the forecastable movements in output hours and consumption the authors study the movements in output consumption and hours that are forecastable from a vector autoregression and analyze how they differ from those predicted by standard real business cycle models they show that actual forecastable movements in output have a variance about one hundred times larger than those predicted by the model the authors also find that forecastable changes in the three series are strongly positively correlated with each other on the other hand for parameters whose implications are plausible in other respects the model implies that output consumption and hours should not all be expected to move in the same direction copyright 1996 by american economic association

a linear goal programming model for developing economies with an illustration from the agricultural sector in egypt in this study we formulate a multi regional single time period linear goal programming model for agricultural planning in a developing economy in addition to specifying different levels of input and output for each activity we describe explicit crop interdependencies which account for rotational requirements constraints are developed for land labor water machinery fertilizer and capital resources economic aspects are addressed through the use of different production functions and the incorporation of several objectives this last point marks a departure from conventional models which stress maximization of economic welfare defined as efficiency through maximum social product without consideration for income distribution the emphasis on income distribution is reflected in our model in delineation of regional employment goals in addition foreign exchange expenditures and regional demand satisfaction goals reflect the importance of limiting foreign trade deficit and providing basic nutrition fo

testing for a santa claus effect in growth cycles abstract we examine the seasonal distribution of turning points in the post war growth cycles of sixteen economies using nonparametric tests for distributions on the circle we cannot reject a uniform distribution for the turning points for most of the countries in the case of troughs uniformity is supported for eleven countries notwithstanding the unusually large number of december or january troughs this provides evidence against a santa claus effect in the growth cycle

time series decomposition and measurement of business cycles trends and growth cycles abstract a study of business cycles does not require trend estimation and elimination but a study of growth cycles does major cyclical slowdowns and speedups deserve to be analyzed but the needed time series decomposition presents difficult problems mainly because trends and cycles influence each other we compare cyclical movements in levels deviations from trend and smoothed growth rates for both the quarterly real gdp and the monthly u s coincident index using the phase average trend pat then we compare alternative trend estimates deterministic and stochastic linear and nonlinear and the corresponding series of deviations from these trends we discuss how the resulting estimates differ for u s growth cycles in the post world war ii period the results of pat show great similarity to the results obtained with the hodrick prescott local linear trend band pass filtering methods

is cyclical real gnp really more persistent than the trend using an observed components decomposition to estimate permanent and temporary components of us real gnp campbell and mankiw 1987 found that the estimated temporary component displays greater persistence than the estimated permanent component this suggests that attempts to estimate separate permanent and temporary components in real gnp are unlikely to succeed this finding is re examined here using a longer real gnp series and a different decomposition which guarantees that the estimated temporary component will be stationary the resulting estimates of permanent and temporary output suggests that the temporary component displays no persistence and that the permanent component exhibits almost precisely the persistence of a random walk with drift cyclical real gnp is not more persistent than the trend

dutch disease real effective exchange rate misalignments and their effect on gdp growth in eu abstract in this article we study the impact of real effective exchange rate misalignments based on determinants including different types of foreign capital inflows on gdp growth in the eu for this analysis we use a panel of 27 eu countries for the period 1994 2012 with annual frequency core countries have been only slightly undervalued from the crisis onwards while the periphery was overvalued however the gap for the periphery has reduced in the last two years as regards the new member states these were overvalued for the entire time span the results seem to be generally driven by the inflows of bank loans the misalignments are associated with lower long run growth the exchange rate volatilities are not robust in affecting gdp growth while spillovers and global factors seem to matter in all the specifications both in the short and long run

the influence of public subsidies on farm technical efficiency a robust conditional nonparametric approach the objective of this paper is to assess the influence of public subsidies on farm technical efficiency using recent advances in nonparametric efficiency analysis to this end we use robust conditional frontier techniques as well as insights from recent developments in nonparametric econometrics the paper contributes to the ongoing methodological discussion on how to model the effect of public subsidies on farmers production decisions the analysis is conducted using an unbalanced panel data of 1604 observations from 313 french farms located in the french region meuse over the period 2006 2011 the estimates indicate that public subsidies influence negatively the conditional technical efficiency of farms this suggests that public subsidies affect both the range of the attainable set for the inputs and outputs and the distribution of the efficiency scores inside the attainable set

differentiating between business cycles and growth cycles evidence from 15 developed countries growth cycles are often mistaken for business cycles although these two have different statistical properties in order to differentiate between them in a statistically satisfactory manner the bayesian information criterion bic based model selection approach is presented business cycles are described by the cyclical trend model and growth cycles are described by the trend plus cycle model whether the observed time series is derived from business cycles or from growth cycles is determined as a result of model selection it is shown via data based simulations that the proposed method works well in most situations empirical results obtained for 15 countries suggest that the business cycle model is selected for five countries the growth cycle model is selected for two countries and the trend plus noise model is selected for eight countries

let s take a break trends and cycles in us real gdp abstract trend cycle decompositions for us real gdp such as the unobserved components models the beveridge nelson decomposition the hodrick prescott filter and others yield very different cycles which bear little resemblance to the nber chronology ascribes much movements to the trend leaving little to the cycle and some imply a negative correlation between the noise to the cycle and the trend we argue that these features are artifacts created by the neglect of a change in the slope of the trend function once this is accounted for all methods yield the same cycle with a trend that is non stochastic except for a few periods around 1973 the cycle is more important in magnitude than previously reported and it accords well with the nber chronology our results are corroborated using an alternative trend cycle decomposition based on a generalized unobserved components models with errors having a mixture of normals distribution for both the slope of the trend function and the cyclical component

is the phillips curve still alive evidence from the euro area abstract we estimate the phillips curve for the euro area and its five largest economies over 1985 2017 using an unobserved component model for inflation and unemployment inflation expectations are modeled as the trend component of annualized hicp inflation we have three results first the relationship between unemployment and inflation is negative and significant in the euro area germany france and the netherlands second the phillips curve slope is heterogeneous across countries third the slope has not changed significantly since the global financial crisis

adjustment costs and pricing to market theory and evidence abstract this paper develops an adjustment cost model of pricing to market the model consists of a monopolist who supplies an identical nondurable good to two foreign markets it is shown that the degree of pricing to market increases with the relative importance of the transitory component in exchange rates customs data from 1978 through 1987 on u s and canadian imports of seven german commodities are used to estimate the model s parameters and test its over identifying restrictions

analysis of us real gnp and unemployment interactions abstract instead of the more common unemployment rate the time series data of the level of us unemployment is used together with us real gnp and later also with the us money stock to identify a bivariate and trivariate structural model the model is then used to examine the interaction of the unemployment level with the real gnp in the business cycle frequencies the commonly perceived okun s law is shown to disappear in the trivariate model

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

are supply shocks important for real exchange rates a fresh view from the frequency domain abstract this paper re examines the role of supply shocks for real exchange rate fluctuations and contributes by exploiting insights from the frequency domain perspective in contrast to the existing literature our empirical findings point towards an important role played by supply productivity shocks in driving us real effective exchange rate fluctuations at low frequencies while real demand shocks matter mostly at high and medium frequencies in addition we propose an approach to structurally decompose the persistence of the real exchange rate and find that supply shocks explain up to half of its persistence

estimating earnings trend using unobserved components framework abstract regressions for predicting long term stock returns often use moving averages of earnings as the earnings trend we show that the earnings trend can be directly estimated using unobserved components models the estimated trends improve the fit of predictive regressions

pitfalls in testing for explosive bubbles in asset prices a number of studies e g robert j shiller 1981 olivier j blanchard and mark watson 1982 kenneth d west 1988 have argued that dividend and stock price data are not consistent with the market fundamentals hypothesis in which prices are given by the present discounted values of expected dividends these results have often been construed as evidence for the existence of bubbles or fads related arguments have been made with respect to gold bonds and foreign exchange a major problem with such arguments e g james hamilton and charles whiteman 1985 is that apparent evidence for bubbles can be reinterpreted in terms of market fundamentals that are unobserved by the researcher behzad t diba and herschel i grossman 1984 1988b and hamilton and whiteman 1985 have recommended the alternative strategy of testing for rational bubbles by investigating the stationarity properties of asset prices and observable fundamentals 1 in essence the argument for equities is that if stock prices are not more explosive than dividends then it can be concluded that rational bubbles are not present since they would generate an explosive component to stock prices 2 using unit root tests autocorrelation patterns and cointegration tests to implement this procedure diba and grossman 1988b p 529 state that the analysis supports the conclusion that stock prices do not contain explosive rational bubbles this paper shows that the above battery of tests is in fact unable to detect an important class of rational bubbles the point is demonstrated by constructing rational bubbles that appear to be stationary when unitroot tests are applied even though they are explosive in the relevant sense simulations show that when such bubbles are present stock prices will not appear to be more explosive than dividends on the basis of these tests even though the bubbles are substantial in magnitude and volatility the presence of rational bubbles in actual stock prices thus remains an open question

income risk the tax benefit system and the demand for children because children represent an irreversible commitment parents might hedge against higher income risk by having fewer children we show that under plausible assumptions recent increases in income risk might have reduced prudent parents desired fertility responses to this via the tax benefit system are considered introducing an expected revenue neutral transfer cum child benefit system under proportional taxation which lets the government share the household s income risk increases desired fertility for parents who would choose to have small families in this system s absence pound for pound the targeted child benefit enhances fertility more than the lump sum transfer

trade interdependence and the international business cycle a stochastic general equilibrium model of the world economy is developed to analyze the contribution of trade interdependence to international business cycles we test some of the implications of the model using data from ten major industrial countries and a variety of detrending techniques to calculate the cyclical component of output we find that the significance of trade in the transmission of economic disturbances across countries is not robust to the choice of the detrending method in general the role of trade interdependence is moderate and seem to have been stronger in the period before 1973

effective protection and investment incentives in egypt and jordan during the transition to free trade with europe abstract this paper assesses the possible impact of a euro mediterranean agreement ema on egypt and jordan and identifies policy options that will increase the benefits of free trade with europe the extent to which these countries will benefit from an ema depends greatly on the investment response and thus on improvements in the investment climate the latter will be determined by many factors this paper focuses on three such factors the modalities of the tariff reduction strategy that will be pursued the extent to which transaction costs may be reduced and upgrading the quality and lowering the costs of intermediate service inputs through greater competition many of the policy and institutional changes that are required are not or are only in part covered by the ema

world crude oil and natural gas a demand and supply model abstract this paper examines world markets for crude oil and natural gas over the period 1918 1999 it analyzes the time series properties of output and prices and estimates demand and supply elasticities during 1918 1973 and 1973 1999 oil and gas prices were stable during the first period they became volatile afterwards reflecting deep changes in the market structure following the oil shock in 1973 demand price elasticities were too low however demand income elasticities were high supply price elasticities were also too low the elasticity estimates help to explain the market power of the oil producers and price volatility in response to shocks and corroborate elasticity estimates in energy studies

estimating long run economic equilibria with stochastic trends an asymptotic theory is provided to analyze a menu of currently existing estimators of cointegrated systems we study in detail the single equation ecm seecm approach of hendry our theoretical results lead to prescriptions for empirical work such as specifying seecm s nonlinearly and including lagged equilibrium relationships rather than lagged differences of the dependent variable as covariates simulations support these prescriptions and point to problems of overfitting not encountered in the semiparametric approach of phillips and hansen 1990

unemployment and infant health times series evidence from the state of tennessee this is the first study that decomposes unemployment into its structural and cyclical components and investigates their impact on income distribution controlling for the influence of inflation increases in structural unemployment have a substantial

the prebisch singer hypothesis a reappraisal independent of stationarity hypotheses time series behaviour of the relative price of primary commodities raul prebisch i950 and hans singer i950 believed that the long term trend of primary commodity prices was negative the latter in an interesting discussion of the above quandary pp 482 3 viewed rises in primary commodity prices as purely temporary sources of surplus that offered short lived opportunities to increase industrial investment these opportunities were missed by private investors who instead increased primary sector investment in such circumstances because all private activity tends to be governed by the price