oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases this paper analyzes the effect of volatility in oil prices on the degree of asymmetry in the response of gasoline prices to oil price increases and decreases several time series measures of the asymmetry between the responses of gasoline prices to oil price increases and decreases and several measures of the oil price volatility are constructed in all models the degree of asymmetry in gasoline prices declines with an increase in oil price volatility the results support the oligopolistic coordination theory as a likely explanation of the observed asymmetry and are not consistent with the standard search theory and the search theory with bayesian updating

quantitative models for operational risk extremes dependence and aggregation abstract due to the new regulatory guidelines known as basel ii for banking and solvency 2 for insurance the financial industry is looking for qualitative approaches to and quantitative models for operational risk whereas a full quantitative approach may never be achieved in this paper we present some techniques from probability and statistics which no doubt will prove useful in any quantitative modelling environment the techniques discussed are advanced peaks over threshold modelling the construction of dependent loss processes and the establishment of bounds for risk measures under partial information and can be applied to other areas of quantitative risk management 1

commodity price volatility and world market integration since 1700 abstract poor countries are more volatile than rich countries and this volatility impedes their growth furthermore commodity prices are a key source of that volatility this paper explores price volatility since 1700 to offer three stylized facts commodity price volatility has not increased over time commodities have always shown greater price volatility than manufactures and world market integration breeds less commodity price volatility thus economic isolation is associated with much greater commodity price volatility while world market integration is associated with less

simultaneous estimation of the supply and demand of differentiated audits evidence from the municipal audit market university of georgia we wish to thank linda bamber michael bamber and randal elder for their helpful comments on an earlier draft of this paper we also acknowledge the constructive suggestions of an anonymous referee 1 studies that investigate the supply side determinants of audit fees include palmrose 1986 francis and stokes 1986 francis and simon 1987 and simon and francis 1988 studies that investigate the demand side determinants of auditor choice include eichenseher and shields 1986 francis and wilson 1988 palmrose 1984 rubin 1992 and simunic and stein 1987 some recent attempts to estimate supply and demand equations simultaneously include banker cooper and potter 1992 copley doucet and gaver 1994 and deis and giroux 1995 gaver and gaver 1995 provide an analytical framework for simultaneous estimation of the supply and demand for multiattribute audits

on the co movement between coffee and cocoa prices in international markets in this article we study the movement between cocoa and coffee prices two close substitute commodities using the ardl approach developed by pesaran et al 2001 we found that the two prices are cointegrated the long run elasticity of coffee price with respect to the cocoa one is estimated at 0 88 also using the lag augmented var approach of toda and yamamoto 1995 which is valid whatever the order of integration of the data the cocoa price is found to granger cause the coffee price and not vice versa this finding suggests that models aiming at forecasting coffee prices should incorporate cocoa prices as well

bubbles and volatility of stock prices effect of mimetic contagion the author discusses the effect of the mimetic contagion on the dynamics of stock prices each investor bids and or asks prices such that adjusts to his present value calculated from his incomplete information set and to the average price of others buyers and sellers mimetic contagion an original stochastic treatment based on the equation of motion of the probability density function is used to calculate the equations of the mean and variance of the market price as soon as the agents are mimetic and or have correlated present values then the moments of the market price are driven away from the fundamental ones copyright 1991 by royal economic society

determinants of privatization prices generating government revenue is a common objective in privatization this paper asks what determines privatization prices using firm level data for all 236 mexican companies privatized between 1983 and 1992 there are three main reasons why net prices auction prices net of the cost of prior restructuring measures are low averaging 54 cents per dollar of assets first privatization prices are very sensitive to the level of competition in the auction and restrictions often limited participation second the privatization process took too long and lengthier privatizations are associated with lower premiums third firm prior restructuring measures absorbed an average of 33 percent of the auction price most restructuring measures do not increase price and delay privatization further net prices would have increased by 71 cents per dollar of assets if the government had emphasized speed succeeding in divesting assets in one year less than the average and firing the ceo were the only restructuring step taken

dynamics of oil price precious metal prices and the exchange rate in the long run abstract we examine the relationship between the oil price prices of precious metals gold silver and platinum and the us dollar british pound exchange rate using parametric and non parametric modelling over a 135 year period for the parametric model we employ a two regime threshold vector error correction model tvecm and find non linearity and asymmetries in the long term relationship between the oil gold price and oil silver price pairs during the typical regime in which the majority of observations lie non linear granger causality suggests evidence of bidirectional and unidirectional causality for the non parametric model we employ local linear ll non parametric regression to relax the assumptions regarding functional form the relationship between the oil price and each of the precious metal prices and the exchange rate exhibit non linearities the relationship between precious metal prices and the oil price is positive and generally increasing over time while the ll estimates for the exchange rate are negative and then positive and highly non linear

bivariate garch estimation of the optimal commodity futures hedge six different commodities are examined using daily data over two futures contract periods cash and futures prices for all six commodities are found to be well described as martingales with near integrated garch innovations bivariate garch models of cash and futures prices are estimated for the same six commodities the optimal hedge ratio ohr is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of futures the estimated ohrs reveal that the standard assumption of a time invariant ohr is inappropriate for each commodity the estimated ohr path appears non stationary which has important implications for hedging strategies

the role of copulas in the housing crisis abstract due to its simplicity and familiarity the gaussian copula is popular in calculating risk in collaterized debt obligations but it imposes asymptotic independence such that extreme events appear to be unrelated this restriction might be innocuous in normal times but during extreme events such as the housing crisis the gaussian copula might be inappropriate this paper explores various copula specifications and finds that the degree to which housing prices are related based on the gaussian copula is too small compared with real housing price data

hedging downside risk of oil refineries a vine copula approach abstract the financial health of an oil refinery greatly depends on its refining margin or the difference between the prices of its refined products typically gasoline and heating oil and the cost of crude oil the refinery may hedge against the downside risk of unfavorable price movements using crude oil gasoline and heating oil futures this paper examines the use of a vine copula approach to estimate multiproduct hedge ratios that minimize the downside risk of the refinery the advantage of the vine copula approach is that it allows us to capture important characteristics of petroleum price changes including skewness and fat tailedness in the marginal distributions of individual price change series as well as heterogeneous tail dependence patterns between different pairs of price changes the out of sample hedging effectiveness of two popular classes of vine copula models canonical c and drawable d vine copula models are evaluated and compared with that of the widely used nonparametric method and three standard multivariate copula models the empirical results reveal that the d vine copula model is a good and safe choice in managing the downside risk of the refinery

on rational bubbles and fat tails this paper addresses the statistical properties of time series driven by rational bubbles a la blanchard and watson 1982 using insights on the behavior of multiplicative stochastic processes we demonstrate that the tails of the unconditional distribution emerging from such bubble processes follow power laws exhibit hyperbolic decline more precisely we find that rational bubbles predict a fat power tail for both the bubble component and price differences with an exponent smaller than 1 the distribution of returns is dominated by the same power law over an extended range of large returns although power law tails are a pervasive feature of empirical data these numerical predictions are in disagreement with the usual empirical estimates it therefore appears that exogenous rational bubbles are hardly reconcilable with some of the stylized facts of financial data at a very elementary level

winners and losers in russia s economic transition the transition to a market economy has produced a substantial and rapid change in the wage structure in russia household surveys taken before and after the transition indicate that overall wage inequality nearly doubled from 1991 to 1994 and has reached a level higher than that in the united states returns to both measured skills education occupation and unmeasured skills within groups have increased considerably skill premiums across experience groups however have become more compressed and relative wages of older workers have declined in addition female wages have declined relative to male wages across all percentiles of the wage distribution copyright 1998 by american economic association

metal volatility in presence of oil and interest rate shocks abstract this study uses three two factor volatility models of the garch family to examine the volatility behavior of three strategic commodities gold silver and copper in the presence of crude oil and interest rate shocks the results of the standard garch models suggest that gold and silver have almost the same volatility persistence which is greater than that of copper the cgarch estimates indicate that the short run transitory component of volatility converges to zero much faster for copper than for gold and silver in this sequence however the permanent volatility component demonstrates equally strong persistence in the long run for all three metals the egarch results suggest that the leverage effect is present and significant for copper only implying that gold and silver can be good investment in anticipation of bad times past oil shock does not impact all three metals similarly monetary policy and to leaser extent the oil shocks have calming effects on precious metals but not on copper if the t bill rate is used crises such as the 2003 iraq war heighten metal volatility these results have implications for derivatives valuations using gold as a reserve asset risk analysis and for the commodity exporting countries and commodity producing firms

the financialization of food commodity equity and cross commodity return co movements rose dramatically after the 2008 financial crisis this development took place following what has been dubbed the financialization of commodity markets

co movement of major energy agricultural and food commodity price returns a time series assessment abstract using monthly data between 1970 and 2013 we provide a comprehensive analysis of the extent of co movement measured by correlation coefficients among the nominal price returns of 11 major energy agricultural and food commodities we study the degree and the time evolution of unconditional and conditional correlations using a uniform spacings estimation and testing approach multivariate dynamic conditional correlation models and a rolling regression procedure we find that 1 the price returns of energy and agricultural commodities are highly correlated 2 the overall level of co movement among commodities increased in recent years especially between energy and agricultural commodities and in particular in the cases of maize and soybean oil which are important inputs in the production of biofuels and 3 the stock market volatility is positively associated with the co movement of price returns across markets especially after 2007

lifetime earnings and the vietnam era draft lottery evidence from social security administrative records errata the randomly assigned risk of induction generated by the draft lottery is used to construct estimates of the effect of veteran status on civilian earnings these estimates are not biased by the fact that certain types of men are more likely than others to service in the military social security administrative records indicate that in the early 1980s long after their service in vietnam had ended the earnings of white veterans were approximately 15 percent less than the earnings of comparable nonveterans copyright 1990 by american economic association

practical methods for measuring and managing operational risk in the financial sector a clinical study abstract this paper analyzes the implications of the advanced measurement approach ama for the assessment of operational risk through a clinical case study on a matrix of two selected business lines and two event types of a large financial institution we develop a procedure that addresses the major issues faced by banks in the implementation of the ama for each cell we calibrate two truncated distributions functions one for normal losses and the other for the extreme losses in addition we propose a method to include external data in the framework we then estimate the impact of operational risk management on bank profitability through an adapted measure of raroc the results suggest that substantial savings can be achieved through active management techniques

crack spread hedging accounting for time varying volatility spillovers in the energy futures markets crude oil heating oil and unleaded gasoline futures contracts are simultaneously analysed for their effectiveness in reducing price volatility for an energy trader a conceptual model is developed for a trader hedging the crack spread various hedge ratio estimation techniques are compared to a multivariate garch model that directly incorporates the time to maturity effect often found in futures markets modelling of the time variation in hedge ratios via the multivariate garch methodology and thus taking into account volatility spillovers between markets is shown to result in significant reductions in uncertainty even while accounting for trading costs copyright 2002 john wiley sons ltd

a reexamination of trends in primary commodity prices this paper conducts a reexamination of the prebisch singer hypothesis by employing the unit root test proposed by lee and strazicich 2003 and lee and strazicich 2004 that allow for up to two structural breaks given the higher power of these tests compared to the zivot and andrews 1992 and lumsdaine and papell 1997 tests rejection of the null can be considered as genuine evidence of stationarity the main findings of this paper are that eleven out of twenty four commodity prices are found to be difference stationary implying that shocks to these commodities tend to be permanent in nature the remaining thirteen prices are found to exhibit trend stationary behavior with either one or two structural breaks most of the commodities that do not exhibit difference stationary behavior seem to contain no significant trends there are fewer cases in relation to past studies of commodities that display negative trends thereby weakening the case for the prebisch singer hypothesis

share issue privatizations as financial means to political and economic ends abstract this study examines how political and economic factors affect the offer price share allocation and other terms governments choose when they privatize state owned enterprises via a public share offering using a 59 country sample of 630 share issue privatizations sips with total proceeds of over 446 billion during the period 1977 1997 we find that governments consistently underprice sip offers tilt their share allocation patterns to favour domestic investors impose control restrictions on privatized firms and typically use fixed price offers rather than book building or competitive tender offers all to further political and economic policy objectives

flexible dependence modeling of operational risk losses and its impact on total capital requirements abstract operational risk data when available are usually scarce heavy tailed and possibly dependent in this work we introduce a model that captures such real world characteristics and explicitly deals with heterogeneous pairwise and tail dependence of losses by considering flexible families of copulas we can easily move beyond modeling bivariate dependence among losses and estimate the total risk capital for the seven and eight dimensional distributions of event types and business lines using real world data we then evaluate the impact of realistic dependence modeling on estimating the total regulatory capital which turns out to be up to 38 smaller than what the standard basel approach would prescribe

on the comovement of commodity prices we present strong evidence against the excess comovement hypothesis that the prices of commodities move together beyond what can be explained by fundamentals prior studies employ broad macroeconomic indicators to explain common price movements and potentially correlated fundamentals are not controlled for we use inventory and harvest data to fit a partial equilibrium model that more effectively captures the variation in individual prices the model explains the majority of the comovements among commodities with high price correlation and all of the comovements among those with marginal price correlation common movements in supply factors appear to play an important role in the observed comovements in commodity prices

dynamics of oil price precious metal prices and exchange rate this study examines the co movements and information transmission among the spot prices of four precious metals gold silver platinum and palladium oil price and the us dollar euro exchange rate we find evidence of a weak long run equilibrium relationship but strong feedbacks in the short run the spot precious metal markets respond significantly but temporarily to a shock in any of the prices of the other metal prices and the exchange rate furthermore we discover some evidence of market overreactions in the palladium and platinum cases as well as in the exchange rate market in conclusion whether there are overreactions and re adjustments or not investors may diversify at least a portion of the risk away by investing in precious metals oil and the euro policy implications are provided

commodity price comovement and financial speculation the case of cotton recent booms and busts in commodity prices have generated concerns that financial speculation causes excessive commodity price comovement driving prices away from levels implied by supply and demand under rational expectations we develop a structural vector autoregression model of a commodity futures market and use it to explain two recent spikes in cotton prices in doing so we make two contributions to the literature on commodity price dynamics first we estimate the extent to which cotton price booms and busts can be attributed to comovement with other commodities finding such comovement would be necessary but would not be sufficient evidence to establish that broad based financial speculation drives commodity prices second after controlling for aggregate demand and comovement we develop a new method to point identify shocks to precautionary demand for cotton separately from shocks to current supply and demand to do so we use differences in volatility across time implied by the rational expectations competitive storage model we find limited evidence that financial speculation caused cotton prices to spike in 2008 or 2011 we conclude that the 2008 price spike was driven mostly by precautionary demand for cotton and the 2011 spike was caused by a net supply shortfall

simultaneity bias in mortgage lending a test of simultaneous equations models on bank specific data abstract this study uses simultaneous equations models and single equation models to test for simultaneity bias in mortgage refinance data compiled by a regional bank the purpose of the study is to assess the claim that single equation models of the lending decision produce biased and inconsistent parameter estimates of endogenous mortgage terms bank specific data are analyzed to avoid bias resulting from uncontrolled policy training or underwriting differences across banks importantly the data contain all variables the regional bank identified as important factors in explaining its loan disposition results after controlling for applicants debt income credit history and requested loan term i find that the race coefficient in single equation models is biased upward while the loan to value ratio coefficient is biased downward although both biases are insignificant overall the results suggest that simultaneous equations models are preferable to single equation models in tests for discrimination and can be used to determine the extent of race coefficient and loan to value ratio coefficient bias in single equation models

dependence risk analysis in energy agricultural and precious metals commodities a pair vine copula approach we apply pair vine copulas specifically the c vine and r vine copulas to examine the conditional multivariate dependence pattern structure and r vine copula based value at risk var to assess fi

global oil prices macroeconomic fundamentals and china s commodity sector comovements abstract this paper investigates the common movements of commodity sectors in china as well as the economic underpinnings of the comovements we employ a bayesian dynamic latent factor model to disentangle the common and idiosyncratic sector specific factors of the prices of a group of china s commodity sectors petrochemicals grains energy non ferrous metals oils fats and softs the results indicate that the common factor accounts for a significant portion of the fluctuations of china s commodity sectors providing evidence of the strong commodity sector comovements in china we further use a var model to link the common movements across china s commodity sectors to the underlying determinants including global oil price shocks and domestic macroeconomic fluctuations we find that the global oil price shocks have strong effects on the common movements across commodity sectors in china in addition to its domestic macroeconomic fluctuations at long horizons however at short horizons the common movements across commodity sectors in china respond more strongly to the global oil shocks than to its domestic macroeconomic fluctuations

using trivariate copulas to model sample selection and treatment effects simultaneous nonlinear econometric models with discrete outcomes are often difficult to implement this article considers the use of the copula approach for a model with three jointly determined outcomes it also deals with the discrete case in which outcomes include a mixture of dichotomous choices and discrete count data we apply this technique to study self selection and interdependence between health insurance and health care demand among married couples the full model consists of a dichotomous choice equation for family insurance and a separate negative binomial equation for each spouse s health care use

toward understanding the role of auditing in the public sector abstract this study addresses the relationship between the supply of auditing in the public sector and political competition expected in future elections empirical tests that use cross sectional data from state governments reveal positive correlations between state audit budgets and measures of political competition these results are consistent with an argument that public officials incentives to supply auditing arise from contracting between the officials and their supporting interests

should further mergers be allowed product differentiation and merger in the external audit market the external audit market in us is a market with noticeable features a highly concentrated market various choice patterns of auditors and the sequential mergers of big auditors over time there has been growing concern about the impact of mergers and the increasing market concentration using a flexible multinomial probit model and micro level data on over 3000 public companies this article investigates production differentiation and merger in the external audit service market between the big four accounting firms based on the estimation results of the demand estimates a model of post merger conduct is then used to simulate the competitive effects of a merger the results suggest that merger effects on prices in this market are not significant with no larger than 3

is there co movement of agricultural commodities futures prices and crude oil even though significant attempts have appeared in literature the current perception of co movement of commodity prices appear inadequate and static in particular we focus on price movements between crude oil futures and a series of agricultural commodities and gold futures a comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed our results indicate that co movement is a dynamic concept and that some economic and policy development may change the relationship between commodities furthermore we show that biofuel policy buffers the co movement of crude oil and corn futures until the crude oil prices surpass a certain threshold

determinants of the corporate decision to capitalize interest abstract until 1974 firms could choose within gaap to capitalize or expense interest costs associated with capital expenditures the predominant practice had been to treat interest as a period expense however in 1974 the securities and exchange commission imposed a moratorium on further adoption of interest capitalization by non regulated firms this study empirically examines economic factors potentially influencing firms decisions to expense or capitalize interest prior to the sec moratorium we hypothesize that the choice may be affected by 1 the existence of management compensation agreements tied to reported earnings 2 debt covenant constraints and 3 the political costs for some firms of reporting higher earnings when compared to the control group our findings are that 1 the frequency of explicit management compensation packages was not greater for the interest capitalization group 2 firms with financial ratios closer to likely debt agreement constraints on dividends interest coverage and leverage tended to elect interest capitalization and 3 other than the largest firms in the politically sensitive petroleum refining industry the larger firms were more likely to capitalize interest

on the use of instrumental variables in accounting research abstract instrumental variable iv methods are commonly used in accounting research e g earnings management corporate governance executive compensation and disclosure research when the regressor variables are endogenous while iv estimation is the standard textbook solution to mitigating endogeneity problems the appropriateness of iv methods in typical accounting research settings is not obvious drawing on recent advances in statistics and econometrics we identify conditions under which iv methods are preferred to ols estimates and propose a series of tests for research studies employing iv methods we illustrate these ideas by examining the relation between corporate disclosure and the cost of capital

empirical research on accounting choice abstract we review research from the 1990s that examines the determinants and consequences of accounting choice structuring our analysis around the three types of market imperfections that influence managers choices agency costs information asymmetries and externalities affecting non contracting parties we conclude that research in the 1990s made limited progress in expanding our understanding of accounting choice because of limitations in research design and a focus on replication rather than extension of current knowledge we discuss opportunities for future research recommending the exploration of the economic implications of accounting choice by addressing the three different reasons why accounting matters

the working poor and the working of american labour markets this paper examines the connection between working poor households and industrial restructuring in the us as a whole and three midwest manufacturing cities it question the conventional labour economics argument that a main reason for the substantial rise in low wage jobs in the us is skills mismatch this follows from the basic contention that people are paid what they are worth in an unrestricted economy however labour market segmentation theory poses a broader range of factors as determinants of labour market outcomes including industrial structure and the bargaining power of individuals and groups of workers relative to employers the paper first examines the nature and extent of globalisation i e the transition from manufacturing to service and retail sectors and a major consequence growing income inequality government data are used to provide measures of deindustrialisation and income inequality government data are used to provide measures of deindustrialisation and income inequality it then reports on findings from a four year study of the working poor in south bend indiana one of the three cities studied in the first part evidence presented in the paper supports segmentation thinking and indicates that other factors beyond individual resources influence labour market outcomes which are outside the control of workers especially the working poor

analyzing comovements in housing prices using vine copulas i introduction when housing prices were rapidly appreciating from 1999 to 2006 investment firms created structured securities by combining mortgages from houses located in different parts of the country and then traders bought and sold those securities and also pieces of those securities called tranches in secondary markets the most familiar of those structured securities was the collateralized debt obligation cdo the main appeal of cdos rested in the belief that due to the localized nature of housing markets houses in separate geographic markets would be unlikely to simultaneously experience large decreases in prices credit rating agencies offered support to this thinking by awarding many cdos the highest possible safety rating however it soon became clear that cdos offered less diversified protection than originally thought when starting in 2006 housing prices in different geographic areas even those located far apart simultaneously plummeted in value as a consequence cdos lost much of their value with the global cdo market shrinking from 482 billion globally in 2007 to only 8 billion in 2010 1 in the wake of the housing crisis financial analysts and policy makers have questioned why compared to pre crisis expectations housing prices showed strong correlations across different geographic areas in addition a branch of research has emerged that attempts to identify sources of and quantify magnitudes of housing price comovements apergis and payne 2012 barros gil alana and payne 2012 the popular press quickly assigned blame to the statistical method used to analyze linkages between housing markets the gaussian copula li 2000 notably the march 2009 issue of the technology magazine wired featured an article on the gaussian copula entitled recipe for disaster the formula that killed wall street similar ideas have reached the general public through the works of nassim taleb taleb 2007 the gaussian copula became popular due in part to its link to the familiar multivariate normal distribution but the multivariate normal distribution has asymptotic independence such that events regardless of the strength of their correlation become independent if one pushes far enough into the tails embrechts mcneil and straumann 2002 thus in the midst of the housing crisis which might be thought of as a lower tail event the gaussian copula predicted near independence in price movements across different areas when in fact prices plummeted simultaneously throughout most of the united states but the gaussian copula s link to the normal distribution was not its only appeal perhaps a bigger reason for its popularity was that the gaussian copula much like the related normal distribution readily extends to higher dimensions certainly credit rating agencies were not considering simple bivariate movements between two locations but rather multivariate movements across many locations recent studies argue that alternative specifications especially copulas that depart from normality more accurately reflect correlations in housing price movements during extreme market swings ho huynh and jachochavez 2014 zimmer 2012 however those improved fits have been achieved only in bivariate models that compare housing price movements between two locations it remains an open question whether non gaussian copulas can accurately reflect housing price movements in higher dimensional settings unfortunately copulas other than the gaussian do not readily extend to higher than bivariate dimensions nelsen 2006 105 attempts to develop higher dimensional copulas some of which are discussed below either impose unrealistic restrictions or present difficulties when applied to data as an alternative this article develops multivariate models of housing price comovements based on vine copulas the approach requires marginal distributions which financial analysts should know with some certainty and bivariate copulas which have well understood statistical properties

flexible estimation of copulas an application to the us housing crisis summary zimmer the role of copulas in the housing crisis review of economics and statistics 2012 94 607 620 provides an interesting case study of the pitfalls of using parametric copulas to understand the us housing crisis in the latter part of 2000s the original study by zimmer 2012 employs a finite mixture copula to illustrate that the symmetry of the gaussian copula may not be tenable especially for us housing price data during the time period from 1975 q2 to 2009 q1 we undertake a replication of his study in a wide sense first we replicate the study by incorporating revised data and then extending the dataset to include the most recent data second we implement a nonparametric copula estimator recently proposed by racine mixed data kernel copulas empirical economics forthcoming to the parametrically filtered data used in zimmer 2012 our replication finds that the application of the nonparametric copula to the same and extended filtered data provides an alternative flexible specification for copulas however the overall cautionary message of the flexible form copula espoused in zimmer 2012 remains copyright 2015 john wiley sons ltd

autoregressive conditional heteroscedasticity in commodity spot prices muth s 1961 rational expectations model of commodity markets implies that inventory carryover creates arch processes in prices the model also indicates that the expected price variance is an explanatory variable in price regressions hypotheses were tested on price data of twenty commodities using a variation of engle et al 1987 arch m technique an arch process was found in storable and not in non storable commodity data as expected however changes in expected price variance have no significant impact on price copyright 2001 john wiley sons ltd

world oil prices precious metal prices and macroeconomy in turkey we examine the long and short run transmissions of information between the world oil price turkish interest rate turkish lira us dollar exchange rate and domestic spot gold and silver price we find that the world oil price has no predictive power of the precious metal prices the interest rate or the exchange rate market in turkey the results also show that the turkish spot precious metals exchange rate and bond markets do not also provide information that would help improve the forecasts of world oil prices in the long run the findings suggest that domestic gold is also considered a safe haven in turkey during devaluation of the turkish lira as it is globally it is interesting to note that there does not seem to be any significant influence of developments in the world oil markets on turkish markets in the short run either however transitory positive initial impacts of innovations in oil prices on gold and silver markets are observed the short run price transmissions between the world oil market and the turkish precious metal markets have implications for policy makers in emerging markets and both local and global investors in the precious metals market and the oil market

commodity price excess co movement from a historical perspective 1900 2010 abstract pindyck and rotemberg 1990 s excess co movement hypothesis states that commodity prices move together beyond what fundamentals can explain reflecting possibly traders herding or liquidity constraints we test for price excess co movement in 12 commodities 11 non energy ones and oil spanning over a hundred years 1900 2010 to this end we approximate commodity demand supply factors by their apparent consumption we carry out several tests and find some evidence in favor of excess co movement but its nature appears to be time dependent in particular we conclude that excess co movement with oil is generally present particularly in the industrial metal class we also explore the interdependence between portfolio investment decisions and excess co movement for three unrelated assets cotton copper and petroleum based on conditional value at risk cvar optimization we found some correlations between the two when short sales are excluded during 1971 1999 2004 and 2008

choice of accounting method by not for profit institutions accounting for investments by colleges and universities abstract this study reports a preliminary empirical investigation into the relation between the choice of investment accounting method used by colleges and universities and factors such as type of institution endowment size and returns and debt because these institutions use fund accounting the effects of the choice of investment accounting method can reasonably be isolated from other accounting decisions the results indicate that the selection of investment accounting method is influenced by type of institution endowment size and returns but not by debt covenants

employers discriminatory behavior and the estimation of wage discrimination this paper considers the linkage of empirical estimates of wage discrimination between two groups introduced by oaxaca 1973 to a theoretical model of employers discriminatory behavior it is shown that conditional on different assumptions about employers discriminatory tastes oaxaca s estimators of wage discrimination can be derived that the approach is more generally useful is demonstrated by deriving an alternative estimator of wage discrimination based on the assumption that within each type of labor e g unskilled skilled the utility function capturing employers discriminatory tastes is homogeneous of degree zero with respect to labor inputs from each of the two groups the estimators are compared empirically in an application to male female wage differentials

a primer on financial contagion abstract this paper presents a theoretical framework to highlight possible channels for the international transmission of financial shocks we first review the different definitions and measures of contagion adopted by the literature we then use a simple multi country asset pricing model to classify the main elements of the current debate on contagion and provide a stylized account of how a crisis in one country can spread to the world economy in particular the model shows how crises can be transmitted across countries without assuming ad hoc portfolio management rules or market imperfections finally tracking our classification we survey the results of the empirical literature on contagion

women in transition changes in gender wage differentials in eastern europe and the former soviet union under state socialism women fared relatively well in the labor market female male wage differentials were similar to those in the west and female labor force participation rates were among the h

on the relationship between the prices of oil and the precious metals revisiting with a multivariate regime switching decision tree this study examines the volatility and correlation and their relationships among the euro us dollar exchange rates the s p500 equity indices and the prices of wti crude oil and the precious metals gold silver and platinum over the period 2005 to 2012 our model links the univariate volatilities with the correlations via a hidden stochastic decision tree the ensuing hidden markov decision tree hmdt model is in fact an extension of the hidden markov model hmm introduced by jordan et al 1997 the architecture of this model is the opposite that of the classical deterministic approach based on a binary decision tree and it allows a probabilistic vision of the relationship between univariate volatility and correlation our results are categorized into three groups namely 1 exchange rates and oil 2 s p500 indices and 3 precious metals a switching dynamics is seen to characterize the volatilities while in the case of the correlations the series switch from one regime to another this movement touching a peak during the period of the subprime crisis in the us and again during the days following the tohoku earthquake in japan our findings show that the relationships between volatility and correlation are dependent upon the nature of the series considered sometimes corresponding to those found in econometric studies according to which correlation increases in bear markets at other times differing from them

dependence structure and risk measure understanding the relationships among multivariate assets would help one greatly about how best to position one s investments and enhance one s financial risk protection we present a new method to model parametrically the dependence structure of stock index returns through a continuous distribution function which links an n dimensional density to its one dimensional margins the resulting multivariate model could be used in a wide range of financial applications focusing on risk management we show that a misspecification of the dependence structure introduces on average an error in value at risk estimates

on the excess co movement of commodity prices a note about the role of fundamental factors in short run dynamics abstract since the influential paper by pindyck and rotemberg 1990 the excess co movement of commodity prices the economic journal 100 1173 1189 there is a common belief that prices of unrelated commodities tend to move together in excess of what can be explained by fundamentals in this paper we consider monthly data of 51 commodities from 1980 to 2008 to confirm that raw resources exhibit co movement at high frequencies nonetheless focusing on oil and six metal prices we present evidence that the high level of correlation between cycles of commodity prices can be explained to a large extent by common shocks to inventory levels once the influences of supply and demand are filtered out it appears that the links between commodity prices are rather loose

an income strategy approach to the positive theory of accounting standard setting choice abstract this paper is designed to provide additional evidence on the positive theory of accounting policy choice by combining individual accounting principles into firm income strategies these strategies were the dependent variable in a probit analysis where the independent variables were size management compensation industry concentration ratio systematic risk capital intensity and the total debt to total asset ratio the results indicate that four of these factors size management compensation concentration ratio and the total debt to total asset ratio have a significant association with the choice of a firm s income strategy this test provides strong evidence consistent with the positive theory of accounting standard setting choice we also present evidence that smaller firms and or firms in less concentrated industries do not appear to make accounting policy choice decisions that are consistent with this theory

grain price and volatility transmission from international to domestic markets in developing countries summary understanding the sources of domestic food price volatility in developing countries and the extent to which it is transmitted from international to domestic markets is critical to help design better global regional and domestic policies to cope with excessive food price volatility and to protect the most vulnerable groups this paper examines short term price and volatility transmission from major grain commodities to 41 domestic food products across 27 countries in africa latin america and south asia we follow a multivariate garch approach to model the dynamics of monthly price return volatility in international and domestic markets the period of analysis is 2000 through 2013 in terms of price transmission we only observe significant interactions from international to domestic markets in few cases to calculate volatility spillovers we simulate a shock equivalent to a 1 increase in the conditional volatility of price returns in the international market and evaluate its effect on the conditional volatility of price returns in the domestic market the transmission of volatility is statistically significant in just one quarter of the maize markets tested more than half of rice markets tested and all wheat markets tested volatility transmission seems to be more common when trade imports or exports are large relatively to domestic requirements

some contagion some interdependence more pitfalls in tests of financial contagion this paper develops a test of contagion in financial markets based on bivariate correlation analysis which generalizes existing tests and applies it to the international effects of the hong kong stock market crisis of october 1997 contagion is defined as a structural break in the international transmission of financial shocks for plausible values of the variance of country specific shocks in hong kong our test finds evidence of contagion for 5 countries out of a sample of 17 this is in sharp contrast with the findings of recent literature according to which there is no contagion only interdependence we show that this strong result in the literature is due to arbitrary and unrealistic restrictions on the variance of country specific shocks

modelling bivariate count distributions with finite mixture models application to health care demand of married couples count measures of health care utilization are often correlated with other measures of utilization in addition utilization measures display a high proportion of zero observations this article attempts to accommodate both data features in one model with an application to medical care usage of husbands and wives a bivariate count representation is used to model dependence between husbands and wives utilizations and a finite mixture specification accommodates the problem of excess zeros results show that married couples are characterized by two distinct subpopulations according to the intensity of utilization of the wife

gender segmentation at work in china s privatized rural industry some evidence from shandong and jiangsu abstract in this paper we argue that labor segmentation exists along gender lines in the newly privatized township and village enterprises in rural china the results based upon surveys of workers enterprise managers and local officials indicate that women are segregated into production type jobs in certain industries have less control over their work do not receive a return to experience and are adversely affected by wage discrimination there is a clear gender bias in favor of men in share holding a new and important form of workplace benefit that confers wealth and affects control within the workplace and thus privatization has contributed to gender segmentation the results support the general argument that the process of economic transition is not gender neutral

the transition in east germany when is a ten point fall in the gender wage gap bad news the gender wage gap in east germany has narrowed by 10 percentage points in transition but women have experienced much more severe employment difficulties than men using the german socio economic panel for 1990 94 i show that on balance women have lost relative to men almost half the relative wage gain is due to exits from employment of the low skilled who are disproportionately women the female employment decline is not primarily voluntary more than half the gender gap in the hazard rate from employment reflects a general fall in demand for low skilled workers reduced child care plays no role

the excess co movement of commodity prices reconsidered this paper provides an empirical reconsideration of evidence for excess co movement of commodity prices within the framework of univariate and multivariate garch 1 1 models alternative formulations of zero excess co movement are provided and corresponding score and likelihood ratio tests are developed monthly time series data for two sample periods 1960 85 and 1974 92 on up to nine commodities are used in contrast to earlier work only weak evidence of excess co movement is found

land resilience and tail dependence among crop yield distributions we propose and empirically test a simple model to shed light on the nature of interactions between weather land quality and yield the conceptual model posits substitution relations between water stress metrics and soil quality as well as a soil conditioned threshold water stress level beyond which soil cannot buffer crop yields the model implies that yield yield dependence should vary as growing conditions vary in comparison with intermediate growing conditions yield yield dependence should strengthen when growing conditions are either very good or very poor county yield data strongly support substitution between soil and benign water availability levels but complementarity between soil and beneficial heat variables our estimated model provides qualified support for the hypothesis that better land is more resilient to water stress we estimate a pseudo copula that nests the gaussian copula finding strong evidence of left tail dependence among yields our formal model and empirical findings corroborate others concerns about the appropriateness of current usda rate setting methodologies which posit constant state conditional rank correlations implicitly assumed by use of the gaussian copula an application to aggregate crop yield rate setting suggests that current methods underprice area yield and whole farm premiums applying our empirical model to medium range weather projections under a climate change scenario for the northern great plains we infer that systemic yield correlations will increase in future years

empirical assessment of the impact of auditor quality on the valuation of new issues abstract this paper reports empirical tests of an hypothesized positive relation between audit quality and firm specific risk that is predicted by datar feltham and hughes 1991 theoretical analysis of auditor choice when firms go public three types of proxies for ex ante firm specific risk are used to test this relation regression coefficients that theory relates to the firm specific risk ex ante proxies available from prospecti and ex post variances in returns results from the first are moderately consistent with our hypothesis while those from the latter two are either mixed or contrary

do gasoline prices respond asymmetrically to crude oil price changes the authors test and confirm that retail gasoline prices respond more quickly to increases than to decreases in crude oil prices among the possible sources of this asymmetry are production inventory adjustment lags and market power of some sellers by analyzing price transmission at different points in the distribution chain the authors attempt to shed light on these theories spot prices for generic gasoline show asymmetry in responding to crude oil price changes which may reflect inventory adjustment effects asymmetry also appears in the response of retail prices to wholesale price changes possibly indicating short run market power among retailers

coupling couples with copulas analysis of assortative matching on risk attitude we investigate patterns of assortative matching on risk attitude using self reported ordinal data on risk attitudes for males and females within married couples from the german socio economic panel over the period 2004 2012 we apply a novel copula based bivariate panel ordinal model estimation is in two steps first a copula based markov model is used to relate the marginal distribution of the response in different time periods separately for males and females second another copula is used to couple the males and females conditional on the past distributions we find positive dependence both in the middle of the distribution and in the joint tails and we interpret this as positive assortative matching pam hence we reject standard assortative matching theories based on risk sharing assumptions and favor models based on alternative assumptions such as the ability of agents to control income risk we also find evidence of assimilation that is pam appearing to increase with years of marriage jel c33 c51 d81