testing the unbiasedness hypothesis in the forward foreign exchange market a specification analysis abstract this paper evaluates two popular regression methods of testing the unbiasedness hypothesis in the forward foreign exchange market for the 30 day canada united states forward foreign exchange market the evidence overwhelmingly indicates that it is inappropriate to treat the structure of the systematic and stochastic components of the test relations as constant over time hence conclusions inferred from parameter significance testing based upon full sample estimation can be very misleading accordingly we argue for a specification analysis of the test relations and more explicit modelling of market fundamentals

u s bilateral trade flows and exchange risk during the floating period abstract this paper tests for real exchange rate risk effects on u s bilateral trade flows during the floating period using several new as well as previously used risk measures significant negative effects occur in five of six u s import flows and in two of six u s export flows with one export flow showing a significant positive effect these results are consistent with several previous findings for aggregate u s trade two risk measures using the forward exchange rate and assuming a time varying risk premium provide marginally more significant results than the others

an evaluation of government incentives for new energy vehicles in china focusing on vehicle purchasing restrictions abstract in order to reduce carbon emissions and urban smog the chinese government has instituted a number of policies to promote the diffusion of new energy vehicles nevs achieving remarkable results this paper aims to quantify the effectiveness of various policies after reviewing and quantifying the policies directly related to the sales and driving of nevs in the past five years we established a multivariate co integration model and an error correction model to analyse the long and short term effects of these policies the results demonstrate positive co integration for the relationship between the nev market share and the nev purchase subsidy tax exemption the policy of restricting internal combustion engine vehicle icev purchase and the abolishment of traffic restrictions for nevs china s unique policy of restricting icevs has in fact promoted nev sales by adjusting the supply and demand to influence the consumers choices finally we found technology to still be a bottleneck factor in the nev industry and technological progress s effect on nev diffusion is greater than the economic subsidy policy therefore this study suggests that the funds being made available from the gradual reduction of the purchase subsidy should be transferred to research and development

the speculative efficiency hypothesis the hypothesis that forward prices are the best unbiased forecast of future spot prices is often presented in the economic and financial analysis of futures markets this paper considers the hypothesis independently of its implications for rational expectations or market efficiency and in order to stress this fact the term speculative efficiency is used to characterize the state envisaged under the hypothesis if a market is subject to efficient speculation the supply of speculative funds is infinitely elastic at the forward price that is equal to the expected future spot price the expected future spot price is a market price determined as the solution to the underlying rational expectations macroeconomic model although the paper is primarily concerned with testing this hypothesis in the foreign exchange market the methodology introduced in the paper is of general application to all futures markets this abstract was borrowed from another version of this item

interest rates and currency prices in a two country world abstract this paper is a theoretical study of the determination of prices interest rates and currency exchange rates set in an infinitely lived two country world which is subject both to stochastic endowment shocks and to monetary instability formulas are obtained for pricing all equity claims nominally denominated bonds and currencies and these formulas are related to earlier closely related results in the theories of money finance international trade

globalisation and unequalisation what can be learned from value chain analysis although many have gained from the process of globalisation there remains a stubbornly large number of people living in absolute poverty and a rise in inequality within and between countries the issue is thus not whether to participate in the global economy but how to do so in a manner which provides for sustainable and equitable income growth this study shows how value chain analysis can be used to chart the growing disjuncture between global economic activity and global income distribution and to provide causal explanations for this outcome in so doing value chain analysis provides valuable insights into policy formulation and implementation

endogenous risk in a portfolio balance rational expectations model of the deutschemark dollar rate abstract a portfolio balance model of the dm s rate under rational expectations is specified in which systematic risk induced deviations from uncovered interest parity are allowed this leads to a reduced from containing a potentially time varying risk premium which we approximate and estimate using an arch in mean approach the maximum likelihood estimator and a lagrande multiplier test for arch in mean are developed the estimation results indicate a small but non negligible time varying risk premium

in search of the exchange risk premium a six currency test assuming mean variance optimization abstract a number of authors examining deviations of actual rates of currency depreciation from forward discounts have claimed to find evidence of risk premiums if these deviations are indeed partly due to risk premiums rather than being entirely due to expectational errors then they should be systematically related to those variables on which risk premiums are thought to depend finance theory tells us that if investors optimize with respect to mean and variance the risk premium depends in a specific way on 1 the supplies of assets denominated in the various currencies 2 the variance covariance matrix of the rates of return and 3 the coefficient of risk aversion the null hypothesis of this paper is that the coefficient of risk aversion is zero countries assets are perfect substitutes and risk premiums are nonexistent the alternative hypothesis is that rates of return are systematically related to asset supplies by a macroeconomic portfolio balance function the maximum likelihood technique used dominates previous attempts to find such a relationship in that the parameters of the portfolio balance function are constrained to depend on the variance covariance matrix as the finance theory says they should on the other hand the technique also dominates previous applications of the finance theory in that the expected returns are allowed to vary over time as the macroeconomic portfolio balance theory says they should the paper s finding is a statistical inability to reject the null hypothesis for a portfolio of six currencies although this could be due to low power in the test

uncertainty in sales and inventory behaviour in the u s trade sectors this paper investigates uncertainty in sales and inventory behavior for the u s wholesale and retail trade sectors first using a vector error correction model with garch m the authors find that the uncertainty measured by forecast error variance in sales does not affect inventory behavior in both trade sectors second using forecast error variance decomposition and estimated permanent components they observe that the uncertainty may be attributed more to demand shocks than to cost shocks

a class of nonlinear arch models a class of nonlinear arch models is suggested the proposed class encompasses several functional forms for arch which have been put forth in the literature a lagrange multiplier test is developed to test engle s arch specification against the wider class of models this test provides an easily computed diagnostic check of the adequacy of an arch model after it has been estimated the theory is applied to a number of weekly exchange rate series and we find strong evidence of nonlinear arch

car buyers and fuel economy abstract this research is designed to help researchers and policy makers ground their work in the reality of how us consumers are thinking and behaving with respect to automotive fuel economy our data are from semi structured interviews with 57 households across nine lifestyle sectors we found no household that analyzed their fuel costs in a systematic way in their automobile or gasoline purchases almost none of these households track gasoline costs over time or consider them explicitly in household budgets these households may know the cost of their last tank of gasoline and the unit price of gasoline on that day but this accurate information is rapidly forgotten and replaced by typical information one effect of this lack of knowledge and information is that when consumers buy a vehicle they do not have the basic building blocks of knowledge assumed by the model of economically rational decision making and they make large errors estimating gasoline costs and savings over time moreover we find that consumer value for fuel economy is not only about private cost savings fuel economy can be a symbolic value as well for example among drivers who view resource conservation or thrift as important values to communicate consumers also assign non monetary meaning to fuel prices for example seeing rising prices as evidence of conspiracy this research suggests that consumer responses to fuel economy technology and changes in fuel prices are more complex than economic assumptions suggest the us department of energy and the energy foundation supported this research the authors are solely responsible for the content and conclusions presented

impacts of renewables and socioeconomic factors on electric vehicle demands panel data studies across 14 countries abstract electric vehicle demands have increased rapidly since 2010 and depend on renewables and socioeconomic factors using panel data from fourteen countries between 2010 and 2015 we study impacts of seven factors in a multiple linear regression model the factors include percentage of renewable energies in electricity generation number of charging stations education level population density gasoline price gdp per capita and urbanization the first four factors have apparent and positive impacts on the demands and the last two factors don t the gasoline price affects the demands for bevs battery electric vehicles more than that for phevs plug in hybrid electric vehicles one percent increase in renewables would lead to approximately 2 6 increase in ev demands based on the results policy implications are discussed

asset pricing and foreign exchange risk econometric evidence for the g 7 abstract this paper uses an error correction model ecm to examine the dynamic behavioural relationship between the excess returns of foreign exchange and the variables that measure the stock market risk factor the test results for the major currencies of the g 7 over the period january 1982 to january 1994 support the hypothesis that the excess foreign exchange returns are related to relative risks of the two national equity markets and hence supports the notion of a risk premium in foreign exchange markets in addition we find evidence of non monotonic adjustment in some of the equations with respect to the us dollar which suggests some short run exchange rate overshooting

a dynamic simulation of low carbon policy influences on endogenous electricity demand in an isolated island system abstract this paper considers the dynamics of electricity demand in response to changes arising from low carbon policies and socio economic developments as part of an investigation into the evolution of such systems on small economically developed islands endogenous electricity demand and associated policies are studied for the azorean island of sao miguel a comprehensive system dynamics sd model covering the period 2005 2050 is presented which captures both historical behaviours and real world influences on the endogenous demand dynamics of an island based electricity system the impact of tourism energy efficiency and electric vehicles ev expansion allied with associated policy options are critically evaluated by the sd model using a series of scenarios the model shows that energy efficiency measures exhibit the most significant long term impact on electricity demand while in contrast policies to increase tourism have a much less direct impact and ev expansion has thought provoking impacts on the long term demand although this is not as influential as energy efficiency measures

the effect of policy incentives on electric vehicle adoption in order to increase the attractiveness of electric vehicles evs packages of policy incentives are provided in many countries however it is still unclear how effective different policy incenti

using non linear methods to search for risk premia in currency futures abstract this paper uses currency futures prices to test the joint null hypotheses of rational expectations and absence of a time varying risk premium in the foreign exchange market we find no linear predictability in the logarithm of futures price changes either using its own past or past interest differentials also we establish that there is no non linear predictability in log price changes conditioning on its own past or past interest rate differentials thus if a time varying risk premium exists in currency futures market it is not related to its own past or past interest rate differentials

the effectiveness of financial purchase incentives for battery electric vehicles a review of the evidence abstract plug in electric vehicles pevs are in an early stage of market entry nevertheless there are now more than 2 million pevs in use globally pevs result in lower energy consumption greenhouse gas emissions and urban air pollution compared to internal combustion engine vehicles icevs for these reasons policy makers are eager to see pevs purchased by consumers in larger numbers many policy makers have introduced financial purchase incentives to nurture the growth of pev markets these incentives range in value from around us 2500 to us 20 000 per vehicle there are several studies that either directly consider the effectiveness of purchase incentives or at least include analysis of these incentives as part of a larger study the results of these studies have not been assimilated in one place to gain an understanding of whether purchase incentives are effective in promoting pev sales this means that how effective these incentives are in increasing pev sales is not well understood this paper systematically reviews the literature with the aim of understanding purchase incentives effectivity in increasing pev sales in doing so this paper builds a deeper understanding of purchase incentives this in depth understanding allows recommendations to be made on how to design purchase incentives so that they are most effective in promoting pev market growth incentives should be applied when someone is buying a pev not afterwards incentives should promote bevs and phev with high electric ranges more than phevs with low electric ranges vat and purchase tax exemptions for pevs are most effective incentives should not be available on high end bevs education and awareness campaigns should promote incentives to consumers finally the premature removal of incentives could negatively affect pevs therefore incentives should be designed with longevity in mind

the scramble for africans demography globalisation and africa s informal labour markets images of an african boom have presented us with labour markets full of dynamic potential a declining dependency ratio low levels of unemployment and a vibrant middle class this buoyant view of african labour markets conceals a less encouraging reality of catastrophic youth unemployment and expanding informality how has the continent known for the world s highest share of informal labour become a beacon of prosperity this article will explore the reality beneath the outbreak of informal economic optimism and consider why african labour markets are being painted in such rosy colours

arch models properties estimation and testing abstract the aim of this survey paper is to provide an account of some of the important developments in the autoregressive conditional heteroskedasticity arch model since its inception in a seminal paper by engle 1982 this model takes account of many observed properties of asset prices and therefore various interpretations can be attributed to it we start with the basic arch models and discuss their different interpretations arch models have been generalized in different directions to accommodate more and more features of the real world we provide a comprehensive treatment of many of the extensions of the original arch model next we discuss estimation and testing for arch models and note that these models lead to some interesting and unique problems there have been numerous applications and we mention some of these as we present different models the paper includes a glossary of the acronyms for the models we describe

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

the efficiency of the forward exchange market in this note we test the efficiency of the forward market for foreign exchange for the uk pound us dollar exchange rate using residuals from the lus class we show that previous rejections of efficiency in the forward market have not been due to the use of residuals from the ols class

short run fluctuations in foreign exchange rates evidence from the data 1973 1979 abstract the paper examines the statistical properties of daily changes in foreign exchange fx rates for nine currencies it finds that these changes are leptokurtotic i e have long tailed and sharp peaked histograms the evidence suggests that this leptokurtosis does not arise from an underlying paretian stable distribution nor from a stationary mixture of normal distributions but rather from normal processes with time varying parameters this finding casts doubt on the validity of many standard techniques t stats arima methods some moving statistics for estimating the time varying parameters are also presented

increasing electric vehicle policy efficiency and effectiveness by reducing mainstream market bias abstract plug in electric vehicles pevs provide an opportunity for reducing energy use and emissions in the transportation sector currently a number of federal policies are in place to incentivize deployment of pevs to mainstream consumers with demographics and vehicle attribute preferences most common to today s new vehicle purchasers this article argues that policies intending to give pevs a foothold in the market should not focus on mainstream consumers and should instead focus on niche markets specifically carsharing and postal fleets and early adopters including green consumers two arguments can be made in support of eliminating the mainstream market bias of current policies toward a policy of cultivating niche markets the first is efficiency so far pev policies featuring a mainstream market bias have proven to be inefficient and costly the second is effectiveness it is becoming increasingly evident that pev policies would be more effective in achieving potential societal benefits if they focused on early adopters and niche markets using such approaches as strategic niche management accessible loans and financing and appropriately targeted incentives pev policies focused on early adopters and niche markets would create complementary system effects that will lead to increased pev market penetration and realization of intended societal benefits

consumers evaluation of national new energy vehicle policy in china an analysis based on a four paradigm model abstract the chinese government has issued numerous policies to promote the development and adoption of new energy vehicles nevs to address the problem of excessive energy consumption and environmental pollution in this study we divided these policies into seven categories macroscopic demonstration subsidization preferential tax technical support industry management and infrastructure since consumers opinions affect the policy choices of government based on questionnaire data we use a four paradigm model to analyze the consumers evaluation of each policy in terms of perceptions of importance and satisfaction the results show that macroscopic policies are perceived to be of high importance and satisfaction whereas for industry management policies they are perceived to be of low importance and satisfaction the importance perceptions of preferential tax and demonstration policies are low whereas perceptions of their satisfaction are high perceptions of the importance of subsidization technical support and infrastructure policies are high whereas perceptions of their satisfaction are low we find that the subsidization technical support and infrastructure policies need urgent improvement finally we put forward several suggestions to improve the current policies and increase the consumers intention to adopt nevs

efficiency in foreign exchange markets a vector autoregression approach abstract this paper examines and tests the simple efficiency property of the forward exchange market by analyzing the linearly indeterministic covariance stationary propertoes of the vector stochastic proceess that governs the joint behavior of the spot exchange rate and forward rates wiht different maturity dates a multivariate autoregressive methodology for testing the simple efficiency hypothesis that relies upon a set of highly non linear cross equation restrictions is utilized the results of the estimation and testing for the british pound and the deutsche mark over the period september 1974 to november 1987 using monthly observation on the spot rate the one month forward rate and the three month forward rates are presented special concern is given to the sensitivity of the tests results to subsampling over the period

the unbiasedness hypothesis in the forward foreign exchange market a specification analysis with application to france italy japan the united kingdom and west germany abstract the purpose of this paper is to carry out a specification analysis of a test relation for the unbiasedness hypothesis using thirty day forward foreign exchange data from france italy japan the united kingdom and west germany the results indicate that econometric problems do exist for each country s test equation over the entire sample for each country there is at least one period which admits a statistically adequate regression equation results for these periods show that the null hypothesis of the unbiasedness of the forward rate is rejected for some countries but is retained for others

a gendered value chain approach to codes of conduct in african horticulture codes of conduct covering the employment conditions of southern producers exporting to european markets mushroomed throughout the 1990s especially in the horticulture sector linking uk and european supermarkets with export firms in africa the majority of employment in this sector is informal a significant proportion of which is female this paper explores the gender sensitivity of codes currently applied in the african export horticulture sector from an analytical perspective that combines global value chain and gendered economy approaches through an analysis of these two approaches it develops a gender pyramid which provides a framework for mapping and assessing the gender content of codes of conduct the pyramid is applied to codes that cover employment conditions in three commodity groups and countries exporting to european markets south african fruit kenyan flowers and zambian vegetables and flowers it concludes that the gender sensitivity of codes needs to be greatly enhanced if they are to adequately address employment conditions relevant to informal and especially women workers

risk premia carry trade dynamics and economic value of currency speculation in this paper we derive the dynamics and assess the economic value of currency speculation by formalizing the concept of a trader inaction range we show that exchange rate returns comprise a time varying risk premium and that uncovered interest parity uip holds in a speculative sense the often cited forward bias puzzle originates from the omission of the risk premium in standard uip tests consistent with its popularity among market professionals the carry trade strategy can be rationalized as it systematically collects risk premia and generates economic value when applied in multi currency portfolios

on tax efforts and colonial heritage in africa abstract one commonly observed phenomena about taxation in africa are regional differences and the fact that southern african countries have higher levels of shares of taxation in gdp this article argues that the major source of differences in tax effort is the colonial histories of various countries using standard measures of tax effort in a panel data framework and dividing colonial africa along forms of incorporation into the colonial system it shows that african countries and others with similar colonial histories have higher levels of tax effort however the difference disappears when we control for the colonial factor these results hold under different model specifications

the forward premium puzzle in a model of imperfect information abstract this paper studies the forward premium puzzle in a model with imperfect information the model predicts fixed effects and conditional heteroskedasticity in the forward premium regression and provides a rationale for the evidence in mayfield and murphy mayfield e s murphy r g 1992 interest rate parity and the exchange risk premium economics letters 40 319 324

conditional variance and the risk premium in the foreign exchange market abstract we investigate the existence of a risk premium in the foreign exchange market based on the conditional variance of market forecast errors the forecast errors are assumed to follow the arch process introduced by engle 1982 estimation and diagnostic testing of the model are discussed and results are presented for the currencies of the united kingdom france germany japan and switzerland