fertility risk in the life cycle in this paper i study fertility decisions of women in the u s economy with special emphasis on the timing of births and abortions over the life cycle given the policy debate regarding abortion availability along with empirical evidence on its positive impact on women outcomes understanding the fertility process in a broad sense should help guide the discussion in this paper i present a life cycle model of consumption savings and fertility decisions in an environment with uninsurable income shocks and imperfect fertility control my model presents a unified framework in which opportunity costs of child rearing as well as technological restrictions in the form of contraception effectiveness have roles to understand lifetime fertility the model extends important earlier work on contraceptive decisions by women in the sense that it allows for stochastic fertility outcomes and is able to account for the interplay between asset accumulation and fertility decisions observed in the data

an empirical analysis of life cycle fertility and female labor supply this paper examines us household fertility and female labor supply over the life cycle using data from the panel study of income dynamics the authors investigate how maternal time inputs and market expenditures on offspring as well as the benefits they yield their parents vary with ages of offspring and influence female labor supply and contraceptive behavior the econometric framework combines a female labor supply model and a contraceptive choice index function it also accounts for the fact that conceptions are not perfectly controllable events using longitudinal data on married couples the authors estimate these equations and test alternative specifications of the technologies governing child care the findings suggest that while parents cannot perfectly control conceptions variations in child care costs do affect life cycle spacing of births furthermore the results demonstrate the gains of modeling the linkages between female labor supply and fertility behavior at the household level authors modified

chaos in oil prices evidence from futures markets abstract we test for the presence of low dimensional chaotic structure in crude oil heating oil and unleaded gasoline futures prices from the early 1980s evidence on chaos will have important implications for regulators and short term trading strategies while we find strong evidence of non linear dependencies the evidence is not consistent with chaos our test results indicate that arch type processes with controls for seasonal variation in prices generally explain the non linearities in the data we also demonstrate that employing seasonally adjusted price series contributes to obtaining robust results via the existing tests for chaotic structure maximum likelihood methodologies that are robust to the non linear dynamics lend support for samuelson s hypothesis on contract maturity effects in futures price changes however the tests for chaos are not found to be sensitive to the maturity effects in the futures contracts the results are robust to controls for the oil shocks of 1986 and 1991

consumption commitments and employment contracts we examine an economy in which the cost of consuming some goods can be reduced by making commitments that reduce exibility we show that such consumption commitments can induce consumers with risk neutral underlying utility functions to be risk averse over small variations in income but sometimes to seek risk over large variations as a result optimal employment contracts will smooth wages conditional on being employed but may incorporate a possibility of unemployment

one security many markets determining the contributions to price discovery when homogeneous or closely linked securities trade in multiple markets it is often of interest to determine where price discovery the incorporation of new information occurs this article suggests an econometric approach based on an implicit unobservable efficient price common to all markets the information share associated with a particular market is defined as the proportional contribution of that market s innovations to the innovation in the common efficient price applied to quotes for the thirty dow stocks the technique suggests that the preponderance of the price discovery takes place at the new york stock exchange nyse a median 92 7 percent information share although most of the classic paradigms in market microstructure concern a security that trades in a single centralized market such situations are becoming increasingly rare in practice fragmentation the dispersal of trading in a security to multiple sites has emerged as a dominant institutional trend this process is of concern to financial economists and regulators because price information and price discovery the impounding of new information into the security price arguably the most important products of a security market have many attributes of public goods as the process of fragmentation accelerates it may be important to determine where the price information and price discovery are being produced 1 this paper suggests a practical econometric approach to this problem the technique is illustrated with an application to u s equity markets many stocks listed on the new york stock exchange nyse trade concurrently on the regional exchanges and the national association of securities dealers national market system nasd nms since a share of ibm stock is the same security whether purchased on the midwest or pacific exchange this is a particularly clear instance of multiple markets nevertheless the expres

family planning in a life cycle model with income risk several us states have recently restricted the access to abortions we study fertility intentions and how family planning and abortions are used as mechanisms to control fertility among couples facing income risk we formulate and estimate a life cycle consumption saving model with uninsurable income risk and imperfect contraceptive control that matches fertility behavior in the british household panel survey bhps well we use the estimated model to investigate how family planning and abortions are used to control fertility in our model our simulations suggest that income risk affects family planning and that abortion is used to control fertility due to the presence of income risk this indicates that the availability of abortions might play a role as an insurance mechanism

information transmission in informationally linked markets evidence from us and chinese commodity futures markets abstract this paper investigates information transmission and price discovery in informationally linked markets within the multivariate generalized autoregressive conditional heteroskedasticity and information share frameworks based on both synchronous and non synchronous trading information from chinese futures spot markets the new york mercantile exchange nymex chicago board of trade cbot and cme globex futures markets for copper and soybeans we show that there is a bidirectional relationship in terms of price and volatility spillovers between us and chinese markets with a stronger effect from us to chinese markets than the other way around additionally the nymex and cbot play a more important role than the cme globex in the flow of information from us to chinese markets moreover we find that chinese copper market adjusts more quickly than the nymex copper market to correct the disparity between both markets however the converse is true in the case of soybeans finally our results highlight the remarkable role of chinese futures markets in the price formation process though nymex and cbot futures markets are the main driving force in price discovery

factor demand models with nonlinear short run fluctuations abstract this paper considers asymmetric costs of adjustment that propagate nonlinear shortrun fluctuations in stochastic factor demand systems the model endogenously generates asymmetric cyclical demand for capital and labour between peaks and troughs of the business cycle the empirical analysis of the model is based on quarterly time series data of the dutch manufacturing sector for the period 1971 i 1984 iv and annual time series data of the u k manufacturing sector for the period 1955 1986 i find important differences of adjustment speed of capital and labour inputs between expansionary and contractionary phases of the business cycle

vanishing children from high unemployment to low fertility in developed countries during the last four decades the average total fertility rate in oecd countries witnessed a dramatic fall from 2 9 in 1960 to 2 0 in 1975 and then to 1 6 in the late 1990s reaching 1 25 in southern europe with the exception of the united states all advanced countries now have fertility rates well below the replacement rate of 2 1 in the absence of either sharp changes in fertility behavior or large inflows of immigrants their populations are set to shrink particularly in europe still within this generalized fall cross national differences in fertility behavior have remained significant by 2000 fertility rates ranged from 2 1 in the united states and over 1 8 in france and norway to less than 1 3 in greece italy and spain most standard accounts attribute the fall in fertility rates to a shift in personal preferences over the size of the family due to either changes in religious beliefs or growing female participation in the labor market yet even though the ideal number of children for men and women 20 34 years old has declined it is fairly similar across the european union at around the replacement level of 2 1 eurostat 2001 hence the sources of cross national variation in fertility behavior must lie somewhere else as women have joined the labor force fertility rates have adjusted as a function of the institutional structures that shape the job market and determine its long run unemployment rate exploiting the considerable variation of fertility rates and employment conditions across industrial countries this paper shows that the current demographic transition is ultimately associated with the constraints of the labor market where fertility decisions are taken

cyclical dynamics in idiosyncratic labor market risk is individual labor income more risky in recessions this is a difficult question to answer because existing panel data sets are so short to address this problem we develop a generalized method of moments estimator that conditions on the macroeconomic history that each member of the panel has experienced variation in the cross sectional variance between households with differing macroeconomic histories allows us to incorporate business cycle information dating back to 1930 even though our data do not begin until 1968 we implement this estimator using household level labor earnings data from the panel study of income dynamics we estimate that idiosyncratic risk is i highly persistent with an annual autocorrelation coefficient of 0 95 and ii strongly countercyclical with a conditional standard deviation that increases by 75 percent from 0 12 to 0 21 as the macroeconomy moves from peak to trough

earnings inequality and mobility in the united states evidence from social security data since 1937 this paper uses social security administration longitudinal earnings micro data since 1937 to analyze the evolution of inequality and mobility in the united states annual earnings inequality is u shaped decreasing sharply up to 1953 and increasing steadily afterward short term earnings mobility measures are stable over the full period except for a temporary surge during world war ii virtually all of the increase in the variance in annual log earnings since 1970 is due to increase in the variance of permanent earnings as opposed to transitory earnings mobility at the top of the earnings distribution is stable and has not mitigated the dramatic increase in annual earnings concentration since the 1970s long term mobility among all workers has increased since the 1950s but has slightly declined among men the decrease in the gender earnings gap and the resulting substantial increase in upward mobility over a lifetime for women are the driving force behind the increase in long term mobility among all workers

the nature of precautionary wealth abstract this paper uses the panel study of income dynamics to provide some of the first direct evidence that wealth is systematically higher for consumers with predictably greater income uncertainty however the apparent pattern of precautionary wealth is not consistent with a standard parameterization of the life cucle model in which consumers are patient enough to begin saving for retirement early in life wealth is estimated to be far less sensitive to uncertainty than implied by that model instead our results suggest that over most of their working life time consumers behave in accordance with the buffer stock models of saving described in carroll 1992 1997 or deaton 1991 in which consumers hold wealth principally to insulate consumption against near term fluctuations in income

tick size the compass rose and market nanostructure abstract economists have begun using methods borrowed from the physical sciences to search for non linearities in economic and financial data the so called phase portrait from chaos theory in which the values of a time series are plotted against their delayed values is one of the techniques employed for this purpose it has recently been shown however that when returns on traded assets are plotted in this manner in two or three dimensional space surprising patterns arise which seriously distort the conclusions that can be drawn about the underlying data these patterns which resemble a compass rose reflect the microstructure of the market or more specifically the finite size of the ticks by which prices can change in a market the present paper clarifies the reason for this phenomenon it is shown that within the microstructure there exists nanostructure that becomes visible only when the computations are performed without approximation high frequency data from a foreign exchange market are used to illustrate this phenomenon

how smooth is price discovery evidence from cross listed stock trading abstract the adjustment to parity can be nonlinear for a cross listed pair convergence may be quicker when the price deviation is sufficiently profitable we propose a threshold error correction model ecm to gauge the market respective information shares of canadian listings traded on the toronto stock exchange tsx and the new york stock exchange nyse since dynamics may alternatively be gradual we further generalize the threshold framework to a smooth transition ecm the empirical implications are as follows first the tsx and the nyse appear to have integrated over time second parity convergence accelerates upon discounts on the cross listings on the nyse third we find a larger feedback from the nyse if the price gap exceeds the threshold required arbitrage return fourth informed traders tend to cluster on the nyse upon discounts on the cross listings fifth information share and threshold are affected by the relative degree of private information market friction and liquidity measures firm level characteristics and aggregate risks

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

fertility choice in a life cycle model with idiosyncratic uninsurable earnings risk abstract motivated by large shifts in uninsurable earnings risk over time this paper studies the link between delaying and reducing fertility on the one hand and earnings and fertility risks on the other when children are modeled as consumption commitments increases in earnings risk are associated with a reduction in family sizes and patterns of delayed childbearing since household ability to bear children declines with age the postponement of birth associated with the increased earnings risk drives down the number of birth per family further an access to in vitro fertilization ivf is shown to have only a limited offsetting effect

the baby boom and baby bust what caused the baby boom and can it be explained within the context of the secular decline in fertility that has occurred over the last 200 years the hypothesis is that a the secular decline in fertility is due to the relentless rise in real wages that increased the opportunity cost of having children b the baby boom is explained by an atypical burst of technological progress in the household sector that occurred in the middle of the last century this lowered the cost of having children a model is developed in an attempt to account quantitatively for both the baby boom and bust

consumer durables and the real interest rate one important channel through which real interest rates affect aggregate demand is consumer expenditure on durable goods this paper examines empirically the link between interest rates and consumer durables solving for the decision rule relating income and interest rates to consumer demand is an intractable task this paper avoids this problem by examining the first order conditions necessary for maximization by the representative consumer structural parameters of there presentative utility function are thus recovered the estimated model suggests that expenditure on consumer durables is far more sensitive to changes in the interest rate than is expenditure on nondurables and services this abstract was borrowed from another version of this item

nonlinear dynamics and stock returns simple deterministic systems are capable of generating chaotic output that mimics the output of stochastic systems for this reason algorithms have been developed to distinguish between these two alternatives these algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series in this article the authors apply these procedures to stock returns and find evidence that indicates the presence of nonlinear dependence on weekly returns from the center for research in security prices value weighted index copyright 1989 by the university of chicago

is the business cycle characterized by deterministic chaos abstract tests are conducted on u s macroeconomic data for the presence of low dimensional deterministic chaos where deterministic chaos is defined as in grandmont s 1985 walras bowley lecture or in brock 1986 the idea is to test for evidence of endogenous instability causing the business cycle low order autoregressions are hard to reject with our methods evidence of chaos is weak but our tests may be too weak to detect it evidence of nonlinearity is present in employment 1950 i to 1983 iv unemployment 1949 i to 1982 iv monthly post war industrial production and pig iron production 1877 1937

statistical nonlinearities in the business cycle a challenge for the canonical rbc model abstract the cyclical components of u s macroeconomic time series exhibit significant nonlinearities standard equilibrium models of business cycles cannot replicate nonlinear features of the data applying the efficient method of moments gallant a r tauchen g 1996 which moments to match econometric theory 12 4 657 681 to build an algorithm that searches over the model s parameter space establishes the parameterization that best allows replication of all statistical properties of the data the results show that under this parameterization the model captures nonlinearities in investment but fails to account for observed properties of consumption

relative wage movements and the distribution of consumption we analyze how relative wage movements among birth cohorts and education groups affected the distribution of household consumption and economic welfare our empirical work draws on the best available cross sectional data sets to construct synthetic panel data on u s consumption labor supply and wages during the 1980s we find that low frequency movements in the cohort education structure of pretax hourly wages among men drove large changes in the distribution of household consumption the results constitute a spectacular failure of between group consumption insurance a failure not explained by existing theories of informationally constrained optimal consumption behavior a welfare analysis indicates that the cost of between group consumption variability is larger than the cost of aggregate consumption variability by two orders of magnitude

inequality income growth and mobility the basic facts during the 1950s and 1960s mean wages in the united states grew rapidly and the dispersion around this growing mean changed very litde starting in the 1970s and continuing into the 1980s and 1990s these patterns were reversed mean wages grew slowly and inequality increased rapidly these changes in labor markets were reflected in changes in the distribution of family income the mean of the distribution of family income did increase after 1973 in spite of the near constancy of mean real wages as family members increased the number of hours they worked however the increase in inequality of wages was mirrored by an increase in the dispersion of family income a large descriptive literature has documented the rise in inequality while a smaller behavioral literature has sought to delineate the causes of this rise these changes in the distribution of family income a fected rates of poverty directly during the 1950s and 1960s temporary increases in poverty during recessions were more than offset by declines in poverty during economic expansions as long as the poor gained along with everyone else fi om the secular growth in the mean one could be confident that poverty rates would ratchet down this is exactly what happened as poverty rates fell from 22 4 percent in 1959 to 11 1 percent in 1973

saving and liquidity constraints this paper is concerned with the theory of saving when consumers are not permitted to borrow and with the ability of such a theory to account for some of the stylized facts of saving behavior the models presented in the paper seem to account for important aspects of reality that are not explained by traditional life cycle models copyright 1991 by the econometric society

time varying income and price elasticities for energy demand evidence from a middle income panel abstract we estimate time varying income and price elasticities for energy demand for a 26 country middle income balanced panel that spans 1996 2014 to do so we employ a recently developed local linear dummy estimation method to estimate the trend and coefficient functions we find that the price elasticity for energy demand is either insignificant or positive and small while the income elasticity for energy demand behaves in a non linear fashion over time it is always less than unity and is generally within 0 6 0 8 a gdp elasticity of less than one suggests that these middle income countries are on the right hand side of an inverted u energy intensity gdp path that is consistent with the dematerialization process also this finding suggests that energy intensity but not energy consumption in these countries will fall with economic growth hence intensity based targets may be met in a business as usual setting but aggregate or per capita based carbon emissions targets would likely require policy interventions

dynamics of volatility transmission between the u s and the chinese agricultural futures markets the u s and china are two of the biggest players in the world agricultural market the literature documents that volatility in the u s agricultural futures market spills over significantly to that of china this article provides further insights into the spillovers from china to the u s as well as the time horizon and dynamics of the bidirectional spillovers through the application of a multivariate extension of the heterogeneous autoregressive model in relation to four commodities soybean wheat corn and sugar the results confirm the existence of significant spillovers from the u s to china for four commodities which are primarily generated by the shorter term volatility components in the u s and provide evidence for the increasing pricing power of the chinese market the findings are robust against various specifications and have important investment and policy implications

on endogenous competitive business cycles the belief that the long run equilibrium of a competitive monetary economy that does not experience any exogeneous shocks whether originating from the external environment or from policy should be modelled as a state that is stationary or perhaps growing at a constant rate seems to be deeply rooted in the mind of some economists

how important is intra household risk sharing for savings and labor supply abstract while it is recognized that the family is a risk sharing institution little is known about the quantitative effects of this source of insurance on savings and labor supply in this paper we present a model where workers females and males are subject to idiosyncratic employment risk and where capital markets are incomplete a household is formed by a female and a male who decide on consumption savings and labor supplies in a calibrated version of our model we find that intra household risk sharing has its largest impact among wealth poor households while the wealth rich use mainly savings to smooth consumption across unemployment spells wealth poor households rely on spousal labor supply for instance for low wealth households average hours worked by wives of unemployed husbands are 8 higher than those worked by wives of employed husbands this response in wives hours makes up 9 of lost family income we also study consumption losses upon an unemployment spell precautionary savings and the crowding out effects of the public unemployment insurance program on the extent of risk sharing within the household

pairs selection and outranking an application to the s p 100 index pairs trading is a popular quantitative speculation strategy this article proposes a general and flexible framework for pairs selection the method uses multiple return forecasts based on bivariate information sets and multi criteria decision techniques our approach can be seen as a sort of forecast combination but the output of the method is a ranking it helps to detect potentially under and overvalued stocks a first application with s p 100 index stocks provides promising results in terms of excess return and directional forecasting

a nonparametric distribution free test for serial independence in stock returns a comment we have confirmed that corrado and schatzberg s 1990 criticism of our test for serial independence in stock returns ashley and patterson 1986 is correct the corrected results still favor rejection of the null hypothesis that the daily returns for several stocks notably holly sugar hly and e systems esy are serially independent but only at the 12 percent and 14 percent significance levels respectively evidently this kind of test is long on simplicity and intuitive appeal but short on power

the macroeconomic implications of rising wage inequality in the united states in recent decades american workers have faced a rising college premium a narrowing gender gap and increasing wage volatility this paper explores the quantitative and welfare implications of these changes the framework is an incomplete markets life cycle model in which individuals choose education intrafamily time allocation and savings given the observed history of the u s wage structure the model replicates key trends in cross sectional inequality in hours worked earnings and consumption recent cohorts enjoy welfare gains on average as higher relative wages for college graduates and for women translate into higher educational attainment and a more even division of labor within the household

intraday volatility in the stock index and stock index futures markets we examine the intraday relationship between returns and returns volatility in the stock index and stock index futures markets our results indicate a strong intermarket dependence in the volatility of the cash and futures returns price innovations that originate in either the stock or futures markets can predict the future volatility in the other market we show that this relationship persists even during periods in which the dependence in the returns themselves appears to weaken the findings are robust to controlling for potential market frictions such as asynchronous trading in the stock index our results have implications for understanding the pattern of information flows between the two markets article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

consumption over the life cycle facts from consumer expenditure survey data this paper uses consumer expenditure survey data and a seminonparametric statistical model to estimate life cycle profiles of consumption controlling for demographics cohort and time effects we construct age profiles for total and nondurable consumption as well as expenditure patterns for consumer durables special emphasis is placed on the comparison of different approaches to control for changes in demo graphics over the life cycle we find significant humps over the life cycle for total nondurable and durable expenditures changes in household size account for roughly half of these humps bootstrap simulations suggest that our empirical estimates are tight in that standard errors are small

exchange rate dynamics central bank interventions and chaos control methods abstract we use a simple chartist fundamentalist model developed by day and huang to explore recent chaos control algorithms as potential candidates for central bank intervention rules we find that methods such as delayed feedback control ogy and constant feedback have in principle the potential to reduce exchange rate variability and deviations from fundamentals even in the presence of large dynamic noise

linear versus nonlinear macroeconomies a statistical test a statistical test based on the estimated bispectrum is presented which can distinguish between the linear stochastic dynamics widely used in macroeconomic models and alternative nonlinear dynamic mechanisms including both nonlinear stochastic models and nonlinear deterministic chaotic models the test is applied to an aggregate stock market index and to an aggregate industrial production index in both cases the test easily rejects the null hypothesis of a linear stochastic generating mechanism this result strongly suggests that nonlinear dynamics deterministic or stochastic should be an important feature of any empirically plausible macroeconomic model copyright 1989 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

consumption and labor supply with partial insurance an analytical framework we develop a model with partial insurance against idiosyncratic wage shocks to quantify risk sharing closed form solutions are obtained for equilibrium allocations and for moments of the joint distribution of consumption hours and wages we prove identification and demonstrate how labor supply data are informative about risk sharing the model estimated with us data over the period 1967 2006 implies that i 39 percent of permanent wage shocks pass through to consumption ii the share of wage risk insured increased until the early 1980s and iii preference heterogeneity is important in accounting for observed dispersion in consumption and hours jel e21 e23 e31 e52

fiscal policy with heterogeneous agents and incomplete markets i undertake a quantitative investigation into the short run effects of changes in the timing of proportional income taxes for model economies in which heterogeneous households face a borrowing constraint temporary tax changes are found to have large real effects in the benchmark model a temporary tax cut increases aggregate consumption on impact by around 29 cents for every dollar of tax revenue lost comparing the benchmark incomplete markets model to a complete markets economy income tax cuts provide a larger boost to consumption and a smaller investment stimulus when asset markets are incomplete copyright 2005 wiley blackwell

the baby boom and world war ii a macroeconomic analysis we argue that one major cause of the u s postwar baby boom was the rise in female labor supply during world war ii we develop a quantitative dynamic general equilibrium model with endogenous fertility and female labor force participation decisions we use the model to assess the impact of the war on female labor supply and fertility in the decades following the war for the war generation of women the high demand for female labor brought about by mobilization leads to an increase in labor supply that persists after the war as a result younger women who reach adulthood in the 1950s face increased labor market competition which impels them to exit the labor market and start having children earlier the effect is amplified by the rise in taxes necessary to pay down wartime government debt in our calibrated model the war generates a substantial baby boom followed by a baby bust

why are fertility rates and female employment ratios positively correlated across o e c d countries we develop a quantitative theory of fertility and labor market participation de cisions in order to investigate the role of labor market frictions to understand the positive association between fertility and employment among o e c d countries we nd that unemployment induces females to postpone and space births which in turn reduces the total fertility rate moreover diferences in female labor outcomes across the u s and spain can account for the low fertility rate in spain relative to the u s we also nd that labor market frictions low probability of nding a job determine how employment and fertility are associated across economies in particular fertility and employment are positively associated across economies with low employment ratios low probability of nding a job on the other hand fertility and employment are negatively associated across economies with a high probability of nding a job

children and household economic behavior this paper looks at some of the methodological issues that arise in modeling the effects of children on household behavior and presents some estimates for selected areas for our purposes household behavior will be taken to refer to household decisions on labor supply the allocation of expenditure to different periods and the decision as to what to do with the difference between income and expenditure i shall be concerned mainly with the effects of dependent children and i restrict attention largely to western societies excerpt

cointegration and detectable linear and nonlinear causality analysis using the london metal exchange lead contract this study applies linear and nonlinear granger causality tests to examine the dynamic relation between london metal exchange lme cash prices and three possible predictors the analysis uses matched quarterly inventory uk treasury bill interest rates futures prices and cash prices for the commodity lead traded on the lme the effects of cointegration on both linear and nonlinear granger causality tests is also examined when cointegration is not modelled evidence is found of both linear and nonlinear causality between cash prices and analysed predictor variables however after controlling for cointegration evidence of significant nonlinear causality is no longer found these results contribute to the empirical literature on commodity price forecasting by highlighting the relationship between cointegration and detectable linear and nonlinear causality the importance of interest rate and inventory as well as futures price in forecasting cash prices is also illustrated failure to detect significant

dynamic structure of the spot price of crude oil does time aggregation matter abstract this paper assesses nonlinear structures in the time series data generating mechanism of crude oil prices we apply well known univariate tests for nonlinearity with distinct power functions over alternatives but with different null hypotheses reflecting the existence of different concepts of linearity and nonlinearity in the time series literature we utilize daily data on crude oil spot price for over 26 years as well as monthly data on crude oil spot price for 41 years investigating the monthly price of crude oil along with the daily price distinguishes the approach of this paper from existing studies focusing on the time series structure of crude oil price all the tests detect strong evidence of general nonlinear serial dependence as well as nonlinearity in the mean variance and skewness functions in the daily spot price of crude oil since evidence of nonlinear dependence is less dramatic in monthly observations nonlinear serial dependence is moderated by time aggregation in crude oil prices but not significantly

inequality and growth why differential fertility matters we argue that inequality and growth are linked through differential fertility and the accumulation of human capital we build an overlapping generations model in which dynasties differ in their initial endowment with human capital growth the income distribution and fertility are endogenous due to a quantiy quality tradeoff families with less human capital decide to have more children and invest less in education when initial inequality is high large fertility differentials lower the growth rate of average human capital since poor families who invest little in education make up a large fraction of the population in the next generation a calibrated model shows that this fertility differential effect is quantitatively important we also provide empirical evidence to confirm the links between inequality differential fertility and growth suggested by the model

spillover effects in the global copper futures markets asymmetric multivariate garch approaches this study investigates changes in return and volatility spillovers between the lme comex and the shfe copper futures markets before and after the global financial crisis and after the introduction

female labor supply as insurance against idiosyncratic risk in this paper we explore the role of female labor supply as an insurance mechanism against idiosyncratic earnings risk within the family we use a life cycle model in which a unitary family makes consumption saving and labor supply decisions additional uncertainty increases female participation rates this effect on participation is greatest when the ability to borrow and hence to smooth consumption is limited we calculate the welfare cost of increases in uncertainty and show that the welfare cost is greater when households are unable to adjust female labor supply jel j22 d91

volatility volume co movements evidence from china metal markets abstractthis article investigates the interactional relationship between price volatility and futures trading activity for three heavily traded metal products on the shanghai metal exchange and the shanghai futures exchange using models based on vector autoregression and generalized method of moments we show in particular that futures trading activity has a strong impact on both spot and futures price volatility in copper and aluminium markets futures trading activity leads spot market volatility in copper and aluminium markets which suggests that futures markets have a destabilizing effect in order to disentangle the effect of different traders types on asset price movements we decompose futures trading into speculators and hedgers trading and investigate their contributions to volatility as a robustness check we investigate the impact of endogenous structural breaks on the interactional relationship between price volatility and futures trading

income variance dynamics and heterogeneity recent theoretical work has shown the importance of measuring microeconomic uncertainty for models of both general and partial equilibrium under imperfect insurance in this paper the assumption of i i d income innovations used in previous empirical studies is removed and the focus of the analysis is placed on models for the conditional variance of income shocks which is related to the measure of risk emphasized by the theory we first discriminate amongst various models of earnings determination that separate income shocks into idiosyncratic transitory and permanent components we allow for education and time specific differences in the stochastic process for earnings and for measurement error the conditional variance of the income shocks is modelled as a parsimonious arch process with both observable and unobserved heterogeneity the empirical analysis is conducted on data drawn from the 1967 1992 panel study of income dynamics we find strong evidence of sizeable arch effects as well as evidence of unobserved heterogeneity in the variances

some empirical evidence on the time series properties of four uk asset prices in this paper the authors examine the time series behavior of four u k asset prices and estimate two types of models for the differenced series much previous research has found the presence of time varying heteroskedasticity in the error process for asset prices a linear model with gqarch errors is compared to a joint bilinear model with gqarch errors the latter choice motivated by the ability of bilinear models to capture turbulent behavior the adequacy of these models is determined by examining simulations and also employing test statistics the forecasting performance of the two models is also compared copyright 1996 by the london school of economics and political science