on the impacts of oil price fluctuations on european equity markets volatility spillover and hedging effectiveness the objective of this paper is to investigate the volatility spillovers between oil and stock markets in europe as not all industries are expected to be equally affected by oil price changes we conduct our study at both the aggregate as well as sector levels empirically we make use of a recently developed var garch approach which allows for transmissions in volatilities in addition we analyze the optimal weights and hedge ratios for oil stock portfolio holdings based on our results on the whole our findings show significant volatility spillovers between oil price and sector stock returns and suggest that a better understanding of those links is crucial for portfolio management in the presence of oil price risk

oil price shocks global financial markets and their connectedness abstract this paper extends the literature on the relationship between oil price shocks and financial markets by examining the effect of oil shocks on the sovereign bond markets of a large number of advanced and emerging economies and exploring the impact of oil shocks on the degree of connectedness among international financial markets we show that the effect of oil price shocks is not only limited to stock market returns but also extends to bond markets even after controlling for discount rate shocks as well as aggregate capital market effects unlike the case for stock markets the effect on sovereign bonds is found to be rather heterogeneous in terms of size and sign and primarily driven by demand related shocks we also show that oil price shocks serve as a driver of connectedness patterns across global financial markets although the effect on connectedness depends on the nature of the oil market shock and the economic characteristics of the countries overall the findings highlight the role of crude oil as a driver of not only of return dynamics in global stock and bond markets but also of global financial connectedness patterns

a time varying copula approach to oil and stock market dependence the case of transition economies abstract we employ the time varying copula approach to investigate the conditional dependence between the brent crude oil price and stock markets in the central and eastern european cee transition economies our results show evidence of a positive dependence between the oil and the stock markets of the six cee countries which is indicative of a contagion between those markets regardless of the changes in the oil price or the cee stock index moreover the dependence patterns in both the center and left tails of the return distributions change over time particularly during the heart of the financial crisis and are best described by the survival gumbel copulas the empirical evidence also suggests that the lower tail dependence is much stronger than that of the upper tail highlighting the importance of contagion during severe contractionary business cycles among the sample markets poland is shown to be particularly sensitive in this regard while hungary and slovenia are the least sensitive

does crude oil price play an important role in explaining stock return behavior abstract employing the ms arji gjr garch x model in which the parameters for the jump process the asymmetric garch effect and the impacts of oil price shocks are regime dependent this paper analyzes the impact of crude oil price shock on stock return dynamics empirical results reveal three interesting findings first incorporating the asymmetric garch effect and the oil price shock can substantially improve fitting ability second the garch and jump components show very different behaviors during turbulent and stable periods third the effects of current and past oil price shocks differ the conditional mean mean of jump size and variance of jump size immediately respond to a current oil price shock a one period lagged oil price shock no matter whether positive or negative can affect the transition probability that the stock market will remain conditional in the next period moreover the effects of lagged positive and negative shocks on transition probabilities are very different

a vector autoregressive model for electricity prices subject to long memory and regime switching abstract a regime dependent var model is suggested that allows long memory fractional integration in each of the observed regime states as well as the possibility of fractional cointegration the model is motivated by the dynamics of electricity prices where the transmission of power is subject to occasional congestion periods for a system of bilateral prices non congestion means that electricity prices are identical whereas congestion makes prices depart hence the joint price dynamics implies switching between a univariate price process under non congestion and a bivariate price process under congestion at the same time it is an empirical regularity that electricity prices tend to show a high degree of long memory and thus that prices may be fractionally cointegrated analysis of nord pool data shows that even though the prices are identical under non congestion the prices are not in general fractionally cointegrated in the congestion state hence in most cases price convergence is a property following from regime switching rather than a conventional error correction mechanism finally the suggested model is shown to deliver forecasts that are more precise compared to competing models

structural evolution of the postwar u s economy we consider a time varying parameter vector autoregressive model with stochastic volatility and mixture innovations to study the empirical relevance of the lucas critique for the postwar u s economy the model allows blocks of parameters to change at endogenously estimated points of time contrary to the lucas critique there are large changes at certain points of time in the parameters associated with monetary policy that do not correspond to changes in reduced form parameters for inflation or the unemployment rate however the structure of the u s economy has evolved considerably over the postwar period with an apparent reduction in the late 1980s in the impact of monetary policy shocks on inflation though not on the unemployment rate related we find changes in the phillips curve tradeoff between inflation and cyclical unemployment measured as the deviation from the time varying steady state unemployment rate implied by the model in the 1970s and especially since the mid 1990s

modelling the relationship between future energy intraday volatility and trading volume with wavelet abstractalthough the energy and stock markets are both characterized by volatility and liquidity and there has been substantial research to explore the relationship between volatility and trading volume tv in stock markets few researchers have investigated this relationship in energy markets moreover studies that have explored this association within energy markets did not describe its nature or impetus to redress this oversight we investigate this relationship using intraday data from the oil and gas markets the most liquid energy markets in the world in this way the current article extends the previous studies through the use of a frequency approach to propose an original analysis of the relationship between volume and volatility more specifically we employ a continuous wavelet transform to identify the lead lag phase between volatility and volume this framework supplants usual time series modelling as it uses a measure of coherence for different frequencies and time scales to capture fu

factor inputs and japanese manufacturing trade structure the japanese international trade structure in manufactured goods has been analyzed using cross section regression analysis in which labor capital human capital and energy are regressed on japanese net exports exports and imports with the world oecd and developing countries for 1967 and 1975 skill and wage differential measures have been utilized for the measuring of human capital contrary to the dualism found in earlier studies the estimated results show that in 1967 japan exported unskilled labor intensive goods with respect to the developing countries as well as the oecd countries in 1975 japan exported capital intensive goods to all regions and imported unskilled labor intensive goods from the world and the developing countries skilled labor intensive goods were imported from the oecd countries in both years drastic changes between 1967 and 1975 are noted japanese exports shifted from unskilled labor intensive goods to capital intensive goods while imports did the opposite this result conforms to the changes in unskilled labor and capital usage in japan and her major trading partners

when does growth trickle down to the poor the indian case a theoretical analysis and several econometric tests have been undertaken to examine whether the trickle down effect took place in rural india over a long time period we found little evidence to suggest that the trickle down effect had occurred at all our analysis suggests that the emergence of capital labour substitution was primarily responsible for preventing growth from reducing poverty the decline in poverty and a higher growth rate that took place during the late 1970s and 1980s were largely a result of government anti poverty measures teamed with the more equitable distribution of credit and inputs to smaller and marginal farmers

a comparison of petroleum futures versus spot prices as predictors of prices in the future abstract even though studies have indicated that the futures market leads the spot market in price discovery this paper hypothesizes that the predictive significance of each should be the same a number of different statistical tests are presented to test this hypothesis when deseasonalized data is employed the predictive significance of each series is found to be the same but when actual prices are employed futures prices did correctly anticipate the observed seasonal pattern

does oil move equity prices a global view many studies indicate that oil price shocks have an adverse effect on real output and hence an adverse effect on corporate profits where oil is used as a key input the present study examines whether and to what extent the adverse effect of oil price shocks impacts stock market returns to this end we analyse 35 datastream global industry indices for the period from april 1983 to september 2005 our findings indicate that oil price rises have a negative impact on equity returns for all sectors except mining and oil and gas industries generally these results are consistent with economic theory and evidence provided by previous empirical studies little evidence of any asymmetry is detected in the oil price sensitivities in light of our findings we recommend that international portfolio investors consider hedging oil price risk

determinants of the structure of u s foreign trade 1958 1976 abstract the heckscher ohlin model with three direct factor inputs is borne out for u s net exports of manufactures in annual cross section regressions for 1958 1976 the coefficient on unskilled labor became significantly more negative over the period and there is evidence that the negative sign on physical capital may reflect the inclusion of natural resource industries further analysis based upon 1960 and 1970 census years suggests the importance as well of skill and technological variables calculations of the total factor requirements of u s trade uphold the leontief paradox for 1958 but not for 1972

oil shocks and oil stocks evidence from the 1970s the present paper examines the returns to 29 oil companies listed on the new york stock exchange during the period surrounding the oil shock of 1973 the returns are decomposed into production refining foreign and domestic operations the hypothesis that domestic price controls benefitted refiners is tested finally the hypothesis that oil price risk was priced in the sense of the arbitrage pricing theory is tested

modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition based copula method abstract this study combines the variational mode decomposition vmd method and static and time varying symmetric and asymmetric copula functions to examine the dependence structure between crude oil prices and major regional developed stock markets s p500 stoxx600 djpi and tsx indexes during bear normal and bull markets under different investment horizons furthermore it analyzes the upside and downside short and long run risk spillovers between oil and stock markets by quantifying three market risk measures namely the value at risk var conditional var covar and the delta covar covar the results show that there is a tail dependence between oil and all stock markets for the raw return series by considering time horizons we show that there is an average dependence between the considered markets for the short run horizons however the tail dependence is also found for the long run horizons between the oil and stock markets with the exception of the s p500 index which exhibits average dependence with the oil market moreover we find strong evidence of up and down risk asymmetric spillovers from oil to stock markets and vice versa in the short and long run horizons finally the market risk spillovers are asymmetric over the time and investment horizons

facilitating the provision of farm credit the role of interlocking transactions between traders and zamindars in crop marketing systems in sindh abstract formal credit institutions in pakistan have largely failed to provide access to farm credit to small and medium scale landowners or zamindars this paper examines interlocked transactions between traders and landowners in the cotton and wheat markets in sindh that facilitate the provision of credit by traders it is concluded that the case examined provides an example where traders lend to landowners in a segment of the credit market that approximates competitive behavior without surplus extraction by traders key conditions resulting in this favorable outcome are the existence of both competition for market share and information sharing on borrowers between traders whether this outcome is also beneficial for other rural groups who may borrow from landowners in particular sharecropping tenants is independent of market relations between landowners and traders and is not determined here

high yield bond and energy markets abstract high yield bonds hold a particularly unique space in the debt market from many aspects literature suggests these assets to behave more like stocks than bonds given the significant similarities between the high yield bond and stock markets it is expected for these markets to be similarly affected by certain outside factors some shocks including the ones from energy markets are known to impact the entire stock market and not just related company shares since high yield bond portfolios include some amount of energy company debt the recent volatility in energy prices has been particularly concerning to market participants however the question of whether price and volatility shocks only impact energy company bonds or the entire high yield bond market as they do with the stock market still remains unanswered this study attempts to address that question by exploring the dynamic relationships between the high yield bond and energy markets price transmission tests which account for gradual structural shifts suggest oil and ethanol markets significantly impacting the high yield bond market furthermore volatility tests find uni directional volatility transmitting from energy markets to the high yield bond market

oil price shocks and real gdp growth empirical evidence for some oecd countries this study assesses empirically the effects of oil price shocks on the real economic activity of the main industrialized countries multivariate var analysis is carried out using both linear and non linear models the latter category includes three approaches employed in the literature namely the asymmetric scaled and net specifications evidence of a non linear impact of oil prices on real gdp is found in particular oil price increases are found to have an impact on gdp growth of a larger magnitude than that of oil price declines with the latter being statistically insignificant in most cases among oil importing countries oil price increases are found to have a negative impact on economic activity in all cases but japan moreover the effect of oil shocks on gdp growth differs between the two oil exporting countries in the sample with the uk being negatively affected by an oil price increase and norway benefiting from it

on the dynamic effects of oil price shocks a study using industry level data abstract this paper analyzes the effects of oil price shocks on demand and supply in various industries the impulse responses of identified var models indicate that for industries that have a large cost share of oil such as petroleum refinery and industrial chemicals oil price shocks mainly reduce supply in contrast for many other industries with the automobile industry being a particularly important example oil price shocks mainly reduce demand the paper suggests that oil price shocks influence economic activities beyond that explained by direct input cost effects possibly by delaying purchasing decisions of durable goods

nonparametric panel data model for crude oil and stock market prices in net oil importing countries abstract this paper introduces an innovative nonparametric panel data approach to model the long run relationship between the monthly oil price index and stock market price indices of ten large net oil importing countries namely the united states japan china south korea india germany france singapore italy and spain in the proposed model we allow the coefficient on the oil price index to be a time varying function which evolves over time in a way that is assumed to be unknown we also allow the common trend function to evolve over time as well as extending the model further to incorporate country specific trend functions we employ a data driven local linear method to estimate these time varying trend and coefficient functions the results show that despite being largely positive there are several downward trends reflecting the aftermath of the iraq war and the recent unprecedented drop in the oil price overall we find that the nonparametric panel data model better captures the way in which the underlying stock oil price relationship has evolved over time in comparison to the point estimates of the parametric counterpart moreover we find that stock market fundamentals play a significant role in determining the oil stock price relationship our findings have important implication for policymakers and financial speculators

the impacts of structural oil shocks on macroeconomic uncertainty evidence from a large panel of 45 countries abstract using local projection methods this paper employs monthly panel data from 1989 to 2017 to examine both linear and nonlinear impulse responses of macroeconomic uncertainty to structural shocks to global oil production aggregate demand oil market specific demand and speculative demand in a large group of 45 economies we find that both oil supply and demand shocks are important drivers of uncertainty there is strong evidence that the impacts of oil price shocks on macroeconomic uncertainty are regime dependent and contingent on the states of investor sentiments and perceived volatility in financial markets the responses of economic uncertainty to oil shocks especially demand side shocks appear to experience a dramatic change in the post global financial crisis period

time varying effect of oil market shocks on the stock market abstract a mixture innovation time varying parameter var model is used to examine the impact of structural oil price shocks on u s stock market return time variation is evident in both the coefficients and the variance covariance matrix the standard deviations of the demand side structural shocks reached forty year peaks during the global financial crisis and have remained high since in the real stock return equation the coefficient of global real economic activity has declined since the late 1990s and that of oil market specific demand oil shock has been lower since the early 1990s than before the structural oil shocks account for 25 7 of the long run variation in real stock returns overall with substantial change in levels and sources of contribution over time the contribution of shocks to global real economic activity to real stock return variation rose sharply to 22 in 2009 and remains 17 over 2009 2012 the contribution of oil market specific demand price shocks rose unevenly from 5 in the mid 1970s to about 15 in 2007 with a subsequent decline the contribution of oil supply shocks has trended downward from 17 to 5 over 1973 2012

on the evolution of the monetary policy transmission mechanism this paper investigates whether the monetary transmission mechanism has changed or whether apparent changes are due to changes in the volatility of exogenous shocks also the question of whether any changes have been gradual or abrupt is considered a mixture innovation model is used which extends the class of time varying vector autoregressive models with stochastic volatility the advantage of our extension is that it allows us to estimate whether where when and how parameter change is occurring our empirical results indicate that the transmission mechanism the volatility of exogenous shocks and the correlations between exogenous shocks are all changing

oil and the macroeconomy since world war ii all but one of the u s recessions since world war ii have been preceded typically with a lag of around three fourths of a year by a dramatic increase in the price of crude petroleum this does not mean that oil shocks caused these recessions evidence is presented however that even over the period 1948 72 this correlation is statistically significant and nonspurious supporting the proposition that oil shocks were a contributing factor in at least some of the u s recessions prior to 1972 by extension energy price increases may account for much of post opec macroeconomic performance

crude oil and the macroeconomy tests of some popular notions a note perhaps no other economic events in the post world war ii era have generated as much attention as the series of crude oil price shocks that have jolted the world economy since the opec boycott of 1973 a tremendous amount of space in the popular and professional literature has been devoted to analyzing the impacts of these shocks on the developed economies and the adjustments these shocks have induced one residual of this literature has been a general impression that since 1973 the functional relationship between crude oil prices and the developed macroeconomies has been dramatically and fundamentally altered yet to our knowledge no one has formally tested this impression recent evidence of hamilton 1983 suggests that crude oil prices had a strong impact on the u s business cycle well before 1973 further while textbook treatments of oil price shocks tend to highlight cost push inflationary effects the research of berndt and wood 1975 1979 and wilcox 1983 indicates the net complementarity between energy and capital in the u s economy is quite strong both before and after 1973 thus oil price shocks may have stronger real effects than generally believed in this paper we formally test three popular notions associated with the so called

the determinants of spanish industrial exports to the european union this paper investigates the determinants of trends in spain s industrial exports to the other european union countries by using a sectoral panel data approach the results show that price elasticities of export demand differ widely among sectors they also provide support to the idea that non price factors have a significant influence on international competitiveness in particular they show that technological and advertising effort have a significant effect not only on the evolution of exports but also on price elasticity

why institutional credit agencies are reluctant to lend to the rural poor a theoretical analysis of the indian rural credit market abstract this paper examines why institutional credit facilities remain unable to extend credit to the rural poor analysis indicates that poor peasants at best can offer an entitlement set as a mortgage comprised only of future shares of their harvest which itself is subject to risk consequently lenders can not advance loans without risking extensive loss of loanable funds as the landlords income is subject to the same risk as that of peasants they advance loans to ensure that their own income is not affected by the peasants financial situation an extension of institutional credit to peasants results only in subsidization of landlords

exogenous shocks and the spillover effects between uncertainty and oil price this paper evaluates the information spillover between equity related uncertainty and the oil price before and after the 2008 global financial crisis and the effects of exogenous shocks on the pattern of information spillover in particular we investigate mean and volatility spillovers between uncertainty and the oil price with and without exogenous shocks by using a bivariate egarch model there are two main findings in our paper first the evidence ensures significant information transmission between equity related uncertainty and the oil price and shows remarkable differences in transmission patterns before and after the crisis second the results show that exogenous shocks can intensify information transmission between oil prices and uncertainty in terms of both the mean and volatility spillover effects moreover exogenous shocks exhibit direct spillover effects on oil prices

the dynamic effects of oil supply shocks on the us stock market returns of upstream oil and gas companies abstract a time varying parameter var model is used to examine the impact of structural oil supply shocks on the us real stock market return of oil and gas exploration and production companies the result shows that the impact response of the real return of the upstream stocks to a negative world non us oil supply shock increases substantially over recent years from an average value of 0 70 in 2006 to 6 16 during 2008 2010 with a spike of 6 81 in 2014q3 the endogenous effects of us oil supply shocks on the return play an important role in that the responses of the stock returns to a negative us oil supply shock are positive and persistent with an average value of 3 60 over time the time varying effects of oil supply shocks are heterogeneous the magnitudes of return responses are different among independents large proved reserve independents and integrated companies over time

modelling oil price volatility in this paper we examine the volatility of crude oil price using daily data for the period 1991 2006 our main innovation is that we examine volatility in various sub samples in order to judge the robustness of our results our main findings can be summarised as follows 1 across the various sub samples there is inconsistent evidence of asymmetry and persistence of shocks and 2 over the full sample period evidence suggests that shocks have permanent effects and asymmetric effects on volatility these findings imply that the behaviour of oil prices tends to change over short periods of time

oil price shocks and stock market returns evidence for some european countries abstract in this paper we examine the impact of oil price shocks on stock returns in 12 oil importing european economies using vector autoregressive var and vector error correction models vecm for the period 1973 02 2011 12 we propose an alternative oil price shock specification that takes into account both world oil production and world oil prices in order to disentangle oil supply and oil demand shocks we find that the response of the european real stock returns to an oil price shock may differ greatly depending on the underlying causes of the oil price change the results suggest the existence of a negative and significant impact of oil price changes on most european stock market returns furthermore we find that stock market returns are mostly driven by oil supply shocks

stochastic search variable selection in vector error correction models with an application to a model of the uk macroeconomy this paper develops methods for stochastic search variable selection currently popular with regression and vector autoregressive models for vector error correction models where there are many possible restrictions on the cointegration space we show how this allows the researcher to begin with a single unrestricted model and either do model selection or model averaging in an automatic and computationally efficient manner we apply our methods to a large uk macroeconomic model

explaining the time varying effects of oil market shocks on us stock returns abstract this paper documents time variation in the relation between oil price and us equity returns based on both reduced form and structural analyses our reduced form analysis suggests that the sign of the relation between real oil returns and real stock returns has changed over time and that in the recent period this relation has turned positive since early 2007 but started increasing since 2005 based on our structural analysis we find that oil specific demand shocks have had positive effects on the us stock market since 2009 as opposed to oil supply shocks which have no large effects on stock returns we also show that the time variation in the parameters of the structural var is very well explained by the level of the us short term interest rate and shifts in consumer confidence

energy markets volatility modelling using garch abstract this paper investigates the empirical properties of oil natural gas and electricity price volatilities using a range of univariate and multivariate garch models and daily data from wholesale markets in the united states for the period from 2001 to 2013 the key contribution to the literature is the estimation of trivariate bekk and dcc models that allow us to observe spillovers and interactions among energy markets we evaluate and compare the performance of univariate and multivariate models with a range of diagnostic and forecast performance tests and assess forecasting performance and conditional correlation dynamics

volatility spillovers among oil and stock markets in the us and saudi arabia in this article we use high frequency data and an identification via changes in volatility approach to assess the volatility spillovers among oil and the us and saudi arabian stock markets we doc

how do china s petrochemical markets react to oil price jumps a comparative analysis of stocks and commodities abstract the profound impacts of oil price jumps have caught the attention of scholars because the 2008 global financial crisis has seemingly already passed the existence of oil price jumps is in doubt in this paper we provide evidence that the threat of dynamic jumps still exists in the global oil market in the post crisis period while the stocks and commodities of china s petrochemical markets are both affected by those jumps to the best of our knowledge this is the first study of the reaction of petrochemical markets to oil price jumps in the post crisis period in addition a comparative analysis of petrochemical stocks and petrochemical commodity market is provided in particular we analyze the reactions of the returns and volatility of these markets to oil price jumps we obtained the following findings first the returns of petrochemical stocks and petrochemical commodities are both negatively affected by current oil price jumps while the effects of lagged jumps on these returns are opposite theoretically the former is a reflection of panic induced by extreme risk information while the latter is a reflection of rationality in speculators second the volatilities of petrochemical stocks and petrochemical commodities respond differently to oil price jumps the former is not affected whereas the latter is positively and negatively affected by current and last oil price jumps respectively finally all the above conclusions still hold when considering the effects of normal oil price volatility even after the co movement between oil prices and petrochemical markets is eliminated

price discovery in oil markets a time varying analysis of the 1990 1991 gulf conflict abstract this study examines the behaviour of crude oil spot and futures markets in the uk and usa during the 1990 1991 gulf conflict the objective is to investigate the relative ability of spot and futures markets to impound information this is achieved with the use of a generalized model of price discovery which represents a synthesis of the two most commonly used methodologies in its field emphasis is placed on the time varying nature of price discovery relationships results indicate that such relationships are strongly temporal these findings offer new insights into the nature of relationships between spot and futures markets

disneyland monopoly interlinkage and usurious interest rates abstract interlinkage between labour and credit markets is interpreted as a consequence of a monopolistic moneylender s attempt to extract consumer s surplus from the borrower by levying a two part tariff this analogy enables us to draw on the literature on non linear pricing to high light issues in agrarian structure the consequence of policy interventions like taxes and minimum wage legislation is studied it is shown that the moneylender will charge usurious interest rates if wages are rigid downwards or there is a tax on agricultural income or borrowers have heterogeneous preferences some geometry for analysing interlinkage is developed and used for deriving some of the results

the dependence and risk spillover between crude oil market and china stock market new evidence from a variational mode decomposition based copula method abstract this paper examines the dependence structure between crude oil market and china stock market over different investment horizons before and after the recent financial crisis by combining the variational mode decomposition vmd method with various static and time varying copulas based on the decomposed time series and the copula dependence the value at risk var conditional var covar and delta covar covar are quantified to analyze the upside and downside risk spillovers from oil market to china stock market in raw short and long run investment horizons before and after the financial crisis the empirical results show that first the recent financial crisis enhances the dependences between the crude oil market and china stock market and the long run dependence increases more significantly than that of short run for the raw return series there are symmetric upper and lower tail dependencies in full sample and pre crisis subsample periods but an average dependence in post crisis subsample period second the var of china stock market increases heavily around the financial crisis but the average var after the crisis deceases compared to the risk before the crisis third the risk spillovers from crude oil price to china stock market are found in each sample periods before the crisis however it mainly exists in long run horizon while after the crisis it happens in both short and long run horizons finally the risk spillovers from oil price to china stock market display strong asymmetric features with larger long term downside risk spillovers in post crisis subsample

the pass through effects of oil price shocks on china s inflation a time varying analysis abstract using a time varying parameter structural vector autoregression with stochastic volatility tvp svar sv model we decompose the structural shocks of oil price fluctuations into four types oil supply shocks global demand shocks domestic demand shocks and oil specific demand shocks we then analyze the time varying effects of these oil price shocks on china s inflation at the import production and consumption stages using monthly data from january 1999 to december 2016 the results show that the pass through effects of the four types of oil price shocks on china s inflation at each stage are time varying and that there are significant differences at different time horizons and points in time the analysis of the variance decomposition shows that the effects of oil price shocks on china s inflation at each stage are incomplete and decrease along the price chain the increase in oil prices driven by oil specific demand shocks is the most important cause of china s inflation at the import and production stages during the full sample period while china s inflation at the consumption stage is mainly affected by domestic demand shocks in addition the inflationary effects of oil price shocks have been dramatically weaker since the international financial crisis compared with before the crisis

why are the 2000s so different from the 1970s a structural interpretation of changes in the macroeconomic effects of oil prices in the 1970s large increases in the price of oil were associated with sharp decreases in output and large increases in inflation in the 2000s even larger increases in the price of oil were associated with much milder movements in output and inflation using a structural var approach blanchard and gali in j gali and m gertler eds 2009 international dimensions of monetary policy university of chicago press pp 373 428 argued that this reflected a change in the causal relation from the price of oil to output and inflation they then argued that this change could be due to a combination of three factors a smaller share of oil in production and consumption lower real wage rigidity and better monetary policy their argument based on simulations of a simple new keynesian model was informal our purpose in this paper is to take the next step and to estimate the explanatory power and contribution of each of these factors to do so we use a minimum distance estimator that minimizes over the set of structural parameters and for each of two samples pre and post 1984 the distance between the empirical svar based impulse response functions and those implied by a new keynesian model our empirical results point to an important role for all three factors

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

credit and sharecropping in agrarian societies this paper considers a model of linkage between land labor and credit transactions in the context of sharecropping the paper s objectives are a to derive and characterize the equilibrium in a model of a land scarce labour abundant economy under sharecropping given an infinitely elastic supply of identical sharecroppers at a reservation utility and b to demonstrate that in an imperfect market a landlord may offer credit to his tenant sometimes even at a subsidized rate of interest without necessarily insisting that the sharecropper borrow only from him precluding an involuntary linkage between credit and land transations it has been demonstrated that regardless of the presence or absence of linkage or any other control by the landlord as long as he can vary the size of the plot given to a tenant and there are enough potential tenants in equilibrium contracts a tenants utility under sharecropping will be the same as that which he could have obtained as a full time wage laborer this result implies that policies other than land reform will not affect the welfare of tenants

import share under international oligopoly with differentiated products japanese imports in u s manufacturing this paper seeks to identify the determinants of the japanese impor t share in the u s market from the assumptions of international oligopoly and internationally differentiated products a theoretical model is developed where import share is considered as a cournot nash equilibrium the relative position of the reaction functions is determined by the previous commitments of both domestic and foreign firms on advertising r d and tangible investment as well as by artificial and natural trade barriers using a sample of twenty four three digit import competing u s industries matched to japanese industries the empirical analysis provides evidence supporting the model s predictions that the relative strategic expenditures and market structures of both partners explain the japanese import share in u s markets copyright 1988 by mit press

unbiasedness and time varying risk premia in the crude oil futures market abstract this paper presents some empirical evidence on market efficiency and unbiasedness in the crude oil futures market and some related issues on the basis of monthly observations on spot and futures prices of the west texas intermediate wti crude oil several tests are carried out on the relevant hypotheses the evidence suggests that futures prices are neither unbiased nor efficient forecasters of spot prices furthermore a garch m 1 1 model reveals the existence of a time varying risk premium

regional effects of taxes in canada an applied general equilibrium approach this paper reports on an applied general equilibrium regional model for canada which is used to investigate the regional effects of taxes earlier literature on regional tax effects is reviewed and the main features of the model are briefly described existing literature on regional tax effects is largely non quantitative and does not discuss several important regional features of taxes such as taxes which are predominantly on products or industries located in particular regions results suggest that regional effects of taxes can be significant and in the canadian case at least do not tend to counterbalance one another in general richer regions tend to lose and poorer regions gain from federal taxes but other regional characteristics such as manufacturing non manufacturing or resource non resource can be important this abstract was borrowed from another version of this item

crude oil and stock markets stability instability and bubbles abstract we analyze the long run relationship between the world price of crude oil and international stock markets over 1971 1 2008 3 using a cointegrated vector error correction model with additional regressors allowing for endogenously identified breaks in the cointegrating and error correction matrices we find evidence for breaks after 1980 5 1988 1 and 1999 9 there is a clear long run relationship between these series for six oecd countries for 1971 1 1980 5 and 1988 2 1999 9 suggesting that stock market indices respond negatively to increases in the oil price in the long run during 1980 6 1988 1 we find relationships that are not statistically significantly different from either zero or from the relationships of the previous period the expected negative long run relationship appears to disintegrate after 1999 9 this finding supports a conjecture of change in the relationship between real oil price and real stock prices in the last decade compared to earlier years which may suggest the presence of several stock market bubbles and or oil price bubbles since the turn of the century

competing at home to win abroad evidence from japanese industry the study explores the influence of domestic competition on international trade performance using data from a broad sample of japanese industries domestic rivalry is measured directly using market share instability rather than employing structural variables such as seller concentration we find robust evidence that domestic rivalry has a positive and significant relationship with trade performance measured by world export share particularly when r d intensity reveals opportunities for dynamic improvement and innovation conversely trade protection reduces export performance these findings support the view that local competition not monopoly collusion or a sheltered home market pressures dynamic improvement that leads to international competitiveness

knowledge flows in the global innovation system do u s firms share more scientific knowledge than their japanese rivals in this paper i test the common assumption that japanese firms strive to appropriate knowledge from the global scientific community while sharing little in return i found no support for this conventional perspective in the flat panel display industry u s firms shared no more knowledge with their global scientific community than japanese firms similarly japanese firms appropriated no more knowledge from the global community than their u s counterparts

market structure and u s trade flows abstract using samples of input output table detailed industries we test the impact of various elements of market structure on u s trade flows at the industry level holding factor proportions constant industry demand characteristics and the extent of scale economies have significant impacts on trade flows labor intensity at the industry level has the effects on trade flows which are predicted by the factor proportions theory capital intensity increases both import and export flows this result together with certain others suggests the importance of trade among industrialized countries in producer goods

science and technology in united states foreign trade economists generally believe that modern science technology such as the presence of scientists and engineers or research and development is a central factor in the comparative advantage of advanced industrial nations however most discussion of this topic rests on cross industry regressions which leamer and bowen i981 do not provide a valid indication of factor abundance so the overall role of science still remains to be established in addition much remains to be known about the role of different facets of science and innovation in the process of generating comparative advantage there are two fundamentally different ways of understanding technological differences between countries one point of view adopted in the standard neoclassical theory of international trade assumes all countries are on the same production function under these circumstances relative factor abundance determines the factor services which a country exports or imports within this perspective one can make progress towards an understanding of the role of science and technology in international trade by dividing science into many highly specific narrowly defined input factors calculations can then determine the relative abundance of those inputs associated with science technology versus other input factors in a given country or the relative abundance of different elements within the broad area of overall science technology quite another procedure assumes there are substantial differences in the production possibilities faced by different countries for example krugman i979 recently argued that advantages in innovation and lags in the diffusion of knowledge are the basic influences which permit incomes to be higher in the industrialised world than in developing nations this view illustrates the potential economic significance of innovation in advanced countries since the generation of new technologies in industrialised countries and their diffusion to the rest of the world then essentially determines world income distribution and world economic development however empirical implementation of the diffusion viewpoint requires data for many countries which greatly limits the number of facets of technology which can be considered since the present paper is centrally concerned with the effect which a wide variety of technological elements has on international trade we choose to select a framework within which the ample data available on different aspects of technology in the united states can be utilised the first view of technological

do higher oil prices push the stock market into bear territory this paper investigates whether a higher oil price pushes the stock market into bear territory by using time varying transition probability markov switching models it examines different measures of oil price shocks empirical evidence from monthly returns on the standard poor s s p 500 price index suggests that an increase in oil prices leads to a higher probability of a bear market emerging

choice welfare and development a festschrift in honour of amartya k sen professor amartya sen has been a distinguished and influential scholar in development economics for over twenty years and this edited volume seeks to reflect his interests and the inspiration he has provided for others the editors have succeeded in creating a coherent and stimulating set of papers from well known contributors the volume deals with the enduring themes of amartya sen s work ranging through theoretical issues of development economics to the philosophical foundation of welfare systems and ethics in society contributors kenneth arrow a b atkinson pranab bardhan j l coles rajat deb jean dreze louis gevers peter hammond ravi kanbur eric maskin robert nozick siddiq osmani martin ravallion kevin roberts robert solow s wibaut

r d rivalry industrial policy and u s japanese trade the authors examine how the strategic aspect of japanese research and development expenditures and industrial policies affected u s japanese bilateral trade during the late 1970s and investigate which component of r d expenditures on process innovation product quality improvements new products and new technology or technology transfer proved to be most effective they find that while japanese r d expenditures have generally promoted japan s trade advantage certain components of r d have proved more effective than other the depreciation subsidy and special status with the ministry of international trade and industry is positively related to the japanese trade performance while legal cartelization status has not had any apparent effect copyright 1988 by mit press

common cycles and common trends in the stock and oil markets evidence from more than 150 years of data abstract this paper investigates the role of permanent and transitory shocks within the framework of common cycles and common trends in explaining stock and oil prices we perform a multivariate variance decomposition analysis of monthly data on the west texas intermediate wti oil price and the s p 500 the dataset used in the study spans a long period of 150 years and therefore contains a rich history to examine both the short and long run comovement properties of oil and stock prices given that the oil and stock markets might comove both in the short and long run it is of interest to see the relative impacts of transitory and permanent shocks on both variables we find that log oil price and log s p 500 share a common stochastic trend for our full sample of september 1859 to july 2015 but a common cycle only exists during the post ww ii period full and post ww ii samples have quite different common feature estimates in terms of the impact of permanent and transitory shocks as measured by the impulse responses and forecast error variance decompositions we also find that in the short run oil is driven mostly by cycles transitory shocks and stock market is mostly driven by permanent shocks but permanent shocks dominate in the long run

potential impacts of the proposed west african monetary zone on cowpea trade member countries of the economic community of west african states ecowas are expected to form a west african monetary zone wamz by december 2009 whereby members would use a common currency in an attempt to promote regional integration evidence suggests that reduction in transaction cost as a result of a decrease or elimination of nontariff barriers ntbs and real interest rates in response to elimination of exchange rate differentials positively influence trade the objective of this study is to quantify the effects of a a 7 real interest rate on capital and b zero ntbs within ecowas countries on cowpea vigna unguiculata l walp trade to provide a measure of the potential impacts of the wamz on grain trade the study applies a spatial and temporal price equilibrium model formulated in a mixed complementary programming mcp framework and solved using gams path the focus is on the nigerian cowpea grainshed ncg comprising benin burkina faso cote d ivoire ghana mali niger nigeria and togo in ecowas and cameroon chad and gabon in the central african economic and monetary community caemc the results show that if wamz results in reduced real interest rates within ecowas the larger of the two monetary unions consumers in the relatively larger coastal economies and producers in the smaller sahelian economies would benefit while all others lose however net social welfare would increase by 0 19 over the base case of 6 3 billion us bus removing ntbs among countries in the larger trading bloc may alter the pattern of cowpea flows with total trade volume increasing by 3 but inter bloc trade decreasing by about 8 the net total regional social welfare would increase by 0 14 or 15 million us mus benefiting only consumers in importing countries and producers in exporting countries the results emphasize the importance of specialization based on regional comparative advantage but also draw attention to the need to devise ways to ensure acceptable welfare distribution among producers and consumers in line with policy objectives of the individual countries within the proposed wamz finally this article contributes to the literature on the application of spatial and temporal models incorporating both ad valorem tariffs and differential interest rates in developing economies

were there regime switches in u s monetary policy working paper 2004 14 june 2004 abstract a multivariate model identifying monetary policy and allowing for simultaneity and regime switching in coefficients and variances is confronted with u s data since 1959 the best fit is with a model that allows time variation in structural disturbance variances only among models that also allow for changes in equation coefficients the best fit is for a model that allows coefficients to change only in the monetary policy rule that model allows switching among three main regimes and one rarely and briefly occurring regime the three main regimes correspond roughly to periods when most observers believe that monetary policy actually differed and the differences in policy behavior are substantively interesting though statistically ill determined the estimates imply monetary targeting was central in the early 80s but was also important sporadically in the 70s the changes in regime were essential neither to the rise in inflation in the 70s nor to its decline in the 80s jel classification e52 e47 c53 key words counterfactuals lucas critique policy rule monetary targeting simultaneity volatility model comparison i the debate over monetary policy change in an influential paper clarida gali and gertler 2000 cgg presented evidence that us monetary policy changed between the 1970 s and the 1980 s indeed that in the 70 s it was drastically worse they found that the policy rule apparently followed in the 70 s was one that when embedded in most stochastic general equilibrium models would imply non uniqueness of the equilibrium and hence vulnerability of the economy to sunspot fluctuations of arbitrarily large size their estimated policy rule for the later period on the other hand eliminated this indeterminacy these results are a possible explanation of the volatile and rising inflation of the 70 s and of its subsequent decline the cgg analysis has two important weaknesses one is that it fails to account for stochastic volatility us macroeconomic variables and particularly the federal funds rate have gone through periods of tranquility and of agitation with forecast error variances varying greatly from period to period ignoring such variation does not lead to inconsistent estimates of model parameters when the forecasting equations themselves are constant but it strongly biases toward a finding of changed parameters tests of the stability of the forecasting equations the other weakness is that the cgg analysis rests on powerful and implausible identifying assumptions they require that we accept that the response of the monetary authority to expected future inflation and output does not depend on the recent history of inflation money growth or output it is hard to understand why this should be so especially in the 70 s when monetarism was a prominent theme in policy debates congress was requiring reports from the fed of projected time paths of monetary aggregates and financial markets were reacting sensitively to weekly money supply numbers the requirement for existence and uniqueness of equilibrium in dynamic models is that the monetary policy rule show a more than unit response of interest rates to the sum of the logs of all nominal variables that appear on the right hand side of the reaction function if we force a particular measure of expected future inflation to proxy for all the nominal variables that actually appear independently in the reaction function we are bound to get distorted conclusions on the one hand because expected future inflation will be a noisy measure of the full set of nominal influences on policy we might get downward bias in our estimates from the usual errorsin variables effect on the other hand to the extent that expected future inflation like most expected future values shows less variation than current nominal variables we could find a mistaken scaling up of coefficients

international r d rivalry and industrial strategy this paper presents a theory of government intervention which provides an explanation for industrial strategy policies such as r d or export subsidies in imperfectly competitive international markets domestic net welfare is improved by the capture of a greater share of the output of rent earning industries although the subsidy ridden noncooperative international equilibrium is jointly suboptimal behaviour of governments and firms is modelled as a three stage subgame perfect nash equilibrium the assumption that the government is the first player in this game allows it to influence equilibrium outcomes by altering the set of credible actions open to firms

time varied causality between us partisan conflict shock and crude oil return abstract to investigate the causality between us partisan conflict shock and crude oil return this paper utilizes bootstrap full sample granger causality and bootstrap rolling window sub sample granger causality tests although no evidence supports the causal nexus between partisan conflict shock and crude oil return with full sample data time varied causality is observed for particular sub samples such difference can be attributed to the parameter non constancy in the var system in terms of the empirical results the us partisan conflict shock causes the fluctuations of the crude oil market in 2008 2009 and 2014 2015 however such influence is temporary inversely the crude oil return causes us partisan shock in 1985 1986 1991 1994 1998 2000 and 2012 2013 these findings indicate crude oil market significantly affects political stability of the us especially during the periods of the gulf war and opec production cut the empirical results are robust in terms of both sample setting variation and window size selection

debt in rural south india fragmentation social regulation and discrimination this micro level study combines multivariate and qualitative analyses to highlight the fragmented nature of debt in southern indian rural households it finds that debt is socially regulated in the sense that social interactions shape the cost use and access to debt caste social class and location affect how individuals borrow varying amounts from distinct money providers for varied purposes and at differing costs debt thus is not purely an economic but first and foremost a social transaction which inscribes debtors and creditors into local systems of hierarchies furthermore we find that debt is an illustration and catalyst of broader socio economic and political trends namely a lack of social protection persistent under employment and rising consumerism in terms of policy implications the study highlights the ambiguities and illusions inherent to financial inclusion policies aiming to eradicate informal debt

do structural oil market shocks affect stock prices abstract this paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock market returns in a sample of eight countries australia canada france germany italy japan the united kingdom and the united states for each country the analysis proceeds in two steps first modifying the procedure of kilian kilian l forthcoming not all oil price shocks are alike disentangling demand and supply shocks in the crude oil market american economic review we employ a vector error correction or vector autoregressive model to decompose oil price changes into three components oil supply shocks global aggregate demand shocks and global oil demand shocks the last component relates to specific idiosyncratic features of the oil market such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies second recovering the oil supply shocks global aggregate demand shocks and global oil demand shocks from the first analysis we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries we find that international stock market returns do not respond in a large way to oil market shocks that is the significant effects that exist prove small in magnitude

interactions between institutional and informal credit agencies in rural india in an attempt to expand rural credit and displace the village moneylender india created a system of rural cooperatives in the 1950s and expanded branch banking into rural areas in the 1970s this article examines how these measures affected the rural market it begins with the question of how large the expansion of institutional credit has been and the extent to which it has dislodged the village and nonresident moneylenders a detailed comparison of three major surveys of the indian rural credit market suggests that in various guises the moneylender is still a major source of loans the article also examines the weak evidence on intermediation between the formal and informal sectors a formal model of the interaction between the informal moneylender and institutional lender is constructed under a variety of assumptions about the exclusivity of loan contracts and the competitive structure of the informal sector the conclusions are drawn together in the form of five proposals for public policy