stock market linkages evidence from latin america abstract this study investigates the dynamic interdependence of the major stock markets in latin america using data from 1995 to 2000 we examine the stock market indexes of argentina brazil chile colombia mexico and venezuela the index level series are non stationary and so we employ cointegration analysis and error correction vector autoregressions var techniques to model the interdependencies we find that there is one cointegrating vector which appears to explain the dependencies in prices the results are robust to sensitivity tests based on translating indexes to us dollars i e a common currency for all the markets and to partitioning the sample into periods before and after the asian and russian financial crises of 1997 and 1998 respectively our results suggest that the potential for diversifying risk by investing in different latin american markets is limited

state aid programs for equalizing spending across local school districts does the structure of the program matter or only it s size this paper provides interesting insights into an important causal mechanism underlying murray evans and schwab s am econ rev 88 4 789 812 1998 finding that court mandated reforms result in less inequality in spending per pupil levels across rich and poor school districts within a state treating the choice of an education program s structure as endogenous following the analysis of leyden public finance finances publiques 47 229 247 1992 public choice 115 1 2 83 107 2003 yields empirical results suggesting that court mandated reforms increase the likelihood that a program s structure will include a price effect and that the inclusion of a price effect in turn results in a decrease in spending inequality

human capital accumulation in a federation abstract more than half of the variation across u s school districts in real k 12 education expenditures per student is due to differences between rather than within states i study the welfare implications of redistribution of education expenditures by the federal government using an analytically tractable model of human capital accumulation with heterogeneous agents and endogenous state policies the net welfare effect of federal redistribution depends on a trade off between the positive effect of redistributing resources toward poorer states and the negative effect resulting from misallocation of population across states federal redistribution increases welfare in a calibrated version of the model

data watch research data in the economics of education economists have developed a wide variety of policy relevant empirical research projects that address the role of education in promoting individual and social welfare recent examples include studies on the impact of school spending on educational outputs the differences between public and private schools the effects of competition among schools the determinants of teacher quality the impact of unions on schools and the consequences of education finance reform one reason for the proliferation of such empirical studies has been the emergence of high quality micro level data on education in this paper we discuss three broad types of data sets data on educational institutions data on educational outcomes at the individual level and data sets from school reforms and experiments in each section we summarize some of the leading surveys discuss the general availability of the data and identify some but certainly not all of the research that has utilized these data this review is by no means exhaustive we have restricted our attention to analyses of data sets describing primary and secondary education moreover we emphasize data sets that are excellent sources of information but are less wellknown and utilized by economists in particular two obvious omissions from this review are the national longitudinal survey of youth nlsy and the panel study of income dynamics psid both are broad based studies that track people over periods of time gathering information both on educational attainment and on many other issues as well

stock price dynamics and firm size an empirical investigation we show that after controlling for the effects of bid ask spreads and trading volume the conditional future volatility of equity returns is negatively related to the level of stock price this leverage effect is stronger for small as compared to large firms we also document that while the essential characteristics of the relations between stock price dynamics and firm size are stable the strengths of the relationships appear to change over time a number of empirical studies have documented that stock volatility tends to fall subsequent to an increase in stock prices and rise following a decline in stock prices an observation commonly attributed to the leverage effect as explained by black 1976 leverage can induce future stock volatility to vary inversely with the stock price a fall in a firm s stock value relative to the market value of its debt causes a rise in its debt equity ratio and increases its stock volatility for example black 1976 and christie 1982 use individual securities and french schwert and stambaugh 1987 gallant rossi and tauchen 1990 schwert 1990 and nelson 1991 use market indices to provide evidence consistent with the leverage effect however these papers demonstrate a leverage effect either intertemporally or cross sectionally for some assets relatively little work has examined the intertemporal behavior of individual assets by taking into account conditional heteroskedasticity and changing expected returns in this paper we examine and characterize the cross sectional and temporal relations between stock price dynamics and firm size in particular we investigate the possibility of an inverse relation between future stock volatility and stock price and whether this effect varies across time and or across firms with different market capitalization our study uses the exponential garch egarch formulation of nelson 1991 as a model for the timeseries behavior of individual security returns nonparametric methods are

on the risk spillover across the oil market stock market and the oil related cds sectors a volatility impulse response approach abstract compared to credit default swap cds literature this study focuses on the magnitude of volatility transmission and the risk spillover mechanism across the oil market financial market risks and the oil related cds sectors our dataset includes futures prices of west texas intermediate wti and seven different measures of markets and credit risks four of the vast risk measures are the oil related cdss for auto chemicals natural gas and utility sectors in addition three measures of the financial market risk the one month expected equity volatility measured by vix move and smove are included the daily dataset covers the period from 6 january 2004 to 2 february 2016 the volatility transmission mechanism across the oil and financial markets and cds sectors is examined using the volatility impulse response model we evaluate the risk transmission due to several recent crisis shocks around the world and the results show complicated transmission mechanisms that spread over long periods among these events the lehman brothers bankruptcy has destabilizing effects on all oil related sectors findings also show that all oil market related shocks have significant risk transmission effects

the intertemporal relation between the u s and japanese stock markets this paper finds a high correlation between the open to close returns for u s stocks in the previous trading day and the japanese equity market performance in the current period in contrast the japanese market has only a small impact on the u s return in the current period high correlations among open to close returns are a violation of the efflcient market hypothesis however in trading simulations the excess profits in japan vanish when transactions costs and transfer taxes are included the two largest stock markets in the world in terms of capitalization volume and shares listed are the tokyo stock exchange tse and the new york stock exchange nyse because tokyo is 14 hours ahead of new york there is an eight and one half hour difference between the close of the tse and open of the nyse since there is no overlap between the two markets traders or technical analysts may look to the tse as a predictor of market movement on the nyse and or examine changes on the nyse as indicators of tse performance as shown in figure 1 the tse opens at 7 00 p m eastern standard time est and closes at 1 00 a m est 1 the nyse opens at 11 30 p m japanese time 9 30 a m est and closes at 5 00 a m japanese time 4 00 p m est thus there is no common time interval in which both markets are open high correlations between the respective open to close returns are a violation of the efficient market hypothesis because public information about the performance in one market could be used to profitably trade in another market if the markets are efficient information about the open to close performance in one market for example the u s return in period t 1 will be fully reflected in the open price of the other market japan in period t for example since new information flows randomly into the market subsequent price changes should be random and the open to close returns in japan will be uncorrelated with the u s returns thus the u s performance should affect the open price in japan and the correlation between the open to close returns of the two markets will be zero early research on the synchronization among stock prices across countries grubel 1968 levy and sarnat 1970 agmon 1972 ripley 1973 lessard

international transmission of information evidence from the euroyen and eurodollar futures markets abstract this paper examines the information transmission between japan and the us by using the tokyo euroyen and chicago eurodollar futures these two interest rate futures markets provide a better understanding of international information transmission than stock markets which have been shown to exhibit nonsynchronous trading and market segmentation the results show that traders in tokyo chicago use information that is revealed overnight in chicago tokyo the bivariate egarch t model provides no evidence of volatility spillovers in either direction suggesting that the opening price rapidly reflects foreign information the overall results support the hypothesis that the domestic market efficiently adjusts to foreign news the results are also broadly consistent with the covered interest arbitrage effects

diversifying away the risk of war and cross border political crisis this paper investigates the behavior of crude oil prices government bonds and stock market indices around outbreaks of severe international crises and wars using a constant mean return event study we show that these events are associated with positive and significant abnormal returns on oil and bonds which means that these two asset classes can potentially shelter shareholders from plummeting equity values during international crises a formal safe haven analysis confirms this insight such price movements may reflect a reallocation of funds across asset classes in response to the events as well as shifts in the demand for oil due to precautionary speculative and military motives we also calculate the weights for optimal portfolios which could provide insurance against conflict risk

volatility linkages across three major equity markets a financial arbitrage approach abstract this paper investigates the high frequency behavior of us british and german stock market exuberance using an index provided by standard portfolio arbitrage relationships symmetric and asymmetric multivariate garch models are implemented to quantify international volatility linkages between january 1992 and april 2000 a shift in volatility transmission is detected from may 1997 onwards empirical analysis suggests that equity markets volatility modeling with exuberance indexes is more accurate than modeling with stock returns exuberance volatility comovements across countries are compared with the corresponding return comovements an interpretation of their discrepancy is provided in terms of bond and stock returns international covariation

volatility transmission and volatility impulse response functions in european electricity forward markets using daily data from march 2001 to june 2005 we estimate a var bekk model and find evidence of return and volatility spillovers between the german the dutch and the british forward electricity markets we apply hafner and herwartz 2006 journal of international money and finance 25 719 740 volatility impulse response function virf to quantify the impact of shock on expected conditional volatility we observe that a shock has a high positive impact only if its size is large compared to the current level of volatility the impact of shocks are usually not persistent which may be an indication of market efficiency finally we estimate the density of the virf at different forecast horizon these fitted distributions are asymmetric and show that extreme events are possible even if their probability is low these results have interesting implications for market participants whose risk management policy is based on option prices which themselves depend on the volatility level

conditional heteroscedasticity in time series of stock returns evidence and forecasts this article presents new evidence about the time series behavior of stock prices daily return series exhibit significant levels of second order dependence and they cannot be modeled as linear white noise processes a reasonable return generating process is empirically shown to be a first order autoregressive process with conditionally heteroskedastic innovations in particular generalized autoregressive conditional heteroskedastic garch 1 1 processes fit to data very satisfactorily various out of sample forecasts of monthly return variances are generated and compared statistically forecasts based on the garch model are found to be superior copyright 1989 by the university of chicago

the rise of the states u s fiscal decentralization in the postwar period article i nfo article history one of the most dramatic changes in the fiscal federalism landscape during the postwar period has been the rapid growth in state budgets which almost tripled as a share of gdp and doubled as a share of government spending between 1952 and 2006 we argue that the greater role of states cannot be easily explained by changes in tiebout forces of fiscal competition such as mobility and voting patterns and are not accounted for by demographic or income trends rather we demonstrate that much of the growth in state budgets has been driven by changes in intergovernmental interactions restricted federal grants to states have increased and federal policy and legal constraints have also mandated or heavily incentivized state own source spending particularly in the areas of education health and public welfare these outside pressures moderate the forces of fiscal competition and must be taken into account when assessing the implications of observed revenue and spending patterns

returns synchronization and daily correlation dynamics between international stock markets the use of close to close returns underestimates returns correlation because international stock markets have different trading hours with the availability of 16 00 london time stock market series we find dynamics of daily correlation and covariance estimated using two non synchroneity adjustment procedures to be substantially different from their synchronous counterparts conditional correlation may have different signs depending on the model and data type used other findings include volatility spillover from the us to the uk and france and a reverse spillover which is not documented before also unlike previous findings we found the increase in daily correlation is prominent only under extremely adverse conditions when a large negative return has been registered

volatility spillovers across international swap markets the us japan and the uk abstract this paper examines volatility spillovers across the three major international swap markets namely the us japan and the uk we apply a multivariate var egarch model by incorporating the slope of term structure and corporate spread variables to capture the time varying nature of swap spread volatility across countries our empirical findings show that the changes in the swap spreads are significantly influenced by the slope of term structure variable in all three currencies we find that the us swap market has a major influence on the japanese and uk swap markets but not vice versa we also find that reciprocal spillovers exist between japanese and the uk swap markets in almost all cases the degree of volatility persistence is fairly strong and in many cases we find asymmetric volatility spillovers across maturity and country

education equity and intergenerational mobility quasi experimental evidence from court ordered school finance reforms starting from early seventies court ordered school finance reforms sfrs have fundamentally changed the landscape of primary and elementary education finance in the us this paper employs sfrs as quasi experiments to quantify the effects of education equity on intergenerational mobility within commuting zones first i use reduced form difference in difference analysis to show that 10 years of exposure to sfrs increases the average college attendance rate by about 5 2 for children with the lowest parent income the effect of exposure to sfrs decreases with parent income and increases with the duration of exposure second to directly model the causal pathways i construct a measure for education inequity based on the association between school district education expenditure and median family income using exposure to sfrs as the instrumental variable 2sls analysis suggests that one standard deviation reduction in education inequality will cause the average college attendance rate to increase by 2 2 for children at the lower end of the parent income spectrum placing the magnitudes of these effects in context i conclude that policies aimed at increasing education equity such as sfrs can substantially benefit poor children but they alone are not enough to overcome the high degree of existing inequalities key words public education finance intergenerational mobility school finance reforms quasi experiments

estimating and predicting multivariate volatility thresholds in global stock markets we propose a general double tree structured ar garch model for the analysis of global equity index returns the model extends previous approaches by incorporating i several multivariate thresholds in conditional means and volatilities of index returns and ii a richer specification for the impact of lagged foreign us index returns in each threshold we evaluate the out of sample forecasting power of our model for eight major equity indices in comparison to some existing volatility models in the literature we find strong evidence for more than one multivariate threshold more than two regimes in conditional means and variances of global equity index returns such multivariate thresholds are affected by foreign us lagged index returns and yield a higher out of sample predictive power for our tree structured model setting

correlations in price changes and volatility across international stock markets the short run interdependence of prices and price volatility across three major international stock markets is studied daily opening and closing prices of major stock indexes for the tokyo london and new york stock markets are examined the analysis utilizes the autoregressive conditionally heteroskedastic arch family of statistical models to explore these pricing relationships evidence of price volatility spillovers from new york to tokyo london to tokyo and new york to london is observed but no price volatility spillover effects in other directions are found for the pre october 1987 period article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

competition between private and public schools testing stratification and pricing predictions abstract when there are peer effects in education private schools have an incentive to vary tuition to attract relatively able students epple and romano american economic review 88 1 1998 33 develop a general equilibrium model characterizing equilibrium pricing and student selection into schools when peer effects are present the model predicts that competition will lead private schools to give tuition discounts to more able students and that this will give rise to an equilibrium exhibiting stratification by income and ability between the public and private sectors and to a hierarchy of schools within the private sector the model also yields a variety of comparative static predictions the predictions of the model are tested in this paper using a unique data set assembled by figlio and stone research in labor economics 1999 115 tests of equilibrium predictions of the model reveal that the propensity to attend private school increases with both income and ability and among private schools the propensity to attend the highest tuition schools rises with both income and ability within private schools tuition declines with student ability with a substantial number of even high income households paying little or no tuition the correlation between income and ability is greater in public than private schools tests of comparative static predictions of the model reveal that both income and ability become stronger predictors of private school attendance as public school expenditure falls income becomes increasingly important in determining placement in the private school hierarchy as public school expenditure falls discounts to ability in the lowest quality private school decline as public school expenditure rises while discounts to ability in the highest quality private school are little affected by changes in public school expenditure expenditure in private schools rises as expenditure in public schools increases these empirical results are consistent with the predictions of the theoretical model

the effects of school spending on educational and economic outcomes evidence from school finance reforms since the coleman report many have questioned whether public school spending affects student outcomes the school finance reforms that began in the early 1970s and accelerated in the 1980s caused dramatic changes to the structure of k 12 education spending in the united states to study the effect of these school finance reform induced changes in public school spending on long run adult outcomes we link school spending and school finance reform data to detailed nationally representative data on children born between 1955 and 1985 and followed through 2011 we use the timing of the passage of court mandated reforms and their associated type of funding formula change as exogenous shifters of school spending and we compare the adult outcomes of cohorts that were differentially exposed to school finance reforms depending on place and year of birth event study and instrumental variable models reveal that a 10 increase in per pupil spending each year for all 12 years of public school leads to 0 31 more completed years of education about 7 higher wages and a 3 2 percentage point reduction in the annual incidence of adult poverty effects are much more pronounced for children from low income families exogenous spending increases were associated with notable improvements in measured school inputs including reductions in student to teacher ratios increases in teacher salaries and longer school years jel codes j10 i20 h7

information transmission and market interactions across the atlantic an empirical study on the natural gas market abstract this paper studies the international information transmission and market interactions in the u s and u k natural gas markets three well documented approaches are used to measure the relative importance on the process of price discovery under a quadvariate system after adjusting the effects of nonsynchronous trading prices robust results indicate our system that includes spot and futures prices within the two countries are driven by one common factor information disseminates efficiently among the four markets concerned the u s futures market dominates as the center for price discovery the u k futures market comes as the second the spot markets in the u s and u k are less efficient than their corresponding futures market where the u k spot market contributes the least and almost zero to the price discovery process asymmetric volatility spillovers are found in three of the four markets volatility in the u s futures market increases with positive returns which illustrates the inverse leverage effect in most of the commodity market volatilities in the spot markets are negatively related to returns which is analogous to the traditional leverage effect prevailing in most of the equity stock markets

dynamic causality between the u s stock market the chinese stock market and the global gold market implications for individual investors diversification strategies this paper proposes a generalization of the prior var and egarch model to explore the linkage between returns and volatility transmissions in the u s stock market the chinese stock market and th

monetary policy and inflation expectations in latin america long run effects and volatility spillovers this paper uses multiple cointegration analysis to estimate simultaneously a monetary reaction function and the determinants of expected inflation for brazil chile colombia and mexico in addition m garch modeling is used to test for the presence of volatility spillovers between the monetary stance and inflation expectations the analysis shows that there are long term relationships between the interest rate expected inflation and the inflation target and that greater volatility in the monetary stance increases the volatility of expected inflation in brazil colombia and mexico

have the gipsi settled down breaks and multivariate stochastic volatility models for and not against the european financial integration we investigate the integration of the european peripheral financial markets with germany france and the uk using a combination of tests for structural breaks and return correlations derived from several multivariate stochastic volatility models our findings suggest that financial integration intensified in anticipation of the euro further strengthened by the emu inception and amplified in response to the 2007 2008 financial crisis hence no evidence is found of decoupling of the equity markets in more troubled european countries from the core interestingly the uk despite staying outside the emu is not worse integrated with the gipsi than germany or france 2013 elsevier b v

price and volatility spillovers in scandinavian stock markets abstract new evidence is provided on price and volatility spillovers among the danish norwegian swedish and finnish stock markets the impact of good news market advances and bad news market retreats is described by a multivariate exponential generalized autoregressive conditionally heteroskedastic egarch model volatility transmission is asymmetric spillovers being more pronounced for bad than good news significant price and volatility spillovers exist but they are few in number

intergenerational income mobility in the united states social scientists and policy analysts have long expressed concern about the extent of intergenerational income mobility in the united states but remarkably little empirical evidence is available the few existing estimates of the intergenerational correlation in income have been biased downward by measurement error unrepresentative samples or both new estimates based on intergenerational data from the panel study of income dynamics imply that the intergenerational correlation in long run income is at least 0 4 indicating dramatically less mobility than suggested by earlier research copyright 1992 by american economic association

education finance reform and the distribution of education resources between 1971 and 1996 opponents of local funding for public schools successfully challenged the constitutionality of school finance systems in sixteen states using the variation across states in the timing of these cases the authors investigate the impact of reform on the distribution of school resources their results suggest that court ordered finance reform reduced within state inequality in spending by 19 to 34 percent successful litigation reduced inequality by raising spending in the poorest districts while leaving spending in the richest districts unchanged thereby increasing aggregate spending on education reform led states to fund additional spending through higher state taxes copyright 1998 by american economic association

black white achievement differences and governmental interventions the estimates in the study considered whether any of the governmental or family factors individually could explain the magnitude and pattern of black white achievement gaps neither the level nor the distribution of school spending appears to provide much explanation for the gaps school spending levels show little consistent impact with any indication of differential impact on blacks being small direct analyses of the effects of spending equalization on performance similarly show little impact on the other hand governmental intervention through integration programs appears potentially more important

stock market volatility and business cycle evidence from linear and nonlinear causality tests this paper investigates the relationship between stock market volatility and the business cycle in four major economies namely the us canada japan and the uk we employ both linear and nonlinear bivariate causality tests and we further conduct a multivariate analysis to explore possible spillover effects across countries our results suggest that there is a bidirectional causal relationship between stock market volatility and the business cycle within each country and additionally reveal that the recent financial crisis plays an important role in this context finally we identify a significant impact of the us on the remaining markets

on the political economy of zoning abstract households choose a community in a metropolitan area and collectively set a minimum housing quality and a property tax to finance a local public good the collective imposition of a lower bound on housing consumption induces an income stratified equilibrium in a specification where meaningful community differentiation would not arise without zoning we show computationally that zoning restrictions are likely to be stringent with a majority facing a binding constraint in communities that permit it by inducing a stratified equilibrium zoning causes tiebout welfare gains in aggregate but with large welfare transfers relative to stratified equilibrium without zoning the zoning equilibrium is significantly more efficient as it reduces housing market distortions

education spending in an aging america abstract in this paper we use a national panel of public school districts to study the impact of an aging population on public education spending in contrast to previous analyses that use state level data we find that the elderly have only a modest overall negative effect on education spending at the district level our results confirm however that a growing share of elderly at the state level tends to depress state spending on education these results are consistent with the hypothesis that the elderly believe only higher local spending is capitalized into house values

volatility transmission in emerging european foreign exchange markets abstract this paper studies the dynamics of volatility transmission between central european ce currencies and the eur usd foreign exchange using model free estimates of daily exchange rate volatility based on intraday data we formulate a flexible yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well as on the lagged realized volatilities of the other exchange rates we find evidence of statistically significant intra regional volatility spillovers among the ce foreign exchange markets with the exception of the czech and prior to the recent turbulent economic events polish currencies we find no significant spillovers running from the eur usd to the ce foreign exchange markets to measure the overall magnitude and evolution of volatility transmission over time we construct a dynamic version of the diebold yilmaz volatility spillover index and show that volatility spillovers tend to increase in periods characterized by market uncertainty

the economics of schooling production and efficiency in public schools n recent years public and professional interest in schools has been heightened by a spate of reports many of them critical of current school policy these policy documents have added to persistent and long standing concerns about the cost effectiveness and fairness of the current school structure and have made schooling once again a serious public issue as in the past however any renewed interest in education is likely to be short lived doomed to dissipate as frustration over the inability of policy to improve school practice sets in this frustration about school policy relates directly to knowledge about the educational production process and in turn to underlying research on schools although the educational process has been extensively researched clear policy prescriptions flowing from this research have been difficult to derive 2 there exists however a consistency to the research findings that does have an immediate application to school policy schools differ dramatically in quality

does parents money matter abstract this paper asks whether parents income per se has a positive impact on children s abilities previous research has established that income is positively correlated across generations this does not prove that parents money matters however since income is presumably correlated with ability this paper estimates the impact of parents income by focusing on income variation due to factors union industry and job loss that arguably represent luck i find that changes in parents income due to luck have a negligible impact on children s human capital for most families although parents money does matter for families whose father has low education

the failure of input based schooling policies in an effort to improve the quality of schools governments around the world have dramatically increased the resources devoted to them by concentrating on inputs and ignoring the incentives within schools the resources have yielded little in the way of general improvement in student achievement this paper provides a review of the us and international evidence on the effectiveness of such input policies it then contrasts the impact of resources with that of variations in teacher quality that are not systematically related to school resources finally alternative performance incentive policies are described

international transmission of stock market movements this paper investigates the international transmission mechanism of stock market movements by estimating a nine market vector autoregression var system using simulated responses of the estimated var system we i locate all the main channels of interactions among national stock markets and ii trace out the dynamic responses of one market to innovations in another generally speaking a substantial amount of multi lateral interaction is detected among national stock markets innovations in the u s are rapidly transmitted to other markets in a clearly recognizable fashion whereas no single foreign market can significantly explain the u s market movements also the dynamic response pattern is found to be generally consistent with the notion of informationally efficient international stock markets

oil prices and equity returns in the bric countries this paper measures the level by which global oil price returns influence the stock returns and volatility in the bric equity markets and observes the time varying conditional correlation between bric equity returns and oil price returns the study concludes that the level of impact of oil price returns on equity returns and volatility in the bric countries depends on the extent to which these countries are net importers or net exporters of oil it also concludes that despite the aggressive economic growth of the bric countries in the past 25 years the volatility of stock returns in these economies does not have a significant impact on the volatility of global oil price returns

volatility spillover and multivariate volatility impulse response analysis of gfc news events abstractthis article applies two measures to assess spillovers across markets the diebold and yilmaz s 2012 spillover index and the hafner and herwartz s 2006 analysis of multivariate garch models using volatility impulse response analysis we use two sets of data daily realized volatility rv estimates taken from the oxford man rv library for the s p500 and the ftse plus 10 years of daily returns series for the new york stock exchange index and the ftse 100 index both data sets capture both the global financial crisis gfc and the subsequent european sovereign debt crisis esdc the spillover index captures the transmission of volatility to and from markets plus net spillovers the volatility impulse responses virf have to be calibrated to conditional volatility estimated at a particular point in time we explore the impact of three different shocks the onset of the gfc the height of the gfc and the impact of the esdc our modelling includes leverage and asymmetric effects applying a mu

evolution in dynamic linkages across daily national stock indexes abstract this article investigates how dynamic linkages among the daily rates of return of eight national stock indexes have evolved since 1972 a dynamic simultaneous equations model is estimated to describe the contemporaneous and lead lag relationships across national equity markets over three different years 1972 1980 and 1987 results reveal growing market interdependence within the same geographical region over time while there are many significant intermarket relationships within the same 24 hour period there are few significant lagged responses across markets beyond 24 hours this suggests a high degree of international market efficiency furthermore japan s market influence has been growing to rival that of the usa

does school quality matter returns to education and the characteristics of public schools in the united states this paper estimates the effects of school quality measured by the pupil teacher ratio average term length and relative teacher pay on the rate of return to education for men born between 1920 and 1949 using earnings data from the 1980 census we find that men who were educated in states with higher quality schools have a higher return to additional years of schooling rates of return are also higher for individuals from states with better educated teachers and with a higher fraction of female teachers holding constant school quality measures however we find no evidence that parental income or education affects average state level rates of return

unintended consequence of centralized public school funding in michigan education 1 introductionin an effort to create greater equity among school districts a number of states have shifted the responsibility for school funding from local school districts to the state although many researchers have found that centralizing funding for public schools has been successful in creating greater equity murray evans and schwab 1998 moser and rubenstein 2002 other researchers have pointed out that centralizing funding can lead to unintended consequences for example fischel 1989 1992 suggests that families in wealthier districts which have a stronger demand for education are no longer able to match their preference for education under a system of equalized funding in some cases this may drive parents to seek private school alternatives downes and schoeman 1998 1 in other cases families meet their preferences by making private contributions to public schools sonstelie and brunner 1997 furthermore theobald and picus 1991 argue that centralizing funding forces education as a state service to compete with other state services for funds and as a result the growth rate of spending per pupil decreases over time 2 these articles illustrate that policies designed to centralize control of public school funding can produce unintended consequences in this article we introduce into the literature an additional consequence caused by centralizing control of school funding we argue that centralized control of public school funding with the objective to equalize operating expenditures i e salaries supplies and other ongoing expenses across school districts while leaving capital acquisitions i e purchases of school buildings and other facilities under local control results in resource rich school districts becoming more reliant on debt financing 3 we find empirical support for this theory using data in the state of michigan during its transition to a centralized school financing system in 1994 in the next section we present an overview of michigan s move to a centralized funding policy in the third section we present the regression model used to test the theory followed by the description of the data and the estimated results the final section of the study summarizes our findings 2 overview of michigan s educational systemin 1993 a legislative anomaly lead to an abrupt change in the method of financing public education in michigan prior to 1993 michigan had one of the most locally controlled school systems in the united states over 65 of school operating expenditures came from local revenues whereas the remaining 35 were derived from state and federal sources courant gramlich and loeb 1995 property owners argued that local reliance on property taxes created an excessive burden and voiced their complaints to state representatives attempts to lower these taxes were defeated annually until debbie stabenow a democrat senator and candidate for governor frustrated with the tax debate proposed an absurdity to eliminate all property taxes without suggesting an alternative funding mechanism courant and loeb 1997 astonishingly the legislature passed her bill leaving the public school system with no means of funding seizing an opportunity to create greater equity among school districts michigan officials quickly devised a centralized system of financing public school operations known as proposal a that reduces districts reliance on local property taxes by increasing the state s sales tax integrated into proposal a is a distribution formula that reduces the disparity in operating expenditures across high and low spending school districts in part by constraining the allocation of operating funds for high spending districts however proposal a does not affect local control of funding for capital projects watkins 2002 michigan s state operating budget typically provides less than 5 of the total revenue needed to service school debt and no revenue for capital expenditures

hourly volatility spillovers between international equity markets abstract this paper examines the timing of mean and volatility spillovers between new york and london equity markets using an arch model it is found that the evidence of volatility spillovers between these markets is minimal and have a duration which lasts only an hour or so the most significant effects surround the movement of share prices around the new york opening but these results are not strong several new arch models are estimated including an asymmetric or leverage model and a non linear model which allows big shocks to have a different impact from small shocks

more equal but less mobile education financing and intergenerational mobility in italy and in the us a centralised and egalitarian school system reduces the cost of education for poor families and so it should reduce income inequality and make intergenerational mobility easier in this paper we provide evidence that italy compared to the usa displays less income inequality as expected given the type of school system but also less intergenera tional upward mobility between occupations and between education levels we explore some of the reasons which can explain this puzzling result and conclude that in a world in which family background is important for labor market success a centralised and egalitarian tertiary education does not necessarily help poor children and may take away from them a fundamental tool to prove their talent and to compete with rich children 1999 elsevier science s a all rights reserved

asymmetric volatility transmission in international stock markets abstract the transmission mechanism of price and volatility spillovers across the new york tokyo and london stock markets is investigated the asymmetric impact of good news market advances and bad news market declines on volatility transmission is described by an extended multivariate exponential generalized autoregressive conditionally heteroskedastic egarch model using daily open to close returns we find strong evidence that volatility spillovers in a given market are much more pronounced when the news arriving from the last market to trade is bad a before and after october 1987 crash analysis reveals that the linkages and interactions among the three markets have increased substantially in the post crash era suggesting that national markets have grown more interdependent

common trends and convergence south east asian equity markets 1988 1999 abstract this paper uses two different estimation approaches to demonstrate that equity markets in south east asia have shown signs of converging during the 1990s according to the haldane and hall economic journal 101 436 443 1991 method of measuring convergence a subset of asian markets had converged by mid 1997 this process appears to have been abruptly halted and somewhat reversed by the recent financial crisis we find that in general there are two common trends present in the eight asian equity market indices modeled here and also two trends when the us market is additionally included in a johansen var

correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies abstract in this paper multivariate garch models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies four different multivariate garch models bekk diagonal constant conditional correlation and dynamic conditional correlation are compared and contrasted the dynamic conditional correlation model is found to fit the data the best and generates results showing that the stock prices of clean energy companies correlate more highly with technology stock prices than with oil prices on average a 1 long position in clean energy companies can be hedged for 20 cents with a short position in the crude oil futures market

the legacy of serrano the impact of mandated equal spending on private school enrollment 1 introduction the california supreme court decision in serrano v priest in 1971 was the first state supreme court ruling to declare a state s education finance system unconstitutional 1 the suit originally filed by a class of los angeles county public school children and their parents argued that the california public school finance system was unconstitutional because of its reliance on a local property tax system under this system large differences in property wealth created enormous variations in educational resources across the state in its subsequent 1976 serrano h decision the california supreme court found that the state legislature s response to the first serrano decision was insufficient the court ordered the state legislature to follow a trial court s requirement to implement a funding formula that reduces wealth related per pupil expenditure disparities i e property tax revenue exclusive of categorical aid and special needs to 100 across school districts the serrano ii decision resulted in a nearly complete shift of the fiscal responsibility for k 12 education in california from local to state government in the aftermath of the initial serrano decision suits were filed in several other states claiming unconstitutional inequities in the state education system many of these suits were successful between 1973 and 1983 six state supreme courts new jersey 1973 connecticut 1977 washington 1978 west virginia 1979 wyoming 1980 arkansas 1983 found their systems of educational finance unconstitutional similar rulings followed in 1989 in kentucky montana and texas in 1993 in massachusetts and tennessee in 1994 in arizona and in 1997 in new hampshire ohio and vermont a third of the states education finance systems now have been ruled unconstitutional as a result of these rulings and legislative based education reforms in a number of other states education expenditure inequality has been reduced 2 this in turn has left local districts with less latitude in determining spending levels parents in richer districts are expected to be especially frustrated with the limits on spending that accompany equalization changes in state educational finance systems to gain greater equity affected average spending on education in these states the initial research on this issue focused on the california experience where raw expenditure figures reveal the dramatic change in per pupil spending in california since the initial serrano decision in 1971 in academic year ay 1969 1970 per pupil spending in california s public elementary and secondary schools was slightly greater than the national average 106 25 of the national average ranking 14th among all states however by ay 1992 1993 education expenditures in california had fallen to 85 6 of the national average and its rank had dropped to 34th silva and sonstelie 1995 concluded that education spending in california in 1989 1990 was significantly lower than they would have otherwise predicted they attributed about half of the lowered spending to the legislation following serrano ii and the other half to the growth of the student population in california but the california experience of reduced expenditures appears to be atypical manwaring and sheffrin 1997 found spending to be higher in many states as a result of litigation or legislativebased educational finance reform downes and shah 1995 similarly estimated that school finance reform raised spending in some states and lowered spending in other states murray evans and schwab 1998 found state per pupil spending rose with successful state education finance litigation the variation across states in the spending effects of education finance reforms may be due to the source court ordered or legislative and or degree e g weak reform strong reform etc of the reforms in any case there should be greater interest in supplementing what the public schools do or opting out of the public system if reforms cause spending in a state to fall

stock returns and volatility an empirical study of the uk stock market abstract attempts to quantify the relationship between stock returns and volatility have produced conflicting conclusions in recent u s studies our paper examines this issue in the u k context for the first time using daily weekly fortnightly and monthly returns on the financial times all share index from january 1965 to december 1989 volatility estimates are obtained from monthly sample variances and arch models expected returns are shown to have had a positive though not statistically significant relationship with expected volatility the relationship between the unexpected components of the returns and volatility series is less clear we find evidence for a negative relationship but only when volatility expectations are represented by standard deviations

modeling heteroscedasticity in daily foreign exchange rates this article estimates autoregressive conditionally heteroscedastic arch and generalized arch garch models for five foreign currencies using 10 years of daily data a variety of arch and garch specifications a number of nonnormal error densities and a comprehensive set of diagnostic checks it finds that arch and garch models can usually remove all heteroscedasticity in price changes in all five currencies goodness of fit diagnostics indicate that exponential garch with certain nonnormal distributions fits the canadian dollar extremely well and the swiss franc and the deutsche mark reasonably well only one nonnormal distribution fits the japanese yen reasonably well none fit the british pound

legal constraints and the choice of educational grant structures recent empirical work suggests that legalconstraints are significant in choosingstate educational grant structures unfortunately the literature has not takensuch constraints into account thus callinginto question particular grant structurerecommendations this paper studies theconditions under which a legislature underorder to reform its educational grantstructure prefers foundation grants overdistrict power equalization grants atheoretical model is presented in which thechoice is shown to depend on the legalbasis of the court s decision and theempirical validity of this conclusion isdemonstrated using connecticut data and aseparate model of school districtexpenditure choice

linkages in international stock markets evidence from a classification procedure in this article we propose a new approach to evaluate the predictable components in stock indices using a boosting based classification technique and we use this method to examine causality among the three main stock market indices in the world during periods of large positive and negative price changes the empirical evidence seems to indicate that the standard poors 500 index contains incremental information that is not present in either the ftse 100 index financial times stock exchange index or the nikkei 225 index and that could be used to enhance the predictability of the large positive and negative returns in the three main stock market indices in the world this in turn would suggest a causality relationship running from the standard poors 500 index to both the ftse 100 and the nikkei 225 indices

intraday linkages between the spanish and the us stock markets evidence of an overreaction effect this paper focuses on short term information transmission between the us stock market properly the dow index and the main spanish stock index ibex 35 in its early and final hours we follow the approaches of lin engle and ito 1994 susmel and engle 1994 and baur and jung 2005 who use a garch model to analyze the influence of the previous daytime and overnight returns and volatility of the dow upon the overnight returns and daytime returns of the ibex from open to 3 30 and from 3 30 to close the results suggest that the spanish stock market usually has a low price movement till wall street opens additionally they indicate that the spanish market reacts quickly to the news basically in the first four minutes following the opening of the us market furthermore we find the existence of an overreaction effect during the two hours before the closing of the spanish market

dynamic interdependence of sovereign credit default swaps in brics and mist countries abstractthis article examines the interactions of emerging markets sovereign credit default swaps cds using a generalized vector autoregressive framework and principal component analysis we find significant spillover effects within the two groups of emerging markets under study using the principal component analysis we show that global financial market factors are important drivers of brics and mist sovereign cds spreads variability focusing on the forecast error variance decomposition most of the spillover effects are documented among the emerging markets cds brazil and mexico contribute the largest net directional spillovers to the other emerging markets studied highlights there exist significant cds spillover effects for mist and brics countries mexico dominates the spillover effects within the mist group while brazil dominates the spillover effects within the brics group as determined by principal component analysis global financial market factors are important drivers of brics and mist sov

meteor showers or heat waves heteroskedastic intra daily volatility in the foreign exchange market this paper seeks to explain the causes of volatility clustering in exchange rates careful examination of intra daily exchange rates provides a test of two hypotheses heat waves and meteor showers the heat wave hypothesis is that the volatility has only country specific autocorrelation alternatively the meteor shower is a phenomenon of intra daily volatility spillovers from one market to the next using the garch model to specify the heteroskedasticity across intra daily market segments we find that the empirical evidence is generally against the null hypothesis of the heat wave using a volatility type of vector autoregression we examine the impact of news in one market on the time path of per hour volatility in other markets

a general multivariate threshold garch model with dynamic conditional correlations we introduce a new multivariate garch model with multivariate thresholds in conditional correlations and develop a two step estimation procedure that is feasible in large dimensional applications optimal threshold functions are estimated endogenously from the data and the model conditional covariance matrix is ensured to be positive definite we study the empirical performance of our model in two applications using u s stock and bond market data in both applications our model has in terms of statistical and economic significance higher forecasting power than several other multivariate garch models for conditional correlations

political economy of the inequality in school spending abstract this paper employs data from 45 states between 1972 and 1992 to investigate the basic forces affecting school resource inequality within a state we consider a wide range of determinants of inequality including voter preferences the tax and political structure within the state and the legal standing of education within the state constitution we find that state constitutional language regarding equity affects the degree of school spending equality in the state as does the political environment in the state and factors associated with the benefits and costs of tiebout sorting into school districts

the effect of state education finance reform on total local resources abstract both the federal government and the states use intergovernmental grants to try to change the composition of local spending across different programs as well as the distribution of resources across localities many states are now under court order to use state education grants to reduce local disparities in education spending while a substantial body of literature suggests that these court orders increase the level and progressivity of state education spending there is little evidence on their broader effects on the total resources available not just for schools in low income districts but for other programs across all localities we find that states finance the required increase in education spending in part by reducing their aid to localities for other programs particularly for wealthier areas thus while court ordered school finance equalizations do increase total state aid to localities for education they do so at the expense of drawing state intergovernmental aid away from programs like public welfare health hospitals and general services these findings provide insight into the effectiveness of using earmarked funds to achieve redistribution

the euro and european financial market dependence a time varying copula model is used to investigate the impact of the introduction of the euro on the dependence between 17 european stock markets during the period 1994 2003 the model is implemented with a gjr garch ma t model for the marginal distributions and the gaussian copula for the joint distribution which allows capturing time varying non linear relationships the results show that within the euro area market dependence increased after the introduction of the common currency only for large equity markets such as in france germany italy the netherlands and spain structural break tests indicate that the increase in financial market dependence started around the beginning of 1998 when euro membership was determined and the relevant information was announced the uk and sweden but not other european countries outside the euro area are found to exhibit an increase in equity market co movement which is consistent with the interpretation that these countries may be expected to join the euro in the future

competition competition policy and the gatt the authors argue that further moves to liberalize trade and to implement existing gatt rules and principles may have a greater impact on global competition than would the pursuit of harmonization of competition policy they also suggest that current gatt rules and case law provide scope for disputes to be brought before the gatt that relate to both the application and the nonapplication of existing domestic competition laws of gatt contracting parties this leads to de facto discrimination between domestic and foreign products little use has been made of the gatt in this connection perhaps existing indirect avenues for raising competition related disputes in the gatt should be pursued more actively this would help identify what specific government policies might be the subject of multilateral negotiations and explicitly incorporated into the gatt framework

changing roles of ability and education in u s intergenerational mobility using data on young adults from the 1979 and 1997 national longitudinal survey of youth we investigate the changing roles of ability and education in the transmission of economic status across generations we find that ability plays a substantially diminished role for the most recent cohort whereas education plays a much larger role the first finding results primarily from a smaller effect of children s ability on status the second from an increased correlation between parental status and educational attainment a replication of the analysis by gender reveals that the changes in the role of ability are largely driven by men whereas the changes in education s role are largely driven by women jel j62 i24

using market valuation to assess public school spending abstract we examine whether school expenditures are valued by potential residents and whether the current level of public school provision is inefficient by estimating the effect of state education aid on residential property values we find evidence that overall state aid is valued by potential residents and that school districts do not overspend on education however we find that districts may overspend in areas where residents have fewer schooling options but find no difference in efficiency by the degree of district unionization one interpretation of these results is that increased competition may reduce overspending on public schools in some areas

information transmission between the nasdaq and asian second board markets abstract in the 1980s and early 1990s the nasdaq s success helped to prompt singapore sesdaq japan jasdaq taiwan taisdaq and south korea kosdaq to set up or formalize their own second board markets in 1999 malaysia mesdaq and hong kong gem followed suit given the growing importance of these second board markets we examine whether there is any evidence of spillovers from nasdaq returns and volatilities to asian second board market returns and volatilities after controlling for spillovers from the nyse and whether these cross country spillovers are strong relative to domestic spillovers from the corresponding main board markets we employ egarch models dynamic causality tests and var based forecast error decompositions using daily data of a recent sample period that includes the asian financial crisis of 1997 and continues until april 20 2001 there is strong evidence of lagged returns and volatility spillovers from the nasdaq market to the asian second board markets when we exclude contemporaneous main board market returns there is also strong evidence of contemporaneous and lagged returns and volatility spillovers from the local main board markets to the corresponding second board markets however even in the presence of contemporaneous main board market returns there are substantial spillovers from the lagged nasdaq returns and volatilities to asian second board market returns and volatilities these findings are not sensitive to whether we use us dollar based data or local currency based data given the difference in the trading hours between the nasdaq and asian stock markets we use available intra day return data and canadian return data the findings seem quite robust there is substantial information spillover from the nasdaq to the asian and canadian second board markets these findings indicate the existence of a substantial cross country industry effect or meteor shower effect as well as a domestic market effect or heat wave effect and imply that both country diversification and industry diversification are important

intraday volatility in international stock index futures markets meteor showers or heat waves the international transmission of intraday price volatility among the united states united kingdom and japanese stock index futures markets in the period 1988 1994 is investigated in this paper the empirical results based on extreme value estimators and vector autoregression indicate the rapid transmission of information between markets the volatilities of the u s and u k futures markets appear to follow a meteor shower rather than a heat wave type of process this means that these volatilities react to shocks from other markets i e they cannot be described only by their past values however the heat wave hypothesis is not rejected for the japanese market meaning that the shocks to japanese volatility are mostly country specific a multivariate garch model supports the u k and japanese but not the u s results

all school finance equalizations are not created equal school finance equalization has probably affected american schools more than any other reform of the last 30 years understanding it is a prerequisite for making optimal social investments in human capital yet it is poorly understood in this paper i explain why it differs from conventional redistribution because it is based on property values which are endogenous to schools productivity taste for education and the school finance system itself i characterize equalization schemes and show why some level down and others level up schemes that strongly level down have unintended consequences even poor districts can end up worse off i also show how school finance equalization affects property prices private school attendance and student achievement

the effects of spending on test pass rates evidence from michigan abstract this study uses data on standardized test scores from 1992 through 1998 at michigan schools to determine the effects of spending on student performance the years in the data set straddle 1994 when michigan dramatically changed the way that k 12 schools are funded and moved toward equalization of spending across schools focusing on pass rates for a fourth grade math tests the most complete and consistent data available for michigan i find that increases in spending have nontrivial statistically significant effects on math test pass rates and the effects are largest for schools with initially poor performance

integrated dynamic models for hedging international portfolio risks abstract we develop scenario based stochastic programming models for hedging the risks of international portfolios using options the models provide increasing level of integration in managing market and foreign exchange fx risks we start with a single stage model with currency options for selective hedging of fx risks while market risk is addressed through diversification we add stock options to hedge market risks and add quantos and currency options to develop an integrated model using an innovative method to price quantos on the scenario tree underpinning the stochastic program the models are extended to multi stage settings backtesting on market data over a 14 year period that includes the global financial crisis of 2008 we demonstrate the effectiveness of taking increasingly integrated views of risk management simultaneous hedging of market and fx risks using stock and currency options has the best ex post performance the differences are economically significant and statistical significance is established through rigorous hypothesis testing the models are particularly effective during the crisis test results show that two stage models outperform their single stage counterparts regardless of the hedging strategy

the effect of increased funding on student achievement evidence from texas s small district adjustment abstract we leverage an obscure set of rules in texas s school funding formula granting some districts additional revenue as a function of size and sparsity we use variation from kinks and discontinuities in this formula to ask how districts spend additional discretionary funds and whether these improve student outcomes a 1000 annual increase in foundation funding or 10 increase in expenditures yields a 0 1 s d increase in reading scores and a near 0 08 increase in math in addition dropout rates decline graduation rates marginally increase as does college enrollment and to a smaller degree graduation these gains accrue in later grades and largely among poorer districts an analysis of budget allocations reveals that additional funding only marginally affects budget shares

where does voucher funding go how large scale subsidy programs affect private school revenue enrollment and prices using a new dataset constructed from nonprofit tax returns this paper explores how vouchers and other large scale programs subsidizing private school attendance have affected the fiscal outcomes of private schools and the affordability of a private education we find that subsidy programs created a large transfer of public funding to private schools suggesting that every dollar of funding increased revenue by a dollar or more turning to the incidence of subsidies and the impact of subsidies on enrollment our findings depend on the type of program introduced programs that restrict eligibility to certain groups of students create large enrollment gains but no change in price while programs that offer unrestricted subsidies lead to price increases but no change in enrollment we calculate elasticities of demand and supply for private schools and discuss welfare effects

common volatility in major stock index futures markets abstract the main objective of this paper is to investigate whether the us uk and japanese stock index futures markets have a similar volatility process for this purpose the common feature analysis proposed by engle and susmel 1993 is applied to 1988 1991 data after first removing price innovations using vector autoregression the results suggest that the three markets have a single common factor generating volatilities among markets