international oil shocks and household consumption in china abstract we investigate the impacts that oil price shocks have on residential consumption in china while it is well understood that oil prices affect consumption in a multitude of ways the timing and directness of these effects on specific consumption categories is not clear we demonstrate that the most immediate and direct effect passes through transportation consumption as might be expected but we also show that significant effects pass through consumption in other sectors including food and clothes medical expenditure and other general living expenditure with less immediacy given the results particularly observed asymmetries with respect to rises and falls in international oil prices we discuss some implications for future adjustments to domestic price policies in particular the case for removal of domestic price regulation

weighing the costs and benefits of state renewables portfolio standards in the united states a comparative analysis of state level policy impact projections abstract state renewables portfolio standards rps have emerged as one of the most important policy drivers of renewable energy capacity expansion in the u s as rps policies have been proposed or adopted in an increasing number of states a growing number of studies have attempted to quantify the potential impacts of these policies focusing primarily on cost impacts but sometimes also estimating macroeconomic risk reduction and environmental effects this article synthesizes and analyzes the results and methodologies of 31 distinct state or utility level rps cost impact analyses completed since 1998 together these studies model proposed or adopted rps policies in 20 different states we highlight the key findings of these studies on the projected costs of state rps policies examine the sensitivity of projected costs to model assumptions evaluate the reasonableness of key input assumptions and suggest possible areas of improvement for future rps analyses we conclude that while there is considerable uncertainty in the study results the majority of the studies project modest cost impacts seventy percent of the state rps cost studies project retail electricity rate increases of no greater than 1 nonetheless there is considerable room for improving the analytic methods and therefore accuracy of these estimates

oil price shocks and the macroeconomy this paper examines the impact of oil price shocks and attempts to explain why the rise in oil prices up to 2008 had little impact on the world economy it makes three main arguments first that oil prices have never been as important as is popularly thought second that the most important route through which oil prices affect output is monetary policy when oil prices pass through to core inflation monetary authorities raise interest rates slowing growth based on the second argument the third argument is that high oil prices have not reduced growth in recent years because they no longer pass through to core inflation so the monetary tightening previously seen in response to high oil prices is absent it also argues that oil prices had little impact on the global recession of 20089

oil price shocks economic policy uncertainty and industry stock returns in china asymmetric effects with quantile regression abstract this paper investigates the impact of crude oil shocks and china s economic policy uncertainty on stock returns at different locations on the return distributions based on monthly data from 1995 1 to 2016 3 we address this issue by employing the quantile regression technique this approach enables a more detailed investigation in different market circumstances namely bearish normal and bullish markets empirical results indicate that the effects of oil price shocks and economic policy uncertainty are asymmetric and highly related to stock market conditions moreover both the nexus of oil and economic policy uncertainty stock are changed at the onset of a crisis specially rising oil prices have greater negative effects on stock returns when stock markets are bullish extreme higher quantiles before a crisis whereas the effects are significantly positive under different market conditions after the onset of the crisis falling oil prices lower stock returns when stock markets are bullish and normal before the crisis whereas lower stock returns under different market conditions except extreme bullish after the onset of the crisis these findings might be related to the optimistic or pessimistic investor sentiments and investors might become more frightened after the crisis

granger predictability of oil prices after the great recession abstract real oil prices surged from 2009 through 2014 comparable to the 1970s oil shock period standard explanations based on monopoly markup fall short since inflation remained low after 2009 this paper contributes strong evidence of granger 1969 predictability of nominal factors to oil prices using one adjustment to monetary aggregates this adjustment is the subtraction from the monetary aggregates of the 2008 2009 federal reserve borrowing of reserves from other central banks swaps made after us reserves turned negative this adjustment is key in that granger predictability from standard monetary aggregates is found only with the swaps subtracted

the effect of 107th opec ordinary meeting on oil prices and economic performances in japan abstract the aim of this paper is to show the influence of the 107th opec ordinary meeting meeting and investigates the relationships between oil prices and economic activities using an exponential generalized autoregressive conditional heteroskedasticity egarch and a vector autoregressive var model from 1991 to 2008 in japan we find that levels and volatilities of oil prices increase after the meeting we examine the effects of it on japanese economic activities employing a granger causality test and data before and after it the empirical result reveals that each price of regular gasoline and diesel has information to be useful to predict the economy after the meeting on the other hand volatilities of regular gasoline and diesel price have information to predict the inflation and economic growth before the meeting respectively after the meeting however these volatilities change to be useful to predictive both inflation and economic growth thus we conclude that the decision of meeting is related to not only the domestic oil prices but also the macroeconomy

analysing systemic risk and time frequency quantile dependence between crude oil prices and brics equity markets indices a new look abstract this paper examines the dependence structure and the systemic risk between the return series of oil prices and the brics equity market indices using the newly developed methods of the quantile coherency of barunik and kley 2015 and the nonparametric conditional value at risk causality ncovar and the ncovar granger causality tests ncovar gc of diks and wolski 2018 for the period 2001 2018 further the traditional tests of hiemstra and jones 1994 and diks panchenko 2005 are used for comparison purposes the new methods have given rise to findings that are substantially different from those based on the two traditional approaches from our frequency dependence analysis we find a significant long term dependence coherency between the russian brazilian and south african stock markets and oil shifts however the ncovar analysis demonstrates a robust instantaneous dependence in both directions between almost all of the brics stock markets the exception is the indian market and the oil market the ncovar gc analysis reveals a robust lagged dependence from the oil market onto the chinese stock market only these findings provide helpful insights for regulators and potential international investors

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

oil price and financial markets multivariate dynamic frequency analysis the aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries oil importers and oil exporters to this end we propose a new empirical methodology allowing a time varying dynamic correlation measure between the stock market index and the oil price series we use the frequency approach proposed by priestley and tong 1973 that is the evolutionary co spectral analysis this method allows us to distinguish between short run and medium run dependence in order to complete our study by analysing long run dependence we use the cointegration procedure developed by engle and granger 1987 we find that interdependence between the oil price and the stock market is stronger in exporters markets than in the importers ones

sectoral shifts and cyclical unemployment a substantial fraction of cyclical unemployment is better characterized as fluctuations of the frictional or natural rate than as deviations from some relatively stable natural rate shifts of employment demand between sectors of the economy necessitate continuous labor reallocation since it takes time for workers to find new jobs some unemployment is unavoidable this paper presents evidence that most of the unemployment fluctuations of the seventies unlike those in the sixties were induced by unusual structural shifts within the u s economy simple time series models of layoffs and unemployment are constructed that include a measure of structural shifts within the labor market these models are estimated and a derived natural rate series is constructed

oil shocks and monetary policy rules in emerging economies we examine the effects of shocks in the oil market on key macroeconomic variables in small open economies using a dynamic stochastic general equilibrium model with sticky prices and imperfect competition under different monetary policy rules the numerical solutions show that the types of exchange rate regimes and monetary policies could partly explain the trends in macroeconomic volatilities considering negative shocks to oil supply hamilton 1983 and positive shocks to oil demand kilian 2009 these findings are confirmed in vector autoregressive responses for chile and israel with inflation targeting under flexible exchange regimes and hong kong with fixed regime

peak oil profiles through the lens of a general equilibrium assessment abstract this paper disentangles the interactions between oil production profiles the dynamics of oil prices and growth trends we do so through a general equilibrium model in which peak oil endogenously emerges from the interplay between the geological technical macroeconomic and geopolitical determinants of supply and demand under non perfect expectations we analyze the macroeconomic effects of oil production profiles and demonstrate that peak oil dates that differ only slightly may lead to very different time profiles of oil prices exportation flows and economic activity we investigate middle east s trade off between different pricing trajectories in function of two alternative objectives maximisation of oil revenues or households welfare and assess its impact on oecd growth trajectories a sensitivity analysis highlights the respective roles of the amount of resources inertia on the deployment of non conventional oil and short term oil price dynamics on peak oil dates and long term oil prices it also examines the effects of these assumptions on oecd growth and middle east strategic tradeoffs

energy and economic growth in the usa a multivariate approach abstract this paper examines the causal relationship between gdp and energy use for the period 1947 90 in the usa the relationship between energy use and economic growth has been examined by both biophysical and neoclassical economists in particular several studies have tested for the presence of a causal relationship in the granger sense between energy use and economic growth however these tests do not allow a direct test of the relative explanatory powers of the neoclassical and biophysical models a multivariate adaptation of the test vector autoregression var does allow such a test a var of gdp energy use capital stock and employment is estimated and granger tests for causal relationships between the variables are carried out although there is no evidence that gross energy use granger causes gdp a measure of final energy use adjusted for changing fuel composition does granger cause gdp

does the source of oil price shocks matter for south african stock returns a structural var approach abstract in this paper we investigate the dynamic relationship between different oil price shocks and the south african stock market using a sign restriction structural var approach for the period 1973 01 to 2011 07 the results show that for an oil importing country like south africa stock returns only increase with oil prices when global economic activity improves in response to oil supply shocks and speculative demand shocks stock returns and the real price of oil move in opposite directions the analysis of the variance decomposition shows that the oil supply shock contributes more to the variability in real stock prices the main conclusion is that different oil price shocks affect stock returns differently and policy makers and investors should always consider the source of the shock before implementing a policy and making investment decisions

limiting the costs of renewable portfolio standards a review and critique of current methods abstract over half of u s states have renewable portfolio standards rpss mandating that a minimum percentage of electricity sold derives from renewable sources state rpss vary widely in how they attempt to control or limit the costs of these rpss approaches utilized include alternative compliance payments direct rate caps and cost caps on resource acquisitions while some states employ no specific limitation at all this paper describes how states attempt to control rps costs and discusses the strengths and weaknesses of these various cost controls there is no one best method however the experience to date suggests that the most important factors in implementing an effective mechanism to curtail costs are clarity of the rule consistency in application and transparency for customers

dynamic cyclical comovements between oil prices and us gdp a wavelet perspective abstract in this paper we use wavelet analysis to investigate the cyclical comovements between crude oil prices and us gdp taking into account the decline in the volatility of us gdp growth that has occurred since the mid 1980s our main findings suggest that before 1984 q1 the crude oil prices were leading the us gdp cycle by 3 quarters and granger cause us gdp in contrast after 1984 q1 the crude oil prices were lagging the us business cycle and a reverse causality is found to run from us gdp to oil prices the multiscale granger causality tests globally corroborate theses results

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

an empirical analysis of the relationship between oil prices and the chinese macro economy using the quarterly data from the first quarter of 1996 to the fourth quarter of 2014 this paper studies the relationship between oil prices and the chinese macro economy we find output and interest rate respond significantly to oil price shocks further analysis reveals that the positive response of output to oil price shocks is attributed to the influences of oil price shocks on exports the oil price shocks have both longer and deeper effects on the exports of state owned enterprises than on those of foreign investment enterprises moreover the response of exports to oil price shocks is symmetric finally oil prices are found to be useful for forecasting the china s exports in the periods shorter than about two years

energy price slump and policy response in the coal chemical industry district a case study of ordos with a system dynamics model we employ system dynamics method towards a coal chemical industry district economy evolution model using coal industry the coal chemical industry their downstream industries and the manufacture related service industry moreover we construct energy price and policy response scenarios based on ordos management experience the results show that the energy price slump had a negative impact on the overall economic development of the coal chemical industry district despite promoting non resource industries furthermore policies had different effects on the industry s output value and profit in the long term developing alternative industries ai helps increase the industrial output value and profit decreasing value added tax vat has immediate results and a distinctive effect on industrial short term production value and profit its long term effect being limited the effect of production limit pl on industrial profit is stronger than output value and financial support fs is more conducive to improve the latter however coal mining and coal chemical loan increases decrease the gross industrial profit level technology innovation ti has the best individual policy overall effect on production value and profits furthermore the simultaneous implementation of pl ti and ai can generate the synergy effect for each of them and the simultaneous implementation of vat and one or couple of other policies will generate the crowding out effect both for vat and other policies

capital utilization economic growth and convergence abstract optimal decisions by economic agents regarding the utilization of capital lead to empirically plausible speeds of convergence in one sector models of economic growth the relationship between depreciation and capital utilization plays a crucial role in slowing down convergence to the steady state cross country differences in the extent to which the capital utilization decision is internalized along the transition path may lead to differences in convergence rates even for countries with similar initial and terminal conditions finally by assuming a constant depreciation rate and full capital utilization standard growth models may be overstating the magnitude of the steady state equilibrium

vertical mergers and market foreclosure ythe model in this paper illustrates three effects of vertical mergers when both stages are oligopolistic and vertically integrated and unintegrated producers coexist first the merging firm increases its final good output second the resulting backward shift in the residual demand curve facing unintegrated final good producers ylowers their demand for the intermediate good third the merged firm withdraws from the intermediate good market the increased concentration pushes the intermediate good price upward which effect dominates depends on market structure under some conditions a vertical merger causes the price of the final good to increase

impact of oil price shocks on output inflation and the real exchange rate evidence from selected asean countries this article analyses the impact of oil price shocks on real output inflation and the real exchange rate in thailand malaysia singapore the philippines and indonesia asean 5 using a structural var model the cointegration tests indicate that the macroeconomic variables of these countries are cointegrated and share common trends in the long run the impulse response functions reveal that oil price fluctuations do not impact the asean 5 economies in the long run and much of its effect is absorbed within five to six quarters the variance decomposition results further assert that with a few exceptions oil price shocks do not explain a significant variation in any of the variables under consideration we also identify a very unique pattern of response to oil price fluctuations between malaysia and singapore and between the philippines and thailand the pairs exhibit a high degree of similarity in their responses they do not share any commonalities across the group

oil prices and economic downturns the case of spain abstractwe address the macroeconomic effects of an oil price shock in spain we apply a vector autoregression model var analysis to quarterly data for the spanish economy since 1986 to elucidate the effects of variations in the oil price on the economy considering the three main causes of disruptions in the oil markets oil supply shocks oil demand shocks and oil specific precautionary demand shocks we conclude that the effects in spain strongly depend on the type of shock the consumer price index cpi has mainly been influenced by oil demand shocks output has only reacted to oil supply shocks and monetary policy has mainly reacted after precautionary shocks second round effects caused by the behaviour of nominal wages have not been found additionally we discuss two facts the ability of firms to increase markups in a context of rising demand and the procyclical role of monetary policy when faced with oil demand shocks

the economic effects of energy price shocks large fluctuations in energy prices have been a distinguishing characteristic of the u s economy since the 1970s turmoil in the middle east rising energy prices in the u s and evidence of global warming recently have reignited interest in the link between energy prices and economic performance this paper addresses a number of the key issues in this debate what are energy price shocks and where do they come from how responsive is energy demand to changes in energy prices how do consumers expenditure patterns evolve in response to energy price shocks how do energy price shocks affect u s real output inflation and stock prices why do energy price increases seem to cause recessions but energy price decreases do not seem to cause expansions why has there been a surge in the price of oil in recent years why has this new energy price shock not caused a recession so far have the effects of energy price shocks waned since the 1980s and if so why as the paper demonstrates it is critical to account for the endogeneity of energy prices and to differentiate between the effects of demand and supply shocks in energy markets when answering these questions

bertrand competition when rivals costs are unknown the conclusions of the bertrand model of competition are substantially altered by the presence of asymmetric information about rivals costs asymmetric information eliminates the discontinuity in the bertrand model and significantly alters the properties of the market equilibrium in the bertrand nash equilibrium when rivals costs are unknown firms price above marginal cost and have positive expected profit the analysis is extended to franchise competition the market equilibrium is sensitive to market structure and yields incentives for entry copyright 1995 by blackwell publishing ltd

mergers in symmetric and asymmetric noncooperative auction markets the effects on prices and efficiency abstract united states antitrust merger analysis has recently focused on simulating the unilateral effects of mergers we develop a model to simulate the unilateral price increase from a merger in an auction market we illustrate our results in the context of hospital mergers in the u s and calibrate our simulations to known market parameters we compare the price increases in our model to those suggested by analytically simpler models the simulation results suggest that the unilateral price increases predicted by our model are modest in general we also simulate the merger cost savings that are needed to offset the price effects

regime switching in the reactions of stock markets in saudi arabia to oil price variations the study revisits the stock oil nexus by examining the reactions of equity markets to oil price shocks at national and sectoral levels for saudi arabia in a time varying framework by employing the markov switching egarch model developed by henry 2009 journal of banking and finance 33 405 based on weekly data the findings reveal that the behaviour of all stock markets switches between an expansion regime and a recession regime with more persistence for the expansion state additionally influential international events associated with stock market drops are clearly identified in the recession regime furthermore there is evidence of asymmetric reactions of the equity index returns and the probabilities of transition from one state to another to oil price variations with heterogeneous impacts across sectors and regimes the stock markets are more sensitive to oil price decreases than to oil price increases although the evidence of relatively slight differences in some findings across weekdays the study allows investors and policymakers to understand well the interactions of stock sector markets vis a vis the world oil market in a regime switching framework in order to make the right decision as regards portfolio diversification and regulation of the stock markets

does high frequency crude oil futures data contain useful information for predicting volatility in the us stock market new evidence abstract this study examines whether high frequency crude oil futures data contain useful information to forecast the realized volatility rv of the us stock market from both in and out of sample perspectives there are several significant findings first from the in sample analysis crude oil futures rv exhibits a significant positive impact on the future s p 500 volatility second the out of sample results reveal that the prediction models including crude oil futures rv outperform the related competing models implying that crude oil rv is an important predictive factor for the us stock market third we further find that the primary forecasting ability of crude oil rv is reflected in high frequency information negative crude oil rv and high volatility level finally the out of sample empirical results based on different forecasting windows alternative forecast evaluation approaches subsample analysis different prediction models alternative midas lags and controlling the leverage effect are robust to our conclusions

unemployment equilibria and input prices theory and evidence from the united states the paper develops an efficiency wage model where input prices affect the equlibrium rate of unemployment we show that a simple framework based on only two prices the real price of oil and the real rate of interest is able to explain the main post war movements in the rate of u s joblessnss the equations do well in forecasting unemployment many out of sample and provide evidence that the oil price spike associated with iraq s invasion of kuweit appears to be a component of the mystery recession which followed

the enduring impact of the american dust bowl short and long run adjustments to environmental catastrophe the 1930 s american dust bowl was an environmental catastrophe that greatly eroded sections of the plains analyzing new data collected to identify low medium and high erosion counties the dust bowl is estimated to have immediately substantially and persistently reduced agricultural land values and revenues during the depression and through at least the 1950 s there was limited reallocation of farmland from activities that became relatively less productive agricultural adjustments such as reallocating land from crops to livestock recovered only 14 to 28 of the initial agricultural cost the economy adjusted predominately through migration rather than through capital inows and increased industry

the heterogeneity dependence between crude oil price changes and industry stock market returns in china evidence from a quantile regression approach this paper explores the dependence between real crude oil price changes and chinese real industry stock market returns based on the monthly data from 1994 03 to 2014 06 we address this issue using the quantile regression approach enabling a more detailed investigation of structure and degree of dependence empirical results reveal that the reaction of market returns to crude oil is highly heterogeneous across conditional distribution of industry stock returns furthermore there is evidence that this dependence is positive and exists only in recessions or bearish markets with low expected returns the dependence at low quantiles is not limited to one market but is a common feature across industries additionally dependence also changes since the onset of structural breaks we determine that chinese industry stock and global crude oil markets have contagion in rare situations most cases do not demonstrate contagion

oil price uncertainty and the u s stock market analysis based on a garch in mean var model abstract this paper uses a bivariate garch in mean var model to examine the effect of oil price uncertainty on the u s real stock returns at the aggregate and sectoral levels estimation results suggest that there is no statistically significant effect of oil price volatility on the u s stock returns the absence of an uncertainty effect might be explained by the fact that companies are likely to hedge against fluctuations in oil prices it could also stem from the ability of most companies to transfer the higher cost of oil to customers moreover the impulse responses indicate that accounting for oil price uncertainty oil price increases and decreases have symmetric effects on the u s aggregate stock returns in that energy price increases and decreases are estimated to have equal and opposite effects on the u s financial market however this symmetric effect doesn t hold across all the sectors studied in this paper

oil price shocks and china s economy reactions of the monetary policy to oil price shocks abstract the paper empirically analyzes the effect of positive oil price shocks on china s economy having special interest in the response of the chinese interest rate to those shocks using different econometric models i a time varying parameter structural vector autoregression tvp svar model with short run identifying restrictions ii a structural var svar model with the short run identifying restrictions and iii a var model with ordering free generalized impulse response var gir var we find that the response of the chinese interest rate to the oil price shocks is not only time varying but also showing quite different signs of responses specifically in the earlier sample period 1992 4 2001 10 the interest rate shows a negative response to the oil price shock while in the latter period 2001 11 2014 5 it shows a positive response to the shock given the negative response of the world oil production to an oil price shock in the earlier period the shock is identified as a negative supply shock or a precautionary demand shock as suggested by kilian 2009 thereby the negative response of the interest rate to the oil price shock is deemed as economy boosting the positive response of the interest rate to the oil price shock in the later period given that this shock is identified as a positive world oil demand shock gives evidence that stabilization of inflation is one of the main objectives of china s monetary authority even though the current main objective of the monetary policy is characterized as maintaining the stability of the value of the currency and thereby promoting economic growth finally the variance decomposition results reveal that the oil price shock becomes an increasingly important source in the volatility of china s interest rate

exogenous oil supply shocks how big are they and how much do they matter for the u s economy abstract the paper proposes a new measure of exogenous oil supply shocks the timing the magnitude and the sign of this measure may differ greatly from current state of the art estimates it is shown that only a small fraction of the observed oil price increases during oil crisis periods can be attributed to exogenous oil production disruptions exogenous oil supply shocks cause a sharp drop of u s real gdp growth after five quarters rather than an immediate and sustained reduction in economic growth and a spike in cpi inflation after three quarters overall exogenous oil supply shocks made remarkably little difference for the evolution of the u s economy since the 1970s although they did matter for some historical episodes

the cyclical behavior of monthly nymex energy prices abstract this paper systematically investigates the basic stylized facts of energy price movements using monthly data for the period that energy has been traded on organized exchanges and the methodology suggested by kydland and prescott kydland f e prescott e c 1990 business cycles real facts and a monetary myth fed reserve bank minneapolis q rev spring 3 18 the results indicate that energy prices are in general procyclical in contrast to the accepted fact that energy prices are countercyclical and leading the cycle

hidden regimes and the demand for carbon dioxide from motor gasoline abstract perhaps the most tactile source of anthropogenic carbon dioxide co2 emissions stem from vehicle use because consumers are well aware of their price and quantity decisions it is likely that consumer demand for co2 emissions from motor gasoline are quite responsive to the overall state of the economy using a structurally identified markov switching demand model i find that co2 emissions respond asymmetrically to changes in income and the price of gasoline in expansionary and contracting states of the economy the findings of this paper indicate that flexible policy instruments have the potential to mitigate undue burden on consumers and producers compared to their static counterparts

costs and benefits of renewables portfolio standards in the united states lbnl xxxx costs and benefits of renewables portfolio standards in the united states by galen barbose 1 jenny heeter 2 lori bird 2 samantha weaver 1 francisco flores espino 2 and ryan wiser 1 lawrence berkeley national laboratory national renewable energy laboratory corresponding author galen barbose research scientist electricity markets and policy group environmental energy technologies division lawrence berkeley national laboratory 1 cyclotron road ms 90r4000 berkeley ca 94720 phone 510 984 3453 email glbarbose lbl gov abstract as state level renewable portfolio standards rps have driven large increases in u s renewable generation capacity states have sought to quantify the costs and benefits of these policies this paper examines recent costs and benefits of rps implementation focusing on the net or incremental cost to utilities of renewables used for compliance with rps targets during the years 2010 2012 incremental rps cost estimates are developed using a wide variety of methods and assumptions which makes comparisons among states imperfect for states with restructured electricity markets we use a standardized method to calculate incremental costs based on renewable energy certificate prices alternative compliance payment levels and compliance obligations for states with traditionally regulated electricity markets we rely on estimates produced by utilities and regulators whose methods and underlying assumptions vary widely we find that recent estimated incremental rps costs were equivalent to less than 2 of retail rates in 17 states and about 2 4 in eight states or 4 mwh to 48 mwh of renewable energy required across all states for the most recent year available in each state estimated rps costs in most states were well below the respective cost caps although a few states are currently operating at or near their cap 1 introduction twenty nine states washington dc and puerto rico have adopted renewables portfolio standards rps helping drive a roughly eight fold increase in u s renewable generation capacity over the past decade concern over the impact of these policies on electricity prices and economic growth however has spurred recent legislation in at least a dozen states to repeal reduce or freeze existing rps requirements at the same time other recent legislative proposals have sought to expand state rps policies understanding the actual historical costs and benefits of rps policies is critical to informing these legislative debates but the subject is inadequately understood this paper examines historical costs of rps implementation drawing on a recent joint report by lawrence berkeley national laboratory and the national renewable energy laboratory estimating the costs and benefits of complying with renewable portfolio standards reviewing experience to date heeter et al 2014 1 we summarize the methods state agencies and utilities have used to assess rps costs compare incremental rps compliance costs to date and evaluate the potential for increases in rps compliance costs as legislative targets rise and cost caps in some states potentially become binding the aforementioned report also synthesizes recent estimates of broader societal benefits from formal state agency evaluations including estimates of health and emission reduction benefits economic development benefits and wholesale electricity market price reductions though those findings are not included in the present paper compared to the summary of estimated rps costs the summary of rps benefits is more limited as relatively few states have undertaken detailed benefits estimates and then only for a few types of potential policy impacts in some cases the same impacts may be captured in the assessment of costs for these reasons and because methodologies and level of rigor vary widely direct comparisons between the estimates of benefits and costs are challenging 2 methods and data sources for estimating incremental rps compliance costs rps compliance costs may be defined as either gross costs or incremental costs gross costs consist of the total cost of procuring renewables to meet the rps while incremental costs also referred to as net or above market costs represent this report is publically available at http emp lbl gov publications participation by lawrence berkeley national laboratory was supported by the office of energy efficiency and renewable energy solar technologies office of the u s department of energy under lawrence berkeley national laboratory contract no de ac02 05ch1131

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

the role of the trade channel in the propagation of oil supply shocks abstract this paper analyzes when and why idiosyncratic oil supply shocks produce large macroeconomic effects in an analytically tractable two country general equilibrium model we focus on a demand driven mechanism the trade channel which transmits oil shocks across economies through changes in the non oil goods terms of trade when the trade channel is operative we have three main consequences on the transmission of oil shocks first the macroeconomic impact of oil shocks may be large and asymmetric across countries second the magnitude of the effects is nonlinear in the size of the oil shock third terms of trade movements never ensure international risk sharing after an idiosyncratic oil supply shock

asymmetric private values auctions with application to joint bidding and mergers abstract much of the theoretical auction literature assumes that there are no observable differences between the bidders of an auction in this paper i present an asymmetric auction model where the distribution of a bidder s value depends on some commonly observed characteristics the model is applied to joint bidding and mergers in auction markets the results provide additional evidence that first price auctions are less susceptible to the acquisition and exercise of market power than open auctions

the effects of oil price shocks on expenditure category cpi in this study we apply a two block structural vector autoregressive var model proposed by kilian and park 2009 in order to investigate the dynamic effects of changes in oil price on the expenditure category consumer price index cpi in the united states and japan our results confirm that each expenditure category price index responded very differently to the same structural shock and that whether changes in oil price function as a positive stimulus or a negative shock for the individual expenditure category prices also depends on the kind of underlying shock that drives the changes in oil price finally our results also reveal that the manner in which changes in oil price affect each expenditure category price differs between the united states and japan and these detailed level differences may lead to aggregate level differences in the price response of both countries to changes in oil price

relative energy price and investment by european firms abstract a dynamic model of investment is estimated with data on non financial firms in 15 european countries across 25 industries over 1991 2006 a rise in real energy price reduces the degree of persistence in the investment adjustment cost function panel results suggest that in manufacturing a 1 rise in real energy price reduces investment by a country s firms by 1 9 relative to that by firms in other countries with a smaller effect for non manufacturing firms the negative effect of a higher relative price of energy on firm level investment is significantly less marked the larger the firm results imply that stabilizing the relative price of energy would steady firm investment with greater gains in stability at smaller and medium sized firms results are robust to consideration of country business cycle effect and firm leverage estimation of investment is based on the euler equation approach with over 21 000 observations individual country regressions imply that a rise in the relative price of energy price has a statistically significant negative effect on firm level investment in 14 out of 15 countries to avoid dynamic panel bias estimation is by generalized method of moments with instrumental variables

the effects of energy price technology and disaster shocks on china s energy environment economy system abstract this paper constructs a dynamic stochastic general equilibrium dsge model to analyze the effects of energy price technology and disaster shocks on china s energy environment economy 3e system it also studies stylized facts as well as co integration and error correction dynamic analyses of this system the disaster shock is modeled as a two state markov switching process the results show that both technology and energy price shocks increase the ratio of environmental investment to gdp the improvement in technology and rising energy prices helps to reduce co2 pollution and improve economic restructuring among the three kinds of shocks technology shock is the most important the robustness of the model is tested through statistical methods

implementing renewable energy portfolio standards the good the bad and the ugly in a two state comparison abstract understanding how household practices with regard to energy usage change and how to most effectively encourage the adoption of technologies that utilize renewable energy sources at the residential scale are important issues for addressing the environmental impacts of energy use here the social practices model spaargaren 2003 is applied to examine solar technology adopters in two u s states who were interviewed about adopting residential solar electric technology and specifically about their experiences with the rebate and incentive programs available to them examining the policies and interrogating their potentially unintended consequences from the perspective of the user sheds light on how residential solar incentive programs act as systems of provision shaping the practices of solar technology adopters in hopes of improving these incentive programs and effectively encouraging increased residential solar technology adoption findings suggest that feed in tariffs offer additional positive outcomes related to broadening the context for adoption and encouraging future energy conservation while size restrictions wholesale pricing in net metering agreements and inconsistent policy mechanisms across utilities in the same state all have potentially unintended negative consequences utilizing a perspective attentive to social practice offers a means of improving the design and implementation of energy policy

asymmetries in the response of economic activity to oil price increases and decreases abstract it has been common to assume that the relationship between economic activity and oil prices is asymmetric theoretical underpinnings for this asymmetry include costly sectoral reallocation partial equilibrium models of irreversible investment and some version of precautionary savings yet recent studies that use new methodologies to test for asymmetries in u s data have cast some doubts on that premise in this paper we use state of the art techniques to evaluate the presence of asymmetries for a set of oecd countries containing both oil exporters and oil importers we find very little support for the hypothesis that the response of industrial production to oil price increases and decreases is asymmetric our results have important implications for theoretical models of the transmission of oil price shocks they point towards the importance of direct supply and direct demand transmission channels as well as indirect transmission channels that imply a symmetric response

the effects of oil price shocks on output and inflation in china crude oil price shocks derive from many sources each of which may bring about different effects on macro economy variables and require completely different designs in macro economic policy thus distinguishing the sources of oil price fluctuations is crucial when evaluating these effects this paper establishes an open economy dynamic stochastic general equilibrium dsge model with two economies china and the rest of the world to assess the effects of oil price shocks the ces production function is extended by adding oil as an input based on the model the effects of four types of oil price fluctuations are evaluated the four types of oil price shocks are supply shocks driven by political events in opec countries other oil supply shocks aggregate shocks to the demand for industrial commodities and demand shocks that are specific to the crude oil market simulation results indicate the following oil supply shocks driven by political events mainly produce short term effects on china s output and inflation while the other three shocks produce relatively long term effects in addition demand shocks that are specific to the crude oil market contribute the most to the fluctuations in china s output and inflation

historical energy price shocks and their changing effects on the economy abstract the purpose of this paper is to identify the changes in the impact of energy shocks on economic activity with an interest in assessing if an economy s vulnerability and resilience to shocks improved with economic development using data on the united kingdom over the last three hundred years the paper identifies supply aggregate demand and residual shocks to energy prices and estimates their changing influence on energy prices and gdp the results suggest that the impacts of supply shocks rose with its increasing dependence on coal and declined with its partial transition to oil however the transition from exporting coal to importing oil increased the negative impacts of demand shocks more generally the results indicate that improvements in vulnerability and resilience to shocks did not progress systematically as the economy developed instead the changes in impacts depended greatly on the circumstances related to the demand for and supply of energy sources if these experiences are transferable to future markets a transition to a diversified mix of renewable energy is likely to reduce vulnerability and increase resilience to energy price shocks

a multivariate cointegration analysis of the role of energy in the us macroeconomy abstract this paper extends my previous analysis of the causal relationship of gdp and energy use in the usa in the post war period a majority of the relevant variables are integrated justifying a cointegration analysis the results show that cointegration does occur and that energy input cannot be excluded from the cointegration space the results are plausible in terms of macroeconomic dynamics the results are similar to my previous granger causality results and contradict claims in the literature based on bivariate models that there is no cointegration between energy and output

a wavelet analysis of mean and volatility spillovers between oil and brics stock markets this paper investigates the spillover effects of volatility and shocks between oil prices and the brics stock markets using multivariate approach and wavelet analysis at different time horizons hence we combine a multivariate arma garch model and wavelet multiresolution analysis to study this phenomenon a bivariate arma 1 1 garch 1 1 cdcc student t model was joined with modwt filter to capture a broad range of possible spillover effects in mean and variances of level prices at various time horizons generally empirical results provide strong evidence of time varying volatility in all markets under study however our proposed approach shows that oil price and stock market prices are directly affected by their own news and volatilities and indirectly affected by the volatilities of other prices and wavelet scale the results show also that mean and volatility spillover effects was decomposed into many sub spillovers on different time scales according to heterogeneous investors and market participants the practical implications of this study are critical innovative and useful for the local and international investors and also for the portfolio managers they can utilize this study to formulate the optimal oil bricks stock portfolios as well as lead to more accurate predictions of volatility spillovers patterns also in developing their hedging strategies

monetary compensations in climate policy through the lens of a general equilibrium assessment the case of oil exporting countries this paper investigates the compensations that major oil producers have claimed for since the kyoto protocol in order to alleviate the adverse impacts of climate policy on their economies the amount of these adverse impacts is assessed through a general equilibrium model which endogenizes both the reduction of oil exportation revenues under international climate policy and the macroeconomic effect of carbon pricing on middle east s economy we show that compensating the drop of exportation revenues does not offset gdp and welfare losses because of the time profile of the general equilibrium effects when considering instead compensation based on gdp losses the effectiveness of monetary transfers proves to be drastically limited by general equilibrium effects in opened economies the main channels of this efficiency gap are investigated and its magnitude proves to be conditional upon strategic and policy choices of the middle east this leads us to suggest that other means than direct monetary compensating transfers should be discussed to engage the middle east in climate policies

self fulfilling expectations and the inflation of the 1970s evidence from the livingston survey abstract using survey data on expectations we examine whether the response of monetary policy to sudden movements in expected inflation contributed to the persistent high inflation of the 1970s the evidence suggests that prior to 1979 the fed accommodated temporary shocks to expected inflation which then led to persistent increases in actual inflation we do not find this behavior in the post 1979 data among commonly cited factors oil and fiscal shocks do not appear to have triggered an increase in expected inflation that eventually resulted in higher actual inflation

how sensitive are consumer expenditures to retail energy prices abstract there is growing evidence that the primary effect of energy price shocks on the u s economy involves a reduction in consumer spending we quantify the direct effect on real consumption of unanticipated changes in discretionary income shifts in precautionary savings and changes in the operating cost of energy using durables the possibility of asymmetries in the response of real consumption to energy price shocks is also considered we demonstrate that linear models are consistent with the symmetric behavior of real consumption in 1979 when energy prices increased sharply and in 1986 when they fell sharply it is shown that historically energy price shocks have been an important factor in explaining u s real consumption growth but by no means the dominant factor

asset prices and expected monetary policy evidence from daily data this article explores the relationships among libor gold prices the exchange rate oil prices fed funds futures prices and stock prices at a daily frequency this article examines whether expected monetary policy measured by changes in the prices of fed funds futures contracts reacts to high frequency changes in asset prices and in turn whether asset prices respond to changes in expected monetary policy the article reveals that there are statistically significant relationships between expected us monetary policy and shocks to libor and exchange rates it also reveals that there is no evidence of a systematic relationship between stock prices and expected monetary policy changes splitting the data into expansionary and recessionary periods using nber dating we find results for the expansionary periods that are very similar to the results for the entire period for the periods of recession we find little evidence of significant linkages between markets

incomplete contracts vertical integration and supply assurance this paper extends the analysis of transactions cost models of vertical integration to multilateral settings its main focus is on supply assurance concerns which arise when several downstream firms are competing for inputs in limited supply integration reduces supply assurance concerns for an integrating firm but it may increase them for others therefore to explain the scope of any firm one must consider the overall network of production and distribution relations three fundamental questions are addressed 1 what are the effects of different integration structures 2 what are the determinants of the socially efficient integration structures 3 in what way do equilibrium integration structures differ from socially efficient structures

first price auctions in the asymmetric n bidder case i consider the first price auction when the bidders valuations may be differently distributed i show that every bayesian equilibrium is an essentially pure equilibrium formed by bid functions whose inverses are solutions of a system of differential equations with boundary conditions i then prove the existence of an equilibrium i prove its uniqueness when the valuation distributions have a mass point at the lower extremity of the support i give sufficient conditions for uniqueness when every valuation distribution is one of two atomless distributions i establish inequalities between equilibrium strategies when relations of stochastic dominance exist between valuation distributions

commodity prices and fiscal policy design procyclical despite a rule recent studies offer evidence of reduced fiscal procyclicality to commodity price changes in resource rich countries a feature commonly attributed to the adoption of fiscal policy rules we revisit this issue and find that by controlling for global activity shocks while allowing for time varying changes in both fiscal policy and the volatility of shocks this finding does not hold to show this we develop a time varying dynamic factor model allowing for a multiple of shocks stochastic volatility and time varying parameters and estimate it on data for norway whose handling of resource wealth is often cited as exemplary

the causal nexus between oil prices and equity market in the u s a regime switching model abstract the aim of this paper is to analyse the causal link between monthly oil futures price changes and a sub grouping of s p 500 stock index changes the causal linkage between oil and stock markets is modelled using a vector autoregressive model with time varying parameters so as to reflect changes in granger causality over time a markov switching vector autoregressive ms var model in which causal link between the series is stochastic and governed by an unobservable markov chain is used for inferring time varying causality although we do not find any lead lag type granger causality the results based on the ms var model clearly show that oil futures price has strong regime prediction power for a sub grouping of s p 500 stock index during various sub periods in the sample while there is a weak evidence for the regime prediction power of a sub grouping of s p 500 stock indexes the regime prediction non causality tests on the ms var model show that both variables are useful for making inference about the regime process and that the evidence on regime prediction causality is primarily found in the equation describing a sub grouping of s p 500 stock market returns the evidence from the conditional non causality tests shows that past information on the other series fails to improve the one step ahead prediction for both oil futures and stock returns

anticompetitive vertical integration by a dominant firm backward vertical integration by a dominant firm into an upstream competitive industry causes both input and output prices to rise the dominant firm s advantage may or may not offset the negative effect of higher prices on social welfare whether it does depends on a simple indicator derived from input and output market shares and the degree of prior vertical integration a vertical merger is similar to a hypothetical horizontal merger suggesting that vertical merger policy for this industry should be similar to horizontal merger policy the dominant firm model yields an observable sufficient indicator of welfare improving vertical mergers copyright 1998 by american economic association

expectations learning and the changing relationship between oil prices and the macroeconomy this paper estimates a structural general equilibrium model to investigate the changing relationship between the oil price and macroeconomic variables the oil price through the role of oil in production and consumption affects aggregate demand and supply in the model the assumption of rational expectations is relaxed in favor of learning oil prices therefore affect the economy through an additional channel i e through their effect on the formation of agents beliefs the estimated learning dynamics indicates that economic agents perceptions about the effects of oil prices on the economy have changed over time oil prices were perceived to have large effects on output and inflation in the 1970s but only milder effects after the mid 1980s since expectations play a large role in the determination of output and inflation the effects of oil price increases on expectations can magnify the response of macroeconomic variables to oil price shocks in the estimated model in fact the implied responses of output and inflation to oil price shocks were much more pronounced in the 1970s than in 2008 therefore through the time variation in the impact of oil prices on beliefs the paper can successfully explain the observed weakening of the effects of oil price shocks on real activity and inflation

energy disruptions interfirm price effects and the aggregate economy in an economy with many imperfect competitors monopolistic competition firms that pass through higher oil prices during a disruption will affect the demand for firms in other industries firms that charge higher prices for their final product will include the effect on their own final product in their private decisions but will exclude the effect on the final products of other firms although a pecuniary externality these actions will reduce society s welfare unlike the case of a perfectly competitive market this situation creates a societal risk that is much wider than an externality in any single market policy interest shifts from one of punishing persian gulf oil producers to one of cushioning an industrialized economy from sudden disruptions caused by political and military conflicts although the value of reducing oil use depends upon a number of unknown parameters with wide distributions a representative numerical example suggests that it may approach 5 per barrel

energy price shocks and medium term business cycles abstract energy price shocks pose sudden challenges to economies this paper examines how oil price shocks have influenced the u s economy over the last decades and especially focuses on the productivity slowdown in the years following an oil price shock we extend the existing literature by considering medium term business cycles which consist of high frequency components conventional business cycles up to 8 years and medium frequency components 8 50 years we find that the medium frequency consequences of energy price shocks are considerable and explain a significant part of the productivity slowdown

energy consumption at business cycle horizons the case of the united states in this paper we propose a simple extension to a keynesian type macro model by augmenting it with energy consumption we show the relationship between energy consumption and output in a macroeconomic setting and ask the question do permanent shocks dominate changes in energy consumption and output at business cycle horizons for the united states to achieve the goal of this paper we undertake a variance decomposition analysis of shocks based on a common trend and common cycle framework within a vector error correction model our main finding is that permanent shocks explain the bulk of the variations in energy consumption and output at business cycle horizons for the united states

volatility spillovers between oil prices and stock sector returns implications for portfolio management abstract in this article we take a recent generalized var garch approach to examine the extent of volatility transmission between oil and stock markets in europe and the united states at the sector level the empirical model is advantageous in that it typically allows simultaneous shock transmission in the conditional returns and volatilities insofar as volatility transmission across oil and stock sector markets is a crucial element for portfolio designs and risk management we also analyze the optimal weights and hedge ratios for oil stock portfolio holdings with respect to the results our findings point to the existence of significant volatility spillover between oil and sector stock returns however the spillover is usually unidirectional from oil markets to stock markets in europe but bidirectional in the united states our back testing procedures finally suggest that taking the cross market volatility spillovers estimated from the var garch models often leads to diversification benefits and hedging effectiveness better than those of commonly used multivariate volatility models such as the ccc garch of bollerslev 1990 the diagonal bekk garch of engle and kroner 1995 and the dcc garch of engle 2002

why do energy prices matter the role of interindustry linkages in u s manufacturing there is considerable empirical evidence that energy prices had a large effect on the u s economy between world war ii and the 1980s this paper argues that linkages between manufacturing industries amplify the effect of an energy price shock and help explain the large effect in particular energy intensive industries are important input suppliers to other industries when the price of energy increases energy intensive industries contract raising materials prices for other industries because of the reduction in materials supply the downstream industries also contract which i refer to as the supply effect using data from the census of manufactures i find that the supply effect accounted for about one half of the sensitivity of value added to the price of energy i use plant level census data to show that the supply effect caused similar changes in value added per plant as in value added per industry a price increase caused a small although statistically significant decrease in entry and had no effect on exit finally the supply effect reduced plant level labor demand jel e32 q43

role of oil price shocks on macroeconomic activities an svar approach to the malaysian economy and monetary responses abstract this study examines the impact of oil price uncertainty on malaysian macroeconomic activities and monetary responses we use a structural var svar model based on monthly data over the period 1986 2009 the egarch model estimates show an important asymmetric effect of oil price shocks on the conditional oil price volatility dynamic impulse response functions obtained from the svar model show a prolonged dampening effect of oil price volatility shock on malaysian industrial production we also find that levels of consumer price index cpi decline with a positive shock to oil price uncertainty this is the result of negative demand shock due to the postponement of consumption of big ticket items by individuals households and other sectors of the economy we also found that the malaysian central bank adopts an expansionary monetary policy in response to oil price uncertainty variance decomposition analysis reconfirms that volatility in the oil price is the second most important factor to explain the variance of industrial production after its own shocks these results shed some light on how the central bank of malaysia can use controlling mechanisms to stabilize aggregate output and price level

oil shocks and financial systemic stress international evidence abstract by conducting a structural var analysis on the financial systemic stress in 20 countries this paper provides international evidence that oil structural shocks impact not only stress in individual financial markets but also their connectedness the oil structural shocks explain a large fraction of the variation in the connectedness among various financial markets the effect of oil structural shocks on financial systemic stress is largely dependent on the origins of oil price changes and a country s net oil export position in most oil importing economies financial systemic stress is negatively impacted by supply and aggregate demand shocks and positively impacted by oil market specific demand shocks opposite patterns are detected in oil exporting economies the effects of the spillovers are asymmetrically related with market conditions during normal periods more risks are spilled over from the oil market to financial systems but during financial crises the opposite occurs in periods of financial crises and oil price collapses there is noticeable contagion between the oil market and financial systems

the relationship between energy and equity markets evidence from volatility impulse response functions this paper examines the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate bekk model of the goldman sach s energy index and the sp in addition we also calculate the time varying conditional correlations and time varying dynamic hedge ratios from volatility impulse response functions we find that low sp however we find only a weak response from s p 500 volatility to energy price shocks moreover our dynamic hedge ratio analysis suggests that the energy index is generally a poor hedging instrument

cost effectiveness as energy policy mechanisms the paradox of technology neutral and technology specific policies in the short and long term when choosing policy mechanisms to design and deploy energy policies policymakers typically seek cost effective ones linking cost effectiveness to the lowest cost of support for res e generation and or consumer costs the objectives of this paper are to analyze the cost effectiveness of renewable portfolio standards rps feed in tariffs fit and auctions in the short and long term considering both technology neutral and technology specific approaches results show that rps and auctions are more cost effective than feed in tariffs fit in the short term if cost effectiveness is defined as minimizing consumer costs also if one or more emerging technologies with higher levelized life cycle costs lcc low cumulative production and high experience elasticity are considered in the pool of res e policy design a technology neutral approach in the short term could lock out these emerging technologies avoiding a long term lcc reduction in this case a technology specific policy used in the short term would reflect lower total generation policy costs in the long term if compared with a technology neutral policy in both short and long term this paper calls this phenomenon the paradox of technology neutral and technology specific policies in the long term considering the results this paper suggests a mix of technology neutral and technology specific policies using rps or auction mechanisms to promote res e

oil and stock market volatility a multivariate stochastic volatility perspective abstract this paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility structure in an attempt to extract information intertwined in both markets for risk prediction it offers four major findings first the stock and oil futures prices are inter related their correlation follows a time varying dynamic process and tends to increase when the markets are more volatile second conditioned on the past information the volatility in each market is very persistent i e it varies in a predictable manner third there is inter market dependence in volatility innovations that hit either market can affect the volatility in the other market in other words conditioned on the persistence and the past volatility in their respective markets the past volatility of the stock oil futures market also has predictive power over the future volatility of the oil futures stock market finally the model produces more accurate value at risk estimates than other benchmarks commonly used in the financial industry

vertical mergers in procurement markets abstract this paper uses computational methods that reveal ambiguous strategic effects of vertical mergers in a duopoly setting featuring incomplete information about sellers costs and differences in sellers productive capabilities first vertical mergers can be jointly unprofitable second the buyer s preferred merger partner is almost always the seller with lower expected costs and is typically the larger seller third vertical mergers always reduce the unintegrated seller s profits sometimes dramatically finally vertical mergers can increase total welfare some of the results contrast qualitatively with unambiguous findings from models with symmetric sellers which suggests that caution should be used in drawing general inferences from those models

oil price fluctuations and u s dollar exchange rates adding oil prices to the monetary model of exchange rates we find that oil prices significantly explain movements in the value of the u s dollar usd against major currencies from the 1970s to 2008 our long run and forecasting results are remarkably consistent with an oil exchange rate relationship increases in real oil prices lead to a significant depreciation of the usd against net oil exporter currencies such as canada mexico and russia on the other hand the currencies of oil importers such as japan depreciate relative to the usd when the real oil price goes up

international business cycles world region and country specific factors the paper investigates the common dynamic properties of business cycle fluctuations across countries regions and the world we employ a bayesian dynamic latent factor model to estimate common components in macroeconomic aggregates output consumption and investment in a 60 country sample covering seven regions of the world the results indicate that a common world factor is an important source of volatility for aggregates in most countries providing evidence for a world business cycle we find that region specific factors play only a minor role in explaining fluctuations in economic activity we also document similarities and differences across regions countries and aggregates jel f41 e32 c11 c32

commodity price volatility with endogenous natural resources abstract natural resource reserves are exogenous in models of small commodity exporters changes in the stock of reserves play no role in the macroeconomy including in business cycle volatility trade dynamics or exchange rate volatility we consider richer supply dynamics and model exploration and depletion we show that an endogenous supply of reserves is important for capturing the stylised facts associated with commodity price shocks including a commodity currency the crowding out of non commodity activity dutch disease and a volatile business cycle we also consider how exploration and depletion affect the ranking of optimal monetary and taxation policies when natural resource reserves are held fixed monetary policy is an efficient tool for stabilising the effects of commodity price shocks however when exploration and depletion are accounted for using interest rates to stabilise the effects of commodity price changes becomes inefficient using taxes on the resource sector specifically an ad valorem royalty remains efficient

the asymmetry of the impact of oil price shocks on economic activities an application of the multivariate threshold model this paper applies the multivariate threshold model to investigate the impacts of an oil price change and its volatility on economic activities changes in industrial production and real stock returns the statistical test on the existence of a threshold effect indicates that a threshold value does exist using monthly data of the us canada and japan during the period from 1970 to 2002 we conclude i the optimal threshold level seems to vary according to how an economy depends on imported oil and the attitude towards adopting energy saving technology ii an oil price change or its volatility has a limited impact on the economies if the change is below the threshold levels iii if the change is above threshold levels it appears that the change in oil price better explains macroeconomic variables than the volatility of the oil price and iv if the change is above threshold levels a change in oil price or its volatility explains the model better than the real interest rate

the effects of oil price shocks on job reallocation we investigate the effect of oil price innovations on u s manufacturing job flows using a simultaneous equation model that nests symmetric and asymmetric responses we find no evidence of asymmetry in the response of job flows to positive and negative oil price innovations we then inquire whether firms when facing positive shocks shed jobs faster than they create jobs we show that positive innovations lead to a decline in net employment and an increase in job reallocation possibly due to search and matching issues yet the latter effect becomes statistically insignificant when we control for data mining we demonstrate that the cumulative one year effect of oil price shocks on job creation and destruction was smaller during the great moderation but it was larger for gross job reallocation these variations were caused by a change in the transmission channel and not by smaller oil price shocks

realized volatility transmission between crude oil and equity futures markets a multivariate har approach this paper differs from extant literature because it studies volatility co movements with a multivariate orthogonalized har model a flexible specification for the time series of realized volatility which is able to identify short mid and long term spillover effects we examine volatility transmission mechanisms using high frequency data of the stock index futures on s p 500 nikkei 225 ftse 100 and the futures on the west texas intermediate crude oil during the period from september 2002 to september 2012 considering the full sample the short term volatility of the equity futures contains information about future oil volatility incremental to the information inherent in the time series of oil volatility on the other hand weekly and monthly volatilities do not exhibit a significant spillover effect breaking the whole sample into three subsamples no significant granger causalities are observed in the pre crisis period while in the crisis time and its aftermath we document that the us and uk equity market volatilities to granger cause the oil futures volatility which itself leads the japanese market in terms of magnitude we observe an increase in the short term volatility spillover over time studying the residuals of the har transmission models within a ccc dcc garch framework reveals increasing instantaneous correlation between the energy and equity volatilities in the course of time

oil shocks and production network structure evidence from the oecd abstract does the production network structure matter for the transmission of oil shocks using a bayesian time varying var the paper derives the impact of oil shocks on gdp for a set of oecd economies it further estimates various measures to characterize the production network structure based on input output matrices when the relationship between the time varying responses of gdp to oil demand and oil supply shocks and production network characteristics is analyzed the paper finds that measures like skewness in the in degrees and in the out degrees or density tend to amplify the negative impact of oil shocks on gdp the results here are in line with the recent literature that outlines the importance of network structures for aggregate dynamics

segment shifts and capacity utilization in the u s automobile industry an important school of thought argues that sectoral shifts may account for a substantial portion of aggregate fluctuations e g david lilien 1982 fischer black 1987 steven davis 1987 events such as the oil shocks of the 1970 s exchange rate fluctuations and shifts in government spending have their direct effect on the composition of economic activity the sectoral shift literature argues that they may affect the level and the dynamics of output and employment as well the typical story is of a slowly functioning labor market after a sectoral shock search behavior matching problems and a time cost of switching sectors slow the reallocation of workers across sectors this focus however misses important elements of the reallocation problem as black 1987 has argued not only sector specific human capital but also complementary physical and managerial engineering organization etc capital must be reallocated or recreated in response to sectoral shocks if jobs are linked to capital then the slow adjustment of labor may be attributable in part to the sluggishness in the adjustment of capital this paper presents an empirical study of the impact of oil shock sectoral shifts within the u s automobile industry from an analytical perspective a sectoral shift is any event that raises desired output and employment in some sectors and lowers them in others for our purposes a sector is a size class of automobiles within the automobile industry we will be able to study two distinct questions first did the oil priceinduced shocks to the composition of demand interact with short run rigidities in supply to limit industry wide capacity utilization we will quantify the extent to which the changing composition of demand was reflected in a lower aggregate output level with obvious consequences for the employment of capital and of labor and for the return to firms knowledge capital our second question concerns the pace of the intermediate run adjustment to sectoral shocks how rapidly could capital and labor be reallocated to new demand conditions such considerations determine the impact of sectoral shocks on employment and capacity utilization dynamics

the role of model uncertainty and learning in the u s postwar policy response to oil prices abstract this paper studies optimal monetary policy in a framework that explicitly accounts for policymakers uncertainty about the channels of transmission of oil prices into the economy more specifically using postwar us data i examine the evolution of the policy recommendations originating from an optimal linear regulator problem that encompasses model uncertainty and learning as proposed by cogley and sargent 2005b in this environment i find that one of the underlying models dominates the robust interest rate response to oil prices and i show that this result is due to the instability of this specification in the sample period under analysis