quantile dependence of oil price movements and stock returns we examine the impact of quantile and interquantile oil price movements on different stock return quantiles by testing the hypothesis of equality in conditional and unconditional quantile distribution functions of stock returns we capture quantile dependence under different stock market conditions while taking into account different kinds of oil price movements by computing unconditional and conditional stock return quantiles through marginal models for stock returns and copula functions for oil stock dependence analyzing stock return data for three developed economies the us the uk and the european monetary union and the five brics countries brazil russia india china and south africa for 2000 to 2014 our results indicate that 1 the impact of extreme upward and downward oil price changes on upper and lower stock price quantiles was much smaller before compared to after crisis onset 2 the downside spillover effects were larger than the upside spillover effects for most countries before crisis onset and for all countries after crisis onset and 3 small positive and negative oil price movements had no impact on any stock return quantiles neither before nor after crisis onset

a political economy model of congressional careers our main goal is to quantify the returns to a career in the united states congress we specify a dynamic model of career decisions of a member of congress and estimate this model using a newly collected dataset given estimates of the structural model we assess reelection probabilities estimate the effect of congressional experience on private and public sector wages and quantify the value of congressional seat moreover we assess how an increase in the congressional wage or the imposition of term limits would affect the career decisions of politicians and the returns from a career in congress

a quantile regression analysis of china s provincial co2 emissions where does the difference lie abstract china is already the largest carbon dioxide emitter in the world this paper adopts provincial panel data from 1990 to 2014 and employs quantile regression model to investigate the influencing factors of china s co 2 emissions the results show that economic growth plays a dominant role in the growth of co 2 emissions due to massive fixed asset investment and export trade the influences of energy intensity on the lower 10th and upper 90th quantile provinces are stronger than those in the 25th 50th quantile provinces because of big differences in r d expenditure and human resources distribution the impact of urbanization increases continuously from the lower 10th quantile provinces to the 10th 25th 25th 50th 50th 75th 75th 90th and upper 90th quantile provinces owing to the differences in r d personnel real estate development and motor vehicle ownership the effect of industrialization on the upper 90th quantile provinces is greater than those on other quantile provinces on account of the differences in the industrial scale and the development of the building industry thus the heterogeneity effects of influencing factors on different quantile provinces should be taken into consideration when discussing the mitigation of co 2 emissions in china

monotone stochastic choice models the case of risk and time preferences suppose that when evaluating two alternatives x and y by means of a parametric utility function low values of the parameter indicate a preference for x and high values indicate a preference for y

investigating diesel market integration in france evidence from micro data abstract we use station level daily price observations collected over a period of eight years to study the extent of diesel market integration in france the empirical analysis starts off by examining the time series properties of diesel price ratios and then assesses how geographical separation and petrol station characteristics affect the speed of adjustment of prices to exogenous shocks our findings reveal that the great majority of diesel price ratios maintain stable long run relationships we also find that while price ratios take longer to adjust for pairs of petrol stations that are farther apart adjustment is quicker when pairs of petrol stations provide the same range of services and when they belong to the same owner

the dynamic linkages between crude oil and natural gas markets abstract the time varying price spillovers between natural gas and crude oil markets for the period 1994 to 2014 are investigated contrary to earlier research we show that in a large part of our sample the natural gas price leads the price of crude oil with price spillover effects lasting up to two weeks this result is robust to a battery of tests including out of sample forecasting exercises however after 2006 we detect little price dependencies between these two energy commodities these findings arise due to a conjunction of both demand and supply side shocks arising from both natural and economic events including hurricane katrina the tohoku earthquake and the global financial crisis as well as infrastructure and technological improvements the increased use of new technologies such as hydraulic fracking for the extraction of gas and oil in particular affected supply in the latter part of the study we conclude that the long term relation present in the early part of the sample has decoupled such that price determination of these two energy sources is now independent

a measurement error approach for modeling consumer risk preference von neumann morgenstern vn m utility theory is the dominant theoretical model of risk preference recently market researchers have adapted vn m theory to model consumer risk preference but most applications assess utility functions by asking just n questions to specify n parameters however any questioning format especially under market research conditions introduces measurement error this paper explores the implications of measurement error on the estimation of the unknown parameters in vn m utility functions and provides procedures to deal with measurement error we assume that the functional form of the utility function but not its parameters can be determined a priori through qualitative questioning we then model measurement error as if question format and other influences cause the consumer to choose the unknown risk parameter from a probability distribution and to make his decisions accordingly we provide procedures to estimate the unknown parameters when the measurement error is eith

assessing individual risk attitudes using field data from lottery games we use information from the television game show with the highest guaranteed average payoff in the united states hoosier millionaire to analyze risktaking in a high stakes experiment we characterize gambling decisions under alternative assumptions about contestant behavior and preferences and derive testable restrictions on individual risk attitudes based on this characterization we then use an extensive sample of gambling decisions to estimate distributions of risk aversion parameters consistent with the theoretical restrictions and revealed preferences we find that although most contestants display risk averse preferences the extent of the risk aversion implied by our estimates varies substantially with the stakes involved in the different decisions

toward the integration of european natural gas markets a time varying approach abstract over the past fifteen years european gas markets have radically changed in order to build a single european gas market a new regulatory framework has been established through three european gas directives the purpose of this article is to investigate the impact of the reforms in the natural gas industry on consumer prices with a specific focus on gas prices for industrial use the strength of the relationship between the industrial gas prices of six western european countries is studied by testing the law of one price for the period 1991 2009 estimations were carried out using both cointegration analysis and time varying parameter models results highlight an emerging and on going process of convergence between the industrial gas prices in western europe since 2001 for the six eu member states the strength and the level of convergence differ widely between countries strong integration of gas markets in continental europe except for the belgian market has been established it appears that the convergence process between continental countries and the uk is not completed thus the integration of european gas markets remains an open issue and the question of how far integration will proceed will still be widely discussed in the coming years

oil and gas markets in the uk evidence from a cointegrating approach the paper examines the relationship between uk wholesale gas prices and the brent oil price over the period 1996 2003 in order to investigate whether oil and gas prices decoupled during this period as orthodox gas market liberalisation theory suggests tests for unit roots and cointegration are carried out and it is discovered that a long run equilibrium relationship between uk gas and oil prices exists moreover this relationship pre dates the opening of the uk mainland europe interconnector following a recursive methodology hansen h and johansen s 1999 some tests for parameter constancy in cointegrated var models econometrics journal 2 306 333 it was found that the cointegrating relationship is present throughout the sample period however the long run solutions seem to be more volatile evidence is provided that the short run relationship is linear and impulse response functions are used to examine the effects that a shock in oil would have on gas these findings do not support the assumption that gas prices and oil prices decouple

estimating value at risk of crude oil price and its spillover effect using the ged garch approach estimation has been carried out using garch type models based on the generalized error distribution ged for both the extreme downside and upside value at risks var of returns in the wti and brent crude oil spot markets furthermore according to a new concept of granger causality in risk a kernel based test is proposed to detect extreme risk spillover effect between the two oil markets results of an empirical study indicate that the ged garch based var approach appears more effective than the well recognized hsaf i e historical simulation with arma forecasts moreover this approach is also more realistic and comprehensive than the standard normal distribution based var model that is commonly used results reveal that there is significant two way risk spillover effect between wti and brent markets supplementary study indicates that at the 99 confidence level when negative market news arises that brings about a slump in oil price return historical information on risk in the wti market helps to forecast the brent market conversely it is not the case when positive news occurs and returns rise historical information on risk in the two markets can facilitate forecasts of future extreme market risks for each other these results are valuable for anyone who needs evaluation and forecasts of the risk situation in international crude oil markets

testing for common features in north american energy markets abstract using recent advances in the field of applied econometrics we explore the strength of shared trends and shared cycles between north american natural gas and crude oil markets in doing so we use daily data from january 1991 to april 2001 on spot u s henry hub natural gas and wti crude oil prices the results show that there has been decoupling of the prices of these two sources of energy as a result of oil and gas deregulation in the united states we also investigate the interconnectedness of north american natural gas markets and find that north american natural gas prices are largely defined by the u s henry hub price trends

job exit behavior of older men a dynamic programming model of job exit behavior and retirement is constructed and estimated using the method of simulated moments the model and estimation method allow for both unobserved individual effects and unobserved job specific match effects the model is estimated using two different assumptions about individual discount factors first a static model with the discount factor equal to zero is estimated then a dynamic model with the discount factor equal to 95 is estimated in both models it is found that bad health age and lack of education increase the probability of retirement the dynamic model performs better than the static model and has different implications for retirement behavior the job specific effects are an important source of unobserved heterogeneity copyright 1991 by the econometric society

modeling multiattribute utility risk and belief dynamics for new consumer durable brand choice this paper proposes a brand choice model to aid in the prelaunch management of a new consumer durable entry in an existing category the model contributes to theory by integrating the critical phenomena of multiattribute preference risk and dynamics in an individual level expected utility framework the integration is based on established theoretical constructs in utility bayesian decision analysis and discrete choice theory measurement and estimation procedures are presented an application is described and the managerial relevance of this work as a planning and forecasting tool is examined

oil prices and stock market in china a sector analysis using panel cointegration with multiple breaks this paper investigates the relationship between oil prices and the chinese stock market at the sector level in a panel cointegration and granger causality framework the major sectors in china are studied using data collected from july 2001 to december 2010 when the effects of cross sectional dependence and multiple structural breaks are taken into account the panel cointegration relationship between oil prices and stock prices is confirmed at the disaggregated sector level the results indicate that there is some evidence of structural breaks in the interaction between oil prices and chinese sectoral stocks the long run estimates suggest that the real oil price has a positive effect on sectoral stocks in the long run the granger causality tests demonstrate a unidirectional short run granger causality relationship running from oil prices and sectoral stocks to the interest rate for 2001 07 2005 10 there is also a unidirectional long run granger causality running from sectoral stocks to the interest rate for 2001 07 2005 10 and 2005 12 2007 06 however the long run granger causality is bidirectional between oil prices the interest rate and sectoral stocks for 2007 08 2008 11 and 2009 01 2010 12 meanwhile the short run granger causality is also bidirectional between the interest rate and oil prices

on dynamic linkages of the state natural gas markets in the usa evidence from an empirical spatio temporal network quantile analysis we empirically investigate the dynamic linkages of the state level natural gas markets in the usa by introducing a novel spatio temporal network quantile econometric model we can estimate the dynamic cross state dependency or market integration of the state level natural gas markets and the dependence of the state natural gas markets on the national crude oil market at different quantile levels we find that significant local dynamic neighbouring market integrations exist in the natural gas markets not only in the eastern and central states as evidenced in the literature but also in some western and southwest states our results also show that there are significant linkages of the state level natural gas markets to the national crude oil market through the lagged price shocks and the long run price equilibrium with the national gas markets under varying price shock propagations the results can help local government and energy users to mitigate the negative impacts from the expected or unexpected fluctuations in the oil and the neighbouring natural gas markets which will enact appropriate state level price discovery and energy policy and investment decision makings

the influential factors of china s regional energy intensity and its spatial linkages 1988 2007 abstract a large amount of literature on china s energy intensity seldom considers the regional differences of energy intensity inside china and the spatial effects based on spatial statistics methods this paper explores the regional imbalance of china s provincial energy intensity and the spatially correlation of energy intensity among provinces using spatial panel data models this paper finds that gdp per capita transportation infrastructure the level of marketization and scientific and technological input significantly reduce the energy intensity the ratio of heavy industries to total industries and the ratio of coal consumption to total energy consumption significantly expand the energy intensity meanwhile the coefficient of the ratio of export to gdp is not significant then the spillover and convergence of china s regional energy intensity have been tested the results indicate that the spillover effect between the eastern and western china is remarkable and there exist absolute convergence of provincial energy intensity moreover gdp per capita transportation infrastructure the level of marketization and scientific technological input are conducive to conditional convergence after the spatial effects are controlled according to the empirical results this paper proposes some policy suggestions on reducing china s energy intensity

anomalies in intertemporal choice evidence and an interpretation research on decision making under uncertainly has been strongly influenced by the documentation of numerous expected utility eu anomalies behaviors that violate the expected utility axioms the relative lack of progress on the closely related topic of intertemporal choice is partly due to the absence of an analogous set of discounted utility du anomalies we enumerate a set of du anomalies analogous to the eu anomalies and propose a model that accounts for the anomalies as well as other intertemporal choice phenomena incompatible with du we discuss implications for savings behavior estimation of discount rates and choice framing effects

price pass through in us gasoline markets abstract using an error correction model in a seemingly unrelated regression framework we examine regional differences in the price pass through from crude oil spot prices to retail gasoline pump prices we show that regional differences do exist both in the short run and long run adjustment processes depending on the region a 1 per barrel change in crude oil prices is correlated with a change in retail gasoline pump prices somewhere between 2 36 and 2 58 we examine the presence of the rockets and feathers phenomenon using both single period coefficient tests and multiple period impulse response functions

cross border constraints institutional changes and integration of the dutch german gas market we evaluate the contribution of nine institutional changes to the integration of the dutch and german gas markets we analyse this contribution through the impact of bottlenecks in the cross border infrastructure on the absolute value of cross border price differences in the period 2007 2013 the absolute value of the differences in price levels between the dutch and the german ncg market decreased indicating more integration we find evidence that the improved connections within the german networks as well as between the dutch and the german network contributed to this the strengthening of the connections with the uk market and the russian supply however had a negative effect on market integration between the dutch and the german ncg market the liquidity enhancing changes within the dutch market had a negligible effect

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

on the dynamics of gasoline market integration in the united states evidence from a pair wise approach abstract this paper employs a pair wise approach to examine regional integration in the us gasoline market using gasoline price data at the state level over a period of more than two decades we find strong support for the view that the law of one price holds in regional markets as more than 80 of bivariate price differentials turn out to be stationary furthermore we uncover evidence that the speed at which prices converge to the long run equilibrium depends upon the distance between states asymmetries are also present in this relationship our findings suggest that the more similar are states with respect to taxation gas stations and refining capacity the faster is the speed of adjustment towards the long run equilibrium

a micro econometric analysis of risk aversion and the decision to self insure this study estimates a von neumann morgenstern utility function using market data and micro econometric methods we investigate the decision whether to purchase insurance against the risk of telephone line trouble in the home using the choices of approximately 10 000 residential customers we determine the shape of the utility function and the degree of risk aversion we find that risk aversion varies systematically in the population and varies with the level of income and that the observed choice behavior is consistent with expected utility maximization we are unable to detect the presence of ambiguity effects or over weighting of low probability events

measuring the value of children by sex and age using a dynamic programming model one of the important determinants of fertility is the value of children as perceived by parents this paper estimates gender and age specific values of children using a dynamic programming model the underlying hypothesis is that observed fertility outcome for any couple is the solution to their life cycle optimization problem findings from the korean data indicate that children impose net costs when young and net benefits when old both the early costs and the later benefits are larger for male children than female children and for better educated women than lowereducated women simulation studies which use estimated values of children suggest that a decrease in the costs of abortion and pre natal gender screening tests may raise the male birth ratio through gender selective abortions

dependence and extreme dependence of crude oil and natural gas prices with applications to risk management abstract in this article we show how the copula garch approach can be appropriately used to investigate the conditional dependence structure between the crude oil and natural gas markets as well as to derive implications for portfolio risk management in extreme economic conditions using daily price data from january 1997 to october 2011 our in sample results show evidence of asymmetric dependence between the two markets the crude oil and gas markets tend to comove closely together during bullish periods but not at all during bearish periods moreover taking the extreme comovement into account leads to an improvement in the accuracy of the out of sample value at risk forecasts

heterogeneity in risky choice behaviour in a broad population we analyse risk preferences using an experiment with real incentives in a representative sample of 1 422 dutch respondents our econometric model incorporates four structural parameters that vary with observed and unobserved characteristics utility curvature loss aversion preferences towards the timing of uncertainty resolution and the propensity to choose randomly rather than on the basis of preferences we find that all four parameters contribute to explaining choice behaviour the structural parameters are significantly associated with socio economic variables but it is essential to incorporate unobserved heterogeneity in each of them to match the rich variety of choice patterns in the data

the role of globalization in energy consumption a quantile cointegrating regression approach abstract this paper examines the quantile behavior of the relationship between the nuances of globalization and energy consumption while incorporating capital and economic growth in case of top two most globalized countries netherlands and ireland by employing the recently developed quantile autoregressive distributed lag qardl model of cho et al 2015 the model is estimated using quarterly data over the period 1970q1 2015q4 the results indicate that the relationship is quantile dependent which may reveal misleading results in studies using traditional analyses that address the averages the wald test confirms our findings by rejecting the null hypothesis of parameter constancy for both the netherlands and ireland the changes in energy consumption are more responsive to past levels and past changes in globalization than the adjustment provided by the error correction method ecm interestingly the findings indicate that globalization is positively correlated with energy consumption in the long term for the two countries furthermore globalization shares a robust long term relationship with energy consumption energy consumption is strongly related to globalization in the long term however the short term effects of globalization on energy demand are limited for those countries important policy implications are then suggested based on the empirical results

integration of physical and futures prices in the us natural gas market this paper examines the integration between the prices of different types of physical upstream end use and futures contracts of natural gas in the us for the period of june 1990 dec 2014 to examine the equilibrium relationship between physical and futures prices several cointegration tests are applied the study finds that a futures prices are cointegrated with wellhead power industrial and citygate prices b ng1 futures prices granger cause all physical prices c upstream physical prices granger cause futures prices d shocks to wellhead prices are the only ones among physical prices with persistent long term effects e shocks to futures prices have persistent effects on all physical prices f futures contracts with a longer time to maturity explain a larger portion of commercial gas price variations and g commercial and residential prices show different behavior compared to other physical prices in multiple tests

relationships between oil price shocks and stock market an empirical analysis from china this paper investigates the interactive relationships between oil price shocks and chinese stock market using multivariate vector auto regression oil price shocks do not show statistically significant impact on the real stock returns of most chinese stock market indices except for manufacturing index and some oil companies some important oil price shocks depress oil company stock prices increase in oil volatility may increase the speculations in mining index and petrochemicals index which raise their stock returns both the world oil price shocks and china oil price shocks can explain much more than interest rates for manufacturing index

an estimable dynamic stochastic model of fertility and child mortality this paper develops a finite horizon dynamic stochastic model of discrete choice with respect to life cycle fertility within an environment where infant survival is uncertain the model yields implications for the number timing and spacing of children a tractable estimation method is developed for the linear constraint quadratic utility case that is intimately tied to the dynamic optimization problem and the method is applied to malaysian household data estimation is based on integrating the numerical solution of the dynamic programming model of behavior with a maximum likelihood procedure

another look on the relationships between oil prices and energy prices this paper employs the quantile autoregressive distributed lags qardl model developed recently by cho et al 2015 to investigate the pass through of oil prices to a set of energy prices this approach allows analyzing simultaneously short term connections and long run cointegrating relationships across a range of quantiles it also provides insights on the short run predictive power of oil prices in predicting energy prices while accounting for the cointegration between oil prices and each of the considered energy prices in low medium and high quantiles two key findings emerge from this paper first all considered energy prices are shown to be cointegrated with oil price across quantiles meaning that a stationaryequilibriumrelationship exists between single energy price and oil price second we find evidence that oil price is a significant predictor of individual petroleum products prices and natural gas in the short run this paper has important policy implications for forecasters energy policy makers and portfolio managers

incorporating a stochastic element into decision theories abstract recent papers by harless and camerer 1994 and hey and orme 1994 have employed two rather different models of errors in decision making under uncertainty the present paper develops a third approach and shows how different stochastic specifications of the same deterministic core theory may generate very different and sometimes surprising hypotheses

discrimination in a deprived neighbourhood an artefactual field experiment abstract we present a field experiment designed to examine the discriminatory motives of an understudied demographic the poorest people in england subjects are first asked to divide 10 between two strangers and then play a 10 dictator game with another stranger we subtly vary the ethnicity of the receivers by providing subjects with surnames randomly drawn from the electoral register including treatments that allow us to parse behaviour into either in group favouritism or out group negativity an important behavioural distinction that is typically overlooked in the discrimination literature our results suggest that the observed discriminatory attitudes are the result of out group negativity rather than in group favouritism we advance the literature on discrimination through the estimation of a structural model of group contingent social preferences which we exploit to perform counterfactual simulations our results provide insights into the behaviour of this unique demographic and provide a rationale for why they may support discriminatory policies in their voting behaviour

temporal stability of time preferences abstract the preferences assumed to govern intertemporal trade offs are generally considered to be stable economic primitives though evidence on this stability is notably lacking we present evidence from a large field study conducted over two years with around 1 400 individuals using incentivized intertemporal choice experiments aggregate choice profiles and corresponding estimates of discount parameters are unchanged over the two years and individual correlations through time are high by existing standards however some individuals show signs of instability by linking experimental measures to administrative tax records we showthat identified instability is uncorrelated with both levels and changes in sociodemographic variables

risk preferences in the psid individual imputations and family covariation unobserved heterogeneity greatly complicates empirical analysis in economics unobserved heterogeneity in preferences is particularly troublesome because there are so few theoretical restrictions on the distribution of preference parameters in the population therefore despite potential pitfalls we have developed direct survey measures of preference parameters based on hypothetical choices and appropriate econometric techniques for dealing with the inevitable measurement error in any such measures our work on survey measures of preference parameters focuses on risk tolerance robert b barsky f thomas juster kimball and shapiro 1997 bjks hereafter and kimball claudia r sahm and shapiro 2008 kss hereafter time preference and the elasticity of intertemporal substitution bjks and labor supply elasticities kimball and shapiro 2008

balancing the desire for privacy against the desire to hedge risk abstract an individual s desire to hedge risks as implied by risk aversion is accepted as a normative paradigm and documented as valid descriptively insurance markets satisfy this desire wherein the individual s aversion to bear risk allows firms to demand a markup on the expected value of the insured loss insurance firms incrementally introduce digital monitoring technology into their policies making policyholder s behavior transparent we analyze the implications of such transparency insurance contracts for willingness to pay in a framed behavioral experiment and find that the loss of privacy in such contracts marginalizes the potential profits that insurers could earn on their policies in particular our results suggest that the reduction in willingness to pay from introducing digital monitoring is in the range of 25 50 of the expected loss while an absolute as opposed to a relative monetary valuation concept of privacy appears more likely to explain our data we cannot clearly confirm this conjecture empirically heterogeneous treatment effects for risk preferences are suggestive for increasing utility losses from transparency policies with increasing risk aversion but we also observe indications of nonlinearities in this relationship probability misperception is a salient characteristic of our experimental population suggesting that profitability is less threatened under low frequency risks as opposed to high frequency risks

cognitive imprecision and small stakes risk aversion observed choices between risky lotteries are difficult to reconcile with expected utility maximization both because subjects appear to be too risk averse with regard to small gambles for this to be explained by diminishing marginal utility of wealth as stressed by rabin 2000 and because subjects responses involve a random element we propose a unified explanation for both anomalies similar to the explanation given for related phenomena in the case of perceptual judgments they result from judgments based on imprecise and noisy mental representations of the decision situation in this model risk aversion results from a sort of perceptual bias but one that represents an optimal decision rule given the limitations of the mental representation of the situation we propose a quantitative model of the noisy mental representation of simple lotteries based on other evidence regarding numerical cognition and test its ability to explain the choice frequencies that we observe in a laboratory experiment

revealed preference rational inattention and costly information acquisition we develop a revealed preference test for optimal acquisition of costly information the test encompasses models of rational inattention sequential signal processing and search we provide limits on the extent to which attention costs can be recovered from choice data we experimentally elicit state dependent stochastic choice data of the form the tests require in simple cases tests con rm that subjects adjust their attention in response to incentives as the theory dictates

price interactions and discovery among natural gas spot markets in north america recent advances in modeling causal flows with time series analysis are used to study relationships among eight north american natural gas spot market prices results indicate that the canadian and us natural gas market is a single highly integrated market further results indicate that price discovery tends to reflect both regions of excess demand and supply across north america malin hub in oregon chicago hub illinois waha texas and henry hub louisiana region are the most important markets for price discovery opal hub in wyoming is an information sink in contemporaneous time receiving price information but passing on no price information aeco hub in alberta canada receives price signals from several markets and passes on information to opal and the oklahoma region

estimation of value at risk for energy commodities via fat tailed garch models the choice of an appropriate distribution for return innovations is important in var applications owing to its ability to directly affect the estimation quality of the required quantiles this study investigates the influence of fat tailed innovation process on the performance of one day ahead var estimates using three garch models garch n garch t and garch ht daily spot prices of five energy commodities wti crude oil brent crude oil heating oil 2 propane and new york harbor conventional gasoline regular are used to compare the accuracy and efficiency of the var models empirical results suggest that for asset returns that exhibit leptokurtic and fat tailed features the var estimates generated by the garch ht models have good accuracy at both low and high confidence levels additionally mrsb indicates that the garch ht model is more efficient than alternatives for most cases at high confidence levels these findings suggest that the heavy tailed distribution is more suitable for energy commodities particularly var calculation

oil price shocks stock market economic activity and employment in greece abstract using a multivariate vector autoregression var approach this paper attempts to shed light into the dynamic relationship among oil prices real stock prices interest rates real economic activity and employment for greece the empirical evidence suggests that oil price changes affect real economic activity and employment oil prices are important in explaining stock price movements stock returns do not lead to changes in real activity and employment

is there a politically optimal level of judicial independence independent courts render current policy more durable by raising the cost of future policy changes but may also engage in policy making of their own this paper asks is there an optimal level of judicial independence from the perspective of incumbent officials in the other branches to answer that question the paper develops a model of strategic institutional choice and tests it on the judicial institutions of the american states consistent with the model s predictions the most independenceenhancing institutions are found where political competition between rival parties is tightest and differences between party platforms are largest

sources of inefficiency in a representative democracy a dynamic analysis this paper studies the efficiency of policy choice in representative democracies it extends the citizen candidate model of democratic policy making to a dynamic environment equilibrium policy choices are shown to be efficient in the sense that in each period conditional on future policies being selected through the democratic process there exists no alternative current policy choices which can raise the expected utilities of all citizens however policies that would be declared efficient by standard economic criteria are not necessarily adopted in political equilibrium the paper argues that these divergencies are legitimately viewed as politicalfailures

how social security and medicare affect retirement behavior in a world of incomplete markets this paper provides an empirical analysis of how the u s social security and medicare insurance system affect the labor supply of older males in the presence of incomplete markets for loans annuities and health insurance we estimate a detailed dynamic programming dp model of the joint labor supply and social security acceptance decision focusing on a sample of males in the low to middle income brackets whose only pension is social security the dp model delivers a rich set of predictions about the dynamics of retirement behavior and comparisons of actual vs predicted behavior show that the dp model is able to account for wide variety of phenomena observed in the data including the pronounced peaks in the distribution of retirement ages at 62 and 65 the ages of early and normal eligibility for social security benefits respectively we identify a significant fraction of health insurance constrained individuals who have no form of retiree health insurance other than medicare and who can only obtain fairly priced private health insurance via their employer s group health plan the combination of significant individual risk aversion and a long tailed pareto distribution of health care expenditures implies that there is a significant security value for these individuals to remain employed until they are eligible for medicare coverage at age 65 overall our model suggests that a number of heretofore puzzling aspects of retirement behavior can be viewed as artifacts of particular details of the social security rules whose incentive effects are especially strong for lower income individuals and those who do not have access to fairly priced loans annuities and health insurance

bidirectional causality in oil and gas markets abstract do events in the natural gas market cause repercussions in the crude oil market this paper studies linkages between the two markets using high frequency intraday oil and gas futures prices by analyzing the effect of weekly oil and gas inventory announcements on price volatility we show a bidirectional causal relationship both inventory gluts and shortages have a cross commodity effect on price volatility not only for the next month nearby futures contract but also for the following six months contracts

deal or no deal decision making under risk in a large payoff game show we examine the risky choices of contestants in the popular tv game show deal or no deal and related classroom experiments contrary to the traditional view of expected utility theory the choices can be explained in large part by previous outcomes experienced during the game risk aversion decreases after earlier expectations have been shattered by unfavorable outcomes or surpassed by favorable outcomes our results point to reference dependent choice theories such as prospect theory and suggest that path dependence is relevant even when the choice problems are simple and well defined and when large real monetary amounts are at stake

estimating risk preferences from deductible choice we develop a structural econometric model to estimate risk preferences from data on deductible choices in auto insurance contracts we account for adverse selection by modeling unobserved heterogeneity in both risk claim rate and risk aversion we find large and skewed heterogeneity in risk attitudes in addition women are more risk averse than men risk aversion exhibits a u shape with respect to age and proxies for income and wealth are positively associated with absolute risk aversion finally unobserved heterogeneity in risk aversion is greater than that of risk and as we illustrate has important implications for insurance pricing

downstream integration of natural gas prices across u s states evidence from deregulation regime shifts abstract this study examines the cointegration between city gate and residential retail natural gas prices at the u s state level using monthly data from 1989 1 to 2012 12 both price series are tested for unit roots using the harris 2009 procedure to endogenously identify structural breaks related to deregulation associated with ferc order no 636 the endogenously determined structural breaks are then used in the saikkonen and lutkepohl 2000a 2000b 2000c maximum likelihood approach to test cointegration of the series tests show cointegration of the two price series for all 50 states estimates of the long run relationship in the pre and post structural break periods result in mixed evidence about the degree of perfect market integration induced by deregulation although the magnitude and variation of parameters indicate increased integration a vector error correction model is used to infer causality in the short and long run dynamics for the pre and post structural break periods for each state the post break period exhibits bidirectional causality in both short and long run dynamics for all states an indication of greater downstream integration of the natural gas market

higher order risk attitudes demographics and financial decisions we conduct an experiment to study the prevalence of the higher order risk attitudes of prudence and temperance in a large demographically representative sample as well as in a sample of undergraduate students participants make pairwise choices between lotteries of the form proposed by eeckhoudt and schlesinger 2006 the choices in these lotteries isolate prudent from imprudent and temperate from intemperate behavior we relate individuals risk aversion prudence and temperance levels to demographics and financial decisions we observe that the majority of individuals decisions are consistent with risk aversion prudence and temperance in both the student and the demographically representative sample an individual s level of prudence is predictive of his wealth saving and borrowing behavior outside of the experiment while temperance predicts the riskiness of portfolio choices our findings suggest that the coefficient of relative prudence for a representative individual is approximately equal to two

the personal discount rate evidence from military downsizing programs the military drawdown program of the early 1990s provides an opportunity to obtain estimates of personal discount rates based on large numbers of people making real choices involving large sums the program offered over 65 000 separatees the choice between an annuity and a lump sum payment despite break even discount rates exceeding 17 percent most of the separatees selected the lump sum saving taxpayers 1 7 billion in separation costs estimates of discount rates range from 0 to over 30 percent and vary with education age race sex number of dependents ability test score and the size of payment

oil price movements and stock markets revisited a case of sector stock price indexes in the g 7 countries abstract applying sector stock prices and oil prices in 1991 01 2009 05 from the g7 countries we find oil price shocks do not significantly impact the composite index in each country however stock price changes in germany the uk and the us were found to lead oil price changes as for the interaction between oil price changes and sector stock price changes we find short run negative causal relationships 4 of 7 sector index returns were impacted by oil price changes in germany 2 in the us and 1 in france in particular stock returns of information technology and consumer staples sectors were found to be impacted most by oil price shocks followed by financial utilities and transportation sectors in terms of causality from sector stock price changes to oil price changes we find stock price changes lead oil price changes in 8 of 9 sectors in germany most in the g7 countries followed by the uk italy france canada and the us no such a causal relationship however is found for japan with respect to specific sectors stock price changes in consumer staples and materials sectors were impacted most significantly by oil price changes followed by transportation financial energy health care industrials utilities information technology and telecommunication sectors with the exception of consumer discretionary sector in addition short term stock price changes are found to lead positively oil price changes