commodity price responses to monetary policy surprises commodity prices are important both as a source of shocks and for the propagation of shocks originating elsewhere in the economy many vector autoregression var studies estimate a gradual response of commodity prices to monetary policy shocks exploiting information in high frequency financial market data and using the methods of rigobon and sack 2004 i find that a 10 basis point surprise change in interest rates causes commodity prices to fall immediately by about 0 5 this is about two thirds of the estimated response of the s p500 and about five times larger than the response in a var 12 months after the shock metals prices tend to respond more than agricultural commodities the point estimate for oil prices is similar to other commodities but is estimated imprecisely

do religious norms influence corporate debt financing previous studies substantiate that religious social norms influence individual and organizational decisions using debt financing settings we examine whether a firm s religious environment influences outside parties perceptions in contracting with the firm we document that firms located in the more religious areas use less debt financing and receive better credit ratings bond investors require lower yields and impose fewer covenants on such firms using the 2002 revelation of sex abuse by catholic priests as an exogenous shock we verify that these findings are not driven by endogeneity issues our study highlights the role of social norms in financial transactions

energy inflation and house price corrections we analyze empirically the role played by energy inflation as a determinant of downward corrections in house prices using a dataset for 18 oecd economies spanning the last four decades we identify periods of downward house price adjustment and estimate conditional logit models to measure the effect of energy inflation on the probability of these house price corrections after controlling for other relevant macroeconomic variables our results give strong evidence that increases in energy price inflation raise the probability of such corrective periods taking place this phenomenon could be explained by various channels through the adverse effects of energy prices on economic activity and income reducing the demand for housing through the particular impact on construction and operation costs and their effects on the supply and demand of housing through the reaction of monetary policy on inflation withdrawing liquidity and further reducing demand through improving attractiveness of commodity versus housing investment on asset markets or through a lagging impact of common factors on both variables such as economic growth our results contribute to the understanding of the pass through of oil price shocks to financial markets and imply that energy price inflation should serve as a leading indicator for the analysis of macro financial risks

evaluating welfare reform in the united states this paper reviews the economic literature on welfare reform over the 1990s a brief summary of the policy changes is followed by a discussion of the methodological techniques that analyze the effects of these changes on outcomes the paper then critically reviews the econometric and experimental literature on caseload changes labor force changes poverty and income changes and family formation changes a growing body of evidence suggests that recent policy changes have influenced economic behavior and well being one particular set of new style welfare programs seems to show especially promising results with significantly increased work and earnings and reduced poverty

what determines the duration of a fiscal consolidation program abstract this paper assesses the determinants of the length of fiscal consolidation using annual data for 17 industrial countries over the period 1978 2009 relying on a narrative approach to identify fiscal consolidation episodes we show that fiscal variables such as the budget deficit and the level of public debt and economic factors such as the degree of openness the inflation rate the interest rate and per capita gdp are crucial for the fiscal consolidation process additionally we employ duration analysis over a set of consolidation spells and find that as time goes by the likelihood of a fiscal consolidation ending is higher however the hazard function is not monotonic indeed it increases until the eighth or ninth year and starts decreasing afterwards we also find that i spending driven consolidations are shorter than tax driven consolidations ii both types of consolidation are longer in non european countries than for european countries and iii the size of the consolidation program in percentage of gdp does not significantly affect duration all in all our results support the importance of cuts in government spending as a way of bringing economies into a sustainable path for public debt moreover they highlight the role played by a fiscal framework that imposes discipline in governments as a device to credibly shorten the length of fiscal consolidation episodes

us monetary policy and sectoral commodity prices abstract using a structural var svar model we examine the effects of the monetary policy of the united states on sectoral commodity prices including the non fuel commodity prices food prices beverage prices prices of agricultural raw materials prices of metals and prices of fuel energy commodities and macroeconomic activity the empirical evidence suggests that a u s monetary contraction leads to an immediate rise in the broad commodity price index which possibly reflects an aggregation bias greater expected inflation and speculation high production costs or some overshooting due to overreactions then the response erodes after six quarters as the positive interest rate shock vanishes and higher interest rates and liquidity drainage take traction despite this the aggregate price response masks the existence of significant heterogeneity in the price responses of the different types of commodity sectors more specifically a positive interest rate shock leads to i an initial pop in the price returns of the non fuel commodities which later reverses path and becomes negative as in the case of the prices of agricultural raw materials ii a positive and persistent rise in the volatile food prices iii a fall in the beverage prices and iv a persistent reduction in the prices of metals and the prices of energy prices our results also remain globally intact with respect to alternative specifications and identification schemes as well as to unconventional monetary policy effects similar results are also found when commodity futures prices are used we conclude that policymakers should recognize the source of sector inflation before embarking on contractionary monetary policy the design of core inflation targeting is also preferable to headline inflation targeting

effects of speculation and interest rates in a carry trade model of commodity prices abstract the paper presents and estimates a model of the prices of oil and other storable commodities a model that can be characterized as reflecting the carry trade it focuses on speculative factors here defined as the trade off between interest rates on the one hand and market participants expectations of future price changes on the other hand it goes beyond past research by bringing to bear new data sources survey data to measure expectations of future changes in commodity prices and options data to measure perceptions of risk some evidence is found of a negative effect of interest rates on the demand for inventories and thereby on commodity prices and positive effects of expected future price gains on inventory demand and thereby on today s commodity prices

religiosity and earnings management international evidence from the banking industry using an international sample of banks we study how differences in religiosity across countries affect earnings management given that religiosity is a major source of morality and ethical behavior it may reduce excessive risk taking and act as deterrence for earnings manipulations therefore we predict lower earnings management in societies that have higher religiosity consistent with expectations our cross country analysis indicates that religiosity is negatively related to income increasing earnings management for loss avoidance and just meeting or beating prior year s earnings we also find that religiosity reduces income increasing earnings management through abnormal loan loss provisions in additional tests we document that religiosity increases the information value of bank earnings with both earnings persistence and cash flow predictability being enhanced by higher religiosity for the crisis period analysis i e 2007 2009 our evidence shows that banks in countries with higher religiosity exhibit lower probability of reporting asset deterioration and lower probability of having poor performance

the effects of monetary policy in a small open economy the case of portugal in this article i analyse the macroeconomic effects of monetary policy on the portuguese economy i show that a positive interest rate shock leads to i a contraction of real gdp and a substantial increase of the unemployment rate ii a quick fall in the commodity price and a gradual decrease of the price level and iii a downward correction of the stock price index it also produces a short lived liquidity effect and helps explain the negative comovement between bonds and stocks in addition i find evidence suggesting the existence of a money demand function characterized by small output and interest rate elasticities by its turn the central bank s policy rule follows closely the dynamics of the money markets finally both the real gdp and the price level in portugal would have been higher during almost the entire sample period if there were no monetary policy surprises

accounting for the decline in afdc caseloads welfare reform or the economy we use state level monthly panel data to assess the relative contributions of the macroeconomy and welfare reform in accounting for the 1993 96 decline in aid to families with dependent children afdc caseloads our results suggest that the decline in per capita afdc caseloads is attributable largely to the economic conditions in states and not to waivers from federal welfare policies nationwide we attribute 66 percent of the decline to the macroeconomy however we do find substantial heterogeneity in the impact and timing of alternative waivers on afdc caseloads states with waivers impacting parental responsibilities experienced greater caseload declines than states with waivers that made work more attractive overall our model predicts that had it not been for the influence of economic factors welfare reform would not have led to any decrease in aggregate caseloads

liquidity and the dynamic pattern of asset price adjustment a global view abstract global liquidity expansion has been very dynamic since 2001 contrary to conventional wisdom high money growth rates have not coincided with a concurrent rise in goods prices at the same time however asset prices have increased sharply significantly outpacing the subdued development in consumer prices we investigate the interactions between money and goods and asset prices at the global level using aggregated data for major oecd countries our var results support the view that different price elasticities on asset and goods markets explain the observed relative price change between asset classes and consumer goods

spillovers from the oil sector to the housing market cycle we assess the spillovers from the oil sector to the housing market cycle using quarterly data for 20 net oil exporting and importing industrial countries and employing continuous and discrete time duration models we do not uncover a statistically significant difference in the average duration of booms and normal times in the housing markets of those net oil importers and net oil exporters similarly the degree of exposure to commodity price fluctuations does not seem to significantly affect the housing market cycle however we find that housing booms are shorter when oil prices increase than housing busts when oil prices decrease we also show that the net oil importers are more vulnerable to protracted housing slump episodes than the net oil exporters

why are crude oil prices high when global activity is weak abstract there have been substantial increases in liquidity in recent years and real oil prices have almost returned to the high levels achieved before the global financial crisis unanticipated increases in global real m2 led to statistically significant increases in real oil prices the historical impact of global real m2 on the real price of crude oil is important in the recovery of oil prices over 2009 to 2011

markets and institutions in financial intermediation national characteristics as determinants abstract given the importance of financial intermediation and the rise of globalization there is little prior research on how national preferences for financial intermediation markets versus institutions are determined by cultural legal and other national characteristics using panel analysis for data on a recent 8 year period for 30 countries this paper documents that national preferences for market financing increase with political stability societal openness economic inequality and equity market concentration and decreases with regulatory quality and ambiguity aversion we confirm with robustness tests that our result for regulatory quality is independent of differences in national wealth and that our result for political stability is independent of both wealth and political legitimacy these results should be of much interest to managers scholars regulators and policy makers

the role of commodity prices in formulating monetary policy commodity prices often provide signals about the future direction of the economy especially inflation it has been argued therefore that the information in commodity prices should be used in formulating monetary policy this paper investigates whether a systematic monetary policy response to contemporaneous commodity price shocks would have helped stabilize the postwar u s economy the authors findings suggest that responding to unexpected commodity price movements would have lowered the average rate of inflation and reduced its variability while the path of real growth would be relatively unchanged copyright 1991 by mit press

metal volatility in presence of oil and interest rate shocks abstract this study uses three two factor volatility models of the garch family to examine the volatility behavior of three strategic commodities gold silver and copper in the presence of crude oil and interest rate shocks the results of the standard garch models suggest that gold and silver have almost the same volatility persistence which is greater than that of copper the cgarch estimates indicate that the short run transitory component of volatility converges to zero much faster for copper than for gold and silver in this sequence however the permanent volatility component demonstrates equally strong persistence in the long run for all three metals the egarch results suggest that the leverage effect is present and significant for copper only implying that gold and silver can be good investment in anticipation of bad times past oil shock does not impact all three metals similarly monetary policy and to leaser extent the oil shocks have calming effects on precious metals but not on copper if the t bill rate is used crises such as the 2003 iraq war heighten metal volatility these results have implications for derivatives valuations using gold as a reserve asset risk analysis and for the commodity exporting countries and commodity producing firms

industrial change and wage inequality evidence from the steel industry the empirical analysis in this paper which draws on current population survey data indicates that structural decline in the steel industry during the 1980s markedly affected the distribution of wages both in the industry and in steel producing communities the steelworker wage distribution experienced both a drop in the mean and an increase in the variance becoming very similar to the distribution of wages in other durable goods manufacturing industries declines in steel employment substantially increased wage inequality in steel producing communities even among workers not employed in steel

a nonlinear approach to us gnp a univariate nonlinear model is estimated for us gnp that on many criteria outperforms standard linear models the estimated model is of the threshold autoregressive type and contains evidence of asymmetric effects of shocks over the business cycle in particular the nonlinear model suggests that the post 1945 us economy is significantly more stable than the pre 1945 us economy

do household energy expenditures affect mortgage delinquency rates we postulate a direct role for energy prices in the 2008 financial crisis rising energy prices constrain consumer budgets and thereby raise mortgage delinquency rates this hypothesis is tested by estimating a quarterly cointegrating vector autoregressive cvar model that seeks to quantify the factors that influence the percentage of us mortgages that are 30 to 89 days past due and those that enter foreclosure results identify a long run relationship for the percentage of us mortgages that are 30 to 89 days past due that includes the interest rate on one year adjustable mortgages household expenditures on energy nominal home prices rates of home ownership and the fraction of mortgages 90 days or more past due that enter foreclosure unemployment rates have a short run effect together these variables account for much of the historical variation in the percentage of us mortgages that are 30 to 89 days past due and indicate that the post 2006 rise in this measure of mortgage delinquency is associated with falling home prices an increase in household expenditures on energy and rising unemployment

the macroeconomic effects of fiscal policy we investigate the macroeconomic effects of fiscal policy using a bayesian structural vector autoregression b svar approach we identify fiscal policy shocks via a partial identification scheme but also i include the feedback from government debt ii look at the impact on the composition of output iii assess the effects on asset markets iv use quarterly data and v analyse empirical evidence from the us the uk germany and italy the results show that government spending shocks in general have a small effect on gross domestic product gdp lead to important crowding out effects have a varied impact on housing prices and generate a quick fall in stock prices government revenue shocks generate a mixed effect on housing prices and a small and positive effect on stock prices the empirical evidence also suggests that it is important to explicitly consider the government debt dynamics in the model

oil prices and global factor macroeconomic variables abstract this paper investigates the relationship between oil prices global industrial production prices central bank policy interest rate and monetary aggregate with a global factor augmented error correction model we confirm the following stylized relationships i at global level money industrial production and prices are cointegrated ii positive innovation in global oil price is connected with global interest rate tightening iii positive innovation in global money price level and industrial production is connected with an increase in oil prices iv positive innovations in global interest rate are associated with a decline in oil prices and v the u s euro area and china are the main drivers of global macroeconomic factors

religious beliefs gambling attitudes and financial market outcomes this study investigates whether geographic variation in religion induced gambling norms affects aggregate market outcomes we conjecture that gambling propensity would be stronger in regions with higher concentrations of catholics relative to protestants consistent with our conjecture we show that in regions with higher catholic protestant ratios investors exhibit a stronger propensity to hold lottery type stocks broad based employee stock option plans are more popular the initial day return following an initial public offering is higher and the magnitude of the negative lottery stock premium is larger collectively these results indicate that religion induced gambling attitudes impact investors portfolio choices corporate decisions and stock returns

local natural resources and crime evidence from oil price fluctuations in texas abstract we exploit plausibly exogenous changes in the value of reserves in texas s giant oil fields to determine the impact of crime in texas counties that have reserves texas provides an ideal setting for this research strategy first texas has the largest number of giant oil fields second texas s giant oil fields possess the greatest remaining oil potential third giant oil fields are dispersed throughout the state we find that a 1 increase in the value of oil reserves increases murder by 0 16 robbery by 0 55 and larceny by 0 18 using the estimated elasticities an average increase in the value of oil reserves 26 increase in the value of reserves results in a 4 15 increase in murder rates 8 increase in robbery and 4 7 increase in larceny these effects are not trivial we explore potential mechanisms that could be driving this increase in crime and find that an increase in the value of local oil reserves improves the local economic conditions increases the share of young males and increases the share of individuals residing in group quarters e g temporary worker housing of its county with no effect on the local economic conditions demographic changes or crime rates of adjacent counties

monetary policy shocks and the dynamics of agricultural commodity prices evidence from structural and factor augmented var analyses fluctuation in commodity prices is a significant and timely issue to be studied this study is to examine the impact of monetary policy and other macroeconomic shocks on the dynamics of agricultural commodity prices the major contributions of this study are twofold first unlike other studies that use indexes this study analyzes the commodities individually affording the inclusion of commodity specific fundamentals such as the level of inventory an important determinant of commodity price in a structural var framework second it exploits a rich data set of agricultural commodity prices which includes commodities that are usually overlooked in the literature and extracts a common factor using the dynamic factor model to understand the extent of comovement of the prices and to gauge the extent to which macroeconomic shocks drive the comovement in a factor augmented var favar framework the findings show that monetary policy global economic conditions and the u s dollar exchange rates play an important role in the dynamics of agricultural commodity prices

local labor markets and welfare spells do demand conditions matter this paper examines the impact of changes in labor market conditions on participation in the aid to families with dependent children afdc program in california transitions off welfare and transi

ethnic diversity and economic development abstract this paper analyzes the role that different indices and dimensions of ethnicity play in the process of economic development firstly we discuss the advantages and disadvantages of alternative data sources for the construction of indices of religious and ethnic heterogeneity secondly we compare the index of fractionalization and the index of polarization we argue that an index of the family of discrete polarization measures is the adequate indicator to measure potential conflict we find that ethnic religious polarization has a large and negative effect on economic development through the reduction of investment and the increase of government consumption and the probability of a civil conflict

earthly reward to the religious religiosity and the costs of public and private debt we document that a firm s culture specifically its religiosity affects its cost of debt firms in higher religiosity counties have higher credit ratings and lower debt costs the impact of religiosity is stronger for firms with greater information asymmetry and during recessions further religiosity has additional explanatory power for the cost of bank loans but not the cost of public bonds beyond its impact through ratings this supports the argument that banks have superior abilities in pricing soft information such as corporate culture finally the impact of religiosity is stronger when the lender is a small bank

monetary policy and food inflation in south africa a quantile regression analysis abstract although optimal monetary policy stabilizes food inflation theoretically empirical studies remain limited not only in the context of volumes and the estimation approaches but are focused on selected advanced and emerging countries to the neglect of africa where poverty and dominance of food in the consumption basket are more pronounced we provide empirical evidence in the context of south africa using quantile regressions rising food prices are destabilized even further by restrictive monetary policy a finding that has ramifications for inflation targeting especially given that a quarter of the country s population is food poor

religiosity and the cost of debt abstract in a cross country setting we document that stronger religiosity is associated with lower loan interest spread in addition we show that this negative association is more pronounced in countries with weaker creditor rights suggesting that religious values play a more significant role in constraining opportunistic behavior in a weaker legal environment our analysis reveals that stronger religiosity is also related to other favorable terms in loan contracting such as larger facility amount use of accounting based performance pricing and lower upfront fee corroborating our cross country findings we also show that in the u s setting firms in regions with stronger religiosity enjoy lower loan interest spread our study contributes to understanding the important role religiosity plays in debt financing

the impact of uncertainty shocks on the volatility of commodity prices in this paper we empirically examine the impact of uncertainty shocks on the volatility of commodity prices using several alternative measures of economic uncertainty for the u s we estimate their effects on commodity price volatility through var analysis we find that the latent uncertainty shocks have the most significant impact on commodity price volatility when compared to observable measures of economic uncertainty in specific our results show that the unobservable economic uncertainty measures of jurado et al 2015 have a significant and long lasting positive effect on the volatility of commodity prices our findings indicate that a positive shock in unobservable macroeconomic and financial uncertainty leads to a persistent increase in the volatility of the broad commodity market index and of individual commodity prices with the macroeconomic effect being more significant finally we show that the impact is stronger in energy commodities compared to agricultural and metals markets

interindustry variation in the costs of job displacement job displacement entails a substantial wage reduction for most displaced workers we show that the mean reduction the tenure profile of reductions and the experience profile of reductions all vary substantially across industries we then link this interindustry variation to analogous variation in firm size unionization wage levels and the incidence of employer provided training while these industry characteristics explain some of the interindustry variation in mean wage reductions they do not explain variation in the tenure or experience profiles of wage reductions

national culture and corporate debt maturity abstract we investigate the influence of national culture on corporate debt maturity choice based on the framework of williamson we argue that culture located in social embeddedness level can shape contracting environments by serving as an informal constraint that affects human actors incentives and choices in market exchange we therefore expect national culture to be related to debt maturity structure after controlling for legal political financial and economic institutions using hofstede s four cultural dimensions uncertainty avoidance collectivism power distance and masculinity as proxies for culture and using a sample of 114 723 firm years from 40 countries over the 1991 2006 period we find robust evidence that firms located in countries with high uncertainty avoidance high collectivism high power distance and high masculinity tend to use more short term debt we interpret our results as consistent with the view that national culture helps explain cross country variations in the maturity structure of corporate debt

the effect of economic opportunity and family background on adolescent cohabitation on adolescent cohabitation and childbearing among low income blacks this article uses a hazards model permitting continuous covariates and fixed effects to estimate the effect of local employment opportunity and family background on the cohabitation and childbearing of black youths from low income households support is found for w j wilson s hypothesis that employment opportunity encourages the formation of cohabitational unions as well as for the opportunity cost hypothesis that employment opportunity discourages childbearing outside such unions however the latter effect appears to be larger suggesting that the opportunity cost hypothesis is the primary channel through which higher employment rates result in lower rates of illegitimacy among underclass youths

job duration seniority and earnings an important stylized fact about labor markets is that workers with longer seniority with their current employer have higher earnings than other workers with the same total labor market experience this study shows that workers in longer jobs earn more throughout than workers in a series of shorter jobs and that the measured positive cross sectional return seniority is largely a statistical artifact due to the correlation of seniority with an omitted variable representing the quality of the worker the job or the worker employer match the implication is tha t earnings do not in fact rise very much with seniority copyright 1987 by american economic association

the production of housing services and the derived demand for residential energy most studies of residential energy usage treat energy as a final consumer good this study explicitly considers the production of housing service flows from stocks of real estate and flows of operating inputs and considers the demand for residential energy as a factor input the empirical results based upon analysis of a sample of newly constructed dwellings and their occupants are used to evaluate the effects of energy price changes on the price of housing services and on the demand for housing and real estate thus indicating the extent of residential energy conservation in response to higher prices finally the results are used to analyze federal and state tax subsidies for residential energy conservation

is there a role for commodity prices in the design of monetary policy some empirical the consumer price index in the united states follows a non trend stationary stochastic process that describes the index as drifting randomly upward without bound monetarists have long pointed to similar properties in the time series of monetary aggregates as the source of this incipient inflation their solution to this problem is close adherence by the central bank to targets for a monetary or reserve aggregate that correspond to slow and steady monetary growth with any periods of excessive monetary growth subsequently offset this would produce monetary series that are trend stationary if the demand for money is reasonably stable price series would also become trend stationary and for properly chosen targets the price level would be bounded with a mean inflation rate of zero

a new database on the structure and development of the financial sector this article introduces a new database of indicators of financial structure and financial development across countries and over time the database is unique in that it combines a wide variety of indicators that measure the size activity and efficiency of financial intermediaries and markets it improves on previous efforts by presenting data on the public share of commercial banks introducing indicators of the size and activity of nonbank financial institutions and constructing measures of the size of bond and primary equity markets this article introduces a new database the first to provide comprehensive measures of the development structure and performance of the financial sector this database is the first to define and construct indicators of the size and activity of nonbank financial intermediaries such as insurance companies pension funds and non deposit money banks it is also the first to include indicators of the size of primary equity markets and primary and secondary bond markets in constructing the database authors carefully deflate measures and match stock and flow variables

identifying sources of macroeconomic and exchange rate fluctuations in the uk abstract using quarterly data for the period 1985 1 2011 1 this paper uses a stylised open economy structural var model to identify the types of shocks responsible for macroeconomic fluctuations in the uk economy the stylised model implies a set of short run restrictions that allow for the identification of the shocks the importance of each shock is determined by examining forecast error variance decompositions impulse response functions and implied long run or permanent effects the results presented here imply that two shocks called the technology and is shocks are relatively more important than other shocks monetary shocks do exhibit long run monetary neutrality but clearly monetary policy is not responsible for a meaningful share of output and employment fluctuations during the sample period the estimated var and structural disturbances imply that the model accurately reflects the uk economy there is little evidence of a price puzzle or an exchange rate puzzle evidence against uncovered interest rate parity in response to an unexpected monetary policy tightening

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

religion and economy religion has a two way interaction with political economy with religion viewed as a dependent variable a central question is how economic development and political institutions affect religious participation and beliefs with religion viewed as an independent variable a key issue is how religiosity affects individual characteristics such as work ethic honesty and thrift and thereby influences economic performance in this paper we sketch previous studies of this two way interaction but focus on our ongoing quantitative research with international data

oil and the macroeconomy since the 1970s economists have long been intrigued by empirical evidence that suggests that oil price shocks may be closely related to macroeconomic performance this interest dates back to the 1970s the 1970s were a period of growing dependence on imported oil unprecedented disruptions in the global oil market and poor macroeconomic performance in the united states thus it was natural to suspect a causal relationship from oil prices to u s macroeconomic aggregates since then a large body of work has accumulated that purports to establish this link on theoretical grounds and to provide empirical evidence in its support we do not attempt a comprehensive survey of this literature but rather provide an idiosyncratic synthesis of what we view as the key issues in this debate and the insights gained over the last 30 years the timing seems right for such an account although the experience of the 1970s continues to play an important role in discussions of the link between oil and the macroeconomy there have been a number of new oil price shocks since the 1970s notably the 1986 collapse of oil prices and the 2000 boom in oil prices as well as the oil price increases associated with the 1990 1991 gulf war and the 2003 iraq war given this richer case history we are arguably in a better position than two decades ago to distinguish the idiosyncratic features of each oil crisis from the systematic effects increases in oil prices have been held responsible for recessions periods of excessive inflation reduced productivity and lower economic growth in this paper we review the arguments supporting such views first we highlight some of the conceptual difficulties in assigning a central role to oil price shocks in explaining

of religion and redemption evidence from default on islamic loans we compare default rates on conventional and islamic loans using a comprehensive monthly dataset from pakistan that follows more than 150 000 loans over the period 2006 04 to 2008 12 we find robust evidence that the default rate on islamic loans is less than half the default rate on conventional loans islamic loans are less likely to default during ramadan and in big cities if the share of votes to religious political parties increases suggesting that religion either through individual piousness or network effects may play a role in determining loan default

what causes public assistance caseloads to grow this paper uses state panel data to investigate changes in public assistance caseloads through the end of the afdc program in 1996 with particular attention to the rapid increase in caseloads between 1990 and 1994 previous research has focused on total caseloads with attention to economic and policy variables and does a relatively poor job of explaining this caseload increase this paper utilizes a much richer set of control variables to investigate the causes of caseload change it separates afdc caseloads into three subcomponent programs separately investigating changes within the afdc up program afdc child only cases and the remaining core afdc cases with benefits paid to single mothers and their children and it explores whether this caseload rise was driven by changes in takeup rates versus in eligibility the results indicate a large unexplained rise in total afdc caseloads even with a very rich specification a good share of this is due to sharp increases in child only cases driven by program and demographic shifts to a lesser extent this rise was caused by the expansion of afdc up to all states these two factors explain half of the overall rise and all of the unexplained rise in afdc caseloads the remaining increase in core afdc cases benefits received by single mothers and their children is well explained within the model and is the result of economic demographic political and policy changes these variables appear to have increased eligibility among the core afdc population in the early 1990s during the economic slowdown takeup rates also increased during this time period but not by a large amount

forecasting bankruptcy more accurately a simple hazard model i argue that hazard models are more appropriate than single period models for forecasting bankruptcy single period models are inconsistent while hazard models produce consistent estimates i describe a simple technique for estimating a discrete time hazard model i find that about half of the accounting ratios that have been used in previous models are not statistically significant moreover market size past stock returns and idiosyncratic returns variability are all strongly related to bankruptcy i propose a model that uses both accounting ratios and market driven variables to produce out of sample forecasts that are more accurate than those of alternative models copyright 2001 by university of chicago press

this is what happened to the oil price macroeconomy relationship abstract many of the quarterly oil price increases observed since 1985 are corrections to even bigger oil price decreases the previous quarter when one looks at the net increase in oil prices over the year recent data are consistent with the historical correlation between oil shocks and recessions

does religion matter in corporate decision making in america abstract we examine how corporate culture influences firm behavior prior research suggests a link between individual religiosity and risk aversion we find that this relationship also influences organizational behavior firms located in counties with higher levels of religiosity display lower degrees of risk exposure as measured by variances in equity returns or returns on assets they exhibit a lower investment rate and less growth but generate a more positive market reaction when they announce new investments finally chief executive officers are more likely to join a firm with a similar religious environment as in their previous firm when they switch employers

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

business cycle duration dependence a parametric approach this paper reexamines duration dependence in u s business cycles using parametric hazard models positive duration dependence would indicate that expansions or contractions are more likely to end as they become older this paper provides statistically significant evidence of positive duration dependence for expansions before world war ii and contractions after world war ii the evidence is stronger than in earlier research utilizing nonparametric techniques because certain nonparametric techniques have low statistical power against the type of duration dependence found in this paper evidence is also presented suggesting that expansions became longer on average after world war ii while contractions became shorter copyright 1991 by mit press

optimal debt structure and the number of creditors within an optimal contracting framework we analyze the optimal number of creditors a company borrows from we also analyze the optimal allocation of security interests among creditors and intercreditor voting rules that govern renegotiation of debt contracts the key to our analysis is the idea that these aspects of the debt structure affect the outcome of debt renegotiation following a default debt structures that lead to inefficient renegotiation are beneficial in that they deter default but they are also costly if default is beyond a manager s control the optimal debt structure balances these effects we characterize how the optimal debt structure depends on firm characteristics such as its technology its credit rating and the market for its assets

household choices of child labor and schooling a simple model with application to brazil this paper argues that conflicting results from previous literature related to the effect of economic conditions on child labor derive from different income and substitution effects implicit in different types of income variation we use agricultural shocks to local economic activity in brazil coffee production to distinguish between increases in household income and increases in the opportunity cost of time results show that higher household wealth is associated with lower child labor and higher schooling nevertheless temporary increases in local economic activity are associated with higher child labor and lower schooling particularly for children with poor economic backgrounds

the price effects of monetary shocks in a network economy abstract empirical evidence shows monetary shocks have two temporary effects on the distribution of prices one the dispersion of cross section of prices increases in response to monetary shocks two some prices change in the wrong direction some prices decrease in response to positive monetary shocks and increase in response to negative monetary shocks we present a model that generates the two effects of monetary shocks on the distribution of prices as an out of equilibrium phenomena firms are related to each other through a production network monetary shocks change the working capital of a subset of firms and percolate to other firms through buyer seller linkages price dispersion increases because the percolation of a monetary shock through the production network causes prices to differentially deviate from their steady state values some prices change in the wrong direction because a shift in one firm s demand causes a shift in another firm s supply and vice versa thereby generating complicated chains of bi directional price changes monetary shocks can significantly disturb relative prices even when all prices are fully flexible

introduction to the economics of religion after a very long hiatus economists have begun again to study the relationship between economics and religion this article seeks to summarize and evaluate the principal themes and empirical findings that have appeared in some 200 recent papers on the economics of religion although some of the research concerns the economic consequences of religiosity most applies standard economic theory to the study of individual religious activity the characteristics of religious groups and the impact of regulation and competition on religious markets

booms busts and normal times in the housing market we assess the existence of duration dependence in the likelihood of an end in housing booms busts and normal times using data for 20 industrial countries and a continuous time weibull duration model we find evidence of positive duration dependence suggesting that housing market cycles have become longer over the last decades then we extend the baseline weibull model and allow for the presence of a change point in the duration dependence parameter we show that positive duration dependence is present in booms and busts that last less than 26 quarters but that does not seem to be the case for longer phases of the housing market cycle for normal times no evidence of change points is found finally the empirical findings uncover positive duration dependence in housing market booms of european and non european countries and housing busts of european countries in addition they reveal that while housing booms have similar length in european and non european countries housing busts are typically shor

option implied expectations in commodity markets and monetary policy abstract in this paper we estimate the dynamic interactions between option implied variance and skewness in agricultural commodity markets and monetary policy using a structural vector autoregressive svar framework we find that an expansionary contractionary monetary policy upwardly downwardly revises commodity markets expectations about the price and volatility path of agricultural products on the other hand our empirical analysis reveals that monetary policy does not have a systematic and timely response to sudden changes in option implied expectations of commodity investors in addition we provide empirical evidence showing the robust forecasting power of agricultural option implied information on monetary policy with r 2 values reaching almost 52

u s equity and commodity futures markets hedging or financialization abstract in this paper we investigate the hedging versus the financialization nature of commodity futures vis a vis the equity market using a arma filter based correlation approach our results suggest that while gold futures are typically seen as a hedge against unfavorable fluctuations in the stock market the majority of commodity futures appears to be treated as a separate asset class in line with their increasing financialization our results are robust to the presence of inflation highlight the hedging role played by fuel energy commodity futures in the nineties and reveal that the commodity financialization boosted since the 2000s we also show that gold futures are partially a safe haven for equity investments in the short term but not in the mid term finally we uncover some hedging financialization of crude oil futures associated to global demand oil supply shocks

an investigation of the effect of monetary factors on agriculture abstract this paper uses an econometric model to assess some of the effects of macro monetary factors on u s agricultural markets attention is focused on impacts of decreasing increasing the level of domestic credit on agricultural trade prices inventory accumulation and domestic disappearance results show that tight monetary policy lowers prices and increase demand for domestic agriculture however the upward pressure on the exchange rate seriously deteriorates the position of u s exports in international markets

changing world prices women s wages and the fertility transition sweden 1860 1910 this time series analysis examines during 1860 1910 the impact of changes in local prices of agricultural commodities on wages among men and women in sweden and the impact of changes in wages on fertility decline child mortality urbanization and improved social conditions linear ordinary least squares models are set up to determine whether demand induced increases in womens wages relative to mens are significant factors in explaining swedish total fertility rates data are obtained from 25 counties and the city of stockholm among pooled observations for six time periods during 1860 64 and 1910 14 this period is marked by a total fertility decline of 28 a marital fertility decline of 26 and a child mortality decline of 52 explanatory variables are the relative prices of main agricultural outputs employment outside of agriculture the proportion of urban population and the child mortality rate findings indicate a significant relationship between child mortality and total fertility and specific fertility rates among women aged 20 39 years a doubling of the male real wage rate was significantly associated with earlier marriage higher birth rates among women aged 15 29 years and lower birth rates among women aged 35 49 years the ratio of male wages to female wages was associated with a decline in birth rates at all ages with the exception of teenagers 66 of fertility increase was due to declines in child mortality but this increase was counterbalanced by fertility decline among older women child mortality and urbanization depressed marital fertility male wages increased the proportion married a 10 increase in the male female wage rate was associated with a 25 reduction in the total fertility rate another 25 increase in the male female wage rate was associated with a 50 reduction in child mortality it is concluded that the value of womens time had a key impact on the swedish fertility transition

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

employment opportunities of young men and family formation major shifts in family patterns have limited progress toward reducing poverty and narrowing black white income differences much of the recent rise in female headship results from the rising number of never married mothers despite a decline in the proportion of unmarried young women having babies the drop in marriage rate has been so great that a rising proportion of children are under the care of never married mothers the absence of a parent dramatically increases current poverty of children and as sara mclanahan 1988 shows growing up in a poor family and in a mother headed family holding constant for income increases the chances that a child will become poor as an adult a long literature links the creation of mother headed families with the inadequate financial resources of men in 1965 the moynihan report attributed the then high rates of marital disruption among black families to the joblessness of black men but warned that family dissolution might have reached a self perpetuating stage unrelated to employment opportunities did the dramatic increases in one parent families after 1965 reflect such a new self generating pattern or were the job market problems of men the primary cause of the continuing decline in stable intact american families the most forceful recent proponent of the male job opportunity hypothesis hereafter mjo is sociologist william j wilson wilson 1987 argues that the declining number of employed black men relative to black women best explains the increasing proportions of black female headed families clifford johnson and andrew sum 1987 contend that declining real earnings of all young men was a major cause of their declining marriage rates this paper examines the mjo hypothesis with respect to young men and family formation marriage and becoming parents i begin by viewing the mjo hypothesis from the perspective of the economics of the family i then consider evidence from empirical studies of the mjo hypothesis the conclusion notes future policy and research direc

the impact of economic conditions on participation in disability programs evidence from the coal boom and bust abstract we examine the impact of the coal boom of the 1970 s and the coal bust of the 1980 s on disability program participation these shocks provide clear evidence that as the value of labor market participation increases disability program participation falls for the disability insurance program the elasticity of payments with respect to local earnings is between 0 3 and 0 4 and for supplemental security income the elasticity is between 0 4 and 0 7 consistent with a model where qualifying for disability programs is costly the relationship between economic conditions and program participation is much stronger for permanent than for transitory economic shocks

commodity prices money surprises and fed credibilit strict monetarist theory in an extreme form holds that excessive money growth or the expectation of future money growth shows up immediately in the rapid inflation of goods prices however it is widely argued that for most goods prices are in fact sticky in the short run and reflect money growth only in the long run if one seeks a sensitive market measure of the perceived looseiless or tightness of monetary policy one must look elsewhere than at the general price level interest rates being determined in quickly adjusting financial markets are free to respond immediately to expectations regarding monetary policy in 1981 and 1982 every friday at 4 10 p m eastern standard time the federal reserve board would announce the money stock for the week ending nine days previously if the announced money stock was different from what the market had been expecting interest rates generally jumped in the same direction clearly they were responding to revisions of the expected future path of the money stock but nominal interest rates are an ambiguous indicator of expectations on the one hand an announced increase in the money stock may be received by the market as indicating a higher

global factors uncertainty weather conditions and energy prices on the drivers of the duration of commodity price cycle phases abstract we investigate the role of global factors in explaining the length of commodity price cycle phases using a continuous time weibull duration model and data for a panel of 33 countries over the period 1980q1 2015q4 we find evidence of increasing constant positive duration dependence for commodity price booms and busts normal time spells global macroeconomic conditions in particular inflation economic policy uncertainty and monetary policy actions significantly affect the duration of all commodity price cycle phases global environmental conditions also impact the duration of commodity price booms with a rise in average temperature rainfall increasing reducing their length a rise in the number of military conflicts around the globe is associated with shorter booms and busts finally we find that a rise in oil prices is linked with longer booms and shorter busts

are children normal abstract we examine becker s 1960 contention that children are normal for the cross section of non hispanic white married couples in the united states we show that when we restrict comparisons to similarly educated women living in similarly expensive locations completed fertility is positively correlated with the husband s income the empirical evidence is consistent with children being normal in an effort to show causal effects we analyze the localized impact on fertility of the mid 1970s increase in world energy prices an exogenous shock that substantially increased men s incomes in the appalachian coal mining region empirical evidence for that population indicates that fertility increases with men s income

commodity prices and money lessons from international finance many commodity prices have been falling rapidly recently as of thursday 31 july 1984 the journal of commerce s index for raw industrial materials had declined 10 relative to march and 20 relative to its peak value in 1980 in the current lull between political conventions this counts as something of a hot topic in washington some supply siders like alan reynolds from jude wanniski s firm polyconomics are warning that the large decline in commodity prices is signalling a general deflation throughout the economy and the possibility of widespread defaults reminiscent of the 1930s congressman jack kemp wants the federal reserve board to adopt a monetary policy rule that would automatically expand whenever commodity prices are low as now and automatically contract whenever commodity prices are high as in the late 1970s there has even been talk about embodying such a monetary rule as a plank in the republican party platform in dallas this month seldom before have steel scrap cotton and hides seemed so glamorous my topic today is the determination of the prices of basic commodities everything from agricultural commodities to the gold and other metals so precious to the supply siders

expectations and commodity price dynamics the overshooting model monetary policy has important effects on agricultural commodity prices because though they are flexible other goods prices are sticky this paper formalizes the argument by applying the dornbusch overshooting model a decline in the nominal money supply is a decline in the real money supply in the short run it raises the real interest rate which depresses real commodity prices they overshoot their new equilibrium in order to generate an expectation of future appreciation sufficient to offset the higher interest rate these real effects which vanish in the long run also result from a decline in the money growth rate

culture openness and finance abstract differences in culture proxied by differences in religion and language cannot be ignored when examining why investor protection differs across countries we show that a country s principal religion predicts the cross sectional variation in creditor rights better than a country s natural openness to international trade its language its income per capita or the origin of its legal system catholic countries protect the rights of creditors less well than protestant countries a country s natural openness to international trade mitigates the influence of religion on creditor rights culture proxies are also helpful in understanding how investor rights are enforced across countries

business cycle asymmetries characterisation and testing based on markov switching autoregressions tests for business cycle asymmetries are developed for markov switching autoregressive models the tests of deepness steepness and sharpness are wald statistics which have standard asymptotics for the standard two regime model of expansions and contractions deepness is shown to imply sharpness and vice versa whereas the process is always nonsteep two and three state models of u s gnp growth are used to illustrate the approach along with models of u s investment and consumption growth the robustness of the tests to model misspecification and the effects of regime dependent heteroscedasticity are investigated

commodity prices and bric and g3 liquidity a sfavec approach this paper investigates the influence of liquidity in the major developed and major developing economies on commodity prices liquidity is taken to be m2 a novel finding is that unanticipated increases in the bric countries liquidity is associated with significant and persistent increases in commodity prices that are much larger than the effect of unanticipated increases in g3 liquidity and the difference increases over time over 1999 2012 bric liquidity is strongly linked with global energy prices and global real activity whereas g3 liquidity is not the impact of bric liquidity on mineral and metal prices is twice as large as that of g3 liquidity granger casualty goes from liquidity to commodity prices bric and g3 liquidity and commodity prices are cointegrated bric and g3 liquidity and global output and global prices are cointegrated we construct a structural factor augmented error correction sfavec model

does the availability of high wage jobs for low skilled men affect welfare expenditures evidence from shocks to the steel and coal industries abstract we study shocks to the coal and steel industries to measure the effect of long term changes in demand for low skilled workers on welfare expenditures the coal and steel industries have historically paid high wages to low skilled men we find a substantial increase in welfare expenditures in response to the collapse of the steel and coal industries in the 1980s and an even more substantial reduction in welfare expenditures during the coal boom of the 1970s additional analysis indicates the reduction in welfare expenditures during the coal boom is due in part to a decline in single parent households