the harrod foreign trade multiplier and economic growth in asian countries the validity of the harrod foreign trade multiplier for 11 asian countries is tested the results obtained generally support thrilwall s specification of the multiplier this suggests in an open economy relevant economic management is the factor that manipulates the income elasticities of exports and imports

productivity and competitiveness although this article is about much more than uk manufacturing manufacturing is a bell wether for the whole economy because it is the key tradable sector accounting for over 80 per cent of uk non oil trade in 1988 it is also widely believed to be disproportionately important for wage determina tion despite now accounting for only around one quarter of all employment and under a third of full time employment further data availability and accuracy are better than for most of the rest of the economy so this is the sector with which we begin there are three key ways of measuring the inter national competitiveness of uk manufacturing relativ output prices relative export prices and relative unit labour costs where the relativities are taken against a weighted basket of our chief com petitors figures 1 a and 1 6 plot data on the three measures as published by the cso the 1980 or 1981 high points on the graphs indicate the post ar troughs reached by competitiveness in those ea s the combination of the exchange rate appre ciation resulting from the medium term financial stra egy mtfs and the oil revenue boom the eff cts of the recent wage inflation and the cyclical d cline in labour productivity produced

the predictive power of implied volatility evidence from 35 futures markets abstract using data from 35 futures options markets from eight separate exchanges we test how well the implied volatilities ivs embedded in option prices predict subsequently realized volatility rv in the underlying futures we find that for this broad array of futures options iv performs well in a relative sense for a large majority of the commodities studied the implieds outperform historical volatility hv as a predictor of the subsequently rv in the underlying futures prices over the remaining life of the option indeed in most markets examined regardless of whether it is modeled as a simple moving average or in a garch framework hv contains no economically significant predictive information beyond what is already incorporated in iv these findings add to previous research that has focused on currency and crude oil futures by extending the analysis into a very broad array of contracts and exchanges our results are consistent with the hypothesis that futures options markets in general with their minimal trading frictions are efficient

forecasting financial volatilities with extreme values the conditional autoregressive range carr model we propose a dynamic model for the high low range of asset prices within fixed time intervals the conditional autoregressive range model henceforth carr the evolution of the conditional range is specified in a fashion similar to the conditional variance models as in garch and is very similar to the autoregressive conditional duration acd model of engle and russell 1998 extreme value theories imply that the range is an efficient estimator of the local volatility e g parkinson 1980 hence carr can be viewed as a model of volatility out of sample volatility forecasts using the s p500 index data show that the carr model does provide sharper volatility estimates compared with a standard garch model

using daily range data to calibrate volatility diffusions and extract the forward integrated variance a common model for security price dynamics is the continuous time stochastic volatility model for this model hull and white 1987 show that the price of a derivative claim is the conditional expectation of the black scholes price with the forward integrated variance replacing the black scholes variance implementing the hull and white characteriza tion requires both estimates of the price dynamics and the conditional distribution of the forward integrated variance given observed variables using daily data on close to close price movement and the daily range we find that standard models do not fit the data very well and that a more general three factor model does better as it mimics the long memory feature of financial volatility we develop techniques for estimating the conditional distribution of the forward integrated variance given observed variables i introduction

global influences on uk manufacturing prices 1970 2000 abstract we introduce the first consistent series of domestic product and related import price indices at the industry level for the uk using the data to analyse both domestic and international determinants of uk manufactured product prices foreign influences on uk prices in domestic markets are always present but domestic cost movements dominate we show that the pass through of world price tariff and exchange rate changes into product prices is partial in general and varies markedly between product categories standard tariff and exchange rate theories overstate price responses to global pricing determinants and fail to allow for variation between industrial sectors such theories can mislead when used for policy analysis and prediction

the effects of shifts in monetary policy and reserve accounting regimes on bank reserve management behavior in the federal funds market abstract this paper looks at the effects on fed fund rates and fed fund purchasing behavior of large banks resulting from i the 1982 regime switch from non borrowed to borrowed reserve targeting by the fed and ii the 1984 switch from lagged to almost contemporaneous reserve accounting cra whether we analyse changes in the interest rate or quantity dimensions the shift in monetary policy targets appeared to have had a more profound effect on the market for bank reserves than the shift in reserve accounting regime these results therefore tend to support the contention that a shift to cra by itself will have little effect on bank reserve management behavior unless combined with its logical counterpart a total reserves target

how does germany s green energy policy affect electricity market volatility an application of conditional autoregressive range models abstract based on a dynamic model for the high low range of electricity prices this article analyses the effects of germany s green energy policy on the volatility of the electricity market using european energy exchange data from 2000 to 2015 we find rather high volatility in the years 2000 2009 but also that the weekly price range has significantly declined in the period following the year 2009 this period is characterised by active regulation under the energy industry law enwg the eu emissions trading directive etd and the renewable energy law eeg in contrast to the preceding period price jumps are smaller and less frequent especially for day time hours implying that current policy measures are effective in promoting renewable energies while simultaneously upholding electricity market stability this is because the regulations strive towards a more and more flexible and market oriented structure which allows better integration of renewable energies and supports an efficient alignment of renewable electricity supply with demand

testing the warrant pricing model abstract implied variances from traded call options are used to compute the model prices of warrants issued by the corresponding firms several examples show that the model prices do not provide accurate estimates of the actual warrant prices even after accounting for transactions costs

exchange rate risk and transactions costs evidence from bid ask spreads abstract this paper develops a model of exchange rate bid ask spreads which is used to examine the relationship between exchange rate risk and volatility and to measure transactions costs the empirical results indicate that market makers judge the probability of exchange rate changes based on both recent and long term volatility and that the second moment alone is not a complete measure of volatility while a proxy for trading volume does not have the expected relationship with spreads weekend and holiday effects conform to theory transactions costs vary over time and seem responsive to the imposition of exchange controls

the valuation and market rationality of internet stock prices this paper provides an analysis of some existing as well as new evidence of the relation between market prices and fundamentals in the internet sector over the period january 1998 to february 2000 appealing to results across a broad class of outcomes we demonstrate a strong circumstantial case against market rationality in particular we investigate i the level of internet stock prices given their underlying fundamentals ii responses of stock prices to information based events and iii the volatility of internet prices we review several potential explanations of these phenomena including one based on heterogeneous beliefs across investors who are subject to short sales constraints we provide a discussion of the empirical evidence supporting this latter explanation copyright 2002 oxford university press

oil price uncertainty and clean energy stock returns new evidence from crude oil volatility index abstract earlier studies evidence that oil price shocks have significant impacts on clean energy stock returns while the previous literature uses traditional oil price series to investigate such effects we aim to assess whether the variance of alternative energy stock returns can be explained using the information content of crude oil volatility index ovx an indicator of oil price uncertainty to serve our purpose we employ several measures to frame the realized volatility rv of alternative energy sector equity returns in particular we use three different range based rv estimators recommended by parkinson 1980 rogers and satchell 1991 and alizadeh et al 2002 respectively our findings reveal that clean energy stock market returns are highly sensitive to ovx shocks thus oil market uncertainty measured by ovx embodies a crucial role in modeling the volatility of renewable energy equity returns in addition we find a strong indication that ovx provides additional information beyond what is contained in the historical volatilities of equity returns we also document that the magnitude of the effect of ovx is much bigger than that of the realized variance of wti oil spot prices finally we find that the information content of crude oil volatility index improves the volatility forecasts for the clean energy equity market

time varying volatilities and calculation of the weighted implied standard deviation rogalski tinic have reported a monthly pattern in ex post stock return variances that differs between small and large market capitalization firms maloney rogalski find that option prices reflect these monthly patterns ex ante this study extends maloney rogalski s work by devising an expiration specific weighted implied standard deviation wisd it is found that i the monthly patterns in one month wisds are basically similar to the monthly patterns in ex post variances detected by rogalski tinic for both large and small size firms and ii use of expiration specific wisds as opposed to standard composite wisds results in improved performance of option pricing models

dynamic spillovers between oil and stock markets in the gulf cooperation council countries this article exploits a new spillover directional measure proposed by diebold and yilmaz 2009 2012 to investigate the dynamic spillover of return and volatility between oil and equities in the gulf cooperation council countries during the period 2004 to 2012 our results indicate that return and volatility transmissions are bi directional albeit asymmetric in particular the oil market gives other markets more than it receives in terms of both returns and volatilities these trends were more pronounced in the aftermath of the global financial crisis in 2008 as the net contribution of oil has intensified after a burst during the crisis the empirical evidence from the sample is consistent with a system in which oil is playing the dominant role in the information transmission mechanism between oil and equities in the gcc countries

convergence of industry labor productivity among advanced economies 1963 1982 data are used for thirteen industrialized countries to investigate convergence of labor productivity levels in individual manufacturing industries over the 1963 82 period the authors find convergence in virtually every manufacturing industry among these countries the co efficient of variation of industry labor productivity declined in all but one of twenty eight industries however productivity convergenc e is stronger for all manufacturing than within individual industries especially heavy and high technology industries also variation in employment mix among countries plays little role in explaining cross country differences i n aggregate manufacturing productivity nor have changes in employment mixes been an important source of convergence copyright 1988 by mit press

forecasting daily exchange rate volatility using intraday returns abstract this study investigates whether intraday returns contain important information for forecasting daily volatility whereas in the existing literature volatility models for daily returns are improved by including intraday information such as the daily high and low volume the number of trades and intraday returns here the volatility of intraday returns is explicitly modelled daily volatility forecasts are constructed from multiple volatility forecasts for intraday intervals it is shown for the dem usd and the yen usd exchange rates that this results in superior forecasts for daily volatility

option values under stochastic volatility theory and empirical estimates abstract this paper numerically solves the call option valuation problem given a fairly general continuous stochastic process for return volatility statistical estimators for volatility process parameters are derived and parameter estimates are calculated for several individual stocks and indices the resulting estimated option values do not differ dramatically from black scholes values in most cases although there is some evidence that for longer maturity index options black scholes overvalues out of the money calls in relation to in the money calls

variances of security price returns based on high low and closing prices in a recent paper garman and klass 1980 studied the problem of estimating capital asset price volatility parameters developing an idea first introduced by parkinson 1980 they argue that improved volatility measures can be obtained by taking into account the daily high low and opening prices in addition to the traditionally used closing prices this paper is concerned mainly with testing the empirical validity of different volatility estimators based on high low and closing prices

industrial structure and manufacturing growth during japan s bubble and post bubble economies kobayashi n 2004 industrial structure and manufacturing growth during japan s bubble and post bubble economies reg studies 38 429 444 this paper considers the effects of changing industrial structure and region specific factors on the regional increase decrease of manufacturing shipments during the bubble and post bubble economies in japan although industrial structure affected performance during the bubble economy and was closely related to location it became less clearly linked in the 1990s specialization in materials and consumer goods industries had negative effects on growth electronics industries dramatically changed their component mix during the 1990s and regions that successfully implemented these changes enjoyed sustainable growth

an analysis of commercial bank common stock returns 1802 97 this study creates analyses for the first time a continous index of returns on commercial bank common stocks listed in a specific market the index is constructed from a unique set of historical data and is calculated on both a weighted and unweighted basis first including and then excluding dividends a measure of volatility is calculated annually the results indicate that the dividend component of holding period returns is very important including dividends average returns were 6 0 for the century excluding dividends average returns were 0 1 excess returns were calculated using two different measures of a riskless rate of return cumulative excess returns for the first half of the nineteenth century were negative real returns were calculated and found to be generally positive over the century the volatility of returns was quite high during certain periods examining the effects of significant economic and political events on bank common stock returns we find that the war of 1812 the civil

the evolution of regional labour productivities in japanese manufacturing 1968 2004 essletzbichler j and kadokawa k the evolution of regional labour productivities in japanese manufacturing 1968 2004 regional studies the success of the japanese economy in the post war period was predicated on the rapid productivity catch up of its manufacturing sector to western economies although productivity varied widely among japanese regions this paper examines the evolution of labour productivity in japanese prefectures over the period 1968 2004 employing markov chain analysis variance shift share analysis and analysis of variance the paper demonstrates that during the period of fast productivity growth the japanese economy was characterized by an increasing polarization of productivity levels while the period of slow growth since the early 1990s produced convergence in regional productivity levels essletzbichler j et kadokawa k l evolution de la productivite regionale du travail dans l industrie japonaise de 1968 a 2004 regional studies la reussite de l economie japonaise pendant

estimating the volatility of discrete stock prices this paper introduces an estimator of stock price volatility that eliminates at least asymptotically the biases that are caused by the discreteness of observed stock prices assuming that the observed stock prices are continuously monitored an estimator is constructed using the notion of how quickly the price changes rather than how much the price changes it is shown that this estimator has desirable asymptotic properties including consistency and asymptotic normality also through a simulation study the authors show that it outperforms natural estimators for the low and middle priced stocks furthermore the simulation study demonstrates that the proposed estimator is robust to certain misspecifications in measuring the time between price changes

productivity and income per capita convergence in a peripheral european economy the irish experience birnie j e and hitchens d m w n 1998 productivity and income per capita convergence in a peripheral european economy the irish experience reg studies 32 223 234 gdp per capita in ireland increased from 60 to 90 of the uk average during 1986 95 this extremely rapid convergence begs the question whether increases in comparative productivity were of a similar magnitude industry of origin comparisons were used to benchmark ireland uk labour productivity in 1935 1968 and 1985 dramatic improvement in manufacturing comparative productivity was the immediate explanation of much of the convergence in gdp per capital levels unadjusted manufacturing productivity in the mid 1990s was as high as that in the us this was prima facie evidence of transfer pricing the likely scale of distortion created by transfer pricing is discussed and hence the extent of exaggeration of gdp an agenda for further research was suggested birnie j e et hitchens d m w n 1998 la convergence de la productivite e

option pricing and implicit volatilities abstract this paper demonstrates that black scholes implied volatilities can be used to value options in many situations where the assumptions of the black scholes model are violated including i alternative stock processes ii stochastic interest rates and iii market frictions given its computational simplicity this procedure provides an attractive alternative to the more complex models with a direct estimation procedure

standard deviations implied in option prices as predictors of future stock price variability abstract standard deviations implied in option prices have recently been introduced as being better than average predictors of future stock price variability this article specifically studies the predictive ability of implicit standard deviations taking into account the dividend problem and the problem of optimal weighting schemes of the standard deviations when there are several options on the same stock transaction data information was used to study the importance of non simultaneities in observing stock and option prices

modelling implied volatility with ols and panel data models abstract the paper performs an empirical estimation of time varying volatility using ols regression error components and dummy variable models by regressing the implied volatility on time to maturity the strike price and a dummy both the daily ols equations and the panel data model provide more accurate estimates of black and scholes option prices than the bench mark standard deviation of log returns ft se 100 index european options are used for empirical analysis