on cross border bank credit and the u s financial crisis transmission to equity markets this paper examines the role played by cross border equity bond and bank credit flows versus international trade in the transmission of the u s financial crisis to equity markets worldwide we estimate vector autoregressive models with exogenous global factors using monthly data on 36 emerging and developed countries the results from an eclectic methodology that includes causality tests generalized impulse responses and forecast error variance decompositions indicate that the crisis is mostly transmitted through bank credit rather than portfolio flows and international trade the results are robust to altering the exogenous versus endogenous vectors of variables to measuring equity prices in u s dollars or local currency to averaging the data across countries versus averaging the parameters from individual country estimation and to redefining the start date of the crisis the findings endorse the use of banking regulation and capital controls as part of the policy toolkit to limit financial vulnerability

german dominance in the ems evidence from interest rates abstract the paper presents an empirical analysis of german dominance and asymmetries in the ems based on a dynamic system of equations explaining national money market interest rates the hypothesis of strict german dominance of the ems is rejected however there are some noticeable asymmetries in the ems germany is a relatively strong player and has been the least dependent country in the early phase of the system since 1983 german independence has diminished in contrast france throughout and italy in the early phase of the ems have been relatively weak players in the system

the international crash of october 1987 causality tests the paper analyzes lead lag relationships for six major stock market indexes new york s p 500 tokyo nikkei london ft 30 hong kong hang seng singapore straits times and australia all ordinaries for time periods before during and after the october 1987 market crash unidirectional and bidirectional causality tests are conducted by means of the granger methodology practically no lead lag relationships are found for the pre crash and post crash periods however important feedback relationships and unidirectional causality are detected for the month of the crash there is also an increase in contemporaneous causality during and after the month of the crash in general our findings suggest that the october 1987 market crash probably was an international crisis of the equity markets and that it might have begun simultaneously in all the national stock markets

dynamic steam coal market integration evidence from rolling cointegration analysis abstract the aim of the paper is twofold first to assess the dynamics of the integration process of the international steam coal prices and second to investigate the changes in the roles of particular coal prices in this market in the light of changes in the structure of supply and demand the analysis is based on steam coal prices set by the largest world exporters and importers on both the atlantic and the pacific markets we use weekly data spanning from october 5 2001 to march 28 2014 the aim is achieved in two stages during the first one we use the rolling trace test to identify the integration of the steam coal market and during the second one we apply the rolling weak exogeneity test to determine the roles of the participants of the international steam coal market namely price setters and price takers our main findings can be summarized in two observations firstly the main world steam coal prices are integrated and during the period when freight costs are higher the coal market integration is weaker and when the costs are lower the integration is stronger secondly the role of particular coal prices is not stable in time generally price setters appear in the market which covers greater shares in the physical coal trade although indonesia and russia have a great share in the global export their prices remain price takers during the whole period as a consequence although russia remains the largest coal exporter of the steam coal to the european market it cannot dictate its prices in this market

nudging and corporate environmental responsibility a natural field experiment abstract we devise a nudging natural field experiment to test the impact of a simple form of advertising on environmentally responsible products with without the increase of the responsible product price we find that the simple use of a small shelf poster explaining the importance of buying a green product with without a concurring price increase generates significant changes in market shares for some of the product classes for both food and non food products part of the effect is generated by the reduced price elasticity of consumers to the poster plus price increase treatment

from great depression to great credit crisis similarities differences and lessons the great depression of the 1930s and the great credit crisis of the 2000s had similar causes but elicited strikingly different policy responses while it remains too early to assess the effectiveness of current policy it is possible to analyse monetary and fiscal responses in the 1930s as a natural experiment or counterfactual capable of shedding light on the impact of current policies we employ vector autoregressions instrumental variables and qualitative evidence for 27 countries in the period 1925 39 the results suggest that monetary and fiscal stimulus was effective that where it did not make a difference it was not tried they shed light on the debate over fiscal multipliers in episodes of financial crisis they are consistent with multipliers at the higher end of those estimated in the recent literature and with the argument that the impact of fiscal stimulus will be greater when banking systems are dysfunctional and monetary policy is constrained by the zero bound miguel almunia agustin benetrix barry eichengreen kevin h o rourke and gisela rua

liquidity commonality in commodities abstract we examine liquidity commonality in commodity futures markets using data from 16 agricultural energy industrial metal precious metal and livestock commodities we show there is a strong systematic liquidity factor in commodities liquidity commonality was present in 1997 2003 when commodity prices were relatively stable and during the recent boom there is some support for both supply side and demand side explanations for this commonality we find no evidence of a consistent link between stock and commodity liquidity in general energy commodities appear to provide a better hedge against equity market liquidity risk than the other commodity families

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

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

foreign exchange market efficiency under recent crises asia pacific focus the asia pacific region s currency markets are generally efficient within country when tested using the johansen 1991 1995 cointegration technique whereas market efficiency fails to hold when tested using fama s 1984 conventional regression using the pilbeam and olmo 2011 model we reconcile these conflicting findings the pilbeam and olmo 2011 model confirms withincountry market efficiency it further confirms that free float currency markets are more resilient than managed float currency markets among 12 asia pacific economies from the across country perspective the foreign exchange markets are mostly efficient and the results show that the 1997 1998 asian financial crisis was a more disturbing event than the 2008 2009 global financial crisis in the region

interest rate linkages within the european monetary system new evidence incorporating long run trends abstract this paper shows that the rejection of the existence of bivariate long run relationships between the interest rates within the european monetary system ems by previous studies may stem from the under specification of deterministic variables in the models and failure to capture the changes in the trend behavior of the data the present study applies the johansen cointegration tests in models with alternative trend specifications to four german other ems interest rate pairs for 1979 1998 with three sub sample periods corresponding to different degrees of ems monetary integration in contrast to the findings of past studies the results of this study lend support to the hypothesis that the interest rates of ems countries move together more closely over time converging from a wide dispersion toward the central level

size distortions of tests of the null hypothesis of stationarity evidence and implications for the ppp debate abstract tests of the null hypothesis of stationarity against the unit root alternative play an increasingly important role in empirical work in macroeconomics and in international finance we show that the use of conventional asymptotic critical values for stationarity tests may cause extreme size distortions if the model under the null hypothesis is highly persistent this fact calls into question the use of these tests in empirical work we illustrate the practical importance of this point for tests of long run purchasing power parity ppp under the recent float we show that the common practice of viewing tests of stationarity as complementary to tests of the unit root null will tend to result in contradictions and in spurious rejections of long run ppp while the size distortions may be overcome by the use of finite sample critical values the resulting tests tend to have low power under economically plausible assumptions about the half life of deviations from ppp thus the fact that stationarity is not rejected cannot be interpreted as convincing evidence in favor of mean reversion only in the rare case that stationarity is rejected do size corrected tests shed light on the question of long run ppp

common stochastic trends in european stock markets the objective of the paper is to investigate whether price indices of different european stock markets display a common long run trending behaviour using cointegration analysis we provide empirical evidence of common stochastic trends among five important european stock markets over the period 1975 1991

are emerging market indicators of vulnerability to financial crises decoupling from global factors abstract this paper assesses the extent to which common factors underlie indicators of vulnerability to financial crises in emerging market economies emes and whether this link is changing over time we use a bayesian dynamic common factor model to estimate their common component in a sample of up to 41 countries including both developed as well as emerging economies this permits us to interpret the component in common to both of them as a global factor we introduce time variation into the model to investigate whether indicators are decoupling from global factors over time while decoupling can be observed in a few cases the exposure to global factors in most countries tends to fluctuate around the mean broadly speaking then the answer is no

transmission of shocks across global real estate and equity markets an examination of the 2007 2008 housing crisis this study analyses the impact of the 2007 2008 u s financial crisis on the structure of interdependence among several major global real estate and equity markets moreover it performs a step by

russian equity market linkages before and after the 1998 crisis evidence from stochastic and regime switching cointegration tests abstract this paper examines the relationships between russian and other equity markets over the period of 1995 2004 to account for potential instability in the market relationships we apply a number of cointegration approaches gregory hansen 1996 residual based tests for cointegration in models with regime shifts journal of econometrics 70 99 126 test which allows for a structural break in the relationships a stochastic cointegration framework by mccabe 2003 testing for stochastic cointegration and evidence for present value models working paper the non parametric test by breitung 2002 nonparametric tests for unit roots and cointegration journal of econometrics 108 2 343 363 and a regime switching cointegration model in the spirit of ho 1999 financial liberalization and international capital mobility of taiwan a regime switching approach asian economic journal 13 4 407 417 the tests point to a significant agreement that the russian equity market remained isolated from the influence by international markets in the long run and that while a structural break might have occurred in august 1998 this did not alter the nature of long run relationships

the walking debt crisis abstract this article sheds light on the question whether arising sovereign credit risk in the emu has been triggered by the us subprime crunch by adapting recent econometric methodologies suggested in the related field of speculative bubbles we find clear evidence for fast diverging and even explosive behavior of emu government bond yields of peripheral countries relative to germany during the financial and the european debt crisis this might be caused by flight to quality effects to german government bonds coincident with the collapse of lehman brothers and by a loss of confidence in the fiscal stability of greece ireland italy portugal and spain during the european debt crisis first we find compelling evidence for bubbles in the dow jones equity real estate investment trusts reits index which serves as a weekly measure of economic activity in the north american real estate sector second in our main analysis we test whether the collapsing bubble in the housing market triggered the diverging government bond yields during two crisis regimes our findings indicate that this was the case in the course of the financial crisis but not during the emu sovereign debt crisis these results suggest that the severe fiscal problems in peripheral countries are homemade rather than imported from the us

exchange rate volatility and intervention implications of the theory of optimum currency areas we show that variables pointed to by the theory of optimum currency areas ocas help to explain patterns of exchange rate variability and intervention across countries but oca considerations affect exchange market pressures and intervention in different ways exchange market pressures mainly reflect asymmetric shocks while intervention largely reflects the variables that oca theory suggests cause countries to value stable exchange rates small size and the extent of trade links intervention and exchange market pressure also vary with the structure of the international monetary system

effect of distance of transportation on willingness to pay for food abstract consumers interest in locally produced foods is increasing hence there is a need to decipher and quantify consumers desire for local foods and understand the underlying causes of this demand more specifically we examine in this paper the issue of distance of transportation and its impact on consumer preferences we investigate how consumers willingness to pay wtp for food varies with the distance the food traveled results from non hypothetical second price auctions indicate that average wtp is falling in distance traveled indicating a preference for local production results also indicate that the marginal value of a mile traveled depends on the type of food studied apples vs wine socio demographic characteristics perceptions of freshness taste and food safety as well as support of local economy impact wtp for local foods

unit roots and granger causality in the ems interest rates the german dominance hypothesis revisited abstract the aim of this paper is twofold first it shows that a sufficient conditions for unit roots found in ar systems to persist in var systems amount to granger non causality in any direction among the variables involved this implies that a necessary condition for the disappearance of one unit root in a var system implies granger causality in at least one direction b for first order models with non explosive variables granger causality is also sufficient for cointegration and c causality and cointegration inference are strongly affected by the omission of an important causing variable second our new analytical framework allows us to formulate and test several new variations of the so called german dominance hypothesis in a unified cointegrating framework which we define as strong semi strong and weak types 1 and 2 german dominance in addition we allow for the possibility that the dominant player may lie outside the ems so that we introduce and test the us dominance hypothesis

the power of cointegration tests versus data frequency and time spans 1 introduction in the empirical literature of cointegration analysis researchers often face the limitation of using relatively short time spans of data in many cases this is simply due to the absence of longer spans of data in other cases some equilibrium relationships have to be studied for certain time periods for instance when the models require a flexible exchange rate or a variable price of gold studies have to be undertaken for the flexible exchange rate period starting from the early 1970s or for the period since 1968 when the price of gold was allowed to fluctuate with the limits of relatively short time spans many researchers chose to use relatively high frequency data to conduct the studies such attempts have been criticized in the literature hakkio and rush 1991 argue that the frequency of observation plays a very minor role p 572 in exploring a cointegration relationship because cointegration is a long run property and thus we often need long spans of data to properly test it p 579 hakkio and rush s point is similar to the one made by shiller and perron 1985 that the length of the time series is far more important than the frequency of observation when testing for unit roots while those who criticize the collection of high frequency data to deal with the short time span problem advocate the use of long spans of data to test properly for cointegration their suggestion is sometimes misinterpreted as a support for using a small number of annual data for instance bahmani oskooee 1996 p 481 borrows hakkio and rush s 1991 p 572 testing a long run property of the data with 120 monthly observations is no different than testing it with ten annual observations to defend his use of annual data by saying that using annual data of over 30 years is as good as using quarterly or monthly data over the same period taylor 1995 p 112 claims that the deficiency of using less than 50 annual observations should be compensated by the fact that the data set spans nearly half a century i would like to point out that hakkio and rush s study has several limitations and therefore it may not be appropriate to cite the conclusions of the study for the cases beyond its limitations their study only allows the cointegrating residual to be a pure first order autoregressive arc 1 process and is limited to the single equation method of cointegration tests they show the results only for some extreme cases where the cointegrating residual for the monthly data is either very highly serially correlated nearly nonstationary and thus all the cointegration tests would have very low test power regardless of the frequency of the data or with a quite low coefficient of serial correlation thus all the cointegration tests can easily reject the null of no cointegration regardless of the frequency of the data the present paper is motivated by seeking the answers to the following questions i does the frequency of observation play a very minor role in exploring a cointegration relationship in the cases where the cointegrating residual is not nearly nonstationary ii can the validity of the conclusions of hakkio and rush 1991 based on a single equation method be extended to other popular cointegration tests and to more realistic cases where the models with higher lag orders are required when the cointegrating residual is generated with more noise than a pure first order autoregressive process iii while testing cointegration with 120 monthly observations could be no different than testing it with 10 annual observations as both cases are subject to very low test power does this warrant that using annual data of 30 to 40 years is as good as using quarterly or monthly data over the same period iv how serious would the problem of size distortion be for the use of a small number of annual observations this paper examines the power of cointegration tests versus frequency of observation and time spans as well as the small sample size distortions of the tests through the monte carlo experiments

nonparametric panel data model for crude oil and stock market prices in net oil importing countries abstract this paper introduces an innovative nonparametric panel data approach to model the long run relationship between the monthly oil price index and stock market price indices of ten large net oil importing countries namely the united states japan china south korea india germany france singapore italy and spain in the proposed model we allow the coefficient on the oil price index to be a time varying function which evolves over time in a way that is assumed to be unknown we also allow the common trend function to evolve over time as well as extending the model further to incorporate country specific trend functions we employ a data driven local linear method to estimate these time varying trend and coefficient functions the results show that despite being largely positive there are several downward trends reflecting the aftermath of the iraq war and the recent unprecedented drop in the oil price overall we find that the nonparametric panel data model better captures the way in which the underlying stock oil price relationship has evolved over time in comparison to the point estimates of the parametric counterpart moreover we find that stock market fundamentals play a significant role in determining the oil stock price relationship our findings have important implication for policymakers and financial speculators

asset market linkages evidence from financial commodity and real estate assets abstract we use a general markov switching model to examine the relationships between returns over three different asset classes financial assets us stocks and treasury bonds commodities oil and gold and real estate assets us case shiller index we confirm the existence of two distinct regimes a tranquil regime with periods of economic expansion and a crisis regime with periods of economic decline the tranquil regime is characterized by lower volatility and significantly positive stock returns during these periods there is also evidence of a flight from quality from gold to stocks by contrast the crisis regime is characterized by higher volatility and sharply negative stock returns along with evidence of contagion between stocks oil and real estate furthermore during these periods there is strong evidence of a flight to quality from stocks to treasury bonds

cointegration how short is the long run abstract when testing for cointegration and faced with short sample periods it is common for researchers to turn to more frequently sampled observations that is to move from annual to quarterly or monthly data in order to increase the number of observations we argue that such a gain in the degrees of freedom is more apparent than real essentially cointegration is a long run concept and hence requires long spans of data to give tests for cointegration much power rather than merely large numbers of observations using monte carlo simulations we demonstrate this for four popular tests for cointegration

the vulnerability of microfinance to financial turmoil evidence from the global financial crisis summary has microfinance become crisis prone like other sources of finance this paper provides empirical evidence on credit growth patterns of microfinance institutions in the early 2000s results suggest that microfinance has become vulnerable to financial turmoil in the global financial crisis credit growth dropped sharply moreover the crisis impact was more severe when institutions had been active in tapping domestic and international financial markets for funds and had operated in countries experiencing a severe post crisis recession finally we find that microcredit adopted the cyclical characteristics of credit growth in the traditional banking sector with credit booms followed by credit busts

consumers willingness to pay for sustainable food products the case of organically and locally grown almonds in spain abstract organically and locally grown products have positive environmental impacts due to the reduction in the greenhouse emissions required for their production this paper contributes to this research stream by investigating consumers preferences and their willingness to pay for almonds that have different sustainable labels distance claims 100 km 800 km and 2000 km and the organic logo established by the european union to achieve the objective consumers participated in a non hypothetical choice experiment latent class modeling was employed to identify distinct patterns of valuation the results suggest that consumers were willing to pay a positive price premium for locally grown traveled the shortest distance and organically produced almonds whereas they were not willing to pay a price premium for almonds that have traveled longer distances moreover the findings show that consumer preferences for these claims were heterogeneous with three consumer segments identified as conventional consumers short distance consumers and sustainable consumers overall results confirm the results of previous studies because spanish consumers were willing to pay a premium price for those almonds that are organically and locally produced and therefore generate fewer greenhouse gases emissions the findings of this study added scientific value to scholars of sustainable consumer behavior because of the use of real choice experiment since no hypothetical evaluation method simulates real markets with real products and a transaction of money real choice experiment provides better approximations of true willingness to pay for organic and local almonds therefore real choice modeling eliminates hypothetical and social bias the results of this study contribute to insights in the promotion of sustainable consumption among citizens by policy makers in this regard promotional and educational campaigns could drive different segments of consumers to increase their knowledge on the benefits of reduction of the quantity of ghg emissions required for organic and locally grown production

sudden stops and financial frictions evidence from industry level data the nature of the microeconomic frictions that transform sudden stops in output collapses is not only of academic interest but also crucial for the correct design of policy responses to prevent and address these episodes and the lack of evidence on this regard is an important shortcoming this paper uses industry level data in a sample of 45 developed and emerging countries and a differences in differences methodology to provide evidence of the role of financial frictions for the consequences of sudden stops the results show that consistently with financial frictions being important industries that are more dependent on external finance decline significantly more during a sudden stop especially in less financially developed countries the results are robust to controlling for other possible mechanisms including labor market frictions the paper also provides results on the role of comparative advantage during sudden stops and on the usefulness of various policy responses to attenuate the consequences of these shocks

consumers perceptions preferences and willingness to pay for wine with sustainability characteristics a review abstract the aim of this review article is to identify the state of the art and research gaps in consumer perceptions preferences and willingness to pay wtp towards wine with sustainability characteristics in an effort to cover all relevant literature we searched for scientific articles published between january 2000 and march 2016 the search resulted in 34 articles which were analysed in detail to assess the reviewed articles the alphabet theory which is a framework for explaining environmentally significant behaviour was used the review differentiates the results for consumers wine choice by the type of production method e g sustainable environmental friendly organic or local a considerable number of consumers across different countries had positive perceptions regarding these different production methods and reported a willingness to pay a premium for wine with characteristics of sustainable production however on average consumers awareness of the broad concept of sustainability regarding wine seemed low in some european countries and north america in particular organic and sustainability labels were often perceived as quality indicators in most cases the studies focused on the environmental aspects of sustainability environmental soundness was given most often as a determining factor in purchase decisions regarding wine with characteristics of sustainable production overall social and economic aspects were only just examined the results suggest that producing and marketing wine with sustainability characteristics is a promising strategy for quality differentiation particularly for wine that is both local and organic moreover marketers retailers and producers will likely profit from developing information campaigns with a focus on environmental as well as social and economic aspects to increase consumers knowledge of sustainable wine production thus creating preferences and influencing purchase behaviour gaining a deeper understanding of consumers attitudes and their buying motives regarding different sustainability attributes is recommended for future studies since none of the articles examined purchase behaviour in real market scenarios with real market transactions future research should focus for example on the analysis of household panel data as evidence of an attitude behaviour gap was found

dynamic correlation and equicorrelation analysis of global financial turmoil evidence from emerging east asian stock markets abstractthis study investigates the dynamic conditional correlations dccs between eight emerging east asian stock markets and the us stock market and analyses the dynamic equicorrelation among these nine stock markets we find a significant increase in the conditional correlations and equicorrelation in the first phase of the global financial crisis we refer to this finding as contagion from the us stock market to the emerging east asian markets we also find an additional significant process of increasing correlations and equicorrelation herding in the second phase of the global financial crisis further we employ two new models namely dccx mgarch a dcc multivariate garch model with exogenous variables and decox mgarch a dynamic equicorrelation multivariate garch model with exogenous variables to identify the channels of contagion we find that an increase in the vix index increases the conditional correlations and equicorrelation while increases in ted spreads decrease the conditional corre

assessing european stock markets co integration abstract this paper examines long run comovements in the uk french and german stock markets using cointegration techniques after fixing the power of the cointegration test no evidence is found of an increasing number of cointegrating vectors an alternative approach to measure increasing integration based on the speed of adjustment coefficients is proposed

the importance of taste in experimental auctions consumers valuation of calorie and sweetener labeling of soft drinks a majority of purchases that consumers make are classified as repeat purchases one of the main reasons why consumers make repeat food purchases is the food s taste therefore we examined the importance of including taste testing in nonhypothetical experimental auctions specifically we used two experiments to determine consumers willingness to pay for soft drinks labeled with different calorie and sweetener information in experiment 1 participants tasted the soft drinks prior to the bidding rounds in experiment 2 participants did not taste the soft drinks prior to the bidding rounds bidding behavior for the soft drinks was significantly different between experiment 1 and experiment 2 results suggest that including taste testing in the design of experimental auctions is important to accurately capture consumers willingness to pay for foods that are purchased repeatedly results also imply that policies aimed at combating obesity by making the calorie content of foods more visible may not produce desired outcomes

transmission of the u s subprime crisis to emerging markets evidence on the decoupling recoupling hypothesis abstract we find that emerging markets appeared to be somewhat insulated from developments in u s financial markets from early 2007 to summer 2008 from that point on however emerging markets responded very strongly to the deteriorating situation in the u s financial system and real economy our regression event study focusing on 15 types of news indicates that a range of financial and real economic news emanating from the us had statistically and economically large impacts on 14 emerging markets and several news events uniformly moved markets policy measures taken in emerging markets to insulate themselves from global financial developments proved inadequate in the face of the credit crunch and decline in international trade that followed the lehman bankruptcy in september 2008

the great recession us dynamics and spillovers to the world economy abstract this paper provides an empirical investigation of both the within us and international channels of transmission of macroeconomic and financial shocks by means of a 50 country macroeconometric model estimated over the 1980 2009 period including measures of excess liquidity and financial fragility specifically designed in order to evaluate the relevance of the boom bust credit cycle view put forward as an interpretation of the recent great recession episode we find that such a view is consistent with the empirical evidence moreover concerning the real effects of financial shocks within the us we detect stronger evidence of an asset prices channel rather than a liquidity channel concerning the spillovers to the world economy we find that while financial disturbances are transmitted to foreign countries through us house and stock price dynamics as well as excess liquidity creation the trade channel is the key trasmission mechanism of real shocks

food miles do uk consumers actually care abstract the food miles concept originating in the uk and given much prominence in the news media has been used to imply that importing food from distant countries is inherently more wasteful than growing and consuming local produce what impact is this potential non tariff barrier having on consumer buying behaviour in uk supermarkets revealed preference surveys in four supermarkets show only 5 6 of 251 consumers nominated country of origin as one of the reasons for choosing a fresh food item they had just purchased furthermore only 3 6 indicated that they had consciously chosen british products for the reason that such produce was less harmful for the environment in contrast stated preference surveys in the street found that 21 5 indicated that food miles or the long distance it travels would stop them buying new zealand products what people say may differ substantially from what they actually do in regard to food miles

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

regional pull vs global push factors china and us influence on asian financial markets abstract this paper compares spillovers from the us and chinese financial markets to markets in asia and the pacific structural var analysis points to the important influence of chinese equities and currency movements in normal times china s influence in the equity market has risen to a level close to that of the united states although the relative impact of the united states became stronger in crisis periods nonetheless china s bond market remains a negligible player china s role may be interpreted as a regional pull factor while that of the united states remains a key global push factor

transmission of the financial and sovereign debt crises to the emu stock prices cds spreads and exchange rates abstract this paper tests for the transmission of the 2007 2010 financial and sovereign debt crises to fifteen emu countries we use daily data from 2003 to 2010 on country financial and non financial stock market indexes to analyze the stock market returns for three country groups within emu north south and small the following results hold for both the north and south european countries while the smallest countries seem to be relatively isolated from international events first we find strong evidence of crisis transmission to european non financials from us non financials but not for financials second in order to test how the sovereign debt crisis affects stock market developments we split the crisis in pre and post lehman sub periods results show that financials become significantly more dependent on changes in the difference between the greek and german cds spreads after lehman s collapse compared to the pre lehman sub period however this increase is much smaller for non financials third before the crisis euro appreciations coincide with european stock market decreases whereas this relationship reverses during the crisis finally this reversal seems to be triggered by lehman s collapse

dynamic spillover effects among crude oil precious metal and agricultural commodity futures markets abstract this paper examines spillover effects among six commodity futures markets gold silver west texas intermediate crude oil corn wheat and rice by employing the multivariate deco garch model and the spillover index specifically we investigate the dynamics of return and volatility spillover indices to reveal the intensity and direction of transmission during the recent global financial and european sovereign debt crises our empirical results are as follows first we estimate a positive equicorrelation between commodity futures market returns and find that it increased sharply during the crises this effect can persist during periods of economic and financial turmoil diminishing the benefits of international portfolio diversification for investors second we identify bidirectional return and volatility spillovers across commodity futures markets and find more pronounced trends in their levels in the post crisis period this indicates the strong impact of spillovers during crisis periods third both gold and silver are information transmitters to other commodity futures markets while the remaining four commodity futures investigated were receivers of spillovers during recent periods of financial stress finally we analyse the optimal portfolio weights and time varying hedge ratios between metal and other commodities futures markets overall our findings provide new insights into channels of information transmission which may improve investment decisions and inform portfolio investors trading strategies

comovement in international equity markets a sectoral view abstract we investigate shifts in correlation patterns among international equity returns at the market level as well as the industry level we develop a novel bivariate garch model for equity returns with a smoothly time varying correlation and then derive a lagrange multiplier statistic to test the constant correlation hypothesis directly applying the test to weekly data from germany japan the uk and the us in the period 1980 2000 we find that correlations among the german uk and us stock markets have doubled whereas japanese correlations have remained the same both dates of change and speeds of adjustment vary widely across countries and sectors

regime switching in the relationship between equity returns and short term interest rates in the uk abstract this paper examines the relationship between uk equity returns and short term interest rates using a two regime markov switching egarch model the results suggest one high return low variance regime within which the conditional variance of equity returns responds persistently but symmetrically to equity return innovations in the other low mean high variance regime equity volatility responds asymmetrically and without persistence to shocks to equity returns there is evidence of a regime dependent relationship between shorter maturity interest rate differentials and equity return volatility furthermore there is evidence that events in the money markets influence the probability of transition across regimes

impact of the financial crisis on indian commodity markets structural breaks and volatility dynamics the shocks transmitted across the financial markets during the financial crisis resulted in structural changes in commodity volatility hence understanding volatility dynamics in changing scenario is vital for derivative pricing risk management and monetary policy stabilization this paper studies the impact of the financial crisis by analyzing the following aspects 1 presence of structural break regime shift in volatility by deploying markov and wavelet model during financial crisis and 2 crisis impact on volatility dynamic behavior such as persistence leverage and long memory by deploying hybrid wavelet egarch and fractional integration spot prices of 18 commodities were examined including all sub sectors of energy metals and agriculture indian commodity indices sub indices global benchmark indices and also stock indices such as sp agricultural commodities showed faster convergence to long run equilibrium while metal and energy experienced higher persistence and attracted more financial speculation the impact of the crisis on agricultural commodities was limited to internationally traded commodities such as sugar and rubber the common breaks and different volatility dynamics have been attributed to systematic risk and to idiosyncratic components respectively it was also found that during and after the crisis more than idiosyncratic risk it was systematic risk that contributed significantly to the volatility patterns of indian commodity markets

interest rate linkages within the european monetary system further analysis j costas karfakis and demetrios m moschos 1990 examine the interest rate linkages within the european monetary system ems concluding that the german interest rate plays a dominate role within the ems the authors reexamine the interest rate linkages within the ems with the addition of the interest rate of the united states their results suggest that both the united states and german interest rates play an important but not dominant role in ems interest rate linkages copyright 1993 by ohio state university press

the transmission from equity markets to commodity markets in crises periods abstractthis article investigates the transmission from equity markets to commodity markets during two major financial crises namely the subprime mortgage and the sovereign debt crises we perform an analysis on sub stages from 3 january 2003 to 31 october 2013 to capture the price behaviour of both equity and commodity markets two financial crises indicators vix and cds are used to represent fear of a crisis we find that correlations between commodity and equity markets are time varying and highly volatile during a financial crisis while sharing some common features commodities cannot be considered a homogeneous asset class segmentation characteristics of commodity markets disappear in times of financial crises reducing their substitutability as an investment portfolio for asset diversification purposes through our test for granger causality we find the existence of transmission during a financial crisis volatility spillover effect also plays a major role as transmission mechanisms after the

what experimental protocol influence disparities between actual and hypothetical stated values preferences elicited in hypothetical settings have recently come underscrutiny causing estimates from the contingent valuation method to bechallenged due to perceived hypothetical bias given that the receivedliterature derives value estimates using heterogeneous experimentaltechniques understanding the effects of important design parameters onthe magnitude of hypothetical bias is invaluable in this paper we addressthis issue statistically by using a meta analysis to examine data from 29experimental studies our empirical findings suggest that on averagesubjects overstate their preferences by a factor of about 3 in hypotheticalsettings and that the degree of over revelation is influenced by thedistinction between willingness to pay and willingness to accept publicversus private goods and several elicitation methods

food environment in the united states as a complex economic system the food environment in the united states is complex sixteen socio economic demographic variables from various public data sources are studied with a machine learning algorithm to ascertain the causality structure associated with the food environment in the united states high levels of unemployment and poverty are direct causes of high levels of food insecurity while low income causes high levels of food insecurity via increased levels of poverty unemployment is a common cause for both increased levels of food insecurity and poverty we find that food insecurity and participation in supplemental nutrition assistance program snap are related yet no direct causality is observed contrary to past studies which find that snap participation decreased the occurrences of poverty in contemporaneous time we find that poverty and snap participation are related through several back door paths via food insecurity unemployment race and food taxes obesity and snap participation are indirectly related via several back door paths namely race income poverty and food insecurity and unemployment also food insecurity and obesity are related by several back door paths low income high food taxes and race being black and non hispanic are direct causes of obesity the complex causality structure in the us food environment reveals that policy variables cannot be treated independently of their rich causal structure government agencies responsible for designing policies for food assistance poverty alleviation combating food insecurity and obesity need to consider the interrelationships among these variables

are stock market crises contagious the role of crisis definitions abstract financial contagion studies generally examine whether co movement between markets increases during a crisis we use a flexible co movement measure to examine how conclusions of such analyses depend on the sample chosen as the crisis to this end we analyse stock market co movement during the 1997 asian crisis and the 2007 global financial crisis for all possible source countries and for all possible time periods or extreme return quantiles this way we account for the main crisis dating approaches adopted in the literature our results suggest there is no clear relationship between excess co movement and commonly used crisis samples

volatility equicorrelation a cross market perspective this paper contains the first empirical application of the dynamic equicorrelation deco model to a cross market dataset composed of equities bonds foreign exchange rates and commodities during 1983 2013 the originality of our approach consists of examining the volatility equicorrelations by updating the concept of volatility surprise we document that the average volatility equicorrelation across markets is around 15 while being time varying with regime shifts before after september 2005 and with a low mean reversion level

sustainable food consumption among young adults in belgium theory of planned behaviour and the role of confidence and values abstract this study investigates determinants of sustainable food consumer behaviour in belgium to gain a better insight in sustainable consumption a study was conducted in which attitudes and behaviour as well as the role of individual characteristics like confidence and values related to sustainable products are analyzed the focus of the analysis is on exploring the influence of determinants as hypothesised by the theory of planned behaviour tpb attitudes perceived behavioural control social norms on sustainable consumption intention in general and specifically depending on consumer s perceived confidence and personal values the empirical research builds on a survey with a sample of 456 young adults using a questionnaire and showing an advertisement for hypothetical sustainable dairy products stepwise multiple regression models showed that 50 of the variance in intention to consume sustainable dairy was explained by the combination of personal attitudes perceived social influences perceived consumer effectiveness and perceived availability in addition different levels of confidence and value orientation yield different strengths of the determinants the findings yield public policy and marketing recommendations for stimulating sustainable food consumption among young adults

international co movements of real and financial economic variables this study presents a first attempt at investigating whether the international co movements of real economic activity conform to the same international co movements of financial activity this study tests the international co movements of real economic activity on the one hand and financial variables such as stock returns interest rates inflation rates and risk premiums on the other hand we employ a dynamic correlation model on data from oecd countries for the period 1980 2010 our findings demonstrate that international stock markets co react in accordance with the underlying international economic forces we also document three other results first the correlation among countries with respect to real economic activity is statistically positive but the level of this correlation is lower than that of financial variables second there is a significant increase over time in the international correlation level with respect to the financial variables finally the creation of the euro monetary union

a model of carbon price interactions with macroeconomic and energy dynamics abstract this paper develops a model of carbon pricing by considering two fundamental drivers of european union allowances economic activity and energy prices on the one hand economic activity is proxied by aggregated industrial production in the eu 27 as it provides the best performance in a preliminary forecasting exercise vs other indicators on the other hand brent natural gas and coal prices are selected as being the main carbon price drivers as highlighted by previous literature the interactions between the macroeconomic and energy spheres are captured in a markov switching var model with two states that is able to reproduce the boom bust business cycle hamilton 1989 first industrial production is found to impact positively negatively the carbon market during periods of economic expansion recession thereby confirming the existence of a link between the macroeconomy and the price of carbon second the brent price is confirmed to be the leader in price formation among energy markets bachmeier and griffin 2006 as it impacts other variables through the structure of the markov switching model taken together these results uncover new interactions between the recently created eu emissions market and the pre existing macroeconomic energy environment

eco localism and sustainability abstract economic sustainability is best secured by the creation of local or regional self reliant community economies this is the central argument of eco local economic theory drawing on the experience of local currencies community corporations regional food economies and other locally oriented efforts eco local theory presents a new analysis of the economy of place it focuses on locally symbiotic capital positive externalities of self reliance and negative externalities of long distance trade and its specific concepts and analyses of the economy efficiency and economies of scale and consumption and welfare given its specific values and assumptions it is an economic theory of the social economy that is compatible with but distinct from ecological economics

re employment probabilities of unemployment benefit recipients this article studies transitions out of unemployment for benefit recipients in spain we analyse the duration of unemployment distinguishing between spells that end in recall workers returning to the previous employer and spells that end in exit to a new job this distinction allows us to find that the recall hazard rate increases around the time of exhaustion of benefits however this happens only for workers receiving unemployment insurance ui because we are unable to replicate this result for workers receiving unemployment assistance ua we believe the finding lends support to the hypothesis that in spain firms and workers make a strategic use of ui

emerging economies in the 2000s real decoupling and financial recoupling the paper documents an intriguing development in the emerging world in the 2000s a decoupling from the business cycle of advanced countries combined with the strengthening of the co movements in the main emerging market assets that predates the synchronized sell off during the crisis in addition the paper tests the hypothesis that financial globalization to the extent that it creates a common global investor base for emerging markets could lead to a tighter asset correlation despite the weaker economic ties while an examination of the impact of alternative financial globalization proxies does not yield conclusive results a closer look at global emerging market equity and bond funds shows that the latter indeed foster financial recoupling during downturns reflecting the fact that they trade near their respective benchmarks and respond to withdrawals by liquidating holdings across the board

decomposing local a conjoint analysis of locally produced foods increasingly foods are marketed as locally grown we use stated preference data from a choice based conjoint instrument to address two issues surrounding consumer demand for locally produced goods 1 what is the geographical extent of local and 2 is the value consumers place on local production distinct from other factors that are often confounded with locally produced foods such as farm size and product freshness we find our subjects place similar value on products produced in state and nearby and that consumers willingness to pay for local production is independent from values associated with product freshness and farm size copyright 2008 oxford university press

spillover effects in the global copper futures markets asymmetric multivariate garch approaches this study investigates changes in return and volatility spillovers between the lme comex and the shfe copper futures markets before and after the global financial crisis and after the introduction

asset market linkages in crisis periods we characterize asset return linkages during periods of stress by an extremal dependence measure contrary to correlation analysis this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships our estimates for the g 5 countries suggest that simultaneous crashes between stock markets are much more likely than between bond markets however for the assessment of financial system stability the widely disregarded cross asset perspective is particularly important for example our data show that stock bond contagion is approximately as frequent as flight to quality from stocks into bonds extreme cross border linkages are surprisingly similar to national linkages illustrating a potential downside to international financial integration

new methodology for constructing real estate price indices applied to the singapore residential market this paper develops a new methodology for constructing a real estate price index that utilizes all transaction price information encompassing both single sales and repeat sales the method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales the methodology employs a model design that uses a sale pairing process based on the individual building level rather than the individual house level as is used in the repeat sales method the approach extends ideas from repeat sales methodology in a way that accommodates much wider datasets in an empirical analysis of the methodology we fit the model to the private residential property market in singapore between q1 1995 and q2 2014 covering several periods of major price fluctuation and changes in government macroprudential policy the index is found to perform much better in out of sample prediction exercises than either the s p case shiller index or the index based on standard hedonic methods in a further empirical application the recursive dating method of phillips et al 2015a b is used to detect explosive behavior in the singapore real estate market explosive behavior in the new index is found to arise two quarters earlier than in the other indices

contagion across us and european financial markets evidence from the cds markets abstract this study investigates whether contagion occurred during the recent global financial crisis across european and us financial markets the methodologies used to test for contagion are based on changes in correlation coskewness cokurtosis and covolatility these tests are applied to a set of bank sector cds insurance sector cds sovereign bonds equity and volatility indices the findings indicate significant evidence of contagion especially through the channels of higher order moments

dynamic global linkages of the brics stock markets with the united states and europe under external crisis shocks implications for portfolio risk forecasting crisis shocks often lead to changes in the interdependence across stock markets and thus risk assessment and management this paper investigates the extent to which the global financial crisis of 2008 2009 which was triggered by the us subprime crisis in 2007 and the european debt crisis started at the end of 2009 affect the interdependence of the leading emerging markets of the brics countries with those of the united states and europe our empirical analysis makes use of the fiaparch model combined with the dynamic equicorrelation deco fiaparch which allows for the estimation of market linkage for a large group of countries as a whole while controlling for asymmetric volatility and long memory the results reveal the presence of important changes in the time varying linkages of the brics stock markets with the us and european ones in particular the average linkages have significantly been higher between 2007 and the first half of 2012 than the remaining part of the sample and there is also evidence of structural change around the lehman brothers collapse we also show the effects of these stylized facts on portfolio risk assessment and forecasting

interactions between oil and financial markets do conditions of financial stress matter abstract this study uses a structural threshold var model to study the nonlinear relationships between oil and financial variables the threshold effect is robust across models having different structural orderings of shocks evidence shows that shocks associated with different financial stress regimes explain the asymmetric responses of the system shocks in the stressed regime usually have larger and longer effects than shocks in the normal regime the inverse relationship between real interest rate and real oil price is conditioned on a number of factors and is not robust across all manner of circumstances the relationship between oil price and the us dollar is shock dependent a negative shock that depreciates the dollar may trigger an increase in oil price yet a positive oil shock may lead to appreciation of the dollar finally oil s ability to hedge against rising risk is limited to a market with normal stress conditions it is the us dollar that generally serves as a safe haven when financial markets are enmeshed in considerable tension

economic integration and the comovement of stock returns abstract we analyze how economic integration affects the cross country comovements in stock returns in developed and emerging markets bilateral trade intensity increases the correlation of returns while real exchange rate volatility the asymmetry of output growth and export dissimilarity decrease it

common stochastic trends in international stock markets abstract this paper presents evidence concerning the number of common stochastic trends in the equity markets of the u s japan england germany and canada monthly and quarterly data from january 1974 through august 1990 on morgan stanley s capital international indices are used to compute johansen 1990 tests for common trends the results indicate the presence of a single common trend driving these countries stock markets estimates of the factor loadings suggest that this trend is most important in the japanese market and least important in the canadian market to interpret this evidence the paper demonstrates that under weak conditions the unit root and cointegration structure of stock prices should mirror the unit root and cointegration structure of their dividend payments the paper tests this prediction by constructing national dividend series from capital international s dividend yield data as well as by using gnp data as with stock prices the evidence points to a single common trend although the stochastic properties and relative importance of this trend differs somewhat from the trend in stock prices

consumers valuation of sustainability labels on meat there are various sustainability certifications and claims for food products that focus on environmental or ethical benefits these claims empower consumers to make informed purchasing decisions that take environmental and ethical considerations into account this paper compares consumers preferences for four types of sustainability claims related to organic meat free range animal welfare and carbon footprint using a choice experiment on a chicken breast product our results show that nine in every ten belgian consumers favor free range claims which are also valued the most highly attracting premiums ranging from 43 to 93 our study also shows that a vast majority of consumers 87 would welcome the introduction of an eu level animal welfare label the carbon footprint labels and the organic labels are less appealing to consumers who have lower willingness to pay for these labels belgian consumers prefer the national belgian organic food logo certified by a private organization to the newly introduced eu organic food logo

5 information impact and allocation rules in auctions with affiliated private values a laboratory study in affiliated private value auctions each bidder has perfect information regarding his her own value for the object at auction but higher values of the item for one bidder make higher values for other bidders more likely we report on a series of experiments examining three key implications of these auctions i in a first price auction public information about rivals values increases expected revenue ii an english auction increases expected revenue compared to a first price auction and iii a second price auction is isomorphic to an english auction in examining these issues we compare predictions of some ad hoc bidding models with nash equilibrium predictions in the first price auction experiments nash equilibrium bidding theory organizes the data better than either of two ad hoc bidding models public information about others valuations does increase average revenue but the increase in revenue is smaller and less reliable than predicted under risk neutral nash equilibrium bidding lower average revenue might be attributed to risk aversion while the high variability is attributed to a sizable frequency of individual bidding errors relative to the theory bidding theory precisely organizes english auction outcomes after a brief initial learning period the dominant strategy equilibrium does not organize second price auctions nearly as well as market prices persistently exceed predicted prices the difference between english and second price outcomes is attributed to effects of different information flows inherent in the structure of the two institutions on eliminating bidding errors revenue impacts of these two institutions relative to a first price auction are examined in light of observed bidding patterns

long run relationships between international stock prices further evidence from fractional cointegration tests the recent empirical literature supports the view that most of the international stock prices are not pairwise cointegrated however by using fractional cointegration techniques this paper shows that france germany hong kong and japan stock prices indices are pairwise fractionally cointegrated with us stock prices equilibrium errors are mean reverting with half life lying between 2 and 12 days it is worthwhile noting that emerging markets like brazil and argentina are not pairwise cointegrated with the us stock market these new results have important implications for asset pricing and international portfolio strategy

risks of latin america sovereign debts before and after the financial crisis we investigate the financial determinants of the return and volatility of sovereign cds spread from six major latin american countries before and after the bankruptcy of lehman brothers other than cboe vix index we also find that global factors including us baa aaa default yield ted spread and us treasury rate all contribute to the changes in these sovereign cds spread although global risk aversion vix is a significant determinant of sovereign debt spread in the years after the crisis the emphasis has shifted towards short term refinancing risk ted furthermore the risk of greek sovereign debt crisis also transmitted latin american cds spreads immediately but only in the post lehman sub period these findings provide implications for international bonds and credit derivatives trading strategies

increasing convergence among european stock markets a recursive common stochastic trends analysis abstract the degree of convergence among three major european stock markets is analyzed within the framework of a recursive common stochastic trends analysis the results point towards a decreasing number of common stochastic trends influencing the stock markets i e the degree of convergence among european stock markets has been increased during the recent two decades

structurally dependent competing risks abstract in this paper we specify and estimate a structurally dependent competing risks model for the transitions out of unemployment into either new job or recall the recall probability is allowed to affect the search intensity for new jobs

sustainability labels on coffee consumer preferences willingness to pay and visual attention to attributes abstract sustainability labels are important tools that help consumers assess the sustainability aspects of food while past studies have focused on visual attention to nutrition information no study has investigated the visual attention paid by consumers to the sustainability information on food our study contributes to the need to better understand consumers attention to sustainability information when making food choices the objective was to explore the importance that consumers attach to sustainability attributes and investigate how this relates to the visual attention paid to these attributes during the choice decision and to willingness to pay wtp visual attention during the decision making process was measured in terms of fixation time and fixation count which were then analyzed in relation to the stated attribute importance our results suggest that consumer segments with differences in stated attribute importance visually attend differently to these attributes higher valued attributes also exhibited higher visual attention our results suggest that consumers who spend more time attending to and fixate more on sustainability attributes value them more

a markov regime switching approach for hedging energy commodities abstract this paper estimates constant and dynamic hedge ratios in the new york mercantile exchange oil futures markets and examines their hedging performance we also introduce a markov regime switching vector error correction model with garch error structure this specification links the concept of disequilibrium with that of uncertainty as measured by the conditional second moments across high and low volatility regimes overall in and out of sample tests indicate that state dependent hedge ratios are able to provide significant reduction in portfolio risk

flexible parametric estimation of duration and competing risk models in this paper we specify and estimate a flexible parametric proportional hazards model the model specification is flexibly parametric in the sense that the baseline hazard is non parametric while the effect of the covariates takes a particular functional form we also add parametric heterogeneity to the underlying hazard model specification we specify a flexible parametric proportional competing risks model which permits unrestricted correlation among the risks unemployment duration data are then analysed using the flexible parametric duration and competing risks specifications we find an important effect arising from the exhaustion of unemployment insurance and significantly different hazards for the two types of risks new jobs and recalls

the threat effect of active labour market programmes in this paper we estimate the threat effect of active labour market programmes almps for a sample of unemployed men in denmark threat effects of such programmes capture the impacts of a system of almps prior to actual participation rational economic agents make search decisions based on the expected discounted value of unemployment and the perceived risk of future participation in programmes may affect job search behaviour early in the unemployment spell we find a strong and significant threat effect which is shown to reduce average unemployment duration by two and a half weeks

macroeconomic policy uncertainty shocks on the chinese economy a gvar analysis abstractthis article studies the spillovers of economic policy uncertainty epu from developed economies to china in terms of the source extent and persistence by estimating a global vector autoregressive gvar model with both financial and trade variables acting as the transmission channels our findings confirm the existence of international transmissions of policy uncertainty while the patterns differ markedly the us epu appears to be the most significant cause of the fall of export industrial production equity price and exchange rate meanwhile the eu epu is also to be blamed for the depreciation of rmb in contrast to industrial production which shows the largest negative impact chinese inflation increases to a relatively smaller extent with the epu shocks ranking as the us japanese and the eu regardless of the minor impact on a long term interest rate the short term interest rate in china reacts positively to the european and us epu shocks despite the independent national monetary poli

time preferences and food choices evidence from a choice experiment time preferences have been recognized by numerous studies as an important driver of a number of healthy and environmentally friendly behaviors in this study we first examined if healthy and environmentally friendly food labels e g usda organic carbon trust health claim and calories are relevant in driving food choices second using the consideration of future consequences cfc scale we analyzed if individuals with different time preferences have different choice behavior and valuations in relation to these labels results indicate that consumers value both healthy and environmentally friendly attributes displayed on labels results also suggest that time preferences can significantly influence consumers valuation for the usda organic label the presence of health claims and the calorie amount attribute

asymmetric correlations in gold and other financial markets abstractin this article we implement a recently developed statistical method to test asymmetries in cross asset correlations focusing in particular on the gold market our empirical results provide evidence that gold exhibits asymmetric correlations with stocks and the u s dollar but not with bonds furthermore splitting the sample into three characteristic periods we find that exceedance correlations exhibit substantial time variation even in similar market tensions for same pairs of assets our findings imply that investors and fund managers should take into account the asymmetric dependence structure which depends on the upside or downside of the market

the impact of unconventional monetary policy on the market for collateral the case of the french bond market we consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants in particular we analyze liquidity and volatility premia on the french government debt securities market since these assets are used as collateral both in the open market operations of the ecb and on the interbank market in our time varying transition probability markov switching tvtp ms model we highlight the existence of two regimes in one of them which we refer to as the conventional regime monetary policy neutrality is verified in the other which we dub the unconventional regime monetary policy operations lead to volatility and liquidity premia on the collateral market the existence of these conventional and unconventional regimes highlights some asymmetries in the conduct of monetary policy

european monetary union a cointegration analysis this paper employs systems based cointegration techniques developed by johansen 1988 1995 to determine which european union countries would form a successful economic and monetary union emu based on long run behavior of the nominal convergence criteria laid down in the maastricht treaty the original 12 european union countries are analyzed together nominal exchange rates real exchange rates longterm interest rates and government budget deficits are each analyzed for co movements among the 12 countries and various subgroups of them the results suggest that not all of the 12 original countries of the european union could possibly form a successful emu over time unless several countries made significant adjustments

the integration of direct real estate and stock markets in asia currently there exists relatively little research investigating the long term association between stock and direct real estate markets using appropriate transaction based property indices this study focuses on the relationship between stock and direct real estate markets in nine asian countries from the period 1980 to 2012 through both linear and nonlinear cointegration techniques we find empirical evidence of linear cointegration of stock and property markets in taiwan fractional cointegration in singapore and hong kong and no evidence of cointegration in china japan thailand malaysia indonesia and south korea it is concluded that segmentation of property markets from stock markets does not appear to be linked to the differences in the maturity of national financial markets and that the differing degrees of integration across asia may instead be reflective of a range of factors impacting upon the underlying economic structures in each country