identifying roles of international institutions in clean energy technology innovation and diffusion in the developing countries matching barriers with roles of the institutions abstract the development of clean energy technologies is a central issue in climate change negotiation the signatory countries to the united nations convention on climate change agreed to organize the technology executive committee and the climate technology centre and network the objectives of this paper are twofold the first objective is to show a broad landscape of barriers in technology development the paper summarizes the results of key case studies that were conducted to uncover technology specific barriers in technology development these case studies include both technologies for industrial use such as wind bio energy and building energy efficiency and technologies for individual use such as light emitting diodes and photovoltaic panels the case studies also contain technologies at the innovation stage such as integrated gasification combined cycle and carbon capture and storage the second objective of this paper is to highlight and define roles of international institutions in overcoming identified barriers in clean energy technology development in this paper four areas of focus for international institutions are discussed including 1 increasing r d cooperation at the innovation stage 2 facilitation of intellectual property rights 3 supporting finance and 4 enhancing the enabling environment at the diffusion stage

agricultural price instability a survey of competing explanations and remedies there are two explanations for agricultural price dynamics one follows cobweb logic and models fluctuations driven by expectation errors but emphasises that these expectations create complex dynamics and possibly chaos the other stems from the rational expectations tradition of dynamics driven by real shocks the empirical evidence tends to support the latter but is not conclusive the rational expectations model generates an optimal dynamic path from which no improvement can be expected from public intervention however if we take account of all the potential market failures in agricultural markets and especially in developing countries this conclusion might require some qualifications although an appropriate policy design for stability has still to be achieved this paper surveys the positive and normative literature on agricultural prices highlighting empirical evidence and identifying remaining unresolved issues

determinants of united states trade balance with australia this study explores the determinants of the usa s trade balance ne with australia and tests for long run relationships regression results suggest the most important determinant of ne is the price ratio usa relative to australia followed by the lending rate ratio gdp ratio money supply ratio and the real exchange rate which together explain 93 of the variation in ne f tests suggest ne responds to rising and falling exchange rate regimes symmetrically johansen s cointegration test suggests a significant at 1 long run relationship between ne and its determinants based on engle granger import share is and output growth q are cointegrated at 10 if q shocks precede is shocks suggesting a weak long run relationship between them there is a positive long run relationship between ne and the exchange rate er at 5 if er shocks precede ne shocks results based on the error correction model suggest a positive relationship between expected er and ne and reinforce the cointegration results

price density forecasts in the u s hog markets composite procedures we develop and evaluate quarterly out of sample individual and composite density forecasts for u s hog prices individual density forecasts are generated using time series models and the implied distributions of usda and iowa state university outlook forecasts composite density forecasts are constructed using linear and logarithmic combinations of the individual forecasts and several weighting schemes density forecasts are evaluated on predictive accuracy sharpness goodness of fit calibration and their economic value in a hedging simulation logarithmic combinations using equal and mean square error weights outperform all individual density forecasts and are modestly better than linear composites comparison of the outlook forecasts to the best composite demonstrates the usefulness of the composite procedure and identifies the economic value that more accurate expected price probability distributions can provide to producers

the role of market forces in assuring contractual performance the conditions under which transactors can use the market repeat purchase mechanism of contract enforcement are examined increased price is shown to be a means of assuring contractual performance a necessary and sufficient condition for performance is the existence of price sufficiently above salvageable production costs so that the nonperforming firm loses a discounted steam of rents on future sales which is greater than the wealth increase from nonperformance this will generally imply a market price greater than the perfectly competitive price and rationalize investments in firm specific assets advertising investments thereby become a positive indicator of likely performance

debt deleveraging and the liquidity trap a fisher minsky koo approach in this paper we present a simple new keynesian style model of debt driven slumps that is situations in which an overhang of debt on the part of some agents who are forced into rapid deleveraging is depressing aggregate demand making some agents debt constrained is a surprisingly powerful assumption fisherian debt deflation the possibility of a liquidity trap the paradox of thrift a keynesiantype multiplier and a rationale for expansionary fiscal policy all emerge naturally from the model we argue that this approach sheds considerable light both on current economic difficulties and on historical episodes including japan s lost decade now in its 18th year and the great depression itself

monetary impacts on prices in the short and long run some evidence from new zealand this paper presents support for long run monetary neutrality based on evidence that individual time series for money manufacturing prices and agricultural prices are nonstationary but cointegrated with a stationary proportional long run relationship among their levels dynamic simulations from a vector error correction model with this restriction imposed show that monetary shocks shift relative prices in favor of agriculture in the short run and permanently raise nominal prices manufacturing price shocks have similar long run effects but initially place agriculture in a cost price squeeze while agricultural price shocks are transitory and have little impact on the other series

estimating var models under non stationarity and cointegration alternative approaches for forecasting cattle prices multivariate var models estimated with non stationary data raise difficult econometric questions because differencing to achieve stationary can introduced distortions into multivariate models three approaches have been suggested for estimating such models 1 vector error correction vec models difference the data to achieve stationary and use an error correction term to replace the long run information lost through differencing 2 var models can be estimated with raw data in levels if the non stationary data is also cointegrated because recent theoretical work proves that estimation with such data will yield consistent parameter estimates 3 bayesian parameter estimates are not affected by non stationarity although some analysts argue that bayesian analysis is not appropriate for data that is also cointegrated a multivariate cattle price model provides a good framework for comparing these approaches because the major variables are both non stationary and cointegrated and because the model s opti

forecasting agricultural exports and imports in south africa the implementation of wide ranging policy reforms including trade and exchange rate policies is improving the efficiency of the south african economy and its reintegration into the global economy with rapid export expansion agricultural exports in the southern african customs union increased from r8 14 billion in 1995 to r23 0 billion in 2003 whilst agricultural imports rose from r6 83 billion to r13 84 billion during the same period this article uses alternative approaches to forecasting agricultural exports and imports in south africa the models used include exponential smoothing autoregressive integrated moving average arima vector autoregression var engle granger eg single equation and vector error correction models vecm we found that the arima and eg methods outperform the var and vecm according to theil s u statistic the var outperforms the vecm in forecasting agricultural exports in south africa the combined forecasts have a lower variance compared to individual forecasts ther

interpreting the macroeconomic time series facts the effects of monetary policy existing theory and evidence on the effects of monetary policy are reviewed substantial room for disagreement among economists remains new evidence based on multivariate time series studies of several countries is presented while certain patterns in the data consistent with effective monetary policy are strikingly similar across countries others particularly the tendency of interest rate increases to predict high inflation are harder to reconcile with effective monetary policy

fiscal policy and financial market movements abstract this paper estimates fiscal policy reaction function in order to investigate the links between financial market movements and fiscal policy outcomes an increase in asset prices affects in a positive and significant manner primary balances with the response reflecting both an increase in government revenues and a fall in government spending the most important impact on fiscal balances is due to changes in residential property prices changes in equity and commercial property prices are also important determinants of fiscal balances our findings suggest that the steepening of the slope of the yield curve contributes to expenditure based fiscal discipline

implications of oil prices shocks for the major emerging economies a comparative analysis of brics abstract this study analyses the implications of oil prices shocks for the brics economies we employed a time varying structural vector autoregressive tv sva framework in which the sources of time variation are the coefficients and variance covariance matrix of the innovations the quarter frequency data for the period of 1987qii 2017qii is used for the empirical analysis the key findings suggest that there are substantial differences and asymmetries in the response of these economies to oil shocks these differences were profound between and even within oil exporters and importers it shows that between major oil exporters i e russia and brazil the former s economy is rather more intensively influenced by oil prices shocks between the two largest net oil importers i e india and china comparatively the indian economy seems to be rather more vulnerable to oil prices shocks in terms of their adverse effects on gdp inflation and balance of trade the dependence of economies on oil and an increasing level of consumption continue to pose policy challenges for prices and economic stability the analysis on south africa also shows negative impacts of oil prices shocks however the effects are comparatively more time variant than other brics members while these asymmetries indicate significant differences in the structure of these economies they also indicate venues of cooperation and stronger trading relationships to overcome the adverse shocks and mutual development

relative prices complementarities and comovement among components of aggregate expenditures abstract recent work suggests that the standard real business cycle framework has difficulty accounting for co movement among aggregate expenditure components when they are disaggregated even slightly to include business and household investment in addition relative prices of these goods have displayed substantial variation over the post war period this paper reports that incorporating a source of empirically plausible relative price variability makes the framework s implications for comovement even worse compounding the comovement problem the possibility that complementarities in the production of household and business capital may help account for observed co movement is considered the results suggest that complementarities improved the framework s empirical performance

monthly price premiums and discounts between steer calves and yearlings distributed lags are used to estimate monthly prices and price premiums and discounts between steer calves and steer yearlings the statistical results show that premiums and discounts are not highly seasonal but are affected by expected changes in fed slaughter prices and cost of gain in the feedlot the effects of these variables are sensitive to time thus the latter should be taken into account for future marketing decisions also price flexibility coefficients indicate that profitability risk in cattle finishing is shifted more to price weight differences of cattle placed on feed than to changes in the individual prices themselves

success factors for environmentally sustainable product innovation a systematic literature review the growing awareness regarding environmental sustainability has fully reached business reality consumers and companies alike are looking for alternatives to mitigate pressing environmental demands resulting from continuous population and economic growth on the other hand companies must deal with an increasingly competitive scenario where innovation is regarded as a survival need in most markets it is thus clear that systematic academic research is paramount to guide companies to succeed in environmentally sustainable product innovation in this context this paper i consolidate extant research and aggregate findings of different studies on environmentally sustainable product innovation through an interpretative framework of published literature on the topic and ii map critical success factors that drive the success of product innovation developed in this new logic of production and consumption to achieve these objectives a systematic literature review on environmentally sustainable product innovation was conducted results show that there are four main critical success factors for environmentally sustainable product innovation market law and regulation knowledge interfunctional collaboration innovation oriented learning and r d investments the factors identified in this research and corresponding variables were subjected to a brief empirical test by professionals the test allowed a preliminary approval of the developed framework and identification of the most important variables within each factor a research agenda based on the state of the art on the topic is also proposed

functional equivalence between intertemporal and multisectoral investment adjustment costs abstract two types of adjustment cost specifications coexist in macroeconomic models with investment intertemporal adjustment costs which involve a nonlinear substitution between capital and investment in capital accumulation and multisectoral costs which are captured by a nonlinear transformation between consumption and investment this paper demonstrates a functional equivalence between these two specifications one surprising result is that an increase in multisectoral adjustment costs can be equivalent to a decrease in intertemporal adjustment costs depending upon the size of the intertemporal costs we then observe that the functional equivalence implies a problem in identifying the two types of adjustment costs and show ways to solve the problem

markets for experience goods with performance uncertainty this article analyzes the market for experience goods when the product s quality is uncertain unlike the case of certain product quality in this setting a customer who receives a bad product cannot automatically infer that the producer has cheated in this two period model producers select either high or low quality technologies and consumers individually decide whether or not to rebuy the product in the second period the sequential equilibria involve mixed strategies in producer honesty and buyer trust and the form of these strategies under conditions of monopoly and competition is investigated unreasonable equilibria are eliminated by applying a form of kohlberg and mertens invariance criterion several extensions are analyzed including the use of first period discounts and an infinite horizon model obtained by independent repetition of the two period case if product quality is costly and cannot be determined prior to consumption why should consumers believe a seller s quality claims using telser s 1980 idea of self enforcing agreements klein and leffler 1981 developed the now standard solution to this problem the price remains above the cost providing high quality sellers with rents and consumers boycott any seller discovered cheating on quality however production technologies may have performance uncertainty that is the producer might not have perfect control over the quality of each unit consequently the receipt of an inferior product might not always be a clear signal that a supplier is cheating given the existence of performance uncertainty buyers receiving low quality products do not know whether to blame their problems on malfeasance or on bad luck this ambiguity can itself increase the seller s propensity to cheat in this article we construct and analyze a model of an experience good market with performance uncertainty the model features fully rational and homogeneous buyers and sellers there are no arbitrary beliefs or types of player the setup constrains a buyer s information to his personal experience rules out any threats to boycott that are not credible

forecasting vector autoregressions with bayesian priors the paper explores the justification for and application of bayesian priors in forecasting a vector autoregression a nonsymmetric random walk prior outperforms three alternative time series representations in forecasting five series of the u s hog market

a rational distributed lag model of quarterly live cattle prices quarterly u s feeder cattle and fed cattle prices were estimated within a rational distributed lag framework utilizing nonstochastic difference equations to minimize problems with specification errors in the disturbance structure the behavior of certain input and output variables in the beef market explained the price variation in each reduced form equation the results revealed dynamic stability with a geometric rational lag structure describing fed cattle prices and a polynomial rational lag structure characterizing feeder cattle prices these dynamics were found to be better than both static serial correlation and purely autoregressive specifications

analyzing the functional dynamics of technological innovation systems a scheme of analysis various researchers and policy analysts have made empirical studies of innovation systems in order to understand their current structure and trace their dynamics however policy makers often experience difficulties in extracting practical guidelines from studies of this kind in this paper we operationalize our previous work on a functional approach to analyzing innovation system dynamics into a practical scheme of analysis for policy makers the scheme is based on previous literature and our own experience in developing and applying functional thinking it can be used by policy makers not only to identify the key policy issues but also to set policy goals

sustainable development and the challenge of innovation abstract innovation does not automatically lead to societal progress as is implicitly assumed in technology push oriented policies this assumption is an inheritance of the enlightenment i e the belief that science will automatically lead to a better quality of life the strive for sustainable development needs an approach towards innovation that can be characterised as society pull the society has to decide which balance of economical ecological and social goals are to be met society pull can be organised by developing shared perspectives for the future which are inspiring for public and private policy makers and investors in this paper this is worked out as transition management a process approach directing innovation towards sustainable development a crucial aspect of transition management is that innovation is no longer driven by the past but attracted by the future

indivisible labor and the business cycle abstract a growth model with shocks to technology is studied labor is indivisible so all variability in hours worked is due to fluctuations in the number employed we find that unlike previous equilibrium models of the business cycle this economy displays large fluctuations in hours worked and relatively small fluctuations in productivity this finding is independent of individuals willingness to substitute leisure across time this and other findings are the result of studying and comparing summary statistics describing this economy an economy with divisible labor and post war u s time series

entry and experimentation in oligopolistic markets for experience goods abstract we investigate a two period bertrand market in which one seller introduces an experience good the new product competes with an alternative good of known quality ex ante neither sellers nor consumers know the value of the new product while consumers can learn their valuation for the new good by actual consumption experimentation sellers cannot observe experimentation outcomes thus asymmetric information arises if the buyer experiments as a result the equilibrium is inefficient and too little entry occurs

on nonlinear dynamics the case of the pork cycle new methods for analyzing nonlinear dynamic processes are used to evaluate the hogcorn price ratio the results present evidence of nonlinear dynamics in the pork cycle moreover while garch processes account for some of the nonlinearities the pork cycle is apparently characterized by more complex dynamic forms the empirical analysis provides some evidence of the presence of chaos in the pork cycle the results also indicate that the dynamic process generating the pork cycle is nonlinear and cannot be adequately characterized by a small number of state variables

overcoming barriers to innovation and diffusion of cleaner technologies some features of a sustainable innovation policy regime despite a deepening understanding of systems and processes by which the innovation and diffusion of cleaner technologies occurs relatively little attention has been given to the development of policy processes that reflect this deeper understanding a set of guiding principles for improving sustainable innovation policy processes has been formulated and disseminated by the authors and colleagues in research drawing on theoretical and empirical analysis including a case study of low carbon energy innovation in the uk and interactions with policy makers and other stakeholders through a series of workshops this paper elaborates on two of the guiding principles 1 stimulating the development of a sustainable innovation policy regime bringing together innovation and environmental policy regimes 2 applying systems thinking engaging with the complexity and systemic interactions of innovation systems and policy making processes to promote a transition to sustainability

when can changes in expectations cause business cycle fluctuations in neo classical settings abstract it is often argued that changes in expectation are an important driving force of the business cycle however it is well known that changes in expectations cannot generate positive co movement between consumption investment and employment in the most standard neo classical business cycle models this gives rise to the question of whether changes in expectation can cause business cycle fluctuations in any neo classical setting or whether such a phenomenon is inherently related to market imperfections this paper offers a systematic exploration of this issue our finding is that expectation driven business cycle fluctuations can arise in neo classical models when one allows for a sufficiently rich description of the production technology however such a structure is rarely allowed or explored in macro models in particular we identify a multi sector setting and a setting with a costly distribution system in which expectation driven business cycles can arise

causality tests in livestock markets bivariate time series models and related topics of exogeneity and granger causal orderings have received much attention from economists over the last decade examples in the macroeconomic literature include relationships between money and income sims 1972 feige and pearce money and interest rates pierce and wages and prices geweke 1975 in agricultural markets research in this area includes the sorting out of leads and lags between farm wholesale and retail prices heien miller acreage allotments and acreage supply response weaver and alternative price quotes for eggs bessler and schrader the methods used in these studies are empirical because they allow the data to specify the dynamic relationship between two variables economic theory is used only to suggest the variables to be related often theory is ambiguous on the explicit lead lag relationships between important variables and the variables themselves in such cases one can or must rely on strictly empirical methods burks discusses the complementary relationship between empirical and theoretical methods in scientific investigations agriculturalists interested in explaining producer behavior and forecasting livestock price and quantity movements have long grappled with problems of leads and lags attempts to explain short run movements in live cattle and hog inventories or slaughter levels using price variables have at times yielded unsatisfactory results for example shortrun quantity response to price change was found to be negative for cattle nelson and spreen myers havlicek henderson however a positive relation begins to appear with longer lengths of run the theory of optimal investment under risk explains this type of relationship that is treating cattle as both investment goods and as final products will generate the negative short run response of quantity to price such theory however will not be explicit about the particular lead lag relationships to be encountered most modern theories of decision making under risk suggest that such lags are dependent upon subjective probabilities of individual economic agents if one is unwilling to accept the existence of a rational probability following definetti then he will not be able to specify a priori the explicit leads and lags in a particular investment problem one must look at the data and infer such relationships this paper examines the lead lag relationships between livestock prices and various causal variables suggested by theory it explicitly tests the exogeneity of cattle on feed cattle slaughter and income on live cattle prices and the exogeneity of sow farrowings hog slaughter and income on live hog prices although explicit dynamic multivariate models are not formulated the paper s results do provide background evidence useful for their ultimate construction granger and newbold 1977 chap 7

comparison of renewable energy policy evolution among the brics abstract renewable energy policy evolution of the brics is analyzed and assessed quantitatively based on the bai and perron s structure breaks test results indicate no break for time series of renewable production in russia while series of renewable production and consumption are characterized as segmented trend stationary processes around one or two structural breaks in brazil india and china renewable policies in brazil and china have long term positive effects on renewable energy production and consumption improving the two variables growth rate the time series structure change of indian renewable energy production is complicated and the long term impact of energy policies on renewable production is contradictory at the two breakpoints russian renewable policies are not working reducing renewable energy consumption growth in the long term empirical analysis suggests policy implications that china should mandate the promotion of renewable energy develop biomass energy on the base of comparative advantage and enhance renewable energy industry chain integration

pricing production and persistence though built with increasingly precise microfoundations modern optimizing sticky price models have displayed a chronic inability to generate large and persistent real responses to monetary shocks as recently stressed by chari kehoe and mcgrattan 2000 this is an ironic finding since taylor 1980 and other researchers were motivated to study sticky price models in part by the objective of generating large and persistent business fluctuations we trace this lack of persistence to a standard view of the cyclical behavior of real marginal cost built into current sticky price macro models using a fully articulated general equilibrium model we show how an alternative view of real marginal cost can lead to substantial persistence this alternative view is based on three features of the supply side of the economy that we believe are realistic an important role for produced inputs variable capacity utilization and labor supply variability through changes in employment importantly these real flexibilities work together to dramatically reduce the elasticity of marginal cost with respect to output from levels much larger than unity in ckm to values much smaller than unity in our analysis these real flexibilities consequently reduce the extent of price adjustments by firms in time dependent pricing economies and the incentives for paying fixed costs of adjustment in state dependent pricing economies the structural features also lead the sticky price model to display volatility and comovement of factor inputs and factor prices that are more closely in line with conventional wisdom about business cycles and various empirical studies of the dynamic effects of monetary shocks federal reserve bank of philadelphia boston university nber and frb richmond this paper builds on earlier joint work with alexander l wolman on this topic we wish to thank brian boike for providing excellent research assistance and also to thank the referees and the editor for making numerous useful suggestions the views expressed in this article are those of the authors and do not necessarily represent those of the federal reserve bank of philadelphia the federal reserve bank of richmond or the federal reserve system

the analytics of technology news shocks abstract this paper constructs several models in which unlike the standard neoclassical growth model positive news about future technology generates an increase in current consumption hours and investment these models are said to exhibit procyclical news shocks we find that all models that exhibit procyclical news shocks in our paper have two commonalities there are mechanisms to ensure that i consumption does not crowd out investment or vice versa ii the benefit of forgoing leisure in response to news shocks outweighs the cost among the models we consider we believe one model holds the greatest potential for explaining procyclical news shocks its critical assumption is that news of the future technology also illuminates the nature of this technology this illumination in turn permits economic actors to invest in capital that is forward compatible i e adapted to the new technology on the technical side our paper reintroduces the laplace transform as a tool for studying dynamic economies analytically using laplace transforms we are able to study and prove results about the full dynamics of the model in response to news shocks

from cleaner production to sustainable development the role of academia cleaner production cp strategies are fundamentally concerned with operations environmental sustainability and maximization of waste reduction recycling and reuse at the enterprise level and are thus microeconomic in scope sustainable development sd however involves the design of integrated approaches that are capable of addressing environmental sustainability and waste while ensuring social and economic prosperity at the national or even global level implying a macroeconomic scope due to its philosophy broad scope and long term horizons sustainable development necessitates capacity building via advancement of sustainable societal patterns and the creation of a new set of visions paradigms policies methodological tools and applicable procedures the first and foremost step on this path is the development of human capital required to make such a transition this paper proposes the application of a methodology via which leaders in higher education could assess the necessity and the urgency for designing training programs that could assist with developing human capital needed to support sd the methodology evaluates the conditions and constraints that could control the effectiveness and ease of implementation of such programs at its core the proposed methodology utilizes expert judgment to assess importance of including cp and sd indicators listed in the questionnaire on the proposed academic programs during a pilot study which was conducted in the fall of 2013 at selected universities in the usa latin america and china experts evaluated a series of proposed cp infused academic programs according to a matrix consisting of sd indicators and under consideration of the norms culture political systems regulations resource availability and local regional and global economic development goals and objectives results of data analysis in the pilot study suggested that inclusion of the resource management rm topics in designing academic programs is the most preferred approach in all three different regions followed by development of programs that could cover topics in areas of human capital development hcd human system designs hsd and sustainable economic development and prosperity sedp quantitative analysis of the data indicated existence of two clusters of preferences for cp sd criteria one for in the americas including latin america and one for china

room for improvement in low carbon economies of g7 and brics countries based on the analysis of energy efficiency and environmental kuznets curves abstract carbon emissions which are nowadays targeted for significant reduction cause global warming with climate change producing a series of side effects including economic losses and ecological extinction the data envelopment analysis approach has recently been employed for environmental estimations the target of this study is to introduce a new data envelopment analysis method in order to provide environmental improvement suggestions this study measures the room for improvements in low carbon economies of g7 group and brics group based on the analysis of energy efficiency and environmental kuznets curves the main findings are as follows i the g7 group has greater room for improvement in its carbonization value than the brics group before 2005 however the latter has greater room for improvement in carbonization value than the former after 2005 ii countries with the backfire effect of a high carbon economy include germany italy and south africa iii during the data period three environmental kuznets curves including energy intensity emission intensity and carbonization value do not satisfy the environmental kuznets curve hypothesis that the curves are inverted u shaped on the contrary the three environmental kuznets curves in this study are u shaped

a theory of voluntary recalls and product liability there is now a substantial body of literature analyzing pricing policies in unregulated markets when firms and consumers have asymmetric information about the quality of a product at the time the product is marketed the existence of equilibria in which a variety of signaling mechanisms can be used to transfer a firm s information regarding its product to otherwise uninformed consumers is demonstrated in 1 11 14 more recently bagwell and riordan analyzed the learning procedure of consumers when a product of unknown quality is introduced to the market and some fraction of consumers becomes informed over time 9 in these models the firm has prior knowledge of the exact quality and consumers either correctly infer quality prior to purchase because of the incentive structure of the equilibrium signaling scheme or learn quality immediately upon purchase the extensive literature on statistical testing and quality control as well as the frequent news items on product recalls suggests that prior to observation of market performance a firm s knowledge of the properties of its product may not be exact 2 there is another body of literature which examines the effectiveness of various forms of liability schemes on the level of care and the severity of the warnings firms choose when producing and marketing their products models by marino shavell and cooter have the assumption that the market will not provide the firm with sufficient incentives to provide the socially efficient levels of care and warnings and these market incentives must be supplemented by liability rules of various kinds 10 13 4 the particular liability rule which is chosen varies with the assumptions of the model marino showed that the existence of scale effects in consumption could alter the common conclusions regarding the relative effectiveness of strict liability and regulation this paper examines the incentives a firm faces to recall a product which is discovered to be

commodity prices and unit root tests price theory suggests that commodity prices should be stationary series yet tests for unit roots rather frequently imply that these prices are not stationary this seeming inconsistency is investigated by applying alternative specifications of unit root tests to prices of corn soybeans barrows and gilts and milk the preponderance of evidence suggests that nominal prices do not have unit roots but the results are sensitive to the specification of the test equation accounting for a structural change that shifts the mean appears to be an important issue in unit root tests

models and their uses it is argued that economists ought to recognize that modeling in different styles will be appropriate for different purposes or different stages in the development of an area of economics as an example the paper displays simulations of a stochastic general equilibrium model which shed light on the interpretation of widely discussed small macroeconomic vector autoregressive models connecting monetary variables to output and prices this abstract was borrowed from another version of this item

identification and estimation in non fundamental structural varma models the basic assumption of a structural vector autoregressive moving average svarma model is that it is driven by a white noise whose components are uncorrelated or independent and can be interpreted as economic shocks called structural shocks when the errors are gaussian independence is equivalent to non correlation and these models face two identification issues the first identification problem is static and is due to the fact that there is an infinite number of linear transformations of a given random vector making its components uncorrelated the second identification problem is dynamic and is a consequence of the fact that even if a svarma admits a non invertible moving average ma matrix polynomial it may feature the same second order dynamic properties as a varma process in which the ma matrix polynomials are invertible the fundamental representation the aim of this paper is to explain that these difficulties are mainly due to the gaussian assumption and that both identification challenges are solved in a non gaussian framework if the structural shocks are assumed to be instantaneously and serially independent we develop new parametric and semi parametric estimation methods that accommodate non fundamentalness in the moving average dynamics the functioning and performances of these methods are illustrated by applications conducted on both simulated and real data

the dynamic responses of crop and livestock prices to money supply shocks a bayesian analysis using long run identifying restrictions the impact of monetary policy on agriculture has been much debated this study examines the dynamic responses of u s agricultural prices to money supply shocks using three innovations first the variables responses are identified by long run money neutrality restrictions instead of the more common contemporaneous ordering second a bayesian approach to model uncertainty is used to add robustness to the estimation process third agricultural prices are disaggregated into crop and livestock components the empirical results find that both agricultural sectors benefit in the short run from positive money supply shocks with agricultural prices increasing relative to the general price level

christopher a sims and vector autoregressions three decades ago christopher a sims suggested that vector autoregressions vars are useful statistical devices for evaluating alternative macroeconomic models his suggestion has stood the test of time well in the early days vars played an important role in the evaluation of alternative models they continue to play that role today

managing price risks using and local polynomial kernel forecasts this study contributes to understanding price risk management through hedging strategies in a forecasting context a relatively new forecasting method nonparametric local polynomial kernel lpk is used to forecast prices and to generate ex ante hedge ratios the selective multiproduct hedge based on the lpk price and hedge ratio forecasts is in general found to be better than continuous hedging no hedging and alternative forecasting procedures selective multivariate hedging using the lpk is found to improve hog producer s expected returns the findings indicate that combining hedging with forecasts especially when using the lpk procedure can improve price risk management

price stickiness and sectoral inflation persistence additional evidence in this paper using u s as well as french sectoral data and indicators of price rigidity we reexamine the lack of relation between price stickiness and inflation persistence this has recently been put forward by bils and klenow 2004 as evidence against time dependent price setting models we obtain that when filtering out sector specific shocks along the lines of boivin giannoni and mihov 2009 and allowing for an alternative assumption on the marginal cost process the case against the time dependent calvo model is substantially weakened

macroeconomics and methodology probabilistic reasoning is essential to discourse in economics this is true in any discipline in which as in economics data collection is constrained and beliefs about the phenomena being studied are crucial to decisions that cannot be delayed some economists have recently turned away from form probabilistic inference in part because of legitimate discontent with the prescriptions of specialized econometricians however this turning away has gone in mutually inconsistent directions and is in the long run unsustainable it should be more widely recognized that careful applied work in macroeconomics using steadily advancing probabilistic modeling techniques has been steadily increasing

causality and correlations of output and nominal variables in a real business cycle model abstract a dynamic general equilibrium economy in which output is exogenous with respect to money is calibrated and simulated following a procedure commonly used in the real business cycle literature it is then confronted with key comovement patterns of output and nominal variables in post war u s time series data the model economy performs well in matching second moment patterns involving output money and price the model economy with its embedded reverse causation from output to money also provides the means for carrying out a probabilistic appraisal of the observed money to output granger causality in u s data repeated applications of the granger causality test to simulated data lead to the rinding that money causes output more often than expected

macroeconometric modelling and pakistan s economy a vector autoregression approach abstract recent applications of the vector autoregression var technique pioneered by sims litterman and doan has become popular in macroeconomic modelling particularly when knowledge about true structural relations is absent this study represents the first attempt to apply such a technique to pakistani data for ten key macroeconomic variables unlike some of the earlier studies on pakistan s economy our empirical results are intuitive and consistent with the predictions of the standard new neoclassical model more importantly based on these results perhaps one may also shed light on some of the dominant recurring macroeconomic issues of pakistan s economy

the effects of macroeconomic factors on south african agriculture significant research efforts have been devoted to understanding the effects of macroeconomic factors on the agriculture sector analysing the sources of volatility in the industry is critical for designing appropriate policies to stabilize agricultural markets reduce poverty and increase economic growth agriculture is a competitive sector with prices that are more flexible than those in nonagricultural sectors this article uses annual data over the 1957 2004 period and a vector error correction model in investigating the dynamic effects of exchange rates money supply and other macroeconomic variables on the agricultural sector in south africa overall real exchange rates interest rates inflation and money supply m3 shocks have significant and persistent impacts on agricultural output prices received by farmers and farm input prices m3 and interest rate shocks tend to put agriculture in a cost price squeeze agricultural price movements are a source of macroeconomic instability in the country r

vector autoregression forecasting models recent developments applied to the u s hog market bayesian estimation and the exclusion of variables are two basic approaches to the improvement of vector autoregression forecasting models this study presents a method which combines and extends several techniques within the exclusion of variables approach several quarterly hog market models are estimated and out of sample forecasts from 1977 through 1984 are evaluated the results suggest the proposed method compares favorably to other exclusion of variables techniques as well as to the more sophisticated bayesian approaches the univariate autoregressive moving average arma model has been quite successful in time series forecasting the main problem with this type of model is its failure to consider information about other potentially important variables vector autoregression var models represent one approach toward incorporating this information however researchers have typically found that unrestricted var models do not forecast well e g nerlove grether and carvalho kling and bessler perhaps because they are overparameterized the resulting variability associated with the parameter estimates contributes to the lack of precision in the forecasts attempts to overcome this degrees offreedom problem fall into two broad categories the exclusion of explanatory variables tiao and box hsiao 1979 caines keng and sethi and bayesian estimation of the parameters doan and litterman litterman the latter approach is difficult to implement newbold asks how the priors are generated bessler and hopkins suggest a random walk prior may be consistent with an efficient market hypothesis while this may be useful for price series considerable expertise in the modeling procedure is generally required as is detailed knowledge of the series of interest this article suggests a new technique for building var forecasting models using the exclusion of variables approach for comparative purposes other recently proposed var modeling strategies are discussed applications are then made to the live u s hog market

technology shocks and aggregate fluctuations in an estimated hybrid rbc model this paper contributes to the on going empirical debate regarding the role of the rbc model and in particular of technology shocks in explaining aggregate fluctuations to this end we estimate the model s posterior density using markov chain monte carlo mcmc methods within this framework we extend ireland s 2001 2004 hybrid estimation approach to allow for a vector autoregressive moving average varma process to describe the movements and co movements of the model s errors not explained by the basic rbc model the results of marginal likelihood ratio tests reveal that the more general model of the errors significantly improves the model s fit relative to the var and ar alternatives moreover despite setting the rbc model a more difficult task under the varma specification our analysis based on forecast error and spectral decompositions suggests that the rbc model is still capable of explaining a significant fraction of the observed variation in macroeconomic aggregates in the post war u s economy

the fiscal cost implications of an accommodating approach to banking crises abstract in recent decades a majority of countries have experienced a systemic banking crisis requiring a major and expensive overhaul of their banking system budgetary outlays whether immediate or deferred have exceeded 50 of gdp in some cases this paper uses cross country econometric evidence to examine whether the design of crisis containment and resolution policies can systematically influence the overall magnitude of fiscal costs we find that accommodating policies such as blanket deposit guarantees open ended liquidity support repeated partial recapitalizations debtor bail outs and regulatory forbearance all tend to add significantly and sizably to fiscal costs

liquidity transaction costs and real activity this paper studies the liquidity effect in a pecuniary transaction cost model to model the asymmetric impact of monetary injections we consider two behavioral assumptions sluggish money demand and sluggish firm investment it is found that under reasonable parameterization the model is capable of generating a dominant liquidity effect our result suggests that with alternative monetary specifications and behavioral assumptions general equilibrium models are still useful for studying the liquidity effect at business cycle frequencies

sustainability oriented innovation system analyses of brazil russia india china south africa turkey and singapore abstract the coherency of research development and innovation processes are vital in promoting a more resource efficient society sustainability oriented innovation systems define specific kinds of innovation systems i e those that are directed to the aims of sustainable development this paper develops an integrated method with four layers of analysis to evaluate the priorities and performances of such systems the method is applied to a sample of emerging and innovation based economies namely brazil russia india china south africa turkey and singapore the analyses consider the 6 main activities or functional dynamics of innovation systems and a set of 19 keywords the keywords relate to the thematic clusters of renewable energy technologies energy efficiency and environmental management the priorities of the countries in each main interaction of the system are classified accordingly the priorities are compared to the existing level of specialization in the keywords based on the intermediate outputs of the system the analyses cover 153 838 papers and 15 138 patents between the years 2003 and 2014 a sustainable innovation index is developed to aggregate the normalized values of country performance across all keywords singapore receives the highest value 21 17 and the average of brazil russia india china and south africa is 14 91 the results determine the ability of countries to align priorities and performance towards more mature innovation systems for sustainable development

exchange rate price and output inter relationships in ghana evidence from vector autoregressions this paper explores the dynamic inter relationships among the currency exchange rate consumer price inflation and real output growth as well as the roles of money and interest rates in output and price determination time series data and vector autoregression models are used results suggest that there are significant inter relationships between the exchange rate and inflation monetary shocks matter only when explaining money itself and the price level and interest rate dependent monetary policies in the absence of financial modernization are ineffective

agricultural and financial market interdependence in the short run a theoretical model capable of examining the effects of various monetary policies on agriculture is developed results from comparative static experiments with the model show that a restrictive monetary policy may adversely affect agriculture results from the theoretical model are compared with earlier studies and are empirically investigated using vector autoregression techniques in general empirical analysis supports the theoretical developments

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

improving the accuracy of outlook price forecasts this study investigates the predictive ability of outlook hog price forecasts released by iowa state university relative to alternative time series and market forecasts under root mean squared error rmse the futures market forecast is most accurate at the first and second horizon but less accurate than iowa outlook and the other forecast methods at the third horizon in terms of the individual time series models some vector autoregressions vars and bayesian vars flexible in specification and estimation and model averaging tend to perform better than iowa outlook forecasts evidence from encompassing tests more stringent tests of forecast performance indicates that many price forecasts can add incremental information to the iowa forecast simple combinations of these models and outlook forecasts are able to reduce forecast errors by economically significant levels overall the results indicate that it is possible to provide more accurate forecasts than iowa outlook at every horizon

relative prices and money a vector autoregression on brazilian data recent data on brazilian agricultural prices industrial prices and money supply are analyzed in a vector autoregression the empirical findings show strong one way granger type causality from money supply to agricultural prices while feedback is observed between industrial prices and money supply under the usual monetarist ordering of contemporaneous innovation covariance agricultural prices do not adjust faster than industrial prices to a shock in the money supply

responses in output to monetary shocks and the interest rate a rational expectations model with working capital abstract empirical studies show that when the interest rate is included money loses its predictive power on output this paper explains this finding by using a rational expectations model where production decisions of firms require debt financed working capital the cost of working capital the interest rate affects the supply side monetary shocks affect the interest rate and thus affect the price and output produced by firms the model shows that this can cause the predictive power of monetary shocks on output to diminish when the interest rate is used in empirical analysis the model also alludes to the effects of monetary policy on the price level through the supply side cost push factors

sectoral systems of innovation and production the concept sectoral system of innovation and production provides a multidimensional integrated and dynamic view of sectors it is proposed that a sectoral system is a set of products and the set of agents carrying out market and non market interactions for the creation production and sale of those products a sectoral systems has a specific knowledge base technologies inputs and demand agents are individuals and organizations at various levels of aggregation they interact through processes of communication exchange co operation competition and command and these interactions are shaped by institutions a sectoral system undergoes change and transformation through the co evolution of its various elements 2002 elsevier science b v all rights reserved

commodity price dynamics and anticipated shocks in this paper we address the robustness of overshooting hypothesis in agricultural prices we find that agricultural prices may undershoot their long run level if the economy experiences an anticipated monetary shock rather than an unanticipated monetary shock we also find that agricultural prices definitely display undershooting if the price of manufactures adjusts instantaneously rather than sluggishly

macroeconomics and agriculture in tunisia this article aims to analyse the impact of changes in the monetary policy and the exchange rate on agricultural supply prices and exports the methodology used is based on the multivariate cointegration approach ten variables are considered interest and exchange rates money supply inflation agricultural output and input prices agricultural supply and exports income and the rate of commercial openness the sample period covers annual data from 1967 to 2002 due to the short sample period two subsystems are considered first long run relationships are identified in each subsystem second both subsystems are merged in order to calculate the short run dynamics the results indicate that changes in macroeconomic variables have an effect on the agricultural sector but the reverse effect does not hold

optimism invites deception recent literature has focused on reputation as a mechanism for partially correcting information asymmetries that can exist in markets where sellers produce an output whose quality is not easily observed by buyers prior to sale then sellers reputation based on past observations can be used by consumers to prejudge quality consumers may pay a premium price for such firms for whom a reputation is a valuable asset in choosing quality anew each period the prospect of future profits from this premium price may dissuade the firm from cheating on quality this theory is developed in klein and leffler 1981 shapiro 1982 1983 dybvig and spatt 1983 rogerson 1983 and allen 1984 this literature has presumed that the quality of firms chosen inputs is perfectly correlated with the quality of their outputs there is no noise in the production process indeed adding noise to a reputation model would seem to be a trivial generalization at first blush we would expect the product of a firm that delivered high quality only 90 percent of the time to be worth roughly 90 percent of the value of the product of a firm that had perfect quality control in this paper we investigate the pure strategy equilibria of a rational expectations model that incorporates quality noise we find that the market for high quality may not be sustainable in the presence of such noise ruling out mixed strategies since consumers cannot observe the quality of a firm s inputs assumed fixed and sunk they must infer this quality from observed outputs in equilibrium consumers initial beliefs about the quality of the firm s inputs are determined by what they correctly predict to be the firm s strategy observations of the output lead them to revise these beliefs in accordance with bayes law if consumers are sure that a firm will purchase good inputs then it pays the firm to cheat and purchase bad inputs since

interest rate rules and transitional dynamics in an endogenously growing open economy abstract this paper sets up an endogenous growth model of an open economy in which the monetary authority implements a gradualist interest rate rule with targets for both inflation and economic growth we show that under a passive rule a monetary equilibrium exists and is unique moreover the equilibrium is locally determinate by contrast an active rule implies either two equilibria one high growth and one low growth or none in the case of two equilibria the high growth equilibrium is locally determinate while the low growth equilibrium is a source besides the stabilization and growth effects of alternative target policies are also explored in this study moreover in departing from the existing literature we turn to focus on the analysis of transition with a particular emphasis on the case of imperfect credibility

inflation and growth pecuniary transactions costs and qualitative equivalence this paper develops a pecuniary transactions costs tc approach to reexamine the principal relationships and results concerning inflation and growth in a model with a general tc function and an endogenous labor leisure choice we consider four special cases by distinguishing among money as 1 a consumption good 2 a production good 3 an investment good and 4 a consumption good as well as an investment good under some weaker conditions as in related studies a reversed tobin effect obtains for all cases a high monetary growth rate leads to lower steady state capital labor consumption and real money balances these findings suggest that a pecuniary tc model is qualitatively equivalent to alternative models in the literature

macroeconomic impacts on bulgarian agriculture during transition an unstable and erratic macroeconomy in an economy in transition might be expected to affect agricultural performance this is tested for bulgaria between 1992 and 1997 using impulse response functions from a vector autoregressive var model despite data limitations it is found that shocks to the foreign exchange rate and interest rate feed into farm prices and agricultural exports but equilibrium will be re established within 5 years agricultural policies may not be sufficient to counteract the wider macroeconomic forces

explaining and forecasting bank loans good times and crisis abstractthis article aims to develop a parsimonious model to explain and forecast bank loans to nonfinancial companies during calm periods as well as in situations of financial turmoil it focuses on the french context over a period including financial banking and sovereign debt crises theoretical views and intuitions led us to gauge the marginal informational content of a large set of leading indicators in var and vecm models and to investigate potential nonlinearity in credit dynamics in accordance with firms and banks balance sheet effects the growth rate of equity prices appears to be one of the most interesting leading indicator as well as a significant threshold variable for explaining regime switching however it appears difficult to accurately predict the right credit dynamics regimes a simple var model finally performs better

an error correcting model of farmland prices granger has demonstrated that if two variables are integrated of order one and are conitegrated they can be modelled as having been generated by an error correction mechanism cointegration and error correction systems allow long run components of variables to obey equilibrium constraints while short run components are allowed to have flexible dynamic specification using data from five corn belt states in the us we show that farmland prices and cash rents are each integrated of order one and are model is estimated the error correction term is found to be significant in both equations indicating granger causality running in both directions historical simulation of the model is performed the price equation peroformed better although both equations simulate reasonably well

does the law of one price really hold for commodity prices in spite of the empirical failure of the law of one price it is usually assumed that commodity prices are perfectly arbitraged at least in the long run this paper argues that this assumption is counterfactual and that much of the empirical evidence provided to support it is flawed and affected by econometric shortcomings spurious regressions nonstationarity in the data inappropriate use of first differences an alternative methodology co integration by which a long run relationship between nonstationary series can be tested is proposed tests of nonstationarity and co integration for a group of commodities show quite uniformly that the law of one price as a long run relationship fails and that deviations from the pattern are permanent

budgetary risks from real estate and stock markets fiscal revenues and government expenditures are affected by asset price changes in ways that are not accounted for by standard cyclical adjustment methods revenues are influenced by capital gains and turnover taxation as well as by output changes determined by the effect of wealth changes on consumption and investment and outlays may also be affected if collapsing asset prices prompt fiscal authorities to bail out private sector balance sheet problems we point out that these effects can be asymmetric resulting in deficit and debt biases and we find support for this phenomenon in panel estimates for a sample of 20 industrialized countries over 1982 2002 the estimated coefficients indicate that 30 40 of the dramatic early 1990s fiscal balance deteriorations in the uk and sweden was due to asset price effects with a particularly relevant role for real estate price changes if financial markets experience boom bust cycles prudent management of fiscal windfalls in boom phases is needed to ensure fiscal and financial sustainability in bust phases and budgetary rules may need to account explicitly for a separate role of asset price related effects felix eschenbach and ludger schuknecht

financial cycles and fiscal multipliers abstractwe show that fiscal multiplier estimations may be biased by movements in asset and credit markets as they facilitate spurious correlations of changes in cyclically adjusted revenues and spending with output growth via an identification bias and an omitted variable bias thus overstating episodes of expansionary consolidations and downplaying contractionary consolidations when controlling for asset and credit market movements in otherwise standard approaches to identification we find multipliers to increase on average by 0 3 1 units fiscal consolidations are thus more likely to be contractionary and more harmful to growth than expected by some strands of the existing literature

financial deregulation and the dynamics of money prices and output in new zealand and australia effects of financial deregulation in the 1980s on the dynamic interactions among money prices and output in new zealand and australia are evaluated prior to deregulation the series appear to be nonstationary and cointegrated based on johansen s maximum likelihood tests with money proportional to prices but less than proportional to output in the long run the series also appear cointegrated in new zealand through the 1980s when the effects of deregulation are accounted for with a deterministic shift parameter the cointegrating coefficients are similar for the pre liberalization and full sample periods and dynamic responses are evaluated for error correction models incorporating the estimated long run relationships copyright 1993 by ohio state university press

on the informational role of quantities durable goods and consumers word of mouth communication a dynamic incomplete information game is set up to study the introduction of a durable good when consumers can learn its quality from previous buyers high sales today imply fewer potential buyers tomorrow but each buyer will have better information about the good consumers are fully rational and can update their beliefs even when they do not directly receive information in equilibrium no news is bad news a low quality firm follows a fly by night strategy randomizing over the timing of sales a high quality firm spreads out its sales more smoothly solving a stochastic dynamic programming problem copyright 1997 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association