does oil price variability affect asean exchange rates evidence from panel cointegration test abstractusing panel data this article investigates the long run relationship between real oil prices and real exchange rates for selected asean countries by utilizing quarterly data from 1973 q1 to 2013 q4 the modelling implementation starts with the determination of the stationarity condition of the variables which are found to be integrated of order one using maddala and wu s 1999 panel cointegration test the article finds evidence of cointegration among the variables the fully modified ols fmols and dynamic ols dols are then used to estimate the long run relationship between the variables followed by applying toda yamamoto causality test the findings exhibit bidirectional causality between real oil prices and real exchange rates in the long run where it is highly significant

forecasting exchange rates with commodity prices a global country analysis this paper investigates the predictive properties of import and export prices of commodities on the exchange rates a period from 1993 to 2016 is considered we find that forecasts of the exchange rate adding commodity export and import prices are superior to those neglecting these variables this holds irrespective of whether the countries are net exporters or importers of commodities however the forecasting power was even better in the 1990s and seems to have decreased since that that time nevertheless forecasts can even today be improved considerably by adding commodity prices

oil price volatility and stock price fluctuations in an emerging market evidence from south korea abstract how important are oil price fluctuations and oil price volatility on equity market performance what are the policy implications if volatility turns out to be significant we assess this issue in an economics finance nexus for korea using a vec model including interest rates economic activity real stock returns real oil prices and oil price volatility our main aim is to capture the effects of crude oil prices on the korean economy thoroughly covering the period of the asian financial crisis of 1997 which heavily affected the country and the oil price hikes in the early 1990s after the gulf war south korea was the country most hit by the financial crisis together with indonesia and thailand results indicate the dominance of oil price volatility on real stock returns and emphasize how this has increased over time oil price volatility can have profound effect on the time horizon of investment and firms need adjust their risk management procedures accordingly this increase in dependency has been found in other net oil importing emerging equity markets we test the relationship between oil price movements and economic activity by using modern time series techniques in a cointegrating framework we expand the standard error correction model by examining the dynamics of out of sample causality through the generalized variance decomposition and impulse response function techniques the evidence from persistence profiles also gives important guidelines based on how fast the entire system adjusts back to equilibrium in addition we find the cointegrating relationship to be stable and find that the linear error correction model to be more favorable than an asymmetric 2 period markov switching model

inflation and relative price variability parks study reexamined the authors show that richard w parks 1978 widely cited evidence on the correlation between the rate of inflation and the variability of relative prices in the united states during 1948 75 depends on one observation 1974 when the sample period is extended through 1989 the correlation depends on the observations for 1974 and 1980 since both are years of large oil price shocks the authors make the case that causation is likely to run from these shocks to relative price variability and inflation with accommodating monetary policy playing a role copyright 1993 by ohio state university press

the value of the us dollar and its impact on oil prices evidence from a non linear asymmetric cointegration approach abstract the dynamic relationship between the real oil price and the us real effective exchange rate reer is one of the most important relationships for policy practitioners but the literature has largely disagreed on the direction of causation in cases when cointegration was found this paper addresses this issue and provides new evidence by using an approach that accounts for the potential of asymmetric cointegration and multiple structural breaks this was done using threshold autoregressive tar and momentum tar mtar models some key findings emerge first the variables are cointegrated with significant asymmetric error correction adjustments and the us reer is found to be weakly exogenous in this process when exogenous shocks cause disequilibrium then the adjustment is slower in the case of when a downward adjustment of real oil prices is needed to regain equilibrium compared to the case of when an upward adjustment is needed this asymmetry could be driven by downward rigidity in oil prices second it follows that long run causation is unidirectional going from the us reer to real oil prices however there is bidirectional causation in the short run the estimations accounted for four structural breaks found in the sample overall findings imply that countries exporting to the us may lose competitiveness in the long run not only because of an increased conversion price but also through the upward pressure on oil prices from a us perspective increased competitiveness leads to increased real oil prices which may temper the gains of oil intensive exports in the long run

currency substitution policy rule and pass through evidence from turkey in this article we analyse empirically currency substitution and exchange rate pass through in the turkish economy where their ongoing presence could undermine the implementation of a successful monetary policy especially in a flexible exchange rate regime even though a considerable time has passed after the implementation of a flexible exchange rate regime in turkey by using vector error correction model for the period from 1987 to 2004 we find that the currency substitution and exchange rate pass through still have importance in the turkish economy and the monetary policy stance has been considerably strong possibly as a response of ongoing presence of them if this is the case to avoid the undesired consequences of this strong monetary policy turkey should consider some policy measures to reduce the degree of pass through and currency substitution

a cross country comparison of rural income generating activities summary this paper uses a newly constructed cross country database composed of comparable income aggregates to examine the full range of income generating activities carried out by rural households the analysis paints a clear picture of multiple activities across rural space in countries on all four continents though less so in the included african countries for most countries the largest share of income stems from off farm activities and the largest share of households has diversified sources of income diversification not specialization is the norm nevertheless agricultural sources of income remain critically important for rural livelihoods in all countries

linkages among energy price exchange rates and stock markets evidence from emerging african economies this study examines the dynamic links among oil prices foreign exchange rates and stock markets in emerging africa using recent 10 years data and var bekk garch forecasting framework we find evid

china and the relationship between the oil price and the dollar abstract we study cointegration and causality between the real price of oil and the real price of the dollar over the 1974 2004 period our results suggest that a 10 rise in the oil price coincides with a 4 3 appreciation of the dollar in the long run and that the causality runs from oil to the dollar through the development of a theoretical model we then investigate possible reasons why this relationship could be reversed in the future due to the emergence of china as a major player on both the oil and the foreign exchange markets

the impact of credit on peasant productivity and differentiation in nicaragua abstract an endogenous switching regressions framework is used to structure and identify the impact of credit on small farm food production in nicaragua the results which emerge weakly support the hypothesis that credit had a positive impact on production and could be expected to reduce the pattern of structurally unbalanced growth in nicaraguan agriculture however the estimated impact is of a form which implies a process of differentiation and unequal growth in the peasant sector in the wake of the new opportunities afforded by credit

the response of real exchange rates to various economic shocks substantial fluctuations in real exchange rates i e deviations from purchasing power parity ppp which closely mirror movements in nominal rates have been one of the most notable international economic events since the breakdown of the bretton woods system dornbusch s disequilibrium theory 9 which presumes different speeds of adjustment in assets and goods markets offers an explanation for temporary deviations from ppp only models assuming ppp as a long run relationship have not been successful in interpreting the movements of the real exchange rates although studies conducted for countries experiencing high or hyper inflation provide evidence favoring ppp 42 30 29 the empirical evidence on ppp for industrialized low inflation countries is not generally favorable 1 this is consistent with the view that ppp may hold better in high inflation countries where the disturbances to their economies are mostly monetary in origin 31 123 24 but ppp may not hold well when the real disturbances which change equilibrium relative prices dominate statistical evidence indicates that the real exchange rates of many countries are likely to be nonstationary or have long memory that is changes in the real values of many currencies tend to persist for very long period of time this persistence implies that fluctuations in the real exchange rates are largely due to long lasting effect of real disturbances after revealing that ppp does not hold as a long run concept for several exchange rates flynn and boucher 12 121 suggest that one possible explanation is that there are time varying real factors that are omitted from the ppp relationship there are several well established reasons why the real exchange rates may change in response to real disturbances in the first place permanent exogenous shocks to the tradable sector of the economy call for changes in competitiveness for instance a rise in the real price of oil will worsen the balance of trade position of a net oil importing country and therefore call for a real depreciation of the currency of the country in order to improve its competitive position 32 second when countries are growing at different rates productivity bias will typically result in

causal flows between oil and forex markets using high frequency data asymmetries from good and bad volatility abstract this paper investigates the causal linkages in volatility between crude oil prices and six major bilateral exchange rates against the u s dollar in the time frequency space using high frequency intraday data special attention is paid to the potential asymmetries in the causal effects between oil and forex markets the wavelet based granger causality method proposed by olayeni 2016 is applied to quantify the causal relations in the time and frequency domains simultaneously moreover the realized semivariance approach of barndoff nielsen et al 2010 is used to account for possible asymmetries in the transmission of volatility shocks the empirical results show that the significant causal links between oil prices and exchange rates are mainly concentrated in the long run and during periods of increased economic and financial uncertainty such as the global financial crisis and the subsequent european sovereign debt crisis further the causal effects from currency markets to the crude oil market are stronger than in the opposite direction consistent with the forward looking nature of exchange rates the role of the u s dollar as the key invoicing currency for global oil trading and the expanding financialization of the oil market since the mid 2000s in addition significant asymmetries coming from good and bad volatility are found at longer horizons specifically bad volatility seems to dominate good volatility in terms of the importance of transmission of volatility shocks

industry structure and the dynamics of price adjustment using annual us data for gross domestic product originating by sector between 1947 and 1997 it is shown that a negative long run relationship between inflation and the markup is present across the sectors as well as in the aggregate data a preliminary explanation based on industry structure is explored for the relative sizes of the impact of inflation on the markup in the long run for the various sectors

a dynamic baumol tobin model of money demand this note considers a stochastic version of the baumol tobin model of the demand for money a dynamic demand function is derived for the case in which independent variables change to new steady state values the s s inventory policy is shown to give rise to an aggregate partial adjustment equation with a variable adjustment speed the methodology is that introduced to target threshold models by milbourne buckholtz and wasan 1983 in their study of the miller orr model

the category demand effects of price promotions although price promotions have increased in both commercial use and quantity of academic research over the last decade most of the attention has been focused on their effects on brand choice and brand sales by contrast little is known about the conditions under which price promotions expand short run and long run category demand even though the benefits of category expansion can be substantial to manufacturers and retailers alike this paper studies the category demand effects of consumer price promotions across 560 consumer product categories over a 4 year period the data describe national sales in dutch supermarkets and cover virtually the entire marketing mix i e prices promotions advertising distribution and new product activity we focus on the estimation of main effects i e the dynamic category expansive impact of price promotions as well as the moderating effects of marketing intensity and competition both conduct and structure on short and long run promotional effectiveness the research design uses modern multivariate time series analysis to disentangle short run and long run effects first we conduct a series of unit root tests to determine whether or not category demand is stationary or evolving over time the results are incorporated in the specification of vector autoregressive models with exogenous variables varx models the impulse response functions derived from these varx models provide estimates of the short and long term effects of price promotions on category demand these estimates in turn are used as dependent variables in a series of second stage regressions that assess the explanatory power of marketing intensity and competition several model validation tests support the robustness of the empirical findings we present our results in the form of empirical generalizations on the main effects of price promotions on category demand in the short and the long run and through statistical tests on how these effects change with marketing intensity and competition the findings generate an overall picture of the power and limitations of consumer price promotions in expanding category demand as follows category demand is found to be predominantly stationary either around a fixed mean or a deterministic trend although the total net short term effects of price promotions are generally strong with an average elasticity of 2 21 and a more conservative median elasticity of 1 75 they rarely exhibit persistent effects instead the effects dissipate over a time period lasting approximately 10 weeks on average and their long term impact is essentially zero by contrast the successful introduction of new products into a category is more frequently associated with a permanent category demand increase several moderating effects on price promotion effectiveness exist more frequent promotions increase their effectiveness but only in the short run the use of nonprice advertising reduces the category demand effects of price promotions both in the short run and in the long run competitive structure matters as well the less oligopolistic the category the smaller the short run effectiveness of price promotions at the same time we find that the dominant form of competitive reaction either in price promotion or in advertising is no reaction short run category demand effectiveness of price promotions is lower in categories experiencing major new product introductions finally both the short and long run price promotion effectiveness is higher in perishable product categories the paper discusses several managerial implications of these empirical findings and suggests various avenues for future research overall we conclude that the power of price promotions lies primarily in the preservation of the status quo in the category

a new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle abstract this paper introduces a general procedure for decomposition of non stationary time series into a permanent and transitory component allowing both components to be stochastic the permanent component is shown to be a random walk with drift and the transitory or cyclical component is a stationary process with mean zero the decomposition methodology which depends only on past data and therefore is computable in real time is applied to the problem of measuring and dating business cycles in the portwar u s economy we find that measured expansions and contractions are of roughly equivalent duration and that our dating of cyclical episodes tends to lead the traditional nber dating and to a lesser extent the growth cycle chronology of zarnowitz and boschan 1977

modeling the demand for narrow money in the united kingdom and the united states abstract despite the importance of well specified empirical money demand functions for inference forecasting and policy problems in modeling have arisen concerning the economic theories of money demand the data institutional frameworks financial innovation and econometric implementation by developing constant data coherent m 1 demand equations for the u k and the u s we investigate these issues and explain such puzzles as missing money the great velocity decline and the recent explosion in m 1 the endogeneity of money the lucas critique and the non invertibility of our m 1 models are also discussed

a comparison of linear forecasting models and neural networks an application to euro inflation and euro divisia linear models reach their limitations in applications with nonlinearities in the data in this paper new empirical evidence is provided on the relative euro inflation forecasting performance of linear and non linear models the well established and widely used univariate arima and multivariate var models are used as linear forecasting models whereas neural networks nn are used as non linear forecasting models it is endeavoured to keep the level of subjectivity in the nn building process to a minimum in an attempt to exploit the full potentials of the nn it is also investigated whether the historically poor performance of the theoretically superior measure of the monetary services flow divisia relative to the traditional simple sum measure could be attributed to a certain extent to the evaluation of these indices within a linear framework results obtained suggest that non linear models provide better within sample and out of sample forecasts and linear models are simply a subset of them the divisia index also outperforms the simple sum index when evaluated in a non linear framework 2005 taylor francis group ltd

the nexus between oil price and russia s real exchange rate better paths via unconditional vs conditional analysis abstract instead of analyzing the causality between two time series unconditional analysis as it is usually done the present study deals with the nexus between oil price and russia s real exchange rate conditioning upon potential control variables at well specified horizons and on a frequency by frequency basis this research accounts also for the possible transient linkages and signal discontinuities a major finding of this paper is deeply suggestive of a sharp causality running from oil price to real exchange rate in lower frequencies this implies that russia should better tackle with turbulence triggered by oil price and continue to reduce its energy dependency via drastic and proactive measures the economic and fiscal initiatives of putin administration may help to cope with sudden shocks to lessen the great oil dependence and to build confidence needed for economic recovery while our research does not say much about the routes through which oil price may affect differently real exchange rate it clearly indicates the presence of short term relationship conditional to gdp government expenditures terms of trade and productivity differential the conditional analysis and signal detection appear as meaningful exercises to find new insights into the focal issue

does capital market structure affect farm investment a comparison using french and british farm level panel data this article considers whether differences in the structure of agriculture credit markets in france and the united kingdom alters the investment sensitivity to financial variables particularly cash flow using two panel datasets of french and british farms three approaches are used to test the sensitivity of investment to internal finance an inventory investment model a fundamental q model and euler equations for machinery investment the results suggest that the contrasting capital markets structures do induce differences in overall investment sensitivity to cash flow and its pattern across both farms with varying levels of collateral and between inventory and machinery investment this article explores whether differences in the structure of agricultural credit markets in france and the united kingdom affects access to credit theoretically asymmetric information in capital markets means that banks base their lending decisions on factors such as available collateral rather than projected profitability stiglitz and weiss binks and ennew hubbard if such information costs are affected by market structure the organization of the market also becomes a potentially important factor historical differences in the structure of agricultural capital markets in developed countries have long been recognized oecd in particular in many countries specific agricultural credit institutions for example farmer cooperative banks appeared in the first half of the twentieth century because of the difficulties faced by farmers in obtaining credit from commercial lenders the degree of state involvement in agricultural credit markets has also varied considerably across countries from

gender differentials in farm productivity implications for household efficiency and agricultural policy abstract within many african households agricultural production is simultaneously carried out on many plots controlled by different members of the household detailed plot level agronomic data from burkina faso provides striking evidence of substantial inefficiencies in the allocation of factors of production across the plots controlled by different members of the household production function estimates imply that the value of household output could be increased by 10 15 by reallocating currently used factors of production across plots this finding contradicts standard models of agricultural households a richer model of behaviour which recognizes that the individuals who comprise a household compete as well as co operate has important implications for the structure of agricultural production and for the design of agricultural policy

credit constraints and productivity in peruvian agriculture this article evaluates the performance of a rural credit market in peru we develop a model that shows that collateral requirements imposed by lenders in response to asymmetric information can lead not just to quantity rationing but also to transaction cost rationing and risk rationing just like quantity rationing these two additional forms of nonprice rationing adversely affect farm resource allocation and productivity we test the insights of the model using a panel data set from northern peru we estimate the returns to productive endowments for constrained and unconstrained households using a switching regression model we find that consistent with the theory productivity is independent of endowments for unconstrained households but is tightly linked to endowments for constrained households we estimate that credit constraints lower the value of agricultural output in the study region by 26

inference in cointegrating models uk m1 revisited the paper addresses the practical determination of cointegration rank this is difficult for many reasons deterministic terms play a crucial role in limiting distributions and systems may not be formulated to ensure similarity to nuisance parameters finite sample critical values may differ from asymptotic equivalents dummy variables alter critical values often greatly multiple cointegration vectors must be identified to allow inference the data may be 1 2 rather than 1 1 altering distributions and conditioning must be done with care these issues are illustrated by an empirical application of multivariate cointegration analysis to a small model of narrow money prices output and interest rates in the uk copyright 1998 by blackwell publishers ltd

interaction between housing prices and household borrowing the finnish case abstract employing time series econometrics this study shows that there has been a significant two way interaction between housing prices and housing loan stock in finland since the financial liberalization in the late 1980s before the financial deregulation the interaction was substantially weaker furthermore housing appreciation has a notable positive impact on the outstanding consumption loan stock it appears that there is no similar relationship between stock prices and credit understanding the two way interaction between housing prices and credit is of importance since the interdependence is likely to augment boom bust cycles in the economy and increase the fragility of the financial sector

oil prices and real exchange rates in this paper we investigate the long run relationship between real oil prices and real exchange rates by using a monthly panel of g7 countries from 1972 1 to 2005 10 we first test whether exchange rates are cointegrated with real oil prices it is shown that real oil prices may have been the dominant source of real exchange rate movements and that there is a link between real oil prices and real exchange rates we then examine the ability of real oil prices to forecast future real exchange returns panel predictive regression estimates suggest that real oil prices have significant forecasting power the out of sample prediction performances demonstrate greater predictability over longer horizons

the demand of liquid assets with uncertain lumpy expenditures abstract we consider an inventory model for a liquid asset where the per period net expenditures have two components one that is frequent and small and another that is infrequent and large we give a theoretical characterization of the optimal management of liquid asset as well as of the implied observable statistics we use our characterization to interpret some aspects of households currency management in austria as well as the management of demand deposits by a large sample of italian investors

credit market access and profitability in tunisian agriculture this work develops an econometric model that links credit access with agricultural profitability and investment using data collected from rural tunisia this work provides direct estimates of credit access and its effects econometric estimates are run for agricultural investment and profitability as a function of credit access the investigation of credit access and its effect suggests that the presence of credit market constraints does impinge significantly on farm profitability but not on investments

monetary economic myth and econometric reality few of the main macro economic forecasting systems can produce sensible forecasts without the tender loving care of their proprietors many econometric equations in com mon use show significant deterioration in the accuracy with which they characterise data as time passes and many economists are sceptical about empirical evidence feeling it lacks credibility monetary relationships have the dubious distinction of being among the leaders in this field as witnessed by the very large mispredictions of m1 models in the usa over what is now known as the missing money period 1973 76 as well as during the recent great velocity decline 1979 82 in the uk models of m1 and m3 demand experienced large structural breaks following the competition and credit control regu lation changes and the move to floating exchange rates perhaps it is no surprise that goodhart s law should have been formulated with respect to money demand equations

relaxing the cash in advance constraint at a fixed cost are simple trigger target portfolio rules optimal this paper studies the microeconomic foundations of trigger target rules of portfolio demand such as the demand for money it allows an agent to relax her cash in advance constraint by paying a fixed transactions cost to move between money and the interest bearing asset an example is generated where the potential of being liquidity constrained in order to avoid incurring the transactions cost can cause excessive nonconcavities of the value function in a dynamic program such that simple trigger target rules of money demand are suboptimal

the role of energy prices in the great recession a two sector model with unfiltered data we investigate the role of energy shocks during the great recession we study the behaviour of the uk energy and non energy intensive sectors firms in a real business cycle rbc model using unfiltered data the model is econometrically estimated and tested by indirect inference output contraction during the great recession was largely caused by energy price and sector specific productivity shocks all of which are non stationary and hence tend to dominate the sample variance decomposition we also found that the channel by which the energy price shock reduces output in the model is via the terms of trade these fall permanently when world energy prices increase and as substitutes for energy inputs are strictly limited there are few reactions via production channels therefore there is no other way to balance the deteriorating current account than through lower domestic absorption

comparing svars and sems two models of the uk economy the structural vector autoregression svar and simultaneous equation macroeconometric model sem styles of empirical macroeconomic modelling are compared and contrasted with reference to two models of the uk economy namely the long run structural var model of garratt lee pesaran and shin and the compact model various styles of impulse response analysis are also compared and contrasted and used to illustrate model properties a reverse engineering procedure is used to infer long run relations of compact comparable to the glps cointegrating relations copyright c 2005 john wiley t sons ltd

wage and labor supply effects of illness in cote d ivoire and ghana instrumental variable estimates for days disabled abstract sickness should make individuals less productive but there are problems in measuring this effect first how is adult morbidity measured in a household survey second how is the impact or morbidity on productivity inferred if earning is partly used to improve health self reported functional activity limitation due to illness is considered an indicator of morbidity for wage earners and self employed people to deal with both the measurement and joint determination problems an instrumental variable estimation approach is used where local food prices and health services instrument for disability days that reduce wages by at least 10 and hours by 3 or more

are reits real estate evidence from international sector level data abstract the aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the u s u k and australia in contrast to previous research which has generally relied on overall real estate market indices and neglected the potential long term dynamics our econometric evaluation is based on sector level data and caters for both the short term and long term dynamics of the assets as well as for the lack of leverage in the direct real estate indices in addition to the real estate and stock market indices the analysis includes a number of fundamental variables that are expected to influence real estate and stock returns significantly we estimate vector error correction models and investigate the forecast error variance decompositions and impulse responses of the assets both the variance decompositions and impulse responses suggest that the long run reit market performance is much more closely related to the direct real estate market than to the general stock market consequently reits and direct real estate should be relatively good substitutes in a long horizon investment portfolio the results are of relevance regarding the relationship between public and private markets in general as the duality of the real estate markets offers an opportunity to test whether and how closely securitized asset returns reflect the performance of underlying private assets the study also includes implications concerning the recent financial crisis

small system modelling of real wages inflation unemployment and output per capita in italy 1970 1994 the relationships between real wages output per capita inflation and unemployment in italy between 1970 and 1994 are modelled using a cointegrated vector autoregression there is evidence of a change in the underlying equilibria and in the dynamic evolution of the variables probably associated with the substantial changes in many sectors of the italian economy after 1979 alternative ways to model structural change in the italian labour market are considered in adopting a split sample approach the results favour an hysteresis interpretation of unemployment

nonlinear causality between crude oil price and exchange rate a comparative study of china and india while several studies have examined the linear causal relationship between oil prices and exchange rates little is known about the nonlinear causality between these two variables the present paper tries to fill this research gap in the context of india and china by applying the hiemstra and jones 1994 nonlinear granger causality test to the var residuals the study finds a significant bi directional nonlinear granger causality between oil prices and exchange rates in both countries the findings suggest that the nonlinearity of oil price influences the exchange rate irrespective of the exchange rate regimes further to check robustness the persistence in the variance of oil price and exchange rate is taken into account using a garch 1 1 model while the results consistently hold in the case of india with respect to china a unidirectional causality runs from exchange rate to oil price however the oil price in china does not granger cause exchange rate

social connections and group banking lending to the poor is expensive due to high screening monitoring and enforcement costs group lending advocates believe lenders overcome this by harnessing social connections using data from finca peru i exploit a quasi random group formation process to find evidence of peers successfully monitoring and enforcing joint liability loans individuals with stronger social connections to their fellow group members i e either living closer or being of a similar culture have higher repayment and higher savings furthermore i observe direct evidence that relationships deteriorate after default and that through successful monitoring individuals know who to punish and who not to punish after default

long run equilibrium real exchange rates and oil prices abstract using cointegration and causality tests this paper demonstrates that the nonstationary behavior of us dollar real exchange rates over the post bretton woods era is due to the nonstationary behavior of real oil prices

credit constraints and agricultural productivity evidence from rural rwanda while potentially negative impacts of credit constraints on economic development have long been discussed conceptually empirical evidence for africa remains limited we use a direct elicitation approach on a national sample of rwandan rural households to empirically assess the extent and nature of credit rationing in the semi formal sector and its impact using an endogenous switching model elimination of all constraints could increase output by some 17 per cent implications for policy and research are spelled out

the effects of a calamity on income and wellbeing of poor microfinance borrowers the case of the 2004 tsunami shock abstract we investigate the effects of the 2004 tsunami on a sample of microfinance borrowers our findings show that the severe loss of income of damaged borrowers only partially explains the dip in wellbeing this is because the latter is also related to economic losses not measured by current income that is loss in wealth or in permanent income and by psychological or emotional effects finally we find that the role of risk on the tsunami impact is partially captured by the interaction of the damage dummy with borrowers productive activity

credit constraints their existence determinants and implications for u s farm and nonfarm sole proprietorships the objective of this study is to determine the effect of credit constraints on production for farm and nonfarm sole proprietorships a propensity score matching estimator is employed to provide unbiased estimates of the production impacts of being denied credit the empirical results demonstrate that the value of production is significantly lower for credit constrained sole proprietorships if this drop in the value of production is aggregated to a national level it constitutes only 3 and 13 of total value of production for farm and nonfarm sole proprietorships respectively copyright 2009 oxford university press

uninsured health shocks and agricultural productivity among rural households the mitigating role of micro credit this article investigates how health shocks affect farm productivity in the presence of microcredit it is expected that microcredit increases agricultural productivity by enhancing allocative and

the relationship between oil prices and exchange rates revisiting theory and evidence abstract this paper reviews existing theoretical and empirical research on the relationship between oil prices and exchange rates we start with theoretical transmission channels which point to bi directional causality empirical research is classified and shows that the evidence varies substantially depending on sample country choice and empirical method yet there are some common patterns i strong links between exchange rates and oil prices are frequently observed over the long run and ii either exchange rates or oil prices are a potentially useful predictor of the other variable in the short run but the effects are strongly time varying we also identify some important avenues for future research

dynamic link between oil prices and exchange rates a non linear approach abstract we explore the non linear relationship between crude oil prices and exchange rates of major currencies from quantitative and structural perspectives by utilizing bivariate normal mixture model the correlation coefficients between oil prices and exchange rates demonstrate that their dependences typically start from 2004 then dynamically change over time then we investigate whether business cycle and oil price shocks as two possible exogenous factors affect the dependence structure of oil fx linkage we find significant structural heterogeneity during economic expansion while little evidence of heterogeneity in recession this finding provides alternative interpretations for the enhanced dependence between oil prices and exchange rates and generates implications of financialization in commodity market in terms of oil price shocks kilian 2009 the normal mixture model captures significant heterogeneity implying that unstable oil fx dependence structure is frequently associated with oil aggregate demand shocks and oil specific demand shocks with an emphasis on the dynamic weights of two underlying states we interestingly find that structural heterogeneities coincide with a variety of geopolitical and economic events the application of normal mixture not only provide us knowledge of non linear relationship between oil prices and exchange rates but also guidance for investors in risk management and portfolio diversification complementary to the traditional portfolio theory based on normal distribution

the management of near money in the miller orr model is not optimal the most prominent model of the transactions demand for money that incorporates the availability of more than one interest bearing asset is that of miller and orr 1968 this three asset model is an extension of their simpler two asset money bonds model in which money is managed as an inventory with the objective of minimizing holding and transactions costs the extended model is used in graduatelevel textbooks to show that a corporate money manager facing an array of assets will behave much like the manager faced with a choice between money and only one type of security so that the simple model is an adequate basis for modeling the demand for money 1 in empirical work a similar belief is reflected in implementations of the transactions model of money demand that utilize a broad definition of money as though transactions motives will induce a money manager to handle a spectrum of near money assets in the same way as the medium of exchange the miller orr model appears to support such interpretations because in its three asset version the interrnediate interest bearing asset is managed in a fashion similar to that of non interest bearing money but when miller and orr solve this extended version of their model they neglect the corner solution that would allow the manager to hold only the highest yielding asset in this note i show that when the corner solution is

interaction between oil and us dollar exchange rate nonlinear causality time varying influence and structural breaks in volatility abstractthis article examines the nonlinear granger causality and time varying influence between crude oil prices and the us dollar usd exchange rate using the hiemstra and jones hp test the diks and panchenko dp test and the time varying parameter structural vector autoregression model by applying the iterated cumulative sums of squares icss algorithm and the dcc garch model the effects of structural breaks in volatility of the two markets are also investigated the empirical analysis indicates that first crude oil prices are the nonlinear granger cause of the usd exchange rate but not vice versa second the usd exchange rate exerts a stronger and more stable negative influence on crude oil prices in the short term and the influence gradually weakens after 2012 finally ignoring structural breaks can increase the negative volatility correlation between the oil and usd exchange rate markets which is particularly remarkable during the financial crisis

a re examination of stationarity of energy consumption evidence from new unit root tests abstract in this paper we re examine the stochastic behaviour of per capita total primary energy consumption across 178 countries around the world for this purpose in addition to conventional unit root tests we apply newly developed tests that allow for nonlinear adjustments and structural breaks in the data generating process the results of the unit root tests show that allowing for structural breaks and nonlinearity result in more frequent rejection of the null hypothesis of unit root suggesting that most of the series under consideration follow a stationary process these findings imply that both energy economists and policy makers must be careful and take account of possible nonlinearities and structural breaks in their analyses of energy consumption in addition the results imply that government interventions into the energy markets in most countries have no effect in the long run although the short run effects of the interventions depend on the size and the direction of interventions

modelling uk inflation 1875 1991 uk inflation has varied greatly in response to many economic policy and exchange rate regime shifts two world wars and two oil crises as well as legislative and technological changes inflation is modelled as responding to excess demands from all sectors of the economy goods and services factors of production money financial assets foreign exchange and government deficits equilibrium correction terms are developed for each of these over the sample indicator variables and commodity prices capture turbulent years variables representative of most theories of inflation matter empirically yielding an eclectic model inconsistent with any single cause explanation copyright 2001 john wiley sons ltd

do fundamentals explain the behaviour of the swedish real effective exchange rate this study examines the long run relationship between the real effective exchange rate and its fundamental determinants and derives a real effective equilibrium exchange rate for the swedish krona our results indicate that the krona was severely overvalued in late 1992 when the fixed exchange rate regime was abandoned by the end of 2000 the krona was undervalued by approximately 5 percent given the prevailing economic conditions arithmetic examples of suitable sek eur conversion rates are calculated under various assumptions to provide a guideline if sweden were to adopt the euro in the future

gender agricultural production and the theory of the household virtually all models of the household assume that the allocation of resources is pareto efficient within many african households agricultural production occurs on many plots controlled by different members of the household pareto efficiency implies that factors should be allocated efficiently across these plots i find in contrast that plots controlled by women are farmed much less intensively than similar plots within the household controlled by men the estimates imply that about 6 percent of output is lost because of inefficient factor allocation within the household the paper suggests a new approach to modeling intrahousehold allocation consistent with the empirical results

cointegration analysis with structural breaks and deterministic trends an application to the canadian dollar this article applies recent developments in cointegration analysis with structural breaks and deterministic trends to analyse the relationship between the real canada us exchange rate and commodity prices previous empirical studies disagree on whether these variables are cointegrated the root of disagreement could be in the handling of deterministic trends and potential structural breaks i find that even after controlling for these matters the question of whether the real exchange rate and commodity prices are cointegrated for canada remains unresolved

risk credit constraints and financial efficiency in peruvian agriculture abstract based on a panel data set we use a two stage analysis to evaluate the effects of access to formal credit on financial efficiency of farms in northern peru the first stage uses non parametric data envelope analysis to estimate farm specific measures of financial efficiency 28 per cent of farmers are financially inefficient and credit constraints reduce profits of these farmers by an average of between 17 and 27 per cent the second stage uses tobit regression to evaluate the determinants of financial inefficiency the results point to uninsured risk as a key determinant of financial inefficiency and suggest that policies to strengthen agricultural insurance markets would likely pay large dividends in rural peru

the relationship between credit and productivity in chinese agriculture a microeconomic model of disequilibrium credit is an important element in agricultural production systems it allows producers to satisfy the cash needs induced by the production cycle which characterizes agriculture preparation planting cultivation and harvesting of the crops are typically done over a period of several months in which very little cash revenue is earned while expenditures on materials purchased inputs and consumption must be made in cash cash income is received a short time after the harvest in the absence of credit markets farmers would have to maintain cash reserves so as to facilitate production and consumption in the next cycle the availability of credit allows both greater consumption and greater purchased input use and thus increases welfare of the farmers

from policy aims and small farm characteristics to farm science needs this paper examines the agricultural science needs of small farms the green revolution successfully negotiated two tightropes agricultural productivity increases were larger than the fall in prices that resulted from producing more food and output per hectare rose faster than output per worker thus increasing the demand for labor the current challenge is to generate technology that helps poor farmers in low potential areas since research capacity is increasingly private incentives to produce the needed technology are needed perhaps through contracts to produce varieties with specific characteristics development of seeds needs complementary work on water for which economists plant scientists and engineers need to pool their skills

non linearities in the dynamics of oil prices abstract examining stationarity is of particular importance and represents the first step in empirical time series research non stationarity invalidates many of the results obtained from standard techniques and therefore requires special treatment because oil prices play an important role in affecting economic variables this paper examines the stationarity of real oil prices brent dubai wti and the world over the period 1973 2 2011 2 real oil prices are expressed in the currencies of seven asian countries indonesia japan korea malaysia the philippines singapore and thailand and in the u s dollar while using linear unit root tests without structural breaks shows no evidence of stationarity allowing for breaks shows very limited evidence of stationarity we argue that these results are attributed to the presence of nonlinearities in the behavior of oil prices testing for nonlinearity shows significant evidence of nonlinearity in all the cases with evidence of exponential smooth transition autoregression estar nonlinearity type in most cases applying unit root tests that account for two types of nonlinearities smooth transition and nonlinear deterministic trends reveals evidence of stationarity in all the cases

homogeneity and the transactions demand for money the paper presents the properties of money demand implied by the frenkel jovanovic 1980 inventory model without approximation the money demand function is implicitly defined by the first order condition of the model from the implicit function we show that the elasticities of money demand satisfy a set of homogeneity conditions we also show that increasing transactions cost increases the cash flow elasticity the interest elasticity in absolute value and the uncertainty elasticity but decreases the transactions cost elasticity if the ratio of cash flow uncertainty to the transactions variable is small then the interest elasticity is greater than 1 2 in contrast it lies between 71 and 1 2 when the approximation method is applied

risk dependence of covar and structural change between oil prices and exchange rates a time varying copula model abstract this paper analyses the dynamic dependence between wti crude oil and the exchange rates of the united states and china taking structural changes of dependence into account by using six time varying copula models upside and downside conditional values at risk covars are introduced specifically to measure the upward and downward risk dependences between oil prices and exchange rates the findings indicate a structural break point of dependence exists between daily or weekly crude oil and the us dollar index the dependence between crude oil and the rmb exchange rate is faintly positive with lower tail dependence while the dependence between crude oil and the us dollar index is significantly negative with lower upper and upper lower tail dependence finally the covars results show that there is significant risk spillover from crude oil to chinese and the us exchange rate markets furthermore the spillover effect is significantly asymmetry in chinese exchange rate market in response to rising and falling oil returns while the asymmetry of spillover effect for the us dollar index is not significant

cash management in a randomly varying environment we study a cash management system in which the distribution of the cash flow xn in period n 1 2 depends on the state in of a randomly varying environment sufficient conditions are found for the optimality of a simple transfer rule generalizing and partially improving the well known results for the classical case with i i d cash flows these and further structural results obtained for the cash balance are shown to reduce the computational effort drastically in determining an optimal transfer rule in addition structural and computational results w r t the environment are derived finally some examples are given for economic and statistical environments and their interactions with the cash flow process

a simple test of consumption insurance are consumers effectively insured against idiosyncratic shocks to income or wealth either by formal institutions such as charities private insurance and government programs or by informal mechanisms such as gifts and loans from relatives friends and neighbors under full insurance consumption growth should be cross sectionally independent of idiosyncratic variables that are exogenous to consumers this proposition is tested by cross sectional regressions of consumption growth on a variety of exogenous variables full insurance is rejected for long illness and involuntary job loss but not for spells of unemployment loss of work due to strike and an involuntary move

is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters although the link between oil prices and dollar exchange rates has been frequently analyzed a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided in addition previous studies have mostly neglected nonlinearities which for example may stem from exogenous oil price shocks using monthly data for various oil exporting and oil importing countries this study contributes to the clarification of those issues we discriminate between long run and time varying short run dynamics using a markov switching vector error correction model in terms of causality the results differ between the economies under observation but suggest that the most important causality runs from exchange rates to oil prices with a depreciation of the dollar triggering an increase in oil prices on the other hand changes in nominal oil prices are responsible for ambiguous real exchange rate effects mostly through the price differential and partly also through a direct influence on the nominal exchange rate overall the fact that the adjustment pattern frequently differs between regimes underlines the fact that the relationships are subject to changes over time suggesting that nonlinearities are an important issue when analyzing oil prices and exchange rates

risk rationing and wealth effects in credit markets theory and implications for agricultural development we develop a model that shows that asymmetric information can result in two types of credit rationing conventional quantity rationing and risk rationing whereby farmers are able to borrow but only under high collateral contracts that offer them lower expected well being than a safe subsistence activity after exploring its incidence with respect to wealth we show that risk rationing has important policy implications specifically land titling will be only partially effective because it does not enhance producers willingness to offer up the collateral needed to secure loans under moral hazard constraints efforts to enhance agricultural investment and the working of agricultural credit markets must step beyond land titling and also deal with risk copyright 2008 oxford university press

oil price fluctuation volatility spillover and the ghanaian equity market implication for portfolio management and hedging effectiveness abstract this study attempts to contribute to the literature on stock markets and energy prices by examining the dynamic volatility and volatility transmission between oil and ghanaian stock market returns in a multivariate setting using the recently developed var garch var agarch and dcc garch frameworks in turn the models results are used to compute and analyze the optimal weights and hedge ratios for oil stock portfolio holdings for comparison purposes and to put the paper more in the perspective of west africa the nigerian stock market is also included in the analysis our findings point to the existence of significant volatility spillover and interdependence between oil and the two stock market returns while spillover effects are stronger for nigeria the transmission of volatility is much more apparent from oil to stock than from stock to oil in the case of ghana also the study demonstrates evidence of short term predictability in oil and stock price changes through time and reveals that conditional volatility changes more rapidly as result of substantial effects of past volatility rather than past news shocks for all market returns moreover we show that there is a slightly more effective hedge in the two stock markets under the dcc garch framework our preferred model compared to the other two models although hedging effectiveness is much greater for ghana on the whole our findings for optimal hedge ratios are consistent with other studies and particularly the view that oil assets should be an integral part of a diversified portfolio of stocks and suggest that a better understanding of volatility links is crucial for portfolio management in the presence of oil price risk finally the existence of multivariate asymmetric effects and dynamic conditional correlations as revealed by the var agarch and dcc garch models make it clear that the assumptions of symmetric effects and constant conditional correlations are not supported empirically

cointegration and tests of purchasing power parity nonstationarity in the levels of spot exchange rates and domestic and foreign price indices makes the use of conventional tests of the absolute version of purchasing power parity ppp inappropriate if ppp is true inter country commodity arbitrage ensures that deviations from a linear combination of spot exchange rates and domestic and foreign price levels should be stationary under these conditions exchange rates and price levels should form a cointegrated system we find the null hypothesis of no cointegration cannot be rejected for all five countries thus violating the long run absolute version of ppp

how to deal with intercept and trend in practical cointegration analysis this note gives a few practical guidelines for cointegration analysis the focus is on testing the cointegration rank in a var model and on how an intercept and a trend should be incorporated in the testing model only two cases appear relevant for most economic data

the influence of the international oil prices on the real effective exchange rate in romania in a wavelet transform framework article i nfo the purpose of this paper is to assess the empirical influence of oil prices on the real effective exchange rate in romania in a wavelet transform framework more precisely we investigate to what extent oil prices impact the real effective exchange rate in an eastern european transition country characterised by a low level of retail fuel prices and by an important growth rate of these prices as compared to the other eu countries for this purpose we use a discrete wavelet transform approach and scale by scale granger causality tests we find that oil prices have a strong influence on the real effective exchange rate in the short run but also for large time horizons these results are important considering the fact that in a classical granger causality linear framework for the entire sample we find that oil prices have no influence on the real effective exchange rate the findings remainrobust whenresampling the initial 1986 2009period orwhen weuse analternative continuous wavelet transform in addition we discover that mainly the positive shocks associated with an increase in oil prices have an impact upon the real effective exchange rate movements in the short and long runs

wages and prices in the uk this paper investigates the relationship between wages and prices in the uk using a vecm formulation and generalized impulse response functions and persistence profiles because of significant feedbacks it finds that fluctuations in wage growth cannot be used directly to predict fluctuations in inflation

health shocks and consumption smoothing in rural households does microcredit have a role to play abstract this paper estimates using a large panel data set from rural bangladesh the effects of health shocks on household consumption and how access to microcredit affects households response to such shocks households appear to be fairly well insured against health shocks our results suggest that households sell livestock in response to health shocks and short term insurance is therefore attained at a significant long term cost however microcredit has a significant mitigating effect households that have access to microcredit do not need to sell livestock in order to insure consumption microcredit organizations and microcredit therefore have an insurance role to play an aspect that has not been analyzed previously

the effects of oil price shocks on asian exchange rates evidence from quantile regression analysis abstract this paper investigates the effects of oil price shocks on asian exchange rates we employ quantile regression analysis and allow for structural breaks and asymmetry our results indicate that positive and negative oil price shocks have asymmetrical effects on exchange rate returns that vary in significance size and sign throughout the distribution of exchange rate returns the impact of oil price shocks is also affected by market conditions bearish and bullish currency markets during bullish markets in domestic currencies at lower quantiles of currency movements in terms of u s dollar exchange rates rising oil prices cause further appreciation for indonesia korea the philippines and thailand currencies during bearish markets in the domestic currencies at higher quantiles of exchange rate movements in terms of u s dollar exchange rates rising falling oil price causes further currency depreciation for indonesia malaysia thus currencies respond differently to oil price shocks under extreme bullish or bearish currency market conditions and the impact of rising or falling oil prices on foreign exchange markets can vary by country and market conditions

market access by smallholder farmers in malawi implications for technology adoption agricultural productivity and crop income abstract in malawi maize is the major crop and food staple given limited off farm employment opportunities much needed increases in household income for improving food security must come from gains in agricultural productivity through better technology and more profitable crops in the past hybrid maize and more recently tobacco were promoted by policy for increasing smallholder income an analysis of determinants of adoption of these two crops and related income effects is presented apart from factor endowment and exposure to agroecological risks differences in the household s access to financial and commodity markets significantly influence its cropping shares and farm income

real time prediction with u k monetary aggregates in the presence of model uncertainty a popular account for the demise of the u k s monetary targeting regime in the 1980s blames the fluctuating predictive relationships between broad money and inflation and real output growth yet ex post policy analysis based on heavily revised data suggests no fluctuations in the predictive content of money in this paper we investigate the predictive relationships for inflation and output growth using both real time and heavily revised data we consider a large set of recursively estimated vector autoregressive var and vector error correction models vecm these models differ in terms of lag length and the number of cointegrating relationships we use bayesian model averaging bma to demonstrate that real time monetary policymakers faced considerable model uncertainty the in sample predictive content of money fluctuated during the 1980s as a result of data revisions in the presence of model uncertainty this feature is only apparent with real time data as heavily revised data obscure these fluctua