how do u s stock returns respond differently to oil price shocks pre crisis within the financial crisis and post crisis abstract we use a long time series of daily data for 682 firms over a period from january 1990 to december 2012 each firm includes 5 772 daily observations our sample involves a total of 3 936 504 observations to investigate how u s stock returns respond differently to oil price shocks prior to during and after a financial crisis we provide evidence that u s stock returns in turn respond positively to the changes in oil prices during and after such a crisis we use firm level data to find that positive and negative oil price shocks have asymmetric effects on stock returns during the crisis and after the crisis then we examine whether the effect of an oil price shock on stock returns varies across oil intensive industries within the crisis and post crisis our results indicate that stock returns in response to oil price shocks across industries are heterogeneous and the stock returns of some energy intensive manufacturing industries respond more positively to oil price shocks compared with less energy intensive manufacturing industries we use total assets total revenue and the number of employees as proxy variables to measure each firm s size and then examine whether oil price shocks affect stock returns differently across firm sizes we find that big firms are the most strongly and negatively influenced by an oil price shock prior to the crisis on the other hand our results indicate that an oil price shock in the post financial crisis period is positively amplified in the case of medium sized firms

a note on the efficiency ranking of two second best policy instruments for pollution control a relatively simple economic model compares two pollution control policies on the basis of regional costs for attainment the comparison seeks to rank policies which impose uniform charges for emissions and those which impose requirements of a percentage reduction of pollutants the results indicate that there are too many unique regional variations to make a valid ranking the model region consists of two pollution sources and a single monitoring point 13 references

regional growth linkages from agriculture pioneering research on downstream linkages from agriculture is said to demonstrate that consumption links rather than production links are the main source of indrect growth effects that these consumption links take the form of labour intensive goods and services produced locally and that the largest farm enterprises are most locally multiplicative of activities mopping up surplus rural labour this article has two purposes first the methodologies assumptions and data base for the quantification of the local and non local regional multiplier effects from agricultural development are examined second the contradictory interpretations for agricultural policy which have arisen from these exercises of quantification are discussed and an attempt made to explain their bases

measuring the impact of consumption linkages on the employment effects of mechanisation in philippine rice production a variant on the social accounting matrix method is used to measure consumption linkages of alternative rice production technologies the model is built for technology observed in the philippines consumption linkages are computed by incorporating consumption distribution and import substitution effects one essence of the input output framework is the recognition of multiple sub sectors for production of a single product rice simulations consider a one per cent change on consumer spending for rice met from one sub sector compared to another results indicate that the changes in employment that occur under different technological options depend importantly on the indirect effects arising from consumption linkages

common trends and common cycles the existence of a serial correlation common feature among the first differences of a set of i 1 variables implies the existence of a common cycle in the beveridge nelson stock watson decomposition of those variables a test for the existence of common cycles among cointegrated variables is developed the test is used to examine the validity of the common trend common cycle structure implied by flavin s excess sensitivity hypothesis and campbell and mankiw s mixture of rational expectations and rule of thumb hypothesis for consumption and income linear independence between the cointegration and the cofeature vectors is exploited to decompose consumption and income into their trend and cycle components copyright 1993 by john wiley sons ltd

global connectedness of msci energy equity indices a system wide network approach abstract the paper utilizes msci energy indices of 21 major energy consumer economies as a full sample to serve as a proxy indicator of the energy sector of these economies and then studies the squared return spillover interlinkages among them for the pre and post global financial crisis of 2008 and during the crude oil crises of 2008 09 and 2014 15 the squared return spillover connectedness has been analyzed on intra and inter regional basis based on the segregation of indices into regions viz europe north and latin america and asia pacific and africa the connectedness interlinkage has been quantified deploying generalized error variance decomposition gevd and the results have been visualized via network diagrams the result shows that the return spillover connectedness is significant and is more prominent in some economies primarily in europe and north america for the full sample however post crisis the squared return spillover connectedness of emerging economies of asia pacific has witnessed a boost surprisingly russia as a major oil exporter sends moderate shocks system wide in the post crisis era implying economic sanctions downplay the influence it could make in the energy sector during the crisis year though spillover risk transmission is high during the 2008 09 crisis it is more spread out during the 2014 15 crisis with the inclusion of the asia pacific emerging market energy indices

connectedness network and dependence structure mechanism in green investments abstract we present an empirical study of renewable energy stock returns and their relation to four major investment asset classes stocks currency us treasury bonds and oil and several sources of uncertainty applying nonlinear causality and connectedness network analysis on data covering the period 2004 2016 we investigate the directionality and connectedness among different asset classes as well as between uncertainties first from the results of the estimation of directionality and network spillovers it can be concluded that the european stock market has a strong market dependence on renewable energy stock prices second uncertainties have an economically significant impact on both return and volatility spillover in energy investments third most of the uncertainties are net transmitters of volatility connectedness during the global financial crisis gfc and european sovereign debt crisis esdc

dynamic and directional network connectedness of crude oil and currencies evidence from implied volatility abstract we explore the dynamic and directional network connectedness between implied volatility measures of crude oil and the exchange rate of nine major currency pairs for a sample period from may 2007 to december 2016 we use the dynamic cholesky factor vector autoregression variance decomposition method to ascertain the net directional spillovers and to determine the direction of the transmission of shocks we employed the network graph connectedness method across a few select events characterized by the crude oil price volatility of 2008 09 and 2014 16 we found that the crude oil market has a dominant impact on the total connectedness of the crude oil currency implied volatility relationship suggesting that crude oil affects currencies more than currencies affect crude oil for the time frame of 2007 16 however during the crude oil crisis periods the dynamics are reversed with crude having more of an effect additionally the pairwise directional network connectedness between the currency pairs reveals that eurusd is more sensitive to the crude price fluctuation than other major currency pairs and is one major currency that passes idiosyncratic shocks to other currency pairs

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

forecasting the volatility of australian stock returns do common factors help this article develops multivariate factor models for forecasting volatility in australian stocks we suggest estimation procedures for approximate factor models that are robust to jumps when the cross sectional dimension is not very large and also work with volatility measures that have been constructed so that they contain no jump components out of sample forecast analysis shows that multivariate factor models of volatility outperform univariate models but there is little difference between simple and sophisticated factor models

the directional volatility connectedness between crude oil and equity markets new evidence from implied volatility indexes in this paper we use a set of newly introduced implied volatility indexes to investigate the directional connectedness between oil and equities in eleven major stock exchanges around the globe from 2008 to 2015 the inference on the oil equity implied volatility relationships depends on diebold and yilmaz 2012 2014 2015 who proposed a set of directional measures that enable the dynamic and directional characterization of the relationships among financial variables we find uniform results across the sample countries indicating that the connectedness between oil and equity is established by the bi directional information spillovers between the two markets however we find that the bulk of association is largely dominated by the transmissions from the oil market to equity markets and not the other way around the pattern of transmissions is varying over the sample period however most of the linkages between oil and equities are established from the mid of 2009 to the mid of 2012 which is a period that witnessed the start of global recovery

measuring common cyclical features during financial turmoil evidence of interdependence not contagion abstract this paper develops a test of contagion in financial markets by considering a measure of co movement based on the notion of common cycles to detect short run co movements between a set of time series we apply our methodology to the international effects of the 1994 mexican peso crisis and the 1997 asian crisis our results can be interpreted as evidence of a high level of market co movement during all states of the world and therefore question the hypothesis of shift contagion in the transmission of financial shocks during the 1997 asian crisis and to a lesser extent the 1994 mexican crisis

on crises contagion and confusion abstract since the tequila crisis of 1994 1995 the asian flu of 1997 and the russian virus of 1998 economists have been busy producing research on the subject of contagion yet few studies have examined empirically through which channels the disturbances are transmitted if there are indeed fundamental reasons for the spillovers we observe we attempt to fill this gap by analyzing how both trade links and the largely ignored financial sector links influence the pattern of fundamentals based contagion we examine the role of international bank lending the potential for cross market hedging and bilateral and third party trade in the propagation of crises

transformation of the rural economy in the philippines 1988 2006 abstract this research explores the changing structure of the rural economy in the philippines from 1988 to 2006 we found that the expansion and upgrade of infrastructure such as electricity and roads and investment in secondary and tertiary education are important factors that induced the economic transformation of the rural economy the importance of higher education as an entry requirement to the nonfarm labor market has declined over time indicating that the rural nonfarm sector has been increasingly providing employment opportunities to the unskilled and the uneducated who form the bulk of the rural poor

farm mechanization in a semiclosed input output model the philippines employment and income distribution consequences of farm mechanization are estimated using a semiclosed input output model incorporating factor intensity consumption and import substitution effects rice production and agricultural machinery vectors from the national input output table are disaggregated into technology specific subsectors consumption is disaggregated into five household classes differing in consumption savings and imports simulations of a one percent change in consumer spending for rice met from one subsector compared to another indicate that indirect effects partially offset employment reduction from machinery and reinforce the employment increase from irrigation intensification furthermore irrigation is found to offset the inequitable effects of mechanization

more on the properties of a tax cum subsidy pollution control strategy abstract a modification in a tax cum subsidy pollution control strategy proposed by yohe and macavoy to mitigate against the effects of moral hazard on the effectiveness of self reporting strategies is shown capable of eliminating the dead weight welfare loss of regulating the emissions of an imperfectly competitive polluter

common features in economics and finance an overview of recent developments this introductory article offers an overview of some developments in the common features literature since the publication of the seminal article by engle and kozicki in the journal of business economic statistics in 1993 with the aim of highlighting the unifying theme of the contributions in this volume

the empirical properties of two classes of designs for transferable discharge permit markets abstract previous work by atkinson and lewis j environ econ manag 1 237 250 1974 and anderson et al an analysis of alternative policies for attaining and maintaining a short term no2 standard mathtech inc princeton n j 1979 has indicated the tremendous cost advantages to be achieved by moving from a policy based on emission standards to one based on marketable emission permits as tietenberg land econ 56 391 416 1980 points out however neither of the major permit designs treated in the literature are optimal from all points of view this has triggered a search for alternative permit designs which while they may not minimize compliance costs have sufficient other virtues as to make them attractive on other grounds the purpose of this paper is to examine within the context of an empirical mathematical programming model the air quality emission and cost consequences of two classes of the permit designs which can be implemented in the absence of information on control costs this case study involves particulate control in st louis

pollution standards vs charges under uncertainty conventional analysis of pollution control policy under uncertainty does not properly account for the potential cost effectiveness difference between standards and charges thus drawing misleading conclusions for the case of inefficient standards correcting for this anomaly the following conclusions can be drawn when uncertainty involves the position of the marginal damage cost schedule rather than policy indifference a charge is always superior to an inefficient standard when uncertainty is about the position of the marginal control cost schedule policy indifference may occur but if it does it must be the case that the slope of marginal damage cost exceeds that of marginal control cost

information spillovers and connectedness networks in the oil and gas markets abstract this paper investigates the oil gas relationship from a multi scale perspective by combining the connectedness network framework and the ensemble empirical mode decomposition eemd method the empirical results show that the direction and magnitude of the information flow between oil and gas returns behave differently across time scales in general wti and its refinery products tend to act as net information transmitters while the united states and united kingdom natural gas markets act as net receivers the total spillover connectedness for the oil and gas markets as measured by a rolling window approach has dynamic volatile characteristics the robustness of the results is shown by substituting brent for wti

the use of input output analysis to determine the appropriateness of technology and industries evidence from bangladesh since the proportion of available capital to labor is low in ldcs compared to the developed countries the most appropriate techniques for ldcs from an economic point of view are likely to be the laborintensive ones if we suppose that there is a single most efficient technique for each industry and if it technologically requires labor and capital in fixed proportions the most appropriate industries for ldcs are likely to be the labor intensive ones this is because of the close correspondence between industries and their technological requirements on an international scale this appropriateness is given some support by the heckscher ohlin theorem of international specialization in production as is well known this theorem indicates subject to various assusmptions that countries should specialize in the production of goods that make use of their relatively abundant factors of production the aim of this paper is to identify appropriate industries for bangladesh in view of the relative availability of labor and capital and taking into account the amount of labor and capital needed both directly and indirectly to produce output for each industry unfortunately as specified below a number of previous studies of appropriate techniques and industries have ignored the indirect requirements for labor and capital needed to produce the various intermediate products used in these industries interindustry analysis based on the assumption that the adopted techniques require inputs to be combined in fixed

further evidence on the trade energy consumption nexus in oecd countries abstract the previous literature on the impact of trade on energy consumption has yielded inconclusive results however recent studies provide evidence of a nonlinear relationship between trade and energy consumption unlike previous studies we employ a panel framework with allowance for heterogeneity and cross sectional dependence to investigate the trade energy consumption nexus for oecd countries for the period 1990 2015 our results show that the impact of trade on energy consumption exhibits an inverted u shaped pattern and the nonlinear relationship is robust to estimation methods on the other hand the results from linear specifications reveal the importance of cross sectional dependence in explaining the positive role of trade on energy consumption in addition these impacts are consistent across different measures of trade

some contagion some interdependence more pitfalls in tests of financial contagion this paper develops a test of contagion in financial markets based on bivariate correlation analysis which generalizes existing tests and applies it to the international effects of the hong kong stock market crisis of october 1997 contagion is defined as a structural break in the international transmission of financial shocks for plausible values of the variance of country specific shocks in hong kong our test finds evidence of contagion for 5 countries out of a sample of 17 this is in sharp contrast with the findings of recent literature according to which there is no contagion only interdependence we show that this strong result in the literature is due to arbitrary and unrealistic restrictions on the variance of country specific shocks

good volatility bad volatility what drives the asymmetric connectedness of australian electricity markets efficient delivery of network services and the electricity infrastructure to meet the long term consumer s interests are the main objectives and the strategies of a national electricity market while the main interests of generators are to maximize their profit through pricing strategies therefore the objective of this study is to explore whether electricity prices across the four australian states display symmetric price volatility connectedness the study is the first attempt in the literature to make use of intraday 5 min australian dispatch electricity prices spanning the period december 8th 1998 to may 5th 2016 to quantify asymmetries in volatility connectedness emerging from good and bad volatility the results provide supportive evidence that the australian electricity markets are connected asymmetrically implying the presence of some degree of market power that is exercised by generators across regional electricity markets

oil volatility shocks and the stock markets of oil importing mena economies a tale from the financial crisis abstract the role of oil price volatility in predicting the stock market volatility of small oil importing countries that have a substantial number of investors from neighboring oil exporting countries remains unexplored to refine our basic understanding of this role this paper proposes a methodological extension of the recently developed causality in variance procedure and considers the case of lebanon and jordan these two heavy importers of oil are interesting in the sense that they are located in a region with a large number of rich oil exporting countries so their stock markets are tied to oil exporters by way of foreign investors the conditional mean and variance of returns are modeled within an armax garch framework that accommodates three salient features of the data namely autocorrelation day of the week effects and movements in international markets for comparison purposes the stock markets of morocco and tunisia are also included in the study empirical analyses highlight the dynamic effects of the global financial crisis on the volatility spillovers between oil and the stock markets of oil importing countries and provide more insights into the seemingly contradictory effects of being oil importers while having investors from oil exporting countries the main results indicate that the volatility spillover is much more apparent from the world oil market to the stock market of jordan than the other way around whereas oil volatility is not a good predictor of lebanese stock market volatility finally policy practical implications and conclusions for future research are drawn