definition consistent measurement of exchange market pressure currencies can be under severe pressure but in a managed exchange rate regime that is not fully visible via the change in the exchange rate the literature has proposed a way to measure such exchange market pressure emp indirectly by adding interest rate changes and forex interventions to the exchange rate change we demonstrate that this measure is not consistent with the definition of emp and develop a new measure that is consistent this is first derived within the commonly used monetary exchange rate model then we generalize the analysis by avoiding the use of an exchange rate model we find that the interest rate should not be taken in the first difference form used so far but rather in level form and relative to the interest rate chosen if the country had no exchange rate objective applications on the european monetary system and east asian crises confirm that this improvement is highly relevant in practice

assessing the relative efficiency and productivity growth of vehicle inspection services an application of dea and malmquist indices abstract the purpose of this paper is to analyze efficiency and productivity growth of the norwegian motor vehicle inspection agencies for the period 1989 91 efficiency measures are calculated by a non parametric approach known as data envelopment analysis dea which has particular applicability in the service sector productivity is measured by the malmquist index and defined as the ratio between efficiency as calculated by the dea for the same production unit in two different time periods total productivity growth has been found but there is a variation among individual units the observed total productivity can be accredited to decreasing input volumes and increased capacity the main contributor to the observed total productivity growth is the frontier technical change effect which is found to be remarkably positive the calculated efficiency measures show that there is on the average an input saving potential of 21 29 for the sector as a whole the individual units are found to be rather unstable with respect to efficiency scores across the years of observation the efficiency scores are not affected by the size of the units

a note on the malmquist productivity index in recent years the malmquist index has gained in popularity as a measure of productivity change we demonstrate that in the presence of non constant returns to scale the malmquist productivity index does not accurately measure productivity change the bias is systematic and depends on the magnitude of scale economies

a fresh look at the productivity and efficiency changes of uk airlines this article uses the bootstrapped malmquist index methodology to measure and test the extent of efficiency and productivity changes in the uk airline sector the aim of the bootstrap method is to overcome the statistical limitations of the data envelopment analysis dea method generally used to measure the distance functions of the malmquist index in applying the method we use input output data on a sample of major uk airlines for the period 2004 2007 results showed that most airlines have witnessed significant decrease in their productivity efficiency scale and technology measures using a second stage tobit regression this article attributed the sources of productivity and efficiency changes to factors such as stage length load factor and airline size this article also discussed the negative impacts of oil price using illustrations from the uk and other international airlines

efficiency analysis for exogenously fixed inputs and outputs we evaluate by means of mathematical programming formulations the relative technical and scale efficiencies of decision making units dmus when some of the inputs or outputs are exogenously fixed and beyond the discretionary control of dmu managers this approach further develops the work on efficiency evaluation and on estimation of efficient production frontiers known as data envelopment analysis dea we also employ the model to provide efficient input and output targets for dmu managers in a way that specifically accounts for the fixed nature of some of the inputs or outputs we illustrate the approach using real data for a network of fast food restaurants

real exchange rate overvaluation and wto dispute initiation in developing countries why and when do developing countries file trade disputes at the world trade organization wto although financial conditions have long been considered an important driver of trade policy they have been largely absent from the literature on trade disputes we argue that developing country governments bring more trade dispute to the wto when overvalued real exchange rates put exporters at a competitive disadvantage this dynamic is most prevalent in countries where large foreign currency debt burdens discourage nominal currency devaluations that would otherwise serve exporters interests our findings provide an explanation for differences in dispute participation rates among developing countries and also suggest a new link between exchange rate regimes and trade policy

international coordination in the design of macroeconomic policy rules abstract the paper examines international issues that arise in the design and evaluation of macroeconomic policy rules it begins with a theoretical investigation of the effects of fiscal and monetary policy in a two country rational expectations model with staggered wage and price setting and with perfect capital mobility the results indicate that with the appropriate choice of policies and with flexible exchange rates demand shocks need not give rise to international externalities or coordination issues price shocks however do create an externality and this is the focus of the empirical part of the paper using a simple seven country model consisting of canada france germany italy japan the united kingdom and the united states optimal cooperative and non cooperative nash policy rules to minimize the variance of output and inflation in each country are calculated the cooperative policies are computed using standard dynamic stochastic programming techniques and the non cooperative policies are computed using an algorithm developed by finn kydland the central result is that the cooperative policy rules for these countries are more accommodative to inflation than the non cooperative policy rules

estimation and decomposition of technical efficiency for sugarbeet farms this study computes technical efficiency for idaho sugarbeet farms and decomposes it into pure technical efficiency scale efficiency and congestion efficiency using nonparametric procedures the results indicate that the average efficiency is 0 88 with 45 of the farms in the sample exhibiting full efficiency improper scale operation and input overutilization are the major sources of inefficiency for remaining farms technical efficiency is independent of farm size a tobit model was used to examine the impacts of variables such as farm size specialization tenancy position hired labour location and managerial ability on efficiency inefficiency in sugarbeet production results in a shortfall of potential revenues not only for producers but also for landlords and processors

some models for estimating technical and scale inefficiencies in data envelopment analysis in management contexts mathematical programming is usually used to evaluate a collection of possible alternative courses of action en route to selecting one which is best in this capacity mathematical programming serves as a planning aid to management data envelopment analysis reverses this role and employs mathematical programming to obtain ex post facto evaluations of the relative efficiency of management accomplishments however they may have been planned or executed mathematical programming is thereby extended for use as a tool for control and evaluation of past accomplishments as well as a tool to aid in planning future activities the ccr ratio form introduced by charnes cooper and rhodes as part of their data envelopment analysis approach comprehends both technical and scale inefficiencies via the optimal value of the ratio form as obtained directly from the data without requiring a priori specification of weights and or explicit delineation of assumed functional forms of relations between inputs and outputs a separation into technical and scale efficiencies is accomplished by the methods developed in this paper without altering the latter conditions for use of dea directly on observational data technical inefficiencies are identified with failures to achieve best possible output levels and or usage of excessive amounts of inputs methods for identifying and correcting the magnitudes of these inefficiencies as supplied in prior work are illustrated in the present paper a new separate variable is introduced which makes it possible to determine whether operations were conducted in regions of increasing constant or decreasing returns to scale in multiple input and multiple output situations the results are discussed and related not only to classical single output economics but also to more modern versions of economics which are identified with contestable market theories

the convergence of regional house prices in the uk the ripple effect hypothesis implies a long run convergence of regional uk house prices however despite many authors believing in the existence of such an underlying constancy statistical evidence has yet to be presented supporting this implication in this paper an alternative approach is proposed to analyse regional house price ratios in contrast to the findings of previous studies application of this new procedure results in the detection of widespread convergence of house prices in a number of regions of the uk the results suggest that the failure of previous analyses to uncover convergence is due to an underlying asymmetry in the adjustment process being ignored interestingly the form of asymmetry detected varies between regions while regions in the south east experience faster convergence following downswings in prices other regions exhibit more rapid convergence following increases in prices

competition privatisation and productive efficiency evidence from the airline industry we use data from the airline industry to examine the extent to which the costs of airline operations are affected by rents accruing to workers and the extent to which these rents depend inter alia upon the degree of competition in the industry our empirical results based on a panel of twelve european and seven major united states airlines confirm that state ownership substantially increases rents to labour while the effects of competition are more subtle and ambiguous airline profits tend to be associated with higher rents to employees the gains from further privatisation and liberalisation may be quite large does competition have significant effects on productive as well as allocative efficiency convincing empirical answers to this question have been hard to find for two reasons first data of the quality required for robust estimation of productive efficiency are only rarely available secondly there is frequently no convincing standard against which the efficiency of an industry or a firm may be compared since when the degree of competition varies many other things such as technology network structures and firm sizes typically vary as well these problems do not automatically make comparison impossible but they compound the need for high quality data one industry which is likely to be well suited to investigating questions of this kind is the international airline industry the industry contains a large number of firms thus ensuring at least enough potential competition to make questions about the effects of competition interesting but the scope for these firms to compete with one another has been influenced to varying degrees over the years by different national and international regulatory regimes in particular deregulation of the united states industry in 1978 provided a kind of natural experiment that has led not only to comparisons of the before and after variety but also to comparisons between the united states industry and that of other global regions notably europe such comparisons are far from straightforward but they are facilitated by the fact that the technology of civil aviation is more or less internationally standardised and by the relatively high quality of available data in the industry

price and income elasticities of demand for housing characteristics in the city of barcelona garcia j and raya j m price and income elasticities of demand for housing characteristics in the city of barcelona regional studies this paper estimates price and income elasticities of demand for housing characteristics using the information of properties appraised in the city of barcelona 1998 2001 it employs a two stage approach estimating hedonic price equations for different districts in order to estimate subsequently the corresponding demand equations the results allow an analysis to be made of the complementarity or substitutability relationships among the characteristics analysed and also to catalogue these characteristics as goods by knowing the price cross and income elasticities of housing characteristics policy recommendations can be made about the type of housing units that are the most desirable to be subsidized garcia j et raya j m les elasticites par rapport au prix et au revenu de la demande de caracteristiques particulieres du logement a barcelone regional studies a p

the handbook of international macroeconomics preface 1 introduction rick van der ploeg amsterdam 2 quantity constrained models of open economies neil rankin warwick 3 imperfect competition and open economy macroeconomics huw d dixon york 4 relative price movements in dynamic general equilibrium models of international trade david backus nyu patrick kehoe pennsylvania and finn kydland carnegie mellon 5 international fiscal policy coordination and competition assaf razin and efraim sadka tel aviv 6 capital taxation in the world economy a lans bovenberg tilburg 7 history of the international monetary system implications for research in international macroeconomics and finance barry eichengreen berkeley 8 on inflation unemployment and the optimal exchange rate regime george alogoskoufis athens 9 macroeconomic policy speculative attacks and balance of payments crisis pierre richard agenor and robert p flood imf 10 continuous time models of exchange rates and intervention giuseppe bertola princeton 11 stylized facts of nominal exchange rate returns casper g de vries leuven 12 partial versus general equilibrium models of international capital market equilibrium 13 sovereign debt kenneth kletzer santa cruz 14 growth and external debt daniel cohen cepremap 15 growth and deficits in an interdependent world index

improved price indexes for real estate measuring the course of swedish housing prices this paper presents an improved methodology for estimating asset prices for real estate and other durables the method is used to analyze house price dynamics by exploiting an unusually rich and detailed body of data extensive descriptive and financial information on every house sale in sweden during a 12 year period the results confirm the importance of many aspects of quality in affecting the course of housing prices as well as the role of individual specific and idiosyncratic aspects of housing the results are compared with the price trends produced by more primitive methods and published by official sources q 1998 academic press

the choice of an exchange rate system and macroeconomic stability the recent theoretical literature regarding the choice of an exchange rate system has focused on how the choice of an exchange rate regime will affect the stability of the economy while the methodology and emphasis of the various theoretical arguments differ the common thread that runs through all is the notion that the appropriate exchange rate system will differ with the nature of the disturbance to the economy the substantive differences existing among the various studies are to a certain extent due to different criteria used for exchange system choice it is not surprising that one s beliefs with regard to the effect of exogenous shocks on exchange system choice will be sensitive to the objective function used for instance fischer 1977 and frenkel and aizenman 1982 focus on the minimization of real consumption shocks and derive the result that the greater the domestic money shocks the more likely is a float alternatively flood 1979 and aizenman 1983 with an objective of minimizing domestic price shocks conclude that the greater the domestic money shocks the more preferred is a fixed exchange rate while the evidence presented below will indicate which approach is more consistent with actual country practice we should first consider the rationale behind the criteria considered fischer appeals to basic micro theory when he says that concavity of utility functions expressed as a function of consumption justifies concern with the stability of consumption but it is not obvious that price stability is of itself undesirable

aspects of the optimal management of exchange rates abstract this paper shows that the choice of the optimal exchange rate regime depends on the stochastic shocks affecting the economy the higher the variance of real shocks the larger the desirability of fixity of exchange rates the desirability of exchange rate flexibility increases the larger are the variances of the shocks to the demand for money to the supply of money to foreign prices and to purchasing power parities when the economy produces traded and non traded goods the desirability of exchange rate flexibility diminishes the higher is the relative share of non traded goods and the lower are the elasticities of demand and supply of the two goods

unit root testing against an st mtar alternative finite sample properties and an application to the uk housing market a class of smooth transition momentum threshold autoregressive st mtar tests is proposed to allow testing of the unit root hypothesis against an alternative of asymmetric adjustment about a smooth nonlinear trend monte carlo simulation is employed to derive finite sample critical values for the proposed test and illustrate its attractive power properties against a range of stationary alternatives the empirical relevance of the st mtar test is highlighted via an application to aggregate house price data for the uk interestingly house prices are found to exhibit structural change characterized a fitted logistic smooth transition process with the newly proposed st mtar test providing the most significant results of the alternative smooth transition unit root tests available

currency fluctuations in the post bretton woods era the international monetary landscape that has emerged since the felling of bretton woods is characterized by a hybrid exchange rate system that lies somewhere between the textbook polar cases of a gold standard and a pure float this system has relatively flexible exchange rates between major countries active central bank intervention in the market for the major currencies and predominantly fixed exchange rates relative to the dollar or to some basket of currencies for less developed countries and newly industrializing nations the majority of research on currency markets since the early 1970s has focused on the characteristics of flexible exchange rates under this hybrid regime my thesis is that this research has been unsuccessful the proportion of monthly or quarterly exchange rate changes that current models can explain is essentially zero even after the fact forecasts that use actual values instead of forecasted values of the explanatory variables cannot explain major currency movements over the post bretton woods era this result is quite surprising since exchange rate changes would be entirely unpredictable only in very special cases of the theoretical models discussed as the discussion below will argue it is not a general implication of market efficiency that exchange rates follow a random walk process 1

foreign exchange market intervention in two small open economies the canadian and australian experience abstract we examine intervention by the bank of canada and the reserve bank of australia for daily data from 1989 to 1998 both central banks intervene in response to excessive exchange rate volatility and uncertainty volatility is the implied volatility of foreign currency futures options uncertainty is the kurtosis of the implied risk neutral probability density functions we also examine the impact of inflation targets unlike other studies we also consider commodity futures prices these turn out to help explain the effectiveness of intervention central bank intervention was largely unsuccessful in both countries though volatility and kurtosis were modestly affected

farm household efficiency in bangladesh a comparison of stochastic frontier and dea methods this study compares estimates of technical efficiency obtained from the stochastic frontier approach and the data envelopment analysis dea approach using farm level survey data for rice farmers in bangladesh technical inefficiency effects are modelled as a function of farm specific socioeconomic factors environmental factors and irrigation infrastructure the results from both the approaches indicate that efficiency is significantly influenced by the factors measuring environmental degradation and irrigation infrastructure

inefficiency and heterogeneity in turkish banking 1990 2000 recent studies have stressed the importance of privatization and openness to foreign competition for bank efficiency and economic growth we study bank efficiency in turkey an emerging economy with great heterogeneity in bank types and ownership structures earlier studies of turkish banking had three limitations i excessive reliance on cost function frontier analyses wherein volume of loans is a measure of banking output ii pooling all banks or imposing ad hoc heterogeneity assumptions and iii lack of a comprehensive panel data set for proper analysis of productivity and heterogeneity we use an estimation classification procedure to find likelihood driven classification of bank technologies in an 11 year panel in addition we augment traditional cost frontier analysis with a labour efficiency analysis we conclude that state banks are not particularly inefficient overall but that they do utilize labour inefficiently this partially supports recent calls for privatization we also conclude that special finance houses or islamic banks utilize the same technology as conventional domestic banks and do so relatively efficiently this suggests that they do not cause harm to the financial system finally we conclude that foreign banks utilize a different technology from domestic ones this suggests that one should not overstate their value to the financial sector copyright 2005 john wiley sons ltd

the use of bootstrapped malmquist indices to reassess productivity change findings an application to a sample of polish farms this article assesses the extent to which sampling variation affects findings about malmquist productivity change derived using data envelopment analysis dea in the first stage by calculating productivity indices and in the second stage by investigating the farm specific change in productivity confidence intervals for malmquist indices are constructed using simar and wilson s 1999 bootstrapping procedure the main contribution of this article is to account in the second stage for the information in the second stage provided by the first stage bootstrap the dea ses of the malmquist indices given by bootstrapping are employed in an innovative heteroscedastic panel regression using a maximum likelihood procedure the application is to a sample of 250 polish farms over the period 1996 to 2000 the confidence intervals results suggest that the second half of 1990s for polish farms was characterized not so much by productivity regress but rather by stagnation as for the determinants of farm productivi

comparing the intensity of exchange market intervention with frenkel and aizenman s index of managed float abstract the large literature on the optimum intensity of foreign exchange market intervention contains two different characterizations of the central bank s policy choice variable most of the literature focuses on the central bank s intensity of intervention in the foreign exchange market and its implications for the domestic money supply an important contribution by frenkel and aizenman 1982 however carries out its analysis in terms of a so called index of managed float this note clarifies the relation between these policy measures by deriving the frenkel aizenman index from a standard specification of financial market equilibrium

long memory and persistence in aggregate output abstract we examine persistence in u s aggregate output by estimating fractionally integrated arima models these models provide better low frequency approximations to the wold representation than previous stochastic specifications and earlier results on the importance of a permanent component emerge as special cases we find evidence of long memory which induces persistence though this long memory need not be associated with a unit root our point estimates indicate that macroeconomic shocks while persistent are distinctly less persistent than many earlier studies suggest however confidence intervals associated with the long run response are quite wide

liability dollarization exchange market pressure and fear of floating empirical evidence for turkey the objective of this article is to examine the relationship between liability dollarization and the exchange market pressure emp in turkey within an autoregressive distributed lag ardl and granger causality framework using monthly data from 1991 12 to 2006 08 the findings suggest that there exists a long term equilibrium relationship between emp and liability dollarization where liability dollarization granger causes emp both in the short and long run with no evidence of reverse causality this suggests that the predominance of foreign currency liabilities in the banks balance sheets in turkey induces a selling pressure in the exchange market as well as a fear of floating

modeling long run behavior with the fractional arima model abstract when modeling long run behavior fractional arima models can give insights unobtainable with the nonfractional arima models as an application the deterministic trend and unit root with drift models are nested in the fractional arima model this allows testing between the two models based on estimated parameter values this test is applied to postwar us quarterly real gnp the test concludes that gnp is consistent with both models the estimated fractional parameter is significantly smaller than reported in diebold and rudebusch 1989 the difference is explained by bias in the previous estimates relationships with the cumulative impulse response and spectral density at frequency zero are noted

measuring efficiency with a linear economic model this paper modifies and interprets data envelopment analysis dea using a linear economic model this approach is similar to the cone input output and assurance region approaches to dea but it is implemented so that the multipliers are measured in the same units across all linear optimization problems this approach allows one to interpret alternatives as profit maximizing organizations and the dea multipliers as prices that are comparable across the alternatives this is a useful extension of the assurance region concept but more important is that our approach enhances communication with decision makers the improved communication is illustrated by applying the model to the siting of a long term health care facility this application is interesting because the multiplier bounds make practical sense and because the problem has dimensions that sometimes lead to interpretation problems with the traditional dea model for example the site characteristics do not result from coordinated decisions some s

the luenberger indicator and productivity growth a note on the european savings banks sector we employ the luenberger productivity indicator to estimate productivity growth and its decomposition into technical change and efficiency change components for savings banks sectors in 10 eu countries between 1996 and 2003 the luenberger indicator requires less restrictive assumptions than standard nonparametric productivity indexes and it allows the assumption of profit maximization to be made for sample firms we estimate average productivity growth in the savings banks sector to be 2 78 per annum and driven almost entirely by technical change whilst the general results confirm earlier findings this study is one of the earliest to identify cross border differences in productivity growth in the savings banks sector

on the power of dickey fuller tests against fractional alternatives abstract we examine the properties of dickey fuller unit root tests under fractionally integrated alternatives and find that these tests have quite low power

a comparative study on the production efficiencies of china s oil companies a true fixed effect model considering the unobserved heterogeneity abstract with the promotion of one belt one road obor initiative china s oil companies have speeded up the pace of going global strategy to expand their business internationally the efficiency problems of china national petroleum corporation cnpc and sinopec group which determine the international competitiveness have drawn ever increasing attention from both the general public and from decision makers the wide variation in cultural economic and institutional characteristics of different international oil companies may result in a large amount of unobserved heterogeneity distinguishing the time invariant unobserved heterogeneity from time variant inefficiency could avoid heterogeneity bias and thus ensure consistent efficiency estimates considering that the production efficiencies of the sample oil companies are influenced by various heterogeneous factors this paper evaluates the production efficiencies of the world s 10 biggest oil companies during 2003 2013 based on the stochastic frontier analysis sfa method and the true fixed effect tfe model results suggest that 1 estimation techniques that do not account for unobserved heterogeneity would produce biased efficiency estimates 2 compared with other oil companies the production efficiencies of cnpc and sinopec group were relatively improved after the global financial crisis 3 china s state owned oil companies should be further enhanced with the ability of internationalization management

the forward exchange market speculation and exchange market intervention this paper examines two issues the first is the role of speculation in stabilizing the economy against stochastic disturbances increased speculation i stabilizes domestic income against disturbances in the domestic bond market and forward exchange market ii exacerbates the effect of foreign disturbances and iii may dampen or augment the effect of money market and output supply disturbances the second issue is the role of the forward market in stabilization policy forward market intervention does not provide monetary authorities additional leverage in stabilizing income beyond unsterilized spot market intervention intervention rules based on reactions to both the forward and the spot exchange rates however can outperform intervention policies responding to the spot rate alone regardless of the market in which intervention occurs

measuring the degree of exchange market intervention in a small open economy abstract in this article i introduce an index of intervention activity which can be calculated on the basis of observed data this intervention index measures intervention activity as the proportion of exchange market pressure relieved by exchange market intervention the properties of the intervention index are established analytically using a model of a small open economy with rational expectations the index is used to calculate measures of bilateral and multilateral intervention for canada over the period 1975 1990

long memory and fractional integration in the housing price series of london and paris this article deals with the analysis of house price indexes from a long range dependence viewpoint in particular it estimates the fractional differencing parameter in the london and paris house price series recognizing in some cases the potential seasonality and allowing for breaks in the data moreover it analyses the stability of the parameters across the sample period examined it is concluded that the series are nonstationary but mean reverting in some cases and very persistent in others policy implications are derived

productivity technical and efficiency change in singapore s services sector 2005 to 2008 the current study was motivated by statements made by the economic strategies committee that singapore s recent productivity levels in services were well below countries such as the us japan and hong kong massive employment of foreign workers was cited as the reason for poor productivity levels to shed more light on singapore s falling productivity a nonparametric malmquist productivity index was employed which provides measures of productivity change technical change and efficiency change the findings reveal that growth in total factor productivity tfp was attributed to technical change with no improvement in efficiency change such results suggest that gains from tfp were input driven rather than from a best practice approach such as improvements in operations or better resource allocation

estimating the degree of interventionist policies in the run up to emu based on a theoretical monetary exchange rate model in continuous time this article establishes a sequential estimation framework which is capable of indicating central bank intervention in the run up to a currency union using daily pre european monetary union pre emu exchange rate data for the countries of the current euro zone we find mixed evidence of active pre emu intervention policies so called institutional frontloading strategies our estimation framework is highly relevant to economic and political agents operating in financial markets of the upcoming emu accession countries

a re examination of the monetary model of exchange market pressure canada 1963 1988 in re evaluating the performance of the girton and roper 1977 two country monetary model of exchange market pressure emp for canada estimates are provided for an extended specification that allows for unrestricted dynamics results show the hypothesized negative effect of domestic credit growth on emp to be supported throughout the relevance both of the dynamics and of the hypothesized unitary tradeoff between exchange rate and international reserve movements for bank of canada policy is demonstrated for the sequence of fixed and floating exchange rate regimes contained in the 1963 1 1988 1 sample

efficiency of hospitals in germany a dea bootstrap approach various attempts to assess the performance of german hospitals have generated a wide range of estimates regarding their efficiency these attempts were based on different often rather small data sets consisting of heterogeneous hospitals the techniques applied range from simple benchmarking approaches to studies which employ data envelopment analysis dea some studies report dramatic differences in efficiency and propose savings potentials of 50 others find an average efficiency in excess of 95 and characterize almost 75 of their observations as fully efficient this study presents results for two datasets representative of two segments of the german hospital system these segments comprise all hospitals that have one internal medicine and one surgery department the hospitals are located in the old federal states of germany none of the hospitals provides tertiary care dea can be applied because all hospitals offer a comparable quality and range of services the results were estimated with a d

is there long run convergence among regional house prices in the uk this paper investigates the long run convergence of regional house prices in the uk existing studies have failed to reach a consensus on whether or not regional house prices exhibit long run convergence with each other the application is proposed of a new test involving unit root testing of the first principal component based on regional national house price differentials using mix adjusted quarterly data for 1973 2006 it is found that the first principal component is stationary this suggests that all uk regional house prices are driven by a single common stochastic trend further analysis suggests that those regions that are more distant from london exhibit the highest degrees of persistence with respect to deviations in house price differentials

determinants of technical efficiency of crop and livestock farms in poland la pologne est l un des pays d europe de l est candidats a une accession a l union europeenne qui rencontre de graves problemes de restructuration agricole l article etudie l efficacite technique en 2000 d exploitations agricoles individuelles polonaises specialisees en elevage et en grandes cultures l efficacite est estimee par la methode de frontiere stochastique et sa variabilite statistique evaluee par la construction d intervalles de confiance l article examine egalement les determinants de l efficacite les resultats obtenus pas la methode de frontiere stochastique sont compares avec ceux obtenus par la methode de data envelopment analysis dea en moyenne l efficacite technique des exploitations d elevage est superieure a celle des exploitations de grandes cultures pour les deux specialisations la relation entre l efficacite et la taille des exploitations est positive les grandes exploitations sont les plus efficaces les resultats obtenus par la methode de frontiere stochastique sont generalement confirmes par la methode dea la qualite de la terre et le degre d integration dans les marches d aval sont d importants determinants de l efficacite la faible education est un obstacle majeur a l efficacite en particulier pour les exploitations de grandes cultures de plus celles ci utilisent beaucoup les marches de facteurs terre et travail alors que les exploitations d elevage utilisent plutot leurs propres terres et le travail familial

productivity in multiple output public service a quadratic frontier function and malmquist index approach abstract the purpose of this study is to analyse the development of productivity and structural efficiency for an extended period of time 1974 to 1987 in the production of public social insurance services in sweden the analysis is based on the estimation of a deterministic flexible single input multiple output frontier production function the findings indicate a productivity decrease for the entire period from 1974 to 1987 of 18 percent in the period 1974 to 1982 productivity decreased by approximately 30 percent but at the end of the period 1984 to 1987 there was a productivity recovery of about 11 percent

persistence mean reversion and non linearities in the us housing prices over 1830 2013 abstractthe objective of this study is to provide a direct estimate of the degree of persistence of measures of nominal and real house prices for the us economy covering the longest possible annual sample of data namely 1830 2013 the estimation of the degree of persistence accommodates for non linear deterministic trends using chebyshev polynomials in time in general the results show a high degree of persistence in the series along with a component of non linear behaviour in general if we assume uncorrelated errors non linearities are observed in both nominal and real prices but this hypothesis is rejected in favour of linear models for the log transformation of the data however if autocorrelated errors are permitted non linearities are observed in all cases and mean reversion is found in the case of logged prices though given the wide confidence intervals the unit root null hypothesis cannot be rejected in these cases

observed and unobserved heterogeneity in stochastic frontier models an application to the electricity distribution industry in this study we combine different possibilities to model firm level heterogeneity in stochastic frontier analysis we show that both observed and unobserved heterogeneities cause serious biases in inefficiency results modelling observed and unobserved heterogeneities treat individual firms in different ways and even though the expected mean inefficiency scores in both cases diminish the firm level efficiency rank orders turn out to be very different the best fit with the data is obtained by modelling unobserved heterogeneity through randomizing frontier parameters and at the same time explicitly modelling the observed heterogeneity into the inefficiency distribution these results are obtained by using data from finnish electricity distribution utilities and the results are relevant in relation to electricity distribution pricing and regulation

testing scale efficiency in dea models a bootstrapping approach this paper presents a method for estimation and test of firm specific scale efficiency using data envelopment analysis dea the use of a simple bootstrap algorithm is proposed to perform firm specific inference for scale efficiency an empirical application using swedish hospital data is provided it is found that about 40 of the departments were scale efficient according to the original results however for about one third of those departments the hypothesis of scale efficiency could be rejected

taylor rules and the canadian us equilibrium exchange rate abstract this paper identifies the canadian us equilibrium exchange rate based on a simple structural model of the real exchange rate in which monetary policy follows a taylor rule interest rate reaction function the exchange rate is explained by relative output and inflation as observable variables and by unobserved equilibrium rates as well as unobserved transitory components in output and the exchange rate using canadian data over 1974 2009 we jointly estimate the unobserved components and the structural parameters using the kalman filter and bayesian technique we find that canada s equilibrium exchange rate evolves smoothly and follows a trend depreciation the transitory component is found to be very persistent but much more volatile than the equilibrium rate resulting in few but prolonged periods of currency misalignments

measurement of production inefficiency in a technology and inefficiency heterogeneity setting this study shows how the estimates of production inefficiency and of the marginal effects of its determinants can be distorted if not accounting for technology and inefficiency heterogeneity this

accounting for technological differences in modelling the performance of airports a bayesian approach this article uses the innovative bayesian random coefficient frontier model to account for technological differences in the efficiency measurement of uk airports in separating cost efficiency from technological differences the model provides more accurate efficiency measures for airports policy makers the input output data used in testing the model reflect on recent figures from the uk airport industry and as a result link the efficiency measures with the current industry trends such as the increase in oil price airport capital investments and market expansion results from the model estimation showed that the model fits the data well with all coefficients correctly signed and in line with the theoretical requirements the average cost efficiency for 2007 was around 73 73 indicating that uk airports are not operating close to a full efficiency level this article attributed the sources of inefficiencies to the current industry trends and discussed the importance of heterogeneity in future policy f

an international comparison of hospital efficiency does institutional environment matter the consensus among many health economists is that no meaningful performance differences exist among for profit and non profit hospitals in the us but this topic has continued to be a matter of academic judicial and public policy interest a similar debate has ensued internationally regarding the potential efficiency gains from privatization of public enterprises in this paper we examine empirical evidence from the public highly regulated norwegian hospital sector and the private highly competitive and unregulated california hospital sector to ascertain whether institutional environment and level of market competition significantly affect the degree of productive efficiency in hospitals we compare and discuss the productive efficiency of four similar sets of hospitals operating in different institutional and competitive environments the four samples are carefully matched in the dimensions of sample size hospital size and average lengths of stay heterogeneity in output definition is used to co

measuring technical efficiency and productivity growth a comparison of sfa and dea on norwegian grain production data this article compares data envelopment analysis and stochastic frontier analysis to assess efficiency and productivity growth of norwegian grain producers previous studies have dealt with either one of them and less of both for the assessment of productivity growth or regress malmquist productivity indices are derived from both approaches the data cover a 10 year period we find consistency between the approaches to the extent that 1 there are potentials for efficiency improvements but the magnitudes depends on the model applied and by segmentation of the data set 2 there has been a productivity improvement in the sector on average in the interval 30 38 in the period studied and 3 technical change has had the greatest impact on productivity indicating that producers have a tendency to catch up with the front runners in general policy makers are warned not to be indifferent with respect to the approach used for efficiency and productivity measurement as these may give different results

insurance companies in mozambique a two stage dea and neural networks on efficiency and capacity slacks this article analyses the efficiency of mozambique insurance companies using a dea model two dea models are used and a bootstrap approach adopted furthermore the efficiency scores are predicted based on neural networks the results reveal that mozambique insurance companies output increasing potentials are severely constrained particularly in terms of the ceded reinsurance increasing potentials policy implications are derived

testing for convergence between uk regional house prices drake l 1995 testing for convergence between uk regional house prices reg studies 29 357 366 this paper uses the kalman filter time varying parameter estimation technique to test for convergence between uk regional house prices this issue is significant given the historical disparities in regional house price inflation rates and the unprecedented downturn in both uk and most regional house prices in the late 1980s and early 1990s the evidence suggests that there are clear regional differences in the pattern of uk house price movements in particular house prices in the north and scotland show evidence of greater divergence from prices in the rest of the south east region than do the southern and midlands regions drake l 1995 une analyse pour determiner la convergence des prix du marche immobilier regionaux au royaume uni reg studies 29 357 366 cet article se sert de la technique dite kalman filter afin de determiner la convergence des prix du marche immobilier regionaux au royaume uni c

on the in efficiency of swiss hospitals the efficiency of hospitals is of interest to health insurers government authorities and hospital management itself however econometric methods for determining in efficiency have severe drawbacks since hospitals are multiproduct firms and because the duality between production and cost functions cannot be assumed in this work non parametric deterministic data envelopment analysis dea is used to measure the relative inefficiency of 89 swiss hospitals covering the years 1993 1996 310 observations special attention is given to the role of patient days in the production of health the findings depend on whether patient days are viewed as an input of patient time or as an output as in previous studies while the probability of a unit being inefficient cannot be explained using the available data the degree of overall inefficiency is shown to significantly depend on the financial incentives faced by management in particular due to subsidization private hospitals do not seem to be less inefficien

seasonality and cointegration of regional house prices in the uk the data generation process underlying regional house prices in the uk is investigated using new statistical tests it is found that causal flows tend to be northwards the south east rather than greater london acts as an exogenous price determinator of the other regions in the south the midland regions have a great influence on prices in the north and flows through the east midlands are characterised by bi directional causality these results are largely independent of assumptions made about the data generation process and tests of these assumptions have low power in any case there are also similarities between this causality and migration patterns particularly in the south of england

technical efficiency and ict investment in italian manufacturing firms the importance of information and communication technologies icts is a much debated question with extensive literature aimed at understanding the role of icts in increasing economic growth firm productivity and firm efficiency different methods to estimate firm efficiency are used in this study in particular both the translog and the cobb douglas production functions are used in order to estimate the impact of ict on technical efficiency te in italian manufacturing firms over the period 1995 to 2003 results show that ict investments positively and significantly affected firms te moreover group size and geographical position have a positive influence on te finally the results show that older firms are on average more efficient than newer ones