quantile serial dependence in crude oil markets evidence from improved quantilogram analysis with quantile wild bootstrapping we examine the quantile serial dependence in crude oil prices based on the linton and whang s quantile based portmanteau test which we improved by means of quantile wild bootstrapping qwb through monte carlo simulation we find that the quantile wild bootstrap based portmanteau test performs better than the bound testing procedure suggested by linton and whang we apply the improved test to examine the efficiency of two crude oil markets wti and brent we also examine if the dependence is stable via rolling sample tests our results show that both wti and brent are serially dependent in all except the median quantiles these findings suggest that it may be misleading to examine the efficiency of crude oil markets in terms of mean or median returns only these crude oil markets are relatively more serially dependent in non median ranges

effects of oil price shocks on the stock market performance do nature of shocks and economies matter the main focus of this study is to examine how oil price fluctuations influence the performance of stock markets this study used the causality approach developed by toda and yamamoto 1995 to explore the causality between oil prices and stock prices in the long run and their short term impact the generalized impulse response functions were applied to the monthly data in the period from january 1997 to july 2013 in this study to capture the different characteristics of oil refining exporting and importing three asian economies were examined the results indicate that the manner in which a market reacts to hikes in oil prices varies between different markets and periods this depends on differences in the oil characteristics of the economy and the nature of the shock in oil prices

panel evidence on the ability of oil returns to predict stock returns in the g7 area abstract most studies on the ability of oil returns to predict stock returns use time series data for multiple countries the data therefore have a panel structure yet oddly enough this structure is never really exploited in the estimation but researchers tend to instead rely on country by country application of existing time series methods this practice is wasteful because it does not explore all available information the present paper can be seen as a reaction to this the purpose is to reevaluate the existing empirical evidence for the g7 countries using state of the art panel data techniques the results show that for the panel as a whole lagged oil price returns has a significantly negative effect on current stock returns the evidence at the individual country level is less strong and varies depending on the extent to which the countries rely on oil import

balance of payment crises in emerging markets how early were the early warning signals although many papers have already proposed empirical models of currency crises the timing of such crises has received relatively little attention so far most papers use indeed a static specification and impose the same lag structure across all explanatory variables this by construction prevents from specifically timing the crisis signals sent by the leading indicators the objective here is to fill this gap by considering a set of dynamic discrete choice models the first contribution is to identify how early in advance each explanatory variable sends a warning signal some indicators are found to signal a crisis in the very short run while others signal a crisis at more distant horizons the second contribution is to show that state dependence matters albeit mostly in the short run the results have important implications for crisis prevention in terms of the timeliness and usefulness of the envisaged policy response

does oil move equity prices a global view many studies indicate that oil price shocks have an adverse effect on real output and hence an adverse effect on corporate profits where oil is used as a key input the present study examines whether and to what extent the adverse effect of oil price shocks impacts stock market returns to this end we analyse 35 datastream global industry indices for the period from april 1983 to september 2005 our findings indicate that oil price rises have a negative impact on equity returns for all sectors except mining and oil and gas industries generally these results are consistent with economic theory and evidence provided by previous empirical studies little evidence of any asymmetry is detected in the oil price sensitivities in light of our findings we recommend that international portfolio investors consider hedging oil price risk

firm specific impacts of co2 prices on the stock market value of the spanish power industry abstract european union carbon emissions allowances eua price fluctuations can affect electricity companies stock market values as these oscillations may change firms profitability and thus investors decisions this outcome can differ not only contingent on the eu ets phase but also on firms generation mix moreover stock markets may react differently to eua increases in comparison to decreases thus asymmetrically by using daily data from january 2008 to july 2014 this article analyses long run equilibrium relations and short run interactions between the aggregated electricity industry stock market returns and eua price changes moreover we test if the relationship between eua price variations and electricity stock returns is asymmetric and if the carbon price effect and the asymmetry are power firm specific adding to earlier studies we initially provide an inspection of the individual impact of eu ets phase ii and on going phase iii followed by a comparative analysis between power firms which core activity relies on renewable energy sources and those whose sources are fundamentally non renewable ones a statistically significant positive long run impact of eu ets on the aggregated power sector stock market return is found concerning phase ii and works asymmetrically moreover evidence is provided demonstrating that asymmetry and eua effects are power firm specific

extreme risk spillovers between crude oil and stock markets abstract this paper investigates the spillovers of extreme risks between crude oil and stock markets using daily data of the s p 500 stock index and west texas intermediate wti crude oil futures returns based on the method of granger causality in risk value at risk var is employed to measure market risk and a class of kernel based tests is used to detect negative and positive risk spillover effects empirical results reveal that there are significant risk spillovers between the two markets extreme movements past or current in one market may have a significant predictive power for those in the other market prior to the recent financial crisis there are positive risk spillovers from stock market to crude oil market and negative spillovers from crude oil market to stock market after the financial crisis bidirectional positive risk spillovers are strengthened markedly the risk spillovers may occur instantaneously and or with a long time delay both positive and negative risk spillover effects exhibit asymmetric correlations

explaining currency crises a duration model approach abstract in this paper we estimate a duration model for oecd countries during the 1970 97 period we use semiparametric methods to estimate a model with unrestricted base line hazards and test if the time length already spent on a tranquil period is a determinant of the probability of exit into a currency crisis state the results indicate first that increases in export growth bank deposits growth and openness decrease the probability of exit into a currency crises state whereas increases in import growth claims on government and foreign port folio investment and appreciated reer increase the probability of currency crises and second the existence of a highly significant negative duration dependence the highest probability of exit into a currency crash state is given at the initial of the tranquil period

on dynamic linkages of the state natural gas markets in the usa evidence from an empirical spatio temporal network quantile analysis we empirically investigate the dynamic linkages of the state level natural gas markets in the usa by introducing a novel spatio temporal network quantile econometric model we can estimate the dynamic cross state dependency or market integration of the state level natural gas markets and the dependence of the state natural gas markets on the national crude oil market at different quantile levels we find that significant local dynamic neighbouring market integrations exist in the natural gas markets not only in the eastern and central states as evidenced in the literature but also in some western and southwest states our results also show that there are significant linkages of the state level natural gas markets to the national crude oil market through the lagged price shocks and the long run price equilibrium with the national gas markets under varying price shock propagations the results can help local government and energy users to mitigate the negative impacts from the expected or unexpected fluctuations in the oil and the neighbouring natural gas markets which will enact appropriate state level price discovery and energy policy and investment decision makings

art investment an empirical inquiry investment in art and especially in paintings by the masters is often considered to be highly profitable particularly in the united states but also in the richer european nations there is an even larger number of investors who believe that buying works of art is not only fun but also a good investment from a purely financial point of view american banks have recently strengthened this trend toward art as an investment by employing art investment counselors thus suggesting that it is a financially rewarding activity to engage in and also suggesting that superior knowledge helps to improve financial success in this market buying and selling art has in fact become an increasingly popular activity since the end of world war ii the auction houses report record turnovers and record prices are paid in increasingly rapid sequence in april 1987 van gogh s sunflowers was sold at christie s london for 39 9 million only to be surpassed in november 1987 by van gogh s irises sold by sotheby s new york for 53 9 million including the auction house s 10 percent commission this last painting had been bought by the seller s mother in 1947 for 84 000 less than 0 5 million in today s money which gives a real rate of return of about 12 percent per year these enormous prices that are paid today for some masterpieces create a widespread belief that the rate of return on such investments is in general and on average very high books devoted to the subject 40 385 27 24 12 215 et seq seem to confirm that the rate of return from investment in paintings at least during the 1950s and 1960s was far greater than the rate obtainable from comparable risky assets in financial markets that the financial profitability in the 1970s and 1980s is believed to be if anything even larger than before is confirmed by many articles in financial and investment newspapers and journals up to now only very few scientific studies of the subject exist but they also have serious limitations the most recent one by baumol 5 covers a period of over 300 years but ends in 1960 two other studies by anderson 1 and stein 42 extend up to the end of the 1960s but do not go any further all three studies are practically limited to transactions by anglo saxon auction

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

the relationship between energy and equity markets evidence from volatility impulse response functions this paper examines the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate bekk model of the goldman sach s energy index and the sp in addition we also calculate the time varying conditional correlations and time varying dynamic hedge ratios from volatility impulse response functions we find that low sp however we find only a weak response from s p 500 volatility to energy price shocks moreover our dynamic hedge ratio analysis suggests that the energy index is generally a poor hedging instrument

oil and the macroeconomy since world war ii all but one of the u s recessions since world war ii have been preceded typically with a lag of around three fourths of a year by a dramatic increase in the price of crude petroleum this does not mean that oil shocks caused these recessions evidence is presented however that even over the period 1948 72 this correlation is statistically significant and nonspurious supporting the proposition that oil shocks were a contributing factor in at least some of the u s recessions prior to 1972 by extension energy price increases may account for much of post opec macroeconomic performance

time varying volatility spillover between chinese fuel oil and stock index futures markets based on a dcc garch model with a semi nonparametric approach abstract this paper reveals some new evidence on the volatility spillover between fuel oil and stock index futures markets in china by considering its time variant feature time varying effect is specified by the legendre polynomials in a dcc garch model moreover the semi nonparametric snp approach accounting for marginal excess kurtosis and asymmetry is applied we find different time evolving patterns of volatility spillover across multiple periods due to the structural breaks the direction of mean volatility spillover is found to be bilateral moreover the strength of mean volatility spillover shows that the effect from stock index to fuel oil futures is much stronger than the other way around this implies that the stock index futures market plays a leading role in information processing these findings have important implications for the fuel oil stakeholders as well as risk management

systemic risk spillovers between crude oil and stock index returns of g7 economies conditional value at risk and marginal expected shortfall approaches abstract in this study we examine systemic risk and dependence between oil and stock market indices of g7 economies between january 2003 and november 2017 coincidentally this timeframe covers different distress periods in financial and energy markets we use several time constant time varying and time varying markov copula models to examine the dependence further we use the delta conditional value at risk covar of adrian and brunnermeier 2016 and marginal expected shortfall mes of acharya et al 2012 to captures the risk spillover effects and give evidence of systemic risk from the copula analysis we find dissimilar dependence structure between returns series of oil and the g7 stock markets for france germany and japan the dependence is markov switching time varying while it is time varying for the united states and canada constant for the united kingdom and around zero for italy our empirical evidence on systemic risk indicates that oil price dynamics contributes significantly more to the g7 stock market returns during volatile times than during tranquil times in particular the canada stock market appears more sensitive and vulnerable to negative external shocks emerging from the crude oil market than the other markets further the country risk rankings identified using mes and covar may not be identical in addition the analysis results suggest that the crude oil market can be a good diversifier for investors in japan and france and that the investors in the rest of g7 countries must act more carefully

oil price shocks and stock market returns evidence for some european countries abstract in this paper we examine the impact of oil price shocks on stock returns in 12 oil importing european economies using vector autoregressive var and vector error correction models vecm for the period 1973 02 2011 12 we propose an alternative oil price shock specification that takes into account both world oil production and world oil prices in order to disentangle oil supply and oil demand shocks we find that the response of the european real stock returns to an oil price shock may differ greatly depending on the underlying causes of the oil price change the results suggest the existence of a negative and significant impact of oil price changes on most european stock market returns furthermore we find that stock market returns are mostly driven by oil supply shocks

a theory of rational addiction we develop a theory of rational addiction in which rationality means a consistent plan to maximize utility over time strong addiction to a good requires a big effect of past consumption of the good on current consumption such powerful complementarities cause some steady states to be unstable they are an important part of our analysis because even small deviations from the consumption at an unstable steady state can lead to large cumulative rises over time in addictive consumption or to rapid falls in consumption to abstention our theory also implies that cold turkey is used to end strong addictions that addicts often go on binges that addicts respond more to permanent than to temporary changes in prices of addictive goods and that anxiety and tensions can precipitate an addiction

the heterogeneity dependence between crude oil price changes and industry stock market returns in china evidence from a quantile regression approach this paper explores the dependence between real crude oil price changes and chinese real industry stock market returns based on the monthly data from 1994 03 to 2014 06 we address this issue using the quantile regression approach enabling a more detailed investigation of structure and degree of dependence empirical results reveal that the reaction of market returns to crude oil is highly heterogeneous across conditional distribution of industry stock returns furthermore there is evidence that this dependence is positive and exists only in recessions or bearish markets with low expected returns the dependence at low quantiles is not limited to one market but is a common feature across industries additionally dependence also changes since the onset of structural breaks we determine that chinese industry stock and global crude oil markets have contagion in rare situations most cases do not demonstrate contagion

the production and consumption of the arts a view of cultural economics by most criteria the arts comprise a significant area of economic activity in 1990 american consumers spent 5 billion on admissions to theater opera galleries and other nonprofit arts events more than on admissions to spectator sports 4 1 billion on movie admissions and 17 6 billion on books because of difficulties in defining boundaries around the arts industry statistics on its contribution to gdp are problematical but available data suggest that the arts theater music opera dance visual arts crafts literature community and folk arts account for a little under one percent of the united states gdp and a little over one percent of the civilian labor force if the net is cast somewhat wider defining the cultural industries as including the arts motion pictures radio and television and printing and publishing an aggregate value of output can be measured for 1988 of about 130 billion or 2 5 percent of gdp national endowment for the arts 1992 likewise support for the arts and culture in the u s through government and voluntary contributions amounts to a significant annual commitment of funds combined federal state and local government expenditure on the arts and museums in 1987 amounted to about 0 8 billion and in 1990 6 4 percent of charitable giving was channeled to arts culture and the humanities yielding a total level of voluntary contributions in these areas of 7 9 billion in that year private markets in the arts too are of significant size looking at the international art trade for example we can note that the worldwide net sales of the two major art auction houses christie s and sotheby s amounted to 6 6 billion in 1989 90 1 yet despite the fact that production and consumption of art have been elements of human activity for longer than most of the phenomena that have en

are oil shocks inflationary asymmetric and nonlinear specifications versus changes in regime this paper identifies a structural break in core u s inflation phillips curves such that oil prices contributed substantially before 1981 but since that time pass through has been negligible this characterization is robust to a variety of re specifications and fits the data better than asymmetric and nonlinear oil price alternatives evidence does not support the hypotheses that declining energy intensity or deregulation of energy producing and consuming industries played an important role monetary policy did not itself become less accommodative of oil shocks but may have helped create a regime where inflation is less sensitive to price shocks more generally

relationship between the oil price volatility and sectoral stock markets in oil exporting economies evidence from wavelet nonlinear denoised based quantile and granger causality analysis abstract this paper examines the extent of volatility between oil price and sectoral indices in the gulf cooperation council gcc countries by using quantile regression analysis qra for the return s series and denoised series over the period 2006 2017 four sectors are found to offer diversification opportunities during a high market i e 90th quantile all the sectors are found interdependent of oil price volatility however the bank and insurance sectors are insusceptible to oil price volatility during the 10th 25th and 75th quantiles in addition qra results for wavelet nonlinear denoising with a soft thresholding series indicate that all the sectors are interdependent of oil price volatility but that the aggregate market index transport and telecommunication sectors are insensitive to oil price volatility during the 75th and 90th quantiles this highlights the usefulness of denoising the financial returns series when applying regression tools moreover the contagion and interdependence between the oil price and stock returns sectors are estimated by frequency domain causality

currency crashes in emerging markets an empirical treatment we use a panel of annual data for over 100 developing countries from 1971 through 1992 to characterize currency crashes we define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation we examine the composition of the debt as well as its level and a variety of other macroeconomic factors external and foreign crashes tend to occur when output growth is low the growth of domestic credit is high and the level of foreign interest rates are high a low ratio of fdi to debt is consistently associated with a high likelihood of a crash

disentangling the role of the exchange rate in oil related scenarios for the european stock market abstract the literature has been analysing so far the response of the stock market to a distress scenario for oil prices considering prices in domestic currency this assumption implies merging commodity risk and exchange rate risk this article proposes to generate oil related scenario depending on the source of risk the same distress oil related scenario in euros could generate an opposite impact on the european stock market depending on the source of risk results show higher losses for eurostoxx when oil prices in euros experience a downward movement due to a decrease of oil price in us dollars and when oil prices in euros experience an upward movement due to a depreciation of the euro against the us dollar this framework can improve our understanding of how the exchange rate interacts in global markets also it contributes to the design of tailor made international scenarios for stress testing

oil prices and real estate investment trusts reits gradual shift causality and volatility transmission analysis abstract according to literature oil price shocks and volatility can have sector specific impacts in the market while these studies include most asset groups the dynamic relationship between the oil market and real estate investment trusts reits has not been tested this study examines the role of oil price shocks and volatility on six reit categories residential hotel healthcare retail mortgage and warehouse industrial reits for the january 2005 december 2013 period in addition a new causality approach is proposed by augmenting the toda yamamoto method with a fourier approximation this approach is capable of capturing gradual or smooth shifts and does not require a prior knowledge regarding the number dates and form of structural breaks the so called fourier toda yamamoto causality mean spillover test finds uni directional causality running from oil prices to all reits except for the mortgage reits in the latter case the causality is reversed in addition the relatively new and simple causality in variance test shows that there is bi directional volatility transmission between the oil market and all reits our results have important implications for reit managers and investors

the asymmetry of the impact of oil price shocks on economic activities an application of the multivariate threshold model this paper applies the multivariate threshold model to investigate the impacts of an oil price change and its volatility on economic activities changes in industrial production and real stock returns the statistical test on the existence of a threshold effect indicates that a threshold value does exist using monthly data of the us canada and japan during the period from 1970 to 2002 we conclude i the optimal threshold level seems to vary according to how an economy depends on imported oil and the attitude towards adopting energy saving technology ii an oil price change or its volatility has a limited impact on the economies if the change is below the threshold levels iii if the change is above threshold levels it appears that the change in oil price better explains macroeconomic variables than the volatility of the oil price and iv if the change is above threshold levels a change in oil price or its volatility explains the model better than the real interest rate

financial crises in asia and latin america then and now in this paper we analyze the extent to which past financial crises share common characteristics in latin america asia europe and the middle east we examine the recent crises in asia and in latin america in particular their severity to assess whether the considerable historical differences that we have documented for the earlier sample have eroded we conclude that in a deregulated world the well behaved asian financia1 crises are a relic of the past

price of oil and world inflation and recession new evidence shows that the commonly held assumption that the 1973 74 oil price increase directly affected us and world inflation and subsequent recession is consistent with the empirical data an extended lucas varro real income equation applied to the us united kingdom canada france germany italy japan and the netherlands gives mixed results partly because of price control and decontrol programs simulation experiments on the price control variable using us data finds strong effects further studies can be made when consistent international data is available for the 1979 80 period 18 references 4 figures 3 tables dck

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

crude oil and stock markets causal relationships in tails abstract this paper considers the causal relationships between wti and dubai crude oil returns and five stock index returns s p 500 nikkei hang seng shanghai and kospi within the quantile causality framework by using daily data for a period from january 1 1996 to october 12 2012 the quantile causality test is useful for a comprehensive understanding of the causal relationship between two returns the test reveals several noteworthy results first although wti returns are not closely related to asian countries some financial markets such as nikkei and hang seng granger cause wti returns second the significance of causality from one market to another derives only from lower and upper levels of quantiles except for the case of causality from nikkei to wti returns third all stock index returns granger cause dubai crude oil returns over almost all quantile levels except for shanghai returns fourth dubai crude oil returns granger cause all asian stock index returns except for s p 500 returns finally the results indicate asymmetric causality from dubai crude oil returns to shanghai returns and kospi returns to dubai crude oil returns

crude oil and stock markets stability instability and bubbles abstract we analyze the long run relationship between the world price of crude oil and international stock markets over 1971 1 2008 3 using a cointegrated vector error correction model with additional regressors allowing for endogenously identified breaks in the cointegrating and error correction matrices we find evidence for breaks after 1980 5 1988 1 and 1999 9 there is a clear long run relationship between these series for six oecd countries for 1971 1 1980 5 and 1988 2 1999 9 suggesting that stock market indices respond negatively to increases in the oil price in the long run during 1980 6 1988 1 we find relationships that are not statistically significantly different from either zero or from the relationships of the previous period the expected negative long run relationship appears to disintegrate after 1999 9 this finding supports a conjecture of change in the relationship between real oil price and real stock prices in the last decade compared to earlier years which may suggest the presence of several stock market bubbles and or oil price bubbles since the turn of the century

separating bric using islamic stocks and crude oil dynamic conditional correlation and volatility spillover analysis abstract this paper explores the dynamic conditional correlation and volatility linkage between islamic indexes and oil for bric countries correlations between these assets increase during the global financial crisis for india and china but not for brazil and russia the volatility error forecast variance of all five indexes comes from spillover but is much lower compared to volatility spillover between conventional indexes and oil hedging performance of islamic indexes are superior in india and china compared to conventional indexes in emerging markets an optimal minimum variance portfolio without reducing expected return can be achieved by investing in lower weights of bric islamic indexes and oil compared to conventional indexes

oil price shocks stock market economic activity and employment in greece abstract using a multivariate vector autoregression var approach this paper attempts to shed light into the dynamic relationship among oil prices real stock prices interest rates real economic activity and employment for greece the empirical evidence suggests that oil price changes affect real economic activity and employment oil prices are important in explaining stock price movements stock returns do not lead to changes in real activity and employment

revenue sharing in movie exhibition and the arrival of sound i introduction at least since adam smith economists have been intrigued by share contracts there has been a proliferation of models most of which tend to explain the share contract as resulting from some mix of optimal risk bearing and optimal effort motivation 1 a large number of researchers have attempted to test these models empirically sharecropping contracts not surprisingly are the most intensively examined the bibliography in knoeber 2000 but similar studies have been conducted in many other areas for example martin 1988 and lafontaine 1992 examine franchise arrangements hallagan 1978 investigates contracts used to lease gold claims leffler and rucker 1991 analyze a sample of private timber sale contracts goldberg and erickson 1987 study long term contracts for the sale of petroleum coke aggarwal and samwick 1999 investigate incentive contracts between firms and their executives and chisholm 1997 goldberg 1997 and weinstein 1998 all examine profit sharing contracts between fi lm companies and the talent this article differs in an important respect from most previous studies which analyze a cross section of contracts in an attempt to determine how or whether they vary according to the attributes of the contracting parties or the products being contracted for instead it investigates an area where a sudden technology shock led to the rapid and widespread replacement of one form of contracting by another the industry is the motion picture business and the shock was the arrival of sound during the silent film era the vast majority of first run feature films were rented to cinemas for flat daily or weekly payments within two years of the release of the first sound picture revenue sharing contracts were the norm and they remain the norm to this day 2 my goal is to investigate the degree to which the standard economic concerns moral hazard risk sharing and measurement problems can explain this change because the contracting parties remained the same the question becomes what was altered in the nature of the product or in its provision so as to have altered correspondingly the incentives faced i conclude the following first the advent of sound fundamentally changed the inputs live music and other acts supplied by the exhibitor and central to the show were replaced by a soundtrack and short sound films supplied by the film company the benefit of deterring exhibitor shirking through the use of flat rental fees which made the exhibitor full residual claimant declined accordingly the party whose effort makes the largest contribution to marginal product generally receives the largest proportion of the residual claims and in the decades following the arrival of sound the proportion of residual claims collected by film companies rose steadily in addition average revenue per film increased with sound whereas the cost of ensuring that exhibitors reported attendance revenue honestly done by locating a film company s representative in the theater remained the same the ex post division of revenue necessary for revenue sharing thus became cheaper on a per film basis finally uncertainty ab out the value in terms of expected attendance revenue of the early sound films appears to have raised the cost of negotiating lump sum rental fees and thus promoted experiments with revenue sharing however although this may have contributed initially it cannot explain the practice s persistence uncertainty about film values declined as talking films became better known ii the nature of the problem a film company contracts with an exhibitor so that they may jointly produce the final good a movie presentation 3 to that end each supplies essential inputs the film company provides the movie itself assembled from a variety of inputs and some sort of national advertising support the exhibitor provides the theater which consists of seating projection equipment a refreshment stand and other support activities and some form of local advertising

oil shocks and stock volatility new evidence via a bayesian graph based var approach abstractthis article examines the temporal dependence between three oil shocks and realized volatility in the stock markets of g20 countries between 1994 and 2019 by applying a novel graphical b

exchange market pressure some caveats in empirical applications the exchange market pressure emp index developed by eichengreen et al 1994 is widely used as a tool to signal whether pressure on a currency is softened or warded off through monetary authorities interventions or rather a currency crisis has originated in this article we show how the index is sensitive to some assumptions behind the aggregation of the information available exchange rates interest rates and reserves especially when emerging countries are involved specifically we address the way exchange rate variations are computed and the impact of different definitions of the reserves and we question the constancy of the weights adopted these issues compound with the choice of a fixed threshold when crisis episodes are identified through the emp index as a result one should exert caution in subsequent econometric analyses where a dependent binary variable is built to identify crisis periods

on the rate of return in the art market survey and evaluation abstract existing estimates of rates of return on single art objects and whole collections are surveyed and critically evaluated the psychic benefits from art are in the few cases they are considered at all derived from the difference to financial returns on other markets this paper discusses determinants of psychic benefits and suggests rental fees and willingness to pay studies as a possible way to analyze and estimate the psychic benefits from art

employment and technological innovation evidence from u k manufacturing firms this article uses british firm level panel data on actual innovative activity drawn from different statistical sources to identify the effect of technical change on jobs previous work tends to find positive associations of proxies for technical change and employment but such studies suffer from various statistical drawbacks in this study even when one controls for fixed effects dynamics and endogeneity innovations have a positive and significant effect on employment which persists over several years there seems to be little direct role for spillover effects from industry innovations or any role for industry wages or union power

exchange market mayhem the antecedents and aftermath of speculative attacks exchange market mayhem the antecedents and aftermath of speculative attacks this paper evaluates the causes and consequences of episodes of turbulence in foreign exchange markets using data from 1959 through 1993 for twenty oecd countries we consider the antecedents and aftermath of devaluations and revaluations flotations fixings and speculative attacks which may not be successful we find that realignments of fixed exchange rates are alike devaluations are preceded by political instability budget and current account deficits and fast growth of money and prices revaluations are mirror images of devaluations speculative attacks resemble devaluations but money growth and inflation are more endemic and there is no last minute attempt to tighten monetary policy in contrast few consistent correlations link regime transitions like flotations or fixings to macroeconomic or political variables transitions between exchange rate regimes are largely idiosyncratic and are neither consistently provoked ex ante by systematic imbalances nor typically justified ex post by subsequent changes in policy we conclude that there are no clear early warning signals of many speculative attacks and no easy solutions for policy makers barry eichengreen andrew k rose and charles wyplosz

the effect of oil prices on stock prices fresh evidence from asymmetric causality tests abstractthis article investigates the causal impact of oil prices on stock prices in each g7 market as well as in the world market an asymmetric causality test developed by hatemi j is used for this purpose since the underlying data appears to be non normal with time varying volatility we use bootstrap simulations with leverage adjustments in order to produce more reliable critical values than the asymptotic ones based on symmetric causality tests we find no causal effect of oil prices on the stock prices of the world market or any of the g7 countries however when we apply an asymmetric causality test we find that increasing oil prices cause stock prices to rise in the world the u s and japan while decreasing oil prices cause stock prices to fall in germany this may imply that the world the u s and japanese stock markets consider increases in oil prices as an indicator of good news as this may mean that there is an increase in oil demand due to an expected growth in the economy while the germ

asymmetric impact of oil price on islamic sectoral stocks abstract this paper extends the literature concerning non linearity in oil stock relationships by putting forward a new paradigm of sectoral and islamic elements we explore the asymmetric impact of oil price on islamic stocks from a sectoral perspective using non linear autoregressive distributed lag cointegration methodology the main advantage of this methodology relies on its ability to simultaneously capture the short and long run asymmetries through both positive and negative oil price shocks our results show weak linkages between oil price changes and the islamic composite index however the nature and sensitivity of the reaction of stock prices to oil price shocks vary considerably across different sectors in the longer horizon the relationships between oil price and many islamic sectoral stocks tend to follow a nonlinear pattern furthermore the behavior of the real economic sectors indices reflects the performance of the composite index that is oil price resistant during the turbulent period after 2008 the response of the sectoral indices to oil price movements witnessed notable changes where the sectoral gains from oil price drop that have been observed during the period of study have been found to diminish after 2008 our finding is in line with the argument that the islamic composite index is grounded more on and within the real sectors these findings are robust when considering different oil proxies and different data time frequencies

oil price movements and stock markets revisited a case of sector stock price indexes in the g 7 countries abstract applying sector stock prices and oil prices in 1991 01 2009 05 from the g7 countries we find oil price shocks do not significantly impact the composite index in each country however stock price changes in germany the uk and the us were found to lead oil price changes as for the interaction between oil price changes and sector stock price changes we find short run negative causal relationships 4 of 7 sector index returns were impacted by oil price changes in germany 2 in the us and 1 in france in particular stock returns of information technology and consumer staples sectors were found to be impacted most by oil price shocks followed by financial utilities and transportation sectors in terms of causality from sector stock price changes to oil price changes we find stock price changes lead oil price changes in 8 of 9 sectors in germany most in the g7 countries followed by the uk italy france canada and the us no such a causal relationship however is found for japan with respect to specific sectors stock price changes in consumer staples and materials sectors were impacted most significantly by oil price changes followed by transportation financial energy health care industrials utilities information technology and telecommunication sectors with the exception of consumer discretionary sector in addition short term stock price changes are found to lead positively oil price changes