comparison of forecast performance for homogeneous heterogeneous and shrinkage estimators some empirical evidence from us electricity and natural gas consumption abstract maddala et al journal of business and economic statistics 15 1997 90 obtained short run and long run elasticities of energy demand for each of 49 us states over the period 1970 1990 they showed that heterogeneous time series estimates for each state yield inaccurate signs for the coefficients while panel data estimates are not valid because the hypothesis of homogeneity of the coefficients was rejected their preferred estimates are those obtained using the shrinkage estimator this paper contrasts the out of sample forecast performance of heterogeneous panel and shrinkage estimators using the maddala et al journal of business and economic statistics 15 1997 90 electricity and natural gas data sets our results show that the homogeneous panel data estimates give the best out of sample forecasts

dynamic demand for residential electricity in taiwan under seasonality and increasing block pricing abstract this paper studies the dynamic demand for residential electricity in taiwan employing a monthly panel data set composed of 19 counties and spanning the period from 2007 01 to 2013 12 the partial adjustment model used addresses the endogeneity of the electricity price that results from the increasing block pricing the estimated results show that there is a significant seasonal difference in the demand for electricity between the summer and non summer periods both the adjustment speed and own price elasticity during the summer months are found to be lower than those in the non summer months due to the hot weather in summer it is easier for consumers to adjust their electricity consumption in response to the changes in electricity pricing during the non summer time the estimated inelastic short run and long run income effects show that electricity is a necessity for consumers moreover the controversial electricity conservation policies are found to be ineffective measures for reducing electricity consumption in taiwan

foreign portfolio investors before and during a crisis different categories of foreign portfolio investors in korea have differences as well as similarities in their trading behavior before and during the currency crisis first non resident institutional investors are always positive feedback traders whereas resident investors were negative feedback contrarian traders before the crisis but switch to be positive feedback traders during the crisis second individual investors herd significantly more than institutional investors non resident institutional as well individual investors herd significantly more than their resident counterparts third differences in the western and korean news coverage are correlated with differences in net selling by non resident investors relative to resident investors

setting the standard a framework for evaluating the cost effectiveness of building energy standards abstract the adoption rate and stringency of building energy standards in the u s have been increasing since the mid 1990s as a result of the energy policy act mandate of 1992 epact current evidence on the energy savings that accrue from commercial building energy standards is based on engineering simulations which do not account for realized behaviour once a standard is actually adopted this paper uses quasi experimental variation in commercial building energy standard adoptions to estimate their effect on realized electricity consumption and cost effectiveness in states induced by epact to adopt an energy standard where all new nonresidential construction was erected under a commercial standard electricity consumption per service worker is lower by about 12 and total commercial electricity consumption is lower by 10 including early adopters and never adopters to the analysis leads to a downward bias in the treatment effect the realized electricity savings in the epact states represent three quarters of predicted simulated savings and electricity saved in 2010 came at a cost of approximately 7 7 cents per kwh

estimation of short run and long run elasticities of energy demand from panel data using shrinkage estimators this article discusses the problem of obtaining short run and long run elasticities of energy demand for each of 49 states in the united states using data for 21 years estimation using the time series data by each state gave several wrong signs for the coefficients estimation using pooled data was not valid because the hypothesis of homogeneity of the coefficients was rejected shrinkage estimators gave more reasonable results the article presents in a unified framework the classical empirical bayes and bayes approaches for deriving these estimators

response of residential electricity demand to price the effect of measurement error abstract in this paper we present an empirical analysis of the residential demand for electricity using annual aggregate data at the state level for 48 us states from 1995 to 2007 earlier literature has examined residential energy consumption at the state level using annual or monthly data focusing on the variation in price elasticities of demand across states or regions but has failed to recognize or address two major issues the first is that when fitting dynamic panel models the lagged consumption term in the right hand side of the demand equation is endogenous this has resulted in potentially inconsistent estimates of the long run price elasticity of demand the second is that energy price is likely mismeasured to address these issues we estimate a dynamic partial adjustment model using the kiviet corrected least square dummy variables lsdv 1995 and the blundell bond 1998 estimators we find that the long term elasticities produced by the blundell bond system gmm methods are largest and that from the bias corrected lsdv are greater than that from the conventional lsdv from an energy policy point of view the results obtained using the blundell bond estimator where we instrument for price imply that a carbon tax or other price based policy may be effective in discouraging residential electricity consumption and hence curbing greenhouse gas emissions in an electricity system mainly based on coal and gas power plants

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

instability and volatility of capital flows to developing countries despite the recent recovery in capital flows towards developing countries some of their characteristics have generated serious problems as these flows are increasingly concentrated in a small group of emerging markets most developing countries have been facing a severe scarcity of external resources while for the minority endowed with some measure of access to international financial markets volatility and sustainability remain the key issues financial liberalisation has helped to create new channels for resource transfers from the developed world but it has also generated conditions wherein such transfers can easily be reversed with serious consequences in terms of instability the present study depicts discusses and analyses some of the issues related to capital movements between developed and developing countries section 2 is an overview of the recent controversies on external financial liberalisation section 2 is an surveys the post 1970 developments in capital inflows to developing countries their main components and their contribution to development finance section 4 examines the instability and volatility of total inflows and their components using two different statistical measures section 5 concentrates on a particular type of capital movement i e short term arbitrage seeking capital flows to emerging market economies this analysis requires specific conceptualisation definition and data generation from balance of payments statistics in section 6 a similar analysis of volatility and instability of short term inflows and outflows to emerging market economies is undertaken the penultimate section 7 discusses the policy implications of the foregoing analysis and is followed by a summary and conclusions

on error correction models specification interpretation estimation abstract error correction models ecms have proved a popular organising principle in applied econometrics despite the lack of consensus as to exactly what constitutes their defining characteristic and the rather limited role that has been given to economic theory by their proponents this paper uses a historical survey of the evolution of ecms to explain the alternative specifications and interpretations and proceeds to examine their implications for estimation the various approaches are illustrated for wage equations by application to uk labour market data 1855 1987 we demonstrate that error correction models impose strong and testable non linear restrictions on dynamic econometric equations and that they do not obviate the need for modelling the process of expectations formation with the exception of a few special cases both the non linear restrictions and the modelling of expectations have been ignored by those who have treated ecms as merely reparameterisations of dynamic linear regression models or vector autoregressions

the heterogeneity of carbon kuznets curves for advanced countries comparing homogeneous heterogeneous and shrinkage bayesian estimators we investigate carbon kuznets curves ckc relationships for advanced countries grouped in policy relevant groups north america and oceania south europe north europe by means of various homogeneous heterogeneous and shrinkage bayesian panel estimators we try to provide an answer to the question how sensitive are the ckc estimates to changes in the level of parameters heterogeneity we do find that in coherence with their policy and economic commitment to carbon reductions and environmental market based instruments implementation bell shapes are present only for northern eu which leads the group of advanced countries the other two lag behind we show for the first time that ckc shapes are present if we net out europe of the southern and less developed countries this is coherent with the kuznets paradigm the negative side of the tale is that they characterize a bunch of few countries other advanced countries lag behind and are far from reaching a ckc dynamics heterogeneous and bayesian

franchise margins and the sales driven franchise value in a global environment any one company s cost advantage from geographical locale cheaper labor or more efficient production sites can always be replicated in time by a sufficiently strong competitor with access to today s free flowing financial markets thus the ultimate key to a superior margin will be price not cost high value firms will be those that can develop and or sustain a sales driven franchise with premium pricing across a range of product markets the incremental pricing margin beyond that available to a new commodity competitor one who would be content to earn only the cost of capital is the franchise margin a sales driven valuation model translates this pricing power into an estimate of capitalized firm value

rational contagion and the globalization of securities markets this paper argues that globalization may promote contagion by weakening incentives for gathering costly information and by strengthening incentives for imitating arbitrary market portfolios in the presence of short selling constraints the gain of gathering information at a fixed cost may diminish as markets grow moreover if a portfolio manager s marginal cost for yielding below market returns exceeds the marginal gain for above market returns there is a range of optimal portfolios in which all investors imitate arbitrary market portfolios and this range widens as the market grows numerical simulations suggest that these frictions can have significant implications for capital flows in emerging markets

hot money accounting labels and the permanence of capital flows to developing countries an empirical investigation using maximum likelihood kalman filtering techniques and non parametric variance ratio statistics we gauge the relative importance of permanent and temporary components of capital flows to latin american and asian developing countries over the period 1988 1997 for the broad categories of flows in the capital account equity flows ef bond flows bf official flows of commercial bank credit bc and foreign direct investment fdi we find relatively low permanent components in ef bf and of while commercial bc flows appear to contain quite large permanent components and fdi flows are almost entirely permanent these results have a natural interpretation and clear policy implications

response of residential electricity demand to price in this paper we present an empirical analysis of the residential demand for electricity using annual aggregate data at the state level for 48 us states from 1995 to 2007 we estimate a dynamic partial adjustment model using the kiviet corrected lsdv 1995 and the blundell bond 1998 estimators in addition to the lagged dependent variable our equation includes energy prices income cooling and heating degree days and average household size we find that the short run own price elasticity of consumption is similar across ldsv bias corrected lsdv and the variant of the blundell bond where we instrument for price the short run elasticity is the lowest when we use the blundell bond gmm approach that treats the price of electricity as exogenous the long term elasticities produced by the blundell bond system gmm methods are largest and that from the bias corrected ldsv is greater than that from the conventional lsdv from an energy policy point of view the results obtained using the blundell bond estimator where we instrument for price imply that there is room in an electricity system mainly based on coal and gas power plants for discouraging residential electricity consumption and curbing greenhouse gas emissions by imposing a carbon tax

u s banks crises and bailouts from mexico to ltcm this paper investigates the impact on bank stock prices of emerging market currency crises and bailouts the stock market distinguishes between banks with exposure to a crisis country and other banks in general banks with exposures to a crisis country are affected adversely by currency events and positively by bailouts other banks are mostly unaffected by events in countries experiencing a crisis the paper uses the impact of the ltcm crisis on bank stock prices to put the emerging market events in perspective the ltcm crisis had no significant contagion effects in the banking sector either but banks that participated in the ltcm rescue experienced negative stock returns when the rescue was announced this abstract was borrowed from another version of this item

portfolio capital flows hot or cold a distinction is often made between short term and long term capital flows the former are deemed unstable hot money and the latter are deemed stable cold money using time series analysis of balance of payments data for five industrial and five developing countries we find that in most cases the labels short term and long term do not provide any information about the time series properties of the flow in particular long term flows are often as volatile as short term flows and the time it takes for an unexpected shock to a flow to die out is similar across flows long term flows are also at least as unpredictable as short term flows and knowledge of the type of flow does not improve the ability to forecast the aggregate capital account copyright 1995 by oxford university press

short and long run time of use price elasticities in swiss residential electricity demand abstract this paper presents an empirical analysis on the residential demand for electricity by time of day this analysis has been performed using aggregate data at the city level for 22 swiss cities for the period 2000 2006 for this purpose we estimated two log log demand equations for peak and off peak electricity consumption using static and dynamic partial adjustment approaches these demand functions were estimated using several econometric approaches for panel data for example lsdv and re for static models and lsdv and corrected lsdv estimators for dynamic models the attempt of this empirical analysis has been to highlight some of the characteristics of the swiss residential electricity demand the estimated short run own price elasticities are lower than 1 whereas in the long run these values are higher than 1 the estimated short run and long run cross price elasticities are positive this result shows that peak and off peak electricity are substitutes in this context time differentiated prices should provide an economic incentive to customers so that they can modify consumption patterns by reducing peak demand and shifting electricity consumption from peak to off peak periods

a model of crises in emerging markets this paper presents a perfect foresight model of speculative attacks on emerging markets credit constrained governments are assumed to have two objectives to accumulate liquid assets in order to self insure against shocks to national consumption and to insure poorly regulated domestic financial markets this policy regime generates endogenous fiscal deficits defined to include the growth of contingent liabilities the model sets out a sequence of yield differentials consistent with capital inflows followed by anticipated speculative attacks the model suggests that a common shock generated capital inflows to emerging markets in asia and latin america after 1989

the energy demand in the british and german industrial sectors heterogeneity and common factors abstract this paper estimates energy demands for the german and british industrial sectors over the 1978 2004 and the 1991 2004 samples from time series models we can conclude that there is a considerable variation in the value of the coefficients across sectors even though energy demands with sensible parameters can rarely be estimated when using a panel approach the ability of some estimators to allow for diversity across subsectors was an important factor in explaining the estimates for price elasticity on the other hand correlation across panel members or common factors did not markedly influence our results with regard to the estimated parameters our preferred choice for elasticity of economic activity and price in the longer sample is 0 52 and 0 64 similar values are found in the case of the shorter samples bearing in mind the high price elasticity energy taxes can be considered an effective strategy for reducing energy consumption

the falsification of four popular hypotheses about the asian crisis various claims have been made about the causes of the asian crisis and its spread here we use data on the behaviour of capital flows during the crisis to test the strong forms of four such hypotheses that portfolio investors and hedge funds played a dominant role in initiating and or spreading the crisis that moral hazard kept efficient markets from predicting the crisis and finally the common lender hypothesis of kaminsky and reinhart in the process we also test implications of the calvo mendoza model of rational investor ignorance all are falsified as monocausal explanations for example portfolio investments that could not have been subject to substantial moral hazard continued to flow into asia until very shortly before the crisis likewise banks were a much larger source of capital outflows during the crisis than were portfolio investors while falsified in their strongest forms several of these hypotheses in less strong forms should play a role in a more nuanced analysis it is necessary to move past simple single factor approaches in order to produce a more complete synthetic explanation of this episode

a spatial panel data approach to estimating u s state level energy emissions we take advantage of a long panel data set to estimate the relationship between u s state level carbon dioxide co2 emissions economic activity and other factors we specify a reduced form energy demand model to account for energy consumption activities that drive energy related emissions we contribute to the literature by exploring several spatial panel data models to account for spatial dependence between states estimation results and rigorous diagnostic analysis suggest that 1 economic distance plays a role in intra and inter state co2 emissions and 2 there are statistically significant positive economic spillovers and negative price spillovers to state level emissions

moral hazard asset price bubbles capital flows and the east asian crisis the first tests we examine the view that the recent east asian crisis was precipitated by bursting asset price bubbles which had been fuelled by strong capital inflows that were largely the result of a moral hazard problem in financial intermediation and was exacerbated by a vicious cycle of asset price deflation and incipient and actual capital flight we find evidence of stock market bubbles in all east asian economies examined although not in australia we examine various categories of capital flows to these countries and find in particular relatively high reversible components in portfolio flows to east asian economies

determinants of urban sprawl in france an analysis using a hierarchical bayes approach on panel data this paper studies the determinants of urban sprawl in france using panel datasets for the four largest metropolitan areas paris lyon marseille lille over the period 1985 98 a measure of urban sprawl is proposed at municipality level due to the huge heterogeneity of the panels it seems difficult to make the fundamental homogeneity assumption underlying pooled models thus random coefficient models under heteroscedasticity of the disturbances are estimated for each metropolitan area using a hierarchical bayes approach based on the markov chain monte carlo simulation method it is found that urban sprawl is positively related to the income growth of the tax payers fiscal households for the period of rapid growth in the late 1980s at the opposite extreme the income effects are negative for non tax payers during the recession income effects are significant neither for tax payers nor for non tax payers fiscal households and are significantly positive for tax payers and negative for non tax paye