the hedge ratio and the empirical relationship between the stock and futures markets a new approach using wavelet analysis this paper examines the relationship between the stock and futures markets in terms of lead lag relationship correlation and the hedge ratio using wavelet analysis empirical results show that 1 there is a feedback relationship between the stock and futures markets regardless of time scales 2 wavelet correlation between two markets varies over investment horizons but remains very high and 3 hedge ratio and the effectiveness of hedging strategies increase as the wavelet time scale increases simulation for utility comparisons shows that hedging effectiveness depends not only on the time scale but also on the risk aversion coefficient of an individual investor

de noising option prices with the wavelet method financial time series are known to carry noise hence techniques to de noise such data deserve great attention wavelet analysis is widely used in science and engineering to de noise data in this paper we show through the use of monte carlo simulations the power of the wavelet method in the de noising of option price data we also find that the estimation of risk neutral density functions and out of sample price forecasting is significantly improved after noise is removed using the wavelet method

100 percent reserve banking a critical review of green perspectives abstract 100 percent reserve banking c perb is an enduring proposal for monetary reform that has been taken up by some ecological economists this paper identifies three groups of green arguments in favor of c perb and offers some criticism first the proposal could serve to constrain new investments by the availability of savings thereby checking economic growth however this would strongly increase interest rate volatility second it could potentially elevate environmental considerations in decisions about resource allocation by increasing the role of the democratic state as an economic actor this line of argument faces problems that require further detailed exploration and historical perspective third a transition to c perb would allow debt levels to be drastically cut this is technically possible but politically a tall order whether the existing system of debt based bank money generates a significant growth imperative is unclear and the importance of other driving forces behind perennial economic growth in modern societies which c perb does not address remains an issue of contention in general the adoption of c perb presupposes a tremendous reconfiguration of power relations between states and finance capital

the effect of asymmetries on optimal hedge ratios there is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news this article considers the impact of asymmetry on time varying hedges for financial futures an asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return innovations gives superior in sample hedging performance however the simpler symmetric model is not inferior in a hold out sample a method for evaluating the models in a modern risk management framework is presented highlighting the importance of allowing optimal hedge ratios to be both time varying and asymmetric

bivariate garch estimation of the optimal commodity futures hedge six different commodities are examined using daily data over two futures contract periods cash and futures prices for all six commodities are found to be well described as martingales with near integrated garch innovations bivariate garch models of cash and futures prices are estimated for the same six commodities the optimal hedge ratio ohr is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of futures the estimated ohrs reveal that the standard assumption of a time invariant ohr is inappropriate for each commodity the estimated ohr path appears non stationary which has important implications for hedging strategies

the dynamics of stock index and stock index futures returns in rational efficiently functioning markets the returns on stock index and stock index futures contracts should be perfectly contemporaneously correlated this study investigates the time series properties of 5 minute intraday returns of stock index and stock index futures contracts and finds that sp however the effect is not completely unidirectional with lagged stock index returns having a mild positive predictive impact on futures returns

volatility uncertainty time decay and option bid ask spreads in an incomplete market this paper documents the fact that in options markets the percentage implied volatility bid ask spread increases at an increasing rate as the option s maturity date approaches to explain this stylized fact this paper provides a market microstructure model for the bid ask spread in options markets we first construct a static equilibrium model to illustrate the aforementioned phenomenon where risk averse and competitive option market makers quote bid and ask prices to minimize their inventory risk in an incomplete market with both directional and volatility risk we extend this model to multiperiods and show that the same phenomenon occurs there as well two new implications are generated a volatility level effect and a volatility variance effect these implications are empirically tested and the empirical results confirm the model s validity finally we document the importance of detrending the maturity effect by showing that the detrended percentage volatility spread explains future jump intensit

a word of caution on calculating market based minimum capital risk requirements this paper demonstrates that the use of garch type models for the calculation of minimum capital risk requirements mcrrs may lead to the production of inaccurate and therefore inefficient capital requirements we show that this inaccuracy stems from the fact that garch models typically overstate the degree of persistence in return volatility a simple modification to the model is found to improve the accuracy of mcrr estimates in both back and out of sample tests given that internal risk management models are currently in widespread usage in some parts of the world most notably the usa and will soon be permitted for ec banks and investment firms we believe that our paper should serve as a valuable caution to risk management practitioners who are using or intend to use this popular class of models

high frequency quoting short term volatility in bids and offers at subsecond horizons bids and offers in u s equity markets are more volatile than what would be implied by long term fundamentals to assess costs and consequences this paper suggests that traders random delays latencies interact with quote volatility to generate execution price risk and relative latency costs analysis of the behavior of quote setters suggests that this volatility is more likely to arise from recurrent cycles of undercutting similar to the edgeworth cycles found in product markets rather than mixed strategies of limit order placement

from ecological macroeconomics to a theory of endogenous money for a finite planet abstract this paper takes stock of the achievements and gaps of the emerging field of ecological macroeconomics which has brought insights from specific schools of macroeconomics most notably post keynesian to ecological economics with a strong emphasis on the endogeneity of money ecological macroeconomics has proposed fiscal monetary and prudential reforms to boost green investments and developed new modeling frameworks to explore the interactions between the financial macroeconomic and biophysical spheres while these proposals open a broader range of possibilities to engage in a socio ecological transition than those offered by the current paradigm of a financialized global economy they paradoxically suffer from similar limitations by placing much faith in green investments they impose a vision of the transition that presents strong technical and institutional limitations the field also fails to revisit its own understanding of macroeconomics and of specific phenomena e g financial instability through a biophysical lens in spite of increasing transdisciplinary evidence supporting this approach we suggest overcoming these limitations through institutionalist perspectives that understand money as a language through which value is created and legitimized those perspectives seem essential to re embed the governance of money within a worldview that acknowledges the finiteness and incommensurable values of earth s life support systems

on the malthusian theory of long swings in the essay on population economic growth consists of alternating surges of population during which real wages fall and the rate of profit rises and capital during which the reverse occurs a series of temporary equilibria exists at which wages are maximal the rate of profit minimal and fully employed work force in technically determined relation to fixed capital stock between these equilibria occur episodes of excess labour below maximum wages above minimum profit rate and capital accumulation malthus s ratios presuppose a logarithmic production function that implies first that the full employment real wage will fall to subsistence secondly that the full employment wages fund is constant summary in fre

overcoming the zero bound on nominal interest rates with negative interest on currency gesell s solution an economy is in a liquidity trap when monetary policy cannot influence either real or nominal variables of interest a necessary condition for this is that the short nominal interest rate is constrained by its lower bound typically zero the paper considers two small analytical models one old keynesian the other new keynesian possessing equilibria where not only the short nominal interest rate but nominal interest rates at all maturities can be stuck at their zero lower bound when the authorities remove the zero nominal interest rate floor by adopting an augmented monetary rule that systematically keeps the nominal interest rate on base money including currency at or below the nominal interest rate on non monetary instruments the lower bound equilibria are eliminated thus allowing an economic system to avoid the trap or to escape from it this rule will involve paying negative interest on currency that is imposing a carry tax on currency an idea first promoted by gesell the administration costs associated with a currency carry tax must be set against the benefits of potentially lower shoe leather costs and lower menu costs which are made possible by the its introduction there are also output gap avoidance benefits from eliminating the zero lower bound trap

the economics of degrowth economic degrowth is ecologically desirable and possibly inevitable but under what conditions can it become socially sustainable how can we have full employment and economic stability without growth what will happen to public spending and to public debt how would production be organised in a degrowing economy and under what plausible socio political conditions could such grand changes happen standard economic theories and models ignore these questions for them economic growth is an axiomatic necessity this article reviews recent contributions in the economics of degrowth and identifies research avenues for ecological economists

estimation of the optimal futures hedge standard approaches to designing a futures hedge often suffer from two major problems first they focus only on minimizing risk so no account is taken of the impact on expected return second in estima ting the hedge ratio no allowance is made for time variation in the distribution of cash and futures price changes this paper describes a technique for estimating the optimal futures hedge that corrects these problems and illustrates its use in hedging treasury bonds with t bond futures copyright 1988 by mit press

downside risk and the energy hedger s horizon abstract in this paper we explore the impact of investor time horizon on an optimal downside hedged energy portfolio the optimal heating oil hedge ratio is first calculated for a variety of downside risk objective functions at different time horizons using the wavelet transform next associated hedging effectiveness is contrasted for a range of risk metrics with all metrics showing increasing hedging effectiveness at longer horizons moreover decreased hedging effectiveness is demonstrated for increased levels of uncertainty at higher confidence intervals while small differences in effectiveness are found across the different hedging objectives time horizon effects are found to dominate confirming the importance of the hedging horizon the findings suggest that while downside risk measures are useful in determining an optimal futures hedge encompassing negative returns hedging horizon and confidence intervals should also be given careful consideration by the energy hedger

growth in global materials use gdp and population during the 20th century the growing industrial metabolism is a major driver of global environmental change we present an assessment of the global use of materials since the beginning of the 20th century based on the conceptual and methodological principles of material flow accounting mfa on the grounds of published statistical data data compilations and estimation procedures for material flows not covered by international statistical sources we compiled a quantitative estimate of annual global extraction of biomass fossil energy carriers metal ores industrial minerals and construction minerals for the period 1900 to 2005 this period covers important phases of global industrialisation and economic growth the paper analyses the observed changes in the overall size and composition of global material flows in relation to the global economy population growth and primary energy consumption we show that during the last century global materials use increased 8 fold humanity currently uses almost 60 billion tons gt of materials per year in particular the period after wwii was characterized by rapid physical growth driven by both population and economic growth within this period there was a shift from the dominance of renewable biomass towards mineral materials materials use increased at a slower pace than the global economy but faster than world population as a consequence material intensity i e the amount of materials required per unit of gdp declined while materials use per capita doubled from 4 6 to 10 3 t cap yr the main material groups show different trajectories while biomass use hardly keeps up with population growth the mineral fractions grow at a rapid pace we show that increases in material productivity are mostly due to the slow growth of biomass use while they are much less pronounced for the mineral fractions so far there is no evidence that growth of global materials use is slowing down or might eventually decline and our results indicate that an increase in material productivity is a general feature of economic development

dynamic cyclical comovements between oil prices and us gdp a wavelet perspective abstract in this paper we use wavelet analysis to investigate the cyclical comovements between crude oil prices and us gdp taking into account the decline in the volatility of us gdp growth that has occurred since the mid 1980s our main findings suggest that before 1984 q1 the crude oil prices were leading the us gdp cycle by 3 quarters and granger cause us gdp in contrast after 1984 q1 the crude oil prices were lagging the us business cycle and a reverse causality is found to run from us gdp to oil prices the multiscale granger causality tests globally corroborate theses results

land technical progress and the falling rate of profit abstract the paper sets out a one sector growth model with a neoclassical production function in land and a capital labour aggregate if the elasticity of substitution between land and the capital labour aggregate is less than one and if the rate of capital augmenting technical progress is strictly positive then the rate of profit will fall to zero this result holds regardless of the rate of land augmenting technical progress no amount of technical advance in agriculture can stop the fall in the rate of profit the paper also discusses the relation of this result to the classical and marxist literature

turgot founder of classical economics a r j turgot s capital theory is rightly famous this paper argues that his contribution to distribution theory should also be recogniz ed as a major achievement the interest rate or profit rate is equa lized between different activities and governed by returns at the agr icultural margin intensive and extensive returns decrease as the m argin moves out with capital accumulation this implies a rent theory and a theory of accumulation substantially equivalent to that of dav id ricardo and makes turgot who wrote before adam smith the origin al inventor of the main lines of classical economics copyright 1987 by the review of economic studies limited

simultaneously determined time varying hedge ratios in the soybean complex time varying hedge ratios are derived which account for the dynamic characteristics of prices in the soybean complex a multivariate generalized autogressive heteroskedastic mgarch model along with other conditional models is used to specify the relevant covariance matrix while the time varying representations of the variance matrix are statistically appropriateex anteand ex posthedging effectiveness indicate that they provide minimal gain to hedging in terms of mean return and reduction in variance over a constant conditional procedure whether similar findings arise from other applications of garch models to optimal hedging is a question for further research

generalized optimal hedge ratio estimation a generalized approach to estimating optimal hedge ratios on futures markets is developed the generalized approach is not difficult to apply and provides a framework for evaluating the appropriateness of conventional simple regression approaches to optimal hedge ratio estimation in an application to storage hedging of corn soybeans and wheat it is found that simple regression using price levels or returns leads to errors in optimal hedge ratio estimation but that simple regression using price changes provides reasonably accurate estimates

malthus on long swings the general case 3 major assumptions provided the basis to malthus theory of population food is necessary to human existence passion between man and woman is necessary and will continue nearly in its present state and the power of population is indefinitely greater than the earths power to produce subsistence for humans with this as his base malthus proposed the thesis that strong and constant forces need to hold the superior power of population over subsistence in check the forces include both positive checks e g infant mortality and preventive checks e g foregoing early marriage malthus evidently had a theory of long swings in mind because he began his essay questioning whether humankind will experience unlimited improvement or a state oscillating between happiness and misery waterman 1987 offers a new interpretation of malthus theory of long swings concluding that the malthusian theory of oscillations as sketched in the essay on population may justly be represented by a zig zag path of real wages 2 questions arise does the text literally mean what waterman suggests and is the text consistent with malthus general position the quotation offered by wasserman focuses on a special case that illustrates how oscillations might take place but fails to represent malthus general position in any society the populations response to wages determines the level of subsistence due to the different living habits in each state the subsistence level varies from state to state and malthus devotes much of the 1st essay to discussing what determines the living habits and the subsistence level in different countries in malthus theory of long swings real wages do not follow a zig zag path this is due to the fact that neither the accumulation of capital nor the growth of population behaves as he proposes whenever the rate of profit is sufficiently attractive capital accumulates and the response of population to a change in wages depends on a complex of forces termed by malthus as positive and preventive checks generally the path of wages over time is dependent on the prevailing conditions at a particular time and place excerpt

overcoming the zero bound on interest rate policy the paper proposes three options for overcoming the zero bound on interest rate policy a carry tax on money open market operations in long bonds and monetary transfers a variable carry tax on electronic bank reserves could enable a central bank to target negative nominal interest rates a carry tax could be imposed on currency to create more leeway to make interest rates negative quantitative policy monetary transfers and open market purchases of long bonds could stimulate the economy by creating liquidity broadly defined a central bank needs more fiscal support than usual from the treasury to pursue quantitative policy at the interest rate floor

regime switching correlation hedging this paper investigates the hedging effectiveness of commodity futures when the correlations of spot and futures returns are subject to multi state regime shifts an independent switching dynamic conditional correlation garch is dcc which is free from the problems of path dependency and recombining is applied to model multi regime switching correlations the results of hedging exercises indicate that state dependent is dcc outperforms state independent dcc garch and three state is dcc exhibits superior hedging effectiveness illustrating importance of modeling higher state switching correlations for dynamic futures hedging

wavelet based option pricing an empirical study abstract in this paper we scrutinize the empirical performance of a wavelet based option pricing model which leverages the powerful computational capability of wavelets in approximating risk neutral moment generating functions we focus on the forecasting and hedging performance of the model in comparison with that of popular alternative models including the stochastic volatility model with jumps the practitioner black scholes model and the neural network based model using daily index options written on the german dax 30 index from january 2009 to december 2012 our results suggest that the wavelet based model compares favorably with all other models except the neural network based one especially for long term options hence our novel wavelet based option pricing model provides an excellent nonparametric alternative for valuing option prices

reconsidering monetary policy an empirical examination of the relationship between interest rates and nominal gdp growth in the u s u k germany and japan abstract the rate of interest the price of money is said to be a key policy tool economics has in general emphasised prices this theoretical bias results from the axiomatic deductive methodology centring on equilibrium without equilibrium quantity constraints are more important than prices in determining market outcomes in disequilibrium interest rates should be far less useful as policy variable and economics should be more concerned with quantities including resource constraints to investigate we test the received belief that lower interest rates result in higher growth and higher rates result in lower growth examining the relationship between 3 month and 10 year benchmark rates and nominal gdp growth over half a century in four of the five largest economies we find that interest rates follow gdp growth and are consistently positively correlated with growth if policy makers really aimed at setting rates consistent with a recovery they would need to raise them we conclude that conventional monetary policy as operated by central banks for the past half century is fundamentally flawed policy makers had better focus on the quantity variables that cause growth

a paradox of thrift or keynes s misrepresentation of saving in the classical theory of growth every year thousands of introductory economics students are made to accept as valid one of keynes s lasting inversions of classical economics namely the proposition that saving may be a private virtue but is a public vice according to keynes a community that seeks to increase its rate of saving would end up impoverishing itself and actually saving less but the community that increases its consumption at the expense of saving would end up being richer and saving more this proposition frequently stated in macroeconomics textbooks as the paradox of thrift arises mainly from keynes s definition of saving to include the hoarding of cash contrary to the classical definition and language of the marketplace but has received little recognition or criticism as such rather than emphasizing keynes s misrepresentation of the classical theory of income determination and growth in which hoarding constitutes a reduction in saving most critics have pointed out only that saving may take other forms besides hoarding 2 thus several reviewers of the general theory 22 in which keynes fully develops the argument criticized it mainly for having assigned too much importance to the hoarding of cash e g pigou 37 robertson 40 viner 51 and hawtrey 11 some modern textbook writers employ the loanable funds view of savings to show the lim

the ecology of money a critical assessment abstract this paper assesses the proposal to transform the monetary system into an ecology of money that is into a system made of a large diversity of complementary currencies its central aim is to examine whether this proposal could provide a systemic solution to both the ecological and financial crises as several authors most notably lietaer and douthwaite have argued to this end it analyses the two main arguments in favour of this proposal first it focuses on the claim that an ecology of money would be more resilient and less prone to crisis than the present monetary system it shows that this argument suffers from several conceptual flaws and argues that it fails to provide sufficient normative reasons to favour an ecology of money second this paper analyses the claim that an ecology of money could help defeat the monetary growth imperative that supposedly plagues our economies the paper raises serious doubts about the existence of such an imperative and questions the claim that an ecology of money could contribute to weaken it in a significant way

the canonical classical model of political economy adam smith david ricardo thomas robert malthus and john stuart mill shared in common essentially one dynamic model of equilibrium growth and distribution when the limitation of land and natural resources is added to the model of karl marx he also ends up with this same canonical classical model in its present version the model is stripped down to its minimal essentials for brevity i employ modern mathematical tools but only to characterize in modern terms the relations that were actually common to all these writers the reader should of course be warned that any simple codification of the classical economists discursive writings must be an oversimplification in some of their passages they qualify what they have written elsewhere in some they provide negations and contradictions not a few of the stereotypes about the classical writers are to paraphrase voltaire myths agreedupon by later commentators distortions that both improve and libel the originals the relevant object of study for a modern scholar is the corpus of original texts and the commentaries on them the latter not being genuinely of less interest than the former once we have succeeded in telling them apart to the fascinating question of whether classical political economy does or can be made to offer an alternative paradigm in the sense of thomas kuhn 11 1962 to modern mainstream economics the present investigation provides an instructive answer so to speak within every classical economist there is to be discerned a modern economist trying to be born a ricardo or mill did not so much replace supply and demand by quite different mechanisms but rather sought to be able to say something significant and limiting about their properties quite in the same way that we moderns endeavor to do i describe and analyze here the basic classical model in its essential form

implications of nonlinear dynamics for financial risk management this paper demonstrates that when log price changes are not iid their conditional density may be more accurate than their unconditional density for describing short term behavior using the bds test of independence and identical distribution daily log price changes in four currency futures contracts are found to be not iid while there appear to be no predictable conditional mean changes conditional variances are predictable and can be described by an autoregressive volatility model that seems to capture all the departures from independence and identical distribution based on this model daily log price changes are decomposed into a predictable part which is described parametrically by the autoregressive volatility model and an unpredictable part which can be modeled by an empirical density either parametrically or nonparametrically this two step seminonparametric method yields a conditional density for daily log price changes which has a number of uses in financial risk management

the euthanasia of the rentier a way toward a steady state economy abstract a positive interest rate has many impacts on ecology one of them is the pushing of economic growth in the present economy accumulation of capital is an end in itself according to the golden rule of accumulation the extension rate of the capital stock is equal to the interest rate however in the present economic conditions the interest rate is always significantly higher than zero due to the liquidity premium of money keynes in this context old proposals such as the free money approach of silvio gesell could provide interesting solutions gesell wanted to neutralize the liquidity premium by putting artificial carrying costs on money by increasing the stock of capital assets without being interrupted by economic crises the interest and profitability level should be reduced down to zero because in this situation every marginal saving and marginal investment would cause a negative interest or profitability rate they would be stopped though keynes was very excited by the proposals of gesell he criticized the fact that gesell did not see many of the further obstacles however these obstacles could be overcome by means of further institutional reforms

ecological monetary economics a post keynesian critique the monetary analysis of some ecological economists currently appears to be mostly articulated around the following core a stationary economy and a fortiori a degrowth economy is incompatible with a system in which money is created as interest bearing debt to question the relevance of the debt money positive interest rate output growth nexus this paper adopts a critical stance towards the currently emerging ecological monetary economics from the standpoint of another strand of heterodox economics the post keynesian approach in its current state ecological monetary economics is at odds with post keynesian economics in its analysis of the money growth relationship this will be shown using the theory of endogenous money and a simple cambridgian kaleckian model where debt money and a positive interest rate are compatible with a full stationary economy

mean reversion of standard poor s 500 index basis changes arbitrage induced or statistical illusion mean reversion in stock index basis changes has been presumed to be driven by the trading activity of stock index arbitragers we propose here instead that the observed negative autocorrelation in basis changes is mainly a statistical illusion arising because many stocks in the index portfolio trade infrequently even without formal arbitrage reported basis changes would appear negatively autocorrelated as lagging stocks eventually trade and get updated the implications of this study go beyond index arbitrage however our analysis suggests that spurious elements may creep in whenever the price change or return series of two securities or portfolios of securities are differenced mean reversion in stock index basis changes has been amply documented mackinlay and ramaswamy 1988 find significant negative first order autocorrelation in normalized intraday basis changes of the s p 500 index futures traded on the chicago mercantile exchange cme yadav and pope 1990 find similar behavior using financial times stock exchange ftse 100 index futures data from the london international financial futures exchange liffe as does lim 1990 using nikkei 225 index futures from the singapore international monetary exchange simex the trading activity of stock index arbitragers has been presumed to be driving this elastic realignment of stock index and index futures prices when the basis widens beyond its theoretical level arbitragers simultaneously sell index futures and buy the index portfolio pulling the difference between the futures and index

population growth and natural resource scarcity long run development under seemingly unfavorable conditions in this paper i consider an economy that is constrained by the use of natural resources and driven by knowledge accumulation resources are essential inputs in all sectors i show that population growth and poor input substitution are not detrimental but on the contrary are even necessary to obtain a sustainable consumption level i find a general rule to define the conditions for a constant innovation rate the rule does not apply to capital but to labor growth which is the crucial input in research furthermore the rule relates to the sectoral structure of the economy and to demographic transition the results continue to hold with a backstop technology and are extended for the case of minimum resource constraints

the classical classical fallacy a flagrant error dogged james steuart adam smith david ricardo john barton john stuart mill karl marx and classical writers generally modern commentators on classicism are enough tempted by the fallacy to generally overlook it as a vital flaw in the earlier writers this fallay can be called classically classical not in the sense of being the greatest error in the classical paradigm an award that would be hard even to define but in the sense that modern scholars ignorant of pre 1900 literature would be little tempted by it i do not denigrate or patronize a great writer of the past such as david ricardo when i objectively delineate his hits and misses the fallacy can be simply put fixed capitals are prejudicial to wages and the demand for labor circulating capitals wage fund items that represent wage outlays paid to workers at the beginning of a period of production which are not recouped until the end of that period of production and which of course bear an interest or profit rate during the transition are allegedly favorable to the real wage rate and to the demand for labor fixed capitals are durable produced inputs that render their services over a number of different production periods circulating capitals are produced inputs used up within one period of production they are relatable to but distinguishable from wage fund advances paid to workers at the beginning of a period of production to be recouped at its end along with an interest or profit return in the minds of heterodox economists and the lay public generally a technological change that made machinery newly viable was supposedly the kind of invention that could put people out of work temporarily reduce market clearing wage rates and in long run equilibrium at an unchanged subsistence wage rate call for a significantly reduced population by contrast therefore a new invention that displaced machinery in favor of various raw materials as inputs would supposedly raise the short run real wage and increase the demand for labor so powerful was the grip of what i shall dub the classical fallacy that it was being reminded of it in 1819 21 that appears to have enabled ricardo to recant in his famous third edition chapter on machinery his previous boner that every viable invention can be expected to raise every factor s return from today s wisdomor indeed the wisdom of 1900 that previous position of ricardo was nonsense there is no invisible hand that seeks out machines or new techniques only if they benefit everyone i

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

hicks and hollander on ricardo a mathematical note the model of ricardo s economy that john hicks and samuel hollander 1977 explored in this journal laid to rest the notion that ricardian models can be adequately constructed with the wage assumed to be at subsistence the model in that paper dealt for the most part with an economy possessed of circulating capital only 1 it examined the behavior of the wage and labor force as the economy approaches the stationary state in the course of their investigation hicks and hollander encountered the possibility that the wage and labor force might not approach stationary state levels in a smooth way but might instead oscillate the wage passing sometimes below subsistence sometimes above it the labor force increasing and decreasing such behavior which ricardo mentioned only briefly 2 they named the exception hicks and hollander 1977 p 358 when such a possibility arises it is natural enough to investigate the conditions that give rise to it hicks and hollander did so and concluded that the approach to stationary state equilibrium will be smooth provided only that the elasticity of the marginal product curve must be greater than 1 hicks and hollander 1977 p 356 this note reexamines the model formally 3 on the basis of pasinetti s 1960 article it shows that the hicks hollander condition for nonoscillatory behavior is sufficient but not necessary

modeling asymmetric comovements of asset returns existing time varying covariance models usually impose strong restrictions on how past shocks affect the forecasted covariance matrix in this article we compare the restrictions imposed by the four most popular multivariate garch models and introduce a set of robust conditional moment tests to detect misspecification we demonstrate that the choice of a multivariate volatility model can lead to substantially different conclusions in any application that involves forecasting dynamic covariance matrices like estimating the optimal hedge ratio or deriving the risk minimizing portfolio we therefore introduce a general model which nests these four models and their natural asymmetric extensions the new model is applied to study the dynamic relation between large and small firm returns article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies