do macroforecasters herd we show that typical tests of whether forecasters herd will falsely indicate herding behaviour for a variety of types of behaviour and forecasting environments that give rise to disagreement amongst forecasters we establish that forecasters will appear to herd if di erences between them reject noise as opposed to private information or if they arise from informational rigidities noise can have a behavioural interpretation and if so will depend on the behavioural model under consideration an application of the herding tests to us quarterly survey forecasts of inflation and output growth data 1981 2013 does not support herding behaviour

improving prediction market forecasts by detecting and correcting possible over reaction to price movements abstract we examine the impact of price trends on the accuracy of forecasts from prediction markets in particular we study an electronic betting exchange market and construct independent variables from market price odds time series from 6058 individual markets a dataset consisting of over 8 4 million price points using a conditional logit model we find that a systematic relationship exists between trends in odds and the accuracy of odds implied event probabilities the relationship is consistent with participants over reacting to price movements in particular in different time segments of the market increasing and decreasing odds lead respectively to under and over estimation of odds implied probabilities we develop a methodology to detect and correct the erroneous forecasts associated with these trends in odds in order to considerably improve the quality of forecasts generated in prediction markets

modeling a large population of traders mimesis and stability abstract we introduce a method of accurately and efficiently modeling a large population of participants in a financial market each participant is modeled as having an internal preference state affected by the continual arrival of exogenous information and by the behavior of others in order to describe a community of traders we introduce a population equation that is derived rigorously from the underlying single agent model the population equation is used to investigate collective behavior with mimetic interactions we observe and study the sharp transitions in parameter space from a stable time independent regime to instability where the demand and supply diverge sharply

forecasting metal prices do forecasters herd abstract we analyze more than 20 000 forecasts of nine metal prices at four different forecast horizons we document that forecasts are heterogeneous and report that anti herding appears to be a source of this heterogeneity forecaster anti herding reflects strategic interactions among forecasters that foster incentives to scatter forecasts around a consensus forecast

the impact of the eu emissions trading system on low carbon technological change the empirical evidence abstract this paper reviews the empirical literature analysing the effects of the eu emissions trading system eu ets on low carbon technological change the emerging evidence is assessed with references to both relevant economic concepts and the evolving regulation of the eu ets through the years the two most robust indications of the literature are a free allocation grandfathering tended to hamper low carbon investments in phases i 2005 2007 and ii 2008 2012 and b the eu ets appears to have been relatively more effective in stimulating innovation of low carbon technologies than their adoption importantly however a complete general picture of the impact of the eu ets on low carbon technological change is missing the main gap regards the lack of empirical evidence for phase iii 2013 2020 especially econometric studies are only few due to the lack of suitable databases accessible to researchers a problem that the relevant public authorities are urged to address thanks to the recent reforms of the eu ets the incentives for innovation and adoption of low carbon technologies are probably stronger today than ever before

barriers to energy efficiency a comparison across the german commercial and services sector abstract based on a large sample for the german commercial and services sector this paper econometrically assesses the relevance of various types of barriers to energy efficiency at the sectoral level and across fifteen sub sectors the results at the level of entire sectors suggest that the lack of information about energy consumption patterns and about energy efficiency measures lack of staff time priority setting within organizations and in particular the investor user dilemma are all relevant barriers allowing for sector specific differences in the relevance of these individual barriers yields a more heterogeneous picture the numbers and types of relevant barriers vary across sub sectors and the majority of sub sectors are subject to relatively few barriers the statistically most significant barriers are found for the sub sector of public administrations these findings are robust independent of whether the definition of an organization s energy efficiency performance includes only measures that have actually been realized or also those that are being planned for planned projects however organizations appear to underestimate internal priority setting as a barrier to energy efficiency

macroeconomic forecasts and microeconomic forecasters in the presence of principal agent problems published macroeconomic forecasts by professional economists may not measure expectations forecasters may use their forecasts in order to manipulate beliefs about their ability i test a cross sectional implication of models of reputation and information revelation i find that as forecasters become older and more established they produce more radical forecasts since these more radical forecasts are in general less accurate ex post forecast accuracy grows significantly worse as forecasters become older and more established these findings are consistent with reputational factors at work in professional macroeconomic forecasts

region division of china s carbon market based on the provincial municipal carbon intensity abstract the difference of carbon trading prices among emission trading scheme pilots may hinder the unified carbon market that china s government plans to establish in 2017 to achieve this goal this study develops a regional carbon market mode based on the similarity of thirty provinces municipalities carbon intensity by the aid of logarithmic mean divisia index autoregressive and dynamic time warping models according to the dynamic clustering result we divide these provinces municipalities into three sub markets that are the western eastern and central markets furthermore we propose the carbon emission modes corresponding to each sub market namely the energy dependence mode western market sustainable economy mode eastern market and industrial upgrading mode central market briefly we suggest that the unified market should be firstly divided into some sub markets finally we propose some critical routes as well as corresponding managerial implications for establishing such unified market

benchmarking in the european union emissions trading system abatement incentives abstract this paper investigates abatement incentives for allowance allocation based on output and sector specific benchmarks here called output based allocation or benchmarking special attention is given to updated allocation and we assume that allowances can be traded with other sectors open cap we confirm earlier studies that output based allocation based on ex ante data provide the same abatement incentives as auction or grandfathering and also confirm that output based allocation with updated output and ex ante benchmarks provides as high abatement incentives as auction but constitutes a production subsidy however we also find that benchmarking with updated output and updated benchmarks reduces abatement incentives somewhat but less so than updated grandfathering an allocation rule where the sector cap is prescribed ex ante for instance based on historic emissions and distributed to installations in proportion to their updated production preserves full abatement incentives and avoids some of the costs associated with the determination of benchmarks however this rule also constitutes a production subsidy which decreases with industry concentration if a sector is split into smaller groups each with one benchmark per sub sector benchmarking evolves toward grandfathering since benchmarking is conditioned on production this allocation method protects production from leakage i e migrating to areas where firms face no emissions cost this may actually be the most compelling reason for choosing benchmarking

asymmetric loss and herding behaviour of exchange rate forecasters evidence from south africa this study examines the asymmetry of the loss function for private forecasters in exchange rate forecasts of the south african rand it tests rationality under the possibility of an asymmetric loss function the results indicate less evidence of asymmetry for a horizon of 1 month but considerable evidence of asymmetry for a horizon of 3 months however the shapes of the distributions formed by estimated asymmetry parameters of sub samples for each forecaster are symmetric regardless of the forecast horizons which implies that these forecasters do not herd or antiherd in fact the results of our empirical herding test show that forecasters neither herd nor antiherd which is in sharp contrast to recent findings on antiherding for foreign exchange rates in emerging market economies our findings provide consistent evidence for a recent suggestion that antiherding might result in the rejection of rationality even under asymmetric loss functions our findings also suggest that central bank transparency m

an economic analysis of sardine fishing in the gulf of valencia spain abstract the optimal management of a particular fishery is illustrated using data describing previous fishery exploitation relevant biological and economic relationships are estimated then the optimum levels of catches effort and stock are calculated the prices that if implemented would ensure the current efficient exploitation of the fishery are also calculated finally the welfare gains that can be achieved by a movement from the freemarket equilibrium to the socially optimum solution are demonstrated

the efficiency of the london metal exchange in this paper the three approaches available to test the hypothesis that the futures price is an unbiased predictor of future spot prices are utilized to analyze the efficiency of the london metal exchange for the period january 1975 december 1983 the first technique uses non overlapping observation and derives a test of this hypothesis using ols the second uses overlapping data and models explicitly the moving average process in the error structure using arma procedures the third uses a fiml technique to estimate a bivariate stochastic stationary process of the spot and futures prices and tests the unbiased predictor hypothesis in the form of complex non linear cross equation restrictions the results conform to the predictions of the unbiased predictor hypothesis regardless of the methodology and or data employed

the maximum sustainable yield of artisanal fishery in zanzibar a cointegration approach the objective of this study is to analyze the scope for expanding theartisanal fishery in zanzibar and to present cointegration as an econometricmethod to estimate the maximum sustainable yield msy in fishery for thatpurpose the schaefer and fox surplus production models are considered application of cointegration is discussed to test whether there is atendency to long run equilibrium between catch and effort as assumed bythe surplus production models and implied by the msy concept moreover estimation of the parameters is dealth with application to data relating toartisanal fishery in zanzibar shows that there is support for a fox model moreover we find that the current catch is only about 40 percent of theestimated msy but the prevalent effort is about two times bigger than theestimated optimum effort it appears therefore that the fishery in zanzibaris biologically overfished

does gold offer a better protection against losses in sovereign debt bonds than other metals it is a commonly held view that gold protects investors wealth in the event of negative economic conditions in this study we test whether other metals offer similar or better investment opportunities in periods of market turmoil using a sample of 13 sovereign bonds we show that other precious metals palladium in particular offer investors greater compensation for their bond market losses than gold we also find that industrial metals especially copper tend to outperform gold and other precious metals as hedging vehicles and safe haven assets against losses in sovereign bonds however the outcome of the hedge and safe haven properties is not always consistent across the different bonds finally our analysis suggests that copper is the best performing metal in the period immediately after negative bond price shocks

on the design of optimal grandfathering schemes for emission allowances to meet its commitment under the kyoto protocol the eu plans to implement an emissions trading system whith grandfathering of allowances besides having distributional impacts the choice of the grandfathering scheme may affect efficiency if firms anticipate how future allocations depend on upcoming decisions in this paper we determine central design rules for optimal grandfathering within a simple two period model we find that for small open trading systems where allowance prices are exogenous first best second period grandfathering schemes must not depend on firm specific decisions in the first period second best schemes correspond to a ramsey rule of optimal tax differentiation and are generally based on both previous emissions and output however ofr closed emissions trading systems i e endogeneous allowance prices firstand second best rules coincide and must not depend on previous output levels they consist of an assignment proportional to the emissions in the first period plus a term which does not depend on firm specific decisions in either of the two periods

rational herding in financial economics abstract this paper briefly describes recent papers on the economics of rational herding in financial markets some models can predict perfect herding in which rational agents all act alike without any countervailing force such herding typically arises either from direct payoff externalities negative externalities in bank runs positive externalities in the generation of trading liquidity or in information acquisition principal agent problems based on managerial desire to protect or signal reputation or informational learning cascades the paper also provides a few pointers to related literature and suggests issues to be addressed in future research

the efficiency paradox bureaucratic and organizational barriers to profitable energy saving investments abstract the paradox of why profitable energy saving investments are not undertaken continues to provoke debate the underlying phenomenon might be called the efficiency paradox because it represents a case in which business firms which are often presumed or taken axiomatically to be economically efficient make decisions that do not maximize profits new data from one of the us environmental protection agency s voluntary pollution prevention programs enables this paradox to be explored statistically the data show that both the level and variation in returns to lighting upgrade investments cannot be explained by standard economic models substantial gains in energy efficiency can be achieved without sacrificing profitability both economic and organizational factors account for some of the variation in observed returns to these investments but the results suggest a need for improved and more comprehensive theories of the investment behavior of firms and other organizations

environmental policy incentives to adopt advanced abatement technology abstract we investigate incentives through environmental policy instruments to adopt advanced abatement technology first we study the case where the regulator makes long term commitments to policy levels and does not anticipate arrival of new technology we show that taxes provide stronger incentives than permits auctioned and free permits offer identical incentives and standards may give stronger incentives than permits second we investigate scenarios where the regulator anticipates new technologies we show that with taxes and permits the regulator can induce first best outcomes if he moves after firms have invested whereas this does not always hold if he moves first

a fuzzy stochastic model for carbon price prediction under the effect of demand related policy in china s carbon market abstract the establishment of china s carbon market has an obvious policy oriented feature and the carbon price is easily affected by demand related policies within a compliance period as prior models cannot help with clear simulation of the volatility of carbon price in china this paper develops a fuzzy stochastic model to predict such price under the effect of demand related policy first we quantify corporate final profit obtained from carbon trading based on different free allowance policies to measure the actual allowance demand in the carbon market second based on such demand we add the fuzzy number in each parameter of a stochastic differential equation and then develop a fuzzy stochastic model that can help to analyse the effect of demand related policy on carbon price in the immature carbon market third by analysing the demand related policy formulated in the second developing phase of the shanghai environment and energy exchange from nov 17 in 2016 through our model we predict the price trend after each demand related policy publication experimental results reveal the accurate fitting effect of the developed model that can help to estimate the supply and demand in the carbon market and evaluate the effectiveness of current carbon trading policy as well further our model can provide a robust theoretical implication for both corporate carbon trading strategies and governmental regulations on carbon demand related policy

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

on the comovement of commodity prices we present strong evidence against the excess comovement hypothesis that the prices of commodities move together beyond what can be explained by fundamentals prior studies employ broad macroeconomic indicators to explain common price movements and potentially correlated fundamentals are not controlled for we use inventory and harvest data to fit a partial equilibrium model that more effectively captures the variation in individual prices the model explains the majority of the comovements among commodities with high price correlation and all of the comovements among those with marginal price correlation common movements in supply factors appear to play an important role in the observed comovements in commodity prices

rational bias in macroeconomic forecasts do professional forecasters provide their true unbiased estimates or do they behave strategically in our model forecasters have common information confer actively and thus know the true pdf of future outcomes intensive users of economic forecasts monitor forecasters performance closely occasional users are drawn to the forecaster who fared best in the previous period in the resulting nash equilibrium even though economists have identical expectations they make a range of projections that mimics the true probability distribution of the forecast variable those whose wages depend most on publicity produce forecasts that differ most from the consensus empirical evidence supports the model

rational expectations and risk premia in forward markets primary metals at the london metals exchange this paper tests whether forward prices equal the traders expectations of the future spot prices at maturity under two different models of expectations formation full information rational expectations and incomplete information mechanical forecasting rule the tests are performed over the period january 1970 through september 1980 on the forward markets for the primary metals copper tin lead and zinc traded in the london metals exchange we find evidence consistent with the existence of time varying risk premia the way in which traders form expectations about future price is of great interest to economists as well as to market participants and forward prices have often been used as indicators of these otherwise unobservable expectations forward prices however include not only the expectation of future spot prices but also a component reflecting the riskiness of the contract therefore the risk premium can be defined as the difference between the forward price and the expected future spot at the maturity date of the forward contract there is a longstanding debate on the nature of this risk premium the hickskeynes view2 is that in futures markets speculators provide insurance against the risk of fluctuations in the price of the spot commodity and hedgers pay a premium for this risk transfer in the way of a forward price that is higher than the expected spot price in other words the risk premium should be positive 3 hardy 11 has suggested however that a future market is merely a casino in which speculators can participate in a legalized form of gambling for this privilege they have to pay a price in the form of a negative expected return thus resulting in a negative risk premium 4

dependence risk analysis in energy agricultural and precious metals commodities a pair vine copula approach we apply pair vine copulas specifically the c vine and r vine copulas to examine the conditional multivariate dependence pattern structure and r vine copula based value at risk var to assess fi

individual preferences monetary gambles and stock market participation a case for narrow framing we argue that narrow framing whereby an agent who is offered a new gamble evaluates that gamble in isolation may be a more important feature of decision making than previously realized our starting point is the evidence that people are often averse to a small independent gamble even when the gamble is actuarially favorable we find that a surprisingly wide range of utility functions including many nonexpected utility specifications have trouble explaining this evidence but that this difficulty can be overcome by allowing for narrow framing our analysis makes predictions as to what kinds of preferences can most easily address the stock market participation puzzle

production optimization considering environmental performance and preference in the cap and trade system abstract many countries like china are in a dilemma between economic growth and environmental deterioration e g smog weather simultaneously a growing people concern the product s environmental performance along with their improving environment awareness this paper focuses on the impacts of carbon footprint and low carbon preference on the production decision of emission dependent firms in the cap and trade system the cap and trade system uses the total cap to attain environmental goals and allows trade to achieve the effective scheduling through market regulation under this mechanism through analyzing the influence of carbon footprint and low carbon preference on the market supply and demand we build a production optimization model and develop the optimal decisions several interesting management insights on environmental preference and policy are concluded

the consequences of endogenizing information for the performance of a sequential decision procedure we analyse the implications of endogenizing information collection and reputational concerns for the performance of a sequential decision structure in this model two agents decide in a sequence whether to implement a public project the cost of gathering information is private we derive two results first endogenizing information replaces the herding problem with a free rider problem second endogenizing information aggravates the distortionary effect of reputational concerns

dynamic correlation analysis of financial contagion evidence from asian markets we apply a dynamic conditional correlation model to nine asian daily stock return data series from 1990 to 2003 the empirical evidence confirms a contagion effect by analyzing the correlation coefficient series we identify two phases of the asian crisis the first shows an increase in correlation contagion the second shows a continued high correlation herding statistical analysis of the correlation coefficients also finds a shift in variance during the crisis period casting doubt on the benefit of international portfolio diversification evidence shows that international sovereign credit rating agencies play a significant role in shaping the structure of dynamic correlations in the asian markets

arbitrage cointegration and testing the unbiasedness hypothesis in financial markets we use a no arbitrage cost of carry asset pricing model to show that the existence of coin tegration between spot and forward futures prices depends on the time series properties of the cost of carry we argue that the conditions for cointegration are more likely to hold in currency markets than in commodity markets explaining many of the empirical results in the literature we also use this model to demonstrate why the forward rate forecast error the basis and the forward premium are serially correlated and to develop econometric tests ofthe unbiasedness hypothesis sometimes called the simple efficiency hypothesis in various financial markets the unbiasedness hypothesis is so prevalent in the finance liter ature that many tests for it have been developed we examine four of the common tests and and use our cointegration results to demonstrate why each of these tests should reject the null hypothesis of unbiasedness we find strong support for our hypothesis in the existing empirical literature

safety in numbers a model of managerial herd behavior abstract this paper provides a formalization of managerial herd behavior that is based on the principle of safety in numbers the explanation is completely independent of the information signalling approach to herd behavior scharfstein and stein 1990 banerjee 1992 and fully captures popular explanations of the phenomenon the key assumptions are that managers are individually risk averse and that their remuneration be partly based on relative performance

the impacts of liquidity dynamics on emissions allowances price different evidence from china s emissions trading pilots abstract the liquidities of china s emissions trading markets have significant impacts on emissions allowances price movement and pricing efficiency liquidity measures on illiquidity ratio and trade values indicate hubei emissions allowances hbea product has the highest liquidity shenzhen allowances sza and guangdong emissions allowances gdea products have the higher liquidity than beijing emissions allowances bea and shanghai emissions allowances shea products while tianjin emissions allowances tjea product has the lowest market liquidity in considered china s emissions trading pilots the dynamics of the illiquidity ratios for all selected emissions allowances products are negatively related with emissions allowances returns and trade volumes for bea tjea sza and hbea products are also negatively related with emissions allowances returns the dynamics of daily illiquidity ratios and trade based liquidity in beijing tianjin guangdong shenzhen hubei emissions pilots have significant volatility clustering impacts on the variances of regional emissions allowances returns previous market shocks of overnight and intraday price variations have the more persistent influences on the gdea returns than hbea returns reflecting greater inter day price ranges clustering effect

herding anti herding behaviour in metal commodities futures a novel portfolio based approach the purpose of this article is twofold motivated by the heated debate on the financialization of commodities we examine the existence of herding behaviour in metal commodities futures in order to identify any time dependent properties reflected in time varying parameters we employ the overlapping rolling window regression technique the empirical evidence confirms a time varying anti herding behaviour before the global financial crisis and the absence of herding or anti herding behaviour during the crisis next we attempt to formally establish the link between the documented anti herding behaviour and portfolio management with the use of dynamic conditional correlations via the dcc garch family multivariate modelling after specifying the correlations an in sample recursive dynamic markowitz portfolio is constructed and monitored by doing so we attribute the anti herding behaviour to different portfolio positioning and rebalancing on the other hand in the absence of herding or anti herding behavi

emission abatement untangling the impacts of the eu ets and the economic crisis abstract in this study we use historical emission data from installations under the european union emissions trading system eu ets to evaluate the impact of this policy on greenhouse gas emissions during the first two trading phases 2005 2012 as such the analysis seeks to disentangle two causes of emission abatement that attributable to the eu ets and that attributable to the economic crisis that hit the eu in 2008 09 to do so we use a dynamic panel data approach our results suggest that by far the biggest share of abatement was attributable to the effects of the economic crisis this finding has serious implications for future policy adjustments affecting core elements of the eu ets including the distribution of eu emission allowances

abatement and allocation in the pilot phase of the eu ets we use historical industrial emissions data to assess the level of abatement and over allocation that took place across european countries during the pilot phase 2005 2007 of the european union emission trading scheme using a dynamic panel data model we estimate the counter factual business as usual emissions scenario for eu member states comparing this baseline to allocated and verified emissions we find that both over allocation and abatement occurred along with under allocation and emissions inflation over the three trading years of the pilot phase we find over allocation of approximately 280 million euas and total abatement of 247 mt co2 however we calculate that emissions inflation of approximately 73 mt co2 also occurred possibly due to uncertainty about future policy design features

business perspective to the national greenhouse gases emissions trading scheme a survey of cement companies in china abstract applying data gathered from 105 cement companies this paper gives an analysis of how business views the upcoming national greenhouse gases emissions trading scheme in china despite a good overall understanding the surveyed companies have not been able to prepare properly for the implementation of this policy they still need training to enhance their related capacity probably due to strict competition it is difficult for cement companies to pass the policy cost on to their clients the sampled companies intend to make self mitigation efforts for compliance it is highly likely that cement companies would mitigate emissions themselves if the carbon price is higher than 108 of the self abatement cost the surveyed cement companies anticipate an increase in the carbon price in china from about 35 yuan t co2 in 2020 to 60 yuan t co2 in 2025 and 90 yuan t co2 by 2030 the analysis provides reference for the smooth introduction and effective implementation of national carbon market in china from the business viewpoint

a literature based multi criteria evaluation of the eu ets abstract this article reviews the existing literature on the european union emission trading scheme eu ets focusing on empirical ex post research since the end of the first period 2007 the literature is presented through a multi criteria evaluation concerning environmental effectiveness despite over allocation during the first period abatement is estimated between 2 5 and 5 trade driven carbon leakage was not observed even if long term economic models predict divergent leakage estimates for certain at risk sectors the abatement target was likely to be below an economically efficient level but was reached in a fairly cost effective way even if free allocation gave rise to several distortional effects equity concerns were manifold and constitute a major drawback to the policy finally institutional feasibility can be considered positive in that the eu ets passed the european legislative process unlike the previously proposed eu wide carbon tax

incentives and prices in an emissions trading scheme with updating abstract emissions trading schemes where allocations are based on updated baseline emissions give firms less incentive to reduce emissions for a given quota or allowance price nevertheless according to bohringer and lange on the design of optimal grandfathering schemes for emission allowances europ econ rev 49 2005 2041 2055 such allocation schemes are cost effective if the system is closed and allocation rules are identical across firms in this paper we show that the cost effective solution may be infeasible if marginal abatement costs grow too fast moreover if a price cap or banking borrowing is introduced the abatement profile is no longer the same as in the case with an auction or lump sum allocation in addition we show that with allocation based on updated emissions the quota price will always exceed marginal abatement costs possibly misguiding policy makers and investors about abatement costs numerical simulations indicate that the quota price most likely will be several times higher than marginal abatement costs unless a significant share of allowances is auctioned

a new database on the structure and development of the financial sector this article introduces a new database of indicators of financial structure and financial development across countries and over time the database is unique in that it combines a wide variety of indicators that measure the size activity and efficiency of financial intermediaries and markets it improves on previous efforts by presenting data on the public share of commercial banks introducing indicators of the size and activity of nonbank financial institutions and constructing measures of the size of bond and primary equity markets this article introduces a new database the first to provide comprehensive measures of the development structure and performance of the financial sector this database is the first to define and construct indicators of the size and activity of nonbank financial intermediaries such as insurance companies pension funds and non deposit money banks it is also the first to include indicators of the size of primary equity markets and primary and secondary bond markets in constructing the database authors carefully deflate measures and match stock and flow variables

causes of the eu ets price drop recession cdm renewable policies or a bit of everything new evidence the price of eu allowances euas in the eu emissions trading scheme eu ets fell from almost 30 tco2 in mid 2008 to less than 5 tco2 in mid 2013 the sharp and persistent price decline has sparked intense debates both in academia and among policy makers about the decisive allowance price drivers in this paper we examine whether and to what extent the eua price drop can be justified by three commonly identified explanatory factors the economic recession renewable policies and the use of international credits capitalizing on marginal abatement cost theory and a broadly extended data set we find that only variations in economic activity and the growth of wind and solar electricity production are robustly explaining eua price dynamics contrary to simulation based analyses our results point to moderate interaction effects between the overlapping eu ets and renewable policies the bottom line however is that 90 of the variations of eua price changes remains unexplained by the abatement related fundamentals together our findings do not support the widely held view that negative demand shocks are the main cause of the weak carbon price signal in view of the new evidence we evaluate the eu ets reform options which are currently discussed

forecasting stock prices do forecasters herd abstract we use the livingston survey data to study whether forecasters of the s p 500 stock price index herd our results imply that forecasters do not herd rather we find that forecasters anti herd anti herding is less prevalent among academics and federal reserve economists forecaster anti herding is inversely correlated with forecast accuracy forecaster anti herding is not correlated with age

do investors herd in emerging stock markets evidence from the taiwanese market abstract this paper has three main contributions to the literature on investor herds first it extends investor herding studies to an emerging yet relatively sophisticated taiwanese stock market at the sector level by using firm level data second it employs different methodologies designed to test the existence of investor herds to better understand the sources of herd behavior third it discusses the implications of different herding measures for investors exposed to systematic and unsystematic risks we find that the linear model based on the cross sectional standard deviation cssd testing methodology yields no significant evidence of herding however the non linear model proposed by chang et al 2000 and the state space based models of hwang and salmon 2004 lead to consistent results indicating strong evidence of herd formation in all sectors we also find that the herding effect is more prominent during periods of market losses our results suggest limited diversification opportunities for investors in this market especially during periods of market losses when diversification is most needed further research is necessary to see whether similar findings hold for other emerging markets

new evidence of anti herding of oil price forecasters abstract we used the oil price forecasts of the survey of professional forecasters published by the european central bank to analyze whether oil price forecasters herd or anti herd oil price forecasts are consistent with herding anti herding of forecasters if forecasts are biased towards away from the consensus forecast based on a new empirical test developed by bernhardt et al j financ econ 80 657 675 2006 we found strong evidence of anti herding among oil price forecasters

investors fear and herding in the stock market in this article we examine herding in three developed stock markets testing for the impact of investors fear on herding estimations to this end we employ daily data of all listed stocks from

a note on the efficiency of the london metal exchange abstract in this note we examine the market efficiency hypothesis with respect to six metals traded on the london metal exchange lme using overlapping data and both single and multimarket models we find evidence contradictory to the tenet that the lme is an efficient market

heterogeneity in exchange rate expectations evidence on the chartist fundamentalist approach abstract this paper examines heterogeneity in exchange rate expectations whereas agents heterogeneity is key in modern exchange rate models evidence on determinants of heterogeneity is weak thus far our sample covering expectations from about 300 forecasters over 15 years shows remarkable time variation in dispersion determinants of dispersion are consistent with the chartist fundamentalist approach misalignments of the exchange rate and exchange rate changes explain heterogeneity the risk premium influences heterogeneity as well but possible impacts from macroeconomic variables and exchange rate s volatility are dominated by the other determinants

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

neoclassical theory versus prospect theory evidence from the marketplace several experimental studies have provided evidence that suggest indifference curves have a kink around the current endowment level these results which clearly contradict closely held economic doctrines have led some influential commentators to call for an entirely new economic paradigm to displace conventional neoclassical theory e g prospect theory which invokes psychological effects this paper pits neoclassical theory against prospect theory by investigating data drawn from more than 375 subjects actively participating in a well functioning marketplace the pattern of results suggests that prospect theory adequately organizes behavior among inexperienced consumers but consumers with intense market experience behave largely in accordance with neoclassical predictions moreover the data are consistent with the notion that consumers learn to overcome the endowment effect in situations beyond specific problems they have previously encountered this transference of behavior across domains has important implications in both a positive and normative sense

examining trends of criteria air pollutants are the effects of governmental intervention transitory despite its growth in other areas of economics time series econometric methods have not beenwidespread in the area of environmental andresource economics we illustrate one use oftime series methods by examining the time pathof us nitrogen oxide nox emission dataover the period 1900 1994 the analysishighlights that proper time series methods canaid in optimal regulatory policy as well asdeveloping empirical verification of theoriesput forth to explain economic phenomena inaddition several interesting results emerge first we find that the emissions seriescontains both a permanent and random component second if one attributed all of the emissionsreductions to regulatory policy interventionanalysis suggests that the 1970 clean air act caa did not merely have transitory effects but permanently influenced the noxemission path in terms of total regulatoryimpact an upper bound on the emissions saveddue to the 1970 caa is in the range of27 48

a general equilibrium impact study of the emissions reduction fund in australia by using a national environmental and economic model abstract several climate change policies such as emissions trading schemes and carbon taxes have been implemented in many countries and regions around the world however the current coalition government in australia does not prefer such methods and has argued that these policies would substantially increase the electricity price and weaken the australian competitiveness and the whole economy subsequently the government replaced the carbon tax policy in july 2014 with its emissions reduction fund which fundamentally uses the government budget of a 2 55 billion to buy emission abatements from polluters there are major arguments among the australian public about the efficiency and the effects of this approach but the economic effects are still unidentified this study aims to examine the economy wide effects of this policy on the australian economy by employing a national environmental and economic general equilibrium model so that australians and international audience would be aware of the impacts and how the reverse auction and carbon subsidy work as a policy to reduce emissions at large scales across all sectors in a country results show that australia only experiences relatively small impact on its economy real gdp only declines by 0 3 0 4 over all scenarios industrial and private sectors also experience relatively small unfavourable impacts but the output and export level of the agricultural commodity will decline substantially the renewable sectors are expanded to compensate output reductions in fossil fuel electricity generation sectors though the expansion is insufficient to compensate for the losses

a theory of commodity price fluctuations this paper studies the price fluctuations of storable commodities that are traded in open markets and are subject to random shocks to demand or more particularly to supply it relaxes the common assumption that the shocks are identically and independently distributed in favor of temporally dependent and periodic disturbances the existence of a unique stationary rational expectations equilibrium is demonstrated for each of the models analyzed and testable implications of the models are derived an illustrative empirical investigation is then undertaken for the model with periodic disturbances using monthly time series observations for seven commodities over the period 1960 93

informational cascades a mirage abstract experimental research found contradictory results regarding the occurrence of informational cascades whereas anderson and holt anderson l r holt c a 1997 information cascades in the laboratory the american economic review 87 847 862 confirmed the model of banerjee banerjee a v 1992 a simple model of herd behavior the quarterly journal of economics 107 797 817 and bikhchandani et al bikhchandani s hishleifer d welch i 1992 a theory of fads fashion custom and cultural change as informational cascades journal of political economy 100 992 1026 through lab tests huck and oechssler huck s oechssler j 2000 informational cascades in the laboratory do they occur for the right reasons journal of economic psychology 21 661 671 came to contradictory results on crucial issues this article presents experimental evidence supporting further doubts concerning bayesian informational cascades just under two thirds of all decisions are characterized by an excessive orientation towards the private signal and only a small number of the subjects

coordinated investing with feedback and learning this paper introduces assets for which the intrinsic value is endogenous to the amount of funding attracted a rational expectations equilibrium is developed additionally simulations of the model based on bounded rationality explore the different market behavior under fundamental and momentum based investing strategies both strategies produce herding characteristics the herding under the fundamental strategy approximates the optimal investing of a rational central planner the momentum strategy results in suboptimal economic development

modelling soybean prices in a changing policy environment accurate forecasts of commodity prices are an important ingredient in the policy formation process a commodity price forecasting procedure used routinely by the us department of agriculture in their policy and market analysis activities is a simple linear reduced form regression model that predicts season average farm prices safp using policy variables and the ratio of total ending stocks to use this approach is extended to the soybean safp to estimate a benchmark model using annual data also several specification issues related to this estimation framework are addressed evaluation suggests that the standard forecasting procedure may be affected by the fact that the ratio of stocks to use is endogenous to prices in addition important structural changes are revealed in these relationships over time a model is then considered that allows parameters to shift gradually improvements in the accuracy of model forecasts allowed by this parameter switching technique are identified and discussed in add

does speculation in the oil market drive investor herding in emerging stock markets abstract this paper examines whether the time variation in the level of investor herding in the stock markets of major oil exporting nations relates to speculation and volatility in the global oil market we find that speculative activities in the oil market rather than oil price movements are positively correlated with anti herding in the stock markets of major exporters we argue that traders take the speculative signals from the oil market as a sign of positive expectations and try to generate superior profits by going against the crowd in their local market while this pattern largely holds during calm low volatility market periods we also find that significant herd behavior takes place during high volatility or crisis periods the findings suggest that policy makers who are concerned about stability in their stock markets should monitor measures of speculative activities in the energy market in order to model and monitor volatility and or risk transmissions into their markets

how carbon offsetting scheme impacts the duopoly output in production and abatement analysis in the context of carbon cap and trade abstract in the context of addressing climate change the carbon emission trading scheme has become one of the main measures adopted by many countries and regions to achieve emission reduction goals noticing this current lack of research based on a duopoly model this paper quantitatively explores the impact of carbon offsetting scheme on both emission trading participants profits and industry s output by drawing on advanced experience of carbon offsetting scheme from developed countries such as us switzerland and eu and thus provides a perspective for government to design optimal aggregate standard for carbon cap and trade results show a negative correlation between enterprises carbon intensity and their equilibrium output in the product market and indicate a threshold for the relative magnitude of the duopoly enterprises carbon intensity above which their absolute output will differ dramatically the incorporation of carbon offsetting scheme into a non offset quota trading scheme will reduce its equilibrium carbon price thereby mitigate its negative impact on industry s total output in the product market by an either linear or quadratic form depending on the design for the proportion ceiling of offsetting quota

triggers and barriers to energy efficiency measures in the ceramic cement and lime sectors evaluating and understanding the interplay of barriers to the diffusion of energy efficiency measures is highly relevant because if policies are effective in overcoming these barriers co2 emissions can be decreased at low cost the study aims to understand how managers make decisions to invest in energy efficiency how perceived barriers affect these decisions and how policy can overcome these barriers we apply neo classical economic theory as well as insights from transaction cost economics and behavioural economics to understand why hurdle rates even when omitted costs and risk are taken into account are higher than the weighted average cost of capital we find that internal capital budgeting rules and the effort of studying technical feasibility and profitability are relevant to understanding the efficiency gap the results indicate that the voluntary agreement and the emission trading scheme are complementary addressing different barriers in different contexts

a model of commodity prices after sir arthur lewis we develop an idea from arthur lewis paper on unlimited supplies of labor to model the longrun behavior of the prices of primary commodity produced by poor countries commodity supply is assumed infinitely elastic in the long run and the rate of growth of supply responds to the excess of the current price over the long run supply price demand is linked to the level of world income and to the price of the commodity so that price is stationary around its supply price and commodity supply and world income are cointegrated the model is fitted to long run historical data d 2003 elsevier science b v all rights reserved

the effect of allocation above emissions and price uncertainty on abatement investments under the eu ets abstract the european union emission trading scheme eu ets by far the largest in its kind has inspired several other carbon markets in the world based on interviews with plant managers from almost all belgian ceramics lime and cement producers this study describes how manager s perceptions on emission trading affected investment decisions in line with behavioural economics reference dependence is found to explain why free allocation below emissions creates a greater incentive to abatement investment compared to allocation above emissions in the ceramics sector allocation above emissions refrained managers from including carbon gains in payback times this contradicts the famous coase theorem which predicts that free allocation has no effect on abatement incentives the results indicate that auctioning part of the emission rights will reduce barriers to abatement investment carbon price uncertainty is seen as a disincentive for abatement investment by some managers and as an incentive by others intermediate levels of uncertainty add option value to abatement investments because the associated gradual learning adds flexibility in an uncertain carbon constrained future however high levels of uncertainty creating a risk of offshoring even when companies innovate creates an option value to postpone abatement investments narrow framing misperceiving the risk hedging counter cyclicality of carbon costs reinforces the option value to wait therefore policy should aim to reduce price uncertainty for very low and very high carbon prices not for an intermediary price range

following the pied piper do individual returns herd around the market do equity returns indicate the presence of herd behavior on the part of investors during periods of market stress to test this proposition the cross sectional standard deviation of returns or dispersion is used to capture herd behavior when individual returns herd around the market consensus dispersions are predicted to be relatively low in contrast rational asset pricing models predict an increase in dispersion because individual returns are repelled away from the market return when stocks differ in their sensitivity to market movements the results for both daily and monthly returns are inconsistent with the presence of herding during periods of large price movements for example during extreme down markets when herding is expected to be most prevalent the magnitude of the increase in the dispersion of actual returns is mirrored by the increase in the dispersion of predicted returns that are estimated from a rational asset pricing model

herding behaviour and the declining value relevance of accounting information evidence from an emerging stock market abstractthis article sheds light on the underlying mechanisms behind the changes in the value relevance of accounting information in the karachi stock exchange kse during the 1999 2010 period we find that neither changes in earnings quality nor the earnings lack of timeliness hypothesis can explain the decline in the value relevance of accounting information in the kse based on the stylized facts associated with the growth of the kse and the broader economics literature we argue that the reduction in the explanatory power of accounting information vis a vis stock returns was caused by herding behaviour empirical estimates from state space model of herding behaviour confirm the existence of herding and we find that the value relevance of accounting information is significantly lower in periods characterized by herding behaviour this article is also amongst the first attempts to empirically demonstrate that an expansionary monetary policy and increases in foreign portfolio investment lead to increas

renewable energy technologies as beacon of cleaner production a real options valuation analysis for liberia abstract the importance of energy consumption for growth and development calls for improved decision support for a sustainable energy transition given africa s dependence on fossil fuels the economic and environmental savings from research development and deployment of renewable energy technologies may be substantial although the benefits of renewable energy technologies research development funding may appear to be low assuming immediate deployment the uncertainty in the non renewable energy price and the flexibility over timing makes research development program more appealing this study develops different scenarios in order to quantify benefits provided by research development funding for renewable power generation in liberia by using real options pricing approach to estimate the value of renewable energy technologies while taking into account the uncertainty of fossil fuel prices and learning by doing in renewable energy technologies the optimal solution shows that renewable energy technologies are economically attractive especially when external costs are internalized however annual research development funding is low and should be raised significantly in order to guarantee the highest possible investment incentives with minimal expenditures the study also hypothesizes that with the likelihood of renewable energy to replace non renewable energy renewable power use in liberia can potentially reduce carbon dioxide emissions by approximately 13 9 by 2015 compared to the 2008 levels the key insight provided by the real options analysis in this study is that while renewable energy may have inherent limitations such as seasonality of supply low energy content and capacity factor issues they still hold a significant amount of value which can only be detected when externalities are internalized thus underscoring the need for external costs related policies

uncertainty loss aversion and markets for energy efficiency increasing energy efficiency is critical to mitigating greenhouse gas emissions from fossil fuel combustion reducing oil dependence and achieving a sustainable global energy system the tendency of markets to neglect apparently cost effective energy efficiency options has been called the efficiency gap or energy paradox the market for energy efficiency in new energy using durable goods however appears to have a bias that leads to undervaluation of future energy savings relative to their expected value this paper argues that the bias is chiefly produced by the combination of substantial uncertainty about the net value of future fuel savings and the loss aversion of typical consumers this framework relies on the theory of context dependent preferences the uncertainty loss aversion bias against energy efficiency is quantifiable making it potentially correctible by policy measures the welfare economics of such policies remains unresolved data on the costs of increased fuel economy of new passenger cars taken from a national research council study illustrate how an apparently cost effective increase in energy efficiency would be uninteresting to loss averse consumers

oil price forecasting under asymmetric loss based on the approach developed by elliott et al 2005 we found that the loss function of a sample of oil price forecasters is asymmetric in the forecast error our findings indicate that the loss oil price forecasters incurred when their forecasts exceeded the price of oil tended to be larger than the loss they incurred when their forecast fell short of the price of oil accounting for the asymmetry of the loss function does not necessarily make forecasts look rational

the excess co movement of commodity prices reconsidered this paper provides an empirical reconsideration of evidence for excess co movement of commodity prices within the framework of univariate and multivariate garch 1 1 models alternative formulations of zero excess co movement are provided and corresponding score and likelihood ratio tests are developed monthly time series data for two sample periods 1960 85 and 1974 92 on up to nine commodities are used in contrast to earlier work only weak evidence of excess co movement is found

endogenous public information and welfare in market games this paper performs a welfare analysis of markets with private information in which agents can condition on noisy prices in the rational expectations tradition pricecontingent strategies introduce two externalities in the use of private information a payoff pecuniary externality related to aggregate volatility and a learning externality the impact of the first depends on whether competition is of the strategic substitutes or complements variety and the second induces agents to put too little weight on private information we find that with strategic substitutes and when the learning externality is not very strong agents put too much weight on private information and prices are too informative this will happen in the normal case where the allocational role of price prevails over its informational role under strategic complementarity there is always under reliance on private information the welfare loss at the market solution may be increasing in the precision of private information the analysis provides insights into optimal business cycle policy and a rationale for a tobin like tax for speculators in financial markets

the effect of futures markets and corners on storage and spot price variability when a futures market is introduced the volume of storage should become more sensitive to changes in the return to storage the increase in storage sensitivity means that storage will absorb a larger proportion of demand and supply shocks than it did previously reducing spot price volatility data from the chicago board of trade support the hypotheses of increased storage sensitivity and reduced spot price volatility the effect of futures on spot price volatility is sensitive to the competitive structure of the futures market futures market manipulation causes spot price variance to increase despite manipulation the development of the wheat futures market caused the coefficient of variation of spot price to decline significantly

dynamic spillover between commodities and commodity currencies during united states q e abstract this paper comprehensively discusses the dynamic relationship between commodities and commodity currencies particularly during the u s quantitative easing qes by integrating the generalized spillover index into a fractionally integrated var fivar model our empirical analyses reach the following conclusions first the static return and volatility spillovers analyses show that the food is the only net receiver among all the commodity price indices second the dynamic total return and volatility spillover accelerated growth in term of the index by roughly between 15 and 25 for four regional groups during the initiation of the qe1 and subsequently remained across the first two rounds of the u s qe nevertheless both the total return and volatility spillover declined in the midst of the qe3 as the u s federal reserve signaled the qe tapering due to the anticipated u s economic recovery third the energy and metals components were the largest net transmitters of return and volatility spillovers during the u s qes a possible interpretation is that demand for energy and metals increase associated with an increase in economic activity that is triggered by the u s qes last almost all the sample commodity currencies acted as net receivers of return and volatility spillovers during the u s qes supporting the pass through of commodities to commodity currencies

the impact of exchange rates and developing country debt on commodity prices a major feature of the international economy over the past decade has been the swings in the value of the us dollar the dollar fell to a historically low level in the late i970s but rose sharply over the period i982 4 by the beginning of i985 the dollar was generally considered to be over valued by between 2o and 40 since i985 there has been a depreciation of over one third these wide fluctuations in the value of the dollar have had implications for all major traded goods this paper focuses on the effects of changes in the value of the dollar on primary commodity prices and possible interactions between ldc indebtedness and these effects a rise fall in the value of the dollar must be expected to result in a fall rise in dollar commodity prices ridler and yandle i972 proposed a simple comparative static single commodity model to analyse the effects of exchange rate changes on the price of an individual primary commodity they showed that the commodity price change would be given by the change in an appropriately weighted exchange rate index write the price of commodityj as

why bank credit policies fluctuate a theory and some evidence in a rational profit maximizing world banks should msdntain a credit policy of lending if and only if borrowers have positive net present value projects why then are changes in credit policy seemingly correlated with changes in the condition of those demanding credit this paper argues that rational bank managers with short horizons will set credit policies that influence and are influenced by other banks and demand side conditions this leads to a theory of low frequency business cycles driven by bank credit policies evidence from the banking crisis in new england in the early 1990s is consistent with the assumptions and predictions of the theory

how china s current carbon trading policy affects carbon price an investigation of the shanghai emission trading scheme pilot abstract to better establish a unified carbon market in china this study evaluates the effect of current carbon trading policy and further investigates the relationship between such policy that is published during the second phase of shanghai environment and energy exchange seee and shanghai emission allowance shea price we aim to analyze whether these policies can improve the operation efficiency of current carbon market by the mean reversion test cox ingersoll ross cir model and event study method we first analyze the potential price discovery function of shea products thereby describing the transmission channel of current policy to shea price then we examine the effect of carbon policies published in different periods on their corresponding shea price by the auto correlation test and cir simulation we find that 3 4 of all auto correlation values are less than 0 after apr 2017 and the minimum cumulative error is 31 3792 under the supply and demand channel these findings imply that shea price has the discovery function at the middle and end of trading period and the current policy affects shea price through its effect on the fundamentals of supply and demand further more than 60 of all r values r value that reflects the response of price to policy are less than 1 which implies that the published policy will improves future shea price accordingly we argue that seee belongs to a policy oriented market and the change of carbon price is closely related to emission allocation policies in this case china s government should further push forward the smooth operation of current carbon market by the aid of incentive policy in the coming period

econometric modelling of non ferrous metal prices abstract this article evaluates the significance of the empirical models and the distributional properties of prices in non ferrous metal spots and futures markets published in leading refereed economics and finance journals between 1980 and 2002 the survey focuses on econometric analyses of pricing and return models applied to exchange based spot and futures markets for the main industrially used non ferrous metals namely aluminium copper lead nickel tin and zinc published empirical research is evaluated in the light of the type of contract examined frequency of data used choice of both dependent and explanatory variables use of proxy variables type of model chosen economic hypotheses tested methods of estimation and calculation of ses for inference reported descriptive statistics use of diagnostic tests of auxiliary assumptions use of nested and non nested tests use of information criteria and empirical implications for non ferrous metals