a semiparametric approach to short term oil price forecasting abstract in this paper it is shown how the garch properties of oil price changes can be employed to forecast the oil price distribution over short term horizons the forecasting methodology is semiparametric and it is based on the bootstrap approach the results of an out of sample forecasting exercise carried out using the brent oil price series suggest that the forecasting approach can be used to obtain a performance measure for the forward price in addition to compute interval forecasts for the oil price

an empirical exploration of the world oil price under the target zone model abstract this paper investigates the behavior of the world oil price based on the first generation target zone model using anecdotal data during the period of 1988 1999 we found that opec has tried to maintain a weak target zone regime for the oil price our econometric tests suggest that the movement of the oil price is not only manipulated by actual and substantial interventions by opec but also tempered by market participants expectations of interventions as a consequence the non linear model based on the target zone theory has very good forecasting ability when the oil price approaches the upper or lower limit of the band

answering the skeptics yes standard volatility models do provide accurate forecasts a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using arch and stochastic volatility models while most of these studies have documented highly significant in sample parameter estimates and pronounced intertemporal volatility persistence traditional ex post forecast evaluation criteria suggest that the models provide seemingly poor volatility forecasts contrary to this contention we show that volatility models produce strikingly accurate interdaily forecasts for the latent volatility factor that would be of interest in most financial applications new methods for improved ex post interdaily volatility measurements based on high frequency intradaily data are also discussed

the pricing of options on assets with stochastic volatilities one option pricing problem that has hitherto been unsolved is the pricing of a european call on an asset that has a stochastic volatility this paper examines this problem the option price is determined in series form for the case in which the stochastic volatility is independent of the stock price numerical solutions are also produced for the case in which the volatility is correlated with the stock price it is found that the black scholes price frequently overprices options and that the degree of overpricing increases with the time to maturity one option pricing problem that has hitherto remained unsolved is the pricing of a european call on a stock that has a stochastic volatility from the work of merton 12 garman 6 and cox ingersoll and ross 3 the differential equation that the option must satisfy is known the solution of this differential equation is independent of risk preferences if a the volatility is a traded asset or b the volatility is uncorrelated with aggregate consumption if either of these conditions holds the risk neutral valuation arguments of cox and ross 4 can be used in a straightfoward way this paper produces a solution in series form for the situation in which the stock price is instantaneously uncorrelated with the volatility we do not assume that the volatility is a traded asset also a constant correlation between the instantaneous rate of change of the volatility and the rate of change of aggregate consumption can be accommodated the option price is lower than the blackscholes b s 1 price when the option is close to being at the money and higher when it is deep in or deep out of the money the exercise prices for which overpricing by b s takes place are within about ten percent of the security price this is the range of exercise prices over which most option trading takes place so we may in general expect the b s price to overprice options this effect is exaggerated as the time to maturity increases one of the most surprising implications of this is that if the b s equation is used to determine the implied volatility of a near the money option the longer the time to maturity the lower the implied volatility numerical solutions for the case in which the volatility is correlated with the stock price are also examined the stochastic volatility problem has been examined by merton 13 geske 7 johnson 10 johnson and shanno 11 eisenberg 5 wiggins 16 and

international evidence on crude oil price dynamics applications of arima garch models abstract we examine the usefulness of several arima garch models for modeling and forecasting the conditional mean and volatility of weekly crude oil spot prices in eleven international markets over the 1 2 1997 10 3 2009 period in particular we investigate the out of sample forecasting performance of four volatility models garch egarch and aparch and figarch over january 2009 to october 2009 forecasting results are somewhat mixed but in most cases the aparch model outperforms the others also conditional standard deviation captures the volatility in oil returns better than the traditional conditional variance finally shocks to conditional volatility dissipate at an exponential rate which is consistent with the covariance stationary garch models than the slow hyperbolic rate implied by the figarch alternative

does a common set of accounting standards affect tax motivated income shifting for multinational firms abstract i test whether adoption of ifrs by individual affiliates of multinational entities mnes for unconsolidated financial reporting facilitates tax motivated income shifting mnes often justify transfer prices to tax authorities by benchmarking intercompany profit allocations against a range of book profit rates reported by economically comparable independent firms that use similar accounting standards additional qualifying benchmark firms resulting from ifrs adoption could allow managers to support more tax advantaged transfer prices using a database of european unconsolidated financial and ownership information over 2003 2012 i first document an increase in the arm s length range of book profits reported by potential ifrs benchmark firms following affiliate adoption of ifrs i then estimate a statistically and economically significant 11 3 percent tax motivated change in reported book pre tax profits following affiliate ifrs adoption relative to pre adoption and non adopter affiliate years

volatility forecasting with range based egarch models we provide a simple yet highly effective framework for forecasting return volatility by combining exponential generalized autoregressive conditional heteroscedasticity models with data on the range using standard and poor s 500 index data for 1983 2004 we demonstrate the importance of a long memory specification based on either a two factor structure or fractional integration that allows for some asymmetry between market returns and volatility innovations out of sample forecasts reinforce the value of both this specification and the use of range data in the estimation we find substantial forecastability of volatility as far as 1 year from the end of the estimation period contradicting the return based conclusions of west and cho and of christoffersen and diebold that predicting volatility is possible only for short horizons

cross jurisdictional income shifting and earnings valuation this research investigates the extent to which u s multinational enterprises mnes engage in tax motivated income shifting between the u s and foreign jurisdictions and whether investors differentially capitalize shifted income based on its true source or its reported source we find evidence that u s mnes facing foreign tax rates that on average exceed the u s statutory tax rate shift taxable income into the united states and that investors recognize firms income shifting patterns when valuing the foreign versus domestic components of reported earnings we examine u s multinational manufacturing companies from 1984 to 1992 to determine the cross sectional relation between firm level foreign profit margins and average foreign tax rates if u s mnes respond to high low foreign tax rates by shifting income into out of the united states then ceteris paribus we expect a negative relation between foreign profit margins and average foreign tax rates in addition

modelling the efficiency of the canadian foreign exchange market a bivariate transfer function analysis the efficient market hypothesis for the canadian foreign exchange market is tested using monthly data on spot and forward exchange rates from january 1973 to october 1995 unlike most previous studies we have estimated a transfer function model which combines the results of the univariate time series models with those of the regression model following the convention equations derived from the market efficiency models have been used in both level and change specifications like many previous studies the results from the transfer function model have failed to provide evidence in support of the efficient market hypothesis these findings suggest that significant arbitraging opportunities existed in the canadian foreign during the period under study

computable general equilibrium model analysis of economywide cross effects of social and environmental policies in chile abstract the analysis of the linkages between development policies and social and environmental variables is a neglected area within the development literature this paper focuses on the key interrelations among the economic social and environmental elements of the sustainable development triangle a thorough review is undertaken of both social and environmental policies in chile underlining important economic growth and reforms using the static cge model ecogem chile the economywide impacts of several environmental social and combined policies are simulated for the chilean economy six different policies are simulated three environmental policies that impose different taxes on pm10 so 2 and no 2 emissions respectively the same tax on pm10 in a context of high unemployment one social policy that increases government transfers to households and a mixed social environmental policy package where the environmental tax on pm10 and the social transfer policy are simulated simultaneously the results show that environmental tax policies may have negative social effects using real disposable income by quintiles as proxy the impacts depend on the use of the new revenues and the status of employment taxing pm10 emission yields better environmental results than taxing so 2 and no 2 social policies do not show negative environmental impacts combined environmental and social policies improve results thus specific compensating social policies would improve environmental policy acceptance while also reducing poverty or strong income distribution disparities the evidence suggests that environmental policies may have social impacts but not vice versa the results show that the ecogem chile model is useful for analyzing systematically and holistically different economywide policies and their impact on the chilean economy winners and losers may be identified as well as the potential magnitude of gains and losses the results obtained are not all straightforward due to indirect effects

deforestation in the brazilian amazon comparing the impacts of macroeconomic shocks land tenure and technological change the paper examines the current relevance of the set of variables reported in the literature as driving deforestation in the brazilian amazon the analysis uses a computable general equilibrium cge model adapted to capture regional economic structures and the environmental processes specific to tropical areas the paper compares the impact on deforestation in the brazilian amazon of changes in real exchange rate modifications in agricultural tax and support policies reductions in transportation costs arising from investment in infrastructure in the amazon changes in land tenure regimes and technological change in agriculture affecting productivity and agronomic sustainability

comparison of historically simulated var evidence from oil prices abstract cabedo and moya cabedo j d moya i 2003 estimating oil price value at risk using the historical simulation approach energy economics 25 239 253 find that arma with historical simulation delivers var forecasts that are superior to those from garch we compare the arma with historical simulation to the semi parametric garch model proposed by barone adesi et al barone adesi g giannopoulos k vosper l 1999 var without correlations for portfolios of derivative securities journal of futures markets 19 5 583 602 the results suggest that the semi parametric garch model generates var forecasts that are superior to the var forecasts from the arma with historical simulation this is due to the fact that garch captures volatility clustering our findings suggest that cabedo and moya s conclusion is mainly driven by the normal distributional assumption imposed on the future risk structure in the garch model

corporate multistate tax planning benefits of multiple jurisdictions abstract we investigate how firms use differences in state income tax regimes to lower their state tax burdens we develop a model that predicts that firms state effective tax rates first decrease then increase as a function of the number of states in which they file returns using firm level data we find evidence consistent with the model s predictions and we estimate that such rates are minimized at 24 states consistent with predictions from prior literature our evidence also suggests that firms use sales factor apportionment to reduce state tax burdens

pricing options under generalized garch and stochastic volatility processes in this paper we develop an efficient lattice algorithm to price european and american options under discrete time garch processes we show that this algorithm is easily extended to price options under generalized garch processes with many of the existing stochastic volatility bivariate diffusion models appearing as limiting cases we establish one unifying algorithm that can price options under almost all existing garch specifications as well as under a large family of bivariate diffusions in which volatility follows its own perhaps correlated process through an equilibrium argument duan 1995 shows that options can be priced when the dynamics for the price of the underlying instrument follows a general autoregressive conditionally heteroskedastic garch process the theory of pricing under such processes is now well understood however the design of efficient numerical procedures for pricing them is lacking most applications resort to large sample simulation methods with a variety of variance reduction techniques the complexity of pricing arises from the massive path dependence inherent in garch models this path dependence causes typical lattice based procedures to grow exponentially in the number of time increments the lack of efficient numerical schemes hinders empirical tests among the wide array of competing garch models most tests of garch models limit themselves to the use of high frequency data on spot assets with little attention placed on the information content of options 1

the extreme value in crude oil and us dollar markets abstract this study constructs a flexible range based volatility model by considering extreme value information to explore the volatility and dependence structures between the oil price and the us dollar exchange rate an asset allocation strategy is implemented to evaluate the economic value and confirm the efficiency of this model the empirical results indicate that the use of extreme value information can not only enhance the explanatory power of volatility structures but also sort out the asymmetric volatility effect in the oil market besides investors can obtain extra benefits of between 72 and 713 annualized basis points by incorporating extreme value information into their asset allocation strategies less risk averse investors can generate higher benefits the empirical results have potentially important implications for asset allocation and risk management

global organizations and taxes an analysis of the dividend interest royalty and management fee payments between u s multinationals foreign affiliates abstract we examine the effects of taxes on cross border dividend interest royalty and management fee payments between foreign affiliates of u s multinationals using 1990 tax return information on transfers totaling 22 8 billion and spanning 71 countries we find dividend royalty and sometimes interest payments between foreign affiliates are negatively correlated with the net tax levied on cross border transfers we find no evidence management fees are structured to mitigate non u s taxes thus taxes affect the location of the supplier and the terms of the contracts for the provision of equity and intangible capital within the worldwide organization

toward efficiency in the crude oil market the official opec prices of crude oil before the collapse in the oil market in the mid 1980s can be interpreted as contract prices and analysed on the basis of the theory of futures or forward markets this paper uses the generalized method of moments estimation technique to test for efficiency in the relationship between the official prices and the ex post spot prices at the time of delivery efficiency is rejected for the sample period 1978 1985 as a whole but evidence is found of improvements over time further the gmm wald and hansen tests although asymptotically equivalent are shown to differ greatly when applied to a small sample of monthly oil price data

explaining international stock correlations with cpi fluctuations and market volatility this paper investigates the dynamic correlations among six international stock market indices and their relationship to inflation fluctuation and market volatility the current research uses a newly developed time series model the double smooth transition conditional correlation with conditional auto regressive range dstcc carr model findings reveal that international stock correlations are significantly time varying and the evolution among them is related to cyclical fluctuations of inflation rates and stock volatility the higher lower correlations emerge between countries when both countries experience a contractionary expansionary phase or higher lower volatilities

state and provincial corporate tax planning income shifting and sales apportionment factor management abstract we empirically document a strategy through which corporations avoid state income taxes examining aggregated american state and canadian provincial data from 1983 1991 we find corporate income tax revenues are concave in corporate tax rates consistent with firms shifting their tax bases to more favourably taxed jurisdictions additional tests exploit unique features of state formula apportionment systems and find manufacturing shipments from states that tax outside their borders throwback states are decreasing in corporate income tax rates on sales

forecasting financial volatilities with extreme values the conditional autoregressive range carr model we propose a dynamic model for the high low range of asset prices within fixed time intervals the conditional autoregressive range model henceforth carr the evolution of the conditional range is specified in a fashion similar to the conditional variance models as in garch and is very similar to the autoregressive conditional duration acd model of engle and russell 1998 extreme value theories imply that the range is an efficient estimator of the local volatility e g parkinson 1980 hence carr can be viewed as a model of volatility out of sample volatility forecasts using the s p500 index data show that the carr model does provide sharper volatility estimates compared with a standard garch model

measuring and testing the long term impact of terrorist attacks on the us futures market this article investigates the long term impact of the 11 september 2001 terrorist attacks on the maturity volume and open interest effects for the s p 500 index futures contracts adopting chou 2005a b s range based volatility models this article provides a number of interesting results for the maturity effect we find evidence for a very weak presence in the pre 9 11 period and no presence in the post 9 11 period indicating that the maturity effect vanishes completely following the event of 9 11 despite a strong presence of the volume effect in both periods we detect a relative decrease in the presence during the post 9 11 period the open interest effect shows a very weak presence during the pre 9 11 period and a strong presence during the post 9 11 period indicating a stronger open interest effect following the event of 9 11 furthermore we show that there is a bi directional causality relationship between futures volatility and trading volume during the pre 9 11 period and that the causali

volatility persistence and stock valuations some empirical evidence using garch summary in this paper issues of volatility persistence and the changing risk premium in the stock market are investigated using the garch estimation technique we get a point estimate of the index of relative risk aversion of 4 5 and confirm the existence of changing equity premiums in the us during 1962 1985 the persistence of shocks to the stock return volatility is so high that the data cannot reject a non stationary volatility process specification the results of this paper are consistent with malkiel and pindyck s hypothesis that it is the unforseen rise ini the investment uncertainty during 1974 that causes the market to plunge

a nonparametric garch model of crude oil price return volatility the use of parametric garch models to characterise crude oil price volatility is widely observed in the empirical literature in this paper we consider an alternative approach involving nonparametric method to model and forecast oil price return volatility focusing on two crude oil markets brent and west texas intermediate wti we show that the out of sample volatility forecast of the nonparametric garch model yields superior performance relative to an extensive class of parametric garch models these results are supported by the use of robust loss functions and the hansen s 2005 superior predictive ability test the improvement in forecasting accuracy of oil price return volatility based on the nonparametric garch model suggests that this method offers an attractive and viable alternative to the commonly used parametric garch models

agricultural expansion and deforestation modelling the impact of population market forces and property rights abstract this paper compares four different modelling approaches to agricultural expansion and deforestation and explores the implications of assumptions about the household objectives the labour market and the property rights regime a major distinction is made between population and market based explanations many of the popular policy prescriptions are based on the population approach assuming subsistence behaviour and limited market integration within a more realistic particularly for the long term effects market approach well intentioned policies such as agricultural intensification programmes may boost deforestation many forest frontier contexts are also characterized by forest clearing giving farmers land rights deforestation becomes an investment to the farmer and a title establishment strategy land titling and credit programmes may therefore increase deforestation

using daily range data to calibrate volatility diffusions and extract the forward integrated variance a common model for security price dynamics is the continuous time stochastic volatility model for this model hull and white 1987 show that the price of a derivative claim is the conditional expectation of the black scholes price with the forward integrated variance replacing the black scholes variance implementing the hull and white characteriza tion requires both estimates of the price dynamics and the conditional distribution of the forward integrated variance given observed variables using daily data on close to close price movement and the daily range we find that standard models do not fit the data very well and that a more general three factor model does better as it mimics the long memory feature of financial volatility we develop techniques for estimating the conditional distribution of the forward integrated variance given observed variables i introduction

consequences of a food security strategy for economic welfare income distribution and land degradation the philippine case like many developing countries the philippines pursues a food security strategy in which self sufficiency and price stabilization feature prominently in addition to their widely debated welfare effects food policies based on price and trade restrictions may also accelerate land degradation by promoting expansion of relatively erosive grain crops the paper explores the welfare and environmental implications of food policies first with a simple heuristic model then with an applied general equilibrium model comparing market restrictions with technical progress as alternative food policy strategies the authors find that the former increase land degradation and reduce welfare moreover anti poverty and distributional benefits often claimed for such interventions may be illusory

a cyclical model of exchange rate volatility abstract in this paper we investigate the long run dynamics of the intraday range of the gbp usd jpy usd and chf usd exchange rates we use a non parametric filter to extract the low frequency component of the intraday range and model the cyclical deviation of the range from the long run trend as a stationary autoregressive process we use the cyclical volatility model to generate out of sample forecasts of exchange rate volatility for horizons of up to 1 year under the assumption that the long run trend is fully persistent as a benchmark we compare the forecasts of the cyclical volatility model with those of the range based egarch and fiegarch models of brandt and jones 2006 not only does the cyclical volatility model provide a very substantial computational advantage over the egarch and fiegarch models but it also offers an improvement in out of sample forecast performance

socially optimal forestry abstract the faustmann rule is the major contribution of economic theory to the analysis of forestry management it is typical to consider the faustmann rule in the context of a model of a forestry firm in which there is some periodicity in the rate of harvesting over time this paper on the other hand shows the faustmann rule to be associated with socially optimal sustained yield or steady state regimes in the course of so doing attention is placed on the role of the shadow price of a tree in the determination of an optimal harvesting policy

commodity currencies and commodity prices modelling static and time varying dependence abstractthis article employs the copula approach to study the relationship between exchange rates and commodity prices for large commodity exporters using data for the nominal exchange rates of four commodity currencies australian canadian and new zealand dollars and norwegian krone against the us dollar and the relevant country specific commodity price indices constructed on a daily basis we find 1 a positive dependence between the values of commodity currencies and commodity indices i e a commodity index increases when a respective currency appreciates and provides several explanations for this finding 2 no major asymmetries in the tail dependence for most pairs of exchange rates and commodity indices and 3 a pronounced increase in the time varying tail dependence following the global financial crisis

volatility in crude oil futures a comparison of the predictive ability of garch and implied volatility models the wti future contract quoted at the nymex is the most actively traded instrument in the energy sector this paper compares the predictive ability of two approaches which can be used to forecast volatility garch type models where forecasts are obtained after estimating time series models and an implied volatility model where forecasts are obtained by inverting one of the models used to price options although the main scope of the research discussed here is to evaluate which model produces the best forecast of volatility for the wti future contract evaluated according to statistical and regression based criteria we also investigate whether volatility of the oil futures are affected by asymmetric effects whether parameters of the garch models are influenced by the distribution of the errors and whether allowing for a time varying long run mean in the volatility produces any improvement on the forecast obtained from garch models

geographic income shifting by multinational corporations in response to tax rate changes we investigate geographic income shifting by 191 u s multinational corporations in response to worldwide changes in tax rates during 1984 90 between 1984 and 1986 the united kingdom reduced corporate tax rates from a maximum of 45 to 35 and in 1985 france reduced rates from 50 to 45 following these reductions in european rates the united states reduced top corporate tax rates from 46 to 34 between 1986 and 1988 canadian rates increased between 1984 and 1986 and then decreased through 1989 beginning in 1988 numerous countries enacted tax cuts apparently in response to those that occurred earlier in other countries as discussed in section 3 differential changes in tax rates provide incentives for geographic income shifting by multinational firms we identify two subperiods during 1984 90 in which relative tax rate changes

how does germany s green energy policy affect electricity market volatility an application of conditional autoregressive range models abstract based on a dynamic model for the high low range of electricity prices this article analyses the effects of germany s green energy policy on the volatility of the electricity market using european energy exchange data from 2000 to 2015 we find rather high volatility in the years 2000 2009 but also that the weekly price range has significantly declined in the period following the year 2009 this period is characterised by active regulation under the energy industry law enwg the eu emissions trading directive etd and the renewable energy law eeg in contrast to the preceding period price jumps are smaller and less frequent especially for day time hours implying that current policy measures are effective in promoting renewable energies while simultaneously upholding electricity market stability this is because the regulations strive towards a more and more flexible and market oriented structure which allows better integration of renewable energies and supports an efficient alignment of renewable electricity supply with demand

general equilibrium effects of environmental policy a cge modeling approach estimation of emission control cost functions is often carried out in a partial equilibrium framework i e under the assumption that emission control measures have negligible effects on input and output prices in this paper a computable general equilibrium model is used for simulation of the impact on factor prices and resource allocation of reductions of so infx sup no infx su and co2 emissions thus the model includes markets for tradable emission permits and the equilibrium prices of permits reflect the marginal costs of emission control the results suggest that major emission reductions are likely to have general equilibrium effects and thus that emission control cost functions that fail to take these effects into account may give a distorted picture of the economic impact of emission control

evaluation of electricity saving potential in china s chemical industry based on cointegration new huadu business school ministry of education foundation 10jzd0018 10gbj013 basic research universities special foundation 2010221051 national social science foundation 09zd050

an empirical model of daily highs and lows of west texas intermediate crude oil prices there is a large collection of literature on energy price forecasting but most studies typically use monthly average or close to close daily price data in practice the daily price range constructed from the daily high and low also contains useful information on price volatility and is used frequently in technical analysis the interaction between the daily high and low and the associated daily range has been examined in several recent studies on stock price and exchange rate forecasts the present paper adopts a similar approach to analyze the behaviour of the west texas intermediate wti crude oil price over a ten year period we find that daily highs and lows of the wti oil price are cointegrated with the error correction term being closely approximated by the daily price range two forecasting models one based on a vector error correction mechanism and the other based on a transfer function framework with the range taken as a driver variable are presented for forecasting the daily highs and lows the results show that both of these models offer significant advantages over the naive random walk and univariate arima models in terms of out of sample forecast accuracy a trading strategy that makes use of the daily high and low forecasts is further developed it is found that this strategy generally yields very reasonable trading returns over an evaluation period of about two years

a closed form garch option valuation model this paper develops a closed form option valuation formula for a spot asset whose variance follows a garch p q process that can be correlated with the returns of the spot asset it provides the first readily computed option formula for a random volatility model that can be estimated and implemented solely on the basis of observables the single lag version of this model contains heston s 1993 stochastic volatility model as a continuous time limit empirical analysis on s p500 index options shows that the out of sample valuation errors from the single lag version of the garch model are substantially lower than the ad hoc black scholes model of dumas fleming and whaley 1998 that uses a separate implied volatility for each option to fit to the smirk smile in implied volatilities the garch model remains superior even though the parameters of the garch model are held constant and volatility is filtered from the history of asset prices while the ad hoc black scholes model is updated every period the improvement is largely due to the ability of the garch model to simultaneously capture the correlation of volatility with spot returns and the path dependence in volatility article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

regime switching stochastic volatility evidence from the crude oil market this paper incorporates regime switching into the stochastic volatility sv framework in an attempt to explain the behavior of crude oil prices in order to forecast their volatility more specifically it models the volatility of oil return as a stochastic volatility process whose mean is subject to shifts in regime the shift is governed by a two state first order markov process the bayesian markov chain monte carlo method is used to estimate the models the main findings are first there is clear evidence of regime switching in the oil market ignoring it will lead to a false impression that the volatility is highly persistent and therefore highly predictable second incorporating regime switching into the sv framework significantly enhances the forecasting power of the sv model third the regime switching stochastic volatility model does a good job in capturing major events affecting the oil market

structural adjustment and soil degradation in tanzania a cge model approach with endogenous soil productivity abstract in this paper a model of the nitrogen cycle in the soil is incorporated in a computable general equilibrium cge model of the tanzanian economy thus establishing a two way link between the environment and the economy for a given level of natural soil productivity profit maximising farmers choose input levels and hence production volumes which in turn influence soil productivity in the following years through the recycling of nitrogen from the residues of roots and stover and the degree of erosion the model is used to simulate the effects of typical structural adjustment policies like a reduction in agro chemicals subsidies reduced implicit export tax rate etc after 10 years the result of a joint implementation is a 9 higher gross domestic product gdp level compared to the baseline scenario the effect of soil degradation is found to represent a reduction in the gdp level of more than 5 for the same time period

heteroskedasticity in stock return data volume versus garch effects this paper provides empirical support for the notion that autoregressive conditional heterqskedasticity arch in daily stock return data reflects time dependence in the process generating information flow to the market daily trading volume used as a proxy for information arrival time is shown to have significant explanatory power regarding the variance of daily returns which is an implication of the assumption that daily returns are subordinated to intraday equilibrium returns furthermore arch effects tend to disappear when volume is included in the variance equation the autoregressive conditiqnal heteroskedasticity arch process of engle 1982 has been shown to provide a good fit for many financial return time series 1 arch imposes an autoregressive structure on conditional variance allqwing volatility shocks to persist over time this persistence captures the propensity of returns of like magnitude to clu ter in time and can explain the well documented nonnormality and nonstability of empirical asset return distributions see especially fama 1965 an appealing explanation for the presence of arch is based upon the hypothesis that daily returns are generated by a maiture of distributions in which the rate of daily information arrival is the stochastic mixing variable as suggested by diebold 1986 gallant hsieh and tauchen 1988 and stock 1987 1988 arch might capture the time series properties e g serial correlation of this mixing variable hqwever this linkage has not been broadly documented with the datia the objective of this study is to examine the validity of this explanation for daily stock returns the empirical strategy exploits the implication of the mixture model that the variance of daily price increments is heteroskedastic specifically positively related to the rate of daily information arrival using daily trading volume as a proxy for the mixing variable we show that for a sample of 20 common stocks arch effects vanish when volume is included as an explanatory variable in the conditional variance equation

unbiasedness and time varying risk premia in the crude oil futures market abstract this paper presents some empirical evidence on market efficiency and unbiasedness in the crude oil futures market and some related issues on the basis of monthly observations on spot and futures prices of the west texas intermediate wti crude oil several tests are carried out on the relevant hypotheses the evidence suggests that futures prices are neither unbiased nor efficient forecasters of spot prices furthermore a garch m 1 1 model reveals the existence of a time varying risk premium

forecasting crude oil market volatility further evidence using garch class models abstract this paper extends the work of kang et al 2009 we use a greater number of linear and nonlinear generalized autoregressive conditional heteroskedasticity garch class models to capture the volatility features of two crude oil markets brent and west texas intermediate wti the one five and twenty day out of sample volatility forecasts of the garch class models are evaluated using the superior predictive ability test and with more loss functions unlike kang et al 2009 we find that no model can outperform all of the other models for either the brent or the wti market across different loss functions however in general the nonlinear garch class models which are capable of capturing long memory and or asymmetric volatility exhibit greater forecasting accuracy than the linear ones especially in volatility forecasting over longer time horizons such as five or twenty days

empirical tax research in accounting this paper traces the development of archival microeconomic based empirical income tax research in accounting over the last 15 years the paper details three major areas of research i the coordination of tax and non tax factors ii the effects of taxes on asset prices and iii the taxation of multijurisdictional international and interstate commerce methodological concerns of particular interest to this field also are discussed the paper concludes with a discussion of possible directions for future research r 2001 elsevier science b v all rights reserved jel classification m41 h25 k34 g32 f23

the relation between price changes and trading volume a survey this paper reviews previous and current research on the relation between price changes and trading volume in financial markets and makes four contributions first two empiri cal relations are established volume is positively related to the magnitude of the price change and in equity markets to the price change per se second previous theoretical research on the price volume relation is summarized and critiqued and major insights are emphasized third a simple model ofthe price volume relation is proposed that is consis tent with several seemingly unrelated or contradictory observations and fourth several directions for future research are identified

the economic value of volatility timing using a range based volatility model abstract there is growing interest in utilizing the range data of asset prices to study the role of volatility in financial markets in this paper a new range based volatility model was used to examine the economic value of volatility timing in a mean variance framework we compared its performance with a return based dynamic volatility model in both in sample and out of sample volatility timing strategies for a risk averse investor it was shown that the predictable ability captured by the dynamic volatility models is economically significant and that a range based volatility model performs better than a return based one

improving the parkinson method of estimating security price volatilities the author proposes a new method for estimating the volatility parameters of security prices which is an improvement of the estimation method by m parkinson 1980 the author assumes that the security prices follow the geometric brownian motion however contrary to the setting of parkinson the geometric brownian motion may have nonzero drift terms the author shows that the efficiency of his estimator is about 10 in comparison with the standard sample variance estimator since the efficiency of the estimator by parkinson is about 4 91 his estimation method may considerably improve the estimation methods already known in financial economics copyright 1992 by university of chicago press

empirical tests of the bias and efficiency of the extreme value variance estimator for common stocks this article examines the empirical bias and efficiency of michael parkinson s extreme value variance estimator for common stocks using an extensive nyse amex data base bias and efficiency are analyzed as a function of stock price level and trading volume the results are sensitive to outliers in daily high and low prices after an outlier screen is applied to the data the efficiency of the extreme value estimator significantly exceeds that of the close close estimator for most price and volume groups copyright 1991 by university of chicago press

do opec announcements influence oil prices abstract this paper investigates the effect of opec production decisions increase cut maintain on both wti and brent crude oil prices between q1 1991 and q1 2015 by employing the event study methodology and by using two indices as benchmarks bci and s p gsci we employ an egarch model to take into account the high volatility of oil prices and some stylized facts characterizing this volatility we find that the impact of opec s announcements on oil prices i evolves over time and among decisions ii is more significant for production cut and maintain iii is different for wti and brent prices and iv is sensitive to the benchmark index moreover opec s decisions depend on the exploration and extraction cost of more expensive unconventional oil resources

an evaluation of alternative measures of corporate tax rates abstract this paper examines the ability of financial statement measures of average and marginal tax rates mtr to capture tax attributes utilizing firm level tax and financial data the results suggest commonly used average tax rate measures provide little insight about statutory tax burdens and may introduce substantial bias into analyses of tax incidence financial statement based proxies for mtr particularly those based on simulation methods are found to perform well in estimating current year tax rates both current year and present value mtr are found to be highly correlated with an easily constructed binary proxy of firms tax status

the persistence of volatility and stock market fluctuations this paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices it demonstrates that volatility is only weakly serially correlated implying that shocks to volatility do not persist these shocks can therefore have only a small impact on stockmarket prices since changes in volatility affect expected required rates of return for relatively short intervals these findings lead us to be skeptical of recent claims that the stock market s poor performance during the 1970 s can be explained by volatility induced increases in risk premia this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item

high low range in garch models of stock return volatility abstractwe suggest a simple and general way to improve the garch volatility models using the intraday range between the highest and the lowest price to proxy volatility we illustrate the method by modifying a garch 1 1 model to a range garch 1 1 model our empirical analysis conducted on stocks stock indices and simulated data shows that the range garch 1 1 model performs significantly better than the standard garch 1 1 model both in terms of in sample fit and out of sample forecasting ability

improving forecasts with the co range dynamic conditional correlation model abstract we introduce a new specification of the dynamic conditional correlation dcc model where its parameters are estimated with the use of closing and additionally low and high prices such prices are often commonly available for many financial series and contain more information about the variation of returns we construct the model with the range based estimator of variance but more importantly also with the range based estimator of covariance the latter estimator and as a consequence the proposed dcc model require however that the range of a portfolio return is given we compare the model with three other specifications of the dcc models and evaluate them based on monte carlo experiments and currencies rates from the forex market we show that the use of low and high prices can improve estimation of covariance and correlation matrices of returns and increase the accuracy of forecasts of covariance and correlation matrices based on this model compared with using closing prices only the proposed model is superior not only to the standard dcc model but also to the competing range based dcc model

incentives regulations and sustainable land use in costa rica deforestation in costa rica has proceeded at a rapid pace of the remaining 2 700 km2 of virgin forests on privately owned land over 300 km2 are being deforested each year pressure on national parks which cover about 27 percent of costa rica is likely to increase in the future preliminary information indicates that contrary to our expectations most of the deforestation at present is not being done by squatters but driven by profit and asset maximization motives of the timber industry banana companies and large cattle ranchers setting aside 27 percent of the country s land as parks and reserves was a major policy decision aside from the removal of some perverse incentives operating inside park areas the main issue there is one of sound management including protection from intruders strengthening enforcement and controlled tourism on the remaining primary and secondary forest areas on privately owned land outside the parks a key question is whether public interests connected with external costs of deforestation warrant public intervention the paper suggests that a differentiated approach to this and other questions is needed depending on the costs and benefits involved and it discusses incentives and regulations which influence land use and makes proposals for reforms

variances of security price returns based on high low and closing prices in a recent paper garman and klass 1980 studied the problem of estimating capital asset price volatility parameters developing an idea first introduced by parkinson 1980 they argue that improved volatility measures can be obtained by taking into account the daily high low and opening prices in addition to the traditionally used closing prices this paper is concerned mainly with testing the empirical validity of different volatility estimators based on high low and closing prices

natural resource management and economywide policies in costa rica a computable general equilibrium cge modeling approach a computable general equilibrium cge model is used to trace the effects of government policies on costa rican forests in the presence of incomplete markets the results indicate that correcting the market failure would as expected reduce deforestation more interestingly in the presence of the market failure lowering the tax on unskilled labor reduces deforestation because people gain employment in other parts of the economy taxation of other produced goods changes the incentives for deforestation for example a tax on agricultural products elevates the relative price of capital and shifts resources away from the capital intensive industrial sector toward the agricultural and forest sectors as a result such a tax increases deforestation

taxes and transfer pricing income shifting and the volume of intra firm transfers this paper extends harris 1993 by linking the level of taxes paid by firms and the profits they report in various geographic areas to the volume of intergeographic area transactions within firms if firms use the prices for goods transferred internationally to minimize their global taxes it seems reasonable that the greatest opportunities and incentives for such manipulation exist for firms with large amounts of international intrafirm sales and with large differences in tax rates between regions following harris 1993 these firms constitute the flexibility partition with the greatest incentives and opportunities for transfer price management a

public pressure and corporate tax behavior we use a shock to the public scrutiny of firm subsidiary locations to investigate whether that scrutiny leads to changes in firms disclosure and corporate tax avoidance behavior actionaid international a nonprofit activist group levied public pressure on noncompliant u k firms in the ftse 100 to comply with a rule requiring u k firms to disclose the location of all of their subsidiaries we use this setting to examine whether the public pressure led scrutinized firms to increase their subsidiary disclosure decrease tax avoidance and reduce the use of subsidiaries in tax haven countries compared to other firms in the ftse 100 not affected by the public pressure the evidence suggests that the public scrutiny sufficiently changed the costs and benefits of tax avoidance such that tax expense increased for scrutinized firms the results suggest that public pressure from outside activist groups can exert a significant influence on the behavior of large publicly traded firms our findings extend prior research that has had little success documenting an empirical relation between public scrutiny of tax avoidance and firm behavior

co movements and spillovers of oil and renewable firms under extreme conditions new evidence from negative wti prices during covid 19 we test for the existence of volatility spillovers and co movements among energy focused corporations during the outbreak of the covid 19 pandemic inclusive of the april 2020 events where west texas intermediate wti oil future prices became negative employing the spillover index approach of diebold and yilmaz 2012 as well as developing a dcc figarch conditional correlation framework and using estimated spillover indices built on a generalised vector autoregressive framework in which forecast error variance decompositions are invariant to the variable ordering we examine the sectoral transmission mechanisms of volatility shocks and contagion throughout the energy sector among several results we find positive and economically meaningful spillovers from falling oil prices to both renewable energy and coal markets however this result is only found for the narrow portion of our sample surrounding the negative wti event we interpret our results being directly attributed to a sharp drop in global oil gas and coal demand rather than because of a sudden increase in oil supply while investors observed the us fracking industry losing market share to coal they also viewed renewables as more reliable mechanism to generate long term stable and low cost supply

a realized stochastic volatility model with box cox transformation this article presents a new class of realized stochastic volatility model based on realized volatilities and returns jointly we generalize the traditionally used logarithm transformation of realized volatility to the box cox transformation a more flexible parametric family of transformations a two step maximum likelihood estimation procedure is introduced to estimate this model on the basis of koopman and scharth 2013 simulation results show that the two step estimator performs well and the misspecified log transformation may lead to inaccurate parameter estimation and certain excessive skewness and kurtosis finally an empirical investigation on realized volatility measures and daily returns is carried out for several stock indices

asymmetric pass through of oil prices to gasoline prices with interval time series modelling abstract modelling and analyzing the pass through of crude oil prices to retail gasoline prices has received an increasing attention in existing literature however most of the ongoing efforts focus on point valued data which may suffer from the informational loss this paper first employs the threshold autoregressive interval valued tari models developed recently by sun et al 2018a to investigate this transmission and proposes a novel consistent interval based test to detect threshold effects and derives its asymptotic properties these interval based tari model and test superior to traditional point based methods can produce more efficient parameter estimation and more powerful inference due to the informational gain of interval data that is interval data simultaneously contain more information e g trend and volatility than point valued data during the same period empirical results suggest that retail gasoline prices are adjusted upwards faster than downwards and this short run asymmetry is statistically significant during the whole sample our findings reveal that both the level and volatility of oil prices have a positive impact on the price of gasoline which contributes to the asymmetries in the transmission of oil price shocks these results are robust before and after financial crisis furthermore it is interesting to find that after financial crisis both the error correction adjustment speeds and the asymmetries decrease