fiscal shocks and budget balance persistence in the eu countries from central and eastern europe this article analyses the time series properties of the fiscal balance in the 10 eu countries from central and eastern europe the persistence of the fiscal balance is analysed by means of unit root tests that account for possible nonlinearities and structural changes the linear and nonlinear unit root tests find only mild evidence in favour of the stationarity hypothesis with asymmetric effects present in a few cases after controlling for structural changes in the data generation processes dgps the results point to stationarity of the series thus in spite of relatively steady headline figures the budget balance processes in the eu countries from central and eastern europe exhibit substantial instability

an econometric analysis of exploration and extraction of oil in the u k continental shelf this paper develops an econometric model for the analysis of exploration and production policies of price taking suppliers and derives theoretically consistent exploration and output equations for oil which explicitly take account of the oil discovery process and the intertemporal nature of exploration and production decision the model is then applied to an empirical analysis of oil exploration and extraction on the united kingdom continental shelf ukcs over the period 1978 1 1986 4 the analysis explicitly takes account of the available engineering information concerning the pressure dynamics of the petroleum reserves and the geological knowledge pertinent to the discovery process and presents formal statistical tests of the significance of these factors for the explanation of output and exploration in the north sea copyright 1990 by royal economic society

how would the gas exporting countries forum influence gas trade the cleanest burning fossil fuel today is natural gas while many businesses have gone global it has remained an exception an impending challenge facing the industry however is the evolution of a cartel from the 5 year old gas exporting countries forum how would this new organization influence the trade of gas globally does its existence imply a threat to the development of gas trade the paper reviews this fairly new organization within the context of the above questions it is mainly a comparative study of the body in relation to opec s historical political and economic development subsequently the author proposes probable influence options available to the forum and the impending consequence of such actions on the market the outcome of this study calls for further analysis and research on new issues and questions of interest

does consumer sentiment forecast household spending if so why in the three months following the iraqi invasion of kuwait the university of michigan s index of consumer sentiment ics fell an unprecedented 24 3 index points to its lowest level since the 1981 1982 recession this collapse in household confidence became the focus of a great deal of economic commentary and indeed frequently was cited as an important if not the leading cause of the economic slowdown that ensued concern was fueled by the well known contemporaneous correlation between the ics and the growth of household spending figure 1 shows quarterly averages of the index 1978 1993 together with the quarterly growth in real personal consumption expenditures as measured in the national income accounts bureau of economic analysis the correlation is impressive of course it is not surprising that sentiment and the growth of spending are positively correlated this correlation may simply reflect that when economic prospects are poor households curtail their spending and also give gloomy responses to interviewers thus the contemporaneous correlation between sentiment and spending does not refute traditional life cycle or permanentincome models of consumption nor does it necessarily make the job of forecasting changes in consumption any easier from the point of view of an economic forecaster the questions of interest are first whether an index of consumer sentiment has any predictive power on its own for future changes in consumption spending and second whether it contains information about future changes in consumer spending aside from the information contained in other available indicators in section i we present evidence that the answer to the first question is a clear yes we find that lagged values of the ics taken on their own explain about 14 percent of the variation in the growth of total real personal consumption expenditures over the post1954 period further investigation shows that the answer to the second question is probably yes as well though here the margin is narrower and the evidence more murky the ics contributes about 3 percent to the r2 of a simple reduced form equation for total personal consumption expenditures in the longer of the two sample periods we examine but nothing in the shorter sample period though the latter result is heavily influenced by the observation for 1980 2 for the major subcategories of spending the contribution generally ranges between 1 percent and 8 percent overall we read the evidence as pointing toward at least some significant incremental explanatory power therefore we take as given for the remainder of the paper that sentiment forecasts spending and we turn to the issue of how that statistical relationship should be interpreted one possible interpretation is that sentiment is an independent driving factor in the economy and that changes in carroll division of research and statistics stop 80 federal reserve board washington dc 20551 fuhrer research department federal reserve bank of boston boston ma 02106 wilcox division of monetary affairs stop 71 federal reserve board washington dc 20551 we have benefited from the research assistance of stephen helwig and christopher geczy and the comments of an anonymous referee the views expressed in this paper are those of the authors and not of the federal reserve board the federal reserve bank of boston or the other members of the staff of either institution ithe conference board s consumer confidence index also plunged at the same time

the political economy of opec abstract we develop a conceptual model that captures opec pricing behavior and apply it to explain the large gap observed between domestic fuel prices in opec countries and prices in the rest of the world we model opec as a cartel of nations not firms and assume that politicians use two instruments production quotas and domestic fuel consumption subsidies the cartel of nations model suggests that introduction of alternatives to petroleum products may lead opec to reduce exports and increase domestic fuel consumption the empirical analysis suggests that when opec sets production quotas it places similar weights on consumer and producer surplus but when opec countries set domestic fuel subsidies on average 6 more weight is given to consumer surplus with some of the opec countries pursuing very aggressive domestic cheap fuel policies

the outlook for us oil dependence abstract oil dependence is defined as a dynamic problem of short and long run market power the potential monopoly power of an oil cartel depends on its market share and the elasticities of oil supply and demand while the economic vulnerability of oil consuming states depends most directly on the quantity of oil imported and the oil cost share of gross domestic product gdp of these factors only the market share of the organization of petroleum exporting countries opec cartel and the rate of growth of world oil demand are clearly different than they were 25 years ago opec still holds the majority of world oil and in the future will regain market share a hypothetical 2 year supply reduction in 2005 2006 similar in size to those of 1973 1974 or 1979 1980 illustrates the potential benefits to opec and harm to the us economy of a future oil price shock opec s revenues are estimated to increase by roughly 0 7 trillion while the us economy loses about 0 5 trillion strategic petroleum reserves seem ineffective against a determined multi year supply curtailment increasing the market s price responsiveness by improving the technologies of oil supply and oil demand can greatly reduce the costs of oil dependence each element of this interpretation of the oil dependence problem is well supported by previous studies this paper s contribution is to unite these elements into a coherent explanation and to point out the enormously important implications for energy policy

seasonality and habit persistence in a life cycle model of consumption summary the allocation of non durable consumers expenditure over the four quarters of the year reflects choices made by consumers implying a utility function exhibiting seasonality incorporating such a function the life cycle model fails to explain fully the observed dynamics in uk seasonally unadjusted data seasonal habit persistence effects are introduced and found to be significant although this generalized model stands up well to testing in a univariate context it fails to exclude a predictive role for lagged income changes seasonality is inherent in many economic time series but it is rarely considered to be an issue of interest in econometric model building rather than explicitly investigating the economics underlying seasonal variation modellers typically try to remove its effects either by using seasonally adjusted data or by including seasonal intercept dummies in their equations the former practice is criticized by wallis 1974 who shows that it may distort the relationship between variab le the latter assumes that the function simply shifts up or down with the season however except for degrees of freedom considerations there seems to be no a priori reason why the same parameters or functional form should apply at different times of the year indeed gersovitz and mackinnon 1978 argue that realistic utility cost or production functions result in models in which seasonal influences cannot be separated out in a simple fashion in the present study seasonality is treated as one of the features to be explained within the economic model thus in the particular application to non durable consumers expenditure it is argued that the allocation of expenditure over the year reflects seasonal tastes and hence seasonality in the underlying utility function the implications of this are explicitly investigated the framework for our analysis is the influential paper by hall 1978 who derives a randomwalk model for real non durable consumers expenditure when rational expectations are combined with a life cycle theory of consumption hall does not investigate seasonality at all and employs seasonally adjusted values in his empirical analysis although subsequent us authors have examined many aspects of this theory the type of data used has rarely been

a time series analysis of representative agent models of consumption andleisure choice under uncertainty this paper investigates empirically a model of aggregate consumption and leisure decisions in which utility from goods and leisure is nontime separable the nonseparability of preferences accommodates intertemporal substitution or complementarity of leisure and thereby affects the comovements in aggregate compensation and hours worked these cross relations are examined empirically using postwar monthly u s data on quantities real wages and the real return on the one month treasury bill the estimated values of the parameters governing preferences differ significantly from the values assumed in several studies of real business models several possible explanations of these discrepancies are discussed

energy security policies in eu 25 the expected cost of oil supply disruptions a framework for analyzing the impact on the expected cost of oil disruption by energy policies in eu 25 is developed the framework takes into account how energy policies affect the oil market the expected oil price increase and the disruption costs opec s strategic behaviour is modelled as a dominant firm and the model includes price interdependence between different energy commodities to better estimate the cost of an oil disruption it is found that substituting pellets for oil in households and using imported sugar cane ethanol are cost efficient policies if greenhouse gas benefits are included domestically produced wheat ethanol is not found to be cost efficient even if both the expected cost of oil disruption and greenhouse gas benefits are included the same also holds for hybrid vehicles the gross expected economic gain of the policies is found to be between 9 and 22 bbl oil replaced

opec retrospective and prospects 1973 1990 abstract using a relatively simple economic model of the world oil market we review what has happened since the price quadrupling of 1973 1974 comparing the model s results with actual historical data we also make projections through 1990 assuming that opec s real price is either held constant or determined by a target capacity utilization pricing rule

seasonal solow residuals and christmas a case for labor hoarding and increasing returns in aggregate unadjusted data measured solow residuals exhibit large seasonal variations total factor productivity grows rapidly in the fourth quarter at an annual rate of 16 percent and regresses sharply in the first quarter at an annual rate of 24 percent how much of the total seasonal variation in the measured solow residual can be explained by christmas the answer to this question is surprising with increasing returns and time varying labor effort christmas is sufficient to explain the seasonal variation in the solow residual consumption average productivity and output in all four quarters our analysis of seasonally unadjusted data uncovers important roles for labor hoarding and increasing returns that are difficult to identify in adjusted data prescott 1986 has argued that the variability of solow s residual is a reasonable estimate of the variability of exogenous technology shocks when solow s residual is measured using seasonally unadjusted data for the postwar u s economy it exhibits large seasonal variations growing rapidly in the fourth quarter at an annual rate of 16 percent and falling sharply in the first quarter at an annual rate of 24 percent this paper starts from the premise that it is implausible to attribute seasonal variation of this magnitude to changes in the state of technology we present a model in which all seasonal fluctuations arise from a single demand shift christmas this demand shift together with misspecification of the traditional production function leads to large seasonal variation in the solow residual we consider two candidates for misspecification labor hoarding and external increasing returns to scale even when technological growth is aseasonal either candidate in isolation can induce spurious seasonality in the solow residual our general equilibrium analysis indicates that 1 the economy s seasonal patterns in all four quarters may be a response simply to a fourth quarter consumption demand shift and 2 a combination of labor hoarding and external increasing returns is important for replicating these patterns in aggregate quantity variables for the postwar u s economy since our analysis identifies important roles for labor hoarding and increasing returns these results have implications for nonseasonal macroeconomic models indeed our analysis im

evaluating federal reserve predictions of growth in consumer spending this study shows that federal reserve forecasts of growth in both total consumption and durable spending are generally rational under asymmetric loss and the forecasts of growth in nondurable services spending while unbiased biased fail to be rational yet these forecasts are all directionally accurate the forecasts of growth in total consumption durable and services spending are more less accurate in predicting the downward upward moves and are thus of value when policymakers assign more less cost to incorrect downward upward predictions the forecasts of growth in nondurable spending are equally accurate in predicting the downward and upward moves and are thus of value when policymakers assign similar cost to both incorrect downward and upward predictions utilizing survey data to measure the private forecasts we further provide partial support for the asymmetric information hypothesis that the federal reserve has useful information about the state of the economy that is not known by

is pay as you drive insurance a better way to reduce gasoline than gasoline taxes gasoline taxes are widely perceived as the most efficient instrument for reducing gasoline consumption because they exploit all behavioral responses for reducing fuel use including reduced driving and improved fuel economy at present however higher fuel taxes are viewed as a political nonstarter pay as you drive payd auto insurance which involves replacing existing lump sum premiums with premiums that vary in proportion to miles driven should be more practical since they do not raise driving costs for the average motorist we show that when impacts on a broad range of motor vehicle externalities are considered payd also induces significantly higher welfare gains than comparable gasoline tax increases for fuel reductions below 9 the reason is that under payd all of the reduction in fuel use rather than just a fraction comes from reduced driving this produces a substantial additional efficiency gain because mileage related external costs especially congestion and accidents are relatively large in magnitude this abstract was borrowed from another version of this item

the usefulness of consumer confidence in forecasting household spending in canada a national and regional analysis i introduction in 1960 the conference board of canada launched its series of quarterly surveys of consumer attitudes since then the results of these surveys have provided policy makers economic forecasters and business managers with useful information on future economic trends the increasing demand for the survey results both by the public and the business sectors as well as the expanding coverage given to them in the media appear to confirm their popularity and usefulness to better gauge consumer sentiment the conference board of canada also designed the index of consumer attitudes ica for the entire nation as well as for the five canadian regions the atlantic provinces quebec ontario the prairies and british columbia 1 the ica is derived from answers to four attitudinal questions contained in the survey of consumer attitudes because two of these four questions relate to the respondent family s economic prospects over the next six months and to the employment prospects for the community over the next six months the index is widely thought to reflect consumer expectations with respect to future economic conditions which in turn would influence consumption behavior a number of empirical studies have investigated the effectiveness of indices of consumer confidence as leading indicators of consumer spending in canada an early paper by shapiro and angevine 1969 finds that the composite index of consumer mood derived from the financial post s quarterly survey of consumer buying intentions is a very useful tool for predicting consumer spending on durable goods 2 in a follow up study angevine 1974 also finds that measures of consumer mood based on the financial post s survey are statistically significant explanatory variables for three consumption categories nondurable goods semidurable goods and services rayfuse 1982 reports that consumer sentiment as captured by the ica tends to lead movements in consumer expenditures on durable goods by one quarter 3 more recently cote and johnson 1998 examine whether the ica improves the fit of a consumption equation that includes other macroeconomic variables they find that inclusion of the ica improves the explained variation in growth in consumer expenditures per capita by 18 percentage points 4 the purpose of our article is to provide a fresh empirical perspective on the effect of consumer confidence on household spending in canada although past studies confine their attention to national data the present investigation examines the ability of the ica as well as the individual attitudinal questions used in the survey to forecast canadian household spending not only nationwide but also at a regional level to our knowledge our study represents the first endeavor in the literature to assess the usefulness of regional consumer confidence indices in forecasting household spending our work also employs significantly extended time series for the various components of consumer expenditure used in previous canadian studies employing the results of the conference board of canada s survey of consumer attitudes for the sample period 1979q4 2001q4 our empirical findings indicate that at the national level the ica is a reliable predictor of total personal consumption expenditures as well as of various subcategories of consumer spending in the presence of control variables on the other hand our regional results are quite diverse suggesting that economic fore casters and government policy makers should be cautious about using regional confidence indicators to predict consumption growth the remainder of this article is structured as follows section ii describes the four attitudinal questions used in the construction of the ica at both the national and the regional levels section iii discusses the econometric methodology and the data employed in our empirical analysis section iv reports the correlations between growth in total personal consumption expenditures pce and the contemporaneous ica as well as the different lags of the ica

the conventional treatment of seasonality in business cycle analysis does it create distortions abstract no so says one model that is broadly consistent with postwar u s seasonal and business cycle data

oecd oil demand estimated response surfaces for nine world oil models abstract econometric response surfaces for nine different world oil models are estimated for aggregate oil demand within the developed countries of the organization of economic cooperation and development oecd the estimates are based upon scenario results reported for the 1989 2010 period in a recent model comparison study the response surface approach provides a parsimonious summary of model responses it enables one to estimate long run price elasticities directly rather than to infer such responses from 20 year cross scenario results it also shows more directly the significant effect of initial demand conditions in 1988 on future oil demand growth due to the dynamic nature of the oil demand response past prices exert a strongly positive effect on future oil demand in some models but little or even negative effect in other models on the basis of this finding we urge demand modellers to be much more explicit about what their systems reveal about the extent of disequilibrium embedded in their model s starting oil demand conditions

current real business cycle theories and aggregate labor market fluctuations hours worked and the return to working are weakly correlated traditionally the ability to account for this fact has been a litmus test for macroeconomic models existing real business cycle models fail this test dramatically we modify prototypical real business cycle models by allowing government consumption shocks to influence labor market dynamics this modification can in principle bring the models into closer conformity with the data our empirical results indicate that it does

inflation in mozambique empirical facts based on persistence seasonality and breaks this article investigates inflation in mozambique using long range dependence lrd techniques in monthly data from december 1995 to october 2012 two important features of the data are analysed persistence and seasonality looking at aggregated and disaggregated data the stability of the parameters across the sample is also investigated the results indicate a high degree of persistence in the data along with a strong seasonal pattern policy implications are discussed

rational and adaptive performance expectations in a customer satisfaction framework this article develops and tests alternative models of market level expectations perceived product performance and customer satisfaction market performance expectations are argued to be largely rational in nature yet adaptive to changing market conditions customer satisfaction is conceptualized as a cumulative construct that is affected by market expectations and performance perceptions in any given period and is affected by past satisfaction from period to period an empirical study that supports adaptive market expectations and stable market satisfaction using data from the swedish customer satisfaction barometer is reported

energy production in brazil empirical facts based on persistence seasonality and breaks abstract this paper investigates the statistical properties of the production of energy in brazil using long range dependence techniques in monthly data from january 2000 to february 2013 two important features of the data are analyzed in particular its degree of persistence and seasonality the results indicate first that seasonality is an essential issue in modeling the persistence in energy production also the persistence itself measured in terms of the differencing parameter is relevant with orders of integration in the series found to be positive though smaller than 1 and thus implying mean reversion a single structural break is also found in two of the series policy implications of the results obtained are also derived

a neoclassical model of seasonal fluctuations abstract we develop a neoclassical capital accumulation model with seasonal perturbations to tastes and technology we calibrate the model and use it to study the impact of seasonal demand and supply perturbations on economic activity we find that the impact is largely limited to a single quarter we also use our model to isolate the seasonal movements in u s quarterly data and then compute the seasonal variations in tastes and technology that approximately explain these movements we find comovements in productivity and taste perturbations that are very similar to the seasonal comovements of aggregate variables

opec stability an empirical assessment abstract we develop some elementary measures of cartel stability using opec as a case study to evaluate whether behaviour in a market can be characterized as cooperative or competitive common views among economists are that opec is either not a viable cooperative organization or that saudi arabia is the swing producer holding opec together we apply the concept of reserve sacrifice and capacity sacrifice ratios and also use the variability of production to analyse opec behaviour the analysis is based on annual data for the 10 most important opec countries from 1973 85 our empirical tests indicate that cooperation among the principal opec nations has been fairly great over the entire period

forecasting consumption the role of consumer confidence in real time with many predictors summary we study the role of consumer confidence in forecasting real personal consumption expenditure and contribute to the extant literature in three substantive ways first we re examine existing empirical models of consumption and consumer confidence not only at the quarterly frequency but using monthly data as well second we employ real time data in addition to commonly used revised vintages third we investigate the role of consumer confidence in a rich information context we produce forecasts of consumption expenditures with and without consumer confidence measures using a dynamic factor model and a large real time jagged edge dataset in a robust way we establish the important role of confidence surveys in improving the accuracy of consumption forecasts manifesting primarily through the services component during the recession of 2007 2009 sentiment is found to have a more pervasive effect on all components of aggregate consumption durables non durables and services copyright 2015 john wiley sons ltd

cartel formation and oligopoly structure a new assessment of the crude oil market while economic theorists regard opec as a perfect example of a long lasting cartel energy economists strongly deny such view applying the ideas of new empirical industrial organization a market description is derived cartel theory and empirical evidence fit together well stable long lasting cartels can be explained only for subclasses of market models and exactly such type of model is obtained here a variety of different market models is tested opec and the market for crude oil is best described by a price leader model

measuring energy security can the united states achieve oil independence stochastic simulation of the direct economic costs of oil dependence in an uncertain future is proposed as a useful metric of oil dependence the market failure from which these costs arise is imperfect competition in the world oil market chiefly as a consequence of the use of market power by the organization of the petroleum exporting countries opec cartel oil dependence costs can be substantial it is estimated that oil dependence costs to the us economy in 2008 will exceed 500 billion other costs such as military expenditures or foreign policy constraints are deemed to be largely derivative of the actual or potential economic costs of oil dependence the use of quantifiable economic costs as a security metric leads to a measurable definition of oil independence or oil security which can be used to test the ability of specific policies to achieve oil independence in an uncertain future

the nature of opec and oil price changes abstract recent models of the oil market have continued to employ dominant firm monopoly type assumptions regarding opec behaviour other recent studies have highlighted the importance of the internal behaviour of opec the paper attempts to provide a framework within which these approaches are compatible and which provides a significant role for investment needs as a key variable in determining price changes

does britain or the united states have the right gasoline tax this paper develops an analytical framework to assess the second best optimal level of gasoline taxation taking into account unpriced pollution congestion and accident externalities as well as interactions with the broader fiscal system we provide calculations of the optimal taxes for the us and the uk under a variety of parameter scenarios under our central parameter values the second best optimal gasoline tax is 1 01 gal for the us and 1 34 gal for the uk current tax rates are much lower than this in the us and higher in the uk the calculations are moderately sensitive to alternative parameter assumptions the congestion externality is the largest component in both nations revenue raising needs also play a significant role as do accident externalities and local air pollution potential welfare gains from reducing the current uk tax rate are estimated at nearly one fourth the production cost of all gasoline used in the uk even larger gains could be achieved by switching to a tax on vehicle miles with equal revenue yield for the us the welfare gains from optimizing the gasoline tax are smaller but those from switching to an optimal tax on vehicle miles are very large

the price of oil lower and upper bounds abstract the magnitude of the recent dramatic fall in oil prices has once again like the rises of 1973 and 1979 taken most energy analysts and oil industry participants by suprise creating even greater uncertainty about future developments in the oil market in this paper we suggest that a return to first principles is appropriate at this time in order to help clarify the outlook two simple hotelling type models of the oil market are described one of the perfectly competitive market the other of a purely monopolistic market these two models are used to derive lower and upper bounds on oil prices a reinterpretation of the history of the oil market over the last 25 years is suggested with some implications for the future course of oil prices

real business cycle theory wisdom or whimsy abstract this paper assesses the empirical plausibility of the view that aggregate productivity stocks account for most of the variability in post world war ii us output we argue that the type of evidence forwarded by proponents of this proposition is too fragile to be believable the answer could be 70 as kydland and prescott 1989 claim but the data contain almost no evidence against either the view that the answer is really 5 or that the answer is really 200 moreover point estimates of the importance of technology shocks are extremely sensitive to small perturbations in the theory depending on the sample period investigated allowing for labor hoarding behavior in an otherwise standard rbc model reduces the ability of technology shocks to account for aggregate fluctuations by between 30 to 60

the shift in global crude oil market structure a model based analysis of the period 2013 2017 abstract this paper analyzes the recent developments in the global oil market investigating how the 2014 2016 price collapse and the following opec agreement affected the crude oil market structure and the behavior of major suppliers to this end we develop a partial equilibrium model with a spatial structure for the global crude oil market and simulate the market for the period between 2013 and 2017 under different market structure setups the simulation results reveal that although the oligopolistic market structures fit overall well to the realized market outcomes they are not successful at explaining the low prices during 2015 and 2016 which instead are closer to estimated competitive levels we further suggest that from 2014 onward the market power potential of major suppliers has shrunk considerably supporting the view that the market has become more competitive we also analyze the saudi arabia and russia led opec agreement and find that planned production cuts in 2017 particularly of saudi arabia and russia were below the levels of estimated non competitive market structure setups

directional forecasts of gdp and inflation a joint evaluation with an application to federal reserve predictions many studies have undertaken separate analyses of the fed s forecasts of real gross domestic product gdp growth and inflation this article presents a method for jointly evaluating the direction of change predictions of these variables we conclude that some of the inflation forecasts examined separately were not valuable however the joint pattern of gdp and inflation projections was generally in accord with the economy s movements directional forecasting is now an increasingly popular metric for forecasting performance pesaran and timmermann 2004 414

seminonparametric estimation of conditionally constrained heterogeneous processes asset pricing applications the overidentifying restrictions of the intertemporal capital asset pricing model are usually rejected when tested using data on consumption growth and asset returns particu larly when additively separable constant relative risk utility is attributed to the representa tive agent this article investigates the extent to which specification error can explain these rejections the empirical strategy is limited information maximum likelihood in conjunc tion with seminonparametric expanding parameter space representations for both the law of motion and utility we find that consumption growth and asset returns display conditional heterogeneity but this fact does not account for rejection of the overidentifying restrictions as might be anticipated from the work of hansen singleton and others using generalized method of moments methods we also find that expansion of the parameter space in the direction of nonseparable utility causes the overidentifying restrictions to be accepted our estimation strategy provides information on the manner in which the restrictions distort the law of motion in particular imposition of additively separable constant relative risk aversion utility causes the conditional variance of consumption growth to be overpredicted the conditional covariance of asset returns with consumption growth to be overpredicted and an equity premium imposition of nonseparable seminon parametric utility causes distortion in these same directions though the distortions are much smaller which is consistent with the outcomes of the tests of the restrictions

does customer satisfaction have directional predictability for u s discretionary spending abstractresearch indicates that past growth in customer satisfaction is an important factor in explaining the in sample behaviour of growth in discretionary spending motivated by such evidence we take an out of sample forecasting approach to examine whether customer satisfaction has directional predictability for two types of discretionary spending these include spending on motor vehicles and spending on recreation services which display frequent negative growth for the period 1995 2015 our results indicate that customer satisfaction accurately predicts the direction of change in both types of spending under symmetric loss to augment we further show that the widely reported consumer sentiment has no directional predictability for either types of discretionary spending

u s oil dependence 2014 is energy independence in sight abstract the importance of reducing u s oil dependence may have changed in light of developments in the world oil market over the past two decades since 2005 increased domestic production and decreased oil use have cut u s import dependence in half the direct costs of oil dependence to the u s economy are estimated under four u s energy information administration scenarios to 2040 the key premises of the analysis are that the primary oil market failure is the use of market power by opec and that u s economic vulnerability is a result of the quantity of oil consumed the lack of readily available economical substitutes and the quantity of oil imported monte carlo simulations of future oil market conditions indicate that the costs of u s oil dependence are likely to increase in constant dollars but decrease relative to u s gross domestic product unless oil resources are larger than estimated by the u s energy information administration reducing oil dependence therefore remains a valuable goal for u s energy policy and an important co benefit of mitigating greenhouse gas emissions

does a target capacity utilization rule fulfill opec s economic objectives abstract this paper uses the us energy information administration s oil market simulation model to evaluate the ability of a target capacity rule to satisfy opec s economic objectives we show that when demand and supply lags exist opec s optimal price path may consist of periods of low prices followed by a one or two period price shock the tcu rule does not display periodic price shocks and thus generates less discounted revenue over the planning period the tcu rule comes closest to the optimum either when there are no lags or when opec optimizes subject to a minimum revenue constraint

inflexible prices and procyclical productivity hall has shown that with perfect competition and price flexibility total factor productivity measured using labor s share either in revenues or in costs will be acyclical regardless of the level of labor hoarding we show that if firms producing a homogeneous good under constant returns must pick their prices before demand is known both measures of productivity become procyclical the model implies that productivity should be more procyclical the more important is labor hoarding empirically productivity is more procyclical in industries and in nations where labor hoarding appears more important

a note on opec market power and oil prices a static model of opec as a cartel with a fringe group of competitive producers is used to define short and long run monopoly price curves as a function of opec s market share a static model is used on the grounds that oil as adelman has argued is not a depletable resource in the sense of the hotelling theory but is more like a normal good that can be produced with application of labour capital resources and technology a rational cartel will choose prices that lie between the two curves the shapes of the curves depend on the world price elasticity of demand for oil and on the supply response rate of competitive oil producers as opec s market share increases the distances between the two curves increase rapidly this could lead to an unstable market since any price between the two curves would be obtainable in the short run in the long run prices above the long run price curve will result in a loss of market share for the cartel except in a growing market reducing the cartel s market power future work will extend the model to consider dynamic pricing strategies as a function of the cartel s discount rate and world market response rate

supply shocks and price adjustment in the world oil market understanding the impacts of transitory oil supply shocks on world oil prices is crucial to the evaluation of the economic impacts of shocks and the design of policy responses to address those impacts this paper integrates short run and long run approaches to oil price determination with particular emphasis on the two price structure of the world oil market with coexisting short term spot prices and long term contract prices even transitory shocks are shown to exhibit persistence effects on long term prices some implications for econometric models of the relationship between spot and contract prices are discussed

the effect of customer satisfaction on consumer spending growth abstract predicting aggregate consumer spending is vitally important to marketing planning yet traditional economic theory holds that predicting changes in aggregate consumer spending is not possible previous attempts to predict consumer spending growth using standard macroeconomic predictor variables have met with little success the authors show that the lagged change in customer satisfaction which contributes to future demand has a significant impact on spending growth however this impact is moderated by increases in consumers debt service ratio a key budget constraint that affects consumers ability to spend using an asymmetric growth model more than 23 of the variation in the one quarter ahead spending growth is explained which represents a notable improvement over prior specifications

rewarding impatience a bargaining and enforcement model of opec in this article i make two primary contributions to the literature on international cooperation first i present a simple version of fearon s bargaining and enforcement model and show that impatience as captured in the discount factor can be a source of bargaining strength when the outcome of the bargaining phase is followed by an enforcement phase that resembles a prisoners dilemma second i illustrate how to apply this model to the question of the division of cartel profits within the organization of petroleum exporting countries opec particularly with regard to the relationship between bargaining strength and disparate time horizons i find that for some critical threshold level states that discount the future more heavily tend to receive better oil production offers than those that do not i examine empirical evidence that suggests that countries in opec fall into the range where this proposition holds in other words relatively poor populous countries and relatively unstable ones are allowed by opec to overproduce i am grateful to christino arroyo jim denardo joe gochal james honaker shuhei kurizaki drew linzer barry o neill art stein hiroki takeuchi george tsebelis jana von stein and two anonymous referees for helpful comments i am especially indebted to ken schultz for his advice and to randy calvert for a helpful discussion during the 2003 eitm summer institute at washington university in st louis

common cycles in seasonal non stationary time series this paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies it is shown that common cycles are present in the hylleberg engle granger yoo decomposition of these series when there exists a linear combination of their seasonal differences which follows an ma process of order at most three the pitfalls of seasonal adjustment for common cycles analysis are also documented inference on common cycles in seasonally cointegrated series is derived from existing statistical methods for codependence concepts and methods are illustrated with an empirical analysis of the comovements between consumption and output using italian data copyright 1999 john wiley sons ltd

production growth and business cycles ii new directions abstract this paper outlines new directions for investigations of real business cycle models consideration of stochastic growth of exogenous and endogenous forms analysis of suboptimal outcomes arising due to externalities of distorting taxes and implications of labor market heterogeneity

opec behavior a test of alternative hypotheses since interpretations of past and future oil price patterns depends on the model chosen the author tests and compares alternative theories of opec as a first step in validating the choice on any one model the results show that among opec countries the partial market sharing cartel model is the only model not rejected by at least some of the 11 members and gives the best explanation of production in comparison with 11 non opec countries the competitive model could not be rejected for 10 of the 11 non opec producers this raises the question of why if opec is a cartel friedman s predictions have not come true and introduces new questions for future research 19 references 3 tables

the competitive price of oil some results under uncertainty abstract the recent weakness of the world oil price has led to speculation concerning the forces that are acting to keep the price well above the cost of production in this paper we investigate the strength of concerns about depletion by calculating the price of oil in 1983 as it would have been in a competitive market the simplicity of our model allows the effects of uncertainty in the input variables to be explored model parameters are entered as subjective probability distributions solving the model gives a probability distribution of the competitive oil price in 1983 the competitive price is found to have an 80 chance of lying between 3 and 11 1983 bbl with an expected value of 7 bbl the difference between these prices and the actual price of oil in 1983 gives an indication of the strength of forces other than concern about depletion principally the action of the opec cartel in keeping the oil price high

recent advances in modelling seasonality abstract in this paper we review recent developments in econometric modelling of economic time series with seasonality the prime focus is on econometric models which incorporate explicit descriptions of seasonal variation instead of removing this variation using a seasonal adjustment method this review centres around developments in seasonal unit root models and in periodic parameter models both in the univariate and multivariate context several empirical examples are used for illustration we also discuss several areas for further research

firm inventory behavior and the returns from highway infrastructure investments abstract the debate in public and macro economics over the returns from infrastructure spending has largely ignored transportation economics which has documented substantial inefficiencies created by highway policy and motivated researchers to explain how infrastructure spending produces economic benefits this paper develops a theoretical argument that highway infrastructure investments generate benefits by lowering firms inventories and provides empirical estimates of returns based on this mechanism we find that annual returns from highway investments have fallen to less than 5 percent during the 1980s and 1990s and suggest that a partial explanation may be the rising cost of inefficient transportation infrastructure policy

seasonal cycles business cycles and monetary policy abstract this paper presents a dynamic general equilibrium model that is consistent with both seasonal and business cycle facts in the u s economy the model features consumption durability and a transaction technology both crucial in accounting for seasonal patterns of nominal variables a calibrated version of the model is used to quantitatively evaluate welfare consequences of three alternative monetary policy rules 1 the fed s historical policy that smooths nominal interest rates at the seasonal frequency but not at the business cycle frequency 2 a constant money growth rule and 3 a constant interest rate rule we find that the historical policy is associated with higher welfare than both alternatives

on the economic determinants of oil production theoretical analysis and empirical evidence for small exporting countries abstract in this paper decisions regarding production in oil exporting countries are studied by means of theoretical analysis and empirical investigation in particular we aim at describing the relationship between oil production levels and changes in the world oil demand and prices intertemporal production decisions by a representative oil producer are modeled by means of a partial equilibrium model in this theoretical model oil producers are subject to exogenous shocks in world oil consumption and prices oil companies can change output levels only by incurring a fixed cost results from the simulation of this model show a strong relationship between oil production and changes in world oil consumption on the contrary the effects of changes in real oil prices on oil production decisions seem to be much lower results from the simulation of the theoretical model are then empirically investigated using time series econometric techniques the empirical evidence supports the hypothesis that oil producing countries are characterized by different responses to changes in world oil demand and in real oil prices for many countries production rapidly adjusts to changes in consumption whereas responses of oil production to innovations in real oil prices are found to be not statistically significant in addition when non linearities in the relationship between world oil demand prices and output levels are allowed for evidence of asymmetric effects of shocks to exogenous variables on output levels is found for some countries

clustering in crude oil prices and the target pricing zone hypothesis abstract this paper studies the target pricing zone tpz hypothesis for crude oil by examining price clustering in the dollar digit it is hypothesized that price clustering occurs within an established tpz if opec is able to defend the upper and lower bounds through output changes the results show that prices strongly cluster around the dollar digit value of 9 within the tpz sub periods but not outside the sub periods furthermore the degree of clustering declines when production capacity utilization is high and when production significantly exceeds quotas consistent with opec s inability to defend the zone nine centered clustering also results in lower contemporaneous and next day volatility these results support the target pricing zone hypothesis of crude oil

seasonality and equilibrium business cycle theories abstract we consider a dynamic stochastic equilibrium business cycle model which is augmented to reflect seasonal shifts in preferences technology and government purchases our estimated parameterization implies implausibly large seasonal variation in the state of technology rising at an annual rate of 24 in the fourth quarter and falling at an annual rate of 28 in the first quarter furthermore our findings indicate that variation in the state of technology of this magnitude is required if the model is to explain the main features of the seasonal cycle

the seasonal cycle and the business cycle almost all recent research on macroeconomic fluctuations has worked with seasonally adjusted or annual data this paper takes a different approach by treating seasonal fluctuations as worthy of study in their own right our results show that seasonal fluctuations are an important source of variation in all macroeconomic quantity variables but are small or entirely absent in both real and nominal price variables the timing of the seasonal fluctuations consists of increases in the second and fourth quarters a large decrease in the first quarter and a mild decrease in the third quarter the paper demonstrates that with respect to each of several major stylized facts about business cycles the seasonal cycle displays the same characteristics as the business cycle in some cases even more dramatically than the business cycle that is we find that at seasonal frequencies as well as at business cycle frequencies output movements across broadly defined sectors move together the timing of production and the

labor hoarding and the business cycle this paper investigates the sensitivity of solow residual based measures of technology shocks to labor hoarding behavior using a structural model of labor hoarding and the identifying restriction that innovations to technology shocks are orthogonal to innovations in government consumption we estimate the fraction of the variability of the solow residual that is due to technology shocks our results support the view that a significant proportion of movements in the solow residual are artifacts of labor hoarding behavior specifically we estimate that the variance of innovations to technology is roughly 50 percent less than that implied by standard real business cycle models in addition our results suggest that existing real business cycle studies substantially overstate the extent to which technology shocks account for the variability of postwar aggregate u s output

on the dynamics of u s consumer sentiment and economic policy assessment abstractwe utilize the michigan surveys of consumers data to first investigate the dynamic relationship between consumers assessment of current and future economic conditions index of current economic conditions icc and index of consumer expectations ice and then examine how these assessments are influenced by deterioration improvement in consumers appraisal of economic policies of the government gp we further assess how deterioration improvement in icc and ice influences gp for 1978 2015 our findings first indicate that icc and ice are cointegrated and both respond to disequilibrium to restore the long run equilibrium relationship second deterioration in gp results in deterioration in both icc and ice improvement in gp however results in improvement in ice with no impact on icc third deterioration in both icc and ice results in deterioration in gp improvement in ice results in improvement in gp but improvement in icc has no impact on gp the observed asymmetries are in line with n

productivity shocks and real business cycles abstract productivity shocks play a central role in real business cycles as an exogenous impulse to macroeconomic activity however measured solow prescott residuals do not behave as an exogenous impulse rather econometric evidence provided in this paper indicates that 1 money interest rates and government spending granger cause these impulses and 2 a substantial component of the variance of these impulses between one quarter and one half is attributable to variations in aggregate demand these results are robust to a number of econometric issues including measurement errors specification of the production function and certain forms of omitted real variables

the nature of the relationship between international tourism and international trade the case of german imports of spanish wine this article deals with the relationship between international trade and tourism we focus on the effect that german tourism to spain has on german imports of spanish wine due to the different stochastic properties of the series under analysis which display different orders of integration a methodology is used based on long memory regression models where tourism is supposed to be exogenous the period covered is january 1998 to november 2004 the results show that tourism has an effect on wine imports that lasts between 2 and 9 months disaggregating the imports across the different types of wine it is observed that only for red wines from navarra penedus and valdepenas and to a certain extent for sparkling wine tourism produces an effect on future import demand from a policy making perspective our results imply that the impact of tourism on the host economy is not only direct and short term but also oblique and delayed thus reinforcing the case for tourism as a means for economic development

the market power of opec 1973 2001 we apply a multi equation dynamic econometric model on monthly data to test if the behaviour of opec as a whole or different sub groups of the cartel is consistent with the characteristics of dominant producers on the world crude oil market in the period 1973 2001 our results indicate that the producers outside opec can be described as competitive producers taking the oil price as given and maximizing profits the opec members do not fit the behaviour of price taking producers our findings of low residual demand price elasticities for opec underpin the potential market power of the producer group and are in line with the results in some recent energy studies on the other hand our findings indicate that neither opec nor different sub groups of the cartel can be characterized as a dominant producer in the period 1973 1994 however we find that the characteristics of a dominant producer to some extent fit opec core as from 1994 thus although opec clearly has affected the market price the producer g

the business cycle effects of christmas abstract why do countries and industries with large seasonal fluctuations also have large business cycles it is well known that seasonal fluctuations account for the bulk of total output fluctuations yet it is unknown whether seasonal fluctuations can trigger business cycles using a procedure that allows for identification of seasonal innovations i found that seasonal shocks explain 50 of the business cycle in aggregate output such findings provide a novel and powerful explanation for the observed strong correlation between seasonal fluctuations and business cycles the implication is that in addition to trying to determine whether it is monetary technology or other types of shocks that cause business cycles we should be looking at what causes seasonality

determinants of official opec crude prices the hypothesis of this paper is that crude oil like any other unfinished commodity is valued for the products derived from it the purpose is to offer an empirical explanation for changes in the crude price charged by the members of opec the model results show that the market clearing prices reported to prevail for petroleum products on the principal petroleum spot market at rotterdam are the primary determinants of changes in official crude prices a systematic relationship between offical and spot prices is argued to have prevailed since 1974 an appendix clarifies five types of data required for the model 13 references 4 tables

comparing alternative policies to reduce traffic accidents abstract this paper derives and implements formulas for the welfare effects of uniform mileage taxes gasoline taxes per mile insurance premiums and mileage taxes differentiated across vehicle and driver groups for reducing the external costs of passenger vehicle accidents the average external accident cost is estimated at 2 2 6 6 cents per mile accidents costs differ substantially across driver groups but only moderately across vehicles groups annual welfare gains from a mileage tax equal to marginal external costs for each driver vehicle group are 9 4 billion in the benchmark case the uniform mileage tax and per mile insurance reform can achieve 76 and 65 of this welfare gain respectively while the gasoline tax can achieve only 28 of the welfare gain unlike other policies the gasoline tax induces costly improvements in average fleet fuel economy that have little effect on reducing external costs

the us dollar and the world oil market abstract due to the increasing value of the dollar world oil prices rose rather than fell relative to the price of oecd exports between 1980 and 1984 the real crude oil price of oecd countries increased by approximately 30 more than its counterpart for the usa this paper calculates that if oecd oil prices had not risen but followed the trend for us prices world oil demand in 1984 would have been about 3 million barrels per day 6 6 higher than otherwise two plausible scenarios which assume the same nominal oil price us inflation rate and oecd growth rate but different values for the dollar are considered world oil consumption by 1990 could vary by 4 million barrels per day depending upon shifts in the exchange rates and the value of the dollar this variation is comparable to the range associated with significant differences in the economic growth rate between now and 1990 the paper shows that shifts in exchange rates could produce changes in oil prices in 1990 comparable to the effects of gradually removing 5 million barrels per day from total oil production by 1990

or practice analysis of the economic effect of the alaskan oil export ban analysts in the federal government have repeatedly been drawn into the analytical debate over the merits of the existing ban on crude oil exports this paper describes the most recent and sophisticated attempt to assess the economic effects of the export ban employing a large nonlinear programming model of the world oil market it describes the model analysis and analytical results as well as the authors perspectives on why the analysis failed to achieve its anticipated objectives the paper concludes by discussing the implications of the analysis for federal oil export policy and by considering how the study results could have been made more accessible to federal policy makers

a cross country comparison of seasonal cycles and business cycles in a recent paper barsky and miron 1989 examine the seasonal fluctuations in the u s economy they show that the key stylized facts about the business cycle characterize the seasonal cycle as well and they suggest that the interpretation of many of these stylized facts over the seasonal cycle is easier than interpretation over the business cycle the reason is that the ultimate sources of seasonal cycles are more readily identifiable than those of business cycles this paper uses the cross country variation in seasonal patterns to pin down the ultimate sources of seasonal variation more precisely than is possible from examination of u s data alone we conclude that a christmas shift in preferences and synergies across agents are the key determinants of the seasonal patterns around the world the paper also establishes that across developed countries the key observations about aggregate variables that characterize the business cycle also characterize the seasonal cycle thus the similarity of the seasonal cycle and the business cycle demonstrated by barsky and miron 1989 for the united states is a robust stylized fact 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

world oil market simulation most of the models used to analyse the world oil market can be categorized under two broad headings i recursive simulation models and ii intertemporal optimization models 1 both types assume that opec operates as a cartel although the way in which opec behaviour is modelled varies

the equilibrium price range of oil economics politics and uncertainty in the formation of oil prices abstract this paper attempts to clarify the articulation between economic and political factors in the formation of petroleum prices it begins with defining the political factors then it gives a definition of the dynamic equilibrium price of a mineral commodity market the essential point is that when actors control significant low cost reserves and will not or cannot adopt behaviour of a substantial economic rationality then the economic analysis does not allow a unique dynamic equilibrium price to be determined however it does permit definition of an equilibrium price range within which political preferences may be expressed finally the paper draws some conclusions on what could be discussed within the scope of a new oil producer consumer dialogue