on the impacts of oil price fluctuations on european equity markets volatility spillover and hedging effectiveness the objective of this paper is to investigate the volatility spillovers between oil and stock markets in europe as not all industries are expected to be equally affected by oil price changes we conduct our study at both the aggregate as well as sector levels empirically we make use of a recently developed var garch approach which allows for transmissions in volatilities in addition we analyze the optimal weights and hedge ratios for oil stock portfolio holdings based on our results on the whole our findings show significant volatility spillovers between oil price and sector stock returns and suggest that a better understanding of those links is crucial for portfolio management in the presence of oil price risk

explaining ethiopia s growth acceleration the role of infrastructure and macroeconomic policy summary ethiopia has experienced an impressive growth acceleration over the past decade this was achieved on the back of an economic strategy emphasizing public infrastructure investment supported by heterodox macro financial policies this paper identifies the drivers of ethiopia s recent growth episode and examines the extent to which they were typical or unique it combines country specific information with the results of a cross country panel regression model we find that ethiopia s growth is explained well by factors correlating with growth in a broad range of countries in recent decades including public infrastructure investment restrained government consumption and a conducive external environment on the other hand we argue that the policy mix that supported very high levels of public investment in ethiopia was to some extent unique interestingly macroeconomic imbalances due to this heterodox policy mix only moderately held back growth which helps explain why ethiopia was able to grow so fast in spite of their presence their negative effects were quantitatively much less important than the positive growth drivers they helped to achieve the results suggest that getting infrastructure right may outweigh moderate shortcoming in the macro framework at early stages of development we further relate this country specific finding to the recent growth literature

the crucial relationship among energy commodity prices evidence from the spanish electricity market the main purpose of this article is twofold to analyze a the long term relation among the commodities prices and between spot electricity market price and commodity prices and b the short term dynamics among commodity prices and between electricity prices and commodity prices data between 2002 and 2005 from the spanish electricity market was used econometric methods were used in the analysis of the commodity spot price namely the vector autoregression model the vector error correction model and the granger causality test the co integration approach was used to analyze the long term relationship between the common stochastic trends of four fossil fuel prices one of the findings in the long term relation is that the prices of fuel and the prices of brent are intertwined though the prices of brent ten to move to reestablish the price equilibrium another finding is that the price of electricity is explained by the evolution of the natural gas series

oil price shocks and the macroeconomy this paper examines the impact of oil price shocks and attempts to explain why the rise in oil prices up to 2008 had little impact on the world economy it makes three main arguments first that oil prices have never been as important as is popularly thought second that the most important route through which oil prices affect output is monetary policy when oil prices pass through to core inflation monetary authorities raise interest rates slowing growth based on the second argument the third argument is that high oil prices have not reduced growth in recent years because they no longer pass through to core inflation so the monetary tightening previously seen in response to high oil prices is absent it also argues that oil prices had little impact on the global recession of 20089

the impact of global oil price shocks on china s bulk commodity markets and fundamental industries this paper investigated the reaction of aggregate commodity market to oil price shocks and also explored the effects of oil price shocks on china s fundamental industries metals petrochemicals grains and oilfats we separated the volatilities of oil price into expected unexpected and negatively expected categories to identify how oil prices influence bulk commodity markets we contrasted the results between different periods and among classified indices in order to discover the significant changes in recent years and the differences at an industry level our results indicate that the aggregate commodity market was affected by both expected and unexpected oil price volatilities in china the impact of unexpected oil price volatilities became more complex after 2007 the metals and grains indices did not significantly respond to the expected volatility in oil prices in contrast to the petrochemicals and oilfats indices these results not only contribute to advancing the existing literature but also merit particular attention from policy makers and market investors in china

green revolution in sub saharan africa implications of imposed innovation for the wellbeing of rural smallholders green revolution policies are again being pursued to drive agricultural growth and reduce poverty in sub saharan africa however conditions have changed since the well documented successes of the 1960s and 1970s benefitted smallholders in southern asia and beyond we argue that under contemporary constraints the mechanisms for achieving improvements in the lives of smallholder farmers through such policies are unclear and that both policy rationale and means of governing agricultural innovation are crucial for pro poor impacts to critically analyze rwanda s green revolution policies and impacts from a local perspective a mixed methods multidimensional wellbeing approach is applied in rural areas in mountainous western rwanda here malthusian policy framing has been used to justify imposed rather than induced innovation the policies involve a substantial transformation for rural farmers from a traditional polyculture system supporting subsistence and local trade to the adoption of modern seed varieties inputs and credit in order to specialize in marketable crops and achieve increased production and income although policies have been deemed successful in raising yields and conventionally measured poverty rates have fallen over the same period such trends were found to be quite incongruous with local experiences disaggregated results reveal that only a relatively wealthy minority were able to adhere to the enforced modernization and policies appear to be exacerbating landlessness and inequality for poorer rural inhabitants negative impacts were evident for the majority of households as subsistence practices were disrupted poverty exacerbated local systems of knowledge trade and labor were impaired and land tenure security and autonomy were curtailed in order to mitigate the effects we recommend that inventive pro poor forms of tenure and cooperation none of which preclude improvements to input availability market linkages and infrastructure may provide positive outcomes for rural people and importantly in rwanda for those who have become landless in recent years we conclude that policies promoting a green revolution in sub saharan africa should not all be considered to be pro poor or even to be of a similar type but rather should be the subject of rigorous impact assessment such assessment should be based not only on consistent objective indicators but pay attention to localized impacts on land tenure agricultural practices and the wellbeing of socially differentiated people

farm productivity and rural poverty in india armed with new data we return to an old question from the pages of this journal to what extent do india s rural poor share in agricultural growth combining data from 24 household sample surveys spanning 35 years with other sources we estimate a model of the joint determination of consumption poverty measures agricultural wages and food prices we find that higher farm productivity brought both absolute and relative gains to poor rural households a large share of the gains was via wages and prices though these effects took time the benefits to the poor were not confined to those near the poverty line

the effect of 107th opec ordinary meeting on oil prices and economic performances in japan abstract the aim of this paper is to show the influence of the 107th opec ordinary meeting meeting and investigates the relationships between oil prices and economic activities using an exponential generalized autoregressive conditional heteroskedasticity egarch and a vector autoregressive var model from 1991 to 2008 in japan we find that levels and volatilities of oil prices increase after the meeting we examine the effects of it on japanese economic activities employing a granger causality test and data before and after it the empirical result reveals that each price of regular gasoline and diesel has information to be useful to predict the economy after the meeting on the other hand volatilities of regular gasoline and diesel price have information to predict the inflation and economic growth before the meeting respectively after the meeting however these volatilities change to be useful to predictive both inflation and economic growth thus we conclude that the decision of meeting is related to not only the domestic oil prices but also the macroeconomy

the impact of research led agricultural productivity growth on poverty reduction in africa asia and latin america abstract twenty percent of the world s population or 1 2 billion live on less than 1 per day 70 of these are rural and 90 are in asia and sub saharan africa research led technological change in agriculture generates sufficient productivity growth to give high rates of return in africa and asia and has a substantial impact on poverty currently reducing this number by 27 million per annum whereas productivity growth in industry and services has no impact the per capita cost of poverty reduction by means of agricultural research expenditures in africa is 144 and in asia 180 or 50 cents per day but this is covered by output growth by contrast the per capita cost for the richer countries of latin america is over 11 000

china s uneven progress against poverty while the incidence of extreme poverty in china fell dramatically over 1980 2001 progress was uneven over time and across provinces rural areas accounted for the bulk of the gains to the poor though migration to urban areas helped the pattern of growth mattered rural economic growth was far more important to national poverty reduction than urban economic growth agriculture played a far more important role than the secondary or tertiary sources of gross domestic product gdp rising inequality within the rural sector greatly slowed poverty reduction provinces starting with relatively high inequality saw slower progress against poverty due both to lower growth and a lower growth elasticity of poverty reduction taxation of farmers and inflation hurt the poor external trade had little short term impact

oil price shocks and european industries abstract we investigate the impact of oil price shocks at the industry level in the euro area for the period 1983 2007 we use different oil price specifications and use dynamic var models and multivariate regression to investigate how 38 different industries respond to oil price shocks we pay specific attention to the asymmetry of the industries responses regarding oil price increases and decreases we find that the impact of oil price shocks substantially differs along the different industries we find that the significance of this result also differs along the various oil price specifications the results are quite robust to the way in which we model the problem

rainfall shocks and within community wealth inequality evidence from rural ethiopia summary household level impacts of environmental shocks are often negative but may vary considerably due to heterogeneous vulnerability this paper considers how differential vulnerability among households affects inequality within rural communities in ethiopia this study makes novel use of the demographic and health surveys dhs and a nasa agro climatology dataset results show that rainfall deficits have an equalizing effect on within community livestock inequality in parts of ethiopia but regional differences are observed a non significant effect is observed with respect to asset inequality as an initial study on this topic this paper outlines an agenda for future data collection and analysis efforts

metal volatility in presence of oil and interest rate shocks abstract this study uses three two factor volatility models of the garch family to examine the volatility behavior of three strategic commodities gold silver and copper in the presence of crude oil and interest rate shocks the results of the standard garch models suggest that gold and silver have almost the same volatility persistence which is greater than that of copper the cgarch estimates indicate that the short run transitory component of volatility converges to zero much faster for copper than for gold and silver in this sequence however the permanent volatility component demonstrates equally strong persistence in the long run for all three metals the egarch results suggest that the leverage effect is present and significant for copper only implying that gold and silver can be good investment in anticipation of bad times past oil shock does not impact all three metals similarly monetary policy and to leaser extent the oil shocks have calming effects on precious metals but not on copper if the t bill rate is used crises such as the 2003 iraq war heighten metal volatility these results have implications for derivatives valuations using gold as a reserve asset risk analysis and for the commodity exporting countries and commodity producing firms

oil and the macroeconomy since world war ii all but one of the u s recessions since world war ii have been preceded typically with a lag of around three fourths of a year by a dramatic increase in the price of crude petroleum this does not mean that oil shocks caused these recessions evidence is presented however that even over the period 1948 72 this correlation is statistically significant and nonspurious supporting the proposition that oil shocks were a contributing factor in at least some of the u s recessions prior to 1972 by extension energy price increases may account for much of post opec macroeconomic performance

growth and chronic poverty evidence from rural communities in ethiopia abstract what keeps some people persistently poor even in the context of relative high growth in this article we explore this question using a 15 year longitudinal data set from ethiopia we compare the findings of an empirical growth model with those derived from a model of the determinants of chronic poverty we ask whether the chronically poor are simply not benefiting in the same way from the same factors that allowed others to escape poverty or whether there are latent factors that leave them behind we find that this chronic poverty is associated with several initial characteristics lack of physical assets education and remoteness in terms of distance to towns or poor roads the chronically poor appear to benefit from some of the drivers of growth such as better roads or extension services in much the same way that the non chronically poor benefit however they appear to have lower growth in this period related to time invariant characteristics and this suggests that they face a conside

policies for agricultural productivity growth and poverty reduction in rural ethiopia summary increasing the productivity of smallholder agriculture holds the key to poverty reduction the empirical literature is limited to ascertain the linkages and the implications for policy uptake in ethiopia we examine the impact of growth in agricultural productivity on household poverty dynamics in rural ethiopia using a panel dataset 1994 2009 findings suggest that government policies aimed at reducing poverty should adopt a growth plus approach designing policy interventions to support agricultural productivity growth plus to protect assets and enhance market access for rural households in the country

the effects of crude oil shocks on stock market shifts behaviour a regime switching approach abstract in this paper we develop a two regime markov switching egarch model introduced by henry henry o 2009 regime switching in the relationship between equity returns and short term interest rates journal of banking and finance 33 405 414 to examine the relationship between crude oil shocks and stock markets an application to stock markets of uk france and japan over the sample period january 1989 to december 2007 illustrates plausible results we detect two episodes of series behaviour one relative to low mean high variance regime and the other to high mean low variance regime furthermore there is evidence that common recessions coincide with the low mean high variance regime in addition we allow both real stock returns and probability of transitions from one regime to another to depend on the net oil price increase variable the findings show that rises in oil price has a significant role in determining both the volatility of stock returns and the probability of transition across regimes

asymmetric adjustments in the ethanol and grains markets this paper examines the long and short run asymmetric adjustments and pairs trades for nine pairs of spot and futures prices itemized as three own pairs for three different bio fuel ethanol types three own pairs for three related agricultural products namely corn soybeans and sugar and three cross pairs that included hybrids of the spot price of each of the agricultural products and an ethanol futures price most of the spreads asymmetric adjustments generally occur during narrowing the three ethanol pairs that contain the ecbot futures with each of chicago spot new york harbor spot and western european rotterdam spot show different long run adjustments arbitrage profitable opportunities and price risk hedging capabilities the asymmetric spread adjustments for the three grains are also different with corn spread showing the strongest long run widening adjustment and sugar showing the weakest narrowing adjustment among others the empirical analysis indicates the importance of potentially hedging the spot prices of agricultural commodities with ethanol futures contracts which sends an important message that the ethanol futures market is capable of hedging price risk in agricultural commodity markets the short run asymmetric adjustments for individual prices in the nine pairs with the exception of the corn own pair underscore the importance of futures prices in the price discovery and hedging potential particularly for ethanol futures

modeling and forecasting crude oil markets using arch type models this study investigates the time varying volatility of two major crude oil markets the west texas intermediate wti and europe brent a flexible autoregressive conditional heteroskedasticity arch model is used to take into account the stylized volatility facts such as clustering volatility asymmetric news impact and long memory volatility among others the empirical results indicate that the intensity of long persistence volatility in the wti is greater than in the brent it is also found that for the wti the appreciation and depreciation shocks of the wti have similar impact on the resulting volatility however a leverage effect is found in brent although both the estimation and diagnostic evaluations are in favor of an asymmetric long memory arch model only the wti models provide superior in the out of sample forecasts on the other hand from the empirical out of sample forecasts it appears that the simplest parsimonious generalized arch provides the best forecasted evaluations for the brent crude oil data

is there co movement of agricultural commodities futures prices and crude oil even though significant attempts have appeared in literature the current perception of co movement of commodity prices appear inadequate and static in particular we focus on price movements between crude oil futures and a series of agricultural commodities and gold futures a comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed our results indicate that co movement is a dynamic concept and that some economic and policy development may change the relationship between commodities furthermore we show that biofuel policy buffers the co movement of crude oil and corn futures until the crude oil prices surpass a certain threshold

world oil prices precious metal prices and macroeconomy in turkey we examine the long and short run transmissions of information between the world oil price turkish interest rate turkish lira us dollar exchange rate and domestic spot gold and silver price we find that the world oil price has no predictive power of the precious metal prices the interest rate or the exchange rate market in turkey the results also show that the turkish spot precious metals exchange rate and bond markets do not also provide information that would help improve the forecasts of world oil prices in the long run the findings suggest that domestic gold is also considered a safe haven in turkey during devaluation of the turkish lira as it is globally it is interesting to note that there does not seem to be any significant influence of developments in the world oil markets on turkish markets in the short run either however transitory positive initial impacts of innovations in oil prices on gold and silver markets are observed the short run price transmissions between the world oil market and the turkish precious metal markets have implications for policy makers in emerging markets and both local and global investors in the precious metals market and the oil market

conditional jump dynamics in stock market returns this article develops a new conditional jump model to study jump dynamics in stock market returns we propose a simple filter to infer ex post the distribution of jumps this permits construction of the shock affecting the time t conditional jump intensity and is the main input into an autoregressive conditional jump intensity model the model allows the conditional jump intensity to be time varying and follows an approximate autoregressive moving average arma form the time series characteristics of 72 years of daily stock returns are analyzed using the jump model coupled with a generalized autoregressive conditional heteroscedasticity garch specification of volatility we find significant time variation in the conditional jump intensity and evidence of time variation in the jump size distribution the conditional jump dynamics contribute to good in sample and out of sample fits to stock market volatility and capture the rally often observed in equity markets following a significant downturn

wavelet decomposition and regime shifts assessing the effects of crude oil shocks on stock market returns while there is a large body of empirical studies on the relationship between crude oil price changes and stock market returns they have failed to achieve a consensus on this subject in this paper we combine wavelet analysis and markov switching vector autoregressive ms var approach to explore the impact of the crude oil co shocks on the stock market returns for uk france and japan over the period from january 1989 to december 2007 our procedure involves the estimation of the extended ms var model in order to investigate the importance of the resultant wavelet filtering series after removing random components in determining the behavior of the stock market volatilities we show that co shocks do not affect the recession stock market phases except for japan however they significantly reduce moderate and or expansion stock market phases temporarily moreover this negative relationship appears to be more pronounced during the pre 1999 period the empirical findings will prove extremely useful to investors who need to understand the exact effect of international oil changes on certain stocks prices as well as for policy managers who need a more thorough evaluation about the efficiency of hedging policies affected by oil price changes

the impact of oil price shocks evidence from the industries of six oecd countries most of the studies about the macroeconomic consequences of oil price shocks have been focused on us aggregate data in contrast to these studies this paper empirically assesses the dynamic effect of oil price shocks on the output of the main manufacturing industries in six oecd countries the pattern of responses to an oil price shock by industrial output is diverse across the four european monetary union emu countries under consideration france germany italy and spain but broadly similar in the uk and the us moreover evidence on cross industry heterogeneity of oil shock effects within the emu countries is also reported

poverty transition and persistence in ethiopia 1994 2004 summary this study analyzes the persistence of poverty in both rural and urban areas in ethiopia during 1994 2004 the key finding is that households move frequently in and out of poverty but the difficulty of exiting from poverty like the chance of avoiding slipping back increases with the time spent in that state and varies considerably between male and female headed households our results imply that it is important to design anti poverty policies both to hinder households from slipping into extreme poverty and to minimize the length of the poverty spell for households once they have fallen into it

on the excess co movement of commodity prices a note about the role of fundamental factors in short run dynamics abstract since the influential paper by pindyck and rotemberg 1990 the excess co movement of commodity prices the economic journal 100 1173 1189 there is a common belief that prices of unrelated commodities tend to move together in excess of what can be explained by fundamentals in this paper we consider monthly data of 51 commodities from 1980 to 2008 to confirm that raw resources exhibit co movement at high frequencies nonetheless focusing on oil and six metal prices we present evidence that the high level of correlation between cycles of commodity prices can be explained to a large extent by common shocks to inventory levels once the influences of supply and demand are filtered out it appears that the links between commodity prices are rather loose

speculation and volatility spillover in the crude oil and agricultural commodity markets a bayesian analysis this paper assesses factors that potentially influence the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets stochastic volatility models are applied to weekly crude oil corn and wheat futures prices from november 1998 to january 2009 model parameters are estimated using bayesian markov chain monte carlo methods speculation scalping and petroleum inventories are found to be important in explaining the volatility of crude oil prices several properties of crude oil price dynamics are established including mean reversion an asymmetry between returns and volatility volatility clustering and infrequent compound jumps we find evidence of volatility spillover among crude oil corn and wheat markets after the fall of 2006 this can be largely explained by tightened interdependence between crude oil and these commodity markets induced by ethanol production

welfare impacts of improved chickpea adoption a pathway for rural development in ethiopia we analyse the impact of improved chickpea adoption on welfare in ethiopia using three rounds of panel data first we estimate the determinants of improved chickpea adoption using a double hurdle model we apply a control function approach with correlated random effects to control for possible endogeneity resulting from access to improved seed and technology transfer activities to instrument for these variables we develop novel distance weighted measures of a household s neighbours access to improved seed and technology transfer activities second we estimate the impact of area under improved chickpea cultivation on household income and poverty we apply a fixed effects instrumental variables approach where we use the predicted area under cultivation from the double hurdle model as an instrument for observed area under cultivation we find that improved chickpea adoption significantly increases household income while also reducing household poverty finally we disaggregate results by landholding to explore whether the impact of adoption has heterogeneous effects adoption favoured all but the largest landholders for who the new technology did not have a significant impact on income overall increasing access to improved chickpea appears a promising pathway for rural development in ethiopia s chickpea growing regions

arrogance can be a virtue overconfidence information acquisition and market efficiency abstract in behavioral finance overconfidence has been established as a prevalent psychological bias which can make markets less efficient by creating mispricing in the form of excess volatility and return predictability in this paper we develop a model in which overconfidence causes investors to overinvest in information acquisition when this information could improve market efficiency by driving prices closer to true values we study the impact of overconfidence on mispricing and information acquisition comparing their net effect on prices we derive several novel implications first overconfidence generally improves market pricing provided the level of overconfidence is not too high pricing can also improve even when overconfidence is arbitrarily high depending on the amount of private information acquired relative to publicly available information

electricity prices and fuel costs long run relations and short run dynamics the paper examines the long run relation and short run dynamics between electricity prices and three fossil fuel prices coal natural gas and crude oil using annual data for the u s for 1960 2007 the results suggest 1 a stable long run relation between real prices for electricity and coal 2 bi directional long run causality between coal and electricity prices 3 insignificant long run relations between electricity and crude oil and or natural gas prices and 4 no evidence of asymmetries in the adjustment of electricity prices to deviations from equilibrium a number of implications are addressed

world oil prices and agricultural commodity prices evidence from an emerging market abstract oil prices are thought to have direct effect on agricultural prices followed by an indirect effect through the exchange rate this paper examines the short and long run interdependence between world oil prices lira dollar exchange rate and individual agricultural commodity prices wheat maize cotton soybeans and sunflower in turkey to this end the toda yamamoto causality approach and generalized impulse response analysis for identification of the long and short run interrelationships are applied to the monthly data spanning from january 1994 to march 2010 the impulse response analysis suggests the turkish agricultural prices do not significantly react to oil price and exchange rate shocks in the short run the long run causality analysis reveals that the changes in oil prices and appreciation depreciation of the turkish lira are not transmitted to agricultural commodity prices in turkey hence our results support neutrality of agricultural commodity markets in turkey to both direct and indirect effects of oil price changes

reasonable expectations and the first millennium development goal how much can aid achieve summary using a calibrated neoclassical growth model we address three questions i how much growth should aid flows have produced in sub saharan africa over the last three decades ii how much aid would be needed to attain the first millennium development goal mdg 1 of cutting poverty in half by 2015 iii taking proposed aid flows as given how much would structural characteristics such as domestic savings rates and productivity have to change in order to reach the mdg 1 our analysis indicates that past and future expectations for aid in fostering growth and poverty reduction have been too high

agricultural technology productivity and poverty in madagascar summary this paper uses a unique spatially explicit dataset to study the link between agricultural performance and rural poverty in madagascar we show that controlling for geographical and physical characteristics communes that have higher rates of adoption of improved agricultural technologies and consequently higher crop yields enjoy lower food prices higher real wages for unskilled workers and better welfare indicators the empirical evidence strongly favors support for improved agricultural production as an important part of any strategy to reduce the high poverty and food insecurity rates currently prevalent in rural madagascar

oil and the macroeconomy when prices go up and down an extension of hamilton s results in an important paper hamilton 1983 demonstrated a strong correlation between oil price changes and gross national product growth in u s data however his study pertained to a period in which all the large oil price movements were upward and thus it left unanswered the question whether the correlation persists in periods of price decline moreover the price variable he used was somewhat distorted by price controls in the 1970s this note investigates whether hamilton s results continue to hold when the sample is extended to include the recent oil market collapse and the oil price variable is corrected for the effects of price controls particular attention is given to the possibility of asymmetric responses to oil price increases and decreases as suggested in the structural employment literature loungani 1986 davis 1987 hamilton 1988 like hamilton i based my investigation on the gnp equation in sims s 1 980b six variable quarterly vector autoregressive model

consumption risk technology adoption and poverty traps evidence from ethiopia much has been written on the determinants of input and technology adoption in agriculture with issues such as input availability knowledge and education risk preferences profitability and credit constraints receiving much attention this paper focuses on a factor that has been less well documented the differential ability of households to take on risky production technologies for fear of the welfare consequences if shocks result in poor harvests building on an explicit model this is explored in panel data for ethiopia historical rainfall distributions are used to identify the counterfactual consumption risk controlling for unobserved household and time varying village characteristics it emerges that not just ex ante credit constraints but also the possibly low consumption outcomes when harvests fail discourage the application of fertilizer the lack of insurance causes inefficiency in production choices