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

the role of the trade channel in the propagation of oil supply shocks abstract this paper analyzes when and why idiosyncratic oil supply shocks produce large macroeconomic effects in an analytically tractable two country general equilibrium model we focus on a demand driven mechanism the trade channel which transmits oil shocks across economies through changes in the non oil goods terms of trade when the trade channel is operative we have three main consequences on the transmission of oil shocks first the macroeconomic impact of oil shocks may be large and asymmetric across countries second the magnitude of the effects is nonlinear in the size of the oil shock third terms of trade movements never ensure international risk sharing after an idiosyncratic oil supply shock

status in markets this project tests for the effect of social status in a laboratory experimental market we consider a special box design market in which a vertical overlap in supply and demand ensure that there are multiple equilibrium prices we manipulate the relative social status of our subjects by awarding high status to a subset of the group based on one of two procedures in the first a subject s score on a trivia quiz determines his or her status in another subjects are assigned randomly to a higher status or lower status group in both treatments we find that average prices are higher in markets where higher status sellers face lowerstatus buyers and lower when buyers have higher status than sellers across all sessions the higher status side of the market captures a greater share of the surplus earning significantly more than their lower status counterparts

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

regime switching in the reactions of stock markets in saudi arabia to oil price variations the study revisits the stock oil nexus by examining the reactions of equity markets to oil price shocks at national and sectoral levels for saudi arabia in a time varying framework by employing the markov switching egarch model developed by henry 2009 journal of banking and finance 33 405 based on weekly data the findings reveal that the behaviour of all stock markets switches between an expansion regime and a recession regime with more persistence for the expansion state additionally influential international events associated with stock market drops are clearly identified in the recession regime furthermore there is evidence of asymmetric reactions of the equity index returns and the probabilities of transition from one state to another to oil price variations with heterogeneous impacts across sectors and regimes the stock markets are more sensitive to oil price decreases than to oil price increases although the evidence of relatively slight differences in some findings across weekdays the study allows investors and policymakers to understand well the interactions of stock sector markets vis a vis the world oil market in a regime switching framework in order to make the right decision as regards portfolio diversification and regulation of the stock markets

oil price shocks economic policy uncertainty and industry stock returns in china asymmetric effects with quantile regression abstract this paper investigates the impact of crude oil shocks and china s economic policy uncertainty on stock returns at different locations on the return distributions based on monthly data from 1995 1 to 2016 3 we address this issue by employing the quantile regression technique this approach enables a more detailed investigation in different market circumstances namely bearish normal and bullish markets empirical results indicate that the effects of oil price shocks and economic policy uncertainty are asymmetric and highly related to stock market conditions moreover both the nexus of oil and economic policy uncertainty stock are changed at the onset of a crisis specially rising oil prices have greater negative effects on stock returns when stock markets are bullish extreme higher quantiles before a crisis whereas the effects are significantly positive under different market conditions after the onset of the crisis falling oil prices lower stock returns when stock markets are bullish and normal before the crisis whereas lower stock returns under different market conditions except extreme bullish after the onset of the crisis these findings might be related to the optimistic or pessimistic investor sentiments and investors might become more frightened after the crisis

the effects of oil price shocks on expenditure category cpi in this study we apply a two block structural vector autoregressive var model proposed by kilian and park 2009 in order to investigate the dynamic effects of changes in oil price on the expenditure category consumer price index cpi in the united states and japan our results confirm that each expenditure category price index responded very differently to the same structural shock and that whether changes in oil price function as a positive stimulus or a negative shock for the individual expenditure category prices also depends on the kind of underlying shock that drives the changes in oil price finally our results also reveal that the manner in which changes in oil price affect each expenditure category price differs between the united states and japan and these detailed level differences may lead to aggregate level differences in the price response of both countries to changes in oil price

the social basis of interdependent preferences abstract most economists are sympathetic to the idea that concerns for relative position are an important aspect of many economic problems there has traditionally been a reluctance to include such concerns primarily because models that included them often allow such a broad range of behavior that there are few if any restrictions on equilibrium behavior and hence such models would have little or no predictive power in this paper we discuss how reduced form models may naturally give rise to utility functions that depend in part on relative standing there are several advantages of modelling concern for relative standing in reduced form utility functions even when there is no similar concern in the deep preferences it provides structure and constraints on the way that relative standing affects utility and further it can yield testable implications about the way that changes in the underlying environment affect the concern for relative standing we discuss the advantages and disadvantages of modelling social concerns in this way and provide examples that illustrate how concerns for relative standing can affect savings investment and labor choice decisions

a theory of tolerance abstract we propose a theory of tolerance where endogenous lifestyles and exogenous traits are invested with symbolic value by people value systems chosen by parents for their children affect the esteem enjoyed by individuals in society intolerant individuals attach all symbolic value to a small number of attributes and are irrespectful of people with different ones tolerant people have diversified values and respect social alterity we study the formation of values attached to various types of attributes and identify circumstances under which tolerance spontaneously arises policy may affect the evolution of tolerance in distinctive ways and there may be efficiency as well as equity reasons to promote tolerance an empirical investigation of tolerance of homosexuality demonstrates that our theory helps to shed light on survey data of endorsed values

money and rank in the labor market abstract we analyze the gains losses in wage and in rank position for workers switching firm voluntary movers enjoy a wage premium relative to stayers but that premium declines with rank inside the new firm indicating that movers are trading off money and rank

analysing systemic risk and time frequency quantile dependence between crude oil prices and brics equity markets indices a new look abstract this paper examines the dependence structure and the systemic risk between the return series of oil prices and the brics equity market indices using the newly developed methods of the quantile coherency of barunik and kley 2015 and the nonparametric conditional value at risk causality ncovar and the ncovar granger causality tests ncovar gc of diks and wolski 2018 for the period 2001 2018 further the traditional tests of hiemstra and jones 1994 and diks panchenko 2005 are used for comparison purposes the new methods have given rise to findings that are substantially different from those based on the two traditional approaches from our frequency dependence analysis we find a significant long term dependence coherency between the russian brazilian and south african stock markets and oil shifts however the ncovar analysis demonstrates a robust instantaneous dependence in both directions between almost all of the brics stock markets the exception is the indian market and the oil market the ncovar gc analysis reveals a robust lagged dependence from the oil market onto the chinese stock market only these findings provide helpful insights for regulators and potential international investors

contributions to canadian economic history the last 30 years the cliometric revolution that transformed economic history in the us in the 1960s was soon embraced by canadian economic historians many of the important issues surrounding canadian development remained the same the role of resources the place of international trade immigration capital accumulation and interactions with native americans among others but beginning in the 1960s and certainly over the last 30 years economic historians of canada have addressed them with the tools of modern economics both theoretical and empirical we highlight the recent work emphasizing not just the methods but also the fundamental ways our understanding of canadian history has been changed

convergence scale and the relative productivity performance of canadian us manufacturing industries this research is a comparative investigation of productivity performance within the manufacturing sectors of canada and the united states labour and multifactor productivity levels and growth rates are measured and analysed for an exhaustive sample of two digit level manufacturing industries an aggregate analysis is conducted by grouping industries in accordance with their degree of capital intensity the findings generally suggest that productivity in canadian manufacturing industries initially converged upon but has more recently diverged from those level displayed by their us counterparts an empirical analysis focuses on the convergence hypothesis and scale effects in explaining differences in measured productivity growth rates

the effects of energy price technology and disaster shocks on china s energy environment economy system abstract this paper constructs a dynamic stochastic general equilibrium dsge model to analyze the effects of energy price technology and disaster shocks on china s energy environment economy 3e system it also studies stylized facts as well as co integration and error correction dynamic analyses of this system the disaster shock is modeled as a two state markov switching process the results show that both technology and energy price shocks increase the ratio of environmental investment to gdp the improvement in technology and rising energy prices helps to reduce co2 pollution and improve economic restructuring among the three kinds of shocks technology shock is the most important the robustness of the model is tested through statistical methods

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

security design with status concerns abstract this paper provides a status based explanation for convertible securities an entrepreneur with status concerns inducing risk taking decides how to finance the firm and how to dynamically manage it solving analytically for the optimal security we find that it is substantially similar to a convertible security our model can explain why convertible securities are mainly issued by start ups and small firms as we show that their salient characteristics higher volatility and dynamic flexibility accentuate incentives to issue convertible securities we also provide analytical results relevant to quantifying how status concerns affect credit risk an established factor behind security choice

do manufacturing firms react to energy prices evidence from italy abstract the reaction of energy demand to price changes is a key policy issue as it describes the economy s response to changes in market conditions or to policy interventions the issue is even more important for the italian economy highly exposed to energy price changes given its almost complete fossil fuel related energy dependence environmental sensitivity and highly fragmented industrial structure besides the policy issue there is also an important methodological debate concerning the best way to evaluate energy demand elasticities looking at alternative models data and elasticity definitions after a discussion of the main methodological issues and the related empirical literature this paper presents an estimation of factor and fuel demand elasticities for italian industrial firms by using a microeconomic panel in a two stage translog model using cross price and morishima elasticities we obtain information on the magnitude and asymmetry of firms responses to price changes moreover the use of a micro dataset allows the high heterogeneity of italian firms to be considered the results are discussed according to technology intensity sector and firm size our findings show that energy is the most elastic input for all sectors and that capital and energy are substitutes in the low technology sector and weak complements in all others estimated interfuel elasticities show a high degree of demand sensitivity to fuel price changes and the vast majority of cross price elasticities exhibit substitutability appropriate fiscal policies can thus be identified to give an effective impulse in influencing the industrial energy mix by changing relative prices these findings constitute an important foundation for analysing energy demand by italian industrial firms given that empirical literature is particularly rare on the italian case study

social status and economic performance a survey abstract this survey combines ideas and results from sociology and economics recognizing that economic decisions are often shaped by social concerns and influences based on the sociological literature we define social status and describe its measurement we then describe the role of social status in economic analysis of saving and consumption wages and economic growth we review recent work on status determination in equilibrium including evolutionary models we conclude with some remarks on the need for further interaction between sociology and economics

a theory of wage and promotion dynamics inside firms we show that a framework that integrates job assignment human capital acquisition and learning captures several empirical findings concerning wage and promotion dynamics inside firms including the following first real wage decreases are not rare but demotions are second wage increases are serially correlated third promotions are associated with large wage increases fourth wage increases at promotion are small relative to the difference between average wages across levels of the job ladder fifth workers who receive large wage increases early in their stay at one level of the job ladder are promoted quickly to the next

oil and stock market volatility a multivariate stochastic volatility perspective abstract this paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility structure in an attempt to extract information intertwined in both markets for risk prediction it offers four major findings first the stock and oil futures prices are inter related their correlation follows a time varying dynamic process and tends to increase when the markets are more volatile second conditioned on the past information the volatility in each market is very persistent i e it varies in a predictable manner third there is inter market dependence in volatility innovations that hit either market can affect the volatility in the other market in other words conditioned on the persistence and the past volatility in their respective markets the past volatility of the stock oil futures market also has predictive power over the future volatility of the oil futures stock market finally the model produces more accurate value at risk estimates than other benchmarks commonly used in the financial industry

interdependent preferences and the competitive wage structure this article shows by example that when workers care about relative income and are free to choose their coworkers the equilibrium distribution of wages within firms must be less dispersed than the corresponding distribution of marginal products an implicit market for within firm status is shown to produce welfare gains by sorting workers among firms in accordance with how much they are willing to pay for high rank the resulting equilibrium pareto dominates allocations in which each worker is paid his marginal product

factor substitution in u s manufacturing does plant size matter we use micro data for 10 412 u s manufacturing plants to estimate the degrees of factor substitution by industry and by plant size we find that 1 capital labor energy and materials are substitutes in production and 2 the degrees of substitution among inputs are quite similar across plant sizes in a majority of industries two important implications of these findings are that 1 small plants are typically as flexible as large plants in factor substitution consequently economic policies such energy conservation policies that result in rising energy prices would not cause negative effects on either large or small u s manufacturing plants and 2 since energy and capital are found to be substitutes the 1973 energy crisis is unlikely to be a significant factor contributing to the post 1973 productivity slowdown

oil shocks and monetary policy rules in emerging economies we examine the effects of shocks in the oil market on key macroeconomic variables in small open economies using a dynamic stochastic general equilibrium model with sticky prices and imperfect competition under different monetary policy rules the numerical solutions show that the types of exchange rate regimes and monetary policies could partly explain the trends in macroeconomic volatilities considering negative shocks to oil supply hamilton 1983 and positive shocks to oil demand kilian 2009 these findings are confirmed in vector autoregressive responses for chile and israel with inflation targeting under flexible exchange regimes and hong kong with fixed regime

energy and economic growth in the usa a multivariate approach abstract this paper examines the causal relationship between gdp and energy use for the period 1947 90 in the usa the relationship between energy use and economic growth has been examined by both biophysical and neoclassical economists in particular several studies have tested for the presence of a causal relationship in the granger sense between energy use and economic growth however these tests do not allow a direct test of the relative explanatory powers of the neoclassical and biophysical models a multivariate adaptation of the test vector autoregression var does allow such a test a var of gdp energy use capital stock and employment is estimated and granger tests for causal relationships between the variables are carried out although there is no evidence that gross energy use granger causes gdp a measure of final energy use adjusted for changing fuel composition does granger cause gdp

does the source of oil price shocks matter for south african stock returns a structural var approach abstract in this paper we investigate the dynamic relationship between different oil price shocks and the south african stock market using a sign restriction structural var approach for the period 1973 01 to 2011 07 the results show that for an oil importing country like south africa stock returns only increase with oil prices when global economic activity improves in response to oil supply shocks and speculative demand shocks stock returns and the real price of oil move in opposite directions the analysis of the variance decomposition shows that the oil supply shock contributes more to the variability in real stock prices the main conclusion is that different oil price shocks affect stock returns differently and policy makers and investors should always consider the source of the shock before implementing a policy and making investment decisions

the structure of wages and internal mobility as the fields of personnel economics and organizational economics have become more visible in recent years more economists practitioners and policymakers have become interested in the internal workings of firms fortunately at the same time as interest in these areas has grown new data sets have emerged that provide consistent personnel data from a wide variety of firms this paper provides an example of how newly available data can be used to analyze internal labor markets and suggests how such data can be used to address other issues basic questions in personnel economics include how firms set wages and how people move between jobs within and across firms answering these questions is essential to assessing the relative importance of theoretical models as explanations of the nature of employment relationships these models include agency theory matching and search theory among others historically most attempts to study these models were limited to data sets that are drawn from a random sample of individuals with no identification of firms such as the current population survey cps while much can be learned from such studies much of the inference is indirect and the data may suffer from inconsistent or inaccurate self reported data an alternative strategy used by for example lazear 1992 george baker et al 1994 and kenn ariga et al 1999 is to procure detailed personnel information from a single firm and use it to study the policies at that firm while these papers were successful at providing details of the individual firms they leave open the question of how widely the results generalize especially given that the results are not consistent even across these three papers which are based on different firms an important step in getting past the limits of cps style and individual firm data is to find data sets that provide employee details for numerous firms such data sets have been created in the united states france sweden and other countries as john m abowd and francis kramarz 1999 show these data sets take many forms and like the data that preceded them have varying strengths and weaknesses they have already been used according to abowd and kramarz 1999 in over 100 studies of more than 15 countries that paper provides details on many of these studies as well as comparing some of the features of the various data sets although the u s data have many virtues they lack job information a key advantage of the swedish data used here is its detailed and accurate job classifications this makes it possible to determine whether job openings are filled internally or externally and to follow employees as they change jobs the data include many firms a long panel of years and accurate wage data allowing the study of the relative importance of firms and jobs on wage changes and levels the main results of this paper are as follows first the swedish firms studied fill a significant discussants henry farber princeton university lawrence katz harvard university derek neal university of chicago

the heterogeneity dependence between crude oil price changes and industry stock market returns in china evidence from a quantile regression approach this paper explores the dependence between real crude oil price changes and chinese real industry stock market returns based on the monthly data from 1994 03 to 2014 06 we address this issue using the quantile regression approach enabling a more detailed investigation of structure and degree of dependence empirical results reveal that the reaction of market returns to crude oil is highly heterogeneous across conditional distribution of industry stock returns furthermore there is evidence that this dependence is positive and exists only in recessions or bearish markets with low expected returns the dependence at low quantiles is not limited to one market but is a common feature across industries additionally dependence also changes since the onset of structural breaks we determine that chinese industry stock and global crude oil markets have contagion in rare situations most cases do not demonstrate contagion

international business cycles world region and country specific factors the paper investigates the common dynamic properties of business cycle fluctuations across countries regions and the world we employ a bayesian dynamic latent factor model to estimate common components in macroeconomic aggregates output consumption and investment in a 60 country sample covering seven regions of the world the results indicate that a common world factor is an important source of volatility for aggregates in most countries providing evidence for a world business cycle we find that region specific factors play only a minor role in explaining fluctuations in economic activity we also document similarities and differences across regions countries and aggregates jel f41 e32 c11 c32

cross sectional and time series biases in factor demand studies explaining energy capital complementarity engineering and econometric studies of the ability to substitute energy for capital often give different results engineering studies typically show substitution to be normal while many econometric studies show energy and capital to be complements berndt and wood recently 13 attempted a reconciliation by showing that there was no logical conflict between two factors being gross substitutes but net complements there is an alternative reconciliation based on differing output definitions in the engineering and econometric literatures in addition differences between cross sectional and time series studies appear to be due to holding different output measures constant the econometric studies that found substitution were cross sectional studies comparing either different countries 25 47 or comparing different u s states 3 27 28 the work of field and grebenstein 19 for physical capital appears to be an exception in contrast the studies based on time series data whether static models of the u s 2 12 31 or dynamic models of the u s economy 6 11 16 45 a generalized box jenkins function for the u s 9 or time series data for the netherlands 37 show complementarity the pooled time series cross sectional canadian data of fuss 20 and denny fuss and waverman 16 do not show a clear pattern the differences among estimates of energy capital substitution are large enough to cast grave doubt on the basic hypothesis that elasticities of substitution can be measured econometrically these results are embarrassing for econometrics and cry out for explanation this consistent pattern of opposite answers from cross sectional and timeseries studies suggests either that different things are being estimated or systematic biases exist in one or both methodologies the proposed resolution involves a failure to control for product mix differences which biases the two methodologies in opposite directions energy capital substitution elasticities will be overestimated in cross sectional studies in contrast a failure to control for product mix along with other statistical problems biases time series studies towards complementarity thus the difference in estimates is argued to be due to biases in opposite directions a similar problem has been pointed out by berndt 4 who notes that estimates of capitallabor substitution are much greater for cross sectional studies than for time series studies this will also be argued to be due to failure to control for product mix the basic points to be made in this paper include

pay equality and industrial politics personnel managers often argue that equitable pay treatment manifested as wage compression is useful because it reduces disharmony among workers but it is far from obvious that a compressed salary structure is morale improving since better workers may feel disenchanted by this scheme however when workers rewards are based on relative comparisons salary compression reduces uncooperative behavior that is detrimental to the firm relative comparisons imply that some reference group must be selected the major result is that within the relevant groups some wage compression is efficient

an econometric estimation of hicksian and marshallian elasticities in indian manufacturing the knowledge of substitution possibilities between different factors of production is essential in evaluating the impact of public policies on productivity employment industrial growth and factor intensity since the advent of flexible functional forms in the early 1970s a large number of studies have estimated the ease of factor substitution however to date most of the empirical evidence on factor substitution is based on a cost function a drawback with the cost function

integrated longitudinal employer employee data for the united states the development of a database infrastructure that captures the complex interactions among households and businesses at the microeconomic level and characterizes the dynamics of the modern economy is critical for the social sciences the creation of such an infrastructure has posed a major challenge to national statistical institutes since most institutes collect store and disseminate data on the engines of economic growth businesses and households in twin data silos proposals to integrate the two face technical monetary legal and policy obstacles that go far beyond the norm of datacollection activities recent efforts at the longitudinal employer household dynamics lehd program at the u s census bureau have finally made this critical data infrastructure achievable and accessible the potential uses of longitudinal integrated employer employee data are far reaching a partial list includes the effect of technological and structural change on earnings employment and productivity the analysis of the firmspecific contribution to pay the effect of firm wage setting and turnover policies on productivity the impact of firm policies on different groups of workers e g welfare recipients the effect of firm expansion exit and relocation decisions on neighborhood demographic composition the analysis of worker commuting patterns and mobility and a full accounting of the

status and incentives this article introduces status as reflecting an agent s claim to recognition in her work this is a scarce resource increasing an agent s status requires that another agent s status be decreased higher status agents are more willing to exert effort in exchange for money better paid agents would exert higher effort in exchange for improved status the results are consistent with actual management practices i egalitarianism is desirable in a static context ii in a long term work relationship juniors compensation is delayed and iii past performance is rewarded by pay increases along with improved status within the organization s hierarchy

social rewards externalities and stable preferences this paper examines the role of social rewards as a corrective mechanism for activities which generate externalities the focus of this paper is on the circumstances under which social rewards provide effective and feasible incentive mechanism that may replace laws and regulations in particular social mechanism is effective only in a society in which individuals who care about their standing in the society can survive in the long run we show that the nature of economic interaction between matched players influences whether the socially minded individuals survive in the long run and restricts the effectiveness of social rewards however circumstances exist where the socially minded survive even though relative fitness is determined only by economic payoff 1998 elsevier science s a all rights reserved

realized volatility transmission between crude oil and equity futures markets a multivariate har approach this paper differs from extant literature because it studies volatility co movements with a multivariate orthogonalized har model a flexible specification for the time series of realized volatility which is able to identify short mid and long term spillover effects we examine volatility transmission mechanisms using high frequency data of the stock index futures on s p 500 nikkei 225 ftse 100 and the futures on the west texas intermediate crude oil during the period from september 2002 to september 2012 considering the full sample the short term volatility of the equity futures contains information about future oil volatility incremental to the information inherent in the time series of oil volatility on the other hand weekly and monthly volatilities do not exhibit a significant spillover effect breaking the whole sample into three subsamples no significant granger causalities are observed in the pre crisis period while in the crisis time and its aftermath we document that the us and uk equity market volatilities to granger cause the oil futures volatility which itself leads the japanese market in terms of magnitude we observe an increase in the short term volatility spillover over time studying the residuals of the har transmission models within a ccc dcc garch framework reveals increasing instantaneous correlation between the energy and equity volatilities in the course of time

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

a wavelet analysis of mean and volatility spillovers between oil and brics stock markets this paper investigates the spillover effects of volatility and shocks between oil prices and the brics stock markets using multivariate approach and wavelet analysis at different time horizons hence we combine a multivariate arma garch model and wavelet multiresolution analysis to study this phenomenon a bivariate arma 1 1 garch 1 1 cdcc student t model was joined with modwt filter to capture a broad range of possible spillover effects in mean and variances of level prices at various time horizons generally empirical results provide strong evidence of time varying volatility in all markets under study however our proposed approach shows that oil price and stock market prices are directly affected by their own news and volatilities and indirectly affected by the volatilities of other prices and wavelet scale the results show also that mean and volatility spillover effects was decomposed into many sub spillovers on different time scales according to heterogeneous investors and market participants the practical implications of this study are critical innovative and useful for the local and international investors and also for the portfolio managers they can utilize this study to formulate the optimal oil bricks stock portfolios as well as lead to more accurate predictions of volatility spillovers patterns also in developing their hedging strategies

repeated moral hazard the role of memory commitment and the access to credit markets abstract the dynamic dimension introduces new questions in moral hazard models thus the roles of memory and commitment have recently raised a marked interest the goal of this paper is to discuss and clarify the issues at hand and to present some new results we show that two conditions are necessary for the optimal long term contract to be implementable via spot contracts first the long term optimum should be renegotiation proof second spot contracts should provide efficient consumption smoothing we discuss how the availability of credit to the agent affects these two prerequisites we also study the hitherto neglected case in which the repetition of the moral hazard problem generates hidden information at recontracting dates the optimal renegotiation proof contract then implements the minimum effort level unless it involves randomized savings

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

an empirical analysis of the relationship between oil prices and the chinese macro economy using the quarterly data from the first quarter of 1996 to the fourth quarter of 2014 this paper studies the relationship between oil prices and the chinese macro economy we find output and interest rate respond significantly to oil price shocks further analysis reveals that the positive response of output to oil price shocks is attributed to the influences of oil price shocks on exports the oil price shocks have both longer and deeper effects on the exports of state owned enterprises than on those of foreign investment enterprises moreover the response of exports to oil price shocks is symmetric finally oil prices are found to be useful for forecasting the china s exports in the periods shorter than about two years

oil price shocks and china s economy reactions of the monetary policy to oil price shocks abstract the paper empirically analyzes the effect of positive oil price shocks on china s economy having special interest in the response of the chinese interest rate to those shocks using different econometric models i a time varying parameter structural vector autoregression tvp svar model with short run identifying restrictions ii a structural var svar model with the short run identifying restrictions and iii a var model with ordering free generalized impulse response var gir var we find that the response of the chinese interest rate to the oil price shocks is not only time varying but also showing quite different signs of responses specifically in the earlier sample period 1992 4 2001 10 the interest rate shows a negative response to the oil price shock while in the latter period 2001 11 2014 5 it shows a positive response to the shock given the negative response of the world oil production to an oil price shock in the earlier period the shock is identified as a negative supply shock or a precautionary demand shock as suggested by kilian 2009 thereby the negative response of the interest rate to the oil price shock is deemed as economy boosting the positive response of the interest rate to the oil price shock in the later period given that this shock is identified as a positive world oil demand shock gives evidence that stabilization of inflation is one of the main objectives of china s monetary authority even though the current main objective of the monetary policy is characterized as maintaining the stability of the value of the currency and thereby promoting economic growth finally the variance decomposition results reveal that the oil price shock becomes an increasingly important source in the volatility of china s interest rate

capacity utilization and depreciation in use in this paper the effect capacity utilization has on the depreciation of capital goods is studied starting from a quadratic approximation to a normalized short run cost function expressions for the optimal rate of capacity utilization the demands for labour and energy and for investment are obtained investment is a function of past capital stock expected future capital stock expected future relative prices and expected future depreciation rates expectations are modelled via instruments the model is tested using us total manufacturing quarterly data depreciation dependent upon usage is found to be both statistically and economically significant

the firm as the locus of social comparisons standard promotion practices versus up or out we suggest a parsimonious dynamic agency model in which workers have status concerns a firm is a promotion hierarchy in which a worker s status depends on past performance we investigate the optimality of two types of promotion hierarchies i standard promotion practices where agents have a job guarantee and ii up or out in which agents are fired when unsuccessful we show that up or out is optimal if success is difficult to achieve when success is less hard to achieve standard promotion practices are optimal provided the payoffs associated with success are moderate otherwise up or out is again optimal

self fulfilling expectations and the inflation of the 1970s evidence from the livingston survey abstract using survey data on expectations we examine whether the response of monetary policy to sudden movements in expected inflation contributed to the persistent high inflation of the 1970s the evidence suggests that prior to 1979 the fed accommodated temporary shocks to expected inflation which then led to persistent increases in actual inflation we do not find this behavior in the post 1979 data among commonly cited factors oil and fiscal shocks do not appear to have triggered an increase in expected inflation that eventually resulted in higher actual inflation

asset prices and expected monetary policy evidence from daily data this article explores the relationships among libor gold prices the exchange rate oil prices fed funds futures prices and stock prices at a daily frequency this article examines whether expected monetary policy measured by changes in the prices of fed funds futures contracts reacts to high frequency changes in asset prices and in turn whether asset prices respond to changes in expected monetary policy the article reveals that there are statistically significant relationships between expected us monetary policy and shocks to libor and exchange rates it also reveals that there is no evidence of a systematic relationship between stock prices and expected monetary policy changes splitting the data into expansionary and recessionary periods using nber dating we find results for the expansionary periods that are very similar to the results for the entire period for the periods of recession we find little evidence of significant linkages between markets

employment tenure and earnings profiles in japan and the united states comments the relationship between job tenure and annual earnings in japan has received considerable attention from social scientists examining employment contracts and the japanese compensation system in their widely cited article masanori hashimoto and john raisian 1985 using data for 1980 showed that japanese men have greater job tenure than comparable workers in the united states and that the earnings of japanese men rise more rapidly with increased tenure they found that an additional year of tenure increases earnings in both small and large firms in japan more than does an additional year of general market experience their results for the united states indicate that general market experience increases earnings more than an additional year of job tenure the 1970 s and 1980 s were a period of substantial change in japanese labor markets due to the rapid aging of the population and the restructuring of the economy following the oil crisis the present analysis extends the work of hashimoto and raisian by estimating earnings equations for japanese men for the years 1971 1976 1981 and 1986 specifically we wish to investigate whether hashimoto and raisian s findings have been stable over time or whether changes in the labor market have altered the importance of tenure relative to total labor market experience in the japanese labor market i changes in the labor market

exogenous oil supply shocks how big are they and how much do they matter for the u s economy abstract the paper proposes a new measure of exogenous oil supply shocks the timing the magnitude and the sign of this measure may differ greatly from current state of the art estimates it is shown that only a small fraction of the observed oil price increases during oil crisis periods can be attributed to exogenous oil production disruptions exogenous oil supply shocks cause a sharp drop of u s real gdp growth after five quarters rather than an immediate and sustained reduction in economic growth and a spike in cpi inflation after three quarters overall exogenous oil supply shocks made remarkably little difference for the evolution of the u s economy since the 1970s although they did matter for some historical episodes

impact of oil price shocks on output inflation and the real exchange rate evidence from selected asean countries this article analyses the impact of oil price shocks on real output inflation and the real exchange rate in thailand malaysia singapore the philippines and indonesia asean 5 using a structural var model the cointegration tests indicate that the macroeconomic variables of these countries are cointegrated and share common trends in the long run the impulse response functions reveal that oil price fluctuations do not impact the asean 5 economies in the long run and much of its effect is absorbed within five to six quarters the variance decomposition results further assert that with a few exceptions oil price shocks do not explain a significant variation in any of the variables under consideration we also identify a very unique pattern of response to oil price fluctuations between malaysia and singapore and between the philippines and thailand the pairs exhibit a high degree of similarity in their responses they do not share any commonalities across the group

social capital at the top effects of social similarity and status on ceo compensation this study explored the effects of social capital measured both absolutely and relatively on ceo compensation in a sample of 61 ceo compensation committee chairperson dyads we controlled for var

the cyclical behavior of monthly nymex energy prices abstract this paper systematically investigates the basic stylized facts of energy price movements using monthly data for the period that energy has been traded on organized exchanges and the methodology suggested by kydland and prescott kydland f e prescott e c 1990 business cycles real facts and a monetary myth fed reserve bank minneapolis q rev spring 3 18 the results indicate that energy prices are in general procyclical in contrast to the accepted fact that energy prices are countercyclical and leading the cycle

labor economics and the psychology of organizations this essay is a discussion of how economists are attempting to understand institutions within the organizations of the labor market the institutions and issues discussed include mandatory retirement discontinuous jumps in wages pay compression rights of tenure up or out hierarchies timing of raises promotions and evaluations the existence of partnerships the use of bonuses vs penalties and pay as a motivator

scale biased technological development in canada s industrialization 1900 1929 the relationships between factor use and scale and technological change and scale are emphasized in a translog cost function analysis of technological development in four sectors of canadian manufacturing 1900 29 by paying particular attention to the role of electrification in this technological development the major findings are that the increased use of electricity was not in general scale dependent and that electrification may have been a factor in increasing the relative productivity of smaller scale units over the period a hypothesis that states that technical change is partially induced by increased scale is however confirmed copyright 1990 by mit press

performance responses to competition across skill levels in rank order tournaments field evidence and implications for tournament design tournaments are widely used in the economy to organize production and innovation we study individual data on 2775 contestants in 755 software algorithm development contests with random assignment the performance response to added contestants varies nonmonotonically across contestants of different abilities precisely conforming to theoretical predictions most participants respond negatively whereas the highest skilled contestants respond positively in counterfactual simulations we interpret a number of tournament design policies number of competitors prize allocation and structure number of divisions open entry and assess their effectiveness in shaping optimal tournament outcomes for a designer

measures of capacity utilization and its determinants a study of indian manufacturing we estimate capacity utilization cu rates in for selected industries in indian manufacturing for the 20 year period 1976 1996 we estimate a generalized leontief variable cost function with capital as a quasi fixed input to derive our cu measures using error component techniques we note substantial variations in cu both across industries and over time in general we find that cu rates were higher in the earlier time period dropped in the mid 80s and started rising again in the early 90s cu rates in our analysis are sensitive to input prices with the sole exception of the price of labor we also confirm the standard result that variations in demand are a significant driving force for variations in cu we find that cu is positively related to the magnitude of labor intensity in production this holds for both between industries and within industries empirical results also indicate that traditional measures of cu such as minimum capital output ratio and peak to peak are not appropriate proxies for

capital energy substitution evidence from a panel of irish manufacturing firms abstract we use a translog cost function to model production in the irish manufacturing sector over the period from 1991 to 2009 we estimate both own and cross price elasticities and morishima elasticities of substitution between capital labour materials and energy we find that capital and energy are substitutes in the production process across all firms we find that a 1 rise in the price of energy is associated with an increase of 0 04 in the demand for capital the morishima elasticities which reflect the technological substitution potential indicate that a 1 increase in the price of energy causes the capital energy input ratio to increase by 1 5 the demand for capital in energy intensive firms is more responsive to increases in energy prices while it is less responsive in foreign owned firms we also observe a sharp decline in firms responsiveness in the first half of the sample period

the spanish automotive industry scale economies and input relationships this paper investigates the existence of economies of scale in the spanish automobile industry as well as the substitution possibilities between input pairs and the direct and cross price elasticities of demand for the various inputs by estimating a translog cost function for both a three input model involving capital labour and intermediate goods as well as a four input model where energy is separated from other intermediate goods the results of this study are consistent with the hypothesis of economies of scale in the spanish automobile industry particularly at the low and mean levels of output these results also are consistent with the hypothesis that capital is a substitute for the other inputs but that labour and intermediate goods are complements labour and energy also appear to have a complementary relationship over most of the data points in this study the significance of a complementary relationship between labour and intermediate goods is that any attempt by the spanish government to res

the multiperiod principal agent problem in repeated principal agent models long term contracts can improve on short term contracts only if they commit either principal or agent to a payoff in some future circumstance lower than could be obtained from a short term contract negotiated if that circumstance occurs we show that efficient contracting under moral hazard alone does not require long term commitment from the principal provided a short term contract can punish the agent sufficiently in a sense made precise it requires no commitment from the agent either then linking payoffs in one period to outcomes in previous periods does not improve the tradeoff between incentives and risk sharing

the causal nexus between oil prices and equity market in the u s a regime switching model abstract the aim of this paper is to analyse the causal link between monthly oil futures price changes and a sub grouping of s p 500 stock index changes the causal linkage between oil and stock markets is modelled using a vector autoregressive model with time varying parameters so as to reflect changes in granger causality over time a markov switching vector autoregressive ms var model in which causal link between the series is stochastic and governed by an unobservable markov chain is used for inferring time varying causality although we do not find any lead lag type granger causality the results based on the ms var model clearly show that oil futures price has strong regime prediction power for a sub grouping of s p 500 stock index during various sub periods in the sample while there is a weak evidence for the regime prediction power of a sub grouping of s p 500 stock indexes the regime prediction non causality tests on the ms var model show that both variables are useful for making inference about the regime process and that the evidence on regime prediction causality is primarily found in the equation describing a sub grouping of s p 500 stock market returns the evidence from the conditional non causality tests shows that past information on the other series fails to improve the one step ahead prediction for both oil futures and stock returns

expectations learning and the changing relationship between oil prices and the macroeconomy this paper estimates a structural general equilibrium model to investigate the changing relationship between the oil price and macroeconomic variables the oil price through the role of oil in production and consumption affects aggregate demand and supply in the model the assumption of rational expectations is relaxed in favor of learning oil prices therefore affect the economy through an additional channel i e through their effect on the formation of agents beliefs the estimated learning dynamics indicates that economic agents perceptions about the effects of oil prices on the economy have changed over time oil prices were perceived to have large effects on output and inflation in the 1970s but only milder effects after the mid 1980s since expectations play a large role in the determination of output and inflation the effects of oil price increases on expectations can magnify the response of macroeconomic variables to oil price shocks in the estimated model in fact the implied responses of output and inflation to oil price shocks were much more pronounced in the 1970s than in 2008 therefore through the time variation in the impact of oil prices on beliefs the paper can successfully explain the observed weakening of the effects of oil price shocks on real activity and inflation