quantile dependence of oil price movements and stock returns we examine the impact of quantile and interquantile oil price movements on different stock return quantiles by testing the hypothesis of equality in conditional and unconditional quantile distribution functions of stock returns we capture quantile dependence under different stock market conditions while taking into account different kinds of oil price movements by computing unconditional and conditional stock return quantiles through marginal models for stock returns and copula functions for oil stock dependence analyzing stock return data for three developed economies the us the uk and the european monetary union and the five brics countries brazil russia india china and south africa for 2000 to 2014 our results indicate that 1 the impact of extreme upward and downward oil price changes on upper and lower stock price quantiles was much smaller before compared to after crisis onset 2 the downside spillover effects were larger than the upside spillover effects for most countries before crisis onset and for all countries after crisis onset and 3 small positive and negative oil price movements had no impact on any stock return quantiles neither before nor after crisis onset

price and volatility spillovers across the international steam coal market we examine the degree of integration of the global steam coal market using a variety of measures we show that the australian market remains the dominant force in setting world coal prices followed by mozambique and south africa we find little evidence of asymmetric price and volatility transmission in fact most markets react to both positive and negative shocks in a symmetric manner the coal market displays a significant degree of integration although this effect varies over time while china provides a major source of volatility to the global coal market it is relatively insignificant in terms of price transmission

the effects of total factor productivity and export shocks on a small open economy with unemployment abstract the paper analyzes the dynamic effects of a supply side shock and a demand side shock which hit an open economy with unemployment the supply side shock is modeled as a reduction in total factor productivity whereas the demand side shock is caused by a drop in exports the model builds upon the small one sector two good open economy framework described in turnovsky 2000 chapter 11 3 in contrast to this standard framework in which walrasian labor markets are assumed search unemployment and wage bargaining are introduced and unemployment results from time consuming and costly matching of vacancies with searching agents using a plausible calibration of the model the dynamic adjustments of unemployment output and other economic key variables are analyzed we find that a negative export shock primarily has effects on consumption and welfare but not on unemployment and output whereas the supply side shock leads to considerable responses of unemployment output consumption and welfare if both shocks together hit the economy the changes in consumption and welfare almost double

conditional dependence structure between oil prices and exchange rates a copula garch approach abstract we study the conditional dependence structure between crude oil prices and u s dollar exchange rates using a copula garch approach various copula functions of the elliptical archimedean and quadratic families are used to model the underlying dependence structure in both bearish and bullish market phases over the 2000 2011 period we find evidence of significant and symmetric dependence for almost all the oil exchange rate pairs considered the rise in the price of oil is found to be associated with the depreciation of the dollar moreover we show that student t copulas best capture the extreme dependence and that taking the extreme comovement into account leads to improve the accuracy of var forecasts our main results remain unchanged when considering alternative garch type specifications and the crisis period but are sensitive to the use of raw returns

oil prices and the stock prices of alternative energy companies energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements while it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices in this paper a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices technology stock prices oil prices and interest rates our results show technology stock prices and oil prices each individually granger cause the stock prices of alternative energy companies simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices these results should be of use to investors managers and policy makers

the dynamic linkages between crude oil and natural gas markets abstract the time varying price spillovers between natural gas and crude oil markets for the period 1994 to 2014 are investigated contrary to earlier research we show that in a large part of our sample the natural gas price leads the price of crude oil with price spillover effects lasting up to two weeks this result is robust to a battery of tests including out of sample forecasting exercises however after 2006 we detect little price dependencies between these two energy commodities these findings arise due to a conjunction of both demand and supply side shocks arising from both natural and economic events including hurricane katrina the tohoku earthquake and the global financial crisis as well as infrastructure and technological improvements the increased use of new technologies such as hydraulic fracking for the extraction of gas and oil in particular affected supply in the latter part of the study we conclude that the long term relation present in the early part of the sample has decoupled such that price determination of these two energy sources is now independent

volatility spillovers between oil prices and stock sector returns implications for portfolio management abstract in this article we take a recent generalized var garch approach to examine the extent of volatility transmission between oil and stock markets in europe and the united states at the sector level the empirical model is advantageous in that it typically allows simultaneous shock transmission in the conditional returns and volatilities insofar as volatility transmission across oil and stock sector markets is a crucial element for portfolio designs and risk management we also analyze the optimal weights and hedge ratios for oil stock portfolio holdings with respect to the results our findings point to the existence of significant volatility spillover between oil and sector stock returns however the spillover is usually unidirectional from oil markets to stock markets in europe but bidirectional in the united states our back testing procedures finally suggest that taking the cross market volatility spillovers estimated from the var garch models often leads to diversification benefits and hedging effectiveness better than those of commonly used multivariate volatility models such as the ccc garch of bollerslev 1990 the diagonal bekk garch of engle and kroner 1995 and the dcc garch of engle 2002

on the links between stock and commodity markets volatility this paper investigates the links between price returns for 25 commodities and stocks over the period from january 2001 to november 2011 by paying a particular attention to energy raw materials relying on the dynamic conditional correlation dcc garch methodology we show that the correlations between commodity and stock markets evolve through time and are highly volatile particularly since the 2007 2008 financial crisis the latter has played a key role emphasizing the links between commodity and stock markets and underlining the financialization of commodity markets at the idiosyncratic level a speculation phenomenon is highlighted for oil coffee and cocoa while the safe haven role of gold is evidenced

trade and search generated unemployment we argue that trade economists should begin to seriously consider environments in which unemployment is carefully modeled we introduce such a model derive several results and compare them to results derived in full employment models we argue that some traditional results are probably too narrow the determinants of comparative advantage and that some results do not generalize to models with unemployment the link between trade and income distribution for employed factors we also show that in some important cases results do generalize there is an extended stolper samuelson theorem that links trade to the distribution of income for searching factors and that our model allows us to address issues that traditional models cannot handle the impact of trade on unemployment and the welfare of the unemployed 1999 elsevier science b v all rights reserved

dynamic steam coal market integration evidence from rolling cointegration analysis abstract the aim of the paper is twofold first to assess the dynamics of the integration process of the international steam coal prices and second to investigate the changes in the roles of particular coal prices in this market in the light of changes in the structure of supply and demand the analysis is based on steam coal prices set by the largest world exporters and importers on both the atlantic and the pacific markets we use weekly data spanning from october 5 2001 to march 28 2014 the aim is achieved in two stages during the first one we use the rolling trace test to identify the integration of the steam coal market and during the second one we apply the rolling weak exogeneity test to determine the roles of the participants of the international steam coal market namely price setters and price takers our main findings can be summarized in two observations firstly the main world steam coal prices are integrated and during the period when freight costs are higher the coal market integration is weaker and when the costs are lower the integration is stronger secondly the role of particular coal prices is not stable in time generally price setters appear in the market which covers greater shares in the physical coal trade although indonesia and russia have a great share in the global export their prices remain price takers during the whole period as a consequence although russia remains the largest coal exporter of the steam coal to the european market it cannot dictate its prices in this market

the handbook of international macroeconomics preface 1 introduction rick van der ploeg amsterdam 2 quantity constrained models of open economies neil rankin warwick 3 imperfect competition and open economy macroeconomics huw d dixon york 4 relative price movements in dynamic general equilibrium models of international trade david backus nyu patrick kehoe pennsylvania and finn kydland carnegie mellon 5 international fiscal policy coordination and competition assaf razin and efraim sadka tel aviv 6 capital taxation in the world economy a lans bovenberg tilburg 7 history of the international monetary system implications for research in international macroeconomics and finance barry eichengreen berkeley 8 on inflation unemployment and the optimal exchange rate regime george alogoskoufis athens 9 macroeconomic policy speculative attacks and balance of payments crisis pierre richard agenor and robert p flood imf 10 continuous time models of exchange rates and intervention giuseppe bertola princeton 11 stylized facts of nominal exchange rate returns casper g de vries leuven 12 partial versus general equilibrium models of international capital market equilibrium 13 sovereign debt kenneth kletzer santa cruz 14 growth and external debt daniel cohen cepremap 15 growth and deficits in an interdependent world index

assessment of the relationship between oil prices and us oil stocks abstract this paper qualitatively and quantitatively analyzes the relationship between us monthly ending oil stocks position with that of west texas intermediate wti oil prices from february 1995 to july 2004 the paper concludes if other things are held constant wti is inversely related to the petroleum products ppp combined petroleum products and crude oil cppp crude oil alone crude total oil stocks including petroleum products crude oil and strategic petroleum reserves spr total total gasoline tgo total distillate tdo it could not establish a statistically significant and negative relationship with spr when run alone one percent increase decrease in cppp ppp crude total tgo and tdo leads to decrease increase in wti respectively by 0 70 0 43 0 37 0 97 0 26 and 0 21 percent oil prices are largely influenced by total crude and crude and ppp inventories levels while modestly with variations in gasoline and distillate stocks levels despite a healthy increase of over 22 percent in spr from january 2001 to april 2004 it did not result in easing of oil prices primarily because spr are meant for security of supply concern and are only released under extreme conditions by the president of united states they are neither meant for the purposes of balancing supply demand gap nor for the stability of oil prices the aggressive spr buildup in recent years is related to international terrorism geopolitical situation in the middle east particularly in iraq that encourages us government to enhance its spr to meet any short term eventuality the analyst must keep a close eye on cppp and the total oil stocks variation to forecast wti in the short run whilst gasoline and distillate influence oil prices modestly in the short run spr on the other hand are expected to play a pivotal role in balancing oil prices and in providing a critical resource for the economy in case of any major shortfall in the long run

nonparametric panel data model for crude oil and stock market prices in net oil importing countries abstract this paper introduces an innovative nonparametric panel data approach to model the long run relationship between the monthly oil price index and stock market price indices of ten large net oil importing countries namely the united states japan china south korea india germany france singapore italy and spain in the proposed model we allow the coefficient on the oil price index to be a time varying function which evolves over time in a way that is assumed to be unknown we also allow the common trend function to evolve over time as well as extending the model further to incorporate country specific trend functions we employ a data driven local linear method to estimate these time varying trend and coefficient functions the results show that despite being largely positive there are several downward trends reflecting the aftermath of the iraq war and the recent unprecedented drop in the oil price overall we find that the nonparametric panel data model better captures the way in which the underlying stock oil price relationship has evolved over time in comparison to the point estimates of the parametric counterpart moreover we find that stock market fundamentals play a significant role in determining the oil stock price relationship our findings have important implication for policymakers and financial speculators

assessing the impact of oil returns on emerging stock markets a panel data approach for ten central and eastern european countries abstract this paper uses an international multi factor model in order to investigate the relationship between oil price risk and stock market returns for the emerging capital markets of the central and eastern european countries ceecs a panel data approach is being employed for the period covering 22 october 1999 until 23 august 2007 the oil price beta is found to be negative and statistically significant suggesting that the oil price is indeed an important factor in determining stock returns no statistically significant non linear dependency is found between market risk and emerging market stock returns or between oil price risk and returns observation of conditional models shows positive reaction of emerging stock market returns to upward movements of market returns the reaction of the stock returns to upward and downward movements of the oil market is also negative but more significant when oil prices are low

oil prices and real exchange rates in this paper we investigate the long run relationship between real oil prices and real exchange rates by using a monthly panel of g7 countries from 1972 1 to 2005 10 we first test whether exchange rates are cointegrated with real oil prices it is shown that real oil prices may have been the dominant source of real exchange rate movements and that there is a link between real oil prices and real exchange rates we then examine the ability of real oil prices to forecast future real exchange returns panel predictive regression estimates suggest that real oil prices have significant forecasting power the out of sample prediction performances demonstrate greater predictability over longer horizons

modelling volatility spillovers for bio ethanol sugarcane and corn spot and futures prices the recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices returns and volatility of related agricultural commodities analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge their portfolios and manage the risk and co risk of their biofuel and agricultural commodities there have been many papers concerned with analyzing crude oil and agricultural commodities separately the purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio ethanol and related agricultural commodities specifically corn and sugarcane the diagonal bekk model is used as it is the only multivariate conditional volatility model with well established regularity conditions and known asymptotic properties the daily data used are from 31 october 2005 to 14 january 2015 the empirical results show that in 2 of 6 cases for the spot market there were significant negative co volatility spillover effects specifically corn on subsequent sugarcane co volatility with corn and sugarcane on subsequent corn co volatility with sugarcane in the other 4 cases there are no significant co volatility spillover effects there are significant positive co volatility spillover effects in all 6 cases namely between corn and sugarcane corn and ethanol and sugarcane and ethanol and vice versa for each of the three pairs of commodities it is clear that the futures prices of bio ethanol and the two agricultural commodities corn and sugarcane have stronger co volatility spillovers than their spot price counterparts these empirical results suggest that the bio ethanol and agricultural commodities should be considered as viable futures products in financial portfolios for risk management

effective tax rates in macroeconomics cross country estimates of tax rates on factor incomes and consumption abstract this paper proposes a method for computing tax rates using national accounts and revenue statistics using this method we construct time series of tax rates for large industrial countries the method identifies the revenue raised by different taxes at the general government level and defines aggregate measures of the corresponding tax bases this method yields estimates of effective tax rates on factor incomes and consumption consistent with the tax distortions faced by a representative agent in a general equilibrium framework these tax rates compare favorably with existing estimates of marginal tax rates and highlight important international differences in tax policy

unemployment dynamics with international capital mobility abstract we study the response of domestic unemployment rates to shocks in total factor productivity for economies with high capital mobility and low labour mobility we show that high capital mobility amplifies the impact on the domestic unemployment rate of domestic fluctuations in total factor productivity shortens the lag of the response to shocks and raises the variability of unemployment but average unemployment is unaffected capital flows increase the riskiness of labour income and reduce the riskiness of capital income but do not reduce mean welfare

relationships between oil price shocks and stock market an empirical analysis from china this paper investigates the interactive relationships between oil price shocks and chinese stock market using multivariate vector auto regression oil price shocks do not show statistically significant impact on the real stock returns of most chinese stock market indices except for manufacturing index and some oil companies some important oil price shocks depress oil company stock prices increase in oil volatility may increase the speculations in mining index and petrochemicals index which raise their stock returns both the world oil price shocks and china oil price shocks can explain much more than interest rates for manufacturing index

oil price shocks and stock market returns evidence for some european countries abstract in this paper we examine the impact of oil price shocks on stock returns in 12 oil importing european economies using vector autoregressive var and vector error correction models vecm for the period 1973 02 2011 12 we propose an alternative oil price shock specification that takes into account both world oil production and world oil prices in order to disentangle oil supply and oil demand shocks we find that the response of the european real stock returns to an oil price shock may differ greatly depending on the underlying causes of the oil price change the results suggest the existence of a negative and significant impact of oil price changes on most european stock market returns furthermore we find that stock market returns are mostly driven by oil supply shocks

education credentials and immigrant earnings using 1981 to 2001 census data we study how the human capital of immigrants is rewarded in canada we distinguish between years of schooling and degrees obtained in order to estimate sheepskin effects the gain in earnings associated with receipt of a degree controlling for years of schooling we find that immigrant years of schooling and immigrant work experience accumulated before arrival is valued much less than canadian experience of comparable natives however for immigrants the increase in earnings associated with completing educational programs is generally higher than that of comparable natives we provide both signalling and human capital interpretations of this finding a l aide des donnees de recensement entre 1981 et 2001 on examine la facon dont le capital humain des immigrants est reconnu et remunere au canada on fait la distinction entre les annees de scolarite et les grades obtenus afin de calibrer les effets du diplome les gains associes a l obtention du grade apres avoir pris en compte les annees de scolarite on decouvre que les annees de scolarite et d experience accumulees par les immigrants avant leur arrivee recoivent une ponderation moins grande que l experience comparable des canadiens cependant pour les immigrants le fait de completer leur programme a un effet sur l accroissement des revenus qui est plus important que pour les canadiens de souche on suggere des interpretations de ces resultats a partir de theorisations fondees sur le capital humain et la theorie des signaux

u s stock returns and oil prices the tale from daily data and the 2008 2009 financial crisis abstract using daily data from january 1999 to december 2011 we examine u s stock returns s p 500 dow jones nasdaq and russell 2000 based on a wide range of information including equity vix volatility inflation expectations interest rates gold prices and the usd euro exchange rate the focus is on oil price returns which have been previously found to exert mostly negative effects on u s stock returns identifying the crisis of 2008 2009 as a significant period of economic contraction and subsequent recovery we check the stability of the stock oil relationship by garch and mgarch dcc models prior to the financial crisis stock returns are slightly negatively affected by oil prices and by the usd euro for the subsample of mid 2009 onwards however stock returns are positively affected by oil prices and a weaker usd euro as with inflation expectations we interpret these findings as u s stocks responding positively to expectations of recovery worldwide our proposed explanation is due to the changing correlation between stock markets and oil either by standard garch models or by mgarch dcc models allowing the implied correlation to vary over time

crude oil prices and sectoral stock returns in jordan around the arab uprisings of 2010 abstract in this paper we test for mean and variance causality between world oil prices and sectoral equity returns in jordan before and after the arab uprisings that started in 2010 the testing methodology is based on the sample of cross correlation functions that are computed from the standardized residuals of a garch process our results show that the influence is not uniform across the equity sectors the oil return shocks significantly impact the financials and the services sectors while its effect is insignificant on the industrials sector this result is more pronounced in the period that follows the arab uprisings in terms of risk transfer we find that oil is a negligible risk factor however there is still a significant evidence of risk transmission to the industrials sector particularly during the arab uprisings period these results represent a unique information transmission mechanism that is useful for risk management and portfolio diversification

welfare costs of inflation in a dynamic economy with search unemployment abstract we present a monetary general equilibrium model with labor market frictions in the form of search unemployment which is calibrated for the us economy interestingly both employment and output may even increase with the rate of inflation depending on the elasticity of labor supply considering the transition dynamics following a change in the monetary policy the optimal quarterly inflation rate is found to amount to approximately 0 6 in the benchmark case a reduction of the inflation rate from its current level to its optimal value only results in small welfare gains equal to 0 08 of total consumption

oil prices exchange rates and emerging stock markets abstract while two different streams of literature exist investigating 1 the relationship between oil prices and emerging market stock prices and 2 the relationship between oil prices and exchange rates relatively little is known about the dynamic relationship between oil prices exchange rates and emerging market stock prices this paper proposes and estimates a structural vector autoregression model to investigate the dynamic relationship between these variables impulse responses are calculated in two ways standard and the recently developed projection based methods the model supports stylized facts in particular positive shocks to oil prices tend to depress emerging market stock prices and us dollar exchange rates in the short run the model also captures stylized facts regarding movements in oil prices a positive oil production shock lowers oil prices while a positive shock to real economic activity increases oil prices there is also evidence that increases in emerging market stock prices increase oil prices

dynamics of the trade balance and the terms of trade the j curve the authors provide a theoretical interpretation of two features of international data the countercyclical movements in net exports and the tendency for the trade balance to be negatively correlated with current and future movements in terms of trade but positively correlated with past movements they document the same properties in a two country stochastic growth model in which trade fluctuations reflect in large part the dynamics of capital formation the authors find that their general equilibrium perspective is essential the relation between the trade balance and the terms of trade depends critically on the source of fluctuations copyright 1994 by american economic association

multiple free trade equilibria in micro models of unemployment abstract neoclassical theory suggests that trade patterns are linked to autarkic differences in relative opportunity costs we demonstrate that when the heckscher ohlin samuelson model is extended to allow for unemployment there are forces present that create multiple free trade equilibria even when both countries are identical and autarkic equilibrium is unique there is no necessary link between relative opportunity costs and trade patterns while our primary focus is on search generated unemployment we argue that the analysis also applies to situations where unemployment is generated by minimum wages efficiency wages or implicit contracts

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

volatility spillovers for spot futures and etf prices in agriculture and energy abstract the agricultural and energy industries are closely related both biologically and financially the paper discusses the relationship and the interactions on price and volatility and on the covolatility spillover effects for these two industries the interaction and covolatility spillovers or the delayed effect of a returns shock in one asset on the subsequent volatility or covolatility in another asset between the energy and agricultural industries is the primary emphasis of the paper although there has already been significant research on biofuel and biofuel related crops only a few published papers have been concerned with volatility spillovers it must be emphasized that there have been numerous technical errors in the theoretical and empirical research which need to be addressed the paper considers futures prices as a widely used hedging instrument and also considers an interesting new hedging instrument etf which is regarded as index futures when investors manage their portfolios in the empirical analysis multivariate conditional volatility diagonal bekk models are estimated for comparing patterns of covolatility spillovers the paper provides a new way of analyzing and describing the patterns of covolatility spillovers which should be useful for the future empirical analysis of estimating and testing covolatility spillover effects

volatility spillovers for energy prices a diagonal bekk approach abstract we examine the relationship between return and volatility as well as the covolatility spillover for energy foreign currency and stock markets using the diagonal bekk model using daily crude oil natural gas and the coal prices as proxies for energy prices the s p500 index as a proxy for the u s stock market and the eur usd exchange rate as a proxy for the exchange rate we find robust evidence for the volatility spillover effects among the three markets also in the 16 out of 20 pairwise relationships in the five markets there are significant negative covolatility spillover effects in the four pairs involving coal there are positive and significant covolatility spillover effects we conclude that the energy markets and the stock market have stronger covolatility spillovers than others

the empirical relationship between energy futures prices and exchange rates abstract this paper investigates the interaction between energy futures prices and exchange rates results are presented to show that futures prices for crude oil heating oil and unleaded gasoline are co integrated with a trade weighted index of exchange rates this is important because it means that there exists a long run equilibrium relationship between these four variables granger causality results for both the long and short run are presented evidence is also presented that suggests exchange rates transmit exogenous shocks to energy futures prices

the impact of oil price shocks on u s bond market returns abstract this paper examines the effect of the demand and supply shocks driving the global crude oil market on aggregate u s bond index real returns a positive oil market specific demand shock is associated with significant decreases in aggregate bond index real returns for 8 months following the shock a positive innovation in aggregate demand has a negative effect on real bond return that is statistically significant and becomes more adverse over 24 months structural shocks driving the global oil market jointly account for 27 1 of the variation in real bond returns at 24 month horizon a spillover index from rolling svar models is used to identify the interdependence between the oil market and bond returns the mean for this spillover index is 0 381 over 2001 01 2011 12 and 0 476 over september through december 2008 during the height of the global financial crisis

does standardized information in online markets disproportionately benefit job applicants from less developed countries abstract we examine trade in services between employers from developed countries dcs and workers from less developed countries ldcs on an online platform for contract labor we report evidence that 1 dc employers are less likely to hire ldc compared to dc workers even after controlling for a wide range of observables 2 workers with standardized and verified work history information are more likely to be hired and 3 information on verified work history disproportionately benefits ldc contractors the ldc premium also applies to additional outcomes including wage bids obtaining an interview and being shortlisted in addition the evidence suggests that informational limits to trade may be addressed through a variety of market design approaches for instance an online monitoring tool substitutes for verified work history information

job finding and separation rates in the oecd abstract we provide a set of comparable estimates of average monthly job finding and separation rates for over 20 oecd countries that can be used for the cross country analysis of labor markets

growth and unemployment short run and long run tradeoffs abstract we consider the role of search unemployment and wage bargaining in determining the relationship between growth and unemployment while the long run tradeoffs between unemployment and growth are weak the short run tradeoffs are much stronger their comovement varies along the transitional path and depends upon the underlying structural change the consequences of the growth unemployment nexus for fiscal policy are addressed the analysis provides insights into the debate regarding the appropriate fiscal policy in light of the increased debt following the initial response to the recent financial crisis our analysis strongly supports an increase in government investment as the appropriate fiscal policy

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

there goes gravity ebay and the death of distance we compare the effect of geographic distance on ebay and total international trade flows we consider the same 61 countries and basket of goods for both types of transactions we find the effect of distance to be on average 65 smaller on ebay we argue this difference is due to a reduction in search costs it increases with product differentiation and is higher when trade partners speak different languages when corruption in the exporting country is high and when uncertainty avoidance is high in the importing country moreover ebay s seller rating technology further reduces the distance effect on ebay

foreign aid and economic growth the role of flexible labor supply this paper examines the link between foreign aid economic growth and welfare in a small open economy external transfers impinge on the recipient s macroeconomic performance by affecting resource allocation decisions and relative prices the endogeneity of the labor leisure choice plays a crucial role in the propagation of foreign aid shocks the efficacy of foreign aid also depends on externalities associated with the public good that it helps finance the impact of tied and untied aid on the recipient government s intertemporal fiscal balance is examined finally the transitional adjustment to a foreign aid shock is shown to be sensitive to the elasticity of substitution in production and the relative importance of the labor leisure choice in utility

search wage bargains and cycles in this paper i describe an equilibrium model of job matchings with perfect foresight that has the following property the number of people looking for work changes temporarily when there is a temporary shock to the value of labour s marginal product it does not change when the shock is permanent by contrast real wages change temporarily by a small amount when the shock is temporary but change permanently and by a bigger amount when the shock is permanent thus the model offers an explanation for the observation that over the cycle small wage changes are associated with changes in unemployment whereas secularly wage growth does not seem to affect the rate of unemployment the two most common explanations for this observation in the literature the phelps lucas misperceptions model and the lucas rapping intertemporal substitution model are well grounded in equilibrium theory but they have not stood up well to empirical testing the misperceptions model requires more ignorance of aggregate changes than can be reasonably assumed whereas the intertemporal substitution model requires bigger wage elasticities of labour supply than those estimated in the model of this paper neither misperceptions nor changes in the supply of labour play a role in generating the unemployment cycle all agents observe the shocks when they occur and they anticipate correctly the economy s adjustment path but like the new classical explanations of the cycle the model is an equilibrium one in the sense that all private gains from trade are fully exploited at all phases of the cycle although the social gains from trade may not be fully exploited because of search externalities the cycle i derive here is not due to externalities unlike other related perfect foresight models such as diamond s 1982a the structure of the model is such that the externalities do not give rise to multiple equilibria the key element of the model which is responsible for the transmission of output shocks to unemployment is the equation for wages in markets where the allocation of jobs takes place through search both firms and workers have some monopoly power a point emphasised by mortensen 1970 though he attributed only temporary monopoly power and only to firms i use the nash bargaining solution to solve for the equilibrium wage rate and show that the firm s and worker s alternative returns threat points or

the roles of inter fuel substitution and inter market contagion in driving energy prices evidences from china s coal market abstract coal has been dominating energy supply and consumption in china with the country becoming the largest energy supplier and consumer worldwide due to inter fuel substitution of crude oil and inter market contagion of international coal market china s coal price might be interrelated with crude oil price and international coal price however the precise roles of these two effects in determining china s coal price are unknown this paper contributes to previous literature by investigating this issue we find that co movements between china s coal price and crude oil price largely hinge on the shares of oil and coal in china s energy mix while its co movements with international coal price depend on scales of coal trade inter fuel substitution dominated the interaction of china s coal market with other energy types but the importance of inter market contagion has been increasing we also find that china might have become an originator for driving the returns of crude oil and international coal in particular after 2008 furthermore china s coal market is still a net volatility recipient for shocks from both crude oil market and international coal market given the increased integration of global energy markets we anticipate this paper to provide a better understanding on the dynamic changes in china s coal prices

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

interdependence of oil prices and stock market indices a copula approach article i nfo article history in this paper we study the relationship between the oil price and stock market index of various countries between 1982 and 2007 we exclude oil and gas stock companies from the stock indices to remove the obvious direct linkage oil price series are converted into local currency to account for possible exchange rate effects the method of copula is used to model the general dependence between stock returns and oil price returns our findings suggest a weak dependence between oil prices and stock indices for most cases which are consistent with the results from previous studies exceptions are for the stock index returns of large oil consuming and producing countries united states and canada which are shown to have a relatively strong dependence with the oil price series the introduction of euro in 1999 altered considerably dependence between oil prices and stock returns

do structural oil market shocks affect stock prices abstract this paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock market returns in a sample of eight countries australia canada france germany italy japan the united kingdom and the united states for each country the analysis proceeds in two steps first modifying the procedure of kilian kilian l forthcoming not all oil price shocks are alike disentangling demand and supply shocks in the crude oil market american economic review we employ a vector error correction or vector autoregressive model to decompose oil price changes into three components oil supply shocks global aggregate demand shocks and global oil demand shocks the last component relates to specific idiosyncratic features of the oil market such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies second recovering the oil supply shocks global aggregate demand shocks and global oil demand shocks from the first analysis we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries we find that international stock market returns do not respond in a large way to oil market shocks that is the significant effects that exist prove small in magnitude

oil prices and mena stock markets new evidence from nonlinear and asymmetric causalities during and after the crisis period this article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in middle east and north africa mena countries during a black swan period that is characterized by rarity and devastating impacts our study is carried out using the daily data for 11 mena countries over the period from 2 july 2007 to 27 august 2012 by using the nonlinear and asymmetric causality test of kyrtsou and labys 2006 we mainly find that i the oil prices and mena stock markets interact in a nonlinear manner ii the signs of changes in the causing variables are important for detecting the true causality links between the variables and iii the nonlinear causality is more pronounced in the case of the brent than west texas intermediate oil prices