the relationship between exchange rates and interest rate differentials a wavelet approach this paper uses wavelet analysis to investigate the relationship between the spot exchange rate and interest rate differential for seven pairs of countries with a small country sweden included

crisis or opportunity economic degrowth for social equity and ecological sustainability introduction to this special issue abstract this article reviews the burgeoning emerging literature on sustainable degrowth this is defined as an equitable downscaling of production and consumption that increases human well being and enhances ecological conditions at the local and global level in the short and long term the paradigmatic propositions of degrowth are that economic growth is not sustainable and that human progress without economic growth is possible degrowth proponents come from diverse origins some are critics of market globalization new technologies or the imposition of western models of development in the rest of the world all criticize gdp accounting though they propose often different social and ecological indicators degrowth theorists and practitioners support an extension of human relations instead of market relations demand a deepening of democracy defend ecosystems and propose a more equal distribution of wealth we distinguish between depression i e unplanned degrowth within a growth regime and sustainable degrowth a voluntary smooth and equitable transition to a regime of lower production and consumption the question we ask is how positive would degrowth be if instead of being imposed by an economic crisis it would actually be a democratic collective decision a project with the ambition of getting closer to ecological sustainability and socio environmental justice worldwide most articles in this issue were originally presented at the april 2008 conference in paris on economic degrowth for ecological sustainability and social equity this conference brought the word degrowth and the concepts around it into an international academic setting articles of this special issue are summarized in this introductory article hueting d alessandro and colleagues van den bergh kerschner spangenberg and alcott discuss whether current growth patterns are un sustainable and offer different perspectives on what degrowth might mean and whether and under what conditions it might be desirable matthey and hamilton focus on social dynamics and the obstacles and opportunities for voluntary social action towards degrowth lietaert and cattaneo with gavalda offer a down to earth empirical discussion of two practical living experiments cohousing and squats highlighting the obstacles for scaling up such alternatives finally van griethuysen explains why growth is an imperative in modern market economies raising also the question whether degrowth is possible without radical institutional changes

sustainable de growth mapping the context criticisms and future prospects of an emergent paradigm article i nfo sustainable de growth is both a concept and a social grassroots northern movement with its origins in the fieldsofecologicaleconomics socialecology economicanthropologyand environmentalandsocialactivistgroups this paper introduces the concept of sustainable de growth by mapping some of the main intellectual influences fromthese fields with special focus on the francophone and anglophone thinking about this emergent notion we propose hypotheses pertaining to the appeal of sustainable de growth and compare it to the messages enclosed within the dominant sustainable development idea we scrutinize the theses contradictions and consequences of sustainable de growth thinking as it is currently being shaped by a heterogeneous body of literature and as it interacts with an ample and growing corpus of social movements we also discuss possible future paths for the de growth movement compared to the apparent weakening of the sustainable development paradigm

material flows vs natural capital what makes an economy sustainable abstract in the discourse about sustainable development constant natural capital is frequently referred to as a criterion for ecological sustainability but what is natural capital the concept will be analyzed by presenting arguments in favour of using the term and different versions of sustainability strong and weak subsequently a critique of the natural capital concept is brought forward from an ecological as well as from an economic perspective following this critique the use of material inputs and the material input per unit of service mips as a measure for the environmental impact potential is suggested dematerialisation is understood to be an alternative management rule for sustainability in conclusion a change of perspective is proposed due to the conceptual and measurement problems associated with the constant natural capital criterion which refers to a stock it seems more reasonable from a scientific as well as from a practical perspective to add flows i e material inputs to a decision criterion for whether a development is sustainable or not

short run forecasting of the euro dollar exchange rate with economic fundamentals abstract we propose a fundamentals based econometric model for the weekly changes in the euro dollar rate with the distinctive feature of mixing economic variables quoted at different frequencies the model obtains good in sample fit and more importantly encouraging out of sample forecasting results at horizons ranging from one week to one month specifically we obtain statistically significant improvements upon the hard to beat random walk model using traditional statistical measures of forecasting error at all horizons moreover our model obtains a great improvement when we use the direction of change metric which has more economic relevance than other loss measures with this measure our model performs much better at all forecasting horizons than a naive model that predicts the exchange rate as an equal chance to go up or down with statistically significant improvements

the proximity of nations to a socially sustainable steady state economy abstract there has been increasing interest in new economic models that aim to improve quality of life without increasing consumption this article provides the first empirical analysis of how close modern day economies are to the concept of a steady state economy and explores whether there is any relationship between a country s proximity to such an economy and its social performance the analysis is carried out using the degrowth accounts a set of 16 biophysical and social indicators that are derived from herman daly s definition of a steady state economy and the social goals of the degrowth movement these indicators are applied to 180 countries over a 10 year period the analysis reveals that the majority of countries in the world are biophysical growth economies there are only a small number of countries where resource use is relatively constant from year to year e g denmark france japan poland romania and the us and only four countries experiencing biophysical degrowth germany guyana moldova and zimbabwe there are no countries that achieve a true steady state economy defined as an economy with a stable level of resource use maintained within ecological limits however a few countries come relatively close including colombia cuba kyrgyzstan romania and south africa in general countries with stable resource use perform better on many social indicators than countries with either increasing or decreasing resource use this finding runs contrary to conventional economic thought however social performance is also higher in countries with greater per capita resource use overall these findings suggest that a steady state economy can be socially sustainable but countries need to become much more efficient at transforming natural resources into human well being if all seven billion people on earth are to lead a good life within ecological limits

testing for nonlinear dependence in daily foreign exchange rates the purpose of this article is to investigate whether daily changes in five major foreign exchange rates contain any nonlinearities although the data contain no linear correlation evidence indicates the presence of substantial nonlinearity in a multiplicative rather than additive form further examination reveals that a generalized autoregressive conditional heteroskedasticity model can explain a large part of the nonlinearities for all five exchange rates copyright 1989 by the university of chicago

new measures of monetary policy surprises and jumps in interest rates abstract we propose new surprise measures to characterise two important dimensions of monetary policy our measures outperform the traditional monetary shocks in explaining variation of interest rates in the event study framework we also study the extent to which the ecb caused jumps in euro area interest rates the new surprises still prevail upon the traditional ones jumps play a great role in the variation of interest rates and the ecb induced several jumps with its decisions but its predictability has improved over time we find that although the surprise measures become somewhat distorted due to money market tensions during the financial turmoil our model still provides an interesting insight into interest rate behaviour throughout the crisis

third country effects on the exchange rate abstract predictive regressions for bilateral exchange rates are typically run on variables from the associated bilateral pairs of countries these regressions characteristically have low explanatory power which leaves room for an omitted variables interpretation we test whether these omitted variables are from third countries when third country macro factors are added to bilateral exchange rate regressions they enter significantly and increase the adjusted r 2 a three country exchange rate model illustrates potential channels for third country spillovers to affect the bilateral rate

asymmetric effects of federal funds target rate changes on s p100 stock returns volatilities and correlations we study the effects of fomc announcements of federal funds target rate decisions on individual stock returns volatilities and correlations at the intraday level for all three characteristics we find that the stock market responds differently to positive and negative target rate surprises first the average response to positive surprises that is bad news for stocks is larger second in case of bad news the mere occurrence of a surprise matters most whereas for good news its magnitude is more important these new insights are possible due to the use of high frequency intraday data

degrowth and collaborative value creation reflections on concepts and technologies abstract the concept of degrowth aims fundamentally at reducing material and energy throughput equitably while questioning the desirability of further economic growth in order to achieve this reduction of society s throughput radical changes in the ways goods and services are produced distributed and used are required in this think piece concepts of consumer integration into the value creation process and new enabling technologies are discussed as possible constituting elements of alternative organizational models in a degrowth society to date collaborative value creation concepts such as crowdsourcing and mass customization have been discussed almost exclusively as business model patterns for companies in economies that are set to grow the same applies to the assessment of new technologies such as additive manufacturing web based user interfaces for co creation and other flexible production technologies that allow for collaborative and individualized production potential positive and negative effects of these concepts and technologies with regard to the objectives of degrowth are discussed in order to initiate a debate about the inclusion of cvc for the design of alternative organizational models that are in line with degrowth thinking this think piece illustrates that several elements of collaborative value creation and its enabling technologies coincide with degrowth objectives but do not lead per se to their attainment thereby a starting point for future empirical work in this area is generated

evaluating the predictability of exchange rates using long horizon regressions mind your p s and q s since the breakdown of the bretton woods agreement researchers have used a wide variety of structural models to try to predict exchange rate movements unfortunately finding consistent evidence that these models outperform a random walk has proven elusive in this paper we investigate the impact different methods of inference may have had on these conclusions using p values based on recently developed tests of forecast accuracy and encompassing as well as q values designed to mitigate multiple testing problems we provide stronger evidence consistent with these models having superior predictive ability our results suggest that previous studies inability to detect predictive ability may have been influenced by the statistics used and the manner in which they were employed

factor models and time varying parameter framework for forecasting exchange rates and inflation a survey a survey of models used for forecasting exchange rates and inflation reveals that the factor based and time varying parameter or state space models generate superior forecasts relative to all other models this survey also finds that models based on taylor rule and portfolio balance theory have moderate predictive power for forecasting exchange rates the evidence on the use of bayesian model averaging approach in forecasting exchange rates reveals limited predictive power but strong support for forecasting inflation overall the evidence overwhelmingly points to the context of the forecasts relevance of the historical data data transformation choice of the benchmark selected time horizons sample period and forecast evaluation methods as the crucial elements in selecting forecasting models for exchange rate and inflation

ecological macroeconomic models assessing current developments our society faces a dilemma while continued economic growth is ecologically unsustainable low or negative rates of economic growth are accompanied by adverse social impacts hence there is a need for macroeconomic tools that can help identify socially sustainable post growth pathways the emerging field of ecological macroeconomics aims to address this need and features a number of new macroeconomic modelling approaches this article provides 1 a review of modelling developments in ecological macroeconomics based on the literature and interviews with researchers and 2 an analysis of how the different models incorporate policy themes from the post growth literature twenty two ecological macroeconomic models were analysed and compared to eight policy themes it was found that environmental interactions and the monetary system were treated most comprehensively themes of income inequality work patterns indicators of well being and disaggregated production were addressed with less detail while alternative business models and cross scale interactions were hardly addressed overall the combination of input output analysis with stock flow consistent modelling was identified as a promising avenue for developing macroeconomic models for a post growth economy however due to the wide interpretation of what the economy entails future research will benefit from employing a range of approaches

interest rates and currency prices in a two country world abstract this paper is a theoretical study of the determination of prices interest rates and currency exchange rates set in an infinitely lived two country world which is subject both to stochastic endowment shocks and to monetary instability formulas are obtained for pricing all equity claims nominally denominated bonds and currencies and these formulas are related to earlier closely related results in the theories of money finance international trade

target zones and exchange rate dynamics this paper develops a simple model of exchange rate behavior under a target zone regime it shows that the expectation that monetary policy will be adjusted to limit exchange rate variation affects exchange rate behavior even when the exchange rate lies inside the zone and is thus not being defended actively somewhat surprisingly the analysis of target zones turns out to have a strong formal similarity to problems in option pricing and investment under uncertainty

ecological well being performance growth in china 1994 2014 from perspectives of industrial structure green adjustment and green total factor productivity abstract industrial structure green adjustment isga and green total factor productivity gtfp deriving from development processes for green goals recently attracted great attention as two ways to achieve ecological well being performance ewp growth which is one of the main green development goals that humanity should pursue and which affects the efficiency improvement of transforming ecological consumption into human well being in this paper the effects of isga and gtfp on ewp growth are empirically tested in a dynamic panel model of spatial econometrics using statistics from 30 provinces of china in the 1994 2014 period in particular the indicator system of isga is firstly constructed based on the theories of ewp and three dimensional industrial ecological footprint 3dief the results indicate that spatial spillovers are important factors in the effects the main driving force for ewp growth in provinces of china had gradually shifted from isga to gtfp and gtfp is essential for structural bonuses from isga to take effect in addition a provincial government needs to target reference objects from not only other provinces in the same economic zone s yardstick competition but also isga and gtfp situations in geographically close or economically similar provinces in addition the adverse ewp effects of isga can be mitigated by gtfp increase or a combination of gtfp and isga for provinces in all stages of isga in general improving gtfp will be the main driving force for china s provincial ewp growth and the main venue through which the adverse effects of improper isga can be mitigated the present study contributes to explore the ewp growth effect of isga and gtfp can at least provide a valuable guidance and in depth understanding to researchers operators and policy makers who wish to improve human well being in an ecologically efficient way as well as for the follow up studies

ecb monetary policy surprises identification through cojumps in interest rates this paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements based on cojumps in intraday tick data of a short and long term interest rate we develop a day wise test that detects the occurrence of a significant policy surprise and identifies the market perceived source of the surprise the new test is applied to 133 policy announcements of the european central bank ecb in the period from 2001 2012 our main findings indicate a good predictability of ecb policy decisions and remarkably stable perceptions about the ecb s policy preferences

capitalist diversity and de growth trajectories to steady state economies abstract growth critical scholarship has done much to both expose the environmentally unsustainable nature of the capitalist growth economies of the overdeveloped part of the world and to develop an alternative vision of a de growth transition leading to a steady state economy however this scholarship fails to adequately take into consideration that if planned de growth actually materialised it would do so in societies that differ considerably from one another and that this would have implications both for the transition processes and the nature of their outcomes in other words not enough importance is ascribed to capitalist diversity and the nature of institutional change in the growth critical literature against this background the purpose of the present article is to make the concrete utopia of de growth scholars and steady state economists more specific by utilising insights from scholarship on capitalist diversity and institutional change on the basis of a typology of different models of capitalism the article suggests that if de growth transitions took place they would take different forms and lead to a variety of types of steady state economies sses to illustrate this point three ideal typical sses are delineated

testing the monetary model of exchange rate determination new evidence from a century of data abstract we test the long run monetary model of exchange rate determination for a collection of 14 industrialized countries using data spanning the late nineteenth or early twentieth century to the late twentieth century interestingly we find support for a simple form of the long run monetary model in over half of the countries we consider for these countries we estimate vector error correction models to investigate the adjustment process to the long run monetary equilibrium in the spirit of meese and rogoff journal of international economics 14 1983 3 24 we also compare nominal exchange rate forecasts based on monetary fundamentals to those based on a naive random walk model

fluctuations in the dollar a model of nominal and real exchange rate determination abstract this paper develops a model of exchange rate determination that extends the dornbusch frankel model to allow for large and sustained changes in real exchange rates real exchange rate changes are related to movements in the current account both through changes in expectations about the long run equilibrium real exchange rate and through changes in the risk premium the model is estimated empirically for the dollar s weighted average exchange rate over the flexible rate period of the 1970s the results indicate that innovations to the current account have been a significant determinant of the exchange rate predominantly through changes in expectations

measuring progress in the degrowth transition to a steady state economy article i nfo in order to determine whether degrowth is occurring or how close national economies are to the concept of a steady state economy clear indicators are required within this paper i analyse four indicator approaches that could be used 1 gross domestic product 2 the index of sustainable economic welfare 3 biophysical and social indicators and 4 a composite indicator i conclude that separate biophysical and social indicators represent the best approach but a unifying conceptual framework is required to choose appropriate indicators and interpret the relationships between them i propose a framework based on ends and means and a set of biophysical and social indicators within this framework the biophysical indicators are derived from herman daly s definition of a steady state economy and measure the major stocks and flows in the economy environment system the social indicators are based on the stated goals of the degrowth

mean reversion in g 10 nominal exchange rates according to conventional wisdom industrial country floating exchange rates contain unit roots sur tests on panels of monthly group of ten g 10 log nominal rates reject the null of unit roots for various samples over the current float with significance levels from 0 5 to 15 on average in out of sample forecasts mean reversion models beat random walks significantly in some forecast periods for monthly data the range of expected usd dem appreciation rates exceeds 15 per year in the mean reversion model mean reversion places strong restrictions on international models over the sample period the g 10 had to run monetary policies consistent with stable long run nominal rates

deceleration of economic growth the main course seeking sustainability in developed countries abstract deceleration of economic growth is a characteristic feature of developed countries percentage gross domestic product gdp growth rate in the old organization for economic co operation and development oecd countries has decreased approximately 2 3 times over the last 50 years and countries have managed successfully to adopt this trend the largest reduction of gdp growth rate was observed in countries such as japan where the biocapacity exceedance was the largest in addition the analysis of long term changes of gdp and self reported life satisfaction in developed countries supports easterlin s paradox indicating that richer people do not feel more satisfied with their lives however people from countries with higher per capita gdp feel more satisfied at the same time a statistically insignificant correlation was detected between gdp growth rate and life satisfaction supporting a conclusion that in the developed countries further economic growth does not increase people s well being this suggests that decelerating the rate of economic growth gradually approaching the zero growth steady state phase is the natural way towards sustainability and it does not contradict the well being objective in developed countries especially ones with high biocapacity exceedance

exchange rate forecasts at long horizons are error correction models superior the out of sample forecasting performance of error correction models of exchange rates is tested on recent monthly data and on annual data from 1900 to 1995 the results for the monthly data set strongly favor the naive model even when the series are pooled in the annual data the best model is usually a regression model of some form but there is no evidence that a researcher can pick a regression model that outpredicts a naive model more often than not either by choosing at random or by selecting the model that best fits past data

steady state of energy feedbacks and leverages for promoting or preventing sustainable energy system development abstract while energy demand has been growing over the last few decades and is projected to keep expanding the current energy system is pushing biophysical source and sink limits at the same time growing demand for energy globally is associated with an expansion of welfare to avoid undesired environmental and social implications of energy developments in the long run a systemic understanding of the dynamics promoting or preventing sustainable energy development is needed departing from daly s steady state economics theory this study conceptualizes a sustainable energy system using a systems thinking approach efficiency increase the central element of daly s theory defined as the service throughput ratio is put in the center of a conceptual analysis of a sustainable energy system and is carefully scrutinized meadows leverage points concept is used to facilitate an analysis of different policies that aim at promoting sustainable energy system development this study concludes that energy policies always need to be explored as part of the broader causality structure into which they are embedded otherwise their impacts on other variables in the system may be overlooked such as in the case of efficiency increase which is shown to have undesired side effects for the development of a sustainable energy system

environment versus growth a criticism of degrowth and a plea for a growth in recent debates on environmental problems and policies the strategy of degrowth has appeared as an alternative to the paradigm of economic growth this new notion is critically evaluated by considering five common interpretations of it one conclusion is that these multiple interpretations make it an ambiguous and rather confusing concept another is that degrowth may not be an effective let alone an efficient strategy to reduce environmental pressure it is subsequently argued that a growth i e being indifferent about growth is a more logical social aim to substitute for the current goal of economic growth given that gdp per capita is a very imperfect indicator of social welfare in addition focusing ex ante on public policy is considered to be a strategy which ultimately is more likely to obtain the necessary democratic political support than an ex ante explicit degrowth strategy in line with this a policy package is proposed which consists of six elements some of which relate to concerns raised by degrowth supporters

long memory in foreign exchange rates using the geweke porter hudak test we find evidence of long memory in exchange rate data this implies that the empirical evidence of unit roots in exchange rates may not be robust to long memory alternatives fractionally integrated autoregressive moving average arfima models are estimated by both the time domain exact maximum likelihood ml method and the frequency domain approximate ml method impulse response functions and forecasts based on these estimated arfima models are evaluated to gain insight into the long memory characteristics of exchange rates some tentative explanations of the long memory found in the exchange rates are discussed

south korean green growth and the jevons paradox an assessment with democratic and degrowth policy recommendations the policy instruments at the core of the notion of green growth are central to south korea s national strategy for green growth nsgg 1 green stimulus packages 2 price based or market corrective policies and 3 green research and development to bring about a technological shift that increases resource efficiency and the use of renewable energy sources this assessment of the nsgg explores the potentials and limitations of 3 in light of the jevons paradox the commonly found association between improved efficiency and increased resource use greenhouse gas ghg emissions and total energy use have increased since the implementation of the nsgg despite overall improvements in energy efficiency we argue that the jevons paradox is a fundamental limitation of the nsgg and suggest policy alternatives to the nsgg 1 increased public participation in environmental decision making and 2 economic degrowth

currency fluctuations in the post bretton woods era the international monetary landscape that has emerged since the felling of bretton woods is characterized by a hybrid exchange rate system that lies somewhere between the textbook polar cases of a gold standard and a pure float this system has relatively flexible exchange rates between major countries active central bank intervention in the market for the major currencies and predominantly fixed exchange rates relative to the dollar or to some basket of currencies for less developed countries and newly industrializing nations the majority of research on currency markets since the early 1970s has focused on the characteristics of flexible exchange rates under this hybrid regime my thesis is that this research has been unsuccessful the proportion of monthly or quarterly exchange rate changes that current models can explain is essentially zero even after the fact forecasts that use actual values instead of forecasted values of the explanatory variables cannot explain major currency movements over the post bretton woods era this result is quite surprising since exchange rate changes would be entirely unpredictable only in very special cases of the theoretical models discussed as the discussion below will argue it is not a general implication of market efficiency that exchange rates follow a random walk process 1

a theoretical foundation to support the index of sustainable economic welfare isew genuine progress indicator gpi and other related indexes abstract for some time now ecological economists have been putting forward a threshold hypothesis the notion that when macroeconomic systems expand beyond a certain size the additional cost of growth exceeds the flow of additional benefits in order to support their belief ecological economists have developed a number of similar indexes to measure and compare the benefits and costs of growth e g the index of sustainable economic welfare isew and the genuine progress indicator gpi in virtually every instance where an index of this type has been calculated for a particular country the movement of the index appears to reinforce the existence of the threshold hypothesis of late a number of observers have cast doubt over the validity of these alternative indexes one of the concerns commonly expressed is the supposed lack of a theoretical foundation to support the isew the gpi and other related indexes by adopting a concept of income and capital outlined by fisher nature of capital and income a m kelly new york 1906 this paper demonstrates that these alternative indexes are theoretically sound but in order to be broadly accepted require the continuous development of more robust valuation methods

pre announcement effects news effects and volatility monetary policy and the stock market abstract i examine pre announcement and news effects on the stock market in the context of public disclosure of monetary policy decisions the results suggest that the stock market tends to be relatively quiet conditional volatility is abnormally low on days preceding regularly scheduled policy announcements although this calming effect is routinely reported in anecdotal press accounts it is statistically significant only over the past four to five years a result that i attribute to changes in the federal reserve s disclosure practices in early 1994 the paper also looks at how the actual interest rate decisions of policy makers affect stock market volatility the element of surprise in such decisions tends to boost stock market volatility significantly in the short run and positive surprises higher than expected values of the target federal funds rate tend to have a larger effect on volatility than negative surprises the implications of the results for broader issues in the finance and economics literatures are also discussed

exchange rate effects on the volume and variability of trade flows abstract this paper investigates the effects of exchange rate uncertainty on the volume and variability of trade flows employing a signal extraction framework we show that the direction and magnitude of importers and exporters optimal trading activities depend upon the source of the uncertainty general microstructure shocks fundamental factors driving the exchange rate process or a noisy signal of policy innovations providing a rationale for the contradictory empirical evidence in the literature we also show that exchange rate uncertainty emanating from general microstructure shocks and the fundamental factors reduces the variability of trade flows while that related to a noisy signal of policy innovations increases variability

a degrowth transition pathways for the degrowth niche to replace the capitalist growth regime abstract facing the intertwined environmental social and economic crisis requires us to seriously consider alternatives to the current capitalist system including the emerging concept of degrowth existing understandings of degrowth have focused on characterizing the shape the key elements and the proposals for a degrowth society however its dynamic and evolving nature as an alternative vision of the future and the dynamics of a transition toward degrowth are inadequately considered this paper seeks to address this conceptual gap through a reconceptualisation of degrowth as a radical niche innovation to the capitalist growth regime by extending the multi level perspective framework to the capitalist growth system we undertake a critical reconsideration of the multi level perspective exposing key assumptions of this framework grounded in capitalist economic theory through this we propose a pluriversal potential pathway for change to consider this further a bibliometric analysis is used to measure and visualize research activity in degrowth as a proxy for the processes of development of the degrowth niche then we return to the multi level perspective to consider two potential pathways for change involving the degrowth niche and the capitalist growth regime finally we point to areas for further research that build on this new conceptualisation of a degrowth transition

macroeconomic news announcements and stock market jump intensity dynamics abstract this paper examines the effect of macroeconomic releases on stock market volatility through a poisson gaussian garch process with time varying jump intensity which is allowed to respond to such information the day of the announcement per se is found to have little impact on jump intensities employment releases are an exception however when macroeconomic surprises are considered inflation shocks show persistent effects while monetary policy and employment shocks reveal only short lived effects also the jump intensity responds asymmetrically to macroeconomic shocks evidence on macroeconomic variables relevance in explaining jump dynamics and improving volatility forecasts on event days is provided

time varying parameters and the out of sample forecasting performance of structural exchange rate models varying parameter estimation techniques based on recursive application of the kalman filter are used to improve the predictive performance of a class of monetary exchange rate models i find that allowing estimated parameters to vary over time enhances the models forecasting performance for the dollar pound dollar mark and dollar yen exchange rates contrary to earlier results in the literature ex post forecasts for the dollar mark rate compare favorably with those obtained from the naive random walk forecasting rule

the economics of degrowth economic degrowth is ecologically desirable and possibly inevitable but under what conditions can it become socially sustainable how can we have full employment and economic stability without growth what will happen to public spending and to public debt how would production be organised in a degrowing economy and under what plausible socio political conditions could such grand changes happen standard economic theories and models ignore these questions for them economic growth is an axiomatic necessity this article reviews recent contributions in the economics of degrowth and identifies research avenues for ecological economists

in defence of degrowth abstract this article defends the proposal of sustainable degrowth a starting premise is that resource and co2 limits render further growth of the economy unsustainable if degrowth is inevitable the question is how it can become socially sustainable i e a prosperous and stable rather than a catastrophic descent pricing mechanisms alone are unlikely to secure smooth adaptation a full ensemble of environmental and redistributive policies is required including among others policies for a basic income reduction of working hours environmental and consumption taxes and controls on advertising policies like these that threaten to harm the economy are less and less likely to be implemented within existing market economies whose basic institutions financial property political and redistributive depend on and mandate continuous economic growth an intertwined cultural and political change is needed that will embrace degrowth as a positive social development and reform those institutions that make growth an imperative sustainable degrowth is therefore not just a structuring concept it is a radical political project that offers a new story and a rallying slogan for a social coalition built around the aspiration to construct a society that lives better with less

using the fisherian concept of income to guide a nation s transition to a steady state economy abstract many ecological economists have long been advocating that industrialised nations should abandon their growth predilection and initiate the transition to a steady state economy to demonstrate how a nation s transition to a steady state economy might be usefully guided fisherian national income one of the best known indicators of sustainable economic welfare is calculated for australia for the period 1967 1997 also calculated for the study period is the changing physical scale of the australian economy by juxtaposing per capita fisherian income and the growth of the australian economy it is shown that australia surpassed its optimal macroeconomic scale in the mid 1970s while around this time australia began a transition to a lower rate of growth that arrested the steep decline in per capita fisherian income australia had reverted back to a high growth policy by the end of the study period it chose not to continue the deceleration towards a steady state economy a policy stance that is likely to be detrimental to the sustainable economic welfare enjoyed by the average australian

exchange rate predictability the main goal of this article is to provide an answer to the question does anything forecast exchange rates and if so which variables it is well known that exchange rate fluctuations are very difficult to predict using economic models and that a random walk forecasts exchange rates better than any economic model the meese and rogoff puzzle however the recent literature has identified a series of fundamentals methodologies that claim to have resolved the puzzle this article provides a critical review of the recent literature on exchange rate forecasting and illustrates the new methodologies and fundamentals that have been recently proposed in an up to date thorough empirical analysis overall our analysis of the literature and the data suggests that the answer to the question are exchange rates predictable is it depends on the choice of predictor forecast horizon sample period model and forecast evaluation method predictability is most apparent when one or more of the following hold the predictors are taylor rule or net foreign assets the model is linear and a small number of parameters are estimated the toughest benchmark is the random walk without drift

a fractional cointegration analysis of purchasing power parity a generalized notion of cointegration called fractional cointegration is introduced to examine the long run purchasing power parity ppp hypothesis by allowing deviations from equilibrium to follow a fractionally integrated process the fractional cointegration analysis can capture a wider range of mean reversion behavior than standard cointegration analyses this gain is flexibility in modeling subtle mean reverting dynamics is found to be important for a proper evaluation of long run ppp empirical results based on historical data for the 1914 1989 period show that ppp reversion exists and can be characterized by a fractionally integrated process in three out of five countries studied the results support ppp as a long run phenomenon though significant short run deviations from ppp can exist

anomalies foreign exchange most all behavior can be explained by assuming that agents have stable well defined preferences and make rational choices consistent with those preferences in markets that eventually clear an empirical result qualifies as an anomaly if it is difficult to rationalize or if implausible assumptions are necessary to explain it within the paradigm this column will present a series of such anomalies readers are invited to suggest topics for future columns by sending a note with some reference to or better yet copies of the relevant research comments on anomalies printed here are also welcome the address

degrowth business framework implications for sustainable development abstract recent years have seen a revival in growth scepticism yet degrowth in relation to the macroeconomic level has received almost exclusive attention this resulted in a lack of literature on how post growth and specifically degrowth visions of economy could be implemented including from the perspective of firms and other organisations this paper focuses on degrowth literature and fields of knowledge which share a similar or sympathetic perspective regarding the undesirability of economic growth and desirability of living within planetary boundaries while pursuing wellbeing it then applies degrowth vision to firms and identifies potential elements of a business for a degrowth economy here referred to as a degrowth business these elements comprise a degrowth business framework the framework is centred around the following groups 1 environment 2 people and non humans and 3 deviation from profit maximisation imperative it aims to contribute to an emerging discussion on what firms should be like for a degrowth economy and society to be possible

degrowth taking stock and reviewing an emerging academic paradigm degrowth has evolved within a decade from an activist movement into a multi disciplinary academic paradigm however an overview taking stock of the peer refereed degrowth literature is yet missing here we review 91 articles that were published between 2006 and 2015 we find that the academic degrowth discourse occupies a small but expanding niche at the intersection of social and applied environmental sciences the discourse is shaped by authors from high income mainly mediterranean countries until 2012 articles largely constitute conceptual essays endorsed by normative claims more recently degrowth has branched out into modelling empirical assessments and the study of concrete implementations authors tend to agree in that economic growth cannot be sustained ad infinitum on a resource constraint planet and that degrowth requires far reaching societal change whether degrowth should be considered as a collectively consented choice or an environmentally imposed inevitability constitutes a major debate among degrowth thinkers we argue that the academic discourse could benefit from rigid hypotheses testing through input output modelling material flow analysis life cycle assessments or social surveys by analyzing the potentials for non market value creation and identifying concrete well being benefits the degrowth discourse could receive wider public support and contribute to a paradigmatic change in the social sciences

error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting the proposition that dynamic exchange rate models can outperform the random walk in out of sample forecasting in the sense that they produce lower mean square errors is examined and disputed by using several dynamic versions of three macroeconomic exchange rate models it is demonstrated that dynamic specifications outperform the corresponding static models but improvement in the forecasting power may not be sufficient for the dynamic models to perform better than the random walk the results are explained by suggesting that any dynamic specification or transformation of the static model leads to the introduction of a lagged dependent variable which in effect is a random walk component the analysis leads to the conclusion that it is implausible to aim at beating the random walk by augmenting a static model with a random walk component

galtung meets daly a framework for addressing inequity in ecological economics abstract since world war ii economic growth has been the leading policy goal in efforts to eradicate poverty there is strong evidence that this strategy has gone hand in hand with increasing inequity and environmental degradation we need concepts that will help us understand the inadequacies of the current economic system we propose drawing from the ideas of sociologist johan galtung on social power structures and those of economist herman daly on the physical features of the economy a fusion of these perspectives creates a novel framework for analysis and a basis to formulate alternatives to the current growth strategy

looking through the dataquadrate characterizing the human environment relationship through economic hedonic ecological and demographic measures abstract this paper introduces the concept of plotting four dimensional data in two dimensions without loss of information namely the dataquadrate concept here objects are represented as quadrates instead of points in a practical 4 axis cartesian coordinate system this procedure helps us imagine and analyze complex relations where four different non negative variables influence processes this tool is of high utility for analyzing specific human environment issues here we analyze a monetary measure gross domestic product gdp a hedonic measure subjective wellbeing a limiting measure ecological footprint and a demographic measure human population our system adds new insights to the de growth debate discussed in a journal of cleaner production special issue vol 18 2010 and systematically illuminates lots of confusing paradoxes such as the downward sloping part of the environmental kuznets curve the jevons paradox and the easterlin paradox in this paper all these phenomena are analyzed for the usa and for china in 1990 and in 2007 by utilizing such methodology when mitigating environmental problems we are not limited to negative restrictive messages but are enabled to create new strategic ways of problem solving about how to optimize the human celestial footprint the ratio of human wellbeing to human environmental load

exchange rate theory and practice this volume grew out of a national bureau of economic research conference on exchange rates held in bellagio italy in 1982 in it the world s most respected international monetary economists discuss three significant new views on the economics of exchange rates rudiger dornbusch s overshooting model jacob frenkel s and michael mussa s asset market variants and pentti kouri s current account portfolio approach their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today including those of the european monetary system

the impact of ecb monetary policy decisions and communication on the yield curve we use intraday changes in money market rates to construct indicators of news about monetary policy stemming separately from policy decisions and from official communication of the european central bank and study their impact on the yield curve we show that communication may lead to substantial revisions in expectations of monetary policy and at the same time exert a significant impact on interest rates at longer maturities thereby the maturity response pattern to communication is hump shaped whereas that to policy decisions is downward sloping jel e43 e58

the impact of monetary policy announcements on the stock price of large european banks during the financial crisis abstract since 2007 the european central bank responded decisively to the challenges posed by the global financial crisis reducing key policy interest rates to unprecedented low levels and intervening with non standard policy measures i e monetary easing and liquidity provision this paper aims to assess the impact of ecb monetary policy announcements on the stock price of large european banks as a first step an event study is conducted in order to measure cumulated abnormal returns cars around the announcements over june 2007 june 2013 the second step is a regression analysis aimed at identifying the determinants of cars results show that banks were more sensitive to non conventional measures than to interest rate decisions and that the same type of intervention may have a different impact depending on the stage of the crisis in addition banks with weaker balance sheets and operating with high risk were more sensitive to monetary policy interventions

on jump processes in the foreign exchange and stock markets exchange rates exhibit systematic discontinuities even after allowingfor conditional heteroskedasticity in the diffusion process the results are much more significant in theforeign exchange market than in the stock market which suggests differences in the structure of these markets finally this jump component is shown to explain some of the empirically observed mispricings in the currency options market the objective of this article is to analyze and compare the empirical distribution of returns in the stock market and in the foreign exchange market there are a number of reasons why a better understanding of the stochastic processes driving prices in these markets would be useful many financial models rely heavily on the assumption of a particular stochastic process while relatively little attention is paid to the empirical fit of the postulated distribution as a result models like option pricing models are applied indiscriminately to various markets such as the stock market and the foreign exchange market when the underlying processes may be fundamentally different the foreign exchange market for instance is characterized by active exchange rate man

monetary policy surprises and interest rates evidence from the fed funds futures market abstract this paper estimates the impact of monetary policy actions on bill note and bond yields using data from the futures market for federal funds to separate changes in the target funds rate into anticipated and unanticipated components interest rates response to anticipated target rate changes is small while their response to unanticipated changes is large and highly significant these responses are generally consistent with the expectations hypothesis of the term structure surprise target rate changes have little effect on expectations of future actions however which helps to explain the lack of empirical support for the expectations hypothesis at the short end of the yield curve

sustainability of catch up growth in the extended european union abstract this paper analyses the compatibility of growth and sustainability in the european union eu including a new eu member states from the former soviet bloc eu 10 the extension of eu borders financial and technological support stimulated rapid convergence and decreased the socio economic differences between the old eu 15 and newly accepted eu member states the transition from a command to a market economy resulted in the remarkable increase in resource efficiency and other positive aspects of sustainability along with 1 5 times increased gdp final energy consumption decreased by 20 greenhouse gases emissions by 25 and the emissions of acidifying compounds were halved during the period from the collapse of former soviet bloc to the recent economic crisis however the per capita production and consumption in eu 10 is still approximately half that of eu 15 and further catch up growth should be expected ensuring that economic and social cohesion is not achieved at the expense of increased environmental impact decelerated economic growth is a feature characteristic of mature economies and the gdp growth rate in eu 15 states decreased almost 2 5 times during the last 50 year similar trends are characteristic of other developed countries and market economies have adapted to this trend even with a decelerated growth rate the ecological footprint in developed countries currently exceeds three and more times the allowable limits and almost two thirds of the ecological footprint relates to traditional energy de fossilisation by a greater increase in energy efficiency use of renewable energy and more intense material recovery is the most promising option for reducing the ecological footprint of these countries deceleration of the economic growth rate supplemented by the aforementioned options is a hard but realistic track leading to the reduction of ecological footprint in developed countries to allowable limits without radical de growth in consumption and production that can result in unpredictable and unacceptable consequences

estimating credibility in colombia s exchange rate target zone abstract this paper analyzes credibility in the colombian exchange rate target zone a model of imperfect credibility in the spirit of bertola and svensson bertola g svensson l 1993 stochastic devaluation risk and the empirical fit of target zone models review of economic studies 60 689 712 is derived and estimated using colombian data the main feature of the model is that central parity depreciation expectations are endogenous with respect to the position of the exchange rate inside the target zone the krugman krugman p 1991 target zones and exchange rate dynamics quarterly journal of economics 56 3 669 682 perfectly credible setup is a particular case of this general model a key implication of the model is that depreciation expectations rise rather than fall as the exchange rate approaches the upper band using the method of simulated moments msm to estimate the structural parameters underlying the model i find evidence suggesting that colombia s exchange rate target zone is properly described by a model of this nature

need entitlement and desert a distributive justice framework for consumption degrowth abstract post growth societies seek socio ecological transformations towards a just and sustainable redistribution and reduced consumption of natural capital there is no one universally just and ecologically sustainable way of fulfilling these redistribution and consumption objectives it depends on the criteria used and their underlying ethical teleology we suggest three distribution criteria borrowed from the foundations of the environmental justice ej movement need entitlement and desert by juxtaposing and problematising the needs entitlements and deserts of nature and society these criteria comprise an ethical framework for consumption degrowth praxis in communities we present arguments for how each distribution criterion fulfils the aims articulated in the degrowth corpus based on these arguments we propose seven justice based community action principles for redistribution under degrowth in our discussion of these derived principles we demonstrate that like ej degrowth seeks consequential as well as deontological justice underscoring their deep complementarity therefore our need entitlement desert framework may serve as a useful guiding frame to include ethical distribution considerations in societies pursuit of post growth futures

banking on currency forecasts how predictable is change in money abstract the paper examines the predictive performance of four structural exchange rate models using both parametric and nonparametric techniques error correction versions of the models are fit so that plausible long run elasticities can be imposed on the fundamental variables of each model a variety of model evaluation statistics are reported our findings confirm that fundamental exchange rate models forecast no better than a random walk model for short term prediction horizons for longer horizons error correction terms can explain exchange rate movements significantly better than a no change forecast for a subset of the models and currencies we consider

measuring business cycle time the business cycle analysis of arthur f burns and wesley c mitchell and the national bureau of economic research presumed that aggregate economic variables evolve on a time scale defined by business cycle turning points rather than by months or quarters do macroeconomic variables appear to evolve on an economic rather than a calendar time scale evidence presented here suggests that they do however the estimated economic time scales are only weakly related to business cycle time scales providing evidence against the view underlying traditional business cycle analysis copyright 1987 by university of chicago press

potentials for prosperity without growth ecological sustainability social inclusion and the quality of life in 38 countries recent contributions to ecological economics and related social sciences indicate that issues such as climate change resource depletion and environmental degradation cannot be effectively addressed under conditions of continued economic growth this paper aims at empirically identifying structural potentials and policy challenges for prosperity at scales where economic development remains within ecological carrying capacities building on the growing literature that interprets prosperity beyond economic growth the paper presents a three dimensional concept to operationalise prosperity in terms of ecological sustainability social inclusion and the quality of life these dimensions are measured using data from sources such as the world bank the global footprint network and the oecd the results of cluster and correspondence analyses indicate the existence of five prosperity regimes and demonstrate that all aspects of prosperity including unsatisfactory ecological performance are linked to economic development however our findings also indicate that in order to achieve a decent minimum of prosperity moderate levels of the material living standard are sufficient further increases in the material living standard do not lead to significant additional prosperity instead they cause greater environmental harms the paper concludes by highlighting potentials for prosperity for each of the prosperity regimes and corresponding policy challenges

a meta analysis investigation of the direction of the energy gdp causal relationship implications for the growth degrowth dialogue abstract the complex relation between energy use and the economic process has long attracted attention issues such as the scarcity of energy resources energy theory of value degrowth and a growth approaches are closely related to the relationship between energy and development the present study traces the implications of the energy gdp causality dialogue for the context of the growth degrowth debate where the energy development link plays a decisive role in that context the present research investigates the possible existence of a fundamental macro direction of causality between energy use and economic growth that is not influenced by study specific characteristics and events towards this objective we perform a meta analysis that takes into account 158 studies on causality between energy and gdp covering the period 1978 2011 this is the first time to our knowledge that meta analysis has been applied to investigate the direction of the energy and gdp causal relationship the meta analysis results neither support the existence of a fundamental macro direction nor the so called neutrality hypothesis e gdp in the causal relationship between energy consumption and economic growth

assessing the degrowth discourse a review and analysis of academic degrowth policy proposals abstract debates on ecological and social limits to economic growth and new ways to deal with resource scarcity without compromising human well being have re emerged in the last few years central to many of these is a call for a degrowth approach in this paper a framework is developed to support a systematic analysis of degrowth in the academic literature this article attempts to present a clearer notion of what the academic degrowth literature explores by identifying organising and analysing a set of proposals for action retrieved from a selection of articles the framework is applied to classify proposals according to their alignment to ecological economics policy objectives sustainable scale fair distribution and efficient allocation type of approach top down versus bottom up and geographical focus local national or international a total of 128 peer reviewed articles focused on degrowth were reviewed and 54 that include proposals for action were analysed the proposals identified align with three broad goals 1 reduce the environmental impact of human activities 2 redistribute income and wealth both within and between countries and 3 promote the transition from a materialistic to a convivial and participatory society the findings indicate that the majority of degrowth proposals are national top down approaches focusing on government as a major driver of change rather than local bottom up approaches as advocated by many degrowth proponents the most emphasised aspects in the degrowth literature are related to social equity closely followed by environmental sustainability topics such as population growth and the implications of degrowth for developing nations are largely neglected and represent an important area for future research moreover there is a need for a deeper analysis of how degrowth proposals would act in combination

an investigation of customer order flow in the foreign exchange market this paper examines the effect that heterogeneous customer orders flows have on exchange rates by using a new propreitary dataset of weekly net order flow segmented by customer type across nine of the most liquid currency pairs we make three contributions first we investigate the extent to which order flow can help to explain exchange rate movements over and above the influence of macroeconomic variables second we look at the usefulness of order flow in forecasting exchange rate movements at longer horizons than those generally considered in the microstructure literature finally we address the question of whether the out of sample exchange rate forecasts generated by order flows can be employed profitably in the foreign exchange markets

linking daly s proposition to policymaking for sustainable development indicators and pathways abstract the statement that in the full world increasing the ultimate efficiency expressed as service throughput is the necessary condition for humanity to achieve high levels of well being within ecological limits is honoured as daly s proposition in this paper the purpose of this paper is to make daly s proposition effective guidance for policymaking related to sustainable development for this aim this paper puts forward the indicator ecological well being performance which is composed of the human development index and the ecological footprint to measure the ultimate efficiency furthermore by means of matrix analysis and factor decomposition analysis the respective pathways for countries at different stages of development to make the sustainable development transition were discussed the g20 countries were taken as the cases to conduct the research the empirical results show that improvements in well being and increases in throughput level are not necessarily positively related the relationship between the two depends on how countries control throughput levels and improve the ecological well being performance which also explains different performances on the sustainable development transition in a simple way this contribution provides new methods and criteria to track and evaluate national performance on sustainable development by referring to daly s original theories

the economic and financial dimensions of degrowth abstract we respond to the call for future research on degrowth and specifically analyze the implications of economic degrowth on the monetary and financial system we argue that any early indications of degrowth would cause the stock market to crash which would trigger further deleveraging contagion and a deflation as a result the economy would implode which would eventually allow for a new rapid growth cycle given the likely extraordinary fiscal and monetary policy response during the implosion thus in our view degrowth as an explicit strategy option is economically unsustainable and unfeasible as a limitation our analysis centers on the examples of unplanned crisis leading to an economic implosion which imperfectly represent the idea of planned voluntary degrowth

economic de growth vs steady state economy in recent years the concept of economic de growth decroissance based on the literature of nicolas georgescu roegen e g 1 3 has found a revival in france italy spain and other countries in the popular as well as in the academic literature therein authors took on board georgescu roegens categorical rejection of a steady state economy sse as proposed by herman daly 4 they argue that economic degrowth is the only viable alternative goal to the growing economy this position is challenged in this article and it is concluded that the two concepts are in fact complements economic de growth is not a goal in itself but the rich north s path towards a globally equitable sse moreover the de growth literature can benefit from the strong economic historic roots of the sse and from daly s macroeconomic concepts while in return being able to give lessons about bottom up approaches this would be particularly important for the population issue where daly proposes limited birth licences unfortunately statements on demography are inconsistent and underdeveloped in the de growth literature further it is concluded that most criticisms of the sse are due to a too narrow and technocratic interpretation of the concept instead the sse should be defined as a quasi steady state resting in a dynamic equilibrium and as an unattainable goal which can and probably should be approximated

optimal versus sustainable degrowth policies abstract this paper introduces a natural resource and pollution in a ramsey growth model which relies on the postulates of ecological economics it studies the impact of voluntary degrowth policies on production and welfare the instrument of these policies is a tax on the natural resource these public policies are implemented after the downturn of the households welfare following from the increased pollution two kinds of policies are considered and rely either on an optimality criterion or on an intergenerational equity criterion with respect to the laissez faire case they decrease both production and pollution but increase welfare classes of sustainable degrowth paths characterized by time constant or time increasing tax rates are determined

the statistical and economic role of jumps in continuous time interest rate models this paper analyzes the role of jumps in continuous time short rate models i first develop a test to detect jump induced misspecification and using treasury bill rates find evidence for the presence of jumps second i specify and estimate a nonparametric jump diffusion model results indicate that jumps play an important statistical role estimates of jump times and sizes indicate that unexpected news about the macroeconomy generates the jumps finally i investigate the pricing implications of jumps jumps generally have a minor impact on yields but they are important for pricing interest rate options

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