repudiation risk and restitution costs toward understanding premiums on insured deposits this paper contains a theoretical development of the relationship of cd premiums to both the risks of the cd issuer and the third party government guarantor of those deposits the theoretical development shows that the risk of the guarantor derives from the possibility that the guarantee could be repudiated and or the restitution of the depositor s claim could be costly the empirical analysis of the premiums for insured cds indicates that during the years preceding the ultimate collapse of the fslic the market priced the risk of both the guarantor as well as the firm the guarantor risk pricing was responsive to the insolvency of the guarantor the attempts to recapitalize the guarantor and the efforts to resolve the insolvent thrifts during this eventful time period cd premiums rose to 187 basis points and averaged 79 and 54 basis points copyright 1994 by ohio state university press

the impact of natural disaster on energy consumption international evidence abstract this research shows that natural disasters may hurt energy consumption by using data on 123 countries over the period 1990 2015 and classifying them according to their economic development level and region based on world development indicators we employ a two step system gmm method to examine the effect of natural disasters on energy consumption presenting findings that support our hypotheses in the models and show a strong negative effect for low income countries or those in the africa region after considering an alternative proxy for natural disaster we implement quantile regression methods their results find that natural disasters exhibit a negative and significant impact on oil renewable and nuclear energy consumptions the quantile regression models used in the robustness check present that the effects are stronger for low level energy consumption economies

the relationship between regional natural gas markets and crude oil markets from a multi scale nonlinear granger causality perspective this study first decomposes the daily returns of regional gas and crude oil at different time scales using the ensemble empirical mode decomposition eemd method it then investigates the causality relationship between each pair of components at the different time scales by employing the linear and nonlinear granger causality tests for the original returns series this study finds that unidirectional linear granger causality exists from crude oil markets to north american and european gas markets however for nonlinear characteristics the crude oil and regional gas markets exhibit bidirectional nonlinear granger causality on the medium term time scale a bidirectional nonlinear spillover effect is found between the markets the long term trends for the markets suggest a significant linear relationship however no nonlinear spillover effect is found between the crude oil and regional gas markets

determinants of the crude oil futures curve inventory consumption and volatility abstract since 2008 the wti oil futures curve has been positively sloped for extended periods we test whether changes in inventory alone can explain this atypically long contango to do this we estimate monthly vars of the cme wti oil futures spread and oecd and u s inventory in line with standard theory and add petroleum consumption and implied volatility to the vector of endogenous variables when we model the futures spread as one continuous series results confirm two way causation between inventory and the futures curve as predicted by the theory of storage however when we separate negative and positive futures spreads we find that two way causation between the futures spread and u s inventory breaks down shocks to oecd petroleum consumption cause more negative spreads and shocks to u s consumption cause more positive spreads in addition to inventory driven changes and increases in volatility directly raise positive spreads these new causal channels have become significant since 2008 and can be related to higher inventory inelastic supply of oil and uncertainty about global economic conditions

deposit insurance regulation and moral hazard in the thrift industry evidence from the 1930 s this paper compares risk taking of insured and uninsured thrifts operating under strict and less strict regulatory regimes during the 1930 s analysis of balance sheet data indicates that while newly insured thrifts undertook less risk than their uninsured counterparts possibly because of screening by deposit insurance authorities moral hazard emerged gradually insured institutions operating under relatively permissive regulatory regimes were more prone to undertake risky lending activities than their more tightly regulated counterparts possibly because of screening by deposit insurance authorities moral hazard emerged gradually insured institutions operating under relatively premissive regulatory regimes were more prone to undertake risky lending activities than their more tightly regulated counterparts given the current system of deposit insurance the results suggest that effective regulation and supervision will play a key role in maintaining thrift stability in the 1990s copyright 1992 by american economic association

risk learning and technology adoption this article explores how decision makers learn and use information with an application to the adoption of biotechnology in agriculture the empirical analysis relies on experimental and survey data measuring risk preferences learning processes and the adoption of genetically modified gm seeds among u s grain farmers while controlling for risk aversion we link individual learning rules with the cognitive abilities of each decision maker and their actual gm adoption decisions we find evidence that very few individuals are bayesian learners and that the population of farmers is quite heterogeneous in terms of learning rules this suggests that bayesian learning as commonly assumed in the analysis of agricultural technology adoption is not an appropriate characterization in addition we do not find a strong relationship between observed learning styles and the timing of gm seed adoption to the extent that learning is a key part of the process of technology adoption this suggests the presence of much unobserved heterogeneity in learning among farmers

ownership structure market discipline and banks risk taking incentives under deposit insurance the paper studies the effects of market discipline by creditors and ownership structure on banks risk taking in the presence of partial deposit insurance an agency cost model explains how the effects of creditor discipline and shareholder control arc interdependent the non monotonic effect of shareholder control and the role of leverage panel regressions on several hundred banks worldwide 1995 2005 confirm a negative individual risk effect of creditor discipline and the expected convex effect of shareholder control increased shareholder control significantly strengthens the negative effect of market discipline on asset risk but joint effects on overall default risk are limited c 2011 elsevier b v all rights reserved

the use of loan sales and standby letters of credit by commercial banks abstract this paper examines the incentives banks have to engage in off balance sheet activities such as commercial loan sales and the issuance of standby letters of credit slcs i show that loan sales and loans backed by slcs have payoff characteristics similar to secured debt like secured debt off balance sheet activities permit banks to sell a portion of the cash flows associated with new investment oppurtunities this ability permits banks to invest in loans with positive net present values that they would pass up if restricted to deposit financing an examination of the risk premium on large certificates of deposit provides evidence consistent with the model

effect of inventory announcements on crude oil price volatility abstract this paper examines the behavior of crude oil futures price volatility and investigates how the eia weekly crude oil inventory reports announcements especially information shocks impact crude oil price movement and volatility this study focuses on inventory information shocks using a new measure rather than on inventory changes themselves the empirical results reveal that inventory information shocks rather than actual inventory changes negatively affect crude oil returns on the day the eia releases the inventory information although inventory shocks have no effect on daily conditional variance which mainly follows a garch 1 1 process to test the robustness of our model we re estimate the models for three subsamples according to all results we find that the effect of inventory shocks is weakened in rapid growth periods and disappears in steep fall markets

asymmetric impacts of fundamentals on the natural gas futures volatility an augmented garch approach we investigated the determinants of daily volatility for natural gas nearby month futures traded on the nymex within a garch framework augmented with market fundamentals consistent with the previous literature we found that volatility is much higher on the natural gas and crude oil storage report announcement days on mondays and during winters we also confirmed that high volatility is associated with divergence of storage levels and temperatures from seasonal norms the asymmetric impact of storage levels on volatility across different seasons is empirically investigated and documented the mainstream finding in the literature that lower storage levels result in higher volatility is valid only during winter at other times it is actually higher storage levels causing higher volatility also time to maturity effect is present only in winters additionally weather shocks have asymmetric impact on volatility depending on the sign of the shock finally we found that augmentation with market fundamentals improves the out of sample forecast accuracy of standard garch models

deregulation and bank financial policy the standard view that banks can value maximize by exploiting non risk rated deposit insurance ignores the potential loss of a valuable bank charter due to insolvency recognition of this effect changes the bank s optimal financial policy and can induce extreme risk averting as well as risk taking behavior however as the value of the bank charter falls the risk taking strategy is more apt to dominate therefore current deregulation of the banking industry by easing entry and devaluing charters holds the potential for increases in the incidence of insolvency unless offsetting policies are instituted

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

heterogeneous creditors and the market value of bank ldc loan portfolios abstract a standard proposition used in many empirical studies is that the value of an ldc loan does not depend on the identity of the lender i test this proposition using bank securities prices and prices for ldc loans trading in the secondary market i find significant cross sectional differences in the sensitivity of bank stocks to changes in the price of ldc loans differences in sensitivity appear to be related to changes in bank exposure to ldcs i also find evidence consistent with the hypothesis that cds are implicitly insured

a theory of commodity price fluctuations this paper studies the price fluctuations of storable commodities that are traded in open markets and are subject to random shocks to demand or more particularly to supply it relaxes the common assumption that the shocks are identically and independently distributed in favor of temporally dependent and periodic disturbances the existence of a unique stationary rational expectations equilibrium is demonstrated for each of the models analyzed and testable implications of the models are derived an illustrative empirical investigation is then undertaken for the model with periodic disturbances using monthly time series observations for seven commodities over the period 1960 93

oil and energy price volatility it is commonly believed that since the 1973 oil crisis oil and energy prices have been more volatile than other commodity prices this study examines monthly producer prices for thousands of products over the period january 1945 through august 2005 the results show that crude oil refined petroleum and natural gas prices are more volatile than prices for about 95 of products sold by domestic producers relative to crude commodities however crude oil prices are currently more volatile than about 65 of other products and oil price volatility first exceeded the median for crude commodities following the 1986 drop in oil prices

building an incentive compatible safety net abstract bank safety nets originally proposed as a means of stabilizing financial systems have become an important destabilizing influence government protection of bank debts encourages banks to undertake excessive risk particularly in response to adverse shocks to asset values reforms that would remove the destabilizing moral hazard consequences of government protection are considered both from the perspective of economic desirability and political feasibility requiring banks to maintain a minimal proportion of subordinated debt finance and restricting the means by which government recapitalization of insolvent banks occurs are the central features of promising reforms to the safety net

competitive storage and commodity price dynamics by buying cheap and selling dear risk neutral commodity speculators can smooth commodity prices and induce serial dependence in price even when none would exist under a simple process of supply and demand commodity prices are variable and strongly positively correlated from one year to the next the variability is often explained by supply factors and the autocorrelation by the activities of speculators we show that this explanation is not consistent with the evidence speculation can substantially increase autocorrelation for prices that are weakly autocorrelated in its absence but not to the high levels that are observed in the data

crude oil price analysis and forecasting a perspective of new triangle abstract in this paper the new structural characteristics and core influencing factors of the crude oil prices are summarized based on previous representative research results firstly a newly dynamic bayesian structural time series model dbsts is developed to investigate the oil prices in particular google trend is introduced as an indicator to reflect the impact of search data on the oil price secondly the spike and slab method is employed to select core influence factors finally the bayesian model average bma is utilized to predict the oil price experimental results confirm that the supply and demand of global crude oil and the financial market are still the main factors affecting the oil price furthermore google trend can reflect the changes in the crude oil price to a certain extent moreover the impact of shale oil production on the oil price is gradually increasing yet remains relatively small in addition the dbsts model can identify turning points in historical data such as the 2008 financial crisis finally the findings suggest the dbsts model has good predictive capabilities in short term prediction making it suitable for analyzing the crude oil prices

the revenge of homo economicus contested exchange and the revival of political economy recent developments in microeconomic theory have shown that the self interested behavior underlying neoclassical theory is artificially truncated it depicts a charmingly victorian but utopian world in which conflicts abound but a handshake is a handshake but a handshake is not always a handshake studies of principal agent analysis the economics of information radical political economy mechanism design and transactions cost economics have all focused on the difficulties involved in policing and enforcing the actual process of market exchange abandoning the victorian world of neoclassical theory will redirect economists to an older conception of their profession what once was called political economy by taking optimizing more seriously post walrasian economics has inspired a revolution in economic thought fostering both new theoretical departures and alternative conceptions of the capitalist economy we will offer our own interpretation of this literature focusing on the widely recognized fact that the terms arising from exchange are not generally enforceable at zero cost to the exchanging parties where some aspect of the good or service supplied is both valuable to the buyer and costly to provide the absence of third party enforcement of claims gives rise to endogenous enforcement strategies we refer to this relationship as a contested exchange because unlike the transactions of walrasian economics the benefit the parties derive from the transaction depends on their own capacities to enforce competing claims

market discipline and deposit insurance cross country evidence presented in this paper suggests that explicit deposit insurance reduces required deposit interest rates while at the same time it lowers market discipline on bank risk taking internationally deposit insurance schemes vary widely in their coverage funding and management this reflects that there are widely differing views on how deposit insurance should optimally be structured to inform this debate we use a newly constructed data set of deposit insurance design features to examine how different design features affect deposit interest rates and market discipline

hedgers funds and small speculators in the energy futures markets an analysis of the cftc s commitments of traders reports the commodity futures trading commission cftc s commitments of traders cot data are examined for crude oil unleaded gasoline heating oil and natural gas futures contracts the collection procedures for the cot data are first examined followed by granger causality tests to determine if relationships between trader positions and market prices exist a positive correlation between returns and positions held by noncommercial traders and a negative correlation between commercial positions and market returns are found furthermore positive returns result in an increase in noncommercial net positions in the following week whereas the net long positions held by commercial hedgers decline following price increases however traders net positions do not lead market returns in general

public information arrival and volatility of intraday stock returns abstract this study employs firm specific announcements as a proxy for information flows and investigates the information volatility relation using high frequency data from the australian stock exchange our analysis reveals a positive and significant impact of the arrival rate of the selected news variable on the conditional variance of stock returns even after controlling for the potential effects of trading volume and high opening volatility furthermore the inclusion of the news variable in the conditional variance equation of the generalized autoregressive conditional heteroscedastic model also reduces volatility persistence especially with intraday data combined with the evidence that news arrivals display a very strong pattern of autocorrelation our results are consistent with the mixture of distribution hypothesis which attributes conditional heteroscedasticity of stock returns to time dependence in the news arrival process

inventory shocks and the oil ethanol grain price nexus we analyze the effects of oil and grain inventory data releases on oil ethanol corn and soy futures prices oil and grain inventory shocks are identified as the percent difference between actual inventory levels and median predictions from a survey of forecasters ethanol futures prices alone are found to respond to both oil and grain inventory shocks other energy futures prices respond only to oil inventory shocks while agricultural commodity futures prices respond only to grain inventory shocks