liquidity in asian markets intensity of regional and global linkages this study investigates cross market linkages and the intensity of liquidity spillovers across nine asian markets and five developed markets during 2006 to 2016 further the study examines the con

testing an alternative habit persistence model marshall long ago noted the phenomenon of past consumption being highly correlated with current consumption if habit was indeed a major determinant of current consumption behavior then the neoclassical theory of utility maximization should take it into account a rigorous incorporation of habit formation into consumer theory began with gorman 12 pollak 21 22 23 laid out the theoretical conditions that needed to be satisfied in order for habit persistence to be consistent with the utility maximizing model of consumer behavior competent empirical work in this area was done initially by houthakker and taylor 14 with subsequent studies by manser 16 phlips 18 19 pollak and wales 24 anderson and blundell 2 and blanciforti and green 8 these papers have focused on examining the impact of measured past consumption on current consumption blundell 9 provides a comprehensive review of this literature

estimating theoretically consistent demand systems using cointegration techniques with application to greek food data abstract the use of time series techniques cointegration and error correction models has been offered as a potentially promising way in estimating demand systems that resolve the perennial issue of violating the theoretical postulates of homogeneity and symmetry the empirical results of this paper based on linearized aids and greek food data indicate that sample size aggregation schemes and model specification seem to be important factors in the estimation of a theoretically consistent demand system they also show that homogeneity is sensitive to sample size while symmetry is sensitive to the aggregation scheme adopted

weak separability and the estimation of elasticities in multistage demand systems the necessary conditions for multistage budgeting to be at least approximately justified are reviewed and the plausibility of these assumptions i e weak separability and low variability of price indices with utility level are discussed using no further assumptions simple relationships between expenditure and price elasticities in different budgeting levels are derived these results are applied to a three stage model for swedish food consumption and it is shown that the assumptions are not inappropriate restricting the analysis to the last stage of a multistage budgeting process is also shown to lead to considerable errors which could well have policy consequences

international financial contagion in currency crises abstract this paper examines the role of financial linkages especially through a common creditor in the propagation of emerging market crises during the 1990s using panel probit regressions on 41 emerging market countries it finds that financial linkages played a significant role in the spread of the mexican asian and russian crises the significance of financial linkages emerges after controlling for the role of domestic and external fundamentals trade spillovers and financial weaknesses in the affected countries a strong financial linkage to the crisis country of origin not only substantially raises the probability of contagion but also helps to explain the observed regional concentration of currency crises

the optimality of tariff quotas under uncertainty abstract a tariff quota is a schedule of tariffs in which the tariff rate steps upward as imports exceed some critical quantity or value this has desirable properties in the face of uncertainty about domestic demand and supply and about foreign supply we show that a specific ad valorem tariff quota is the policy maximizing domestic expected surplus subject to constraints on average imports import expenditure and on the average amount by which imports import expenditure exceed some critical value

a test of the habit formation hypothesis using household data numerous studies have confirmed the importance of habit formation as represented by a lagged dependent variable in demand analysis although all work to date has been based on aggregate time series data this study uses household level bls interview panel data to test the habit hypothesis an interrelated demand system for seventeen goods is estimated from cross section data and compared with a similar system based on time series data the results show that the habit component is significantly different between the two data sets and much smaller in the cross section data habit effects while not as large in cross section data as time series are still highly significant several explanations are offered concerning why the two sets of estimates differ copyright 1991 by mit press

klem substitutability a dynamic flexible demand system 1990 klem substitutability a dynamic flexible demand system applied economics vol 22 no 2 pp 275 283

unravelling financial market linkages during crises an empirical model of multiple asset classes across countries is formulated in a latent factor framework a special feature of the model is that financial market linkages during periods of financial crises including spillover and contagion effects are formally specified the model also captures a range of common factors including global shocks country and market shocks and idiosyncratic shocks the framework is applied to modelling linkages between currency and equity markets during the east asian financial crisis of 1997 98 the results provide strong evidence that cross market links are important spillovers have a relatively larger effect on volatility than contagion but both are statistically significant

distributional implications of climate change in rural india a general equilibrium approach we develop a general equilibrium framework based on a specific factors trade model to quantify the medium term household welfare impacts of global warming in rural india using an hedonic approach grounded in the theory combined with detailed microdata we estimate that three decades of warming will reduce agricultural productivity in the range of 7 13 with the arid northwest of india especially hard hit our analysis shows that the proportional welfare cost of climate change is likely to be both modest and evenly distributed across percentiles of the per capita income distribution but this latter conclusion emerges only when the flexibility of rural wages is taken into account

cost sharing versus block funding in a federal system a demand systems approach this paper employs a maximizing framework consistent with the axioms of consumer preference to analyze local government s choice of spending on different social services within this framework it is possible to include both block funding and cost sharing intergovernment transfer schemes canada s movement to block funding from the cost sharing method of financing provincial expenditures on hospitals medical care and post secondary education is analyzed the results indicate that the provincial governments actions are generally consistent with a significant maximizing model of consumer behavior and that the change to block funding had a significant impact on real provincial funding of some previously cost shared social services

will u s agriculture really benefit from global warming accounting for irrigation in the hedonic approach will u s agriculture really benefit from global warming accounting for irrigation in the hedonic approach wolfram schlenker w michael hanemann and anthony c fisher there has been a lively debate about the potential impact of global climate change on u s agriculture most of the early agro economic studies predict large damages see for example richard m adams 1989 harry m kaiser et al 1993 and adams et al 1995 in an innovative paper robert mendelsohn william d nordhaus and daigee shaw 1994 hereafter mns propose a new approach using the variation in temperature and precipitation across u s counties to estimate a reduced form hedonic equation with the value of farmland as the dependent variable a change in temperature and or precipitation is then associated with a change in farmland value which can be interpreted as the impact of climate change adams et al 1998 characterize the hedonic approach as a spatial analogue approach and acknowledge that the strength of the spatial analogue approach is that structural changes and farm responses are implicit in the analysis freeing the analyst from the burden of estimating the e ects of climate change on particular region speci c crops and farmer responses on the other hand one of the potential disadvantages of the hedonic approach is that it is a partial equilibrium analysis i e agricultural prices are assumed to remain constant 1 while year to year uctuations in annual weather conditions certainly have the potential to impact current commodity prices especially for crops produced only in a relatively localized area such as citrus fruits which are grown mainly in california and florida changes in long run weather patterns i e changes in climate might have a smaller e ect on commodity prices because of the greater potential for economic adaptation particularly shifts in growing regions 2 the hedonic approach as implemented by mns predicts that existing agricultural land on average might be more productive and hence result in bene ts for u s farmers 3 the hedonic approach has received considerable attention in our judgment in part because the conclusions are at variance with those of some other studies

a semi nonparametric approach to the demand for uk monetary assets we estimate an asymptotically ideal model of the demand for uk personal sector monetary assets we use data that are consistent with utility maximizing behaviour and find that uk monetary assets are generally substitutes in use the estimated elasticities of substitution during the 1980s and the early 1990s indicate that a relatively broad monetary aggregate should be used in economic studies the results also suggest that any policy based on interest or user cost elasticities of substitution between financial assets should be based on the morishima elasticities as the allen uzawa calculation can give misleading results

dynamic factor demand equations in u s and canadian agriculture abstract this research provides one of the first empirical estimates of a data based dynamic factor demand model for american and canadian agriculture models such as these deserve more widespread use in the empirical analysis of agriculture these models have the advantage that they do not impose inappropriate dynamics on the data rather they permit the data to select the appropriate dynamics we use a model originally developed by anderson and blundell this model is a general first order dynamic model which contains as testable hypothesis several simpler models this model permits us to estimate the long run agricultural production structure as a subset of the dynamic parameter estimates we will test this long run structure for symmetry homotheticity and neutral technical change the estimated models may be used to test for three alternative dynamic structures in the limit dynamics may not be needed and we can test for the static long run equilibrium model two intermediate cases are the autoregressive and the partial adjustment models which are simpler than the general model but still include dynamics our results suggest that the long run equilibrium model is unsatisfactory in both countries a dynamic model is needed in both countries the two more restricted dynamic models are rejected the general dynamic model is required in canada the long run equilibrium structure is homothetic with neutral technical change in the united states homotheticity is also accepted but neutral technical change is rejected

an investigation into the demand for alcoholic beverages in canada a choice between the almost ideal and the rotterdam models in this article i investigate the historical pattern of interactions in the demand for three categories of alcoholic beverages in canada using both the differential almost ideal and the differential rotterdam demand systems i evaluate these models based on several decision criteria including model encompassment based on the j test structural stability conformity with demand theory and the credibility of the estimated price and income responses in an attempt to determine which of these models is better suited for explaining the demand for alcoholic beverages the results reveal that both models satisfy the restrictions of demand theory and of structural stability but the rotterdam model is preferable on grounds of the remaining two criteria

volatility dependence and contagion in emerging equity markets abstract in this paper we use weekly stock market data for a group of latin american countries to analyze the behavior of volatility through time we are particularly interested in understanding whether periods of high volatility are correlated across countries the analysis uses both on univariate and bivariate switching volatility models our results do not rely on the correlation coefficients but on the co dependence of volatility regimes the results indicate that high volatility episodes are in general short lived lasting from 2 to 12 weeks we find strong evidence of volatility co movements across countries especially among the mercosur countries

the implications of tourism specialisation in the long run an econometric analysis for 13 oecd economies abstract the paper aims to illumine the longrun impact of specialisation in tourism it is shown that specialisation in tourism may not be deleterious for economic welfare once the terms of trade are considered conditions for an improvement in welfare are laid out and their existence tested by econometric methods within an almost ideal demand system formulation of tourist expenditure for 13 oecd economies the analysis uses cointegration techniques and novel sequential break dating procedures evaluated where the time dimension is small the values of the estimated parameters suggest that long run growth may not be harmed by tourism specialisation

quota induced cycles we present a new framework to compare the dynamic effect of tariffs and quotas in the presence of oligopoly suppose that the domestic and the foreign firm play a quantity setting game over time in a perfectly stationary economy a markov perfect equilibrium has the foreign firm exporting at the constant rate under a tariff in contrast under the quota the rate of exports changes monotonically over the course of each year causing seasonal fluctuations in domestic production quota induced cycles can make dynamic market segmentation possible and raise profits for both the firms above what they earn under the equal import tariff

the impact of global warming on agriculture a ricardian analysis reply we measure the economic impact of climate on land prices using cross sectional data on climate farmland prices and other economic and geophysical data for almost 3 000 counties in the united states we find that higher temperatures in all seasons except autumn reduce average farm values while more precipitation outside of autumn increases farm values applying the model to a global warming scenario shows a significantly lower estimated impact of global warming on u s agriculture than the traditional production function approach and in one case suggests that even without co sub 2 fertilization global warming may have economic benefits for agriculture 16 refs 5 figs 5 tabs

habit formation and demand for sugar sweetened beverages using scanner data we estimated demand for nine nonalcoholic beverages under habit formation we found strong evidence for habit formation although demand for sugar sweetened beverages by low income households is less elastic to own price changes compared with high income households there is evidence that high income households consider beverages to be more substitutable than low income households do a half cent per ounce tax on store purchased sugar sweetened beverages will result in a moderate reduction in consumption of sugar sweetened beverages for both income strata because of habit formation long run national tax revenue from a sugar sweetened beverage tax is about 15 to 20 lower than short run revenue

interrelated factor demands from dynamic cost functions an application to the non energy business sector of the uk economy in this paper we propose a dynamic cost function which allows us consistently to derive a set of dynamic interrelated factor demand equations in the general error correction form introduced by anderson and blundell 1982 this paper expands results recently published in urga 1996 it shows that the derivation of an effective underlying cost function allows us to identify the full set of parameters of the underlying process this does not happen in the standard anderson blundell formulation we report an empirical exercise used to model the so called supply side of the london busines school large scale economic model where we estimate both the set of factor demands and the underlying dynamic cost function for the non energy business sector of the uk economy

empirical modelling of the aggregation error in the representative consumer model this paper examines different approaches to modelling the aggregation error associated with the representative consumer model each approach is based on an analytical framework intended for modelling aggregate time series data on quantities and prices with potential additional measures of income distribution simple functions that track aggregation error over time are found to perform better than more complex and theoretically sophisticated models an explanation is given based on typical time series characteristics of economic data

voluntary export restraints and rationing u k leather footwear imports from eastern europe following the imposition of a quantitative import restriction someone somewhere must be quantity rationed concentrating on demand we develop methods to test and allow for the presence of rationing in the estimation of demand equations and in the calculation of the welfare effects of quantitative restrictions using a ces model we analyse the voluntary export restraints on u k imports of two types of leather footwear from comecon countries the results suggest that even if prices did not rise to clear the market u k consumers could have lost up to 60 million in 1986 from these restrictions

vers and expectations extensions and evidence this paper analyses the effects of an expected future voluntary export restraint on the level of firms current exports to a market the traditional result that current exports increase is shown to depend on the degree of collusion in the exporting industry and the anticipated restrictiveness of the ver the former relationship is tested by reference to the effect of ec import surveillance on its imports surveillance is argued to indicate an increased probability of a ver in the future and it is found that while competitive industries respond to it by increasing exports to the ec less competitive ones curtail exports this constitutes one of the few empirical tests of the strategic part of strategic trade policy

expenditure allocation across nondurables services durables and savings an empirical study of separability in the long run the separability of categories of consumption expenditures and savings are empirically examined in the context of an error correction model of aggregate quarterly expenditure allocations in canada some evidence is found for separability of consumption allocations from savings in both the long run structure and short run dynamics of the model lending some support to the use of the assumption in modelling consumption behaviour

testing dynamic specification for import demand models the case of cotton error correction models impose few prior restrictions on dynamic model specification and allow the data to determine model structure despite this obvious advantage few applications have adopted the error correction model to explain trade flows an error correction model of cotton import demand is estimated for france japan and hongkong a variety of tests are applied to determine the dynamic structure of the model it is found that the most general models are those that best fit the data for cotton import demand long run elasticities from these general models are significantly different than elasticities derived from a comparable static model

sleeping quotas pre emptive quota bidding and monopoly power abstract we rationalize the puzzling existence of binding quotas that are not fully utilized our model has its roots in bhagwati 1965 in r baldwin et al eds trade growth and the balance of payments essays in honor of g haberler mit press new york on tariffs quotas equivalence and is related to the io literature on preemption we study the conditions that lead a monopolist facing a quota restricted market to buy the quota licenses itself and the conditions under which they may remain unused the divisibility of the quota is crucial for the monopolist to pre emptively buy the quota furthermore we study the implications of use it orlose it clauses commonly imposed on auctioned quotas

price premium for high efficiency refrigerators and calculation of price elasticities for close substitutes a methodology using hedonic pricing and demand systems this article uses the hedonic pricing method to estimate the price premium paid for the highest energy efficiency label a in the refrigerators market of the basque autonomous community spain the estimated figure is 8 9 of the final price or about 60 euro which represents one third of the energy savings that a consumer gets during the lifetime of a refrigerator with the highest energy efficiency label this figure is then combined with the linear version of the almost ideal demand system la aids to obtain own and cross price elasticities of demand the information presented here is useful for policy design and analysis the results indicate that the demand for refrigerators with the highest energy efficiency label is highly sensitive to price variations

simple tests of distributional effects on macroeconomic equations the presence of distributional effects in macroeconomic equations is shown to coincide with nonlinearity in micro behavioral relationships parameters estimated with aggregate data as in representative agent models contain distributional biases that are not measurable using aggregate data alone tests for distributional effects and other measures of the extent of aggregation problems are derived using distributional data observed over time significant distributional effects are noted for a model of annual aggregate u s commodity expenditure data a static model that accommodates individual heterogeneity is found to be statistically equivalent to a simply dynamic model that accommodates first order autocorrelation

consumer behaviour in greece an application of the almost ideal demand system this paper estimates the almost ideal demand system on greek data for the period 1960 1986 for seven commodity groups the results conform with earlier research findings that the homogeneity and symmetry restrictions of demand theory are broadly inconsistent with the data the imposition of the restrictions leads to substantial changes in the estimated elasticities in both the static and dynamic specifications the introduction of habit effects with lagged consumption supported statistically by the data led to plausible results leaving however the problem of rejection of homogeneity and symmetry intact

an inverse demand analysis with introduction of quality effects an application to spanish consumption of fruit and vegetables this article analyzes consumer preference for fruit and vegetables when by using time series with socioeconomic characteristics of households there can be seemingly unobserved quality effects which are increased by aggregation the changes in spanish demand for fresh and processed fruit and vegetables over the period 1987 2000 are discussed following previous tests and analyses quantities are taken as predetermined and prices as matching the offer conditions thus quality effects based on the nutritional and or health value of the product are estimated from the error terms associated with the functions of the unit values quality variables are introduced as taste shifters in the inverse demand system laitinen theil model the results show the positive effects of quality differences on the normalized price for the group of products through own quality flexibilities and the negative effects between fresh and processed products through cross quality flexibilities

a flexible dynamic model of multiproduct technology for the west german economy this paper tests symmetry and negativity of the slutsky matrix for a system of demand functions derived from an aggregate model of multi product technology within a flexible dynamic framework the model considers three inputs and three outputs including imports and exports of intermediate goods we derive a static demand model from a trans log cost function and specify the data generation process by a stationary arx 1 1 model results based on west german quarterly data indicate that the integrability conditions are not rejected when imposed on the arx 1 1 model whereas they are rejected for all the less general dynamic models considered

the relative inefficiency of quotas the cheese case the nonequivalence of tariffs and quotas under a wide variety of circumstances is well established in economic theory this study considers heterogeneity as a source of nonequivalence and demonstrates its practical importance where restriction is inevitable the bias of economists in favor of price instruments is not thoroughly grounded this study should help provide a foundation the point of departure from the equivalence model is differentiation of products

spanish food demand a dynamic approach other empirical works have demonstrated that spanish food demand seems to have a dynamic structure however the commonly used dynamization processes are too restrictive to explain the dynamic food consumers behaviour a more general model that is able to incorporate different dynamic structures partial adjustment first autoregressive and static and allows for direct estimation of long run coefficients has been used this general framework is applied to the generalized addilog demand system gads for annual spanish data covering 1964 to 1991 results indicate that an autoregressive gads fits well the data satisfying the theoretic restrictions finally the expenditure and price elasticities are calculated

advertising in demand systems testing a galbraithian hypothesis in this paper we argue that the influence of advertising upon the inter product distribution of demand is a system wide phenomenon which is investigated better through a demand equation system rather than through single equation methods attention is focused upon a dynamic version of deaton muellbauer s aids model modified to include advertising terms within this framework using data on consumer s non durable expenditure in the uk we carry out a preliminary test of galbraith hypothesis that advertising may affect the composition of aggregate consumer demand

measuring financial asset return and volatility spillovers with application to global equity markets we provide a simple and intuitive measure of interdependence of asset returns and or volatilities in particular we formulate and examine precise and separate measures of return spillovers and volatility spillovers our framework facilitates study of both non crisis and crisis episodes including trends and bursts in spillovers and both turn out to be empirically important in particular in an analysis of sixteen global equity markets from the early 1990s to the present we find striking evidence of divergent behavior in the dynamics of return spillovers vs volatility spillovers return spillovers display a gently increasing trend but no bursts whereas volatility spillovers display no trend but clear bursts

fishing quota markets abstract in 1986 new zealand responded to the open access problem by establishing the world s largest individual transferable quota itq system using a 15 year panel dataset from new zealand that covers 33 species and more than 150 markets for fishing quotas we assess trends in market activity price dispersion and the fundamentals determining quota prices we find that market activity is sufficiently high in the economically important markets and that price dispersion has decreased we also find evidence of economically rational behavior through the relationship between quota lease and sale prices and fishing output and input prices ecological variability and market interest rates controlling for these factors our results show a greater increase in quota prices for fish stocks that faced significant reductions consistent with increased profitability due to rationalization overall this suggests that these markets are operating reasonably well implying that itqs can be effective instruments for efficient fisheries management

foreign investment quotas and rent extraction under uncertainty abstract this study examines the effects of quantitative restrictions on foreign firms entry into a domestic industry foreign firms investment policy and the equilibrium value of their entry right are studied under various rationing and rent extracting schemes when foreign firms are left free to compete for the scarcity rents induced by a quota their policy exhibits a suboptimal rent run entry occurs at the optimal pace only until a threshold level of investment is reached the last group of firms enters early and dumps output at below marginal cost

quota licenses for imported capital equipment could bureaucrats ever do better than the market abstract despite valid criticisms many developing countries have issued non transferable import licenses to a limited number of final good producers so as to restrict imports of an input such as capital equipment this paper demonstrates that for a given import quota such licensing restrictions can actually increase domestic production of both the input and the final product but at the cost of reduced quota rents under pure competition domestic welfare falls relative to the use of marketable quota licenses but if foreigners would get the quota rents or if external economies cause decreasing costs then bureaucratic allocation can dominate

a primer on financial contagion abstract this paper presents a theoretical framework to highlight possible channels for the international transmission of financial shocks we first review the different definitions and measures of contagion adopted by the literature we then use a simple multi country asset pricing model to classify the main elements of the current debate on contagion and provide a stylized account of how a crisis in one country can spread to the world economy in particular the model shows how crises can be transmitted across countries without assuming ad hoc portfolio management rules or market imperfections finally tracking our classification we survey the results of the empirical literature on contagion

interest rate volatility in emerging markets we use high frequency interest rate data for a group of latin american and asian countries to analyze the behavior of volatility through time we focus on volatility comovements across countries our analysis relies on univariate and bivariate switching volatility models we compare the results from the switching models with those from rolling standard deviation models we argue that the switching models are superior our results indicate that high volatility episodes are in general short lived lasting from 2 to 7 weeks we also find some evidence of interest rate volatility comovements across countries

risk aversion and optimal trade restrictions if the representative consumer of a country is risk averse then the choice of trade controls must take account of their effects on the fluctuations of domestic real income if the world price of the importable is uncertain and risk aversion is high then the optimal policy for achieving a ceiling on expected imports involves a reduction in imports and a rise in the domestic price as the world price falls moreover a quota is superior to a tariff in achieving the ceiling under domestic uncertainty a tariff is superior to a quota but it could be optimal to reduce the domestic price as imports increase economists have long recognized the equivalence of price and quantity controls under certainty the comparison of these control modes and the characterization of the optimal form of control under uncertainty has been undertaken by two groups of authors weitzman 1974 1978 considered a planning authority which faces uncertainty about the costs and benefits of producing a good he showed that the ranking of price and quantity controls depends on the curvature of the cost and benefit functions and that an optimal policy can be considered as a mixture of price and quantity controls his work was developed by laffont 1977 ireland 1977 malcomson 1978 and yohe 1978 in the context of international trade the comparison of tariffs and quotas under uncertainty has been undertaken by fishelson and flatters 1975 pelcovits 1976 dasgupta and stiglitz 1977 young 1979 1980a b and helpman and razin 1980 recently young and anderson 1980 showed that the policy maximizing expected consumer s surplus given a constraint on expected imports expected import expenditure is a specific tariff an ad valorem tariff in contrast to weitzman s planning model the price instrument is superior to the quantity instrument whatever the curvature of the benefits function 2 the conclusion of young and anderson appears to provide a strong argument against using quantity instruments to restrict trade however the expected surplus criterion is a valid welfare measure only if the marginal utility of income is constant in this paper we characterize the optimal form of trade restriction if the representative consumer of the importing country exhibits risk aversion toward income fluctuations the optimal policy can have surprising properties properties which with high risk aversion are better approximated by a quota rather than a tariff hence the second best justification for using quantity controls to restrict trade turns out to depend on

the logic of testing structural change in meat demand a methodological analysis and appraisal in the past two decades the profession has expended valuable resources testing structural change in meat demand with mixed results overlooked to date is a fundamental methodological problem that transcends all methods of testing for structural change in this study a methodological framework is used to show that there is no valid test of structural change because of this result additional criteria from the methodology literature are used to evaluate the literature on structural change in meat demand and to provide suggestions for fertile areas of future research

errata aggregation distribution and dynamics in the linear and quadratic expenditure systems using canadian data 1965 86 the author confirms and extends thomas m stoker s 1986 results on the rule of distributional effects in demand systems the confirmation consists of evidence from the linear expenditure system model showing that distributional effects are statistically significant and can displace ar 1 dynamics in the disturbances the extension is made to the quadratic expenditure system model and an argument is advanced that standard habit formation dynamics may reflect omitted distributional effects the evidence supports this conjecture this suggests that the author may have been drawing the wrong conclusions from expenditure studies rather than inferring dynamic behavior he should have been concluding that these models are misspecified copyright 1992 by mit press

quotas as options valuation and equilibrium implications abstract this paper presents formulae for the values of quota licenses in stochastic environments that are based on observable parameters and examines the impact of parameter changes on domestic equilibrium we show that the option pricing methodology currently used widely in the finance literature may be applied to the valuation of licenses in a potentially wide range of market environments

forecasting with the almost ideal demand system evidence from some alternative dynamic specifications the almost ideal demand system is used as a representation of long run demands in discrete time and continuous time error correction models to produce forecasts of budget shares beyond the sample period the estimated models are subjected to a battery of tests and an analysis of the forecasts indicates that continuous time adjustment mechanisms based around fully modified estimates of the long run preference parameters provide a remarkably accurate method of forecasting budget shares

an analysis of the disaggregated manufacturing exports of the asian nies to eec usa and japan this paper examines the export performance of the four asian newly industrialized economics nies by modelling their bilateral export flows to three main oecd blocks the usa japan and the european community our estimated export demand models reveal interesting asymmetries between these three areas of destination which do not emerge from previous aggregate empirical studies of nie export performance

habit seasonality and time aggregation in consumer behaviour habitual behaviour in consumer demand analysis is generally portrayed via some form of a lagged dependent variable model the purpose of this paper is to explore the implications for habit behaviour of time aggregation this is done by specifying both habit and seasonal components in demand relations the results indicate that much of what has traditionally been identified as habitual behaviour is in fact seasonal effects

a monthly dynamic consumer expenditure system for germany with different kinds of households a dynamic monthly consumer expenditure system is estimated for an aggregate household and three household types using recent german data the results tend to support the long run restrictions of homogeneity and symmetry for the aggregate household but only when short run dynamics are modelled following the method of anderson and blundell the required lags are short however the results for the partiallydisaggregated data are markedly different in particular the integrability restrictions can be rejected for the sample of high income workers therefore contrary to the usual presumption the less aggregated data seem more at variance with the restrictions of utility maximization

meteor showers or heat waves heteroskedastic intra daily volatility in the foreign exchange market this paper seeks to explain the causes of volatility clustering in exchange rates careful examination of intra daily exchange rates provides a test of two hypotheses heat waves and meteor showers the heat wave hypothesis is that the volatility has only country specific autocorrelation alternatively the meteor shower is a phenomenon of intra daily volatility spillovers from one market to the next using the garch model to specify the heteroskedasticity across intra daily market segments we find that the empirical evidence is generally against the null hypothesis of the heat wave using a volatility type of vector autoregression we examine the impact of news in one market on the time path of per hour volatility in other markets

auctions for initial sale of annual catch entitlement we use a laboratory experiment calibrated to a representative new zealand fishery to assess three sealed bid multi unit demand auction mechanisms under consideration for allocating quota for species being introduced into the quota management system these auctions allocate the k units to the k highest bids but prices are determined according to discriminative kth price and k 1st price rules in our experiment the auctions are equally efficient but revenue is highest in the discriminative auction and lowest in the k 1st price auction results are robust to industry subjects and subjects are responsive to the across unit bidding incentives present in multi unit demand auctions

testing restrictions in a flexible dynamic demand system an application to consumers expenditure in canada traditionally restrictions on systems of demand equations have been tested using static models whilst being estimated with time series data this paper develops a vector time series model of expenditure shares in the context of a singular dynamic demand system the model allows for non symmetric and non homogeneous short run behaviour the homogeneity and symmetry restrictions are only examined in the long run structure results based on canadian time series data are presented and reject the current practise of static modelling while restrictions suggested by economic theory are not rejected when imposed on the long run structure

non stationarity and the import demand for virgin olive oil in the european union the aim of this study is to analyse the importation of virgin olive oil to european union countries paying special attention to the spanish export contribution the method used is based on the estimation of an imports demand system the novelty of the paper lies not in the modelling approach but in the explicit consideration of the univariate characteristics of series that is included in the analysis since prices are non stationary cointegration among them has been tested results indicate that they are cointegrated and that homogeneity holds as a result relative prices are included in the imports demand system structural change is also considered so as to account for the entrance of both spain and greece into the eu during the period studied results demonstrate the leadership of spain within the eu virgin olive oil market as well as the increasing competitiveness of greek oil

age trend and cohort effects in a macro model of canadian expenditure patterns a quadratic almost ideal demand system allowing for age cohort and trend effects is developed at the macro level the model is estimated by maximum likelihood using a three tier iterative search method applied to pooled 1961 1992 time series for five regions of canada and six categories of expenditure hypothesis tests indicate support for the model specification elasticities are compared with those reported in other studies with special attention to food effects of demographic and trend variables on elasticities and expenditure shares are investigated an overall conclusion is that such effects can be very important in a macro demand system

volatility spillovers in east asian financial markets a mem based approach abstract we model the interrelations of equity market volatility in eight east asian countries before during and after the asian currency crisis using a new class of asymmetric volatility multiplicative error models based on the daily range we find that dynamic propagation of volatility shocks occurs through a network of interdependencies and shocks originating in hong kong may be amplified in their transmission throughout the system posing greater risks to the region than shocks originating elsewhere although this partly explains the severity of the currency crisis we also find evidence that parameters shifted making the system more unstable during the crisis

intra daily volatility spillovers in international stock markets abstract using a novel four phase model based upon a conditional autoregressive wishart framework for realized variances and covariances we quantify intra daily volatility spillovers within and across the us german and japanese stock markets before and during the subprime crisis we find significant short term spillovers from one stock market to the next trading market which have substantially intensified during the crisis indicating a global volatility contagion coming from the us market the strongest contagion with the largest burst of spillover effects from and to foreign markets is observed for the japanese market which was prior to the crisis fairly uncoupled from the german and us market we also find that the crisis leads to a significant reduction of the general persistence of volatility shocks in international stock markets hence it appears that during the turmoil of the crisis news generating volatility become outdated more quickly than before the crisis

the impact of global warming on agriculture reply in our paper with daigee shaw mendelsohn et al 1994 henceforth mns we developed a new approach to measuring the impact of global warming on agriculture we call this approach ricardian because it relies upon standard rent theory as a way of identifying the impact of changes on net economic welfare we compared the ricardian approach with the traditional production function approach which uses agricultural production functions but has great difficulty identifying all the other adjustments that farmers make in response to changing external conditions the ricardian approach is particularly well suited to a tremendously heterogeneous sector because it can rely upon reduced form estimation and does not require the impossible task of constructing structural models of hundreds of crops in thousands of locations estimating the model using cross sectional data on climate farm land prices and other economic and geophysical data for almost 3 000 counties in the united states the ricardian approach shows a significantly lower estimated impact of global warming than the traditional productionfunction approach indeed our preferred statistical approach showed modest benefits of climate change in his comment on mns in this issue of the review william r cline 1996 raises three concerns first he notes that the analysis assumes that output prices remain constant second he asserts that the analysis assumes that the supply of water for irrigation is perfectly elastic third he calls for testing the results of the model on alternative climate scenarios from general circulation models gcm s his first and third points are useful additions while the second is incorrect our ricardian approach assumes that the existing pattern of agricultural land rents and land prices reflects the long run equilibrium economic effect of climate and other geophysical and economic variables standard economic reasoning shows that by calculating the estimated effects of perturbing the climatic variables we can project the impact of climate change on economic welfare we do so in a partial equilibrium approach which assumes that output prices are invariant to the climate and cline is correct to point out that this might lead to biased estimates because the partialequilibrium estimates tend to underestimate damages and overestimate benefits in fact the bias is small given standard parameters for agricultural demand and supply functions we illustrate this point using linear supply and demand functions for agricultural crops let demand be given by qd ao a1p while supply is q po pi p where q and p are output and price and ai and i are parameters in equilibrium at the old climate market outcomes are qo and po now suppose that global warming contracts supply so that

dynamic translog and linear logit models a factor demand analysis of interfuel substitution in us industrial energy demand abstract we compare and contrast two popular dynamic flexible functional forms for cost functions the translog and the logit j bus econ stat 8 1990 347 353 using data on us industrial energy demand from 1960 to 1992 which has been analysed by previous studies energy econ 11 1989 89 94 appl econ 21 1989 931 945 j bus econ stat 13 1995 459 465 we show the crucial role played by different dynamic formulations of the translog in this analysis of factor demands with respect to rates of dynamic adjustment and substitution possibilities we conclude that the poor performance of the dynamic translog relative to the dynamic logit cannot be explained solely by dynamic model mis specification or the inclusion of price unresponsive non energy fuel use data our most robust empirical result is that coal and oil are substitutes

quotas as options quota licenses are options their price is given by expected discounted future value which hangs on the possibility that the quota may bind a number of auxiliary administrative details of quota systems are also analyzed in this context the presence of use it or lose it requirements and of restrictions on rate of usage of the annual quota can be seen as attempts to offset the implied protection on below limit imports they are shown to be inefficient recognition of the option valuation of quota licenses is rich with suggestions for future work on evaluation of quotas and comparisons with alternative schemes for protection

policy appraisal and the structure of protection in a low income developing country problems of measurement and evaluation in burundi the article provides estimates of the structure of nominal and effective tariffs and the tariff equivalents of a set of quantitative import restrictions for burundi a low income data deficient developing country it carefully indicates the assumptions and limitations of the analysis the overall conclusion of the article is that not much significance can be attached to the estimates in a cardinal sense nevertheless recommendations about altering the structure of relative incentives can be justified where these are directed at increasing transparency and uniformity

identification of habit in japanese food consumption abstract demand models were estimated for five commodities using annual retail level japanese data estimates were made with the houthakker taylor houthakker h s taylor l d 1970 consumer demand in the united states analysis and projections harvard university press new york ma state adjustment model significant lags were found for meat and cereal which means that habit is important for these commodities some habit affects were also found for seafood

price and income elasticities of demand for passenger transport fuels in spain implications for public policies abstract the significant increase in passenger transport activity cars experienced by spain and its associated increase in energy consumption have several associated negative aspects including a greater dependence on foreign energy sources and higher ghg emissions therefore reducing the level of transport activity would bring important socioeconomic and environmental benefits the aim of this paper which focuses on energy consumption in the passenger transport is fourfold 1 to provide a diagnostic of energy consumption in the spanish passenger transport system and the related problems 2 to develop a model to calculate price and income elasticities of demand for transport fuel 3 to apply this model to the spanish passenger transport sector 4 to infer policy recommendations derived from the results of the diagnostic and the model it is claimed that in view of those low price elasticities and high income elasticities and if a reduction in the scale of transport activity is deemed socially desirable a combination of instruments is necessary fuel taxes play an important role within this combination apart from their long term effects the low price elasticity of demand for transport fuel would allow the collection of a significant amount of revenues which could eventually be earmarked to encourage reductions in private transport demand and modal shifts with other instruments

estimating foreign trade functions a comment and a correction in this note a more flexible restricted error covariance matrix is applied than winters 1984 uses in order to estimate import demand functions we show that the alternative specification performs better in the sense of yielding a considerably larger value of the log likelihood function moreover some slight errors in winters tables 2 and 3 are corrected

the demand for food and beverages in norway abstract the demand for food and beverages is estimated within a three stage demand model the separability structure of the model is checked by nonparametric tests some generalized axiom of revealed preference garp violations are detected in one of the subsystems however they are removed by small adjustments in the quantities of fish and the violations are interpreted as results of measurement errors the almost ideal demand system is used in the static and a dynamic version the results of various specification and misspecification tests suggest that the static version performs poorly as compared with the dynamic version norwegian demand elasticities for disaggregate food commodities have rarely been estimated within a system framework so the results are of intrinsic interest the elasticities estimated by using the dynamic model are of the expected signs and reasonable magnitudes the values are stable over time for most commodities elasticities estimated within a subsystem are conditional on the goods included in that system and they may differ from the more policy relevant unconditional elasticities estimated within a system including all goods adjustment formulas are used to approximate the unconditional elasticities from the estimated conditional elasticities there are considerable differences between the numerical values of the conditional and unconditional elasticities for several of the foods the unconditional own price elasticities are in the interval 0 20 to 0 89 the own price elasticities for hot drinks and for milk are most inelastic the unconditional expenditure elasticities for food away from home fish soft drinks and alcoholic beverages are above one while the expenditure elasticity for hot drinks is about zero

interrelated factor demands for manufacturing a dynamic translog cost function approach abstract in this paper we report the results of estimating a joint model for labour capital and energy using the transcendental logarithmic cost function of christensen jorgenson and lau 1973 this allows us to determine both the own price and cross elasticities of substitution between labour capital and energy we combine a model of factor shares with a dynamic adjustment process for each factor we also impose on the cross equation restrictions necessary to provide additivity homogeneity and symmetry since the covariance matrix in systems of share relationships is singular we follow the suggestions of anderson and blundell 1982 and employ a mullivariate error corrrection model the results suggest that additivity symmetry and homogeneity restrictions do hold and that there are short run increasing returns to scale

estimating the welfare effects of voluntary export restraints and tariffs an application to nonleather footwear in the uk 1986 estimating the welfare effects of voluntary export restraints and tariffs an application to nonleather footwear in the uk applied economics vol 18 no 10 pp 1065 1083