detecting policy effects with wage rigidity and instability evidence on the taiwan labour market with stagnant wages and growing productivity a widening gap is becoming prevalent in global labour markets the relationship between wages and productivity has become indeterminate especially aft

drift in the relative price of primary commodities a case where we care about unit roots the evidence for the prebisch singer hypothesis of a downward drift over time in the relative price of primary commodities is considered the apparent strength of that evidence appears to depend to a substantial degree on whether the time series of relative prices is assumed to be trend stationary or integrated of order one moreover the usual econometric tests are relatively uninformative on this question these conclusions emerge whether or not a structural break in the series is permitted

dynamic animal economics market equilibrium dynamics of herd inventory management are derived for homogenous female populations short run supply is backward bending in response to permanent changes in demand and is rising in response to transitory changes in demand increasing inventories are associated with high and falling prices and decreasing inventories with low and rising prices but there is no market instability in this these unusual intertemporal substitution effects follow from both rational expectations and appropriately formulated cobweb models and go part of the way toward explaining hog and cattle inventory cycles

system theoretic time series forecasts of weekly live cattle prices multivariate time series forecasts of weekly live cattle prices in six different geographic markets are developed using a procedure based on the principles of linear systems theory these forecasts were found to be informative and superior to those obtained from an alternative model following the approach developed for stock prices by cerchi and havenner arbitrage portfolios were constructed from the model parameters a simulation exercise based on 208 weekly observations withheld from model specification and estimation suggests that these arbitrage activities would have been profitable in practice

detecting multiple factors in panel data an application on the growth of local regions in china abstractdue to unbalanced growth in china s local regions we construct a panel data model with multiple common factors to examine the differences among the growth factors in these areas this article shows the various impacts from the supply and demand sides on economic growth different from the demand side the supply side impacts have permanent influences this article focuses on these deep and profound impacts to explain the reasons behind china s fast economic growing by using data on 27 regions from 1958 to 2013 we summarize the main permanent influences along three lines the first comes from the coastal regions which have learned modern technology and systems from foreign companies such as in guangdong zhejiang fujian and liaoning the second comes from big cities such as beijing and shanghai in which a huge migration has given the companies opportunities to recruit excellent workers making the resource allocation specialized and more efficient the third is from the government s major p

monetary impacts on prices in the short and long run some evidence from new zealand this paper presents support for long run monetary neutrality based on evidence that individual time series for money manufacturing prices and agricultural prices are nonstationary but cointegrated with a stationary proportional long run relationship among their levels dynamic simulations from a vector error correction model with this restriction imposed show that monetary shocks shift relative prices in favor of agriculture in the short run and permanently raise nominal prices manufacturing price shocks have similar long run effects but initially place agriculture in a cost price squeeze while agricultural price shocks are transitory and have little impact on the other series

on the prevalence of trends in primary commodity prices abstract this paper applies new time series procedures to examine the prebisch singer hypothesis of a secular deterioration in relative primary commodity prices specifically we allow for up to two structural breaks in 24 price series covering the 1900 98 period for the majority of commodities it is shown that the trend is not well represented by a single downward slope but instead by a shifting trend that often changes sign over the sample period unlike some recent work that has also allowed for structural breaks these results provide much less support for the prebisch singer hypothesis

fractional integration in agricultural futures price volatilities revisited jin and frechette 2004 examined the degree to which agricultural price volatilities exhibited evidence of fractional integration and concluded it was important to consider both long run and short run memory when modeling conditional variances the purpose of this note is to revisit the issue using new methods and techniques which generally reaffirm the view that return volatilities are fractionally integrated and conditionally heteroskedastic with many exhibiting significant leverage effects a result not previously reported

the commodity terms of trade unit roots and nonlinear alternatives a smooth transition approach market price dynamics for north american oriented strand board markets are examined specifically the role of transactions costs are examined vis a vis the law of one price weekly data for the january 3rd 1995 through april 14th 2006 period are used in the analysis nonlinearities induced by unobservable transactions costs are modeled by estimating smooth transition autoregressions stars results indicate that nonlinearity is an important feature of these markets and that the parity relationships implied by economic theory are generally supported by the star models implications for the efficiency of spatial market linkages are examined by estimating generalized impulse response functions

the role of el nino southern oscillation in commodity price movement and predictability how are commodity prices related to the el nino southern oscillation enso cycle and has this relationship altered over time despite overwhelming evidence suggesting an important role played by the enso in global commodity production the relationship between this climate anomaly and prices is not a trivial corollary and requires careful investigation to account for potentially complex dynamics in the enso price relationship this study applies a time varying smooth transition autoregressive tv star modeling framework to monthly series of the sea surface temperature anomalies in the nino3 4 region and 46 primary commodity prices spanning the january 1982 december 2015 period the findings suggest apparent linkages between enso shocks and a set of agricultural commodities as well as forestry commodities and metals an unexpected deviation in enso results in two to five percentage point change in prices while up to 30 percent of price variation in the selected commodities can be attributed to enso shocks in the intermediate and long run importantly there are benefits to regime dependent modeling which in some instances facilitates unveiling causal linkages that may have been camouflaged in a linear setting several commodity prices also reveal evidence of structural change and in those instances the enso effect appears to have been mitigated over time suggesting some adaptive response to the known economic consequences of this climate anomaly

how do export controls affect price transmission and volatility spillovers in the ukrainian wheat and flour markets abstract this study investigates the impact of export controls implemented on ukrainian wheat during two periods of significant commodity price spikes and volatility first we investigate the equilibrium price relationship between wheat and flour prices to identify whether export restrictions dampened the price transmission from the wheat market to the flour market second we estimate an asymmetric vec bekk garch model to characterize the nature of short run price adjustments and volatility spillovers between the ukrainian wheat and flour markets the results indicate that export controls insulated the flour market from price shocks in the wheat market by reducing the transmission elasticity by 25 we also find evidence that suggests export controls lead to increased volatility in the flour market in the periods immediately before and after the export controls however we find no evidence that the export controls increase the time invariant i e the constant part of volatility of wheat or flour prices lastly we do not observe asymmetric spillover effects in the flour market but we do find that the wheat market is more volatile when experiencing positive shocks than negative ones

labor market volatility in the search and matching model the role of investment specific technology shocks abstract shocks to investment specific technology have been identified as a main source of u s aggregate output volatility in this paper we present a model with frictions in the labor market and explore the contribution of these shocks to the volatility of labor market variables namely unemployment vacancies tightness and the job finding rate thus our paper contributes to a recent body of literature assessing the ability of the search and matching model to account for the large volatility observed in labor market variables to this aim we solve a neoclassical economy with search and matching where neutral and investment specific technologies are subject to shocks the three key features of our model economy are i firms are large in the sense that they employ many workers ii adjusting capital and labor is costly iii wages are the outcome of an intra firm nash bargaining problem between the firm and its workers in our calibrated economy we find that shocks to investment specific technology explain 40 of the observed volatility in u s labor productivity moreover these shocks generate relative volatilities in vacancies and the workers job finding rate which match those observed in u s data relative volatilities in unemployment and labor market tightness are 55 and 75 of their empirical values respectively

how much of commodity price behavior can a rational expectations storage model explain a rational expectations competitive storage model was applied to the u s corn market to assess the aptness of this framework in explaining monthly price behavior in an actual commodity market relative to previous models extensive realism was added to the model in terms of how production activities and storage costs are specified by modeling convenience yield backwardation in prices between crop years did not depend on the unrealistic assumption of zero ending stocks our model generated cash prices that were distributed with positive skewness and kurtosis and mean and variance that increased over the storage season comparable to the persistence and the occasional spikes observed in commodity prices futures prices were generated as conditional expectations of cash prices at contract maturity and the variances of futures prices exhibited realistic time to maturity and seasonal patterns model realizations of cash and futures prices over many years were used to demonstrate the wide variety of price behaviors that could be observed in an efficient market with a similar market structure implying that economic and policy implications drawn from short historical samples of prices could be misleading

trends and cycles in the net barter terms of trade a new approach this study has two objectives first it uses time series techniques including unit root tests to reexamine the classic prebisch singer hypothesis that the relative prices of primary commodities in terms of manufactured goods are characterized by secular deterioration second commodity price movements are decomposed into permanent and cyclical components using the beveridge and nelson 1981 technique the latter information is valuable when assessing the viability of commodity stabilization funds and formulating countercyclical macroeconomic policy responses to commodity booms and busts copyright 1989 by royal economic society

trends in natural resource commodity prices deterministic or stochastic abstract the type of trend be it stochastic or deterministic exhibited by the price of a resource commodity should play a critical role in the development and empirical verification of theories which may explain its long run behavior the nature of the trend however can only be discerned through empirical testing to this end we present a menu of unit root testing procedures for characterizing observed trends in any economic time series including natural resource commodity prices we examine the prices of 11 resource commodities the evidence suggests that five price series exhibit stochastic trends while the remaining six price series appear to be stationary around a deterministic trend

the new econometrics of structural change dating breaks in u s labor productivity we have seen the emergence of three major innovations in the econometrics of structural change in the past fifteen years 1 tests for a structural break of unknown timing 2 estimation of the timing of a structural break and 3 tests to distinguish unit roots from broken time trends these three innovations have dramatically altered the face of applied time series econometrics in this paper we review these three innovations and illustrate their application through an empirical assessment of u s labor productivity in the manufacturing durables sector

bubbles in food commodity markets four decades of evidence abstract we use daily prices from individual futures contracts to test whether speculative bubbles exist in 12 agricultural markets and to identify whether patterns of bubble behavior exist over time the samples begin as far back as 1970 and run through 2011 the findings demonstrate that all 12 agricultural markets experienced multiple periods of price explosiveness however bubble episodes represent a very small portion between 1 5 and 2 of price behavior during the 42 year period in addition most bubbles are short lived with 80 90 lasting fewer than 10 days though receiving far less attention negative bubbles contribute significantly to price behavior accounting for more than one third of explosive episodes markets over react during both positive and negative explosive episodes leading to a correction as they return to a random walk this adjustment back to fundamental values is most pronounced with positive bubbles particularly in the earlier part of the sample while the magnitudes of the corrections are generally small there were a few instances of significant increases in prices and large over reactions most notably in the softs e g cocoa 1973 coffee 1994 cotton 2010 we also find that explosive periods did not become more common or last longer in the second half of the sample period and that the most recent bubble episodes may not have been as severe as in mid 1970s

learning about monetary policy rules when labor market search and matching frictions matter abstract this paper examines the implications of labor market search and matching frictions for determinacy and e stability of rational expectations equilibrium ree in a sticky price model with interest rate policy when labor adjustment takes place solely at the extensive margin forecast based policy that meets the taylor principle is likely to induce indeterminacy and e instability regardless of whether it is strictly or flexibly inflation targeting when labor adjustment takes place at both the extensive and intensive margins the strictly inflation forecast targeting policy remains likely to induce indeterminacy but it generates a unique e stable fundamental ree as long as the taylor principle is satisfied therefore the presence of search and matching frictions changes the determinacy properties of a strictly inflation forecast targeting policy and alters its e stability properties when only an extensive margin is present but not when labor adjustment takes place at both margins

a real options analysis of coffee planting in vietnam vietnam grew from an insignificant to the world s second largest coffee producer during the 1990s to understand this growth this article examines vietnamese coffee growers investment decisions using real options theory the study finds that producers with variable costs of 19 cents lb and total cost of 29 3 cents lb would enter coffee production at a coffee price of 47 cents lb and exit at a coffee price of 14 cents lb most vietnamese growers appear to be sufficiently efficient to continue producing coffee even at relatively depressed price levels

cointegration how short is the long run abstract when testing for cointegration and faced with short sample periods it is common for researchers to turn to more frequently sampled observations that is to move from annual to quarterly or monthly data in order to increase the number of observations we argue that such a gain in the degrees of freedom is more apparent than real essentially cointegration is a long run concept and hence requires long spans of data to give tests for cointegration much power rather than merely large numbers of observations using monte carlo simulations we demonstrate this for four popular tests for cointegration

unemployment responses to skill biased technology shocks the role of labour market policy do skill biased shocks that increase the spread of labour productivities interacting with different policy regimes explain the rise in unemployment in europe relative to the united states in the 1980s and 1990s the hypothesis is an implication of a version of the mortensen and pissarides 1994 model of equilibrium unemployment which allows for worker heterogeneity a calibrated version of the model implies that a similar unemployment increase would have occurred in the united states over this period given changes in relative productivity by education implied by observed wage changes had unemployment compensation and employment protection policies been at european levels

unemployment compensation finance and labor market rigidity abstract the systematic use of experience rating is an original feature of the u s unemployment benefits system at first glance experience rating does not appear to be a desirable choice for a lot of european labor markets which are characterized by high firing costs we provide a simple matching model of a rigid labor market that includes firing costs temporary jobs and a minimum wage in order to analyze this issue our analysis leads us to argue that experience rating is likely to reduce unemployment and improve the welfare of low skilled workers in france and more generally for low skilled workers in a typical rigid continental european labor market

on the power of dickey fuller tests against fractional alternatives abstract we examine the properties of dickey fuller unit root tests under fractionally integrated alternatives and find that these tests have quite low power

searching for a break in gnp it has been suggested that existing estimates of the long run impact of a surprise move in income may have a substantial upward bias due to the presence of a trend break in postwar u s gross national product data this article shows that the statistical evidence does not warrant abandoning the no trend break null hypothesis a key part of the argument is that conventionally computed p values overstate the likelihood of the trend break alternative hypothesis this is because they do not take into account that in practice the date is chosen based on pretest examination of the data

commodity prices and unit root tests price theory suggests that commodity prices should be stationary series yet tests for unit roots rather frequently imply that these prices are not stationary this seeming inconsistency is investigated by applying alternative specifications of unit root tests to prices of corn soybeans barrows and gilts and milk the preponderance of evidence suggests that nominal prices do not have unit roots but the results are sensitive to the specification of the test equation accounting for a structural change that shifts the mean appears to be an important issue in unit root tests

u s corn exports the role of the exchange rate abstract time series econometric methods are applied to monthly observational data over the period 1978 1992 on real exchange rates real corn prices corn export sales and corn export shipments for the united states in sample fit and out of sample forecast results are used to discern whether exchange rates have elicited systematic responses in u s corn prices sales and shipments and whether the dynamic transmission mechanisms tying these variables together have changed over time a structural break appears to have occurred in early 1985 no cointegration is found between exchange rates price sales and shipments in either sub period influences are all short run or between stationary variables the role of the exchange rate appears to have moderated in the post 1985 period implications for policy analysis are discussed

matching turnover and unemployment this paper develops the view that workers move into and out of the labor market because of changes in the perceived value of their market opportunities a search model is combined with a matching model to yield movement of workers from job to job and into and out of employment

labor market institutions and aggregate fluctuations in a search and matching model abstract this paper explores the influence of labor market institutions on aggregate fluctuations it uses a dynamic stochastic general equilibrium model characterized by search and matching frictions in the labor market and nominal rigidities in the goods market it finds that firing costs and unemployment benefits can have substantial effects on aggregate fluctuations increasing firing costs decreases the volatility of output employment and job flows due to the reduction in the mass of jobs sensitive to disturbances and lower incentives for firms to hire and fire workers hence firms adjust to shocks mainly through prices causing inflation to become more volatile raising unemployment benefits has the reverse effect on aggregate fluctuations

disentangling nonlinearities in the long and short run price relationships an application to the us hog pork supply chain increased concentration at the retail food processing and farm input manufacturing levels has brought increased attention to patterns in retail to farm price spreads most studies documenting asymmetric price transmission focus on nonlinear error correction processes as opposed to the current study which analyses potential nonlinearities in the long run relationship between the farm and retail prices the null hypothesis of nonlinearity in the long run relationship between farm and retail prices in the us hog pork supply chain is rejected in favour of a smooth transition cointegration stc framework the stc framework predicts downward price stickiness in retail prices the predicted residuals of the nonlinear model are used to investigate whether it is possible to disentangle nonlinearity in the long run price relationship from nonlinearity in the adjustment towards the long run equilibrium the results underline the importance of testing for linearity in the long run price relationship before modelli

can real option values explain apparent storage at a loss since decisions to sell grain are irreversible waiting to sell grain can have a real option value this real option value may explain why producers appear to store too long a new seasonal mean reversion model is estimated that allows prices to be a random walk with drift within a season but mean reverting across crop years unless prices are extremely low selling before mean reversion begins is optimal thus the real option value of waiting does not explain why some producers seem to store at a loss in the latter part of crop years

international comparisons of cattle cycles the time series properties of cattle production in three countries with different technologies argentina the united states and uruguay are studied in order to shed light on the role of technology in the dynamics of the cattle sector four series are analyzed for each country slaughter price stock of cows and total herd spectral decomposition of the time series shows the existence of cycles having surprising regularity for all the four time series the three countries exhibit very similar cyclicities in spite of their different technologies and economic environment

transfer costs spatial arbitrage and testing for food market integration conventional tests for food market integration ask often misleadingly whether prices in different locations move together in this paper an alternative methodology the parity bounds model pbm is developed which uses information on transfer costs in addition to food prices to assess the efficiency of spatial arbitrage monte carlo experiments using data generated by a point space spatial price equilibrium model show the pbm to be statistically reliable an application to philippine rice markets demonstrates that the pbm detects efficient arbitrage when other tests do not

an empirical equilibrium search model of the labor market in structural empirical models of labor market search the distribution of wage offers is usually assumed to be exogenous however because in setting their wages profit maximizing firms should consider the reservation wages of job seekers the wage offer distribution is essentially endogenous we investigate whether a proposed equilibrium search model in which the wage offer distribution is endogenous is able to describe observed labor market histories we find that the distributions of job and unemployment spells are consistent with the data and that the qualitative predictions of the model for the wages set by employers are confirmed by wage regressions the model is estimated using panel data on unemployed and employed individuals we distinguish between separate segments of the labor market and we show that productivity heterogeneity is important to obtain an acceptable fit to the data the results are used to estimate the degree of monopsony power of firms further the effects of changes in the mandatory minimum wage are examined

does the law of one price really hold for commodity prices in spite of the empirical failure of the law of one price it is usually assumed that commodity prices are perfectly arbitraged at least in the long run this paper argues that this assumption is counterfactual and that much of the empirical evidence provided to support it is flawed and affected by econometric shortcomings spurious regressions nonstationarity in the data inappropriate use of first differences an alternative methodology co integration by which a long run relationship between nonstationary series can be tested is proposed tests of nonstationarity and co integration for a group of commodities show quite uniformly that the law of one price as a long run relationship fails and that deviations from the pattern are permanent

identifying supply and demand elasticities of agricultural commodities implications for the us ethanol mandate we present a new framework to identify supply elasticities of storable commodities where past shocks are used as exogenous price shifters in the agricultural context past yield shocks change inventory levels and futures prices of agricultural commodities we use our estimated elasticities to evaluate the impact of the 2009 renewable fuel standard on commodity prices quantities and food consumers surplus for the four basic staples corn rice soybeans and wheat prices increase 20 per cent if one third of commodities used to produce ethanol are recycled as feedstock with a positively skewed 95 percent confidence interval that ranges from 14 to 35 per cent jel q11 q16 q42 q48

wage differentials employer size and unemployment the unique equilibrium solution to a game in which a continuum of individual employers choose permanent wage offers and a continuum of workers search by sequentially sampling from the set of offers is characterized wage dispersion is a robust outcome provided that workers search while employed as well as when unemployed the unique nondegenerate equilibrium distribution of wage offers is constructed for three cases 1 identical workers and employers 2 identical employers and an atomless distribution of worker supply prices and 3 identical workers and an atomless distribution of job productivities copyright 1998 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association