INTERNATIONAL ECONOMIC REVIEW, Issue 3 2005
Leonardo Rocha Souza
This note reviews some results on aggregating discrete-time long memory processes, providing a formula for the spectrum of the aggregates that considers the aliasing effect. [source]

The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns

EUROPEAN FINANCIAL MANAGEMENT, Issue 4 2002
Dilip K. Patro
Using a GARCH approach, we estimate a time,varying two,factor international asset pricing model for the weekly equity index returns of 16 OECD countries. We find significant time,variation in the exposure (beta) of country equity index returns to the world market index and in the risk,adjusted excess returns (alpha). We then explain these world market betas and alphas using a number of country,specific macroeconomic and financial variables with a panel approach. We find that several variables including imports, exports, inflation, market capitalisation, dividend yields and price,to,book ratios significantly affect a country's exposure to world market risk. Similar conclusions are obtained by using lagged explanatory variables, and thus these variables may be useful as predictors of world market risks. Several variables also significantly impact the risk,adjusted excess returns over this time period. Our results are robust to a number of alternative specifications. We further discuss some economic hypotheses that may explain these relationships. [source]

The Original Maturity of Corporate Bonds: The Influence of Credit Rating, Asset Maturity, Security, and Macroeconomic Conditions

FINANCIAL REVIEW, Issue 2 2006
Geetanjali Bali
G24 Abstract We examine the determinants of the new issue maturity of corporate bonds. As credit rating decreases, new bond issues have longer maturities, but substantial variation in maturity within each rating class remains. We seek to explain the variation of new issue maturity within credit classes. We find that asset maturity, security covenants, and macroeconomic conditions influence the new issue maturity of bonds within rating categories. [source]

Trade and Growth: Reconciling the Macroeconomic and Microeconomic Evidence

JOURNAL OF ECONOMIC SURVEYS, Issue 4 2005
Ricardo A. López
Abstract., Many empirical studies based on plant-level data have found that firms that enter the export markets are more productive than non-exporters and that this difference in productivity is achieved before firms become involved in exporting. These findings have challenged the traditional view that openness to trade increases productivity and economic growth. This article reconsiders the literature on trade, growth, and trade policies and argues that a careful examination of these new findings is consistent with the idea that exporting increases productivity and economic growth. [source]

Accounting Choices and Risk Management: SFAS No. 115 and U.S. Bank Holding Companies,

CONTEMPORARY ACCOUNTING RESEARCH, Issue 2 2002
Leslie Hodder
Abstract This paper provides evidence that regulatory contracts affect firms' accounting choices and risk-management decisions. Specifically, we investigate whether an exogenous shock to regulatory risk induced by Statement of Financial Accounting Standards No. 115, "Accounting for Certain Investments in Debt and Equity Securities" (SFAS 1993), encouraged U.S. banks to deviate from portfolio and risk benchmarks when they adopted the standard. Because we cannot observe relevant benchmarks, we model portfolio and risk decisions as functions of macroeconomic and firm-specific factors using data from a period when regulatory capital was immune to SFAS No. 115 accounting. We examine a sample of 230 publicly traded banks and find that (1) irrespective of adoption timing, banks classified too few securities available for sale (AFS) relative to estimated benchmarks; (2) weaker banks that adopted the standard early classified far more securities as AFS relative to benchmarks; (3) banks altered the size of their securities portfolios along with the levels of interest-rate risk and credit risk as regulatory capital decreased; and (4) the level of interest-rate risk on banks' loan portfolios increased at the time of SFAS No. 115 adoption. We also explore the 1995 Financial Accounting Standards Board (FASB) amnesty when firms could "readopt" SFAS No. 115. We find that banks used the 1995 FASB amnesty to undo strategic initial SFAS No. 115 adoption decisions. Taken together, our findings suggest that SFAS No. 115 caused some of the accounting and economic consequences predicted by bankers, analysts, and academics. [source]

THE UNEMPLOYMENT PARADIGMS REVISITED: A COMPARATIVE ANALYSIS OF U.S. STATE AND EUROPEAN UNEMPLOYMENT

CONTEMPORARY ECONOMIC POLICY, Issue 3 2009
DIEGO ROMERO-ÁVILA
This article tests the main unemployment paradigms for the unemployment rates of the states of the United States and the European Union,15 countries over the past three decades. For that purpose, we employ a state-of-the-art panel stationarity test, which allows for an unknown number of endogenous structural breaks as well as for cross-sectional correlation. Overall, our analysis renders clear-cut evidence in favor of regime-wise stationarity in U.S. state unemployment, while hysteresis in European unemployment. Interestingly, the timing of the breaks broadly coincides with major macroeconomic shocks mainly associated with the oil crises of the 1970s and marked changes in interest rates in the 1980s and early 1990s. Based on our results, we draw some policy prescriptions that point to the need for greater flexibility in the European labor markets. (JEL C23, E24) [source]

Policy Space: What, for What, and Where?

DEVELOPMENT POLICY REVIEW, Issue 4 2009
Jörg Mayer
This article examines how developing countries can use, and enlarge, existing policy space, without opting out of international commitments. It argues that: (i) a meaningful context for policy space must extend beyond trade policy and include macroeconomic and exchange-rate policies that will achieve developmental goals more effectively; (ii) policy space depends not only on international rules but also on the impact of international market conditions and policy decisions taken in other countries on the effectiveness of national policy instruments; and (iii) international integration affects policy space through several factors that pull in opposite directions; whether it increases or reduces policy space differs by country and type of integration. [source]

Testing Models of Low-Frequency Variability

ECONOMETRICA, Issue 5 2008
Ulrich K. Müller
We develop a framework to assess how successfully standard time series models explain low-frequency variability of a data series. The low-frequency information is extracted by computing a finite number of weighted averages of the original data, where the weights are low-frequency trigonometric series. The properties of these weighted averages are then compared to the asymptotic implications of a number of common time series models. We apply the framework to twenty U.S. macroeconomic and financial time series using frequencies lower than the business cycle. [source]

THE EFFECTS OF UNCERTAINTY ON THE LEVERAGE OF NONFINANCIAL FIRMS

ECONOMIC INQUIRY, Issue 2 2009
CHRISTOPHER F. BAUM
This paper investigates the link between the optimal level of nonfinancial firms' short-term leverage and macroeconomic and idiosyncratic sources of uncertainty. We develop a structural model of a firm's value maximization problem that predicts a negative relationship between uncertainty and optimal levels of borrowing. This proposition is tested using a panel of nonfinancial U.S. firms drawn from the COMPUSTAT quarterly database covering the period 1993,2003. The estimates confirm that as either form of uncertainty increases, firms decrease their levels of short-term leverage. This effect is stronger for macroeconomic uncertainty than for idiosyncratic uncertainty. (JEL C23, D8, D92, G32) [source]

Cross-country experiences and policy implications from the global financial crisis

ECONOMIC POLICY, Issue 62 2010
Stijn Claessens
Summary The financial crisis of 2007--2008 is rooted in a number of factors, some common to previous financial crises, others new. Analysis of post-crisis macroeconomic and financial sector performance for 58 advanced countries and emerging markets shows a differential impact of old and new factors. Factors common to other crises, like asset price bubbles and current account deficits, help to explain cross-country differences in the severity of real economic impacts. New factors, such as increased financial integration and dependence on wholesale funding, help to account for the amplification and global spread of the financial crisis. Our findings point to vulnerabilities to be monitored and areas of needed national and international reforms to reduce risk of future crises and cross-border spillovers. They also reinforce a (sad) state of knowledge: much of how crises start and spread remains unknown. --- Stijn Claessens, Giovanni Dell'Ariccia, Deniz Igan and Luc Laeven [source]

What happens during recessions, crunches and busts?

ECONOMIC POLICY, Issue 60 2009
Stijn Claessens
Summary We provide a comprehensive empirical characterization of the linkages between key macroeconomic and financial variables around business and financial cycles, for 21 OECD countries over the period 1960,2007. In particular, we analyse the implications of 122 recessions, 113 (28) credit contraction (crunch) episodes, 114 (28) episodes of house price declines (busts), 245 (61) episodes of equity price declines (busts), and their various overlaps in these countries, over the sample period. Our results indicate that the interactions between macroeconomic and financial variables can play a major role in determining the severity and duration of a recession. Specifically, we find evidence that recessions associated with credit crunches and house price busts tend to be deeper and longer than other recessions. , Stijn Claessens, M. Ayhan Kose and Marco E. Terrones [source]

Private Investment and Political Institutions

ECONOMICS & POLITICS, Issue 1 2002
David Stasavage
Recent research has demonstrated a negative link between macroeconomic and political uncertainty and levels of private investment across countries. This raises the question whether certain types of government institutions might help reduce this uncertainty. North and Weingast (1989) propose that political institutions characterized by checks and balances can have beneficial effects on investment by allowing governments to credibly commit not to engage in ex post opportunism with respect to investors. In this paper I develop and test a modified version of their hypothesis, suggesting that checks and balances, on average, improve possibilities for commitment, but that they are not a necessary condition for doing so. Results of heteroskedastic regression and quantile regression estimates strongly support this proposition. [source]

The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns

A Comparative Literature Survey of Islamic Finance and Banking

FINANCIAL MARKETS, INSTITUTIONS & INSTRUMENTS, Issue 4 2001
Tarek S. Zaher
There has been large-scale growth in Islamic finance and banking in Muslim countries and around the world during the last twenty years. This growth is influenced by factors including the introduction of broad macroeconomic and structural reforms in financial systems, the liberalization of capital movements, privatization, the global integration of financial markets, and the introduction of innovative and new Islamic products. Islamic finance is now reaching new levels of sophistication. However, a complete Islamic financial system with its identifiable instruments and markets is still very much at an early stage of evolution. Many problems and challenges relating to Islamic instruments, financial markets, and regulations must be addressed and resolved. In this paper, we provide a comprehensive comparative review of the literature on the Islamic financial system. Specifically, we discuss the basic features of the Islamic finance and banking. We also introduce Islamic financial instruments in order to compare them to existing Western financial instruments and discuss the legal problems that investors in these instruments may encounter. The paper also gives a preliminary empirical assessment of the performance of Islamic banking and finance, and highlights the regulations, challenges and problems in the Islamic banking market. [source]

Expenditure Reform in Industrialised Countries: A Case-Study Approach,

FISCAL STUDIES, Issue 3 2007
Sebastian Hauptmeier
This study examines reforms of public expenditure in industrialised countries over the past two decades. We distinguish ambitious and timid reformers and analyse in detail reform experiences in eight case studies of ambitious reform episodes. We find that ambitious reform countries reduce spending on transfers, subsidies and public consumption. Such expenditure retrenchment is also typically part of a comprehensive reform package that includes improvements in fiscal institutions as well as structural and other macroeconomic reforms. The study finds that ambitious expenditure retrenchment and reform coincides with large improvements in fiscal and economic growth indicators. [source]

RICE PRODUCER-PROCESSOR NETWORKS IN CÔTE D'IVOIRE,

GEOGRAPHICAL REVIEW, Issue 2 2009
Laurence Becker
ABSTRACT. Pressured by structural adjustment loan conditions, Côte d'Ivoire reduced state support for rice production and processing during the 1990s. In this article we examine how various actors in the rice commodity chain adapted to the macroeconomic reforms. Following a brief history of the rice sector, we present the results of fieldwork based on interviews conducted in 2002 of farmers, millers, traders, and workers in the state extension service and nongovernmental organizations. We found that, in the absence of state supports for farmers, private millers became the focal point of regional producer-processor rice networks. The four networks identified became the sole source of domestic commercial rice when the state removed subsidies for fertilizer and modern seeds, privatized extension, and liberalized prices and imports. To increase their role in the national rice supply, the rice networks may need support through microlending and a focus on niche markets. [source]

Takeover activity in Australia: endogenous and exogenous influences

ACCOUNTING & FINANCE, Issue 3 2005
Frank Finn
G34 Abstract The present paper analyses the population of takeover bids for listed Australian companies using quarterly data over a 25-year period to re-examine the predictability of takeover activity and to determine if there is a flow on impact on macroeconomic variables. We examine whether takeover activity: (i) is endogenous; that is, determined by own activity; (ii) is jointly determined by macroeconomic and capital market variables; and (iii) has an exogenous spillover impact across the economy. We find that stock prices and takeover activity share a long-term common trend, the relative success of takeover bids is independent of sharemarket activity, and conclude that aggregate takeover activity is driven by fundamental economic factors rather than by speculative activity. [source]

Debt management in Brazil: evaluation of the real plan and challenges ahead

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 1 2002
Afonso S. Bevilaqua
Abstract The Brazilian domestic debt has posed two challenges to policy-makers: it has grown very fast and its maturity is extremely short. This has prompted fears that a default or a compulsory lengthening scheme would be imposed. Here, we analyse the domestic public debt management experience in Brazil, searching for policy prescriptions for the next few years. After briefly reviewing the recent domestic public debt history, we decompose the large rise in federal bonded debt during 1995,2000, searching for its macroeconomic causes. The main culprits are the extremely high interest payments,which, until 1998, were caused by the weak fiscal stance and the quasi-fixed exchange-rate regime; and since 1999, by the impact of the currency depreciation on the dollar-indexed and the external debt,, and the accumulation of assets of doubtful value, much of which may have to be written off in the future. Simulation exercises of the net debt path for the near future underscore the importance of a tighter fiscal stance to prevent the debt-GDP ratio from growing further. Given the need to quickly lengthen the debt maturity, our main policy advice is to foster, and rely more on, inflation-linked bonds. Copyright © 2002 John Wiley & Sons, Ltd. [source]

Sustainable Return in Post-conflict Contexts

INTERNATIONAL MIGRATION, Issue 3 2006
Richard Black
ABSTRACT Post-conflict return is a highly politically charged process in a number of contexts, both for returnees and those who did not migrate or flee, leading many observers to question the notion of an unproblematic return "home". Specifically, doubts remain both about the conditions and voluntariness of return, the ability of individual returnees to reintegrate in their home countries and regions, and the wider sustainability of the return process. This paper seeks to provide an overview of recent policy interest in returns, before setting out a tentative definition of what might be considered a "sustainable" return. It is argued that it is possible to draw a distinction between narrow indicators of the "sustainability" of return, such as whether returnees subsequently reemigrate, and wider definitions, which see "sustainability" as involving both the reintegration of individual returnees in their home societies, and the wider impact of return on macroeconomic and political indicators. Based on either definition, the development of robust indicators of the sustainability of return could assist in monitoring the impact of return programmes, providing valuable insight on return policies. The broader definition suggested also draws attention to the idea that continued mobility after an initial return - including circulation and the development of a "transnational" lifestyle - may be more "sustainable" than a single and definitive return to the refugee's place of origin. Les retours dans une situation d'après-conflit sont un processus politiquement signifiant dans certains contextes, à la fois pour les rapatriés et pour ceux qui n'ont ni émigré ni fui, ce qui conduit de nombreux observateurs à s'interroger sur le concept d'un retour sans problème "dans les foyers". Plus précisément, des doutes subsistent à la fois quant aux conditions et au caractère volontaire du retour, à la capacité des rapatriés à se réinsérer dans leur pays et leur région d'origine, et à la durabilité, au sens plus large, du processus de retour. L'auteur s'efforce de donner un aperçu de l'intérêt politique récent pour les retours avant de tenter une définition de ce qui pourrait être considéré comme retour "durable". Selon lui, il est possible de faire une distinction entre les indicateurs au sens étroit de la "durabilité" du retour, à savoir par exemple si les rapatriés émigrent à nouveau, et des définitions plus larges, considérant la "durabilité" comme intégrant à la fois la réintégration des rapatriés dans leur société d'origine et l'impact plus large des retours sur les indicateurs macroéconomiques et politiques. Selon l'une ou l'autre définition, l'élaboration d'indicateurs solides de la durabilité des retours pourrait faciliter l'observation de l'impact des programmes de retour, en apportant un éclairage précieux sur les politiques de retour. La définition plus large appelle également l'attention sur l'idée selon laquelle la mobilité continue après un retour initial - y compris la circulation et l'adoption d'un style de vie "transnational" - pourrait être plus "durable" qu'un retour unique et définitif vers le lieu d'origine du réfugié. El retorno consecutivo a conflictos es un proceso con una alta connotación política en varios contextos, tanto para los retornantes como para quienes no emigraron ni huyeron, lo que da lugar a que muchos observadores cuestionen la noción de un retorno al "hogar" sin problemas. Concretamente, subsisten dudas sobre las condiciones y el carácter voluntario del retorno; la capacidad de los retornantes a título individual de reintegrarse en sus países y regiones de origen; y la sostenibilidad amplia del proceso de retorno. Este estudio trata de ofrecer un panorama del reciente interés político que suscitan los retornos, antes de establecer tentativamente una definición de lo que puede considerarse como un retorno "sostenible". En este artículo se arguye que es posible establecer una distinción entre estrechos indicadores del "sostenimiento" del retorno, a saber, si las personas que retornan vuelven a emigrar ulteriormente, y definiciones más amplias que consideran el "sostenimiento" como la reintegración de quienes retornan a título individual a sus sociedades de origen conjuntamente con las repercusiones más amplias del retorno en los indicadores macroeconómicos y políticos. Sobre la base de cualquiera de estas definiciones, el desarrollo de sólidos indicadores del sostenimiento del retorno podría servir para supervisar el impacto de los programas de retorno, al ofrecer una visión valiosa sobre las políticas de retorno. La definición más amplia propuesta señala a la atención la idea de que la continua movilidad tras el retorno inicial -incluida la circulación y el desarrollo de un estilo de vida transnacional- podría ser más "sostenible" que un retorno único y definitivo al lugar de origen del refugiado. [source]

Long-memory forecasting of US monetary indices

JOURNAL OF FORECASTING, Issue 4 2006
John Barkoulas
Abstract Several studies have tested for long-range dependence in macroeconomic and financial time series but very few have assessed the usefulness of long-memory models as forecast-generating mechanisms. This study tests for fractional differencing in the US monetary indices (simple sum and divisia) and compares the out-of-sample fractional forecasts to benchmark forecasts. The long-memory parameter is estimated using Robinson's Gaussian semi-parametric and multivariate log-periodogram methods. The evidence amply suggests that the monetary series possess a fractional order between one and two. Fractional out-of-sample forecasts are consistently more accurate (with the exception of the M3 series) than benchmark autoregressive forecasts but the forecasting gains are not generally statistically significant. In terms of forecast encompassing, the fractional model encompasses the autoregressive model for the divisia series but neither model encompasses the other for the simple sum series.,,Copyright © 2006 John Wiley & Sons, Ltd. [source]

Trade and agroindustrialization in developing countries: trends and policy impacts

AGRICULTURAL ECONOMICS, Issue 3 2000
Eugenio Díaz-Bonilla
Abstract There have been important changes in the international trade of processed and high-value added food products from developing countries over the past several decades. One of them has been the emergence of oilseeds and fruits and vegetables, replacing traditional products such as sugar, coffee, and cocoa as the main exports from developing countries. Another trend has been the collapse of African agroindustrial exports and the increase of exports from Asia. The paper highlights key trends, and explores possible reasons for the trends, focusing on trade policies in less-developed countries (LDCs) and developed countries (DCs). The paper argues that national trade policies and other economic policies appear to have been relatively supportive of agroindustrial production and exports in Asia. In contrast, policies have had more mixed effects in Latin America and the Caribbean (LAC), and seem to have been just one component in a larger array of forces inhibiting economic development in Africa. The performance of agroindustrial production and exports from LDCs may be now more dependent than ever on the completion of reforms in the agricultural trade policies of DCs. For Africa, however, a more supportive international environment and better macroeconomic and trade policies will not be enough to ensure a thriving agroindustrial sector within a broader process of economic development until military confrontations stop. [source]

Reform complementarities and economic growth in the Middle East and North Africa,

JOURNAL OF INTERNATIONAL DEVELOPMENT, Issue 1 2007
Mustapha Kamel Nabli
Abstract In this paper we empirically analyse the linkages amongst economic reforms, human capital, physical infrastructure, and growth for a panel of 44 developing countries over 1970,1980 to 1999. For this purpose, we generate aggregated reform indicators using principal component analysis. We show that the growth performance of Middle East and North Africa (MENA) has been disappointing because these economies have lagged behind in terms of economic reforms. However, our analysis also reveals that the growth dividend of some reforms has been small. This is the case when structural reforms are implemented in an unstable macroeconomic environment (which corresponds to the situation of the MENA countries in the 1980s), and when macroeconomic reforms are accompanied by a low level of structural reforms (as observed during the 1990s). Our result illustrates the complementarities between reforms as modelled by Mussa (1987) and Williamson (1994). Actually, after human capital and physical infrastructure, our analysis finds that macroeconomic and external stability are key variables for the reform process and for the growth prospects of the developing world. Copyright © 2006 John Wiley & Sons, Ltd. [source]

Gender equity and globalization: macroeconomic policy for developing countries

JOURNAL OF INTERNATIONAL DEVELOPMENT, Issue 8 2006
Stephanie Seguino
Abstract This paper reviews the evidence of gender effects of globalization in developing economies. It then outlines a set of macroeconomic and trade policies to promote gender equity in the distribution of resources. The evidence suggests that while liberalization has expanded women's access to employment, the long-term goal of transforming gender inequalities remains unmet and appears unattainable without regulation of capital, and a reorientation and expansion of the state's role in funding public goods and providing a social safety net. This paper sets forth some general principles that can produce greater gender equality, premised on shifting economies from profit-led, export-oriented to wage-led, full-employment economies. The framework is Kaleckian in its focus on the relationship between the gender distribution of income and macroeconomic outcomes. Copyright © 2006 John Wiley & Sons, Ltd. [source]

Time varying and dynamic models for default risk in consumer loans

JOURNAL OF THE ROYAL STATISTICAL SOCIETY: SERIES A (STATISTICS IN SOCIETY), Issue 2 2010
Jonathan Crook
Summary., We review the incorporation of time varying variables into models of the risk of consumer default. Lenders typically have data which are of a panel format. This allows the inclusion of time varying covariates in models of account level default by including them in survival models, panel models or ,correction factor' models. The choice depends on the aim of the model and the assumptions that can be plausibly made. At the level of the portfolio, Merton-type models have incorporated macroeconomic and latent variables in mixed (factor) models and Kalman filter models whereas reduced form approaches include Markov chains and stochastic intensity models. The latter models have mainly been applied to corporate defaults and considerable scope remains for application to consumer loans. [source]

The economics of soil productivity: local, national and global perspectives

LAND DEGRADATION AND DEVELOPMENT, Issue 6 2004
D. J. Knowler
Abstract Soil degradation is a mounting problem on many smallholder lands in developing countries. Economic analysis has been an important tool in addressing this problem, beginning with assessments of the financial attractiveness of investing in soil conservation works. Data compiled from 67 studies of the financial attractiveness of conservation technologies suggest that many can provide positive net returns at the farm level (64·2,per,cent). While such studies have made a valuable contribution, economists have been exploring additional applications of economics to the problem, such as the development of new perspectives under the guise of ecological economics. As a result, this paper argues it is an opportune time to assess progress in the field of economic analysis of soil degradation and to consider the policy ramifications of this research. Key issues are grouped into farm-level considerations, national policy linkages and global issues. A number of policy implications emerge. Clearly, devising effective incentives at the farm or community (collective action) level must be a priority. As part of this effort, even more attention should be paid to the influence of macroeconomic and sectoral policies on soil productivity. Since soil degradation is also a problem with global ramifications, there is a clear rationale for intervention at the international level via mechanisms such as international transfers. Copyright © 2004 John Wiley & Sons, Ltd. [source]

Prophecy and the near future: Thoughts on macroeconomic, evangelical, and punctuated time

AMERICAN ETHNOLOGIST, Issue 3 2007
JANE I. GUYER
A view from 1950s and 1960s Britain suggests that the public culture of temporality in the United States has shifted from a consequential focus on reasoning toward the near future to a combination of response to immediate situations and orientation to a very long-term horizon. This temporal perspective is most marked in the public rhetoric of macroeconomics, but it also corresponds in remarkable ways to evangelicals' views of time. In this article, I trace the optionality and consonance of this shift toward the relative evacuation of the near future in religion and economics by examining different theoretical positions within each domain. In conclusion, I suggest that the near future is being reinhabited by forms of punctuated time, such as the dated schedules of debt and other specific event-driven temporal frames. [source]

On the influence of oil prices on economic activity and other macroeconomic and financial variables,

OPEC ENERGY REVIEW, Issue 4 2008
François Lescaroux
The aim of this paper is to investigate the links between oil prices and various macroeconomic and financial variables for a large set of countries, including both oil-importing and oil-exporting countries. Both short-run and long-run interactions are analysed through the implementation of Granger-causality tests, evaluation of cross correlations between the cyclical components of the series in order to identify lead/lag relationships and cointegration analysis. Our results highlight the existence of various relationships between oil prices and macroeconomic variables and, especially, an important link between oil and share prices on the short run. Turning to the long run, numerous long-term relationships are detected, the Granger-causality generally running from oil prices to the other variables. An important conclusion is relating to the key role played by the oil market on stock markets. [source]

Information acquisition, dissemination, and transparency of monetary policy

CANADIAN JOURNAL OF ECONOMICS, Issue 1 2008
Jacob Wong
Abstract., This paper examines the role of transparency in a benevolent monetary authority's policies. Each firm's payoff depends on unobservable macroeconomic conditions and firms may incur a cost to acquire private information about macroeconomic conditions. The policy authority attempts to infer the underlying macroeconomic conditions from a noisy measure of aggregate actions and makes a public announcement to inform firms of this inference. High-quality announcements provide firms the incentive not to gather private information and base actions solely on information contained in policy announcements. However, this makes the observed actions of firms less informative to the policy authority. Ce mémoire examine le rle de la transparence dans les politiques d'une autorité monétaire bienveillante. Les résultats financiers de chaque entreprise dépendent de conditions macroéconomiques qui ne sont pas observables et les entreprises peuvent avoir à encourir des cots pour acquérir ces renseignements. L'autorité monétaire essaie d'extraire ce que sont les conditions macroéconomiques de base à partir d'une mesure agrégée des activités, et en fait l'annonce pour informer les entreprises. La grande qualité de telles annonces incite les entreprises à ne pas essayer de se procurer de tels renseignements privément, ce qui fait qu'elles fondent leurs décisions seulement sur les renseignements annoncés par l'autorité monétaire. Voilà qui rend l'observation du comportement des entreprises bien moins riche en information pour l'autorité monétaire. [source]

Common trends and common cycles in Canada: who knew so much has been going on?

CANADIAN JOURNAL OF ECONOMICS, Issue 1 2006
Elizabeth C. Wakerly
Another prevalent belief is that the Canadian regions respond symmetrically to the same aggregate shocks. A common trends / common cycles decomposition of Canadian regional outputs casts doubt on the convergence hypothesis and reveals trend shocks dominate fluctuations in Ontario, Quebec, and the Maritimes in the short and long run, but not in British Columbia and the Prairies. Thus, Canadian regional output fluctuations are driven by an asymmetric and economically important set of disaggregate propagation and growth mechanisms. Our results point to a new Canadian macroeconomic research agenda. JEL classification: C32, E32, O47 Tendances communes et cycles communs au Canada: qui savaient que tant de choses se sont passées?, Il est généralement bien accepté que convergence il y a dans les niveaux de production régionaux au Canada. Une autre croyance est que les régions canadiennes répondent de manière symétrique aux mêmes chocs agrégés. Une décomposition des tendances communes et des cycles communs des productions régionales au Canada jette le doute sur l'hypothèse de convergence et montre que les chocs tendanciels dominent les fluctuations en Ontario, au Québec et dans les Maritimes à court et à long terme, mais pas en Colombie Britannique et dans le Prairies. Donc, les fluctuations du niveau régional de production au Canada sont enclenchées par un ensemble asymétrique et économiquement important de mécanismes désagrégés de propagation et de croissance. Ces résultats définissent un nouvel ordre du jour pour la recherche macro-économique au Canada. [source]

Ambiguity Aversion, Robustness, and the Variational Representation of Preferences

ECONOMETRICA, Issue 6 2006
Fabio Maccheroni
We characterize, in the Anscombe,Aumann framework, the preferences for which there are a utility functionu on outcomes and an ambiguity indexc on the set of probabilities on the states of the world such that, for all acts f and g, . The function u represents the decision maker's risk attitudes, while the index c captures his ambiguity attitudes. These preferences include the multiple priors preferences of Gilboa and Schmeidler and the multiplier preferences of Hansen and Sargent. This provides a rigorous decision-theoretic foundation for the latter model, which has been widely used in macroeconomics and finance. [source]