The Long-Run Volatility Puzzle of the Real Exchange Rate. Ricardo Hausmann Kennedy School of Government Harvard University

Size: px
Start display at page:

Download "The Long-Run Volatility Puzzle of the Real Exchange Rate. Ricardo Hausmann Kennedy School of Government Harvard University"

Transcription

1 The Long-Run Volailiy Puzzle of he Real Exchange Rae Ricardo Hausmann Kennedy School of Governmen Harvard Universiy Ugo Panizza Research Deparmen Iner-American Developmen Bank Robero Rigobon * Sloan School of Managemen Massachuses Insiue of Technology Absrac This paper documens large cross-counry differences in he long run volailiy of he real exchange rae. In paricular, i shows ha he real exchange rae of developing counries is approximaely hree imes more volaile han he real exchange rae in indusrial counries. The paper ess wheher his difference in volailiy can be explained by he fac ha developing counries face larger shocks (boh real and nominal) and recurren currency crises or by differen elasiciies o hese shocks. I finds ha he magniude of he shocks and he differences in elasiciies can only explain a small par of he difference in RER volailiy beween developing and indusrial counries. Resuls from ARCH esimaions confirm ha here is a subsanial difference in long erm volailiies beween hese wo ses of counries and indicae ha here is also a much higher persisence of deviaions of he variance of he RER from is long run value when he economy suffers shocks of various kinds. JEL Codes: F31, F41 Keywords: Real Exchange Rae, Volailiy * RICARDO_HAUSMANN@HARVARD.EDU; UGOP@IADB.ORG; RIGOBON@MIT.EDU. We would like o hank he paricipans a he Lunch on Inernaional Economic Policy a he KSG, Harvard for helpful commens and suggesions and Alejandro Riaño and Monica Yañez for excellen research assisance. The usual caveas apply. 1

2 1. Inroducion Developing counries are more volaile han indusrial counries. This is rue when we look across counries a differences in he volailiy of oupu, consumpion, ineres raes, or exchange raes. The purpose of his paper is o documen cross-counry differences in long run volailiy of he real exchange rae (RER). We show ha he real exchange rae ends o be much more volaile in developing counries han in indusrial counries, even a long horizons, and ha his difference in volailiy canno be aribued o sandard explanaions based on he fac ha developing counries face larger shocks (eiher real or nominal), or ha hey are more sensiive o hese shocks. The paper finds ha par of he explanaion lies in he fac ha volailiy swings are more persisen in developing counries. Since he seminal conribuion by Cassel (1922), Purchasing Power Pariy (PPP) has been one of he mos sudied opics in inernaional economics. In is simples form, PPP implies ha he price level of consumpion baskes across counries is he same. This is he absolue version of PPP which, by expressing all variables in logs, can be wrien as: p + s = p * where p is he price of he domesic consumpion baske, * p is he price of he foreign baske, and s represen he exchange rae. The idea is ha if goods are raded freely hen deviaions from PPP would imply flow of goods o arbirage he differences. Absolue PPP is only saisfied under very srong assumpions and he presence of non-radable goods, ransporaion coss, and monopolisic compeiion are among he main reasons used in he lieraure o accoun for deviaions from absolue PPP. Relaive PPP enails weaker assumpions and, raher han requiring price equalizaion across consumpion baskes, i only assumes ha changes in he price of hose consumpion baskes are arbiraged away. Formally, relaive PPP requires ha: p = p * + s Boh absolue and relaive PPP have implicaions for he behavior of he real exchange rae. Absolue PPP implies ha he real exchange rae is always equal o one, while relaive PPP implies ha deviaions of he real exchange rae from is seady sae are zero. q = s + p * p 2

3 PPP is an appealing heory. So much so, ha i is one of he mos imporan building blocks of he models in inernaional economics. PPP, however, was never mean o characerize he shor-erm dynamics of counries. Prices do no adjus o monhly flucuaions of he exchange rae, and in mos counries, no even o yearly movemens. Dornbusch s (1976) seminal paper explained exchange rae overshooing in he shor run as he consequence of differenial arbirage speeds beween he fas financial markes and he slower goods markes. In all hese heories, arbirage in he goods markes will evenually ake place and PPP can be hough as a he long run characerisic of a mean revering process. There are, however, heoreical models ha by assuming permanen real shocks can accoun for an RER ha follows a random walk. In fac, mos of he aenion of he empirical lieraure on PPP has focused on esing wheher he RER is beer described by a random walk or by a mean revering process. In mos cases his is done by concenraing on he sochasic properies of real exchange rae deviaions from some rend and by esimaing variaions of he following regression: q = α 1 + ε (1) q where he focus of he analysis has ended o concenrae on he coefficien α. While a survey of he exensive lieraure on he empirics of PPP is beyond he purpose of his paper, i is worh noing ha Froo and Rogoff (1995) find ha he consensus in he lieraure is ha PPP holds in he long run, and ha he half-life of he deviaions ranges beween 3 and 4 years. 1 I should be poined ou ha his is a consensus, no an agreemen (Kilian and Zha, 2002). For example, he area coninues o be invesigaed and recenly Imbs, e.al. (2002) sugges ha he average half-life is smaller han a year. They argue ha he longer esimaes found in he previous lieraure were due o aggregaion bias. Their findings, however, have been recenly challenged by Chen and Engel (2004). 2 While he lieraure has mosly concenraed on he serial correlaion coefficien α in equaion (1), his paper sudies cross-counry differences in he variance of he innovaions o he 1 Froo and Rogoff (1995), Rogoff (1996), and Chen and Engle (2004) offer excellen surveys of he empirical and heoreical lieraure. The survey of economiss reporing he consensus view was conduced by Kilian and Zha (2002). 2 There are imporan small sample problems in he esimaion of auo correlaion models. There are wo alernaives: one is o use exremely long daa ses and he oher one is o perform he esimaion on a panel. Abuaf and Jorion (1990), Diebold, Hused, and Rush (1991), Frankel (1986, 1990), Glen (1992), Lohian and Taylor (1996), and Mark (1995), look a very long daa ses. Frankel and Rose (1996), Lohian (1997), Oh (1996), and Wu (1996) esimae he auoregressive coefficien using panels. Recenly, some papers have sudied non-lineariies (Obsfeld and Taylor, 1997, Taylor, Peel and Sarno, 2001, and Taylor and Peel, 2000). 3

4 PPP equaion ε. 3 We find ha some counries have innovaions whose variance is more han 20 imes larger han ohers. And more imporanly, we find ha hese differences are only very parially explained by he higher variance of heir erms of rade, moneary and oupu shocks, by differences in he sensiiviies o hese shocks or by differences in exchange rae regimes. These differences are also no accouned for by differen speeds of mean reversion in he PPP equaion. We consisenly find ha indusrialized economies have, on average, a lower sandard deviaion of he innovaions o he RER (developing economies are 2.5 imes more volaile han indusrial counries). 4 Conrolling for various shocks and allowing for differen parameers by counry groups explains a very small fracion of he RER volailiy. Esimaing counry-bycounry equaions can explain up o 60 percen of he variance in he long run RER. However, none of hese equaions can reduce he raio of he residual long run RER volailiies, which remains beween 2 and 2.5. We also find ha he difference in residual RER volailiy is srongly associaed wih he level of developmen (eiher economic, as measured by GDP per capia, or insiuional, as measured by rule of law) and o a lesser exen o he degree of expors diversificaion, as measured by he Hirschman-Herfindahl concenraion indexes. Furher invesigaion sugges ha differences in long run RER volailiy are no due o he magniude or frequency of he shocks bu o differences in persisence of he volailiy indicaing ha he way in which he RER adjuss o shocks end o imply more persisen swings in volailiy. The paper is organized as follows. Secion 2 shows he basic facs abou cross-counry differences in RER volailiy and ess differen heories aimed a explaining hese differences. Secion 3 uses an ARCH model o show ha par of he difference in RER volailiy beween developing and indusrial counries can be explained by differences in persisence. Secion 4 concludes. 3 While here is a large lieraure ha uses cross counry daa o gauge he consequences of RER volailiy (especially on rade, for a recen survey see Hau, 2002), here are almos no papers ha use cross-counry daa o sudy he causes of long run RER volailiy. One excepion is Hau (2002) who focuses on how openness affecs RER volailiy. 4 In a paper ha is somewha relaed o ours, Cashin and McDermo (2004) find ha he speed of reversion o PPP is faser for developed counries han for indusrial counries. 4

5 2. The Puzzle The purpose of his secion is o documen he presence of large cross-counry differences in real effecive exchange rae (RER) volailiy and show ha in developing counries he real exchange rae ends o be much more volaile han in indusrial counries, even afer conrolling for differences in exernal and domesic shocks. Our sample covers up o 74 indusrial and developing counries for which we have annual daa on real effecive exchange rae over he period. 5 We sar wih he simples possible measure of volailiy: he sandard deviaion of he growh rae of he RER. Formally, our firs measure of volailiy is given by: VOL i ( RER ) ln( RER )) SD ln( n = (2) n We focus on boh one year (n=1) and five-year (n=5) volailiy (he upper bound for sandard esimaes of he real exchange rae half-life is 4 years, Froo and Rogoff, 1995). Figure 1 plos five-year volailiy for our sample of counries (he daa have been normalized so ha he cross-counry average is equal o one). I clearly shows ha indusrial counries (he ligh bars) end o have levels of real exchange rae volailiy ha are much lower han hose of emerging marke and developing counries (dark bars). Porugal is he indusrial counry wih he highes level of volailiy and is volailiy is jus above he cross-counry average; no oher indusrial counry has levels of volailiy ha are above he cross-counry average. We also find very few emerging marke or developing counries in he lef par of Figure 1. The few we find end o be very small (Papua New Guinea, S. Vincen, and The Bahamas). The only large emerging marke counries ha are characerized by low levels of real exchange rae volailiy (i.e., less han half he cross-counry average) are Israel and Taiwan, wo raher advanced economies. Table 1 repors average values for one-year and five-year volailiy for he whole sample of counries and for developing and indusrial counries (no normalized o one) and ess wheher 5 The real exchange rae daa are from J.P. Morgan and he IMF Inernaional Financial Saisics. We use J.P. Morgan daa whenever hey are available and complemen hem wih IMF daa for counries ha are no included in he J.P. Morgan daase. All he resuls are robus o using he IMF as main source or o resricing he sample o only J.P. Morgan or IMF daa. In all cases, we focus on he annual average of he real exchange rae index (he resuls are robus o using end of period daa). An increase in he RER index reflecs a real appreciaion of he currency. 5

6 he difference in volailiy beween hese wo groups of counries is saisically significan. I shows ha five-year volailiy is only en percen lower han one-year volailiy and ha volailiy in developing counries is always a leas 2.5 imes larger han volailiy in indusrial counries. The las wo rows of he able show ha we can always rejec he hypohesis ha he wo groups of counries have he same level of volailiy. The las four columns of he able also show ha differences in volailiy are no due o a specific sub-period. In fac, we obain similar resuls when we resric our analysis o he 1980s or o he 1990s (even hough he difference beween developing and indusrial counries was slighly larger in he 1980s). We also look a he hird and fourh momens o check wheher differences in volailiy are due o large devaluaion or real appreciaion episodes. Table 2 repors he skewness and kurosis of RER changes. The firs wo columns show ha he disribuion of he real exchange rae is skewed o he lef in boh developing and indusrial counries, indicaing ha large depreciaions are more common han large appreciaion. While column 1 indicaes ha skewness is significanly larger (in absolue value) in developing counries (indicaing ha large depreciaion are more common in his group of counries), column 2 shows ha when we focus on five-year periods here is no significan difference beween he wo samples of counries. This suggess ha large depreciaions and currency crises (ha are more common in developing counries) canno explain why five-year RER volailiy is higher in developing counries. The las wo columns of Table 2 show ha if we focus on one-year volailiy, we find ha he disribuion of RER ends o have faer ails in he sample of developing counries. However, he difference in kurosis beween hese wo groups of counries disappears when we focus on five-year volailiy. Again, his suggess ha exreme episodes canno fully explain he fac ha five-year RER volailiy is much higher in developing han in indusrial counries Trying o Explain he Puzzle Why are developing counries more volaile? Clearly his suggess a misspecificaion error in he AR(1) represenaion of he real exchange rae i.e., here are unobservable shocks ha are more volaile in one sub-sample han in he oher. These forms of misspecificaion should have been expeced. In fac, several of hem are implied by he heories we already have available. There are six sandard explanaions based on he differen ypes of shocks and responses 6 : (i) Developing counries are subjec o larger erms of rade shocks. (ii) Developing counries are 6 The higher volailiy of developing counries and is poenial causes in erms of exernal shocks and insiuional failings is discussed in Iner-American Developmen Bank (1995), Hausmann and Gavin 6

7 subjec o large volailiy in GDP growh because of heir limied abiliy o conduc counercyclical moneary and fiscal policies. (iii) Developing counries are subjec o large nominal shocks because hey have non-credible moneary insiuions and weak fiscal posiion. (iv) Developing counries are subjec o sudden sops in capial flows ha lead o currency crisis. (v) Differences in volailiy are due o he fac ha developing counries are no as open as indusrial counries. (vi) Differences in volailiy are due o differen exchange rae arrangemens and in paricular o he adopion of non-credible pegs. To check wheher hese heories can help us in explaining away he difference in RER volailiy beween developing and indusrial counries we sar by running various subses of he following regression: DEV + 2 n= 1 * α DEV n = SHOCK n β + + δcrisis + µ + ε i + CC λ + SHOCK Where he variable DEV is he firs difference of he real exchange rae deviaion from is long run equilibrium level (compued as a log-linear rend). 7 Noice ha expressing he dependen variable in erms of deviaion from is long run rend is equivalen o including a counry specific rend in Equaion (2). Such a counry specific rend conrols for he fac ha, because of he Balassa-Samuelson effec, some counries may experience rend appreciaion or depreciaion. SHOCK is a marix ha includes various measures of shocks. Crisis is a dummy variable aimed a capuring he effec of currency crisis. CC is a marix of counry characerisics (openness, exchange rae regime, level of developmen) ha may affec he RER response o shocks. Finally, we include wo lags of he dependen variable o conrol for he possibiliy ha differences in volailiy are driven by differences in persisence. µ i is a counry fixed effec. CC γ + Afer running regression (3), we recover he error erm ( ε ) and use i o compue counry s i one-year and five-year residual RER volailiy as: (3) (1996), De Ferrani e al. (2000), Aizenman and Pino (2004). The role of sudden sops and openness is discussed in Calvo e al (2003). 7 Formally, DEV, i = (ln RER, i ln TREND, i ) (ln RER 1, i ln TREND 1, i ). As (ln TREND, i ln TREND 1, i ) is a consan, he sandard deviaion of DEV, i is equal o he oneyear volailiy as compued in Equaion (1). As we run fixed effec esimaions, we would obain exacly he same resuls if we were o define our dependen variable as ln RER, i ln RER 1, i 7

8 RESVOL n = SD n 1 j= 0 ε n + j (4) Clearly, when n=1 (one-year volailiy), he residual volailiy is jus equal o he counryspecific sandard deviaion of he regression s residuals. When n=5 (five-year volailiy), he residual volailiy is equal o he sandard deviaion of he five year average of he residuals. Nex, we use RESVOL o check wheher, afer conrolling for all he variables included in Equaion 2, here is sill a difference beween he unexplained volailiy of he real exchange rae in developing and developed counries The Role of Shocks In Table 3, we explore wheher shocks can help in explaining away he difference in RER volailiy beween developing and indusrial counries. In column 1, we conrol for erms of rade shocks (do measures he change in erms of rade and ldo is lagged value). While we find ha erms of rade shocks are posiively and significanly correlaed wih changes in he RER (indicaing ha posiive TOT shocks lead o an appreciaion of he RER), he low R-squared (0.03) suggess ha erms of rade shocks can only explain a very small fracion of he variance of he real exchange rae. Columns 1 of Tables 4 and 5 repor he residual (afer conrolling for erms of rade shocks) one-year and five-year volailiy. They show ha he residual volailiy is basically idenical o he uncondiional volailiy. In he case of developing counries, he oneyear volailiy goes from o and he five-year volailiy goes from o In he case of indusrial counries, one-year volailiy goes from o and five-year volailiy goes from o Hence, differences in he magniude of erms of rade shocks do no explain he difference in RER volailiy beween developing and indusrial counries. Developing counries remain 2.5 imes more volaile han indusrial counries and he difference beween he wo groups remains highly significan. In he second column of Table 3, we conrol for oupu shocks by including GDP growh (growh). Clearly, GDP growh shocks are no exogenous and may be joinly deermined wih RER innovaions. However, his dual causaion cleads he regression o oversae he explanaory power of GDP growh shocks and hence o leave a smaller residual han is warraned. This biases he resuls agains he poin we are making. This commen is valid for oher endogenous variables ha we consider below as well. Remember ha he problems of endogeneiy will affec he 8

9 esimaion and inerpreaion of he coefficiens in equaion (1). We are, on he oher hand, concenraing on he properies of he residuals regardless of heir sources. While GDP growh (we use real local currency GDP growh) has a posiive and saisically significan coefficien (indicaing ha posiive oupu shocks are associaed wih real appreciaions), he R-squared of he regression remains exremely low (0.05) and columns 2 of Tables 4 and 5 show ha conrolling for GDP growh neiher reduces RER volailiy nor reduces he difference in RER volailiy beween developing and indusrial counries. In he hird column of Table 3, we include he change in log inflaion (dinf) o conrol for nominal shocks. While inflaion is no saisically significan, column 3 fis he daa beer han he wo previous columns (he R-squared goes o 0.09) and somewha reduces five-year volailiy (in developing counries i goes from o 0.092). However, his is due o he fac ha, when we include inflaion in he regression, we lose abou 300 observaions. In any case, columns 3 of Tables 4 and 5 show ha he difference beween developing and indusrial counries remains large and highly significan. In column 4 of Table 3, we include a dummy variable ha akes value 1 during currency crises. The Crisis dummy akes value one when, in any wo-year period, he RER depreciaes by more han wo sandard deviaion of he cross-counry sample (according o his definiion here are no currency crisis in indusrial counries). As his variable is buil using he lef hand-side of he regression, i has a negaive and highly significan coefficien and grealy increases he fi of he regression (he R-squared jumps o 0.3). However, conrolling for currency crisis does no explain away he difference in volailiy beween developing and indusrial counries. Columns 4 of Tables 4 and 5 sill show ha developing counries are a leas wice as volaile as indusrial counries. This suggess ha he difference in volailiy beween indusrial and developing counries is no due o he presence of a few large depreciaions. This is consisen wih our finding ha here is no significan difference beween he five-year skewness of developing and indusrial counries. Column 5 of Table 3 conrols for changes in expors (dexp) in order o check wheher movemens in he real exchange rae are due o sudden jumps demand for a counry s expors. I finds ha he coefficien of dexp is negaive and no saisically significan. Column 6 conrols for openness and Column 7 ineracs openness wih oupu (grop), erms of rade shocks (dop and ldop), and changes in expors (dexpop). The raionale for including hese ineracion erms is ha more open economies could be beer equipped o face exernal shocks. In paricular, Calvo e al. (2003) show ha he real depreciaion brough abou by a sudden sop in capial flows is 9

10 negaively correlaed wih he degree of openness. 8 We find ha neiher openness nor he ineracion erms are saisically significan. We also find ha he R-squared remains low (a 0.10) and ha he difference in volailiy beween developing and indusrial counries remains large and highly significan (columns 6 and 7 of Tables 4 and 5). In column 8 of Table 3, we inerac he shock variables wih an indusrial counry dummy o conrol for he possibiliy ha shocks may have a differen effec on he real exchange rae in each of he counry ses. We find ha he ineracion erms are rarely significan. The only excepion is he change in expors which is correlaed wih real depreciaions in developing counries and real appreciaions in indusrial counries. In any case, conrolling for hese ineracions neiher reduces he level of real exchange rae volailiy, nor he difference in volailiy beween indusrial and developing counries (column 8 of Tables 4 and 5). In columns 9, 10, and 11 of Table 3, we check wheher differences in RER volailiy can be explained away by he ineracion beween shocks and he exchange rae regime (Broda, 2001 shows ha counries wih a flexible exchange rae regime are beer able o smooh-away erms of rade shocks). In column 9, we include wo dummies based on he de faco measure of he exchange rae regime assembled by Levy-Yeyai and Surzenegger (2000). Lys02 akes value one for counries wih an inermediae regime and Lys03 akes value one for counries wih a fixed exchange rae regime (he excluded dummy is for counries wih a floaing regime). In column 10, we inerac hese dummies wih he oupu, erms of rade, and inflaion shocks discussed above. In column 11, we also include a dummy (swich) ha akes value one when a counry moves o a more flexible exchange rae regime (from inermediae o floaing or from fixed o inermediae or floaing). We find ha, compared wih counries wih floaing and fixed exchange rae regime, erms of rade shocks end o have a larger effec on he RER in counries wih an inermediae regime (all he oher variables are no significan). Conrolling for he exchange rae regime reduces he sample by approximaely 200 observaions and increases he R-squared of he regression o However, columns 9, 10 and 11 of Tables 4 and 5 show ha conrolling for he role of he exchange rae regime and is ineracion wih shocks does no explain away he difference in RER volailiy beween developing and indusrial counries. The las hree column of Table 3 inerac shocks wih boh exchange rae regime and growh. As one may expec, we find ha erms of rade shocks have a smaller effec on he RER during periods of high growh (grdo is negaive) bu, again, his does no explain away he 8 Obsfeld and Rogoff (2000) find ha in models wih nominal rigidiies, more open economies should exhibi lower RER volailiy. We es his hypohesis in subsecion

11 difference in volailiy beween developing and indusrial counries (columns 12, 13, and 14 of Tables 4 and 5) The role of Persisence As we found ha shocks canno explain away he difference in volailiy beween developing and indusrial counries, we now explore he role of persisence by augmening he regression wih lagged values of he dependen variable and allowing for differen persisence in developing and indusrial counries. The idea is ha he variance of he observed variable could be differen across groups because counries have differen persisence and no necessarily because he innovaions have differen variances. This secion explores his possibiliy. In he firs column of Table 6, we include wo lags of he dependen variable. Boh lags have a negaive coefficien (saisically significan for he second lag). While he negaive coefficiens sugges ha, afer a shock, he RER end o rever o is long run rend, he coefficiens are raher small indicaing ha shocks end o be persisen. The ypical esimae in he able implies an auoregressive coefficien of abou This is consisen wih he PPP lieraure ha has found average half-lives of abou 3 o 4 years. Columns 1 of Tables 7 and 8 show ha, allowing for persisence does no reduce our measure of RER volailiy and does no eliminae he difference in volailiy beween indusrial and developing counries. In he second column of Table 6, we inerac he lagged values of he dependen variable wih an indusrial counry dummy and hus allow persisence o differ across he wo groups of counries. Ineresingly, we find ha he coefficien on he firs lag becomes posiive in indusrial counries suggesing ha exchange rae shocks are more persisen (a leas in he shor run) in his group of counries. This resul is also consisen wih some evidence of non-lineariy of PPP deviaions. In he daa developing counries have larger deviaions and if he relaionship is nonlinear we should expec hese counries o reurn o he mean faser (Obsfeld and Taylor 1997). However, for he purpose of his paper, allowing for differen degrees of persisence does no affec our basic resul ha RER is more volaile in developing counries (column 2 of Table 7 and 8). In columns 3 hrough 9 we inroduce he variables discussed above (shocks, crisis, openness, and exchange rae regime). Again, we find ha none of hese variables can explain 9 Remember ha we are esimaing an AR(2) which means ha he value of 0.8 repored in he ex is he implied coefficien if we were o fi an AR(1). Or pu i in oher erms, he half-lives of he esimaed AR(2) is he same as an AR(1) wih an auoregressive coefficien of

12 away he difference in volailiy beween developing and indusrial counries (see columns 3-9 of Tables 7 and 8). In column 10, we allow boh he shocks and persisence o have a differenial effec in developing and indusrial counries. Column 11 conrols for he exchange rae regime and columns 12 hrough 16 allows for ineracions beween shock and exchange rae regime and shocks and growh. The resuls are similar o hose of Table 3 and show ha none of he specificaions of Table 6 can explain away differences in RER volailiy beween indusrial and developing counries. 10 The resuls of he exercises described above are remarkable. Afer conrolling for a very ample se of shocks and ineracing he shocks wih differen counry characerisics, we could, in he bes of cases (when we inerac shocks wih he exchange rae regime in columns 10, 11, 13 and 14 of Table 3 or include our crisis dummy which is buil using he lef hand side variable, column 4) reduce he residual five-year RER volailiy in developing counries by 30 percen (from o 0.07). Even in hese cases, volailiy in developing counries remains 1.7 imes higher han he RER volailiy in indusrial counries (and he difference is saisically significan a he 1 percen confidence level). In all oher cases, our se of explanaory variables can reduce developing counries five-year volailiy by a mos 20 percen. Ineresingly, hese explanaory variables accoun for a smaller reducion in residual volailiy a 5-year horizons han a 1 year. As a final robusness check, we look a wheher our resuls are driven by aggregaion bias or by non-lineariies. We sar by running a se of regressions where all he shocks are ineraced wih counry fixed effecs. This eliminaes any aggregaion bias because his is equivalen o running he regression counry by counry. Afer running hese regressions, we recover he errors in he wo groups, compue he residual volailiy, and compare indusrial wih developing counries. The resuls are repored in Table 9. They show ha even afer running a separae regression for each counry, we sill ge ha he residual volailiy of he RER in developing counries is more han wice as large as he residual volailiy in indusrial counries (he raios beween he volailiies of he wo groups of counries range beween 2.4 and 2.9). Table 10, repors resuls of counry by counry regressions where we also conrol for non-lineariies by enering he squares of various shocks. Again, his does no eliminae differences in RER volailiy beween developing and indusrial counries and he raio beween he volailiy of he wo group of counries remains in he range. 10 To check he robusness of our resuls, we also reesimaed he specificaions of Table 6 by using he GMM esimaor developed by Arellano and Bond (1991) and obained resuls ha are essenially idenical o hose of Table 6. 12

13 In Figure 2 we illusrae he real exchange rae volailiy puzzle in ye anoher way. We plo summary saisics of all he regressions we have esimaed hus far. For each specificaion we plo he R-squared of he equaion separaely for indusrial and for developing counries, shown respecively in dark and ligh color bars (measured from he lef axis). The idea is o measure how much can be explained by he shocks and ineracions we are including in he regressions. Noe ha as we include more explanaory variables, he R squares go up. However, in general, he equaions do a significanly beer job in explaining he wihin counry volailiy among indusrial counries han among developing counries. Noe also ha as more variables are included, he R-square increases, especially afer equaion 33 when we run counry by counry equaions (his should be expeced because he counry by counry regressions have less han fifeen degrees of freedom). However, he line depiced in he figure indicaes he raio of he residual volailiies beween developing and indusrialized counries is very sable. Noice ha he raio flucuaes beween 2 and 2.5 regardless of he specificaion. Therefore, he puzzle is, hen, ha independenly of how much of he RER volailiy we can explain, we are unable o make any progress in explaining he relaive residual volailiies of hese wo ses of counries Going beyond he indusrial-developing spli So far we compared volailiy beween developing and indusrial counries wihou asking wheher here is any specific characerisic of hese wo groups of counries ha may explain he differences in volailiy we jus documened. In wha follows we use he one-year residual volailiy obained by running he counry by counry regressions ha includes all conrols and wo lags of he dependen variable (column 8 of Table 9) and regress hese volailiies over a se of counry characerisics (measured as averages for he period unless oherwise noed). In he firs column, we conrol for he log of GDP per capia (o conrol for differences in he level of developmen), he volailiy of erms of rade, and he degree of openness. As expeced, we find ha more developed counries have lower residual RER volailiy (he coefficien of LGDPPC is negaive and saisically significan) and, as suggesed by Obsfeld and Rogoff (2000) and Calvo e al. (2003), we also find ha more open counries have lower residual RER volailiy. A he same ime, we find ha erms of rade volailiy is no correlaed wih residual RER volailiy (his should no be surprising because in compuing residual RER volailiy we already need ou he effec of erms of rade shocks). In he second and hird columns, we also conrol for GDP growh volailiy and volailiy of expors and find an insignifican relaionship (again, his was expeced because in compuing residual volailiy we 13

14 already need ou he effec of GDP and expor shocks). In he fourh column, we conrol for rule of law (measured over he period) and we find ha his variable has he expeced negaive sign bu ha i is no saisically significan. We also find ha once we include rule of law, GDP per capia is no longer significan (and he coefficien drops from 0.01 o 0.005). 11 This is due o he fac ha GDP per capia and rule of law are highly correlaed (he correlaion coefficien is 0.89) and a Wald es indicaes ha he wo variables are joinly significan wih a p- value of In he fifh and sixh columns we conrol for expor concenraions a he 4 and 10 digis (he idea is ha counries wih less diversified expor srucures migh experience higher volailiy). We use daa on US impors by counry and calculae Hirschman-Herfindahl indexes of concenraion a he 4 (CONC4) and 10 (CONC10) digi levels (he concenraion indexes are measured as averages over he period). As expeced, he coefficiens are posiive and marginally significan in he case of CONC10. Columns 7, 8, 9 conrol for counry size (measured by oal GDP) and wo measures of financial developmen (DC_GDP is an average over he period) and find ha none of hese variables are significanly correlaed wih residual volailiy (when we conrol for oal GDP we find ha openness is no longer significan). 12 Equaions 11 hrough 13 pu several of he explanaory variables ogeher. The main message of hese equaions is ha a measure of developmen wheher GDP per capia or rule of law is robusly relaed o he difference in residual RER volailiy. In addiion, expor concenraion is also robus o he inclusion of oher variables. In paricular, i is robus o he inclusion of openness and size, wo variables wih which i is relaed. 13 However, neiher of hese wo laer variables are robusly relaed o RER volailiy. 14 Table 12 uses he equaions esimaed in Table 11 o accoun for he difference in average residual RER volailiy beween indusrial counries (2.3 percen) and developing counries (5.6 percen). The esimaed equaions when applied o he average characerisics of indusrial and developing counries can allow for a decomposiion of he residual volailiies. The equaions 11 I should be poined ou ha, as rule of law is measured in he lae 1990s raher han for he whole period, his variable is more endogenous han GDP per capia. 12 Larger economies end o be more closed and counry size and openness have a negaive correlaion of 0.5 in our daase. Our resuls are in conras wih he finding of Hau (2002) who find ha openness is a robus predicor of long run RER volailiy. One difference beween our and his empirical sraegy is ha we focus on residual volailiy and, in he cross-counry analysis, we also conrol for counry size and expor concenraion. 13 There is a relaively high and negaive correlaion beween CONC10 and LGDP of in our daase and here is no correlaion beween CONC10 and openness (0.05). Inclusion of boh size as measured by LGDP and CONC10 makes openness no longer saisically significan. 14 These resuls are robus o esimaion echniques ha pu less weighs on ouliers. 14

15 explain beween 71 and 100 percen of he difference. In general, he level of developmen, measured eiher as LGDPPC or as he index of Rule of Law or in andem, can explain beween 80 and 100 percen of he difference, depending on he specificaion. Differences in expor concenraion can accoun for abou 18 percen of he difference. Differences in openness do no help explain he differences, as developing counries are on average more open han developed counries. Differences in size also do no explain he RER puzzle as larger counries end o have more residual RER volailiy. Hence, he level of developmen and of expor concenraion seems o be involved in any explanaion of why residual RER volailiy is higher in developing counries. 3. Anoher way o look a persisence and a possible answer o he puzzle So far we compared RER volailiy beween indusrial and developing counries by esing he difference beween average volailiy in he wo groups of counries or by regressing residual volailiy on a series of counry characerisics. We now esimae an ARCH model ha allows us o use a proper regression se up o es wheher here is indeed a difference beween long-run RER volailiy in developing and indusrial counries. We also use he ARCH model o check wheher he difference in RER volailiy beween developing and indusrial counries can be explained by differences in persisence in he ARCH componen of he regression. Formally, we joinly esimae he following wo ARCH (2) equaions: DEV = SHOCK + (1 + d * IND) * h + (1 + δ * IND) * + ψ h = ϕ + SHOCK ψ h 2 2 n= 1 2 a + IND b + SHOCK g n DEV i n i + u 1 α + IND β + SHOCK * IND c + 2 λn DEV n + (6) n= 1 + φ IND * h 1 + φ IND * h 2 i * IND γ + i 2 + ε (5) The firs equaion (mean equaion) measures how shocks and persisence affec he level of he dependen variable (in our case he change of he real exchange rae). The second equaion he variance equaion describes he evoluion of he variance and allows us o measure he difference in he long run variance beween developing and indusrial counries. 15

16 Equaion 1 in Table 13 esimaes he above model by seing c and d equal o zero in he mean equaion and α, γ, δ, λ1, λ2, ψ1, ψ 2, φ1, φ2 equal o zero in he variance equaion. In his case, he consan (0.0132) measures he long run variance in developing counries and he consan plus β ( =0.0014), he long run variance in indusrial counries. Hence, he fac ha he indusrial counry dummy has a negaive and highly significan coefficien indicaes ha he condiional variance of he real exchange rae is significanly higher in developing counries. Noe ha hese numbers reflec he esimaed variances, which are he squares of he sandard deviaions. By aking he square roos of he esimaed long run variances we obain 11.5 percen for developing counries and 3.7 percen for indusrial counries, numbers which are in line wih he resuls obained in he previous secions (Equaion 1 of Table 13 is comparable o Equaion 4 of Table 6; he residual 5 year volailiy of his laer equaion is 1.09 percen in developing counries and 3.5 percen in indusrial counries). In Equaion 2, we explore wheher he wo ses of counries have he same persisence in he variance equaion. We address his issue by adding wo ARCH erms o he previous equaion. The esimaed long run variances of hese equaions are given by ϕ h NONIND = for 1 ψ ψ ϕ + β developing counries and by h IND = for indusrial counries, he esimaed raio 1 ψ ψ 1 2 ϕ beween he long run variance of indusrial and developing counries is given by =5.125 ϕ + β (i.e., long run RER volailiy is five imes higher in developing counries). Taking square roos of his raio we obain 2.264, which is in line wih our esimaed relaive residual volailiies of he previous secion. Equaion 3 allows he variance of developing and indusrial counries o have differen persisence and shows ha persisence is sronger in developing counries. While he ARCH coefficiens are posiive and saisically significan, he ineracion erms are negaive and saisically significan and indicae ha persisence in he variance of he real exchange rae of indusrial counries is a small fracion of ha in developing counries (0.55 vs for ARCH1 and 0.53 vs for ARCH2). In his case, he respecive long run variances are given by: ϕ ϕ + β h NONIND = and h IND =. Noice ha ψ 1 + ψ 2 is very close o 1 ψ ψ 1 ψ ψ φ φ one (1.09) indicaing ha he model could be misspecified because he variance of developing counries could be eiher negaive or explosive

17 In equaion 4 we allow for various shocks and he lagged values of he real exchange rae o have an effec on he variance (i.e., we relax he assumpion ha α, λ, λ 1 2 are equal o zero). In he variance equaion we square all our explanaory variables, so ha he coefficien of, say, erms of rade, should be inerpreed as he effec of erms of rade shock (eiher posiive or negaive) on he variance of he RER. We find ha pas RER shocks increase RER volailiy bu we find no significan effec of erms of rade or oupu shocks (he esimaed effecs are posiive bu no significan). The long run variance of he RER in developing and indusrial counries can be calculaed in he same way as we did in Equaion 2 yielding values of and , which correspond o volailiies of 6.4 percen and 2.7 percen and a raio of volailiies of 2.4. In Equaion 5, we reproduce equaion 4 bu now we allow for ineracion in he mean equaion (i.e., we relax he assumpion ha c and d are zero) his allows indusrial and developing counries o have differen slopes in he mean equaion. None of he ineracion erms is saisically significan indicaing ha here is no evidence ha shocks affec he real exchange rae of developing counries differenly from he way hey affec he real exchange rae of indusrial counries. We find almos idenical resuls for he esimaed long run RER volailiies and of he esimaed persisence erms in he variance equaion. Finally in Equaion 6, we also allow for differen persisence in he wo ses of counries of he effecs of he RER, TOT and oupu shocks on he variance equaion (i.e., relax he assumpion ha γ and δ are equal o zero). Several resuls are worh noing. Firs of all, he difference on he ARCH coefficien remains large and highly saisically significan indicaing ha persisence is lower in indusrial counries, even afer allowing he various shocks o have a differenial effec in he wo groups of counries. We find ha erms of rade shocks and he second lag of he dependen variable have a smaller effec on he volailiy of he RER in indusrial counries. Also, we now find ha he IND dummy in he variance equaion is no longer significan. The esimaed raio of long run volailiies beween indusrial and developing counries now declines o 1.57, indicaing ha par of he long run variance of developing counries is explained by difference in persisence. All his poins o he fac ha he difference in real exchange rae volailiy documened in Secion 2 is neiher fully explained by differences in he magniude of he shocks or by how shocks direcly affec he level of he real exchange rae, or heir volailiies. Par of he explanaion is ha he adjusmen of he shifs in he variance ends o be slower in developing counries. As a final robusness analysis, we augmen he ARCH model wih a furher se of ime invarian coninuous variables ha are likely o be correlaed wih he indusrial counry dummy. 17

18 The resuls are repored in Tables 14 hrough 16. The srucure of he esimaions is similar o ha of Table 10. In Table 14, we include a variable measuring he log of average (over he period) GDP per capia (GDPPC). This is he bes proxy for economic developmen and i is highly correlaed wih he IND dummy. Column 1 shows ha even conrolling for GDP per capia, he indusrial dummy remains negaive and significan. Columns 2, allows for differences in he ARCH erms beween he wo ses of counries. The esimaed persisence in he indusrial counries is close o nil, while i is large in developing counries. Moreover, allowing for a difference in persisence drasically reduces he value and significance of he coefficien on IND. This resul is essenially repeaed in he res of Table 14 and in he subsequen ables. If we do no allow for differences in he ARCH erms beween he wo ses of counries, we usually ge a large, negaive and significan coefficien on IND. Once we allow for differences in he ARCH erms we find large differences in persisence beween he wo ses of counries. In addiion, he coefficien on he IND erm declines drasically and becomes insignifican. Tables 15 and 16 repea hese experimens using rule of law and financial developmen as coninuous proxies for he indusrial counry dummy. 4. Final Remarks The aim of his paper was o documen he main facs abou long run RER volailiy. I showed ha he long run RER of developing counries is beween 2 and 2.5 imes larger han ha of indusrial counries. We also show ha hese differences are only parially due o he fac ha developing counries face larger shocks (boh real and nominal) or o differences in he sensiiviy of he RER o hese shocks. In fac, afer conrolling for such shocks he raio of he residual volailiies beween he wo ses of counries remains essenially unaffeced. We also show ha differences in residual volailiy (i.e. afer conrolling for shocks and sensiiviies) are srongly correlaed wih he level of developmen and o he degree of diversificaion of he economy (as measured by he concenraion of is expor baske). In addiion, we show ha a significan par of he larger measured RER volailiy in developing counries is associaed wih a much larger persisence of shocks o he variance of he RER iself, as capured by differen ARCH coefficiens. Any model ha aemps o explain he long run RER volailiy puzzle would need o explain no only he poenially larger sensiiviies of he RER o shocks in developing counries, bu also he much longer persisence of shocks boh o he level and volailiy of he RER. 18

19 References Abuaf, Niso and Jorion, Philippe. Purchasing Power Pariy in he Long Run. Journal of Finance, 1990, 45(1), pp Aizenman, Joshua and Brian Pino Managing Volailiy and Crises: A Praciioner's Guide Overview, mimeo, Universiy of California, Sana Barbara, 2004 Arellano, Manuel and Sephen Bond Some ess of specificaion for panel daa: Mone Carlo evidence and an applicaion o employmen equaions, Review of Economic Sudies, 1991 vol.58, Beck, Torsen, Asli Demirgüç-Kun, and Ross Levine A New Daabase on Financial Developmen and Srucure World Bank Economic Review, Sepember 2000, pp Broda, Chrisian "Coping wih Terms-of-Trade shocks: Peg versus Floas." American Economic Review, Vol. 91, No. 2, May Calvo, Guillermo, Izquierdo, Alejandro, and Talv Erneso Suden Sops, The Real Exchange rae, and Fiscal Susainabiliy: Argenina s Lessons, NBER Working Paper N. 9828, 2003 Cashin, Paul and John McDermo Pariy Reversion in Real Exchange Raes: Fas, Slow or No a All? IMF Working Paper No. 04/128, 2004 Cassel, Gusav Penningväsende efer Sockholm: P. A. Norsed. English ranslaion 1922: Money and Foreign Exchange afer 1914, London: Consable and Co. Chen, Shiu-Sheng and Charles Engel "Does 'Aggregaion Bias' Explain he PPP Puzzle?" forhcoming, Pacific Economic Review, 2004 David de Ferran David, Guillermo Perry, Indermi Gill, and Luis Servén Securing Our Fuure in a Global Economy, The World Bank, Washingon DC Diebold, Francis X., Hused, Seve and Rush, Mark. Real Exchange Raes Under he Gold Sandard. Journal of Poliical Economy, 1991, 99(6), pp Dornbusch, Rudiger "Expecaions and Exchange Rae Dynamics," Journal of Poliical Economy, December Vol. 84, pp Frankel, Jeffrey A. Inernaional Capial Mobiliy and Crowding-Ou in he U.S. Economy: Imperfec Inegraion of Financial Markes or Goods Markes? Rik W. Hafer (ed.): How Open is he U.S. Economy? Lexingon: Lexingon Books, Frankel, Jeffrey A. Zen and he Ar of Modern Macroeconomics: A Commenary. William S. Haraf and Thomas D. Wille (eds.): Moneary Policy for a Volaile Global Economy. Washingon D.C.: American Enerprise Insiue for Public Policy Research,

20 Frankel, Jeffrey A. and Rose, Andrew K. A Panel Projec on Purchasing Power Pariy: Mean Reversion Wihin and Beween Counries. Journal of Inernaional Economics, 1996, 40, pp Froo, Kenneh and Rogoff, Kenneh. Perspecives on PPP and Long-Run Exchange Raes. Handbook of Inernaional Economics, Eds. G. Grossman and K. Rogo, Vol.3, pp , Norh-Holland, New York. Glen, Jack D. Real Exchange Raes in he Shor, Medium, and Long Run. Journal of Inernaional Economics, 1992, 33(1/2), pp Hau, Harald (2002) Real Exchange Rae Volailiy and Economic Openness: Theory and Evidence. Journal of Money, Credi and Banking, 2002 Vol. 34 pp Hausmann, Ricardo and Michael Gavin Securing Sabiliy and Growh in a Shock-Prone Region: The Policy Challenges for Lain America, in Hausmann, R. and Reisen, H., Securing Sabiliy and Growh in Lain America, eds OECD, Paris, pp Imbs, Jean, Haroon Mumaz, Moron O. Ravn, Helene Rey, "PPP Srikes Back: Aggregaion and he Real Exchange Rae" NBER Working Papers N. 9372, 2002 Iner-American Developmen Bank Overcoming Volailiy, a special repor on Economic and Social Progress in Lain America, Johns Hopkins Universiy Press, 1995 Kaufmann, Daniel, Aar Kraay, Massimo Masruzzi Governance Maers III: Governance Indicaors for , mimeo, World Bank, 2003 Kilian, Luz and Zha, Tao. Quanifying he Uncerainy abou he Half-Life of Deviaions from PPP. Journal of Applied Economerics, 2002, Vol. 17, 2, pp Levy-Yeya Eduardo and Federico Surzenegger Classifying Exchange Rae Regimes: Deeds vs. Words, 2001, forhcoming, European Economic Review. Lohian, James R. Muli-Counry Evidence on he Behavior of Purchasing Power Pariy under he Curren Floa. Journal of Inernaional Money and Finance, 1997, 16(1), pp Lohian, James R. and Taylor, Mark P. Real Exchange Rae Behavior: The Recen Floa from he Perspecive of he Pas Two Cenuries. Journal of Poliical Economy, 1996, 104(3), pp Mark, Nelson Exchange Rae Fundamenals: Evidence on Long-Horizon Predicabiliy. American Economic Review, 1995, 85 (1), pp Obsfeld, Maurice, and Taylor, Alan M. Nonlinear Aspecs of Goods-Marke Arbirage and Adjusmen: Heckscher s Commodiy Poins Revisied. Journal of he Japanese and Inernaional Economies, 1997, 11, pp Obsfeld, Maurice, and Kenneh Rogoff New Direcions in Open Macroeconomics. Journal of Inernaional Economics, 2000, 50:

21 Oh, Keun-Yeob. Purchasing Power Pariy and Uni Roo Tess Using Panel Daa. Journal of Inernaional Money and Finance, 1996, 15(3), pp Rogoff, Kenneh S. The Purchasing Power Pariy Puzzle. Journal of Economic Lieraure, 1996, 34, pp Taylor, Mark P. and Peel, David A. Nonlinear Adjusmen, Long-Run Equilibrium and Exchange Rae Fundamenals. Journal of Inernaional Money and Finance, 2000, 19, pp Taylor, Mark P., Peel, David A. and Sarno, Lucio. Nonlinear Mean-Reversion in Real Exchange Raes: Towards a Soluion o he Purchasing Power Pariy. Inernaional Economic Review, 2001, 42(4), pp Wu, Yangru. Are Real Exchange Raes Nonsaionary: Evidence from a Panel-Daa Tes. Journal of Money, Cred and Banking, 1996, 28(1), pp

INSTITUTIONAL INVESTOR SENTIMENT

INSTITUTIONAL INVESTOR SENTIMENT 9. INSTITUTIONAL INVESTOR SENTIMENT AND MARET RETURNS: EVIDENCE FROM THE TAIWAN FUTURES MARET Absrac Ralph Yang-Cheng LU 2 Hsiu-Chuan LEE 3 Peer CHIU 4 This sudy explores he dynamic relaionship beween

More information

The Spillover Effects of U.S. and Japanese Public Information News in. Advanced Asia-Pacific Stock Markets

The Spillover Effects of U.S. and Japanese Public Information News in. Advanced Asia-Pacific Stock Markets The Spillover Effecs of U.S. and Japanese Public Informaion News in Advanced Asia-Pacific Sock Markes Suk-Joong Kim Absrac School of Banking and Finance The Universiy of New Souh Wales UNSW SYDNEY 2052

More information

Título artículo / Títol article: Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off?

Título artículo / Títol article: Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off? Tíulo arículo / Tíol aricle: Re-examining he risk-reurn relaionship in Europe: Linear or non-linear rade-off? Auores / Auors Enrique Salvador Aragó, Chrisos Floros, Vicen Aragó Manzana Revisa: Journal

More information

Out-of-Sample Exchange Rate Forecasting and. Macroeconomic Fundamentals: The Case of Japan

Out-of-Sample Exchange Rate Forecasting and. Macroeconomic Fundamentals: The Case of Japan Ou-of-Sample Exchange Rae Forecasing and Macroeconomic Fundamenals: The Case of Japan Takashi Masuki and Ming-Jen Chang * ABSTRACT: The sudy explores he exchange rae forecasing abiliy of a number of macroeconomic

More information

Textos para Discussão PPGE/UFRGS

Textos para Discussão PPGE/UFRGS Texos para Discussão PPGE/UFRGS Programa de Pós-Graduação em Economia Universidade Federal do Rio Grande do Sul ENDOGENEITY AND NONLINEARITIES IN CENTRAL BANK OF BRAZIL S REACTION FUNCTIONS: AN INVERSE

More information

NBER WORKING PAPER SERIES A SIMPLE TEST OF THE EFFECT OF INTEREST RATE DEFENSE. Allan Drazen Stefan Hubrich

NBER WORKING PAPER SERIES A SIMPLE TEST OF THE EFFECT OF INTEREST RATE DEFENSE. Allan Drazen Stefan Hubrich NBER WORKING PAPER ERIE A IMPLE TET OF THE EFFECT OF INTERET RATE DEFENE Allan Drazen efan Hubrich Working Paper 12616 hp://www.nber.org/papers/w12616 NATIONAL BUREAU OF ECONOMIC REEARCH 1050 Massachuses

More information

GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES

GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES John I. CARRUTHERS *, Michael K. HOLLAR **, Gordon F. MULLIGAN *** Absrac - This paper invesigaes geographic relaionships in

More information

Economic Computation and Economic Cybernetics Studies and Research, Issue 3/2016, Vol. 50

Economic Computation and Economic Cybernetics Studies and Research, Issue 3/2016, Vol. 50 Economic Compuaion and Economic Cyberneics Sudies and Research, Issue 3/2016, Vol. 50 Assisan Professor Murad A. BEIN, PhD E-mail: mbein@ciu.edu.r Deparmen of Accouning and Finance Faculy of Economics

More information

Duration models. Jean-Marie Le Goff Pavie-Unil

Duration models. Jean-Marie Le Goff Pavie-Unil Duraion models Jean-Marie Le Goff Pavie-Unil Oher erms for duraion models Duraion models: economery Survival analysis : medical sciences, demography Even hisory analysis, ransiion analysis : social sciences

More information

This paper can be downloaded without charge from the Social Sciences Research Network Electronic Paper Collection:

This paper can be downloaded without charge from the Social Sciences Research Network Electronic Paper Collection: = = = = = = = Working Paper A Regime Shif Model of he Recen Housing Bubble in he Unied Saes Rober Van Order Sephen M. Ross School of Business a he Universiy of Michigan Rose Neng Lai Universiy of Macau

More information

Volume-Return Relationship in ETF Markets: A Reexamination of the Costly Short-Sale Hypothesis

Volume-Return Relationship in ETF Markets: A Reexamination of the Costly Short-Sale Hypothesis Journal of Applied Finance & Banking, vol., no. 6,, -4 ISSN: 79-658 (prin version), 79-6599 (online) Scienpress Ld, Volume-Reurn Relaionship in ETF Markes: A Reexaminaion of he Cosly Shor-Sale Hypohesis

More information

Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices

Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices Universiy of Wollongong Research Online Faculy of Business - Economics Working Papers Faculy of Business 200 Tesing for he Random Walk Hypohesis and Srucural Breaks in Inernaional Sock Prices S. Chanchara

More information

Sustainability of external imbalances in the OECD countries *

Sustainability of external imbalances in the OECD countries * Susainabiliy of exernal imbalances in he OECD counries * Oscar Bajo-Rubio (Universidad de Casilla-La Mancha) Carmen Díaz-Roldán (Universidad de Casilla-La Mancha) Vicene Eseve (Universidad de Valencia

More information

DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES. Working Papers on International Economics and Finance

DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES. Working Papers on International Economics and Finance DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES Working Papers on Inernaional Economics and Finance DEFI 11-07 Ocober 2011 Susainabiliy of exernal imbalances in he OECD counries Oscar Bajo-Rubio Carmen

More information

Analysis of Egyptian Grapes Market Shares in the World Markets

Analysis of Egyptian Grapes Market Shares in the World Markets American-Eurasian J. Agric. & Environ. Sci., 3 (4): 656-66, 008 ISSN 1818-6769 IDOSI Publicaions, 008 Analysis of Egypian Grapes Marke Shares in he World Markes Hamdi A. El- Sawalhy, Mohamed G.M. Abou

More information

Investor Herds in the Taiwanese Stock Market

Investor Herds in the Taiwanese Stock Market Invesor Herds in he Taiwanese Sock Marke Rıza Demirer *, Chun-Da Chen ** and Ali M. Kuan *** * Souhern Illinois Universiy Edwardsville ** Tennessee Sae Universiy *** Souhern Illinois Universiy Edwardsville,

More information

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification *

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification * Macro-Finance Deerminans of he Long-Run Sock-Bond Correlaion: The DCC-MIDAS Specificaion * Hossein Asgharian, Lund Universiy + Charloe Chrisiansen, CREATES, Aarhus Universiy ++ and Ai Jun Hou, Sockholm

More information

The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate

The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate The Ineres Rae Sensiiviy of Value and Growh Socks - Evidence from Lised Real Esae This Version: January 25, 2017 Please reques he mos recen version from he auhors Chrisian Weis, Universiy of Regensburg

More information

Price convergence in the European electricity market

Price convergence in the European electricity market Price convergence in he European elecriciy marke Dr. E. Dijkgraaf Prof.dr. M.C.W. Janssen Erasmus Compeiion and Regulaion insiue Erasmus Universiy Roerdam Augus 7 7 Conac: Elber Dijkgraaf SEOR-ECRi Erasmus

More information

AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS

AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS A REPORT PREPARED FOR THE HASS AVOCADO BOARD BY Hoy F. Carman Lan Li Richard J. Sexon 1 March 30, 2009 1 Hoy F. Carman is Professor

More information

International Trade and Finance Association THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE

International Trade and Finance Association THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE Inernaional Trade and Finance Associaion Inernaional Trade and Finance Associaion 15h Inernaional Conference Year 2005 Paper 46 THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE

More information

Applicability of Investment and Profitability Effects in Asset Pricing Models

Applicability of Investment and Profitability Effects in Asset Pricing Models Disponível em hp://www.anpad.org.br/rac RAC, Rio de Janeiro, v. 21, n. 6, ar. 6, pp. 851-874, Novembro/Dezembro, 2017 hp://dx.doi.org/10.1590/1982-7849rac2017170027 Applicabiliy of Invesmen and Profiabiliy

More information

Paper for Annual Meeting 2015 Abstract. World Trade Flows in Photovoltaic Cells: A Gravity Approach Including Bilateral Tariff Rates * Abstract

Paper for Annual Meeting 2015 Abstract. World Trade Flows in Photovoltaic Cells: A Gravity Approach Including Bilateral Tariff Rates * Abstract Paper for Annual Meeing 2015 Absrac World Trade Flows in Phoovolaic Cells: A Graviy Approach Including Bilaeral Tariff Raes * Asuko Masumura (Tokyo Inernaional Universiy) Absrac This paper invesigaes he

More information

Volatility and risk spillovers between oil, gold, and Islamic and conventional GCC banks

Volatility and risk spillovers between oil, gold, and Islamic and conventional GCC banks Volailiy and risk spillovers beween oil, gold, and Islamic and convenional GCC banks Walid Mensi a,b, Shawka Hammoudeh c,d, Idries Mohammad Wanas Al-Jarrah e, Khamis Hamed Al-Yahyaee b*, Sang Hoon Kang

More information

CO2 Emissions, Research and Technology Transfer in China

CO2 Emissions, Research and Technology Transfer in China MPRA Munich Personal RePEc Archive CO2 Emissions, Research and Technology Transfer in China Ang, James Monash Universiy 09. February 2009 Online a hp://mpra.ub.uni-muenchen.de/13261/ MPRA Paper No. 13261,

More information

Supply and Demand Model for the Malaysian Cocoa Market

Supply and Demand Model for the Malaysian Cocoa Market MPRA Munich Personal RePEc Archive Supply and Demand Model for he Malaysian Cocoa Marke Amna Awad Abdel Hameed and Akram Hasanov and Nurjihan Idris and Amin Mahir Abdullah and Faimah Mohamed Arshad and

More information

A Macro Assessment of China Effects on Malaysian Exports and Trade Balances

A Macro Assessment of China Effects on Malaysian Exports and Trade Balances MPRA Munich Personal RePEc Archive A Macro Assessmen of China Effecs on Malaysian Expors and Trade Balances Tze-Haw Chan and Hooi Hooi Lean and Chee Wooi Hooy Graduae School of Business, Universii Sains

More information

THE UNIVERSITY OF TEXAS AT SAN ANTONIO, COLLEGE OF BUSINESS Working Paper SERIES

THE UNIVERSITY OF TEXAS AT SAN ANTONIO, COLLEGE OF BUSINESS Working Paper SERIES THE UNIVERITY OF TEXA AT AN ANTONIO, COLLEGE OF BUINE Working Paper ERIE Dae May 15, 013 WP # 0046FIN-0-013 Commodiy Financializaion and Herd Behavior in Commodiy Fuures Markes Rıza Demirer Deparmen of

More information

Market Overreaction and Under-reaction for Currency Futures Prices. January 2008

Market Overreaction and Under-reaction for Currency Futures Prices. January 2008 Marke Overreacion and Under-reacion for Currency Fuures Prices Sephen J. Larson and Sephen E. Wilcox* Minnesoa Sae Universiy, Mankao January 2008 Sephen J. Larson, Ph.D., CFP Minnesoa Sae Universiy, Mankao

More information

Employment, Family Union, and Childbearing Decisions in Great Britain

Employment, Family Union, and Childbearing Decisions in Great Britain Employmen, Family Union, and Childbearing Decisions in Grea Briain Arnsein Aassve Simon Burgess Carol Propper Ma Dickson Conens 1. Inroducion... 1 2. Daa... 3 Union formaion and dissoluion... 3 Employmen

More information

What Determines the Future Value of an Icon Wine? New Evidence from Australia. Danielle Wood

What Determines the Future Value of an Icon Wine? New Evidence from Australia. Danielle Wood Wha Deermines he Fuure Value of an Icon Wine? New Evidence from Ausralia Danielle Wood Produciviy Commission Melbourne dwood@pc.gov.au and Kym Anderson (corresponding auhor) School of Economics and Cenre

More information

Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis

Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis Transmission of prices and price volailiy in Ausralian elecriciy spo markes: A mulivariae GARCH analysis Auhor Worhingon, Andrew, Kay-Spraley, Adam, Higgs, Helen Published 2005 Journal Tile Energy Economics

More information

Modelling Financial Markets Comovements During Crises: A Dynamic Multi-Factor Approach.

Modelling Financial Markets Comovements During Crises: A Dynamic Multi-Factor Approach. Modelling Financial Markes Comovemens During Crises: A Dynamic Muli-Facor Approach. Marin Belvisi, Riccardo Pianei, Giovanni Urga February 24, 2014 We wish o hank paricipans in he Finance Research Workshops

More information

The Influence of Earnings Quality and Liquidity on the Cost of Equity

The Influence of Earnings Quality and Liquidity on the Cost of Equity Inernaional Business Research; Vol. 8, No. 4; 2015 ISSN 1913-9004 E-ISSN 1913-9012 Published by Canadian Cener of Science and Educaion The Influence of Earnings Qualiy and Liquidiy on he Cos of Equiy Ming-Feng

More information

Taking Advantage of Global Diversification: A Mutivariate-Garch Approach

Taking Advantage of Global Diversification: A Mutivariate-Garch Approach Taking Advanage of Global Diversificaion: A Muivariae-Garch Approach Elena Kaloychou *, Soiris K. Saikouras, Gang Zhao Cass Business School, Ciy Universiy London, 106 Bunhill Row, London EC1Y 8TZ Firs

More information

Milda Maria Burzała * Determination of the Time of Contagion in Capital Markets Based on the Switching Model

Milda Maria Burzała * Determination of the Time of Contagion in Capital Markets Based on the Switching Model D YNAMIC E CONOMETRIC M ODELS DOI: hp://dx.doi.org/10.12775/dem.2013.004 Vol. 13 (2013) 69 85 Submied Ocober 10, 2013 ISSN Acceped December 30, 2013 1234-3862 Milda Maria Burzała * Deerminaion of he Time

More information

Inter-regional Transportation and Economic Development: A Case Study of Regional Agglomeration Economies in Japan

Inter-regional Transportation and Economic Development: A Case Study of Regional Agglomeration Economies in Japan Iner-regional Transporaion and Economic Developmen: A Case Sudy of Regional Agglomeraion Economies in Japan Jepan Wewioo a and Hironori Kao b a Deparmen of Civil Engineering, The Universiy of Tokyo 7-3-1,

More information

Accounting Fundamentals and Variations of Stock Price: Forward Looking Information Inducement

Accounting Fundamentals and Variations of Stock Price: Forward Looking Information Inducement Accouning Fundamenals and Variaions of Sock Price: Forward Looking Informaion Inducemen Sumiyana Gadjah Mada Universiy Absrac This sudy invesigaes a permanen issue abou low associaion beween accouning

More information

Hi-Stat. Discussion Paper Series. Estimating Production Functions with R&D Investment and Edogeneity. No.229. Young Gak Kim.

Hi-Stat. Discussion Paper Series. Estimating Production Functions with R&D Investment and Edogeneity. No.229. Young Gak Kim. Hi-Sa Discussion Paper Series No.229 Esimaing Producion Funcions wh R&D Invesmen and Edogeney Young Gak Kim December 2007 Hosubashi Universy Research Un for Saisical Analysis in Social Sciences A 21s-Cenury

More information

Prices of Raw Materials, Budgetary Earnings and Economic Growth: A Case Study of Côte d Ivoire

Prices of Raw Materials, Budgetary Earnings and Economic Growth: A Case Study of Côte d Ivoire Prices of Raw Maerials, Budgeary Earnings and Economic Growh: A Case Sudy of Côe d Ivoire Nguiakam Sandrine 1 and Kabore Augusin 1 Ciaion: CTA and FARA. 2011. Agriculural Innovaions for Susainable Developmen.

More information

Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets

Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets MPRA Munich Personal RePEc Archive Unravelling he underlying causes of price volailiy in world coffee and cocoa commodiy markes Noemie Maurice and Junior Davis UNCTAD 011 Online a hps://mpra.ub.uni-muenchen.de/43813/

More information

On the relationship between inventory and financial performance in manufacturing companies Vedran Capkun HEC Paris, Paris, France

On the relationship between inventory and financial performance in manufacturing companies Vedran Capkun HEC Paris, Paris, France The curren issue and full ex archive of his journal is available a www.emeraldinsigh.com/0144-3577.hm On he relaionship beween invenory and financial performance in manufacuring companies Vedran Capkun

More information

Global financial crisis and spillover effects among the U.S. and BRICS stock markets

Global financial crisis and spillover effects among the U.S. and BRICS stock markets Acceped Manuscrip Global financial crisis and spillover effecs among he U.S. and BRICS sock markes Walid Mensi, Shawka Hammoudeh, Duc Khuong Nguyen, Sang Hoon Kang PII: S1059-0560(15)00227-0 DOI: doi:

More information

Working Paper

Working Paper Inernaional Nework for Economic Research Working Paper 010.1 Modelling he Cyclical Behaviour of Wine Producion in he Douro Region Using a Time-Varying Parameers Approach by Mario Cunha (Universidade do

More information

Essays on Board of Directors External Connections. Sehan Kim. B.A., Applied Statistics, Yonsei University, 2001

Essays on Board of Directors External Connections. Sehan Kim. B.A., Applied Statistics, Yonsei University, 2001 Essays on Board of Direcors Exernal Connecions by Sehan Kim B.A., Applied Saisics, Yonsei Universiy, 2001 M.S., Saisics, Purdue Universiy, 2008 Submied o he Graduae Faculy of The Joseph M. Kaz Graduae

More information

The Design of a Forecasting Support Models on Demand of Durian for Export Markets by Time Series and ANNs

The Design of a Forecasting Support Models on Demand of Durian for Export Markets by Time Series and ANNs AIJSTPME (20) 4(2): 49-65 The Design of a Forecasing Suppor Models on Demand of Durian for Expor Mares by Time Series and ANNs Udomsri N. Deparmen of Indusrial Engineering, Faculy of Engineering, King

More information

Monetary Policy Impacts on Cash Crop Coffee and Cocoa Using. Structural Vector Error Correction Model

Monetary Policy Impacts on Cash Crop Coffee and Cocoa Using. Structural Vector Error Correction Model Moneary Policy Imacs on Cash Cro Coffee and Cocoa Using Srucural Vecor Error Correcion Model By Ibrahim Bamba Michael Reed Preared for resenaion a he Meeing of American Agriculural Economiss Associaion,

More information

Application of Peleg Model to Study Water Absorption in Bean and Chickpea During Soaking

Application of Peleg Model to Study Water Absorption in Bean and Chickpea During Soaking Applicaion of Peleg Model o Sudy Waer Absorpion in Bean and Chickpea During Soaking A. A. Masoumi * Assisan Professor, Deparmen of Farm Machinery. Isfahan Universiy of Technology, IUT Isfahan, Iran 8456-83

More information

Stock Market Liberalizations and Efficiency: The Case of Latin America

Stock Market Liberalizations and Efficiency: The Case of Latin America MPR Munich Personal RePEc rchive Sock Marke Liberalizaions and Efficiency: he Case of Lain merica João Paulo Vieio and Wing-Keung Wong and Sheung Chi Chow 06 Online a hps://mpra.ub.uni-muenchen.de/68949/

More information

Deakin Research Online

Deakin Research Online Deakin Research Online This is he published version: Widjaja, Wany 2010, Modelling he cooling of coffee : insighs from a preliminary sudy in Indonesia, in MERGA 2010 : Shaping he fuure of mahemaics educaion

More information

PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS

PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS MARTA-COSTA A., MARTINHO V., SANTOS M., Regional Science Inquiry, Vol. IX, (2), 2017, pp. 97-107 97 PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS Ana MARTA-COSTA Corresponding auhor. Assisan Professor.

More information

PRODUCTION PERFORMANCE OF MAIZE IN INDIA : APPROACHING AN INFLECTION POINT

PRODUCTION PERFORMANCE OF MAIZE IN INDIA : APPROACHING AN INFLECTION POINT In. J. Agricul. Sa. Sci., Vol. 10, No. 1, pp. 241-248, 2014 ISSN : 0973-1903 ORIGINAL ARTICLE PRODUCTION PERORMANCE O MAIZE IN INDIA : APPROACHING AN INLECTION POINT Ranji Kumar*, K. Srinivas, Naveen Kumar

More information

IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA. Jonq-Ying Lee and Daniel S. Tilley

IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA. Jonq-Ying Lee and Daniel S. Tilley SOUTHERN JOURNAL OF AGRICULTURAL ECONOMICS DECEMBER, 1983 IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA Jonq-Ying Lee and Daniel S. Tilley Canada is he mos imporan U.S. expor

More information

The Role of Infrastructure Investment Location in China s Western Development

The Role of Infrastructure Investment Location in China s Western Development The Role of Infrasrucure Invesmen Locaion in China s Wesern Developmen By Xubei Luo Developmen of he wesern region is vial o he balanced growh of China. Luo sudies he impacs of infrasrucure invesmen ha

More information

LIQUID FLOW IN A SUGAR CENTRIFUGAL

LIQUID FLOW IN A SUGAR CENTRIFUGAL LIQUID FLOW IN A SUGAR CENTRIFUGAL C.P. Please, N.D. Fowkes, D.P. Mason, C.M. Khalique, A. Huchinson and M. C. Rademeyer Indusry represenaives Richard Loubser and Seve Davis Absrac Massecuie is a mixure

More information

POLICY RELEVANCE SUMMARY

POLICY RELEVANCE SUMMARY POLICY RELEVANCE SUMMARY Ensuring Food Securiy in Ghana The Role of Maize Sorage Sysems. Paul W. Armah and Felix Asane 1 Research Findings and Policy Relevance-Summary 1. Research Framework and Objecives

More information

TABIE l.~ Yields of Southern Peas In Relation to Seed Coat Color and Season. Pounds per Acre of "Whole-Pod F^asgT 19?5-196l#

TABIE l.~ Yields of Southern Peas In Relation to Seed Coat Color and Season. Pounds per Acre of Whole-Pod F^asgT 19?5-196l# HALSEY: SOUTHERN PEAS 233 SOUTHERN PEA VARIETIES, CULTURE AND HARVESTING AS RELATED TO PRODUCTION FOR HANDLING AND PROCESSING L. H. Halsey Florida Agriculural Experimen Saion Gainesville Much emphasis

More information

Working Paper Series. The reception of. in financial markets what if central bank communication becomes stale? No 1077 / august 2009

Working Paper Series. The reception of. in financial markets what if central bank communication becomes stale? No 1077 / august 2009 Woring Paper Series No 1077 / augus 009 The recepion of pubic signas in financia mares wha if cenra ban communicaion becomes sae? by Michae Ehrmann and David Sondermann WORKING PAPER SERIES NO 1077 / AUGUST

More information

DETERMINANTS OF GROWTH

DETERMINANTS OF GROWTH POLICY OPTIONS AND CHALLENGES FOR DEVELOPING ASIA PERSPECTIVES FROM THE IMF AND ASIA APRIL 19-20, 2007 TOKYO DETERMINANTS OF GROWTH IN LOW-INCOME ASIA ARI AISEN INTERNATIONAL MONETARY FUND Paper presented

More information

Jordan Journal of Mathematics and Statistics (JJMS) 8(3), 2015, pp

Jordan Journal of Mathematics and Statistics (JJMS) 8(3), 2015, pp Jordan Journal of Mahemaics and Saisics (JJMS) 8(3), 015, pp. 57-70 FORECASTING THE TEA PRODUCTION OF BANGLADESH:APPLICATION OF ARIMA MODEL ** MD. MOYAZZEM HOSSAIN (1) AND FARUQ ABDULLA () ABSTRACT: Bangladesh

More information

Appendix A. Table A.1: Logit Estimates for Elasticities

Appendix A. Table A.1: Logit Estimates for Elasticities Estimates from historical sales data Appendix A Table A.1. reports the estimates from the discrete choice model for the historical sales data. Table A.1: Logit Estimates for Elasticities Dependent Variable:

More information

Effects of Policy Reforms on Price Transmission and Price Volatility in Coffee Markets: Evidence from Zambia and Tanzania

Effects of Policy Reforms on Price Transmission and Price Volatility in Coffee Markets: Evidence from Zambia and Tanzania Aus dem Insiu für Ernährung und Verbrauchslehre der Chrisian-Albrechs- Universiä zu Kiel Effecs of Policy Reforms on Price Transmission and Price Volailiy in Coffee Markes: Evidence from Zambia and Tanzania

More information

Relationships Among Wine Prices, Ratings, Advertising, and Production: Examining a Giffen Good

Relationships Among Wine Prices, Ratings, Advertising, and Production: Examining a Giffen Good Relationships Among Wine Prices, Ratings, Advertising, and Production: Examining a Giffen Good Carol Miu Massachusetts Institute of Technology Abstract It has become increasingly popular for statistics

More information

The R&D-patent relationship: An industry perspective

The R&D-patent relationship: An industry perspective Université Libre de Bruxelles (ULB) Solvay Brussels School of Economics and Management (SBS-EM) European Center for Advanced Research in Economics and Statistics (ECARES) The R&D-patent relationship: An

More information

Citation for published version (APA): Hai, L. T. D. (2003). The organization of the liberalized rice market in Vietnam s.n.

Citation for published version (APA): Hai, L. T. D. (2003). The organization of the liberalized rice market in Vietnam s.n. Universiy of Groningen The organizaion of he liberalized rice marke in Vienam Hai, L.T.D. IMPORTNT NOTE: You are advised o consul he ublisher's version (ublisher's PDF) if you wish o cie from i. Please

More information

The Determinants of Supply of Kenya s Major Agricultural Crop Exports from 1963 to 2012

The Determinants of Supply of Kenya s Major Agricultural Crop Exports from 1963 to 2012 Inernaional Journal of Buine, Humaniie and Technology Vol. 3 No. 5; May 13 The Deerminan of Supply of Kenya Major Agriculural Crop Expor from 1963 o 1 Leniy Kananu Maugu Lecurer in Economic, Chuka Univeriy

More information

Appendix Table A1 Number of years since deregulation

Appendix Table A1 Number of years since deregulation Appendix Table A1 Number of years since deregulation This table presents the results of -in-s models incorporating the number of years since deregulation and using data for s with trade flows are above

More information

Zeitschrift für Soziologie, Jg., Heft 5, 2015, Online- Anhang

Zeitschrift für Soziologie, Jg., Heft 5, 2015, Online- Anhang I Are Joiners Trusters? A Panel Analysis of Participation and Generalized Trust Online Appendix Katrin Botzen University of Bern, Institute of Sociology, Fabrikstrasse 8, 3012 Bern, Switzerland; katrin.botzen@soz.unibe.ch

More information

ICC September 2018 Original: English. Emerging coffee markets: South and East Asia

ICC September 2018 Original: English. Emerging coffee markets: South and East Asia ICC 122-6 7 September 2018 Original: English E International Coffee Council 122 st Session 17 21 September 2018 London, UK Emerging coffee markets: South and East Asia Background 1. In accordance with

More information

Gender and Firm-size: Evidence from Africa

Gender and Firm-size: Evidence from Africa World Bank From the SelectedWorks of Mohammad Amin March, 2010 Gender and Firm-size: Evidence from Africa Mohammad Amin Available at: https://works.bepress.com/mohammad_amin/20/ Gender and Firm size: Evidence

More information

Volume 30, Issue 1. Gender and firm-size: Evidence from Africa

Volume 30, Issue 1. Gender and firm-size: Evidence from Africa Volume 30, Issue 1 Gender and firm-size: Evidence from Africa Mohammad Amin World Bank Abstract A number of studies show that relative to male owned businesses, female owned businesses are smaller in size.

More information

Economics of grape production in Marathwada region of Maharashtra state

Economics of grape production in Marathwada region of Maharashtra state Volume 5 Issue 2 Sepember, 2014 179-183 e ISSN-2231-6434 Inernaional Research Journal of Agriculural Economics and Saisics Visi Us - www.researchjournal.co.in DOI : 10.15740/HAS/IRJAES/5.2/179-183 Research

More information

AJAE Appendix: Testing Household-Specific Explanations for the Inverse Productivity Relationship

AJAE Appendix: Testing Household-Specific Explanations for the Inverse Productivity Relationship AJAE Appendix: Testing Household-Specific Explanations for the Inverse Productivity Relationship Juliano Assunção Department of Economics PUC-Rio Luis H. B. Braido Graduate School of Economics Getulio

More information

The Financing and Growth of Firms in China and India: Evidence from Capital Markets

The Financing and Growth of Firms in China and India: Evidence from Capital Markets The Financing and Growth of Firms in China and India: Evidence from Capital Markets Tatiana Didier Sergio Schmukler Dec. 12-13, 2012 NIPFP-DEA-JIMF Conference Macro and Financial Challenges of Emerging

More information

Ethyl Carbamate Production Kinetics during Wine Storage

Ethyl Carbamate Production Kinetics during Wine Storage Ehyl Carbamae Producion Kineics during Wine Sorage J. Xue,*, F. Fu, M. Liang, C. Zhao, D. Wang, Y. Wu * () China Naional Research Insiue for Food and Fermenaion Indusries, Beijing 7, China () Deparmen

More information

Lack of Credibility, Inflation Persistence and Disinflation in Colombia

Lack of Credibility, Inflation Persistence and Disinflation in Colombia Lack of Credibility, Inflation Persistence and Disinflation in Colombia Second Monetary Policy Workshop, Lima Andrés González G. and Franz Hamann Banco de la República http://www.banrep.gov.co Banco de

More information

Asia-Pacific Interest Rate Movements: A Tale Of A Two-Horse Sleigh. Do Quoc Tho Nguyen, Thi Thu Ha Phi, Thuy-Duong Tô * Abstract

Asia-Pacific Interest Rate Movements: A Tale Of A Two-Horse Sleigh. Do Quoc Tho Nguyen, Thi Thu Ha Phi, Thuy-Duong Tô * Abstract Asia-Paifi Ineres Rae Movemens: A Tale Of A Two-Horse Sleig Do Quo To Nguyen, Ti Tu Ha Pi, Tuy-Duong Tô * Absra We sudy e spillover effes of e U.S. s and e euro area s maroeonomi news on e Asia-Paifi ineres

More information

Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches

Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches James J. Fogarty a* and Callum Jones b a School of Agricultural and Resource Economics, The University of Western Australia,

More information

Flexible Working Arrangements, Collaboration, ICT and Innovation

Flexible Working Arrangements, Collaboration, ICT and Innovation Flexible Working Arrangements, Collaboration, ICT and Innovation A Panel Data Analysis Cristian Rotaru and Franklin Soriano Analytical Services Unit Economic Measurement Group (EMG) Workshop, Sydney 28-29

More information

Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications. Web Appendix

Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications. Web Appendix Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications By GABRIEL JIMÉNEZ, STEVEN ONGENA, JOSÉ-LUIS PEYDRÓ, AND JESÚS SAURINA Web Appendix APPENDIX A -- NUMBER

More information

Nuclear reactors construction costs: The role of lead-time, standardization and technological progress

Nuclear reactors construction costs: The role of lead-time, standardization and technological progress Nuclear reactors construction costs: The role of lead-time, standardization and technological progress Lina Escobar Rangel and Michel Berthélemy Mines ParisTech - Centre for Industrial Economics CERNA

More information

Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market

Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market Marke Poer in Inernaional Commodiy Processing Chains: Preliminary Resuls from he Coffee Marke Ben Sheherd March 2004 The vies exressed in his aer are hose of he auhor. They do no necessarily reflec hose

More information

Red wine consumption in the new world and the old world

Red wine consumption in the new world and the old world Red wine consumption in the new world and the old world World red wine market is expanding. In 2012, the total red wine trade was over 32 billion dollar,most current research on wine focus on the Old World:

More information

wine 1 wine 2 wine 3 person person person person person

wine 1 wine 2 wine 3 person person person person person 1. A trendy wine bar set up an experiment to evaluate the quality of 3 different wines. Five fine connoisseurs of wine were asked to taste each of the wine and give it a rating between 0 and 10. The order

More information

Exchange Rate Regimes in East Asia after the Crisis: Implications from Intra-daily Data *

Exchange Rate Regimes in East Asia after the Crisis: Implications from Intra-daily Data * November 2003 Exchange Rate Regimes in East Asia after the Crisis: Implications from Intra-daily Data * Shin-ichi Fukuda (University of Tokyo) and Sanae Ohno (Takachiho University) ** Abstract The purpose

More information

Effects of political-economic integration and trade liberalization on exports of Italian Quality Wines Produced in Determined Regions (QWPDR)

Effects of political-economic integration and trade liberalization on exports of Italian Quality Wines Produced in Determined Regions (QWPDR) Effects of political-economic integration and trade liberalization on exports of Italian Quality Wines Produced in Determined Regions (QWPDR) G. De Blasi, A. Seccia, D. Carlucci, F. G. Santeramo Department

More information

Data Science and Service Research Discussion Paper

Data Science and Service Research Discussion Paper Discussion Paper No. 69 A Network Analysis of International Financial Flows Hongwei Chuang and Navruzbek Karamatov Graduate School of Economics and Management, Tohoku University August, 2017 Data Science

More information

Fair Trade and Free Entry: Can a Disequilibrium Market Serve as a Development Tool? Online Appendix September 2014

Fair Trade and Free Entry: Can a Disequilibrium Market Serve as a Development Tool? Online Appendix September 2014 Fair Trade and Free Entry: Can a Disequilibrium Market Serve as a Development Tool? 1. Data Construction Online Appendix September 2014 The data consist of the Association s records on all coffee acquisitions

More information

Foreign Networks and Exports: Results from Indonesian Panel Data

Foreign Networks and Exports: Results from Indonesian Panel Data Foreign Networks and Exports: Results from Indonesian Panel Data Fredrik Sjöholm Stockholm School of Economics and Sadayuki Takii ICSEAD Working Paper Series Vol. 2003-33 November 2003 The views expressed

More information

Trade Integration and Method of Payments in International Transactions

Trade Integration and Method of Payments in International Transactions Trade Integration and Method of Payments in International Transactions Veysel Avşar College of Business - TAMUCC & Alexis Habiyaremye Human Sciences Research Council Cape Town, South Africa Introduction

More information

The Inclusiveness of Africa s Recent High- Growth Episode: Evidence from Six Countries

The Inclusiveness of Africa s Recent High- Growth Episode: Evidence from Six Countries The Inclusiveness of Africa s Recent High- Growth Episode: Evidence from Six Countries Rodrigo Garcia-Verdu, Abebe Aemro Selassie, and Alun Thomas African Department International Monetary Fund 2012 Economic

More information

ECONOMIC REVIEW No

ECONOMIC REVIEW No 2011 6 ECONOMIC REVIEW No. 6 2011 * 2006 CGSS2006 Jann 2008 20 80 Gustafsson and Li 2000 Zhang et al. 2008 2011 2005 2008 2010 Altonji and Blank 1999 1 Filer 1985 1977 Hersch 1991 10. 5% 33. 5% 2 Jaume

More information

Effects of Election Results on Stock Price Performance: Evidence from 1976 to 2008

Effects of Election Results on Stock Price Performance: Evidence from 1976 to 2008 Effects of Election Results on Stock Price Performance: Evidence from 1976 to 2008 Andreas Oehler, Bamberg University Thomas J. Walker, Concordia University Stefan Wendt, Bamberg University 2012 FMA Annual

More information

"Primary agricultural commodity trade and labour market outcome

Primary agricultural commodity trade and labour market outcome "Primary agricultural commodity trade and labour market outcomes" FERDI - Fondation pour les Etudes et Recherches sur le Developpement International African Economic Conference 2014 - Knowledge and innovation

More information

Fiscal Reaction Functions of Different Euro Area Countries

Fiscal Reaction Functions of Different Euro Area Countries Fiscal Reaction Functions of Different Euro Area Countries Klaus Weyerstrass 56th SIE Annual Conference, Naples, 22-24 October 2015 Introduction sustainability of public finances Fiscal reaction functions

More information

Pub mentors. Greets Inn, Warnham. The Great Lyde, Yeovil. The Elephant, Bristol. College Arms, Stratford

Pub mentors. Greets Inn, Warnham. The Great Lyde, Yeovil. The Elephant, Bristol. College Arms, Stratford Pub menors Offering help in overcoming he significan challenges facing pubs is he key heme of Pub Menor, he brand-new join iniiaive from Coca-Cola Enerprises Open More Business and he Publican s Morning

More information

Midterm Economics 181 International Trade Fall 2005

Midterm Economics 181 International Trade Fall 2005 Midterm Economics 181 International Trade Fall 2005 Please answer all parts. Please show your work as much as possible. Part I (20 points). Short Answer. Please give a full answer. If you need to indicate

More information

Tariff vs non tariff barriers in seafood trade

Tariff vs non tariff barriers in seafood trade (Debi Bishop/iStockphoto) Tariff vs non tariff barriers in seafood trade Kth Kathy Baylis, Lia Nogueira and Kathryn Kth Pace CATPRN workshop, Toronto, May 28, 2011 Objective To explore the effect and the

More information

Recent U.S. Trade Patterns (2000-9) PP542. World Trade 1929 versus U.S. Top Trading Partners (Nov 2009) Why Do Countries Trade?

Recent U.S. Trade Patterns (2000-9) PP542. World Trade 1929 versus U.S. Top Trading Partners (Nov 2009) Why Do Countries Trade? PP542 Trade Recent U.S. Trade Patterns (2000-9) K. Dominguez, Winter 2010 1 K. Dominguez, Winter 2010 2 U.S. Top Trading Partners (Nov 2009) World Trade 1929 versus 2009 4 K. Dominguez, Winter 2010 3 K.

More information

The Bank Lending Channel of Conventional and Unconventional Monetary Policy: A Euro-area bank-level Analysis

The Bank Lending Channel of Conventional and Unconventional Monetary Policy: A Euro-area bank-level Analysis The Bank Lending Channel of Conventional and Unconventional Monetary Policy: A Euro-area bank-level Analysis by U. Albertazzi, A. Nobili and F. Signoretti (Banca d Italia) Workshop : Effectiveness and

More information