Price Transmission and Effects of Exchange Rates on Domestic Commodity Prices via Offshore and Currency Hedging

The framework presents how trading in the foreign commodity futures market and the forward exchange market can affect the optimal spot positions of domestic commodity producers and traders. It generalizes the models of Kawai and Zilcha (1986) and Kofman and Viaene (1991) to allow both intermediate and final commodities to be traded in the international and futures markets, and the exporters/importers to face production shock, domestic factor costs and a random price. Applying mean-variance expected utility, we find that a rise in the expected exchange rate can raise both supply and demand for commodities and reduce domestic prices if the exchange rate elasticity of supply is greater than that of demand. Whether higher volatilities of exchange rate and foreign futures price can reduce the optimal spot position of domestic traders depends on the correlation between the exchange rate and the foreign futures price. Even though the forward exchange market is unbiased, and there is no correlation between commodity prices and exchange rates, the exchange rate can still affect domestic trading and prices through offshore hedging and international trade if the traders are interested in their profit in domestic currency. It illustrates how the world prices and foreign futures prices of commodities and their volatility can be transmitted to the domestic market as well as the dynamic relationship between intermediate and final goods prices. The equilibrium prices depends on trader behaviour i.e. who trades or does not trade in the foreign commodity futures and domestic forward currency markets. The empirical result applying a two-stage-least-squares approach to Thai rice and rubber prices supports the theoretical result.

The Emperor Has New Clothes: Empirical Tests of Mainstream Theories of Economic Growth

Modern macroeconomic theory utilises optimal control techniques to model the maximisation of individual well-being using a lifetime utility function. Agents face choices over current and future consumption (with resultant implied savings decisions) seeking to maximise the present value of current plus future well-being. However, such inter-temporal welfare-maximising assumptions remain empirically untested. In the work presented here we test whether welfare was in (historical) fact maximised in the US between 1870-2000 and find empirical support for the optimising basis of growth theory, but only once a comprehensive view of what constitutes a country’s wealth or capital is taken into account.

An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area

We estimate a New Keynesian DSGE model for the Euro area under alternative descriptions of monetary policy (discretion, commitment or a simple rule) after allowing for Markov switching in policy maker preferences and shock volatilities. This reveals that there have been several changes in Euro area policy making, with a strengthening of the anti-inflation stance in the early years of the ERM, which was then lost around the time of German reunification and only recovered following the turnoil in the ERM in 1992. The ECB does not appear to have been as conservative as aggregate Euro-area policy was under Bundesbank leadership, and its response to the financial crisis has been muted. The estimates also suggest that the most appropriate description of policy is that of discretion, with no evidence of commitment in the Euro-area. As a result although both ‘good luck’ and ‘good policy’ played a role in the moderation of inflation and output volatility in the Euro-area, the welfare gains would have been substantially higher had policy makers been able to commit. We consider a range of delegation schemes as devices to improve upon the discretionary outcome, and conclude that price level targeting would have achieved welfare levels close to those attained under commitment, even after accounting for the existence of the Zero Lower Bound on nominal interest rates.

Measuring the Euro-Dollar Permanent Equilibrium Exchange Rate using the Unobserved Components Model

This paper employs an unobserved component model that incorporates a set of economic fundamentals to obtain the Euro-Dollar permanent equilibrium exchange rates (PEER) for the period 1975Q1 to 2008Q4. The results show that for most of the sample period, the Euro-Dollar exchange rate closely followed the values implied by the PEER. The only significant deviations from the PEER occurred in the years immediately before and after the introduction of the single European currency. The forecasting exercise shows that incorporating economic fundamentals provides a better long-run exchange rate forecasting performance than a random walk process.

An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area

We estimate a New Keynesian DSGE model for the Euro area under alternative descriptions of monetary policy (discretion, commitment or a simple rule) after allowing for Markov switching in policy maker preferences and shock volatilities. This reveals that there have been several changes in Euro area policy making, with a strengthening of the anti-inflation stance in the early years of the ERM, which was then lost around the time of German reunification and only recovered following the turnoil in the ERM in 1992. The ECB does not appear to have been as conservative as aggregate Euro-area policy was under Bundesbank leadership, and its response to the financial crisis has been muted. The estimates also suggest that the most appropriate description of policy is that of discretion, with no evidence of commitment in the Euro-area. As a result although both ‘good luck’ and ‘good policy’ played a role in the moderation of inflation and output volatility in the Euro-area, the welfare gains would have been substantially higher had policy makers been able to commit. We consider a range of delegation schemes as devices to improve upon the discretionary outcome, and conclude that price level targeting would have achieved welfare levels close to those attained under commitment, even after accounting for the existence of the Zero Lower Bound on nominal interest rates.

A new look at the Heston characteristic function

A new expression for the characteristic function of log-spot in Heston model is presented. This expression more clearly exhibits its properties as an analytic characteristic function and allows us to compute the exact domain of the moment generating function. This result is then applied to the volatility smile at extreme strikes and to the control of the moments of spot. We also give a factorization of the moment generating function as product of Bessel type factors, and an approximating sequence to the law of log-spot is deduced.

The Monetary policy rules and the inflation process in open emerging

This paper has three objectives. First, it aims at revealing the logic of interest rate setting pursued by monetary authorities of 12 new EU members. Using estimation of an augmented Taylor rule, we find that this setting was not always consistent with the official monetary policy. Second, we seek to shed light on the inflation process of these countries. To this end, we carry out an estimation of an open economy Philips curve (PC). Our main finding is that inflation rates were not only driven by backward persistency but also held a forward-looking component. Finally, we assess the viability of existing monetary arrangements for price stability. The analysis of the conditional inflation variance obtained from GARCH estimation of PC is used for this purpose. We conclude that inflation targeting is preferable to an exchange rate peg because it allowed decreasing the inflation rate and anchored its volatility.

A test of long memory hypothesis based on self-similarity

This paper develops a new test of true versus spurious long memory, based on log-periodogram estimation of the long memory parameter using skip-sampled data. A correction factor is derived to overcome the bias in this estimator due to aliasing. The procedure is designed to be used in the context of a conventional test of significance of the long memory parameter, and composite test procedure described that has the properties of known asymptotic size and consistency. The test is implemented using the bootstrap, with the distribution under the null hypothesis being approximated using a dependent-sample bootstrap technique to approximate short-run dependence following fractional differencing. The properties of the test are investigated in a set of Monte Carlo experiments. The procedure is illustrated by applications to exchange rate volatility and dividend growth series.

Avantpassats de plata

Treball de recerca realitzat per una alumna d'ensenyament secundari i guardonat amb un Premi CIRIT per fomentar l'esperit científic del Jovent l'any 2009. El treball es centra en conèixer la complexitat d’un estudi fotogràfic del s. XIX: l’estudi Napoleón. Per entendre tots els aspectes que implicava fer una fotografia en aquest estudi comença explicant com es van desenvolupar i descobrir les diferents tècniques fotogràfiques, després presenta l’estat de la fotografia a la Catalunya del s. XIX. El nucli del treball té diferents aspectes: per una banda s’investiga la història dels fundadors d’un dels estudis més importants a la Barcelona del s. XIX, per l’altra presenta com eren les sales, els decorats, els clients, la tipografia, les càmeres .... i per últim, porta a la pràctica tot allò necessari per a transformar un paper blanc en una fotografia fent servir els mètodes de l’època. Podríem dir que el treball es desenvolupa en tres àmbits: el primer sobre els fonaments tècnics i històrics de la fotografia, les fonts utilitzades per realitzar aquest apartat han estat fonamentalment bibliogràfiques; el segon fa referència a l’estudi fotogràfic dels Napoleón, en aquest cas, a part de les fonts bibliogràfiques, també ha estat de vital importància la informació aportada per un descendent de la família i finalment s’explica els procediments que es van fer servir per obtenir imatges durant el segle s.XIX i les reaccions químiques en les quals es fonamenten. Aporta també una part experimental que dóna un caire artístic i novedós al treball.

L'usage du narratif dans le Testament de Joseph

(Résumé de l'ouvrage) Seventeen innovative studies are collected in this volume which has been produced under the aegis of the Centre for Biblical Studies, University of Manchester, and L'Institut des sciences bibliques, Université de Lausanne. The majority of the studies engage with narrative through providing insightful working examples. Building on the many contributions of recent narratological research, for the most part the studies in this collection avoid the technical language of narratology as they present fresh insights at many levels. Some essays focus more on the implied author, some on the implied reader or hearer, and some on the way particular messages are constructed; some of the studies consider how author, message and reader are all interconnected. There are several creative proposals for refining genre definition, from law and wisdom to gospel and apocryphal writings. Some studies highlight the way in which narratives can contain ethical, religious, and cultural messages. Sensitivity to narrative is also shown by some contributors to expose in intruing ways the redactional processes behind the final form of texts. Students of narrative in the ancient world will find much to consider in this book, and others engaged with literary studies more generally will discover that scholars of the worlds of the Bible and Late Antiquity have much to offer them.

Narrativity in Biblical and Related Texts - La narrativité dans la Bible et les textes apparentés

Seventeen innovative studies are collected in this volume which has been produced under the aegis of the Centre for Biblical Studies, University of Manchester, and L'Institut des sciences bibliques, Université de Lausanne. The majority of the studies engage with narrative through providing insightful working examples. Building on the many contributions of recent narratological research, for the most part the studies in this collection avoid the technical language of narratology as they present fresh insights at many levels. Some essays focus more on the implied author, some on the implied reader or hearer, and some on the way particular messages are constructed; some of the studies consider how author, message and reader are all interconnected. There are several creative proposals for refining genre definition, from law and wisdom to gospel and apocryphal writings. Some studies highlight the way in which narratives can contain ethical, religious, and cultural messages. Sensitivity to narrative is also shown by some contributors to expose in intruing ways the redactional processes behind the final form of texts. Students of narrative in the ancient world will find much to consider in this book, and others engaged with literary studies more generally will discover that scholars of the worlds of the Bible and Late Antiquity have much to offer them.

Le soignant face au patient lombalgique chronique: l'expérience clinique de l'Unité Rachis à l'Hôpital orthopédique [The health professional's approach to chronic lumbago: clinical experience at the Spinal Cord Unit at the orthopedic hospital]

The treatment of back pain patients refers to the biopsychosocial model of care. This model includes illness in patient's personal and relational life. In this context, it is not only the physical symptom of the patient which is focused but also his psychological distress often hidden by algic complain. Clinical interviews conducted with back pain patients have highlighted psychosocial aspects able to influence the relationship between health care user and provider. Taking account of psychosocial aspects implies an interdisciplinary approach that identify and assesses patients' needs through adequate tools. As a result, the different health care providers implied with back pain patients have to collaborate in a structured network.

Oil price shocks and labor market fluctuations

We examine the impact of real oil price shocks on labor market flows in the U.S. We first use smooth transition regression (STR) models to investigate to what extent oil prices can be considered as a driving force of labor market fluctuations. Then we develop and calibrate a modified version of Pissarides' (2000) model with energy costs, which we simulate in response to shocks mimicking the behavior of the actual oil price shocks. We find that (i) these shocks are an important driving force of job market flows; (ii) the job finding probability is the main transmission mechanism of such shocks; and (iii) they bring a new amplification mechanism for the volatility and should thus be seen as complementary of labor productivity shocks. Overall we conclude that shocks in oil prices cannot be neglected in explaining cyclical labor adjustments in the U.S.

Investor protection and income inequality: risk sharing vs risk taking

This paper studies the relationship between investor protection, entrepreneurial risk taking and income inequality. In the presence of market frictions, better protection makes investors more willing to take on entrepreneurial risk when lending to firms, thereby improving the degree of risk sharing between financiers and entrepreneurs. On the other hand, by increasing risk sharing, investor protection also induces more firms to undertake risky projects. By increasing entrepreneurial risk taking, it raises income dispersion. By reducing the risk faced by entrepreneurs, it reduces income volatility. As a result, investor protection raises income inequality to the extent that it fosters risk taking, while it reduces it for a given level of risk taking. Empirical evidence from a panel of forty-five countries spanning the period 1976-2000 supports the predictions of the model.

Stability and change in party preferences.

This article analyses stability and volatility of party preferences using data from the Swiss Household-Panel (SHP), which, for the first time, allow studying transitions and stability of voters over several years in Switzerland. Analyses cover the years 1999- 2007 and systematically distinguish changes between party blocks and changes within party blocks. The first part looks at different patterns of change, which show relatively high volatility. The second part tests several theories on causes of such changes applying a multinomial random-effects model. Results show that party preferences stabilise with their duration and with age and that the electoral cycle, political sophistication, socio-structural predispositions, the household-context as well as party size and the number of parties each explain part of electoral volatility. Different results for withinand between party-block changes underlie the importance of that differentiation.