Volatility spillovers between WTI and Brent spot crude oil prices: an analysis of granger causality in variance patterns over time

There has been an increase in price volatility in oil prices during and since the global financial crisis (GFC). This study investigates the Granger causality patterns in volatility spillovers between West Texas International (WTI) and Brent crude oil spot prices using daily data. We use Hafner and Herwartz’s (2006) test and employ a rolling sample approach to investigate the changes in the dynamics of volatility spillovers between WTI and Brent oil prices over time. Volatility spillovers from Brent to WTI prices are found to be more pronounced at the beginning of the analysis period, around the GFC, and more recently in 2020. Between 2015 and 2019, the direction of volatility spillovers runs unidirectionally from WTI to Brent oil prices. In 2020, however, a Granger-causal feedback relation between the volatility of WTI and Brent crude oil prices is again detected. This is due to the uncertainty surrounding how the COVID-19 pandemic will evolve and how long the economies and financial markets will be affected. In this uncertain environment, commodities markets participants could be reacting to prices and volatility signals on both WTI and Brent, leading to the detection of a feedback relation.     

International Economies of Scale and the Gains from Trade

In this paper, we present a two-country trade model with external economies of scale that emerge on an international level but are partially localized in each country. First, we show that the larger country exports the good produced in an industry with external economies of scale in the trading equilibrium. Second, we investigate the welfare effects of trade for the following two cases: (I) the case where external economies are completely localized in autarky; (II) the case where external economies are internationally effective in autarky. In case (II), it is shown that trade can be welfare-decreasing for both countries.     

Multinational Companies,Technology Spillovers and Plant Survival*

How does the presence of multinational companies affect plant survival in the host country? We postulate that multinational companies can impact positively on plant survival through technology spillovers. We examine the nature of the effect of multinationals using a Cox proportional hazard model, which we estimate using plant‐level data for Irish manufacturing industries. Our results show that the presence of multinationals has a life‐enhancing effect only on indigenous plants in high‐tech industries, suggesting the presence of technology spillovers. In contrast, multinationals compete with each other in low‐tech sectors in the host country.     

Reviewing Oates' insights in a repeated game setting

This paper analyzes the optimal assignment of public good policies to layers of a federal system in a repeated game setting. Under a centralized regime, public goods are financed jointly across regions, and a federal legislature decides on the regional quantities. Under a decentralized regime, public goods are financed locally, and governments play a non-cooperative provision game. We find that a centralized (decentralized) regime is more likely to provide the efficient public good policies in case spillovers are small (large). Received: September 2003, Accepted: October 2004 JEL Classification: H11, H41 I wish to thank Clemens Fuest, Anke Kessler, Christoph Lülfesmann, and an anonymous referee for valuable comments on this paper. Financial support by the DFG (SPP 1142) is gratefully acknowledged.     

贸易、技术进步与经济增长关系研究综述

新增长理论表明，技术进步已经成为影响一国经济长期增长的关键因素。而一国的技术进步不仅取决于本国的R＆D，对国外技术的引进与模仿也是一个重要渠道。随着各国对外贸易不断发展，越来越多的研究发现，国际贸易已经成为国际技术扩散的重要途径。国际贸易的发展，不仅直接作用于本国GDP的增长，更为重要的是，它直接或间接地带来了国外的先进技术，从而有利于本国技术进步，最终促进经济增长。本文对贸易、技术进步与经济增长关系的研究作一综述。以揭示该领域的研究状况。     

A theory of persistent income inequality

This paper explores the dynamics of income inequality by studying the evolution of human capital investment and neighborhood choice for a population of families. Parents affect the conditional probability distribution of their children's income through the choice of a neighborhood in which to live. Neighborhood location affects children both through local public finance of education as well as through sociological effects. These forces combine to create incentives for wealthier families to segregate themselves into economically homogeneous neighborhoods. Economic stratification combines with strong neighborhoodwide feedback effects to transmit economic status across generations, leading to persistent income inequality.     

R＆D、R＆D溢出、内生增长和内生收敛

根据强调知识与技术创新、知识与技术溢出重要性的当代内生增长理论，本文建立了一个将R＆D和R＆D溢出与资本积累之间、R＆D和R＆D溢出与总产出增长之间直接关联起来的动态模型。面板数据协整检验实证分析结果表明R＆D和R＆D溢出与资本积累之间、R＆D和R＆D溢出与总产出增长之间分别存在显著的正面长期协整关联。进一步的分析表明，R＆D与资本积累之间、R＆D与总产出增长之间分别存在显著的长期双向格兰杰因果关系。由此观知，R＆D乃长期经济增长源泉之所在。另一方面，尽管资本积累或总产出增长并不格兰杰导致R＆D溢出，证据表明R＆D溢出格兰杰导致资本积累和总产出增长。这种由R＆D溢出到资本积累和总产出增长的单向格兰杰因果关系意味着尽管知识与技术的跨国传播并非必然发生。其实为世界经济增长的重要动力。     

我国外贸技术溢出效应的国别差异分析

技术溢出是发展中国家追赶发达国家的重要路径,溢出的渠道包括国际贸易、FDI、R＆D合作、国外R＆D投资等。我们运用经拓展后的Coe＆Helpman的贸易溢出计量模型,试图将我国从商品贸易以及FDI中所获得的技术溢出纳入同一模型中加以综合分析,并对贸易带来的技术溢出效应进行国别差异分析,以判断不同类型国家对我国吸收技术溢出效应的影响。并在此基础上,提出了相应的政策建议。     

以创新群为基础的自主创新战略研究

创新在时间和经济空间上具有群集特性。它发起于根本性的(自主)创新,并能够产生强烈的创新溢出效应。分析认为,将自主创新战略建立在创新群的基础上,培育以国家战略性技术为核心的自主创新群,能够将创新能力的内生性与外生性较好地结合在一起,有利于我们实现完全的自主创新。     

The Downside of Knowledge Spillovers: An Explanation for the Dispersion of High-tech Industries

Both theoretical work on knowledge spillovers and regional policy initiatives often assume that there exists a general and unanimous advantage for firms to cluster. But opposed to the benefit is the disadvantage of sharing knowledge with other (rival) firms. This paper highlights the “downside” associated with knowledge spillovers and presents a four-stage game of location choice where spillovers result from labour poaching and where the strategic interaction between firms may make them avoid co-location with spillovers. The model provides an explanation for the dispersion of German high-tech industries found in a companion paper.