Energy prices, energy conservation, and economic growth: Evidence from the postwar United States

The effects of energy prices and energy conservation on economic growth have been examined empirically for the postwar U.S. economy. A vector autoregressive model includes real GDP, real capital, labor, real energy prices, and the Divisia energy index. A key feature of our finding is that some damaging effects of energy conservation on the macroeconomy are statistically insignificant in the short run, and the insignificant short-run effects are quickly enervated over time. Alternative measures of energy use also suggest that energy conservation has no significant impact on real output growth. The findings are generally consistent with the neoclassical position that real economic growth of the United States is neutral with respect to changes in energy use. One exception is the case that energy prices are omitted from the model.     

Common dynamics of nonenergy commodity prices and their relation to uncertainty

The purpose of this article is to improve the empirical evidence on commodity prices in various dimensions. First, we attempt to identify the extent of comovements in 44 monthly nonenergy commodity price series in order to ascertain whether the increase in comovement is a recent term phenomenon. Second, we attempt to determine the role of uncertainty in determining comovements among nonenergy prices in the short run. We diagnose the overall comovement using a dynamic factor model estimated by principal components. A factor-augmented vector autoregressive approach is used to assess the relationship of fundamentals, financial and uncertainty variables with the comovement in commodity prices. We find a greater synchronization among raw materials since December 2003. Since that date, uncertainty has played an important role in determining short-run fluctuations in nonenergy raw material prices.     

A money demand system for German M3

A small macroeconomic model is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a vector error correction model for M3, GNP, an inflation rate and an interest rate spread variable to represent opportunity costs of holding money. Furthermore, import price inflation is added as an exogenous variable. The model is used to analyze the relation between money growth and inflation by means of an impulse response analysis.We thank Gerd Hansen for soliciting two anonymous referee reports on an earlier version of this article and thereby helping in the editorial process for this volume. We are grateful to him, Timo Teräsvirta, Kirstin Hubrich and the two referees for comments that helped us to improve our paper. Financial support was provided by the DFG, Sonderforschungsbereich 373.     

Colombia’s macroeconomic challenges at the end of the supercycle of commodity prices

The end of the commodity boom presents major challenges for the Colombian economy. The major ones relate to the need to reduce the current account deficit and find new growth engines. A competitive real exchange rate is essential for objectives and requires stronger interventions in the foreign exchange market; these interventions also help to smooth out the trajectory of the inflation rate. Finally, although fiscal adjustment has been adequate, there are fiscal needs associated with the additional public sector spending demanded by the peace agreement and the need to correct the major structural tax imbalances generated by previous tax reforms.     

The impacts of China on economic growth: Evidence for Brazil,Chile, and Peru

This study empirically analyzes the direct impacts derived from the swift increase in exports to China (referred to as “the impact of China”) on the economic growth of three selected South American countries, Brazil, Chile, and Peru, during the commodity boom between 2001 and 2008. The results stemming from the balance-of-payments-constrained growth model suggest that the magnitude of China’s impact was less than 1 percent, although it ranged from the largest to the second largest impact among all trading partners for the three countries. The estimated balance-of-payments growth rate of domestic income is lower than the real growth rate of domestic income. This is because the growth rates of the export volumes were not sufficient even during the commodity boom, on account of the continued increasing trends of income elasticity of demand for imports. Furthermore, the income elasticities of demand for imports from China were especially high. Therefore, the three countries will continue to face further increase in the income elasticity of demand for imports as well as a stagnant growth rate of export volumes. Thus, the balance-of-payments position will continue to be the main growth constraint for these countries.     

中国货币供应量的产出、通货膨胀效应实证分析

采用中国1978～2008年的年度数据,运用VAR模型实证分析中国货币供应量政策对总产出和通货膨胀的效应。主要进行了脉冲反应分析和方差分解分析,并结合中国货币供应量政策的特点,得出以下结论:(1)中国货币政策在短期内对产出有影响,在长期是中性的;(2)货币供应量无论在长期还是短期内都对物价具有系统性影响;(3)中国货币政策有效,但效果有限;(4)中国货币供应量受到物价和产出变动一定的影响,即货币供给具有一定内生性。     

Whither the terms of trade? An elaboration of the Prebisch-Singer hypothesis

Movements in the prices of primary products and manufacturedgoods are analysed using a model that introduces differencesin wage and price determination between primary production andmanufacturing. Wages and prices in primary production are treatedas competitively determined, while prices and wages in manufacturingare determined by mark-up pricing and union-employer bargaining,respectively. The objective is to capture the influence of structuraldifferences between manufacturing and primary production onthe terms of trade between industrialised and developing worldsas discussed in the seminal contributions to the developmentliterature by Raul Prebisch and Hans Singer. The model is estimatedusing price and wage data from the post-World War II period.Support is found for the Prebisch-Singer hypothesis; however,our estimates suggest that, during periods of particularly rapidmanufacturing growth, there have been intervals of net improvementin the terms of trade of primary producers.     

中国股指期货具有价格发现功能吗?

为检验中国资本市场股指期货是否具有价格发现功能,本文在对股指期货与现货指数间的理论关系进行深入阐述的基础上,分别根据所建立的向量自回归模型参数估计结果以及脉冲响应函数,分析股指期货与现货指数两者间的领先—滞后关系。基于理论分析框架进行实证检验,结果发现:中国股指期货具有价格发现功能,但现阶段这一功能并不强;当股票市场处于下跌态势时,股指期货的价格发现功能要稍强于股票市场呈现上升态势时的情形。同时,当股票市场处于下跌态势时,季月合约的价格发现功能要强于近月合约的价格发现功能,而股票市场处于上升态势时,近月合约与季月合约的价格发现功能并没有呈现出明显差异。     

Economic policy uncertainty and real output: evidence from the G7 countries

We use economic policy uncertainty index, and impulse response based test to assess the impact of economic policy-related uncertainty on real economic activity. We use monthly data, over the period from 1985:1 to 2015:3, and impulse response functions to investigate how the economies of the G7 countries respond to positive and negative economic policy uncertainty shocks of different magnitudes. We find that economic policy uncertainty is countercyclical, that the effects of uncertainty shocks increase with size and that the responses of real output to positive and negative economic policy uncertainty shocks are country specific. Our research is important for policymaking and in favour of policies that remove economic uncertainty and its negative effects on the economy. We argue that some control over yellow journalism, a transparent tax system and a set of predictable fiscal and monetary policies can minimize the social costs of economic policy uncertainty.     

An investigation into the interdependence of global water indices: a VAR analysis

We investigate the extent and manner of equity price interdependence among four water indices – World Water Index, S-Network Global Water index (S-Net), S&P Global Water Index (S&P) and MSCI ACWI Water Utilities Index (MSCI ACWI) using the vector autoregression (VAR) framework for the period 2004–2014. We also employ methods of Granger causalities, variance decomposition and impulse responses. We find Granger causality significance between S-Net and MSCI ACWI and S-Net and S&P indices at the 1% level of significance, suggesting that the indices are significantly linked. Further, S-Net is the most influential index amongst them in the forecast variance that can be accounted by S-Net at level of 55.75%. Our study indicates that the four water indices are interdependent and related, so the water indices are influenced by movements in the other water indices.     

The Canadian underground and measured economies: Granger causality results

Using new time-series data for the size of the Canadian underground economy, the relationship between unreported and measured GDP in that country is examined. Granger causality tests are conducted, with a proper allowance for the non-stationarity of the data. It is found that there is clear evidence of such causality from measured GDP to ‘hidden’ output, but only very mild evidence of Granger causality in the reverse direction. This result supports similar evidence for New Zealand reported by the first author, and has several interesting policy implications.