Fundamentals and Oil Price Behaviour: New Evidence from Co‐integration Tests with Structural Breaks and Granger Causality Tests

As the world economy has undergone various changes and shocks, the oil market went through significant fluctuations during the period 1994–2015. This study focuses on discussing the possible factors that determine crude oil prices, which include world economic growth, market power of Organization of the Petroleum Exporting Countries (OPEC), non‐OPEC supply and the value of dollar, taking into account the structural changes that influence the study period, which is quarterly data for the period of 1994.Q1–2015.Q3. For time series stationarity tests, Zivot and Andrews (1992) and Perron (1997) unit root test with structural break is used. To test the existence of a long relationship in the presence of structural changes, the Gregory and Hansen (1996a, 1996b) method of co‐integration is used. For long‐run coefficient, we proceed to estimate fully modified least squares. The result shows a significant influence of non‐OPEC supply, the dollar appreciation and world gross domestic product growth, but OPEC did not have a significant effect on the price of oil, which is indicated by the structural break for OPEC capacity utilisation at 2002.Q1, that indicates the starting point of the loss of OPEC power. Establishing the presence of co‐integration, we apply the evaluation of Granger causality for co‐integrated data, using vector error‐correction model.     

The Race that Stops a Nation: The Demand for the Melbourne Cup

This article uses the bounds testing procedure to cointegration, within an autoregressive distributed lag framework to estimate the determinants of attendance at the Melbourne Cup from its inception from 1861 to 2002. Following the literature on the demand for professional team sports, attendance is specified as a function of economic, demographic and race-specific factors. The main findings are that real income and population size are the major determinants of attendance in the long run, while in the short run the weather is the most important factor explaining attendance.     

Debt and Economic Growth in the European Union: A Panel Granger Causality Approach

This paper contributes to empirical investigation of the causality relationships between real gross domestic product (GDP) growth and the growth of three debt categories, namely public, foreign and private debt, in the universe of the 28 European Union (EU) countries during the past decade. Using panel Granger causality estimations, we find statistically relevant bidirectional causality relationships between public debt and economic growth for the periods both before and after the outbreak of the recent financial crisis. Moreover, there is clear evidence of economic growth’s contribution to decreasing public debt.     

Granger Causality Between Money and Income for the Japanese Economy in the Presence of a Structural Change

This paper examines Granger causality between money and income in the Japanese economy based upon a bivariate VAR model with a structural change in the trend function. We employ a stratified testing strategy incorporating preliminary tests for a unit root and for the order of cointegration rank. Our study reveals that the choice of either trend stationarity or difference stationarity, as well as the order of cointegration rank, crucially affect the test results for Granger causality. It is found that the causality from money to income was strong before 1980 but weakened or virtually disappeared after 1980; the opposite causality existed weakly before 1980 but not after 1980. The result confirms the claim by the Bank of Japan (1992) and Honda et al . (1995) among others that the role of money as a leading indicator for predicting movements in income has weakened or even disappeared in the 1980s.
JEL Classification Numbers: C32, E40     

Fiscal and External Deficits Nexus in GIIPS Countries: Evidence from Parametric and Nonparametric Causality Tests

International Advances in Economic Research - This paper investigates the relationship between fiscal and external deficits in five European Union countries (Greece, Ireland, Italy, Portugal, and...     

Privatization,regulation and airport pricing: an empirical analysis for Europe

This paper examines factors determining airport charges. Using data for 100 large airports in Europe, we find that they charge higher prices when they move more passengers. Additionally, competition from other transport modes and nearby airports imposes some discipline on the pricing behavior of airports. Low-cost carriers and airlines with a high market share seem to have a stronger countervailing power. We also find that private airports not regulated charge higher prices than public or regulated airports. Finally, the regulation mechanism does not seem to influence substantially the level of airport charges.     

Female labour force participation,fertility and infant mortality in Australia: some empirical evidence from Granger causality tests

This study applies Granger causality tests within a multivariate error correction framework to examine the relationship between female participation rates, infant mortality rates and fertility rates for Australia using annual data from 1960 to 2000. Decomposition of variance and impulse response functions are also considered. The main findings are twofold. First, in the short run there is unidirectional Granger causality running from the fertility rate to female labour force participation and from the infant mortality rate to female labour force participation while there is neutrality between the fertility rate and infant mortality rate. Second, in the long run both the fertility rate and infant mortality rate Granger cause female labour participation.     

Distribution and growth reconsidered: empirical results for six OECD countries

We analyse the relationship between functional income distributionand economic growth in Austria, France, Germany, the Netherlands,the UK and the USA from 1960 until 2005. The analysis is basedon a demand-driven distribution and growth model for an openeconomy inspired by Bhaduri and Marglin, which allows for eitherprofit- or wage-led growth. We find that growth in France, Germany,the UK and the USA has been wage-led, whereas Austria and theNetherlands have been profit-led. In the case of Austria a domesticallywage-led economy changes to profit-led when including the effectof distribution on external trade. The Netherlands, however,are already profit-led without external trade. Our results sofar only partially confirm Bhaduri and Marglin's theoreticalconclusion that wage-led growth becomes less feasible when theeffects of distribution on foreign trade are taken into account.     

Dynamic pricing of electricity in the mid-Atlantic region: econometric results from the Baltimore gas and electric company experiment

The Baltimore Gas and Electric Company (BGE) undertook a dynamic pricing experiment to test customer price responsiveness to different dynamic pricing options. The pilot ran during the summers of 2008 and 2009 and was called the Smart Energy Pricing (SEP) Pilot. In 2008, it tested two types of dynamic pricing tariffs: critical peak pricing (CPP) and peak time rebate (PTR) tariffs. About a thousand customers were randomly placed on these tariffs and some of them were paired with one of two enabling technologies, a device known as the Energy Orb and a switch for cycling central air conditioners. The usage of a randomly chosen control group of customers was also monitored during the same time period. In 2009, BGE repeated the pilot program with the same customers who participated in the 2008 pilot, but this time it only tested the PTR tariff. In this paper, we estimate a constant elasticity of substitution (CES) model on the SEP pilot’s hourly consumption, pricing and weather data. We derive substitution and daily price elasticities and predictive equations for estimating the magnitude of demand response under a variety of dynamic prices. We also test for the persistence of impacts across the two summers. In addition, we report average peak demand reduction for each of the treatment cells in the SEP pilot and compare the findings with those reported from earlier pilots. These results show conclusively that it is possible to incentivize customers to reduce their peak period loads using price signals. More importantly, these reductions do not wear off when the pricing plans are implemented over two consecutive summers. Our analyses reveal that SEP participants reduced their peak usages in the range of 18 to 33% in the first summer of the SEP pilot and continued these reductions in the second summer.     

Military expenditure and the rate of profit: some empirical results

This article begins with a discussion of the seminal work of Luxemburg and the related work of Mandel. Using OLS estimation methods it proceeds to test for the relationship between military expenditure, the rate of profit and other related variables in advanced industrialized countries. Using annual time-series data the estimates, together with several diagnostic tests, are undertaken for the period 1958–87 for the UK, the USA and former W. Germany.     

Locational choice and price competition: some empirical results for the austrian retail gasoline market

Using data from the Austrian retail gasoline market we find that a higher station density reduces average prices. Market (i.e. ownership) concentration does not significantly affect average price, however is negatively related to the density of stations. Estimation of the pricing and entry equations as simultaneous equations does not alter our conclusions, and suggests causality running from station density to price. We argue that the spatial dimension of markets allows the identification of market conduct, which is particularly relevant for competition policy.

Linearized Hamiltonian of the LIBOR market model: analytical and empirical results

The linearized Hamiltonian model is proposed to extend the London Interbank Offered Rate (LIBOR) Market Model (LMM). Firstly, we studied the Hamiltonian of LMM in the framework of quantum finance, and the nontrivial upper triangle form of LIBOR drift is derived. The linearized Hamiltonian is derived to improve the explanatory capability of the model for market data. Our approach uses one more parameter to explain the initial condition and the model can be used to calibrate LIBORs with extremely high accuracy. Furthermore, the market time index is required for applying the model to multi-LIBOR, and the results imply that the LIBOR future time lattice becomes shorter as one goes from near future to distant future.     

Patents,brand-generic competition and the pricing of ethical drugs in Canada: some empirical evidence from British Columbia, 1981-1994

This paper examines the impact of the 1987 changes in the Canadian Patent Act on the pricing of ethical drugs. From 1969 to 1987 Canada opted to control pharmaceutical prices by using the compulsory licensing provisions of the Act to promote competition between branded drugs and their generic equivalents. In 1987, however, the Act was amended to guarantee patent holders an extended period (7–10 years) of protection. This reduced brand-generic competition by retarding generic entry and suggests that, ceteris paribus, after 1987 pharmaceutical prices increased relative to pre-1987 prices. This hypothesis is examined for the period 1981–1994 using a sample of 82 drugs from the British Columbia Pharmacare Programme. The major conclusions are: despite evidence of significant first mover advantages which resulted in higher brand prices, competition from generics succeeded in reducing overall market prices prior to 1987; but, after 1987, the efficacy of generic competition was reduced and both brand and market prices increased.     

ICT and productivity: conclusions from the empirical literature

Innovation drives economic competitiveness and sustained long-term economic growth. Especially the emergence and intensive utilization of information and communication technologies (ICTs), which spawned the beginning of the digital economy two decades ago, heavily affected the opportunities and efficiency of how firms produce and provide goods and services. We provide an overview of the empirical literature on ICT and productivity and highlight the main results and methodological differences. The majority of studies indicates that the productivity effect of ICT is indeed positive and significant. However, methodological approaches of how to appropriately estimate the ICT effect matter. While aggregate and sectoral growth accounting exercises suggest stronger differences of the ICT effect between US and Europe, firm-level analyses suggest no significant country differences. Moreover, we shed light on the notion of ICT being a General Propose Technology (GPT) enabling further innovations. Most of the GPT evidence on ICT is found for the US, while evidence for European countries is harder to come by. However, more theoretical and empirical research is needed to better understand spillovers and externalities of ICT and how these technologies transform our economies.     

Causality and the structure of Canada's balance of payments: Evidence from time series

Recent historical data on Canada's balance of payments reveals a persistent pattern of current account deficits and capital account surpluses. The theoretical interpretation and significance of this recurrent pattern are controversial issues among economists. The essence of this debate is, in our view, a disagreement of a more fundamental nature concerning the underlying causal relationship between the current and capital accounts. Three different causal viewpoints are identified and discussed. Then, an empirical investigation using both bivariate and multivariate time series analysis is conducted in order to help discriminate among the viewpoints. Our findings strongly suggest a feedback relation between the current and the long-term capital account indicating that unidirectional causal viewpoints are inconsistent with the Canadian experience. We are grateful to the editor and two anonymous referees for their valuable comments.     

Competition and petrol pricing in the smartphone era: Evidence from Singapore

This paper examines how pre-tax petrol and diesel prices in Singapore respond to changes in crude oil prices using an asymmetric error correction model. We pay particular attention to the effect increased use of smartphones may have had in altering the pattern of price adjustment as consumers become more informed about fuel prices and as search costs decline. The results suggest that increases in the use of smartphones and tablets have increased the estimated short-term response rate but only for the adjustment of retail prices to decreases in crude oil prices. We find no evidence of a smartphone effect for wholesale prices indicative of the different roles played by consumers in competition.     

CAPM anomalies and the pricing of equity: evidence from the Hong Kong market

Using a sample of equity stocks traded on the Hong Kong stock market, this study examines empirically the independent and joint roles of the more commonly hypothesized variables in explaining cross-sectional variation in average returns over the period from January 1980 to December 1994. Evidence indicates that beta, book leverage, earnings-price ratio and dividend yield are not priced, whereas significant book-to-market equity, market leverage (absorbed by book-to-market equity), size, and share price effects are observed. The findings should prove valuable in portfolio management and corporate financial decisions.     

The demand for relational goods: empirical evidence from the European Social Survey

How are happiness and the demand for relational goods and status goods related? Using cross-sectional data from the European Social Survey, this relationship is investigated for European countries. The main result is that the demand for relational goods is not reduced by high opportunity costs of time. Rather, both wage rate and income are positively related to the frequency of social contacts. In contrast to financial means, while status is more important for happiness in richer European countries than in poorer ones, social status is not decisive for the frequency of meeting friends regardless of the home country’s economic well-being. Thus, while no crowding out of relational contacts by status could be observed, relational goods are even boosted by material well-being.