What determines the long-term correlation between oil prices and exchange rates?

In this study, we obtain the long-term correlation between oil prices and exchange rates by employing the dynamic conditional correlation-mixed data sampling (DCC-MIDAS) model. We then identify the factors that influence the long-term correlation using panel data analysis. We find that the long-run correlations between oil prices and exchange rates are negative for all oil-exchange rate markets except Japan. We also find that both inflation and term spread have negative effects, while the risk-free interest rate has a positive effect on the long-term correlation between oil prices and exchange rates. Importantly, the empirical results show that an increase in inflation will significantly damage the real value of the currency itself.     

Forecasting commodity prices out-of-sample: Can technical indicators help?

Economic variables are often used for forecasting commodity prices, but technical indicators have received much less attention in the literature. This paper demonstrates the predictability of commodity price changes using many technical indicators. Technical indicators are stronger predictors than economic indicators, and their forecasting performances are not affected by the problems of data mining or time changes. An investor with mean–variance preference receives utility gains of between 104.4 and 185.5 basis points from using technical indicators. Further analysis shows that technical indicators also perform better than economic variables for forecasting the density of commodity price changes.     

Does the Phillips curve help to forecast euro area inflation?

We find that it does, but choosing the right specification is not trivial. Based on an extensive forecast evaluation we document notable forecast instabilities for most simple Phillips curves. Euro area inflation was particularly hard to forecast in the run-up to the Economic and Monetary Union and after the sovereign debt crisis, when the trends—and, for the latter period, also the amount of slack—were harder to pin down. Yet, some specifications outperform a univariate benchmark and point to the following lessons: (i) the key type of time variation to consider is an inflation trend; (ii) a simple filter-based output gap works well, but after the Great Recession it is outperformed by endogenously estimated slack or by “institutional” estimates; (iii) external variables do not bring forecast gains; (iv) newer-generation Phillips curve models with several time-varying features are a promising avenue for forecasting; and (v) averaging over a wide range of modelling choices helps.     

Do precious metal prices help in forecasting South African inflation?

In this paper we test whether the key metals prices of gold and platinum significantly improve inflation forecasts for the South African economy. We also test whether controlling for conditional correlations in a dynamic setup, using bivariate Bayesian-Dynamic Conditional Correlation (B-DCC) models, improves inflation forecasts. To achieve this we compare out-of-sample forecast estimates of the B-DCC model to Random Walk, Autoregressive and Bayesian VAR models. We find that for both the BVAR and BDCC models, improving point forecasts of the Autoregressive model of inflation remains an elusive exercise. This, we argue, is of less importance relative to the more informative density forecasts. For this we find improved forecasts of inflation for the B-DCC models at all forecasting horizons tested. We thus conclude that including metals price series as inputs to inflation models leads to improved density forecasts, while controlling for the dynamic relationship between the included price series and inflation similarly leads to significantly improved density forecasts.     

Does the foreign sector help forecast domestic variables in DSGE models?

This paper evaluates the forecasting performances of several small open-economy DSGE models relative to a closed-economy benchmark using a long span of data for Australia, Canada and the United Kingdom. We find that opening the model economy usually does not improve the quality of point and density forecasts for key domestic variables, and can even cause it to deteriorate. We show that this result can be attributed largely to an increase in the forecast error due to the more sophisticated structure of the extended setup, which is not compensated for by a better model specification. This claim is based on a Monte Carlo experiment in which an open-economy model fails to beat its closed-economy benchmark consistently even if the former is the true data generating process.     

Does spatial visualization ability improve after studying technical drawing?

Two studies were carried out to analyze whether learning technical drawing improves a person’s ability for spatial visualization. Visualization and inductive reasoning tests were applied at the beginning and end of a course in technical drawing in samples of first year engineering students. In both studies it was observed that a moderate percentage of students improved their Visualization test execution. The improvement was similar in men and women. There was no improvement on the inductive reasoning test. The results support the conclusion that the spatial visualization ability can be improved with training.     

Does options trading convey information on futures prices?

This paper studies the presence of informed trading in Taiwan stock index options (TXO) and analyzes the informational role of foreign institutions in incorporating information into Taiwan stock index futures (TX). We have found that only the option-induced part (OOI) of the total TX order imbalance can predict future TX prices, and the OOI calculated from open-buy TXO, defined by Ni et al. (2008), provides incremental predictability. This finding shows that the price predictability stems from the information flow resulting from option transactions rather than from liquidity pressure. We conclude further that option transactions from foreign institutions provide the most significant predictability, out-of-the-money option transactions in particular. These empirical results show that option transactions conducted by foreign institutions have played the primary role in conveying the information inherent in the TXO market to the TX market, foreign institutions being delta-informed traders. Retail investors, the major players in both the TXO and TX markets, have done almost nothing of significance with regard to TXO information transmission into the TX market, with the exception of some near-the-money and out-of-the-money options.     

Does global inflation help forecast inflation in industrialized countries?

Ciccarelli and Mojon (CM; Review of Economics and Statistics, 2010, 92(3), 524–535) propose an inflation forecasting model incorporating a global inflation factor and show that it consistently beats several standard forecasting benchmarks. We show that CM's global inflation model does not improve upon the Atkeson and Ohanian (AO; Federal Reserve Bank of Minneapolis Quarterly Review, 2001, 25(1), 2–11) naive benchmark. However, we find that augmenting the AO model with a global inflation factor improves forecast accuracy at longer horizons, supporting CM's claim about the usefulness of global inflation.     

Does studying the past help us understand the future? an examination of the expectations of Gen X knowledge workers

Abstract

Three demographic realities (large baby boom cohort, increasing longevity, declining birthrates) are driving unprecedented global shifts in population age distribution and require organizations wishing to attract, retain and engage mid-career, potentially disenfranchised talent in the 35 to 45-year-old age bracket (i.e. ‘Gen X’) to rethink management practices. This situation motivated the present research – a multi-method case study of Gen X knowledge workers that theoretically develops and uses objectivist grounded theory data analysis methodology to empirically test a typology describing possible subgroups within this cohort of employees who differ in terms of their formative experiences in the labor market. Analysis of data identified four subgroups within our sample of Gen X knowledge workers which share various similarities but also differ dramatically concerning what they expect from and how they view their current employer. Findings support the idea that different formative labor market experiences can result in generational sub-cohorts who want different things from employers and perceive the world differently. These findings can be used by researchers to launch further study of other potential subgroups in Gen X and other generational cohorts, and to organizations and practitioners in developing more effective recruitment and retention strategies for Gen X knowledge workers.     

Predicting crude oil prices: Replication of the empirical results in “What do we learn from the price of crude oil?”

In addition to their theoretical analysis of the joint determination of oil futures prices and oil spot prices, Alquist and Kilian (Journal of Applied Econometrics, 2010, 25(4), 539–573) compare the out‐of‐sample accuracy of the random walk forecast with that of forecasts based on oil futures prices and other predictors. The results of my replication exercise are very similar to the original forecast accuracy results, but the relative accuracy of the random walk forecast and the futures‐based forecast changes when the sample is extended to August 2016, consistent with the results of several other recent studies by Kilian and co‐authors.     

Does asymmetric information always help entry deterrence? Can it increase welfare?

This paper compares the scenarios of complete and incomplete information in a general model where the incumbent can make a capital investment to deter entry. We show that the informational structure can make an unexpected difference in terms of entry deterrence and efficiency. Although asymmetric information encourages entry deterrence behavior, in some cases it decreases the probability of this behavior inducing no entry and thus promotes competition. In other cases, asymmetric information induces less entry but may lead to higher welfare.     

Does clean technology weaken the environmental impact on the financial performance? Insight from global oil and gas companies

This study aims to clarify the relationship between environmental performance and financial performance by introducing clean technology as the moderating variable. We contest two major theories, natural resource-based view theory and neoclassical theory, to reveal a comprehensive understanding of environmental performance's impact on financial performance. The hypotheses are tested on 111 global oil and gas companies using dynamic panel generalized method of moments (GMM). Our analysis reveals three key findings. First, lower environmental performance leads to lower financial performance confirming the natural resource-based view theory. Second, clean technology has no significant effect on financial performance, arguing the marginal abatement cost. Finally, our results report that clean technology has no impact on increasing financial performance during high waste spills or high emissions. Theoretical and practical implications resulting from the adoption of clean technology to moderate the environmental impact on financial performance are also discussed.     

Does employment protection help immigrants? Evidence from European labor markets

High levels of employment protection reduce hiring and firing and have a theoretically ambiguous effect on the employment level. Immigrants, being new to the labor market, may be less aware of employment protection regulations and less likely to claim their rights, which may create a gap between the costs for employers of hiring a native relative to hiring an immigrant. This paper tests that hypothesis drawing on evidence for the EU and on two natural experiments for Spain and Italy. The results suggest that strict employment protection legislation (EPL) gives immigrants a comparative advantage relative to natives. Stricter EPL is found to reduce employment and reduce hiring and firing rates for natives. By contrast, stricter EPL has a much smaller effect on immigrants.     

Does joining social media groups help to reduce students’ dropout within the first university year?

Using observational data, the aim of our study paper was to investigate whether university students’ dropout within the first year is influenced by participation in social media groups such as Facebook pages created and run by other students. Specifically, in this paper such participation is considered as a treatment and represents a means to help promote and strengthen social relationships amongst students but also to help share information on courses and other material useful for studying and preparing for exams. For this purpose, data from a sample survey of students enrolled in a major Italian university were used. Given a non-random treatment assignment, analysis was carried out using propensity score matching (PSM) in order to correct for selection bias due to a set of observable pretreatment covariates. Several matching techniques and sensitivity analyses suggested that the results were robust for estimating an average treatment effect on the treated group. The estimated effect indicated that participation in social media groups is effective for lowering the dropout rate.     

Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach

This study examines the asymmetric multifractality and the market efficiency of the stock markets in the countries that are the top crude oil producers (USA, KSA, Canada and Russia) and consumers (Brazil, China, India, and Japan) using an asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) method. The results show evidence of an asymmetric multifractal nature for all markets. Moreover, the multifractality is stronger in the upward movement of the market returns, except in China. The degree of efficiency of the stock markets is shown to be time-varying and experienced a decrease during the 2008 global financial crisis (GFC), but an upside trend occurred during the recent oil price crash followed a significant decline during COVID-19. The stock markets have an anti-persistent feature during GFC and COVID-19, whereas they exhibit a long-term persistent feature during oil price crash. More interestingly, the efficiency of the stock markets of crude oil producers is lower in general than that of oil consumers. Furthermore, the efficiency of the stock market is lower in the downward movement of the market returns than in the upward movement. Asymmetry and oil price uncertainty index are the key driver of the stock markets and can serve as predictor of the stock market dynamics of top oil producers and top oil consumers particularly during COVID-19 and oil price crash.     

Does money help predict inflation? An empirical assessment for Central Europe

This paper investigates the predictive ability of money for future inflation in the Czech Republic, Hungary, Poland and Slovakia. We construct monetary indicators similar to those the European Central Bank regularly uses for monetary analysis. We find in-sample evidence that money matters for future inflation at the policy horizons that central banks typically focus on, but our pseudo out-of-sample forecasting exercise shows that money does not in general improve the inflation forecasts vis-à-vis some benchmark models such as the autoregressive process. Since at least some models containing money improve the inflation forecasts in certain periods, we argue that money still serves as a useful cross-check for monetary policy analysis.     

Will the US overcome austerity to lead the world recovery?

Global growth is weak but may be at a turning point in the G7. Europe will soon return to growth, with a weak recovery set to develop. This reflects an improvement in exports as the US economy accelerates and emerging markets gradually improve after a soft patch. Furthermore, with the worst of the Eurozone crisis over, companies and households should be more willing to spend. The recovery would be stronger were there an easing of austerity and action by the ECB to ease credit constraints; simulations using Oxford Economics' Global Economic Model suggest that halving the currently planned austerity measures would raise the level of Eurozone GDP relative to our baseline by 0.2% in 2013 and by a further 0.7% in 2014…     

Strategic stances and programme performance: assessing outcomes of the US states’ delivery of the child support enforcement programme

Since being added as an amendment to the Social Security Act of 1975, the US child support enforcement (CSE) programme has provided services to both Temporary Assistance for Needy Families (TANF) and non-TANF families under the name of reducing expenditures on welfare programmes and securing children’s rights to be protected by their parents. The federal government mandates that states collect five performance measures in the CSE programme: (1) paternity establishment, (2) support order establishment, (3) current collection, (4) arrearage collection, and (5) cost-effectiveness. Implementing federal programmes does not give states full discretion, but there exists room for states to exercise discretion in developing their own strategies to effectively deliver services and improve performance. In this paper, using Miles and Snow’s strategic dimensions (1978) and Boyne and Walker’s later studies (2004), states’ strategic stances are categorized into Analyser, Prospector, and Defender, and the effects of states’ strategic stance and their internal implementation factors on the CSE performance are examined using models estimated with ordinary least square (OLS) regression and seemingly unrelated regression (SUR). The strategy classification is widely studied in private organizations, but it has relevance to current public organizations that seek to achieve improvement in performance. The results of the cross-sectional OLS and SUR models suggest that states having an Analyser stance have a positive relationship to two performance indicators (arrearage collection and Cost-Effectiveness) of the CSE programme, and states with Prospector and Defender stances are particularly significant in predicting high paternity establishment in the CSE programme, but no other performance indicator. Past performance is one of the strongest predictors of all five-performance indicators of the CSE programme. State internal implementation factors show mixed impacts in terms of significance and direction on the performance indicators of all the five models.