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Statistical Inference, Econometric Analysis and Matrix Algebra

British Library Electronic Table of Contents (United Kingdom)

This note outlines the economic theory behind the theory of uncovered interest parity and some of the econometric issues involved in testing and interpretation. I illustrate some of the issues involved by estimating a rolling regression of the forward premium regression from 22 years of eight major currencies. I also conclude that Pippenger's model is not consistent with the theory of UIP and that furthermore there are severe econometric problems in estimating his model. The forward premium anomaly remains a paradox in international finance that is important and worthwhile to understand more fully.

International Nuclear Information System (INIS)

The integration of European energy markets is a key goal of EU energy policy, and has also been the focal point of many scientific studies in recent years. International markets for coal, oil, natural gas and electricity have previously been investigated in order to determine the extent of the respective markets. This study enhances this field of research to bioenergy markets. Price series data and time series econometrics are used to determine whether residential sector wood pellet markets of Austria, Germany and Sweden are integrated. The results of the econometric tests show that the German and Austrian markets can be considered to be integrated, whereas the Swedish market is separate from the other two countries. Although increased internationalization of wood pellet markets is likely to contribute to European price convergence and market integration, this process is far from completed. (author)

Energy Technology Data Exchange (ETDEWEB)

The Thai natural rubber economy is described in the context of the world rubber market. An econometric model is estimated for 15 structural equations; it includes the Thai, US, and rest-of-the-world rubber economies. Several simulation experiments are analyzed for the period from 1984 to 1995. Impact and dynamic multipliers are reported for major endogenous variables in response to changes in US GDP, world crude oil price, Thai replanting cess tax and Thai natural rubber production. A 1%, one-time increase in the US GDP has a positive effect on the Singapore natural rubber price. A world crude oil price decline shock has a negative effect in both the short-run and the long-run. The INRO buffer stock stabilization policy as well as alternative domestic Thai policies of market intervention are analyzed. The simulation results show that buffer stock management which allows a price band of +/-20% around the price target has the most stabilized price, compared to other ...

International Nuclear Information System (INIS)

Specific objectives were to: (1) develop and refine a methodology that can be used to evaluate the feasibility of MAG-LEV trains; (2) apply this methodology to the state of Oklahoma. The methodology is based on an aggregate econometric demand model and mathematical programming. A city-pair network is constructed to evaluate alternative MAG-LEV routes between Oklahoma City and nine other cites in and out of the state of Oklahoma. Results obtained from the aggregate econometric demand model indicates that MAG-LEV trains would attract significant ridership along different types of origin-destination routes. All nine corridors exhibit induced demand for MAG-LEV trains as well as attracting riderships from other modes. Based on the results of both single and multiobjective LP models, fixed-capital-cost requirements and annual operating cost for each of the above corridors are estimated, and by using different scenarios for discount rates, both costs ...

British Library Electronic Table of Contents (United Kingdom)

Whether or not a current account deficit sustainable has important implications for policy. If the current account deficits of a nation is sustainable, then it implies that the government should have no incentive to default on its international debt. In this article we examine whether or not the current account deficits for the OECD countries can be characterized by a unit root process with regime switching. The econometric methodology allows us to distinguish periods that are associated with unsustainable outcomes from those in which the intertemporal national long-run budget constraint (LRBC) holds. Among the main results, it is found that it is very likely that the LRBC will not hold for the Australia, the Czech Republic, Finland, Hungary, New Zealand, Portugal or Spain, thus signifying...

International Nuclear Information System (INIS)

Coal output in China increased from 872mt in 1985 to 1080mt in 1990, representing an annual growth rate of 4.37% . As the biggest coal burning country, it gives out a large amount of CO_2 and other pollutants into air, resulting in serious air pollution and sharing a great part in creating the global greenhouse effect. On the other hand, China faces severe energy shortage. Coal will remain the most important energy resource for a long time, Using the method of econometrics, this paper analyses the relations between China's energy production, consumption increase and national economic growth in the list forty years, makes comparisons with other countries, and points out problems of China's energy consumption increase and economic development. On this basis the strategy for developing China's energy industry is put forward, In the end, the authors advance that the leading position of energy industry in the national economy must be established and economic developing ...

Energy Technology Data Exchange (ETDEWEB)

Claims of property value loss are commonly raised by homeowners when noxious facilities are sited or when new information about the hazards of existing facilities is made public. While the capitalization of externalities into land values is consistent with economic theory, empirical measurement of impacts has not generated consistent results. This is true both for hedonic measurements as well as other types of econometric analyses. While it is well established that job and site risks have similar impacts on regional labor markets, there are no studies relating the presence of a broad range of noxious facilities to local wage premiums. In contrast, this study employs an interregional framework in a hedonic analysis of both wage and property markets and considers eight different facility classifications. This paper discusses the development of the hedonic model employed in this study. It develops more fully the theoretical advantages of the intercity model and ...

Energy Technology Data Exchange (ETDEWEB)

The Environmental Kuznets Curve (EKC) hypothesis states that pollution levels increase as a country develops, but begin to decrease as rising incomes pass beyond a turning point. In EKC analyses, the relationship between environmental degradation and income is usually expressed as a quadratic function with the turning point occurring at a maximum pollution level. Other explanatory variables have been included in these models, but income regularly has had the most significant effect on indicators of environmental quality. One variable consistently omitted in these relationships is the price of energy. This paper analyzes previous models to illustrate the importance of prices in these models and then includes prices in an econometric EKC framework testing energy/income and CO{sub 2}/income relationships. These long-run price/income models find that income is no longer the most relevant indicator of environmental quality or energy demand. Indeed, we find no ...

Energy Technology Data Exchange (ETDEWEB)

The Kyoto Protocol attempts through political negotiations to guide participating industrialized countries' greenhouse gas (GHG) emissions from a positive growing trend, to reach a peak point (or turning point), and then be reduced to a negative growth. That means the relationship between decreasing GHG emissions and economic growth may be described by an inverted-U curve (or called a bell-shaped curve), which is consistent with the concept of the Environmental Kuznets Curve (EKC) hypothesis. This research observed that the economic development and GHG emissions in Economies in Transition (EITs) exhibit a hockey-stick curve trend (or called quasi-L-shape curve), that also generates a lot of 'hot air' which is significant to the implementation of the Kyoto Protocol. In addition, through the analysis of single-country time series data and GDP data, this research demonstrated that statistical data for most of the Annex II countries do not possess evidence that ...

Energy Technology Data Exchange (ETDEWEB)

This report describes the results of a large project conducted in a corporation between Statistics Denmark and the Danish National Environmental Research Institute. The main objective of the project has been to analyse the possibilities of prescribing the development in the Danish freight transport in a more appropriate and precise way than it is done by existing models. A secondary objective of the project was to develop a model based on the findings of the analysis. The intention was to be able to describe all areas of freight transport. The analysis has proven it impossible to improve the existing calculations in some areas of transport. Hence, the project has been narrowed down to focus exclusively on road freight transport. The developed model distinguishes itself from existing models by a much higher level of detail in the calculations. This enables the model to describe the structural relations between transport and economic activity, which has previously been subsumed in the ...