The relationship between energy and equity markets: evidence from volatility impulse response functions

This paper examines the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate BEKK model of the Goldman Sach's Energy Index and the S&P 500; in addition, we also calculate the time varying conditional correlations and time varying dynamic hedge ratios. From volatility impulse response functions, we find that low S&P 500 returns cause substantial increases in the volatility of the energy index; however, we find only a weak response from S&P 500 volatility to energy price shocks. Moreover, our dynamic hedge ratio analysis suggests that the energy index is generally a poor hedging instrument

Do commodities make effective hedges for equity investors?

The purpose of this paper is to evaluate whether commodities are effective hedges for equity holders. We employ three different methodologies to calculate time varying hedge ratios. First, we examine time-varying hedge ratios and how much portfolio risk can be reduced relative to a long position in the S&P 500. We calculate hedge ratios from realized variances and covariances; second, we estimate a recursive multivariate GARCH (BEKK) model and calculate the hedge ratios from the estimated covariances; and thirdly, we calculate the hedge ratios by estimating recursive OLS regressions. The results of our paper are very clear. First, commodities are not effective hedges for the S&P 500. Equity market investors and asset managers looking for a way to manage and reduce portfolio risk will be well advised to search for alternative hedges for the S&P 500 than commodities. Second, our results do not support the claim that commodities were a good hedge for the equity market during the financial crisis

What is a better cross-hedge for energy: Equities or other commodities?

© 2018 Can energy futures returns be effectively hedged? If so, what is the best hedge instrument? We study the hedging performance of several cross-hedges including the equity market, oil and gas equities, precious metals, industrial metals, and agricultural commodities. Our main conclusion is that cross-hedging of fluctuations in the energy market is generally not very effective and that any reduction in overall risk is small unless the oil and gas equity index is used. While all cross-hedges have performed better since 2007, the oil and gas equity index is the most effective, reducing risk by up to 20%, but it is also the most expensive

Nonlinear Taylor rules: evidence from a large dataset

In this paper we estimate nonlinear Taylor rules over the 1986-2008 sample time period and augment the traditional Taylor rule by including principal components to better model Federal Reserve policy. Including principal components is useful in that they extract information about the overall economy from multiple economic indicators in a statistically optimal way. Additionally, given that uncertainty may influence Federal Reserve decisions, we incorporate an uncertainty index in the reaction function of the Federal Reserve. We find substantial evidence that the Federal Reserve responded to increases in macroeconomic uncertainty by cutting the Federal Funds rate over the sample period. We also find evidence that the Federal Reserve responded aggressively to increases in capacity utilization, especially when the inflation rate was above 2%

A reexamination of real stock returns, real interest rates, real activity, and inflation: Evidence from a large data set

Using the informational sufficiency procedure from Forni and Gambetti (2014) along with data from McCracken and Ng (2014), we update the results of Lee (1992) and find that his Vector Autoregression (VAR) is informationally deficient. To correct this problem, we estimate a Factor Augmented VAR (FAVAR) and analyze the differences once informational deficiency is corrected with an emphasis on the relationship between real stock returns and inflation. In particular, we examine Modigliani and Cohn’s (1979) inflation illusion hypothesis, Fama’s (1983) proxy hypothesis, and the “anticipated policy hypothesis.

An evaluation of ECB policy in the Euro's big four

© 2016 Elsevier Inc. The Taylor curve can be viewed as an efficiency frontier displaying the trade-off between the volatility of output and volatility of inflation. We build on the existing literature in this area and view Taylor curves as a lens through which to gauge the deviations of actual ECB policy from the optimum. We employ data over the period 1999-2013 period to measure the orthogonal distance of the observed volatilities from the Taylor curve in Germany, France, Italy, Spain, and the Euro area using a recursive VARs. We find that the distance has substantially increased in all four countries suggesting that monetary policy has become less efficacious for Germany, France, Italy, and Spain since the financial crisis in 2007-2008. We also estimate counterfactual Taylor rules and find that a simple Taylor rule would have only substantially improved monetary policy efficacy in Germany

The challenge of motivated cognition in promoting lake health among shoreline property owners: biased estimation of personal environmental impact

<p>Amato MS, Shaw BR, Olson E, Turyk N, Genskow K, Moore CF. 2016. The challenge of motivated cognition in promoting lake health among shoreline property owners: biased estimation of personal environmental impact. Lake Reserve Manage. 32:386–391.</p> <p>Habitat loss through shoreline development on inland lakes threatens biodiversity. Property owners can reduce their impact by growing vegetated shoreline buffers, but many do not adopt these land management behaviors. One factor that may influence individuals' decisions to participate in conservation initiatives to promote natural shorelines is beliefs about their personal impact. A field study tested whether motivation to protect positive self-view would influence property owners' judgments about their shoreline's impact on lake health. Participants rated photos of their own property and other participants' properties on 4 dimensions: beauty, usability, water quality, and habitat. Linear mixed-effect modeling revealed photos were rated higher by their owners than other participants on all dimensions (mean β = 1.13, <i>P</i> < 0.05 for all), consistent with the hypothesis that motivation to protect self-view biased property owners to judge their own shoreline development as less harmful than it was judged by others. These results identify a potential barrier to outreach efforts for enlisting property owner cooperation in mitigating habitat degradation from shoreline development.</p

ORCID Public Data File 2017

<b>Abstract:</b><br>These files contain a snapshot of all public data in the ORCID Registry associated with an ORCID record that was created or claimed by an individual as of October 1st, 2017. ORCID publishes this file once per year under a Creative Commons CC0 1.0 Universal public domain dedication. This means that, to the extent possible under law, ORCID has waived all copyright and related or neighboring rights to the Public Data File. For more information on the file, see https://orcid.org/content/orcid-public-data-file-use-policy<br><br>The file contains the public information associated with each user's ORCID record. The data is available in version 1.2 of the ORCID XSD in either JSON or XML format and in version 2.0 of the ORCID XSD in either JSON or XML format. The 2.0 format is further divided into files with the full record summary and files with only the activities summary.<br><br><b>Companion Resources:</b><br>ORCID 1.2 XSD: https://github.com/ORCID/ORCID-Source/blob/master/orcid-model/src/main/resources/orcid-message-1.2.xsd<br><br>ORCID 2.0 XSD: https://github.com/ORCID/ORCID-Source/tree/master/orcid-model/src/main/resources/record_2.0<br><br>2016 File: https://doi.org/10.6084/m9.figshare.4134027<br>2015 File: https://dx.doi.org/10.6084/m9.figshare.1582705<br>2014 File: http://dx.doi.org/10.14454/07243.2014.001<br>2013 File: http://dx.doi.org/10.14454/07243.2013.001<br