• Keine Ergebnisse gefunden

Business cycles and the behavior of energy prices

N/A
N/A
Protected

Academic year: 2022

Aktie "Business cycles and the behavior of energy prices"

Copied!
8
0
0

Wird geladen.... (Jetzt Volltext ansehen)

Volltext

(1)

Munich Personal RePEc Archive

Business cycles and the behavior of energy prices

Serletis, Apostolos and Hulleman, Vaughn

1994

Online at https://mpra.ub.uni-muenchen.de/1745/

MPRA Paper No. 1745, posted 11 Feb 2007 UTC

(2)

EXVLQHVV#F\FOHV#DQG#WKH#EHKDYLRU#RI#HQHUJ\#SULFHV^-`#

Wklv#sdshu#whvwv#wkh#wkhru|#ri#vwrudjh00wkh#k|srwkhvlv#wkdw#wkh#pdujlqdo#frqyhqlhqfh#

|lhog#rq#lqyhqwru|#idoov#dw#d#ghfuhdvlqj#udwh#dv#lqyhqwru|#lqfuhdvhv#lq#hqhuj|#pdunhwv#

+fuxgh#rlo/#khdwlqj#rlo/#dqg#xqohdghg#jdv#pdunhwv,1#Zh#xvh#wkh#Idpd#dqg#Iuhqfk#

+4<;;,#lqgluhfw#whvw/#edvhg#rq#wkh#uhodwlyh#yduldwlrq#lq#vsrw#dqg#ixwxuhv#sulfhv1#Wkh#

uhvxowv#vxjjhvw#wkdw#wkh#wkhru|#krogv#iru#wkh#hqhuj|#pdunhwv1#

LQWURGXFWLRQ#

Wkh#wkhru|#ri#vwrudjh/#zklfk#srvwxodwhv#wkdw#wkh#pdujlqdo#frqyhqlhqfh#|lhog#rq#

lqyhqwru|#idoov#dw#d#ghfuhdvlqj#udwh#dv#djjuhjdwh#lqyhqwru|#lqfuhdvhv/#lv#wkh#grplqdqw#

prgho#ri#frpprglw|#ixwxuhv#sulfhv#^vhh/#iru#h{dpsoh/#Euhqqdq#+4<8;,/#Whovhu#+4<8;,/#

dqg#Zrunlqj#+4<7<,`1#Wklv#k|srwkhvlv#fdq#eh#whvwhg#hlwkhu#gluhfwo|#e|#uhodwlqj#wkh#

frqyhqlhqfh#|lhog#wr#lqyhqwru|#ohyhov#xwlol}lqj#d#vlpsoh#vwdwlvwlfdo#prgho#^dv#lq#

Euhqqdq#+4<8;,#dqg#Whovhu#+4<8;,`/#ru#lqgluhfwo|#e|#whvwlqj#lwv#lpsolfdwlrq#derxw#wkh#

uhodwlyh#yduldwlrq#ri#vsrw#dqg#ixwxuhv#sulfhv#^dv#lq#Idpd#dqg#Iuhqfk#+4<;;,`1#

Lq#wklv#sdshu#zh#whvw#wkh#wkhru|#ri#vwrudjh#lq#hqhuj|#pdunhwv00fuxgh#rlo/#khdwlqj#rlo/#

dqg#xqohdghg#jdv1#Dowkrxjk#wkh#wkhru|#ri#vwrudjh#zdv#dgydqfhg#pdlqo|#iru#

frpprglwlhv#vxemhfw#wr#vhdvrqdo#yduldwlrq#lq#vxsso|#+l1h1/#kduyhvw,/#dq#h{dplqdwlrq#ri#

wkh#wkhru|#lv#dovr#zduudqwhg#iru#hqhuj|#surgxfwv1#Zkloh#hqhuj|#surgxfwv#gr#qrw#h{klelw#

vhdvrqdo#vxsso|#yduldwlrqv#gxh#wr#d#kduyhvw/#wkh|#duh#vxemhfw#wr#rwkhu#vxsso|#dqg#

ghpdqg#vhdvrqdo#ioxfwxdwlrqv1#Iru#h{dpsoh/#dowkrxjk#wkh#vxsso|#ri#fuxgh#rlo#dqg#rwkhu#

uhilqhg#surgxfwv#lv#qrw#lqkhuhqwo|#vhdvrqdo/#khdwlqj#rlo#kdv#ghpdqg#shdnv#gxulqj#wkh#

zlqwhu#dqg#jdvrolqh#kdv#ghpdqg#shdnv#gxulqj#wkh#vxpphu1#

Hduo|#dwwhpswv#dw#whvwlqj#wkh#wkhru|#ri#vwrudjh#dqg#wkh#frqyhqlhqfh#|lhog#k|srwkhvlv#

xvhg#lqgxvwu|#lqyhqwru|#gdwd#dqg#pdunhw#sulfhv1#Krzhyhu/#ehfdxvh#ri#wkh#gliilfxow|#lq#

ghilqlqj#dqg#phdvxulqj#wkh#uhohydqw#lqyhqwru|/#udwkhu#wkdq#whvw#wkh#wkhru|#e|#

h{dplqlqj#wkh#lqyhqwru|0frqyhqlhqfh#|lhog#uhodwlrq#gluhfwo|/#zh#iroorz#Idpd#dqg#

Iuhqfk#+4<;;,#dqg#whvw#wkh#wkhru|*v#lpsolfdwlrqv#derxw#wkh#uhodwlyh#yduldwlrq#ri#vsrw#

dqg#ixwxuhv#sulfhv1#Wkhvh#lpsolfdwlrqv#fdq#eh#ylhzhg#dv#uhilqhphqwv#ri#Vdpxhovrq*v#

+4<98,#k|srwkhvlv#wkdw#^xqghu#wkh#dvvxpswlrq#wkdw#vsrw#sulfhv#iroorz#d#vwdwlrqdu|#

+phdq0uhyhuwlqj,#surfhvv/#dqg#ixwxuhv#sulfhv#duh#xqeldvhg#hvwlpdwhv#iru#wkh#vhwwohphqw#

fdvk#sulfhv`#ixwxuhv#sulfhv#ydu|#ohvv#wkdq#vsrw#sulfhv#dqg#wkdw#wkh#yduldwlrq#ri#ixwxuhv#

sulfhv#lv#d#ghfuhdvlqj#ixqfwlrq#ri#pdwxulw|00vhh#dovr#Vhuohwlv#+4<<5,1#

Wkh#uhpdlqghu#ri#wkh#sdshu#frqvlvwv#ri#irxu#vhfwlrqv1#Wkh#iluvw#vhfwlrq#eulhio|#

glvfxvvhv#wkh#wkhru|#ri#vwrudjh1#Wkh#vhfrqg#vhfwlrq#ghvfulehv#wkh#gdwd#dqg#wkh#wklug#

vhfwlrq#suhvhqwv#wkh#hpslulfdo#uhvxowv1#Wkh#ilqdo#vhfwlrq#vxppdul}hv#wkh#sdshu1#

WKHRUHWLFDO#IRXQGDWLRQV#

Ohw#I+w/#W,#eh#wkh#ixwxuhv#sulfh#dw#wlph#w#iru#gholyhu|#ri#d#frpprglw|#dw#W1#Ohw#v+w,#eh#

wkh#vsrw#sulfh#dw#w#dqg#ohw#U+w/#W,#ghqrwh#wkh#lqwhuhvw#udwh#dw#zklfk#pdunhw#sduwlflsdqwv#

fdq#eruurz#ru#ohqg#ryhu#d#shulrg#vwduwlqj#dw#gdwh#w#dqg#hqglqj#dw#gdwh#W1#Wkh#wkhru|#ri#

vwrudjh#vd|v#^vhh#Idpd#dqg#Iuhqfk#+4<;;,`#wkdw#wkh#edvlv00wkh#fxuuhqw#ixwxuhv#vsrw#

gliihuhqwldo/#I+w/#W,#0#V+w,#00htxdov#wkh#lqwhuhvw#iruhjrqh#gxulqj#vwrudjh/#v+w,#U+w/#W,/#

(3)

soxv#wkh#pdujlqdo#zduhkrxvlqj#frvw/#Z+w/#W,/#plqxv#wkh#pdujlqdo#frqyhqlhqfh#|lhog/#

F+w/#:,1#Wkdw#lv#

I+w/W,#0#V+w,#@#v+w,#U+w/W,#.#Z+w/W,#0#F+w/W,#+4,#

Wkh#vwrudjh#htxdwlrq#+4,#lv#dovr#nqrzq#dv#wkh#frvw0ri0fduu|#sulflqj#uhodwlrqvkls#dqg#

htxdwhv#edvlv#zlwk#wkh#frvw#ri#fduu|/#vr#wkdw#duelwudjh#lv#qrw#surilwdeoh1#Fohduo|/#

srvlwlyh#fduu|lqj#frvwv#uhvxow#lq#d#srvlwlyh#edvlv00wkdw#lv/#d#ixwxuhv#sulfh#deryh#wkh#vsrw#

pdunhw#sulfh1#Lq#vxfk#fdvhv#wkh#ex|hu#ri#d#ixwxuhv#frqwudfw#sd|v#d#suhplxp#iru#

ghihuuhg#gholyhu|/#nqrzq#dv#frqwdqjr1#Qhjdwlyh#fduu|lqj#frvwv#lpso|#d#qhjdwlyh#edvlv0 0wkdw#lv/#d#ixwxuhv#sulfh#ehorz#wkh#vsrw#pdunhw#sulfh1#Wklv#w|sh#ri#sulfh#uhodwlrqvkls#lv#

nqrzq#dv#edfnzdugdwlrq1#

Glylglqj#erwk#vlghv#ri#wkh#vwrudjh#htxdwlrq#+4,#e|#v+w,#dqg#uhduudqjlqj/#zh#rewdlq#

I+w/W,#0#V+w,#0#U+w/W,#@#Z+w/W,#0#F+w/W,#########+5,

#####V+w,#####################V+w,

Dffruglqj#wr#htxdwlrq#+5,/#wkh#revhuyhg#txdqwlw|#rq#wkh#ohiw0kdqg#vlgh00wkh#lqwhuhvw#

dgmxvwhg#edvlv/#^I+w/#:,#0#v+w,`2v+w,#0#U+w/#W,#00lv#wkh#gliihuhqfh#ehwzhhq#wkh#uhodwlyh#

zduhkrxvlqj#frvw/#Z+w/W,2V+w,/#dqg#wkh#uhodwlyh#frqyhqlhqfh#|lhog/#F+w/W,2V+w,1#

Dvvxplqj#wkdw#wkh#pdujlqdo#zduhkrxvlqj#frvw#lv#urxjko|#frqvwdqw/#wkdw#wkh#pdujlqdo#

frqyhqlhqfh#|lhog#ghfolqhv#dw#d#ghfuhdvlqj#udwh#zlwk#lqfuhdvhv#lq#lqyhqwru|#^vhh/#iru#

h{dpsoh/#Euhqqdq#+4<8;,#dqg#Whovhu#+4<8;,`/#dqg#wkdw#yduldwlrq#lq#wkh#pdujlqdo#

frqyhqlhqfh#|lhog#grplqdwhv#yduldwlrq#lq#wkh#pdujlqdo#zduhkrxvlqj#frvw/#zh#fdq#xvh#

wkh#lqwhuhvw0dgmxvwhg0edvlv#htxdwlrq#+5,#wr#ghyhors#whvwdeoh#k|srwkhvhv#derxw#wkh#

frqyhqlhqfh#|lhog1#Iru#h{dpsoh/#zkhq#lqyhqwru|#lv#orz/#wkh#uhodwlyh#frqyhqlhqfh#

|lhog#lv#kljk#dqg#odujhu#wkdq#wkh#uhodwlyh#zduhkrxvlqj#frvw/#dqg#wkh#lqwhuhvw0dgmxvwhg#

edvlv#ehfrphv#qhjdwlyh1#Rq#wkh#rwkhu#kdqg/#zkhq#lqyhqwru|#lv#kljk/#wkh#uhodwlyh#

frqyhqlhqfh#|lhog#idoov#wrzdug#}hur/#dqg#wkh#lqwhuhvw0dgmxvwhg#edvlv#ehfrphv#srvlwlyh#

dqg#lqfuhdvhv#wrzdug#wkh#uhodwlyh#zduhkrxvlqj#frvw1#

Pruhryhu/#wkh#wkhru|#ri#vwrudjh#dqg#wkh#frqfhsw#ri#ghfolqlqj#pdujlqdo#frqyhqlhqfh#

|lhog#rq#lqyhqwru|#doorz#xv#wr#pdnh#suhglfwlrqv#derxw#wkh#lpsdfw#ri#ghpdqg#dqg#

vxsso|#vkrfnv#rq#wkh#uhodwlyh#yduldwlrq#ri#vsrw#dqg#ixwxuhv#sulfhv1#Iru#h{dpsoh/#zkhq#

lqyhqwru|#lv#kljk#+wkh#frqyhqlhqfh#|lhog#lv#orz#dqg#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#

srvlwlyh,#d#shupdqhqw#ghpdqg#vkrfn#fdxvhv#d#odujh#lqyhqwru|#uhvsrqvh#exw#d#vpdoo#

fkdqjh#lq#wkh#frqyhqlhqfh#|lhog#ru#wkh#lqwhuhvw0dgmxvwhg#edvlv1#Lq#wklv#fdvh#vsrw#dqg#

ixwxuhv#sulfhv#kdyh#urxjko|#wkh#vdph#yduldelolw|/#vxjjhvwlqj#wkdw#fkdqjhv#lq#vsrw#

sulfhv#duh#odujho|#shupdqhqw00wkh|#vkrz#xs#rqh0iru0rqh#lq#ixwxuhv#sulfhv1#Krzhyhu/#

zkhq#lqyhqwru|#lv#orz#+wkh#frqyhqlhqfh#|lhog#lv#kljk#dqg#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#

qhjdwlyh,#ghpdqg#vkrfnv#surgxfh#vpdoo#fkdqjhv#lq#lqyhqwrulhv#exw#odujh#fkdqjhv#lq#

wkh#frqyhqlhqfh#|lhog#dqg#wkh#lqwhuhvw0dgmxvwhg#edvlv1#Lq#wklv#fdvh/#vkrfnv#fdxvh#vsrw#

sulfhv#wr#fkdqjh#pruh#wkdq#ixwxuhv#sulfhv#dqg#wkh#edvlv#lv#pruh#yduldeoh#wkdq#zkhq#

lqyhqwrulhv#duh#kljk1#

Lq#zkdw#iroorzv/#zh#whvw#wkh#wkhru|#ri#vwrudjh#lq#hqhuj|#pdunhwv1#Ehfdxvh#ri#wkh#

gliilfxow|/#krzhyhu/#lq#ghilqlqj#dqg#phdvxulqj#wkh#uhohydqw#lqyhqwru|/#udwkhu#wkdq#

xvlqj#gluhfw#whvwv#e|#uhodwlqj#wkh#frqyhqlhqfh#|lhog#wr#lqyhqwru|#ohyhov#^vhh/#iru#

(4)

h{dpsoh/#Euhqqdq#+4<8;,#dqg#Whovhu#+4<8;,`/#zh#xvh#wkh#Idpd#dqg#Iuhqfk#+4<;;,#

lqgluhfw#whvwv#edvhg#rq#wkh#uhodwlyh#yduldwlrq#lq#vsrw#dqg#ixwxuhv#sulfhv1#Lq#sduwlfxodu/#

xvlqj#wkh#vljq#ri#wkh#lqwhuhvw#dgmxvwhg#edvlv#dv#d#sur{|#iru#kljk#+.,#dqg#orz#+0,#

lqyhqwru|/#wkh#suhglfwlrq#ri#wkh#wkhru|#ri#vwrudjh#wkdw#vkrfnv#surgxfh#pruh#

lqghshqghqw#yduldwlrq#lq#vsrw#dqg#ixwxuhv#sulfhv#zkhq#lqyhqwru|#lv#orz#lpsolhv#wkdw#wkh#

lqwhuhvw0dgmxvwhg#edvlv#lv#pruh#yduldeoh#zkhq#lw#lv#qhjdwlyh00vhh#Iuhqfk#+4<;9,#iru#d#

ghulydwlrq#dqg#ghwdlohg#glvfxvvlrq1#

GDWD#

Wr#whvw#wkh#wkhru|#ri#vwrudjh#zh#xvh#gdlo|#revhuydwlrqv#iurp#wkh#Qhz#\run#Phufdqwloh#

H{fkdqjh#+Q\PH[,#rq#rqh0prqwk/#wzr0prqwk/#irxu0prqwk/#dqg#vhyhq0prqwk#

ixwxuhv#sulfhv#iru#fuxgh#rlo/#khdwlqj#rlo#dqg#xqohdghg#jdvrolqh1#Lq#idfw/#zh#xvh#wkh#vsrw0 prqwk#ixwxuhv#sulfhv#dv#d#sur{|#iru#fxuuhqw#fdvk#sulfhv/#wkh#vhfrqg0prqwk#ixwxuhv#

sulfhv#dv#d#sur{|#iru#wkh#fxuuhqw#ixwxuhv#sulfhv/#dqg#vlploduo|#wkh#irxuwk0prqwk#dqg#

vhyhqwk0prqwk#ixwxuhv#sulfhv#dv#sur{lhv#iru#wkh#wkuhh0prqwk#dqg#vl{0prqwk#ixwxuhv#

sulfhv/#uhvshfwlyho|1#

Wkh#vdpsoh#shulrg#lv#Mxqh#4/#4<;6#wr#Dsulo#5:/#4<<5#iru#fuxgh#rlo/#Dxjxvw#:/#4<;6#wr#

Dsulo#5:/#4<<5#iru#khdwlqj#rlo/#dqg#Ghfhpehu#6/#4<;7#wr#Dsulo#5:/#4<<5#iru#xqohdghg#

jdv1#Ehfdxvh#ri#gdlo|#sulfh#olplwv/#dv#zhoo#dv#whfkqlfdo#wudglqj#dgmxvwphqwv#^vxfk#dv/#

iru#h{dpsoh/#deuxsw#pryhphqwv#lq#wkh#sulfh#ri#wkh#vsrw0prqwk#ixwxuhv#frqwudfwv#rq#

wkhlu#odvw#wudglqj#gd|/#dv#wudghuv#dgmxvw#wkhpvhoyhv#rxw#ri#srvlwlrqv`/#gdlo|#sulfhv#kdyh#

ehhq#frqyhuwhg#wr#zhhno|#dyhudjh#sulfh#vhulhv1#Vxfk#dyhudjlqj#whqgv#wr#vprrwk#wkhvh#

huudwlf#sulfh#pryhphqwv1#

WHVW#UHVXOWV#

Wr#lqyhvwljdwh#wkh#wkhru|#ri#vwrudjh#suhglfwlrq#wkdw#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#pruh#

yduldeoh#zkhq#lw#lv#qhjdwlyh#+ehfdxvh#vkrfnv#surgxfh#pruh#lqghshqghqw#yduldwlrq#lq#

vsrw#dqg#ixwxuhv#sulfhv#zkhq#lqyhqwru|#lv#orz,/#Wdeohv#406#uhsruw#wkh#vwdqgdug#

ghyldwlrqv#ri#zhhno|#dv#zhoo#dv#gdlo|#fkdqjhv#lq#wkh#lqwhuhvw0dgmxvwhg#edvlv#iru#rqh/#

wkuhh#dqg#vl{#prqwk#fuxgh#rlo/#khdwlqj#rlo#dqg#xqohdghg#jdv#ixwxuhv#frqwudfwv1#Fohduo|/#

wkh#vwdqgdug#ghyldwlrq#iru#fuxgh#rlo#lv#rqo|#voljkwo|#pruh#yduldeoh#zkhq#lw#lv#srvlwlyh#

wkdq#zkhq#lw#lv#qhjdwlyh/#exw#wkh#vwdqgdug#ghyldwlrqv#iru#khdwlqj#rlo#dqg#wr#d#ohvvhu#

h{whqw#iru#xqohdghg#jdv#duh#odujhu#zkhq#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#qhjdwlyh1#

Pruhryhu/#I0whvwv#uhmhfw#+lq#jhqhudo,#wkh#qxoo#k|srwkhvlv#ri#htxdo#yduldqfhv1#Khqfh/#zh#

frqfoxgh#wkdw#wkh#khdwlqj#rlo#dqg#xqohdghg#jdv#pdunhwv#sdvv#wklv#Idpd0Iuhqfk#

+lqgluhfw,#whvw1#

Dv#lw#zdv#dujxhg#hduolhu/#wkh#wkhru|#ri#vwrudjh#dovr#lpsolhv#wkdw#vkrfnv#surgxfh#

urxjko|#htxdo#fkdqjhv#lq#vsrw#dqg#ixwxuhv#sulfhv#zkhq#lqyhqwru|#lv#kljk#dqg#wkh#

lqwhuhvw0dgmxvwhg#edvlv#lv#srvlwlyh/#exw#pruh#yduldwlrq#lq#vsrw#sulfhv#wkdq#lq#ixwxuhv#

sulfhv#zkhq#lqyhqwru|#lv#orz#dqg#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#qhjdwlyh1#Wr#lqyhvwljdwh#

wklv#suhglfwlrq#ri#wkh#wkhru|#ri#vwrudjh/#zh#uhsruw#lq#Wdeoh#7#wkh#udwlrv#ri#wkh#vwdqgdug#

ghyldwlrq#ri#shufhqw#ixwxuhv#sulfh#fkdqjhv#wr#wkh#vwdqgdug#ghyldwlrq#ri#shufhqw#vsrw#

sulfh#fkdqjhv#iru#wkh#zhhno|#dv#zhoo#dv#wkh#gdlo|#gdwd1#Fohduo|/#wkh#udwlrv#duh#orzhu#

zkhq#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#qhjdwlyh#iru#doo#wkuhh#frpprglwlhv/#wkhuhe|#

frqiluplqj#wkh#wkhru|#ri#vwrudjh#suhglfwlrq#derxw#wkh#uhvsrqvh#ri#vsrw#dqg#ixwxuhv#

sulfhv#wr#ghpdqg#dqg#vxsso|#vkrfnv1#

(5)

Wkh#wkhru|#ri#vwrudjh#dovr#suhglfwv#wkdw#vkrfnv#surgxfh#odujhu#fkdqjhv#rq#vkruwhu#

pdwxulw|#ixwxuhv#sulfhv#wkdq#rq#orqjhu#pdwxulw|#ixwxuhv#sulfhv#ehfdxvh#wkh#vkrfnv#duh#

surjuhvvlyho|#riivhw#e|#ghpdqg#dqg#vxsso|#uhvsrqvhv1#Wkxv/#wkh#udwlrv#ri#wkh#vwdqgdug#

ghyldwlrq#ri#ixwxuhv#sulfh#fkdqjhv#wr#wkh#vwdqgdug#ghyldwlrq#ri#vsrw#sulfh#fkdqjhv#lq#

Wdeoh#7#vkrxog#ghfuhdvh#zlwk#lqfuhdvlqj#pdwxulwlhv1#Fohduo|/#wkh#udwlrv#duh#frqvlvwhqw#

zlwk#wklv#suhglfwlrq1#Iru#h{dpsoh/#lq#wkh#fdvh#ri#fuxgh#rlo/#wkh#udwlrv#iru#zhhno|#

srvlwlyh#lqwhuhvw0dgmxvwhg#edvhv#idoo#iurp#31<3#dw#rqh#prqwk#wr#31;8#dw#wkuhh#prqwkv#

dqg#31:8#dw#vl{#prqwkv1#Wkh#udwlrv#iru#qhjdwlyh#lqwhuhvw0dgmxvwhg#edvhv#duh#31;;/#31:;/#

dqg#31:41#Wklv#hylghqfh#lv#frqvlvwhqw#zlwk#Vdpxhovrq*v#+4<98,#k|srwkhvlv#derxw#wkh#

uhodwlyh#yduldwlrq#ri#vsrw#dqg#ixwxuhv#sulfhv1#

FRQFOXVLRQ#

Wklv#sdshu#xvhv#wkh#vljq#ri#wkh#lqwhuhvw0dgmxvwhg#edvlv#dv#d#sur{|#iru#kljk#+.,#dqg#orz#

+0,#lqyhqwru|1#Zh#whvw#wkh#suhglfwlrq#ri#wkh#wkhru|#ri#vwrudjh#wkdw/#zkhq#lqyhqwru|#lv#

kljk/#odujh#lqyhqwru|#uhvsrqvhv#wr#vkrfnv#lpso|#urxjko|#htxdo#fkdqjhv#lq#vsrw#dqg#

ixwxuhv#sulfhv1#Zkhq#lqyhqwru|#lv#orz/#vpdoohu#lqyhqwru|#uhvsrqvhv#wr#vkrfnv#lpso|#

odujhu#fkdqjhv#lq#vsrw#sulfhv#wkdq#lq#ixwxuhv#sulfhv1#Whvwv#rq#vsrw#dqg#ixwxuhv#fuxgh#rlo/#

khdwlqj#rlo/#dqg#xqohdghg#jdv#sulfhv#frqilup#wkhvh#suhglfwlrqv1#

Rxu#hpslulfdo#ydolgdwlrq#ri#wkh#wkhru|#ri#vwrudjh#vxssruwv#wkh#wkhru|*v#zlgh

dffhswdqfh#e|#pdunhw#sduwlflsdqwv1#Lq#idfw/#dv#Fkr#dqg#PfGrxjdoo#+4<<3/s1#944,#sxw#lw#

%111wkh#wkhru|#ri#vwrudjh#lv#zlgho|#dffhswhg#e|#sduwlflsdqwv#ri#hqhuj|#ixwxuhv#pdunhwv1#

Pdunhw#sduwlflsdqwv/#iru#h{dpsoh/#lqwhusuhw#d#odujh#qhjdwlyh#wlph#edvlv#+l1h1/#wkh#ixwxuhv#

sulfh#lv#vljqlilfdqwo|#orzhu#wkdq#wkh#vsrw#sulfh,#dv#d#vljqdo#wr#gudz#hqhuj|#surgxfwv#rxw#

ri#vwrudjh#dqg#d#vpdoo#qhjdwlyh#edvlv#ru#srvlwlyh#edvlv#dv#d#vljqdo#wr#vwruh#

frpprglwlhv1#Uhilqhuv#iuhtxhqwo|#uho|#rq#edvlv#lq#wlplqj#wkhlu#fuxgh#rlo#sxufkdvhv#dqg#

lq#vfkhgxolqj#surgxfwlrq#dqg#gholyhu|#ri#uhilqhg#surgxfwv1%#

Frqilupdwlrq#ri#wkh#wkhru|#ri#vwrudjh#lv#dovr#lpsruwdqw#lq#prghoolqj#ixwxuhv#sulfhv1#

Vlqfh#wkh#wkhru|#vxjjhvwv#wkdw#ixwxuhv#sulfhv#duh#odujho|#ghwhuplqhg#e|#ghpdqg#dqg#

vxsso|#frqglwlrqv#lq#vsrw#pdunhwv/#wkh#lvvxh#lv#zkhwkhu#ixwxuhv#pdunhwv#duh#edfnzdug#

ru#iruzdug#orrnlqj1#Lq#wklv#uhjdug/#Vhuohwlv#dqg#Edqdfn#+4<<3,#xvh#uhfhqw#

ghyhorsphqwv#lq#wkh#wkhru|#ri#qrqvwdwlrqdu|#uhjuhvvruv#wr#whvw#+lq#wkh#frqwh{w#ri#

hqhuj|#pdunhwv,#wkh#k|srwkhvlv#wkdw#ixwxuhv#sulfhv#duh#xqeldvhg#suhglfwruv#ri#ixwxuh#

vsrw#sulfhv1#Wkh|#ilqg#vxssruw#iru#wkh#k|srwkhvlv1#Dovr/#Vhuohwlv#+4<<4,#xvhv#Idpd*v#

+4<;7,#yduldqfh#ghfrpsrvlwlrq#dssurdfk#wr#phdvxuh#wkh#lqirupdwlrq#lq#hqhuj|#ixwxuhv#

sulfhv#derxw#ixwxuh#vsrw#sulfhv#dqg#wlph#ydu|lqj#suhplxpv1#Kh#ilqgv#wkdw#wkh#suhplxp#

dqg#h{shfwhg#ixwxuh#vsrw#sulfh#frpsrqhqwv#ri#hqhuj|#ixwxuhv#duh#qhjdwlyho|#fruuhodwhg#

dqg#wkdw#prvw#ri#wkh#yduldwlrq#lq#ixwxuhv#sulfhv#lv#yduldwlrq#lq#h{shfwhg#suhplxpv1#

Fohduo|/#zkhwkhu#hqhuj|#ixwxuhv#pdunhwv#duh#edfnzdug#ru#iruzdug#orrnlqj#lv#dq#duhd#

iru#srwhqwldoo|#surgxfwlyh#ixwxuh#uhvhdufk1#

ヌ#Zh#zlvk#wr#wkdqn#wkh#Hglwru#dqg#wzr#dqrq|prxv#uhihuhhv#iru#wkhlu#frpphqwv1#

Wdeoh#4#Vwdqgdug#Ghyldwlrqv#ri#Fkdqjhv#lq#wkh#Fuxgh#Rlo#Lqwhuhvw0Dgmxvwhg#Edvlv#

############Gdlo|#Gdwd##############Zhhno|#Gdwd

Frqwudfw##Srvlwlyh##Qhjdwlyh###Doo##Srvlwlyh###Qhjdwlyh###Doo SDUW#D=#Vwdqgdug#Ghyldwlrqv#ri#Fkdqjhv#lq#wkh#Lqwhuhvw0Dgmxvwhg Edvlv

(6)

40Prqwk####3153####3149*^^e``##314:###3155#####3149^e`###314:

60Prqwk####3139####3139########3139###313;#####313;######313;

90Prqwk####3137####3136^e`#####3136###3139#####3138^f`###3138

################SDUW#E=#Qxpehu#ri#Revhuydwlrqv

o0Prqwk####733#####4963########5363#####;7#####6;3#######797 60Prqwk####5;4#####4:7<########5363#####89#####73:#######797 90Prqwk####4;5#####4;7;########5363#####68#####75;#######797

QRWHV=#Vwdwlvwlfv#duh#iru#revhuydwlrqv#zkhq#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#srvlwlyh#

+Srvlwlyh,/#revhuydwlrqv#zkhq#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#qhjdwlyh#+Qhjdwlyh,/#dqg#

iru#doo#revhuydwlrqv#+Doo,1#Lqwhuhvw#udwhv#lq#wkh#lqwhuhvw0dgmxvwhg#edvlv#duh#|lhogv#rq#X1V1#

Wuhdvxu|#eloov/#iurp#wkh#Edqn#ri#Fdqdgd1#Vljqlilfdqw#+uhmhfwlrq#ri#wkh#qxoo#k|srwkhvlv#

ri#htxdo#yduldqfhv,#dw#wkh#^e`rqh#shufhqw/#*ilyh#shufhqw/#dqg#f#whq#shufhqw#ohyho1#

Wdeoh#5#Vwdqgdug#Ghyldwlrqv#ri#Fkdqjhv#lq#wkh#Khdwlqj#Rlo#Lqwhuhvw0Dgmxvwhg#Edvlv#

##################Gdlo|#Gdwd##############Zhhno|#Gdwd

Frqwudfw###Srvlwlyh###Qhjdwlyh###Doo###Srvlwlyh###Qhjdwlyh###Doo SDUW#D=#Vwdqgdug#Ghyldwlrqv#ri#Fkdqjhv#lq#wkh#Lqwhuhvw0Dgmxvwhg Edvlv

o0Prqwk#####R147######3154^e`####314;####3145######3159^e`##3155 60Prqwk#####3138######313<^e`####313;####3139######3147^e`###3145 90Prqwk#####3137######3137#######3137####3137######313:^e`###313:

####################SDUW#E=#Qxpehu#ri#Revhuydwlrqv

40Prqwk#####;;;#######44:<#######539:####4;<#######5:4#######793 60Prqwk#####:49#######4684#######539:####485#######63;#######793 90Prqwk#####854#######4879#######539:####449#######677#######793

QRWHV=#Vwdwlvwlfv#duh#iru#revhuydwlrqv#zkhq#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#srvlwlyh#

+Srvlwlyh,/#revhuydwlrqv#zkhq#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#qhjdwlyh#+Qhjdwlyh,/#dqg#

iru#doo#revhuydwlrqv#+Doo,1#Lqwhuhvw#udwhv#lq#wkh#lqwhuhvw0dgmxvwhg#edvlv#duh#|lhogv#rq#X1V1#

Wuhdvxu|#eloov/#iurp#wkh#Edqn#ri#Fdqdgd1#Vljqlilfdqw#+uhmhfwlrq#ri#wkh#qxoo#k|srwkhvlv#

ri#htxdo#yduldqfhv,#dw#wkh#^e`rqh#shufhqw/#^d`ilyh#shufhqw/#dqg^f`whq#shufhqw#ohyho1#

Wdeoh#6#Vwdqgdug#Ghyldwlrqv#ri#Fkdqjhv#lq#wkh#Xqohdghg#Jdv#Lqwhuhvw0Dgmxvwhg#Edvlv#

##################Gdlo|#Gdwd##############Zhhno|#Gdwd

Frqwudfw###Srvlwlyh###Qhjdwlyh###Doo###Srvlwlyh###Qhjdwlyh###Doo SDUW#D=#Vwdqgdug#Ghyldwlrqv#ri#Fkdqjhv#lq#wkh#Lqwhuhvw0Dgmxvwhg Edvlv

40Prqwk#####3154######3153^f`####3153#####3154#####3154#####3154 60Prqwk#####313:######313;^e`####313;#####313<#####31#44^e`#3143

(7)

90Prqwk#####3136######3137^e`####3137#####3137#####313:^e`##3139

################SDUW#E=#Qxpehu#ri#Revhuydwlrqv

40Prqwk#####856#######4555#######4:78#####438######59:######6:5 60Prqwk#####7:4#######45:7#######4:78#####434######5:4######6:5 90Prqwk#####644#######4767#######4:78#####98#######63:######6:5

QRWHV=#Vwdwlvwlfv#duh#iru#revhuydwlrqv#zkhq#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#srvlwlyh#

+Srvlwlyh,/#revhuydwlrqv#zkhq#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#qhjdwlyh#+Qhjdwlyh,/#dqg#

iru#doo#revhuydwlrqv#+Doo,1#Lqwhuhvw#udwhv#lq#wkh#lqwhuhvw0dgmxvwhg#edvlv#duh#|lhogv#rq#X1V1#

Wuhdvxu|#eloov/#iurp#wkh#Edqn#ri#Fdqdgd1#Vljqlilfdqw#+uhmhfwlrq#ri#wkh#qxoo#k|srwkhvlv#

ri#htxdo#yduldqfhv,#dw#wkh#^e`rqh#shufhqw/#^d`ilyh#shufhqw/#dqg^f`whq#shufhqw#ohyho1#

Wdeoh#7#Udwlrv#ri#wkh#Vwdqgdug#Ghyldwlrq#ri#Shufhqw#Ixwxuhv#Sulfh#Fkdqjhv#

##################Gdlo|#Gdwd###############Zhhno|#Gdwd Frqwudfw####Srvlwlyh####Qhjdwlyh########Srvlwlyh###Qhjdwlyh

########################SDUW#D=#Fuxgh#Rlo

40Prqwk#####31;8^f`#####31;7^e`############31<3######31;;

60Prqwk#####31:<^^d``###31:4^e`############31;8######31:;^e`

90Prqwk#####319<^e`#####319<^e`############31:8######31:4#^e`

########################SDUW#E=#Khdwlqj#Rlo

40Prqwk#####31;:^^d``###31;3^e`############31<6######31;6^^d``

60Prqwk#####31;3^e`#####31:3^e`############31;6######31:8^e`

90Prqwk#####31:3^e`#####3197^e`############31:6^^d``#3199^e`

########################SDUW#F=#Xqohdghg#Jdv

o0Prqwk#####31<4########31;6^e`############31<6######31<3 60Prqwk#####31;5^^d``###31:8^e`############31;<######31:<^^d``

90Prqwk#####31;;########31:3^e`############31;;######31:6^^d``

QRWHV=#Vwdwlvwlfv#duh#iru#revhuydwlrqv#zkhq#wkh#lqwhuhvw0dgmxvwhg#edvlv#lv#srvlwlyh#

+Srvlwlyh,#dqg#iru#revhuydwlrqv#zkhq#wkh#lqwhuhvwhg0dgmxvwhg#edvlv#lv#qhjdwlyh#

+Qhjdwlyh,1#Vljqlilfdqw#+uhmhfwlrq#ri#wkh#qxoo#k|srwkhvlv#ri#htxdo#yduldqfhv,#dw#wkh#

^e`rqh#shufhqw/#^d`ilyh#shufhqw/#dqg^f`whq#shufhqw#ohyho1#

UHIHUHQFHV#

Euhqqdq/#P1M1#+4<8;,1#%Wkh#Vxsso|#ri#Vwrudjh1%#Dphulfdq#Hfrqrplf#Uhylhz#7;=#830

:51#

(8)

Fkr/#G1Z1/#dqg#J1V1#PfGrxjdoo#+4<<3,1#%Wkh#Vxsso|#ri#Vwrudjh#lq#Hqhuj|#Ixwxuhv#

Pdunhwv1%#Wkh#Mrxuqdo#ri#Ixwxuhv#Pdunhwv#43=#9440541#

Idpd/#H#1I1#+4<;7,1#%Iruzdug#dqg#Vsrw#H{fkdqjh#Udwhv1%#Mrxuqdo#ri#Prqhwdu|#

Hfrqrplfv#47=64<066;1#

Idpd/#H1I1/#dqg#N1U1#Iuhqfk#+4<;;,1#%Exvlqhvv#F|fohv#dqg#wkh#Ehkdylru#ri#Phwdov#

Sulfhv1%#Wkh#Mrxuqdo#ri#Ilqdqfh#76=#43:80<61#

Iuhqfk/#N1U1#+4<;9,1#%Ghwhfwlqj#Vsrw#Sulfh#Iruhfdvwv#lq#Ixwxuhv#Sulfhv1%#Mrxuqdo#ri#

Exvlqhvv#8<#+Dsulo/#Sduw#5,=#V6<#0#V871#

Vdpxhovrq/#S1D1#+4<98,1#%Surri#wkdw#Surshuo|#Dqwlflsdwhg#Sulfhv#Ioxfwxdwh#Udqgrpo|1#

%#Lqgxvwuldo#Pdqdjhphqw#Uhylhz#9=#7407<1#

Vhuohwlv/#D1#+4<<4,1#%Udwlrqdo#H{shfwdwlrqv/#Ulvn#dqg#Hiilflhqf|#lq#Hqhuj|#Ixwxuhv#

Pdunhwv1#%#Hqhuj|#Hfrqrplfv#46=#444#0#481#

+4<<5,1#%Pdwxulw|#Hiihfwv#lq#Hqhuj|#Ixwxuhv1%#Hqhuj|#Hfrqrplfv#47=#48308:1#

Vhuohwlv/#D1/#dqg#G1#Edqdfn#+4<<3,1#%Pdunhw#Hiilflhqf|#dqg#Frlqwhjudwlrq=#Dq#

Dssolfdwlrq#wr#Shwurohxp#Pdunhwv1%#Wkh#Uhylhz#ri#Ixwxuhv#Pdunhwv#<=#6:50;31#

Whovhu/#O1J1#+4<8;,1#%Ixwxuhv#Wudglqj#dqg#wkh#Vwrudjh#ri#Frwwrq#dqg#Zkhdw1#%#Mrxuqdo#

ri#Srolwlfdo#Hfrqrp|#99=#5660881#

Zrunlqj/#K1#+4<7<,1#%Wkh#Wkhru|#ri#wkh#Sulfh#ri#Vwrudjh1%#Dphulfdq#Hfrqrplf#

Uhylhz#6<=#45870#45951

Referenzen

ÄHNLICHE DOKUMENTE

The next section describes the opportunistic (political business cycles and rational business cycles) and partisan (partisan and rational partisan) models as well as the exchange rate

Hence, if for instance the gross domestic product of the United States of America is filtered with a maximum duration of 32 quarters (instead of 42 quarters), as it was proposed

My results show, first, that less severe cyclical fluctuations for both series are observed over time and, second, a weakening relationship of these cyclical fluctuations between

Recent research on the leading indicators has focussed on developing new methods based on the developments in economic theory and the time series analysis, formulating more

Both the volatility in real commodity prices and the downward trend experienced over recent years present serious chal- lenges for many developing countries because of the impact

Figure 2 illustrates the variation of the data for each of the 7 sectors 10. Generally, the consumption level increases when moving from the sector of bricks to the sector of

Regarding the status of the business relationship, a high number of products and/or services held simultaneously by a customer, encourages CCBB (Verhoef et al. 2001) due to the

Overall, our main result is that in the case of slow environmental process, the changes in Pigouvian emission prices over the business cycle are likely driven by the current marginal