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What explains the short-term dynamics of the prices of CO2 emissions?
Hammoudeh, Shawkat; Nguyen, Duc Khuong; Sousa, Ricardo M.Using the vector auto-regression (VAR) and the vector error-correction Models (VECM), this paper analyzes the short-term dynamics of the prices of CO2 emissions in response to changes in the prices of oil, coal, natural gas, electricity and carbon emission allowances. The results show that: (i) a positive shock to the crude oil prices has a negative effect on the CO2 allowance prices; (ii) an unexpected increas...
Asymmetric and nonlinear pass-through of energy prices to CO2 emission allowanc...
Hammoudeh, Shawkat; Lahiani, Amine; Nguyen, Duc Khuong; Sousa, Ricardo M.We use the recently developed nonlinear autoregressive distributed lags (NARDL) model to examine the pass-through of changes in crude oil prices, natural gas prices, coal prices and electricity prices to the CO2 emission allowance prices. This approach allows one to simultaneously test the short- and long-run nonlinearities through the positive and negative partial sum decompositions of the predetermined explan...
Energy prices and CO2 emission allowance prices : a quantile regression approach
Hammoudeh, Shawkat; Nguyen, Duc Khuong; Sousa, Ricardo M.We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a substantial drop in the carbon prices when the latter is very high; (ii) changes in the natural gas prices have a neg...
What determines the duration of a fiscal consolidation program?
Agnelllo, Luca; Castro, Vítor; Sousa, Ricardo M.This paper assesses the determinants of the length of fiscal consolidation using annual data for 17 industrial countries over the period 1978-2009. Relying on a narrative approach to identify fiscal consolidation episodes, we show that fiscal variables (such as the budget deficit and the level of public debt) and economic factors (such as the degree of openness, the inflation rate, the interest rate and per cap...
Are there change-points in the likelihood of a fiscal consolidation ending?
Agnelllo, Luca; Castro, Vítor; Sousa, Ricardo M.Building on a narrative approach to identify episodes of fiscal consolidation, data for a group of 17 industrial countries over the period 1978-2009 and both continuous-time and discrete-time duration models, we find evidence suggesting that likelihood of a fiscal consolidation ending increases over time, but only for programs that last less than six years. Additionally, fiscal consolidations tend to last longe...
Fiscal adjustments and income inequality : a first assessment
Agnelllo, Luca; Sousa, Ricardo M.Using a statistical approach to identify fiscal adjustments, we find that fiscal consolidation appears to shorten the income gap. Fiscal austerity plans that succeed in bringing public debt to a sustainable path seem to be more likely to reduce inequality. Expansionary fiscal adjustments are particularly important to promote changes in the income distribution.
Adjusting the U.S. fiscal policy for asset prices : evidence from a TVP--MS fra...
Agnello, Luca; Dufrénot, Gilles; Sousa, Ricardo M.This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability (TVTP) Markovian processes, we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes respond to housing and (to a smaller extent) to stock prices changes during normal times. However, at periods characterized ...
Financial reforms and income inequality
Agnello, Luca; Mallick, Sushanta K.; Sousa, Ricardo M.Using a panel of 62 countries for 1973-2005, we assess the impact of financial reforms on income inequality. We find that removal of policies towards directed credit and excessively high reserve requirements, and improvements in the securities market reduce inequality.
Money demand in the euro area, the US and the UK : assessing the role of nonlin...
Jawadi, Fredj; Sousa, Ricardo M.This paper estimates money demand equations for the euro area, the US and the UK using three different econometric methodologies: (i) a linear model based on a dynamic ordinary least squares (DOLS); (ii) a nonlinear technique based on a quantile regression framework; and (iii) a nonlinear model relying on a smooth-transition regression. The linear model shows that the elasticity of money demand with respect to ...
Modelling money demand : further evidence from an international comparison
Jawadi, Fredj; Sousa, Ricardo M.This paper aims at estimating money demand for the euro area, the US and the UK using a dynamic ordinary least squares estimator (DOLS). Our findings show that: (i) wealth effects on money demand are important in the euro area and the UK; (ii) the impact of changes in the interest rate on real money holdings is negative and small; (iii) goods are a reasonable alternative to money; and (iv) international currenc...
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