Hossein Samiei

International Evidence on the Determinants of Private Saving

A broad set of possible determinants of private saving behavior is examined, using data for a large sample of industrial and developing countries. Both time-series and cross-section estimates are obtained. Results suggest that there is a partial offset on private saving of changes in public saving and (for developing countries) in foreign saving, that demographics and growth are important determinants of private saving rates, and that interest rates and terms of trade have positive, but less robust, effects. Increases in per capita GDP seem to increase saving at low income levels (relative to the United States) but decrease it at higher ones.

The Yen-Dollar Rate: Have Interventions Mattered?

Using daily data for 1995–99, this paper estimates a simple forward looking model of the exchange rate to show that foreign exchange interventions have, on the whole, had small but persistent effects on the yen-dollar rate. Contrary to conventional wisdom, sterilized interventions have mattered. Consistent with conventional wisdom, coordinated interventions have a higher probability of success and move the yen-dollar rate by a larger margin than unilateral interventions. A probit model indicates that both an excessive appreciation and depreciation of the yen provoke interventions, and that interventions occur in clusters—if there is one today, there will likely be another tomorrow.

Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone

Abstract This paper is concerned with the solution and estimation of a simple class of linear rational expectations models with current expectations of the endogenous variables when there are a priori bounds on the dependent variable. We show that for plausible values of the parameters, the model has a unique RE solution. We first consider the exact maximum likelihood estimation of such a limited-dependent rational expectations (LD-RE) model and perform a number of Monte Carlo experiments to shed light on the small sample properties of a number of alternative estimators. The results clearly illustrate the importance of taking proper account of the limited nature of the dependent variable and its expectations in the estimation of the parameters of the LD-RE models. We then extend the analysis to a two-limit situation where the dependent variable is within a band, prove the existence and uniqueness of the RE equilibrium for this case, and present an empirical application to the Deutsche mark/French franc exchange rate within the Exchange Rate Mechanism of the European Monetary System.

Forecasting ultimate resource recovery

Abstract This paper considers Hubberts model for forecasting ultimate resource recovery and its extensions by Kaufmann (1991, Resources and Energy 13, 111–127) and Cleveland and Kaufmann (1991, Energy Journal 12, 17–46). The emphasis of the paper is on econometric and forecasting issues, and it discusses alternative methods of estimating Hubberts model. Using data on oil production in the U.S. lower 48 states, the paper reports the results of estimating the various specifications of the model and its extensions by the maximum-likelihood method, and provides the implied estimates for ultimate resource recovery and their associated standard errors. When economic factors are taken into account the estimates of ultimate resource recovery become state-dependent, and we find that in this case the estimates are higher than those obtained from the various specifications of Hubberts original model. Although the accuracy of the estimates of ultimate recoverable reserves cannot be evaluated before oil reserves are actually exhausted, we examine how the various models estimated over the periods 1926–1985 and 1948–1985 perform in predicting oil production over the 1986–1990 period.

An Analysis of the Determination of Deutsche Mark/French Franc Exchange Rate in a Discrete-Time Target-Zone Model

Following Krugman (1 99 I), recent models of exchange rates within a target zone have paid particular attention to the effect of the band on exchange rate expectations (see, for example, Miller and Weller, I 989 and Froot and Obstfeld, I 989). The basic idea is that the band, as long as it is credible, has a stabilising effect on the exchange rate not only because the authorities, when necessary, would control the fundamentals in order to contain the movements of the exchange rate, but also because expectations are influenced by the band. These studiesby employing the continuous-time stochastic setting of regulated Brownian motion, familiar from option-pricing theory (cf. Merton, 1973), have also made a significant contribution to the theoretical analysis of the exchange rate. The advantage of the continuous-time framework is that, in a multiperiod setting, it makes the analysis of bands algebraically more manageable than a discrete formulation. To illustrate the approach consider the following simple model from the literature:

Limited-dependent rational expectations models with future expectations

Abstract This paper examines limited-dependent rational expectations (LD-RE) models containing future expectations of the dependent variable. Limited dependence is of a two-limit tobit variety which may, for example, arise as a result of a policy of imposing limits on the movement of the dependent variable by means of marginal as well as intramarginal interventions. We show that when the forcing variables are serially independent the model has an analytical solution which can be computed by backward recursion. With serially correlated forcing variables, we discuss an approximate solution method, as well as a numerically exact method that, in principle, can be implemented by stochastic simulation, although in practice it is limited by available computational capacity. The paper discusses some properties of the approximate solutions and reports the results of a limited number of Monte Carlo experiments in order to illustrate the computational feasibility of using the exact solution when the fundamentals are serially independent and the approximate solution when they are serially correlated.

Hysteresis in Exports

This paper presents an empirical examination of the importance of hysteresis in international trade. An econometric model of export determination is developed where the presence of sunk costs causes discontinuous behavior and hysteresis so that individual exporters’ decision to stay in or out of the market depends on the current value of the exchange rate as well as its past history. The aggregate level of exports is then determined by the proportion of exporters that stay in the market. The resulting non-linear model is estimated using data on manufacturing exports for the United States, Germany, and Japan. The paper finds strong evidence in favor of the presence of pricing-to-market and hysteresis only in the case of Japanese exports.

Central Bank Independence and the Conduct of Monetary Policy in the United Kingdom

The U.K. monetary policy framework, which combines inflation targeting with operational independence, provides a suitable arrangement for focused and credible monetary policy. However, potential weaknesses could result from features that have not yet been fully tested: the credibility and transparency of the inflation forecasts, which form the core of policy decisions, have diminished as a result of independence; and the framework could encourage excessive activism and frequent changes in interest rates. Although policy coordination could also suffer from independence, the new partly rules-based fiscal and monetary regimes will promote overall macroeconomic stability.

Have North-South Growth Linkages Changed?

This paper provides preliminary econometric evidence suggesting that the traditional trade-based business cycle linkages between the North and the South have changed. Many countries in the South, in particular in Asia, appear to have become more resilient to cyclical movements in the North, and to have come to play a more significant role in sustaining global activity, in particular during the 1991-93 slowdown. A number of factors may have contributed to these changes: improved domestic policies and more open trade and exchange regimes; closer financial linkages with the North and a substantial increase in capital flows; a marked rise in inter-regional trade; and greater diversification of the exports of the South.

Persistence, seasonality and trend in the UK egg production

This paper discusses the time-series properties of UK egg production in order to provide an empirical analysis of the possible long-run impact of the shock on the industry following the recent incidence of salmonella poisoning. Our analysis shows that although the short-run properties of the UK egg production are consistent with the presence of persistent shocks, a shock duration is unlikely to have large long run efefcts. This result is remarkably robust to the choice of the persistence measure obtained.