Ai, C., Chatrath, A., Song, F., 2006. On the Comovement of Commodity Prices. American Journal of Agricultural Economics, 88(3), 574–588.
Aizenman, J., Marion N., 1991. Policy uncertainty, persistence and growth. NBER Working Paper 3848, National Bureau of Economic Research.
Alexeev, M., Conrad, R., 2009. The Elusive Curse of Oil. The Review of Economics and Statistics, 91(3), 586–598.
- Alwang, J., Siegel, P.B., 1994. Portfolio Models and Planning for Export Diversification: Malawi, Tanzania and Zimbabwe. Journal of Development Studies, 30(2), 405–422.
Paper not yet in RePEc: Add citation now
- Anderson, T.W., Darling, D.A., 1952. Asymptotic theory of certain “goodness-of-fit” criteria based on stochastic processes. Annals of Mathematical Statistics, 23(2), 193–212.
Paper not yet in RePEc: Add citation now
Asche, F., Osmundsen, P., Tveterås, R., 2002. European market integration for gas? Volume flexibility and political risk. Energy Economics, 24(3), 249–265.
Auty R.M., 1988a. Oil-exporters’ disappointing diversification into resource-based industry. The external causes. Energy Policy, 16(3), 230–242.
Auty R.M., 1988b. State enterprise and resource based industry in oil exporting countries. Resources Policy, 14(4), 275–287.
Auty R.M., Gelb, A., 1986. Oil Windfalls in a Small Parliamentary Democracy: Their Impact on Trinidad and Tobago. World Development, 14(9), 1161–1175.
- Auty, R.M., 1990. Resource-Based Industrialization: Sowing the Oil in Eight Developing Countries, Oxford University Press, Oxford.
Paper not yet in RePEc: Add citation now
- Auty, R.M., 2001. Resource Abundance and Economic Development, Oxford University Press, Oxford.
Paper not yet in RePEc: Add citation now
- b - The conditional variance equation The estimation of the proposed specification is based on the maximum likelihood method and involves the algorithm presented in Berndt et al. (1974). As some signs of non-normality are present in the residual series, we employ Bollerslev and Wooldridge’s (1992) quasi-maximum likelihood method to generate consistent standard errors that are robust to non-normality.
Paper not yet in RePEc: Add citation now
Bernanke, B.S., 1983. Irreversibility, uncertainty and cyclical investment. The Quarterly Journal of Economics, 98(1), 85–106.
Berndt, E.R., Hall, B.H., Hall, R.E., Hausmann, J.A., 1974. Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement, 3/4, 653–665.
- Bertinelli, L., Heinen A., Strobl, E., 2009. Export Diversification and Price Uncertainty in Developing Countries: A Portfolio Theory Approach. Working Paper available at SSRN: http://ssrn.com/abstract=1327928.
Paper not yet in RePEc: Add citation now
Blattman, C., Hwang, J., Williamson, J.G., 2007. Winners and losers in the commodity lottery: The impact of terms of trade growth and volatility in the Periphery 1870–1939. Journal of Development Economics, 82(1), 156–179.
Bollerslev, T., 1990. Modelling the coherence in short-run nominal exchange rates: a multivariate generalised ARCH model. The Review of Economics and Statistics, 72(3), 498–505.
Bollerslev, T., Engle, R.F., Wooldridge, J.M., 1988. A Capital Asset Pricing Model with TimeVarying Covariances. The Journal of Political Economy, 96(1), 116–131.
- Bollerslev, T., Wooldridge, J.M., 1992. Quasi maximum likelihood estimation of dynamic models with time varying covariance. Econometric Reviews, 11, 143–172.
Paper not yet in RePEc: Add citation now
- BP, 2011. BP Statistical Review of World Energy, BP, London.
Paper not yet in RePEc: Add citation now
Brainard, W.C., Cooper, R.N., 1968. Uncertainty and Diversification in International Trade. Food Research Institute Studies in Agricultural Economics: Trade and Development. 8: 257-285.
Briec, W., Kerstens, K., Lesourd, J.-B, 2004. Single period Markowitz portfolio selection, performance gauging and duality: A variation on the Luenberger shortage function. Journal of Optimization Theory and Applications, 120(4), 1–27.
- Brock, W.A., Dechert, W.D., Scheinkman, J.A., LeBaron, B., 1996. A test for independence based on the correlation dimension. Econometric Reviews, 15, 197–235.
Paper not yet in RePEc: Add citation now
- Brock, W.A., Hsieh, D.A., LeBaron, B., 1993. Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence. MIT Press, Cambridge (MA).
Paper not yet in RePEc: Add citation now
- Brüggemann, R., Lütkepohl, H., 2001. Lag selection in subset VAR models with an application to a US monetary system, in: Friedmann, R., Knüppel, L., Lütkepohl, H., (Eds.), Econometric Studies: A Festschrift in Honour of Joachim Frohn. LIT, Münster, pp. 107–128.
Paper not yet in RePEc: Add citation now
- Bunn, D.W., 2004. Modelling Prices in Competitive Electricity Markets, Wiley, London.
Paper not yet in RePEc: Add citation now
- Caceres, L.R., 1979. Economic Integration and Export Instability in Central America: A Portfolio Model. Journal of Development Studies, 15(3), 141–153.
Paper not yet in RePEc: Add citation now
Corden, W.M., Neary, J.P., 1982. Booming Sector and De-Industrialisation in a Small Open Economy. The Economic Journal, 92(368), 825–848.
Davis, J., Ossowski, R., Daniel, J., Barnett, S., 2001. Stabilization and Savings Funds for Nonrenewable Resources Experience and Fiscal Policy Implications. Occasional Paper 205. International Monetary Fund, Washington, DC.
Deb, P., Trivedi, P.K., Varangis, P., 1996. The Excess Comovement of Commodity Prices Reconsidered. Journal of Applied Econometrics, 11, 275–91.
- Devlin, J., Lewin, M., 2005. Managing Oil Booms and Busts in Developing Countries, in: Aizenman, J., Pinto, B. (Eds.), Managing economic volatility and crises: a practitioner’s guide. Cambridge University Press, Cambridge, pp. 186–209.
Paper not yet in RePEc: Add citation now
Doornik, J.A., Hansen, H., 2008. An omnibus test for univariate and multivariate normality. Oxford Bulletin of Economics and Statistics, 70, 927–939 Engle, R.F., 1982. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987–1007.
Engle, R.F., 2002. Dynamic Conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20, 339–350.
Engle, R.F., Kroner, K.F., 1995. Multivariate simultaneous generalized ARCH. Econometric Theory, 11, 122–150.
Engle, R.F., Sheppard, K., 2001. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH. NBER Working Paper 8554, National Bureau of Economic Research.
ESMAP, 1997. Commercialization of marginal gas fields. Report no. 201/97. Joint UNDP/World Bank Energy Sector Management Assistance Programme. The World Bank. Washington, D.C. ESMAP, 2004. Strategic Gas Plan for Nigeria. Report, February 2004. Joint UNDP/World Bank Energy Sector Management Assistance Programme. The World Bank. Washington, D.C. Frankel, J.A., 2010. The Natural Resource Curse: A Survey. NBER Working Paper 15836, National Bureau of Economic Research.
- Gelb, A., 1988. Oil Windfalls: Blessing or Curse, Oxford University Press for the World Bank, New York.
Paper not yet in RePEc: Add citation now
- Geman, H., 2005. Commodities and Commodity Derivatives, Wiley, London.
Paper not yet in RePEc: Add citation now
Gonzalo, J., 1994. Comparison of five alternative methods of estimating long-run equilibrium relationships. Journal of Econometrics, 60(1-2), 203–233.
Hausmann, R., Rigobon, R., 2003. An Alternative Interpretation of the “Resource Curse”: Theory and Policy Implications, in: Davis, J.M, Ossowski, R., Fedelino, A. (Eds.), Fiscal Policy Formulation and Implementation in Oil-Producing Countries, IMF Press, Washington, D.C. Hassan, M. F., 1975. Economic growth and employment problems in Venezuela: An analysis of an oilbased economy, Praeger, New-York.
- Hirschman, A.O., 1958. The strategy of economic development, Yale University Press, New Haven CT.
Paper not yet in RePEc: Add citation now
- Horst, R., Tuy, H., 1996. Global optimization: Deterministic Approaches, third ed., Springer-Verlag, Berlin.
Paper not yet in RePEc: Add citation now
Hsieh, D.A., 1991. Chaos and nonlinear dynamics: application to financial markets. Journal of Finance, 46, 1839–1877.
- Humphreys, M., Sandbu, M.E., 2007. The Political Economy of Natural Resource Funds, in: Humphreys, M., Sachs, J., Stiglitz, J. (Eds.), Escaping the Resource Curse. Columbia University Press, New York, , pp. 194–234.
Paper not yet in RePEc: Add citation now
- IEA (International Energy Agency), 2010. World Energy Outlook 2010. OECD/IEA, Paris.
Paper not yet in RePEc: Add citation now
- In this paper, attention is focused on a particular specification within the family of correlation multivariate GARCH models: the Constant Conditional Correlation (CCC) model proposed by Bollerslev (1990). In the CCC model, a time invariant correlation matrix is assumed, i.e., t R R = , t ∀ . Thanks to this assumption, a consistent estimation can be obtained in two steps (Bollerslev,
Paper not yet in RePEc: Add citation now
Isham, J., Pritchett, L., Woolcock, M., Busby, G., 2005. The Varieties of Resource Experience: Natural Resource Export Structures and the Political Economy of Economic Growth. World Bank Economic Review, 19(2), 141–174.
Johansen, S., 1988. Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control, 12(2-3), 231–254.
Johansen, S., 1995. Likelihood-Based Inference in Cointegrated Vector Autogressive Models, Oxford University Press, Oxford.
Johansen, S., Juselius, K., 1990. Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169–210.
Klein, B., Crawford, R.G., Alchian, A.A., 1978. Vertical Integration, Appropriable Rents, and the Competitive Contracting Process. Journal of Law and Economics, 21(2), 297–326.
- Labys, W.C., Lord, M.J., 1990. Portfolio Optimisation and the Design of Latin American Export Diversification Policies. Journal of Development Studies, 26(2), 260–277.
Paper not yet in RePEc: Add citation now
Leybourne, S.Y., Lloyd, T.A., Reed G.V., 1994. The excess comovement of commodity prices revisited. World Development, 22(11), 1747–1758.
- Love, J., 1979. A model of trade diversification based on the Markowitz model of portfolio analysis. Journal of Development Studies. 15(2), 233–241.
Paper not yet in RePEc: Add citation now
Love, J., 1983. Concentration, diversification and earnings instability: Some evidence on developing countries’ exports of manufactures and primary products. World Development, 11(9), 787–793.
Love, J., 1986. Commodity concentration and export earnings instability: A shift from cross-section to time series analysis. Journal of Development Economics. 24(2), 239–248.
- Lütkepohl, H., 2005. New Introduction to Multiple Time Series Analysis, Springer-Verlag, Berlin.
Paper not yet in RePEc: Add citation now
MacKinnon, J.G., 1996. Numerical Distribution Functions for Unit Root and Cointegration Tests. Journal of Applied Econometrics, 11, 601–618.
- Markowitz, H.M., 1952. Portfolio selection. The Journal of Finance, 7(1), 77–91.
Paper not yet in RePEc: Add citation now
- Markowitz, H.M., 1959. Portfolio selection: efficient diversification of investments, Wiley, New York.
Paper not yet in RePEc: Add citation now
Mendoza, E.G., 1997. Terms-of-Trade Uncertainty and Economic Growth. Journal of Development Economics, 54(2), 323–356.
- MHEB, 2008. Estrategia Boliviana de Hidrocarburos. Ministerio de Hidrocarburos y Energía de Bolivia, La Paz – Bolivia.
Paper not yet in RePEc: Add citation now
Morey, M.R., Morey, R.C., 1999. Mutual Fund Performance Appraisals: A Multi-Horizon Perspective with Endogenous Benchmarking, Omega, 27, 241–258.
- Morrison, D.F., 1967. Multivariate Statistical Methods, McGraw-Hill Book Company, New York.
Paper not yet in RePEc: Add citation now
Owens, T., Wood A., 1997. Export-oriented industrialization through primary processing? World Development, 25(9), 1453–1470.
- Pearson, S.R., 1970. Petroleum and the Nigerian economy, Stanford University Press, Stanford CA.
Paper not yet in RePEc: Add citation now
Perold, A.F., 1984. Large-Scale Portfolio Optimization. Management Science, 30(10), 1143–1160.
Pindyck, R.S., 1991. Irreversibility, uncertainty, and investment. Journal of Economic Literature, 129(3), 1110–1148.
Pindyck, R.S., Rotemberg, J., 1990. The excess co-movement of commodity prices. The Economic Journal, 100(403), 1173–1189.
Prebisch, R., 1950. The Economic Development of Latin America and Its Principal Problems, United Nations, New York.
Roemer, M., 1979. Resource-based industrialization in the developing countries : A survey. Journal of Development Economics, 6(2), 163–202.
Roques, F.A., Newbery, D.M., Nuttall, W.J., 2008. Fuel mix diversification incentives in liberalized electricity markets: a mean-variance portfolio theory approach. Energy Economics, 30(4), 1831–1849.
- Rosenstein-Rodan, P. 1943. Problems of industrialisation of Eastern and South-Eastern Europe. The Economic Journal, 53(210/211), 202–211.
Paper not yet in RePEc: Add citation now
- Ross, M.L., 1999. The Political Economy of the Resource Curse. World Politics, 51(2), 297–322.
Paper not yet in RePEc: Add citation now
Sachs, J.D., Warner, A.M., 1995. revised 1997, 1999. Natural resource abundance and economic growth. NBER Working Paper 5398, National Bureau of Economic Research, Cambridge, MA.
- Sahinidis, N.V., 1996. BARON: A general purpose global optimization software package. Journal of Global Optimization, 8(2), 201–205.
Paper not yet in RePEc: Add citation now
- Singer, H.W, 1950. US Foreign Investment in Underdeveloped Areas: The Distribution of Gains between Investing and Borrowing Countries. American Economic Review Papers and Proceedings, 40(2), 473–485.
Paper not yet in RePEc: Add citation now
- So, given that (i) the number of combinations that are worth being considered is bounded, and (ii) there exists at least one combination of discrete parameters that provides a real valued solution, an enumeration of the solutions of ( ) , , NLPn δ ς for the various combinations of discrete parameters provides the global solution to the problem (P1). Q.E.D. 17 Dedicated algorithms have recently been proposed to solve such a DC problem. For example, Xue et al. (2006) have constructed a branch-and-bound scheme using linear underestimating functions of the univariate concave cost functions aimed at creating an outer underestimate relaxation of the original problem. Appendix B In this Appendix, we detail the data used in our numerical analyses.
Paper not yet in RePEc: Add citation now
- Stevens, P., 2003. Resource Impact: curse or blessing? A literature survey. Journal of Energy Literature, 9(1), 3–42.
Paper not yet in RePEc: Add citation now
- Table C-10. Diagnostic checks of the conditional mean equations Note: JB is Jarque-Bera multivariate statistic based on Doornik and Hansen (2008). All the other tests are those described in Lütkepohl (2005): LM(x) is the multivariate Breusch-Godfrey LM-test for the xth order autocorrelation, LB(y) is the multivariate portmanteau test for residual autocorrelation up to the order y, and ARCH(3) is the multivariate LM-test for ARCH effect with 3 lags.
Paper not yet in RePEc: Add citation now
- Table C-12. CCC-GARCH model estimates and diagnostic test results Note: z-statistics based on robust standard errors are in [ ]. Asterisks indicate significance at 0.10* , 0.05** and 0.01*** levels, respectively. 2 (15) is the Bartlett statistic associated with a likelihood ratio test of the null hypothesis that the correlation matrix is equal to the identity matrix described in Morrison (1967, p. 113). The associated p-value is in brackets.
Paper not yet in RePEc: Add citation now
- Tawarmalani, M., Sahinidis, N.V., 2004. Global optimization of mixed-integer nonlinear programs: A theoretical and computational study. Mathematical Programming, 99(3), 563–591.
Paper not yet in RePEc: Add citation now
van der Ploeg, F., 2011. Natural Resources: Curse or Blessing? Journal of Economic Literature, 49(2), 366–420.
van der Ploeg, F., Poelhekke, S., 2009. Volatility and the Natural Resource Curse. Oxford Economic Papers, 61(4), 727–760.