consumer market segments for biofortified iron beans in rwanda evidence from a hedonic testing study an understanding of consumer market segments is important for efficient and effective targeting of new technologies such as biofortified foods in this paper we use cluster analysis to identify distinct consumer segments in rwanda for four biofortified iron bean varieties data on consumer liking of various sensory attributes of beans was collected by using a 7 point hedonic scale through the application of home use and central location tests implemented in two rural and two urban locations cluster analysis reveals the existence of several distinct consumer segments in each one of the four study locations further analysis is conducted by using multinomial probit and logit models to predict consumer segment membership based on the consumer characteristics results reveal that depending on the location consumer s source of income and whether or not they received information about nutritional benefits of the iron bean varieties have a bearing on their preference of these varieties the paper presents a profile of each one of the consumer market segments identified to assist targeting of various iron bean delivery marketing and promotion efforts in rwanda

the out of sample success of term structure models as exchange rate predictors a step beyond abstract a large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate however there is evidence that the term structure of forward premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display nonlinearities this paper proposes a term structure forecasting model of exchange rates based on a regime switching vector equilibrium correction model which is novel in this context our model significantly outperforms both a random walk and to a lesser extent a linear term structure vector equilibrium correction model for four major dollar rates across a range of horizons

measuring rural consumers willingness to pay for quality labels using experimental auctions the case of aflatoxin free maize in kenya aflatoxins are a common health hazard in tropical countries especially in rural areas new methods to reduce aflatoxin levels in food staples as well as cheaper test methods are being developed but consumers willingness to pay wtp for these improvements is unknown a survey was conducted with a representative sample of rural consumers 1 344 in total 63 women in all major maize production zones of kenya the survey included an experimental auction with maize products of different qualities the results showed that many rural consumers were aware of aflatoxins but few understood their health risks respondents were willing to pay a premium for maize tested for aflatoxins and labeled but asked a high discount for maize that was visibly contaminated with moldy grain the premium was higher for respondents with education and in regions with aflatoxicosis outbreaks knowledge of aflatoxins substantially reduced the overall wtp but did not increase the wtp for tested maize welfare analysis indicates that mandatory testing would result in substantial benefits if the cost of testing can be lowered to below the premium

the behavior of foreign exchange rates the analysis of the distribution of foreign exchange rate changes provides a description of the behavior of foreign exchange rates and its determining underlying process the application of empirical methodologies or further theoretical developments is limited by the nature of this distribution in this paper the empirical analysis of major currencies during the flexible exchange rate period suggests that there is no unique distribution representing the behavior of the foreign exchange rate this however is determined both by foreign exchange management policies and the fundamental economic forces

answering the skeptics yes standard volatility models do provide accurate forecasts a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using arch and stochastic volatility models while most of these studies have documented highly significant in sample parameter estimates and pronounced intertemporal volatility persistence traditional ex post forecast evaluation criteria suggest that the models provide seemingly poor volatility forecasts contrary to this contention we show that volatility models produce strikingly accurate interdaily forecasts for the latent volatility factor that would be of interest in most financial applications new methods for improved ex post interdaily volatility measurements based on high frequency intradaily data are also discussed

currency preferences and the australian dollar abstract we investigate currency substitution and currency complementarity in the case of the australian dollar data spanning 1984 2003 contain evidence of the australian dollar s substitution for the deutschmark and complementarity with the yen and the us dollar consistent with the theory that international variables will in general affect the demand for domestic money atemporally nonseparable preferences also give rise to the possibility of third currency effects our regressions find some evidence of these for example a rise in the us federal funds rate has been associated with rises in the value of the australian dollar against the mark and yen controlling for changes in other interest rates and in money supplies and real outputs

profitability of time series momentum abstract we propose a continuous time heterogeneous agent model consisting of fundamental momentum and contrarian traders to explain the significant time series momentum we show that the performance of momentum strategy is determined by both time horizon and the market dominance of momentum traders specifically when momentum traders are more active in the market momentum strategies with short long time horizons stabilize destabilize the market and meanwhile the market under reacts over reacts in short run long run this provides profit opportunity for time series momentum strategies with short horizons and reversal with long horizons when momentum traders are less active in the market they always lose the results provide an insight into the profitability of time series momentum documented in recent empirical studies

what explains global exchange rate movements during the financial crisis abstract a striking and unexpected feature of the financial crisis has been the sharp appreciation of the us dollar against virtually all currencies globally the paper finds that negative us specific macroeconomic shocks during the crisis have triggered a significant strengthening of the us dollar rather than a weakening macroeconomic fundamentals and financial exposure of individual countries are found to have played a key role in the transmission process of us shocks in particular countries with low fx reserves weak current account positions and high direct financial exposure vis a vis the united states have experienced substantially larger currency depreciations during the crisis overall and to us shocks in particular

testing the efficiency of the canadian u s exchange market under the assumption of no risk premium the efficiency of the canadian u s exchange market for the current float is examined more extensively than previously semi strong form tests which admit the lagged spot rate as a predictor are considered in addition to the standard weak form test these stronger tests reject the joint null hypothesis of an efficient exchange market and no risk premium for the period ending in october 1976 although not for the entire period for almost every year the current spot rate provided a better forecast of the future spot rate than did the current forward rate there is now an extensive empirical literature on testing the efficiency of various foreign exchange markets see 16 for a survey yet almost all of these tests are weak form tests or tests of the bias of the forward exchange rate as a predictor of the future spot rate such tests in the canadian u s exchange market can be found in the work of porter 20 eastman 5 kaserman 10 kohihagen 11 cornell 3 and levich 14 for the canadian float of the 1950s porter 20 and kaserman 10 found that one could not reject the unbiasedness of the forward rate eastman 5 and kohlhagen 11 rejected the unbiasedness of the forward rate for the floating period although not for the subsequent fixed period but their use of overlapping contracts means that their standard errors are biased cornell 3 and levich 14 found that in terms of the root meansquared error criterion the lagged spot rate and the lagged forward rate predicted the current spot rate equally well for more recent periods this paper examines the efficiency of the canadian u s exchange market for the current float july 1970 to december 1978 in a more extensive way than it has been previously examined from the weak form test the paper proceeds to two semi strong form tests which admit the lagged spot rate as a possible predictor throughout the paper various subperiods are considered in addition to the period as a whole

the caloric costs of culture evidence from indian migrants anthropologists have long documented substantial and persistent differences across social groups in the preferences and taboos for particular foods one natural question to ask is whether such food cultures matter in an economic sense in particular can culture constrain caloric intake and contribute to malnutrition to answer this question i first document that inter state migrants within india consume fewer calories per rupee of food expenditure compared to their non migrant neighbors even for households with very low caloric intake i then form a chain of evidence in support of an explanation based on culture that migrants make nutritionally suboptimal food choices due to cultural preferences for the traditional foods of their origin states first i focus on the preferences themselves and document that migrants bring their origin state food preferences with them when they migrate second i link together the findings on caloric intake and preferences by showing that the gap in caloric intake between locals and migrants is related to the suitability and intensity of the migrants origin state food preferences the most adversely affected migrants households in which both husband and wife migrated to a village where their origin state preferences are unsuited to the local price vector would consume 7 percent more calories if they possessed the same preferences as their neighbors

forecasting the term structure of volatility of crude oil price changes this is a pioneering effort to test the comparative performance of two competing models for out of sample forecasting the term structure of volatility of crude oil price changes employing both symmetric and asymmetric evaluation criteria under symmetric error statistics our empirical model using the estimated growth factor of volatility through time is overall superior and it beats in most cases the benchmark model of the square root of time t for holding periods between one and 250 days under asymmetric error statistics if over prediction under prediction of volatility is undesirable the empirical benchmark model is consistently superior relative performance of the empirical model is much higher for holding periods up to fifty days

assessing credit risk in a financial institution s off balance sheet commitments the first part of this paper presents a general approach to valuing a financial institution s contracts when there is credit risk the approach uses contingent claims pricing theory and is particularly appropriate for an off balance sheet contract such as a swap that can have either a positive or a negative value to the counterparty the second part of the paper extends the analysis by considering the problem faced by bank supervisory authorities of determining capital requirements for off balance sheet contracts

the distribution of foreign exchange price changes trading day effects and risk measurement this study investigates the nature of price changes in a variety of major and minor foreign exchange markets the results suggest that the log of price changes over one trading day intervals seems to follow a non normal stable distribution function different measures of location and to lesser extent scale are present for different days of the week dollar denominated price changes are high on mondays and wednesdays and low on thursdays and fridays for all currencies the wednesday thursday result is consistent with the settlement procedures used in foreign exchange transactions in the dollar the friday monday result is consistent with an increase in demand for the dollar prior to the weekend this study offers some previously unavailable results on the nature of price changes in a certain set of speculative markets in particular this is a study of the distributional characteristics of daily and weekly price changes for a number of major and minor foreign exchange markets the results document the existence of non normal stable distributions for price changes in foreign exchange markets these price change distributions differ by day of the week in ways that are only partly attributable to the institutional structure of the market the results of the study are interpreted within the context of understanding how foreign exchange markets operate and within the context of prior studies of stock market data concerned with summarizing the probability distribution of price changes for different intervals including days of the week since bachelier s 1 original treatise that contained the proposition that speculative market prices follow a process that could be described by a normal distribution there have been numerous alternative attempts to describe the stochastic processes which characterize speculative market prices these studies have not resulted in any generalized description of the probability distribution of price changes in such markets indeed the evidence suggests substantial differences in the process among various types of financial instruments the failure to achieve consensus can be traced to the lack of robustness in the statistical procedures employed to estimate processes and to differences in the underlying institutional or economic arrangements which are unique to that market the possibility of differences in the information set used to assess value or differences in technology for transmitting information makes it important to secure additional

preference free optimal hedging using futures abstract this paper provides an alternative formulation and proof of the conditions under which optimal hedge ratios are independent of risk preference and points out that the conditions are satisfied by a wide class of models of spot and futures returns

information branding certification and consumer willingness to pay for high iron pearl millet evidence from experimental auctions in maharashtra india abstract in this paper we use hedonic testing methods adopted from food science literature and the becker degroot marschak mechanism adopted from economic valuation literature to estimate consumer demand for biofortified high iron pearl millet hipm in maharashtra india unlike biofortification with provitamin a biofortification with minerals such as iron and zinc does not change the color or the appearance of the biofortified crop therefore we test the impact of both nutrition information and branding and certification as well as the nature of the brand and of the certifying authority state level versus international on consumer demand for hipm we find that even in the absence of nutrition information consumers assign a small but significant premium to the hipm variety relative to the local variety this is consistent with consumers more favorable rating of the sensory characteristics of the high iron variety nutrition information on the health benefits of hipm increases this premium substantially and regression analysis reveals that consumers prefer international branding and international certification authority to their state level counterparts

returns synchronization and daily correlation dynamics between international stock markets the use of close to close returns underestimates returns correlation because international stock markets have different trading hours with the availability of 16 00 london time stock market series we find dynamics of daily correlation and covariance estimated using two non synchroneity adjustment procedures to be substantially different from their synchronous counterparts conditional correlation may have different signs depending on the model and data type used other findings include volatility spillover from the us to the uk and france and a reverse spillover which is not documented before also unlike previous findings we found the increase in daily correlation is prominent only under extremely adverse conditions when a large negative return has been registered

conditional variance and the risk premium in the foreign exchange market abstract we investigate the existence of a risk premium in the foreign exchange market based on the conditional variance of market forecast errors the forecast errors are assumed to follow the arch process introduced by engle 1982 estimation and diagnostic testing of the model are discussed and results are presented for the currencies of the united kingdom france germany japan and switzerland

do momentum based strategies still work in foreign currency markets this paper examines the performance of momentum trading strategies in foreign exchange markets we find the well documented profitability of momentum strategies during the 1970s and the 1980s has continued throughout the 1990s our approach and findings are insensitive to the specification of the trading rule and the base currency for analysis finally we show that the performance is not due to a time varying risk premium but rather depends on the underlying autocorrelation structure of the currency returns in sum the results lend further support to prior momentum studies on equities the profitability to momentum based strategies holds for currencies as well

consumer acceptability of yellow maize products in zimbabwe abstract this study analyzes consumers awareness of and attitudes towards yellow maize products in zimbabwe and suggests intervention strategies that will ensure increased production and consumption of the crop which is rich in provitamin a to help prevent the incidence of vitamin a deficiency prevalent among vulnerable groups data from 360 randomly selected rural and urban households show that yellow maize is known to all but few are aware of its nutritional qualities or consume it the main source of supply is imported food aid rich in oils carotenoids and fructose yellow maize easily undergoes chemical changes to produce unacceptable organoleptic properties or bad taste if poorly handled during importation these two factors are responsible for it being perceived inferior to white maize by consumers quality assurance during importation can improve consumer confidence but a long term strategy will be to vigorously promote domestic production of yellow maize varieties rich in high levels of carotene that meet the preferences of consumers drawing from a probit model regression analysis nutritional education can potentially promote yellow maize consumption especially if targeted at low income households domestic production and consumption of yellow maize will decrease vitamin a deficiency among vulnerable groups and improve food insecurity through reduced grain prices and increased incomes for farmers these results draw attention to the need for policy makers in developing countries to review their agricultural policies to ensure that they do not undermine the local production and consumption of nutritionally valuable crops

an evaluation of volatility forecasting techniques the existing literature contains conflicting evidence regarding the relative quality of stock market volatility forecasts evidence can be found supporting the superiority of relatively complex models including arch class models while there is also evidence supporting the superiority of more simple alternatives these inconsistencies are of particular concern because of the use of and reliance on volatility forecasts in key economic decision making and analysis and in asset option pricing this paper employs daily australian data to examine this issue the results suggest that the arch class of models and a simple regression model provide superior forecasts of volatility however the various model rankings are shown to be sensitive to the error statistic used to assess the accuracy of the forecasts nevertheless a clear message is that volatility forecasting is a notoriously difficult task

are exchange rate changes normally distributed abstract although assumed to be normal daily returns in reality are leptokurtic monthly returns however are shown to be more normally distributed evidence was found of dependence on consecutive daily price changes which may be an explanation for the leptokurtosis

the analytic pricing of asymmetric defaultable swaps swaps where both parties are exposed to credit risk still lack convincing pricing mechanisms this article presents a reduced form model where the event of default is related to structural characteristics of each party the cash flows submitted to credit risk are identified before the swap is priced analytical pricing formulas for interest rate and currency swaps are computed using a gaussian model for risky bonds currency swaps exhibit additional correlation risk the benefits from netting depend on the balance between exposures and market conditions in valuation we show that sources of credit risk asymmetries are also likely to impact on credit spreads

inherited trust and growth this paper develops a new method to uncover the causal effect of trust on economic growth by focusing on the inherited component of trust and its time variation we show that inherited trust of descendants of us immigrants is sig nificantly influenced by the country of origin and the timing of arrival of their forebears we thus use the inherited trust of descendants of us immigrants as a time varying measure of inherited trust in their country of origin this strategy allows to identify the sizeable causal impact of inherited trust on worldwide growth during the twentieth century by controlling for country fixed effects jel n11 n12 n31 n32 o47 z13

are consumers in developing countries willing to pay more for micronutrient dense biofortified foods evidence from a field experiment in uganda vitamin a deficiency is a major health problem in africa and in many other developing countries biofortified staple crops that are high in pro vitamin a have the potential to reduce the prevalence of vitamin a deficiency using a choice experiment with the real product in uganda we quantify the magnitude of the premium or discount in consumers willingness to pay wtp that may be associated with it results suggest that taste plays an important role in consumer acceptance and the provision of nutrition information does translate into substantial premiums for the biofortified variety there is a substantial hypothetical bias in the wtp for the new varieties and while cheap talk mitigates this bias it does not eliminate it

the statistical distribution of exchange rates empirical evidence and economic implications the abundant evidence that changes in exchange rates have distributions with fatter tails than the normal distribution has led researchers to consider non normal distributions including the student the stable paretian and mixtures of distributions this paper compares the empirical fits of three non normal candidates and the normal distribution for daily changes in the logarithms of exchange rates using maximum likelihood estimation of the parameters and chi square goodness of fit tests the student and mixture of two normals provide the best fits but there is evidence that the distribution parameters may vary over time

how do exchange rates co move a study on the currencies of five inflation targeting countries abstract this paper does three things first it explores the type of asymmetry in exchange rate correlation for five inflation targeting countries we show their currencies co move more closely with the currencies of some influential foreign countries during joint appreciations than joint depreciations against a world currency second it establishes empirically the linkage between interest rate differentials and exchange rate correlation we find evidence that both widening and narrowing interest rate differentials will reduce the correlation third it proposes a new version of the asymmetric dynamic conditional correlation model the model proves to be capable of providing great insight into the two issues investigated

volatility behavior of oil industrial commodity and stock markets in a regime switching environment abstract this study supplements previous regime switching studies on wti crude oil and finds two possible volatility regimes for the strategic commodity prices of brent oil wti oil copper gold and silver and the s p 500 index but with varying high to low volatility ratios the dynamic conditional correlations dccs indicate increasing correlations among all the commodities since the 2003 iraq war but decreasing correlations with the s p 500 index the commodities also show different volatility persistence responses to financial and geopolitical crises while the s p 500 index responds to both financial and geopolitical crises implications are discussed

exchange rates innovations and forecasting in this paper an ex post forecasting experiment is performed on the basis of a version of the news model of exchange rate determination for several exchange rates the news formulation of monetary exchange rate models leads to relatively accurate ex port exchange rate forecasts at a number of forecasting horizons for a majority of the exchange rates studied however the results do not compare favorably with those obtained from the naive random walk forecasting rule thus the findings in this article provide mixed evidence with regard to a suggestion in the literature that the finding by meese and rogoff that structural models do not even outperform the random walk in an ex post forecasting experiment may be due to the fact that these models were not properly tested in a news framework the forecasting performance of structural exchange rate models has recently received considerable attention meese and rogoff 1983a b have studied the forecasting performance of several important structural exchange rate models while in sample studies of these models usually show quite satisfactory fits meese and rogoff s out of sample results based on instrumental variables estimates were not very encouraging the structural models failed to improve upon the simple random walk forecasting rule even though the models forecasts were based

combining participatory crop trials and experimental auctions to estimate farmer preferences for improved common bean in rwanda abstract participatory crop improvement raises the prospects for developing seed varieties that meet the needs of subsistence farmers but may face challenges regarding preference elicitation particularly in complicated policy environments we integrate binding experimental auctions with participatory variety selection to elicit farmers preferences for improved common bean varieties in rwanda we find that auctions reveal farmer preferences more accurately than stated nonbinding rankings in this context and that participatory on farm crop research is essential to understanding how farmers evaluate tradeoffs between multiple crop attributes we also find that farmers highly value intercrop yield despite government policy that encourages farmers to monocrop

consumer response to maize market liberalization in urban kenya abstract the elimination of consumer food subsidies associated with structural adjustment in africa has been widely thought to exacerbate food insecurity for low income consumers this article determines how urban maize consumption and expenditure patterns have responded to the liberalization of the maize and maize meal markets in kenya the article decomposes changes in maize meal prices attributable to changes in maize grain prices and maize milling margins results are obtained through two random household surveys in nairobi the first having been conducted before and the second after liberalization the main finding of the study is that maize market liberalization has conferred substantial benefits to urban consumers the combined saving to nairobi consumers from lower maize milling costs has been roughly us 10 1 million each year about the same amount that the government of kenya allocates annually to agricultural research results also indicate that the former consumer subsidies conferred through the official marketing channel were untargeted and actually inversely related to household income the subsidies on sifted meal also served to entrench a non competitive market structure that inhibited the development of a lower cost informal milling system these findings are consistent with research results from other eastern and southern african countries showing that the negative effects of eliminating food subsidies in the state marketing system have been largely compensated by relaxing controls on private grain trade which has increased consumers access to less expensive grain products distributed through informal markets

deutsche mark dollar volatility intraday activity patterns macroeconomic announcements and longer run dependencies this paper provides a detailed characterization of the volatility in the deutsche mark dollar foreign exchange market using an annual sample of five minute returns the approach captures the intraday activity patterns the macroeconomic announcements and the volatility persistence arch known from daily returns the different features are separately quantified and shown to account for a substantial fraction of return variability both at the intraday and daily level the implications of the results for the interpretation of the fundamental driving forces behind the volatility process is also discussed the efficient market hypothesis contends that financial asset prices provide rational assessments of fundamental values and future payoffs by implication price changes should reflect the arrival and processing of all relevant new information however the proportion of return variability that can be ascribed to public news announcements is low for example cutler poterba and summers 1989 find that even the largest daily price changes in the stock market generally cannot be associated with any significant economic news 1 moreover proxies for the flow of public information e g the number of news items released by reuter s news service berry and hiowe 1994 or dow jones company mitchell and mulherin 1994 explain little of the overall variation thus if private information is ruled out proponents of rational price formation have to assert the existence of important news items

was it real the exchange rate interest differential relation over the modern floating rate period in this paper we explore the relationship between real exchange rates and real interest rate differentials in the united states germany japan and the united kingdom contrary to theories based on the joint hypothesis that domestic prices are sticky and monetary disturbances are predominant we find little evidence of a stable relationship between real interest rates and real exchange rates we consider both in sample and out of sample tests one hypothesis that is consistent with our findings is that real disturbances such as productivity shocks may be a major source of exchange rate volatility this paper investigates the empirical relationship between major currency real exchange rates and real interest rates over the modern post march 1973 flexible rate experience the exchange rates examined here include the dollar mark dollar yen and dollar pound rates our two major findings are as follows first the data do not indicate a strong correspondence between real interest rate differentials short term or long term and real exchange rates this finding appears to conflict with the predictions of most monetary and portfolio balance models of exchange rate determination though the conflict can be substantially reconciled if aggregate disturbances are primarily real in nature i e changes in productivity tastes etc it is true that in many cases the sign of the estimated exchange rate interest rate differential relationship is consistent with the possible predominance of financial market disturbances but the relationship is not stable enough to be statistically significant second although one does find some evidence of a unit root in both real exchange rates and long term but not shortterm real interest differentials these two series do not appear to be linearly cointegrated hence the nonstationarity or near nonstationarity in the two series cannot be attributed to the same factor in section i we briefly describe a class of small scale monetary models of exchange rate determination the importance of this class of models for empirical work derives from its strong predictions about how the exchange rate will move

the sub gaussian distribution of currency futures stable paretian or nonstationary this study conducts an empirical test to examine wh ether the observed non normal distribution of currency futures price changes isgenerated by the relationship between maturity and variability in general the author finds that the relationship between maturity and vari ability is not suff icient to explain the observed non normality although some amount of non statio narity is present in the scale and in the characteristic exponent the non norma l stable paretian distribution adequately describes futures price changes for mo st currencies and most contracts during the period covered in thisstudy copyright 1987 by mit press

on crises contagion and confusion abstract since the tequila crisis of 1994 1995 the asian flu of 1997 and the russian virus of 1998 economists have been busy producing research on the subject of contagion yet few studies have examined empirically through which channels the disturbances are transmitted if there are indeed fundamental reasons for the spillovers we observe we attempt to fill this gap by analyzing how both trade links and the largely ignored financial sector links influence the pattern of fundamentals based contagion we examine the role of international bank lending the potential for cross market hedging and bilateral and third party trade in the propagation of crises

macroeconomics and a bit more reality macroeconomics in its widest sense is a topic which is too diverse to be usefully discussed in a single article i will therefore take a very narrow view of what might be included under this general title and focus my attention on my own main area of interest the development and use of large macro econometric models this is an area which has a long tradition and literature stemming form the pioneering work of tinbergen i937 and the cowles commission klein i950 an extensive survey of the development of modelling may be found in bodkin klein and marwah i99i macroeconometric modelling grew rapidly in importance during the late i950s and the i960s going on to achieve a very influential role inmacroeconomic policy making during the i970s its failure to deliver the detailed economic control which it had seemed to promise then led to a barrage of attacks ranging from disillusion and sceptiscism on the part of policy makers to detailed and well argued acadeinic criticism of the basic methodology of the approach perhaps the most powerful and influential of these academic arguments came from sims i980 in his article macroeconomics and reality sims argued on three quite separate grounds against the basic process of model identification which lies at the heart of the cowles commission methodology firstly that economic theory gives rise to identification restrictions which are typically more complex than those traditionally applied in macroeconometric models in particular he said that theory normally implies complex cross equation restrictions which require system estimation and which cannot be imposed on a single equation basis secondly that traditional identification conditions are often met simply because of the presence of dynamics in the models sims argued that this identification is spurious and technically invalid as purely dynamic terms cannot help in structural identification in the conventional sense finally he said that the importance of expectations effects and the interaction of policy regimes and agents expectations make identification very difficult sims argued that any one of these problems would form a challenging but feasible research agenda but that doing all of these at once would be a programme which is so challenging as to be impossible in the short run he then proposed a methodology based on vector auto regressive var models

cross currency cross maturity forward exchange premiums as predictors of spot rate changes theory and evidence abstract this paper shows that in predicting the spot rate of a currency the term structures of forward premiums of other currencies have incremental information content in addition to the term structure of the currency s own forward premiums the theoretical model motivating the analysis hinges on the abundant evidence on the co movements of excess returns from investing in different currencies the empirical results are obtained through fiml estimation of a vector error correction model for weekly data on three bilateral us dollar exchange rates

welfare gains from quality certification of infant foods results from a market experiment in mali in low income countries malnutrition is often most severe among infants of six to twenty four months they need higher density foods than the family diet but density is a credence attribute we hypothesize that the premium now paid for heavily advertised brands reflects demand for quality assurance which could be provided at lower cost to competing firms through third party certification we use a new market experiment to find that mothers average willingness to pay for certification is about 1 75 kg or four times its cost so that total economic surplus gains from introducing certification to mali would be on the order of 1 million annually

e equilibria and adaptive expectations output and inflation in the lbs model abstract this paper examines issues of convergence the variability of the dynamic paths and end value outcomes of output and inflation in the london business school lbs macromodel where adaptive learning schemes are used to form expectations of future variables first we examine the sensitivity of the outcomes from an exogenous oil price shock to alternative formulations of the adaptive expectations scheme the results suggest that convergence is not certain for ad hoc specifications of the expectations rule but that where solutions do exist for a range of empirically estimated rules the results show a sufficient degree of similarity particularly for output to suggest more than weak possibly strong e stability nonetheless the dynamic paths for output and inflation differ significantly we then focus on one simple expectations rule and test the variability of model outcomes when the associated hyperparameters differ in some cases this leads to no convergence but where a stable region is found the output and inflation results differ markedly both for the dynamics and for the end values therefore the speed of learning as well as the expectations rule matters for the output and inflation paths

time varying parameters and the out of sample forecasting performance of structural exchange rate models varying parameter estimation techniques based on recursive application of the kalman filter are used to improve the predictive performance of a class of monetary exchange rate models i find that allowing estimated parameters to vary over time enhances the models forecasting performance for the dollar pound dollar mark and dollar yen exchange rates contrary to earlier results in the literature ex post forecasts for the dollar mark rate compare favorably with those obtained from the naive random walk forecasting rule

potential health benefits of golden rice a philippine case study abstract golden rice has been genetically modified to produce beta carotene in the endosperm of grain it could improve the vitamin a status of deficient food consumers especially women and children in developing countries this paper analyses potential impacts in a philippine context since the technology is still at the stage of r d benefits are simulated with a scenario approach health effects are quantified using the methodology of disability adjusted life years dalys golden rice will not completely eliminate the problems of vitamin a deficiency such as blindness or increased mortality therefore it should be seen as a complement rather than a substitute for alternative micronutrient interventions yet the technology could bring about significant benefits depending on the underlying assumptions annual health improvements are worth between us 16 and 88 million and rates of return on r d investments range between 66 and 133 due to the uncertainty related to key parameters these results should be treated as preliminary

trade tastes and nutrition in india this paper introduces habit formation into an otherwise standard model of international trade household tastes evolve over time to favor foods consumed as a child the opening of trade causes preferred goods to rise in price as these were relatively inexpensive in autarky neglecting the correlation between tastes and agro climatic endowments overstates the short run nutritional gains from agricultural trade liberalization and masks potential caloric losses for laborers i examine the predictions of this model of trade with habit formation using household survey data from india both by looking across indian regions and by examining the consumption patterns of inter state migrants

is there momentum or reversal in weekly currency returns abstract we investigate whether momentum or reversal is the dominant phenomenon in short horizon one to four week foreign exchange rate returns we find based on a broad sample of 63 emerging and developed market currencies evidence of momentum rather than reversal momentum strategy returns are as large as 8 p a the short term momentum effect appears to be robust returns are larger in the earlier sub period but still exist in the more recent period the strategies are also profitable when the usd is appreciating or depreciating but they perform better in business cycle expansions

comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate abstract the relative out of sample forecasting quality of symmetric and asymmetric conditional volatility models of an exchange rate differs according to the symmetric and asymmetric evaluation criteria both symmetric and asymmetric forecast competitors of currency volatility are biased and systematically over predict volatility

why do term structures in different currencies co move abstract yield curve fluctuations across different currencies are highly correlated this paper investigates this phenomenon by exploring the channels through which macroeconomic shocks are transmitted across borders macroeconomic shocks affect current and expected future short term rates as central banks react to changing economic environments investors could also respond to these shocks by altering their required compensation for risk macroeconomic shocks thus influence bond yields both through a policy channel and through a risk compensation channel using data from the us the uk and germany we find that world inflation and us yield level together explain over two thirds of the covariance of yields at all maturities further these effects operate largely through the risk compensation channel for long term bonds

experimental auction procedure impact on valuation of quality differentiated goods despite increased use of experimental auctions a myriad of different procedures are being employed without formal consideration of how the procedures might affect results this study investigates the effect of several procedural issues on valuation estimates from experimental auctions results indicate the second price auction generates higher valuations than english becker degroot marschak bdm and random nth price auctions especially in latter bidding rounds and that random nth price auction yields lower valuations than english and bdm auctions we find that endowing subjects with a good prior to eliciting bids can have an impact on valuations but the effect varies across auction mechanism

predicting volatility in the foreign exchange market measures of volatility implied in option prices are widely believed to be the best available volatility forecasts in this article we examine the information content and predictive power of implied standard deviations isds derived from chicago mercantile exchange options on foreign currency futures the article finds that statistical time series models even when given the advantage of ex post parameter estimates are outperformed by isds isds however also appear to be biased volatility forecasts using simulations to investigate the robustness of these results the article finds that measurement errors and statistical problems can substantially distort inferences even accounting for these however isds appear to be too variable relative to future volatility it is widely believed that the volatility implied in option prices is the market s best estimate of future volatility after all if it were not one could devise a trading strategy that could generate profits by identifying mispriced options the purpose of this article is to investigate the information content and predictive power of volatility implied in options on foreign currencies the paper focuses on options on currency futures traded on the chicago mercantile exchange cme because of the depth and liquidity of cme futures and options traded side by side in the same market implied standard deviations isds allow for clean tests of the predictive power of implied volatilities early studies of the information content of isds have generally found that these contain substantial information for future volatility latane and rendleman 1976 chiras and manaster 1978 and beckers 1981 for example regress future volatility on the weighted implied volatility across a broad sample of chicago board options exchange cboe stocks and find that options contain volatility forecasts that are more accurate than historical measures 1 these studies performed shortly after the 1973 beginning of the cboe option market could only use a relatively short time span and therefore focused on cross sections rather than time series predictions

food aid and food markets lessons from mozambique abstract a consensus has emerged on food aid policy acknowledging the importance of short run relief considerations while emphasizing that such policy must be driven by a long run developmental perspective this requires explicit attention to the effects of food aid on food markets yet it has long been clear that short and long run objectives of food aid may conflict this tension stands in high relief in mozambique one of the most food aid dependent countries in the world this paper examines the factors determining the effects of yellow maize food aid on markets for yellow maize and white maize the staple crop in mozambique the paper finds that a food aid has helped fuel the growth of a competitive small scale milling industry and informal marketing system b yellow and white maize are substitutes in consumption and c continued availability of yellow maize food aid at prices well below import parity will depress incentives for producers and traders to invest in the white maize production and marketing system this paper presents recommendations for reforming the monetized food aid program and coordinating it more effectively with emergency aid

information and consumer willingness to pay for biofortified yellow cassava evidence from experimental auctions in nigeria in this article we use the becker degroot marschak mechanism to estimate consumer demand for biofortified yellow cassava varieties in two states of nigeria imo in the southeast and oyo in the southwest these two states exhibit distinct habitual product color preferences for staple food made with cassava we estimate the effect of nutrition information campaigns and nature of planting material delivery institutions on consumer demand willingness to pay estimations account for the effect of product endowment censoring in bids and nonpayment in oyo consumers are willing to pay a premium for light yellow cassava variety even in the absence of nutrition information the article finds that nutrition information results in a large and significant price premium for biofortified cassava in both states and the nature of delivery institution has no significant effect

comparing consumer preferences for color and nutritional quality in maize application of a semi double bound logistic model on urban consumers in kenya consumer preferences for white maize in east and southern africa concerns developers of maize biofortified with provitamin a carotenoids since carotenoids impart a yellow or orange coloration urban consumers willingness to pay wtp for yellow maize was estimated using a semi double bounded logistic model based on a survey of 600 maize consumers in nairobi kenya at posho mills kiosks and supermarkets consumers showed a strong preference for white maize only a minority would buy yellow maize at the same price as white maize and fewer consumers in the posho mills 24 and kiosks 19 than in the supermarkets 34 would do so on average consumers need a price discount of 37 to accept yellow maize this discount was less at the posho mills 35 and kiosks 37 than in the supermarkets 48 most respondents 76 were aware of the existence of fortified meal and the generally showed an interest the average premium for fortified maize was much less than the discount for yellow 5 9 for those aware and 7 4 for those unaware consumer preferences were influenced by socioeconomic factors such as gender education income and ethnic background women have a stronger preference for both white maize and fortified maize than men and consumers with more education have a stronger preference for white income decreases the wtp for yellow maize as well as the price elasticity but increases the wtp for fortified maize consumers originating from western kenya have a lower preference for white while those from central kenya had a stronger preference for fortified maize

currency spillovers and tri polarity a simultaneous model of the us dollar german mark and japanese yen this paper presents a simultaneous model of exchange rates between the three major countries in addition to incorporating long run equilibria and short run dynamics the model is designed to capture complex interactions between currencies not normally considered in exchange rate models these interactions are shown to be important via generalised impulse response analysis and the model as a whole to be an economically and statistically superior forecasting tool over relatively short horizons

forecasting exchange rate volatility abstract exchange rate volatility forecasts are obtained using a fractionally integrated garch model gains in forecast accuracy associated with a fractionally integrated model compared to a garch or igarch model are shown to be substantial in many cases

a comparison of foreign exchange forward and futures prices abstract in theory futures resettlement should create systematic pricing differences between futures and forward contracts however previous empirical studies do not demonstrate such differences in the foreign exchange markets on the other hand inferences from these studies are suspect since they do not directly implement theortical measures of resettlement effects and are unadjusted for sub gaussian data properties in this paper these limitations are addressed through the use of the multivariate autoregressive moving average model our findings provide evidence of systematic pricing influences arising from futures resettlement

forecasting exchange rate volatility using conditional variance models selected by information criteria this paper uses appropriately modified information criteria to select models from the garch family which are subsequently used for predicting us dollar exchange rate return volatility the out of sample forecast accuracy of models chosen in this manner compares favourably on mean absolute error grounds although less favourably on mean squared error grounds with those generated by the commonly used garch 1 1 model an examination of the orders of models selected by the criteria reveals that 1 1 models are typically selected less than 20 of the time

predicting the effects of market reform in zimbabwe a stated preference approach a stated preference approach is used to predict likely responses to market reform in zimbabwe a random utility model is estimated using data on consumers stated preferences for alternative types of maize meal the model is used to predict demand patterns resulting from market reforms predicted demand is then compared with actual demand following market reforms an analysis of the welfare effects of alternative policy scenarios shows that coupling the removal of consumer maize subsidies with improved access to a broader range of maize meal products ameliorated many of the adverse effects of subsidy removal especially for lower income groups

are the garch models best in out of sample performance abstract out of sample performance of exchange rate volatility model depends on criteria used to measure it the linear garch models cannot generally outperform the nonlinear models in the rmse criterion furthermore the nonparametric kernel model is best in the mae criterion

estimating consumer willingness to pay for food quality with experimental auctions the case of yellow versus fortified maize meal in kenya biofortification of maize with provitamin a carotenoids is a new approach to the alleviation of vitamin a deficiencies in africa unfortunately these varieties are yellow or orange while consumers generally prefer white consumer willingness to pay for yellow and fortified maize was compared in experimental auctions in three regions in kenya the premium that consumers are willing pay for fortified maize 24 was higher than the discount they require to buy yellow maize 11 and in one zone consumers prefer yellow yellow color is therefore not an impossible obstacle for biofortified maize although it would clearly be easier to introduce this maize first in regions where yellow maize is currently grown

a utility based comparison of some models of exchange rate volatility abstract when estimates of variances are used to make asset allocation decisions underestimates of population variances lead to lower expected utility than equivalent overestimates a utility based criterion is asymmetric unlike standard criteria such as mean squared error to illustrate how to estimate a utility based criterion we use five bilateral weekly dollar exchange rates 1973 1989 and the corresponding pair of eurodeposit rates of homoskedastic garch autoregressive and non parametric models for the conditional variance of each exchange rate garch models tend to produce the highest utility on average a mean squared error criterion also favors garch but not as sharply

measuring consumers willingness to pay at the point of purchase abstract economists psychologists and marketing researchers rely on measures of consumers willingness to pay wtp in estimating demand for private and public goods and in designing optimal price schedules existing market research techniques for measuring wtp differ in whether they provide an incentive to consumers to reveal their true wtp and in whether they simulate actual point of purchase contexts the authors present an empirical comparison of several procedures for eliciting wtp that are applicable directly at the point of purchase in particular the authors test the applicability of becker degroot and marschak s 1964 well known incentive compatible procedure for assessing the utility of lotteries to measuring consumers wtp in three studies the authors explore the reliability validity and feasibility of the procedure and show that it yields lower wtp estimates than do non incentive compatible methods such as open ended and double bounded contingent valuation they show experimentally t

credit risk exposure with interest and currency swaps abstract the increased use of financial derivatives like interest rate and currency swap contracts has drawn much attention as it exposes banks to non performance by their counterparts this credit risk exposure is of great concern to monetary authorities e g the bank for international settlements in this paper a method for the determination of credit risk exposure is developed in which the exposure is a function of interest rates exchange rates and lives of the contracts to quantify the credit risk exposure simulations of the variables have been used

dynamic information spillovers in intraregionally focused spot and forward currency markets abstract this paper proposes an intraregionally focused tri currency modeling framework to investigate dynamic information spillovers across spot and forward exchange rate markets in frontier and emerging country currencies for both price levels and volatilities empirical estimates of structural parameters were obtained using an mgarch mskst model that incorporated the term structure of non deliverable forward ndf and deliverable forward df markets the dominance of regional currencies and the influence of differing forward contract maturities 1 3 6 and 12 months the currencies for nine countries were grouped into three regions northeast asia china korea and taiwan south southeast asia india indonesia and philippines and latin america brazil chile and columbia the currency for each selected country was evaluated within the regionally determined tri currency system we found that ndf markets play a dominant role over df markets with regard to price discovery during periods of tranquility during periods of crisis both ndf and df markets exhibit a more balanced impact on currency market price discovery mechanisms in addition distinct differences were observed across regions currencies in northeast asia were shown to be affected by the chinese renminbi during periods of crisis and the indian rupee could be regarded as the dominant currency in south southeast asia no robust results were obtained with regard to the dominance of currencies in latin america finally our results also suggest important distinctions between the effect of various instrument maturities on ndf and df market returns with df returns being more responsive to longer maturities 6 months and 12 months during tranquil periods ndf returns are more responsive to shorter maturities but during crisis periods this effect is diminished

modeling heteroscedasticity in daily foreign exchange rates this article estimates autoregressive conditionally heteroscedastic arch and generalized arch garch models for five foreign currencies using 10 years of daily data a variety of arch and garch specifications a number of nonnormal error densities and a comprehensive set of diagnostic checks it finds that arch and garch models can usually remove all heteroscedasticity in price changes in all five currencies goodness of fit diagnostics indicate that exponential garch with certain nonnormal distributions fits the canadian dollar extremely well and the swiss franc and the deutsche mark reasonably well only one nonnormal distribution fits the japanese yen reasonably well none fit the british pound

testing the uncovered interest parity using traded volatility a time varying risk premium and heterogeneous expectations abstract this paper carries out an empirical investigation of an extended version of flood and marion s 2000 self fulfilling risk predictions an application to speculative attacks journal of international economics 50 245 268 uip model which incorporates a nonlinear time varying risk premium that depends on both the expected variance of the future exchange rate and the relative worldwide private holdings of domestic and foreign government bonds a novel contribution of our paper is the use of traded currency volatility which is directly observable in the market place to measure expectations about the future volatility of the exchange rate another contribution is the explicit modelling of heterogeneous exchange rate expectations formed by forward looking fundamentalists and backward looking chartists our overall empirical evidence provides strong support for the extended nonlinear uip model we also investigate for the first time the role of traded volatility in the dynamic behaviour of exchange rates and find that high currency volatility is likely to produce oscillatory and unstable exchange rate paths

poverty alleviation in mozambique a multi market analysis of the role of food aid abstract the use of food aid in poverty alleviation programs has been hampered by two problems the inability to target to households in need and the disincentive effects on agriculture in this paper we present econometric estimates of in almost ideal demand system aids for households in maputo mozambique and develop a multi market model to show that in maputo imported yellow maize is not only self targeting but that owing to a combination of the low cross price elasticity with locally produced staples particularly white maize and cross border trade in food products the disincentive effects on domestic agriculture have been negligible

mothers and sons preference formation and female labor force dynamics this paper argues that the growing presence of a new type of man one brought up in a family in which the mother worked has been a significant factor in the increase in female labor force participation over time we present cross sectional evidence showing that the wives of men whose mothers worked are themselves significantly more likely to work we use variation in the importance of world war ii as a shock to women s labor force participation as proxied by variation in the male draft rate across u s states to provide evidence in support of the intergenerational consequences of our propagation mechanism

false promise or false premise the experience of food and input market reform in eastern and southern africa abstract the literature on the effects of agricultural market reform in africa is sharply divided and inconsistent this article attempts to reconcile opposing viewpoints on the effects of food and input market policy reform in eastern and southern africa drawing from studies of ethiopia kenya malawi zambia and zimbabwe we argue that a major source of the controversy stems from assumptions that countries have actually moved to a liberalized market environment we find that many of the most fundamental elements of the reform programs either remain unimplemented were reversed within several years or were implemented in such a way as to negate private sector investment incentives a framework is developed for explaining why some countries have been able to liberalize their food and fertilizer markets while others have not these findings have implications for how donor assistance and policy oriented research can more constructively contribute to an improved policy environment

the relative valuation of american currency spot and futures options theory and empirical tests this study empirically tests contingent claims pricing models for american currency spot and futures options numerical analysis indicates that the difference in the model prices of spot and futures put call options with the same exercise price and maturity is for a premium discount currency positive and an increasing function of a the absolute dif ference in the prices of the underlying spot and futures contracts and b the maturity of the options tests on british pound deutsche mark and swiss franc options indicate many violations ofthe ordinal pricing relationships noted above additional tests indicate that option prices are inconsistent with functional relationship b above most of the ob served violations are sufficiently large to provide arbitrage profits net of transaction costs assuming interest rates are constant and the interest rate parity theorem holds continu ously alternatively both the violations and the inconsistent functional relationship may be due to violation of the assumption of constant interest rates

measuring tail thickness to estimate the stable index α a critique a generalized pareto or simple pareto tail index estimate above 2 has frequently been cited as evidence against infinite variance stable distributions it is demonstrated that this inference is invalid tail index estimates greater than 2 are to be expected for stable distributions with as low as 1 65 the nonregular distribution of the likelihood ratio statistic for a null of normality and an alternative of symmetric stability is tabulated by monte carlo methods and appropriately adjusted for sampling error in repeated tests real stock returns yield a stable of 1 845 and reject iid normality at the 996 level

will they buy it the potential for marketing organic vegetables in the food vending sector to strengthen vegetable safety a choice experiment study in three west african cities abstract considering the hazardous use of synthetic pesticides in vegetable production in urban west africa this research investigated the marketing potential of organic vegetables in the food vending sector of cotonou benin accra ghana and ouagadougou burkina faso certified organic production and marketing was examined as a potential strategy to improve chemical food safety a stratified random sampling strategy was applied to study the preferences of food vendors n 180 and consumers n 360 vegetable use risk perception choice preferences and willingness to pay wtp for organic certification were specifically analyzed the results showed that awareness of chemical contamination risks was generally low appearance of a product was central to vendor choice consumers attributed similar utility to taste and organic certification consumer wtp was calculated to be a premium of 1 04 usd per plate if the food served contained only certified organic vegetables in restaurants this would mean an average premium of 19 for a meal if certified organic vegetable production is to make a positive impact on food safety in urban west africa we suggest concentrating marketing efforts on the educated elite who frequent restaurants however considering that restaurant owners exhibited a lower preference for organic certification than lower class food vendors the marketing situation is difficult we therefore conclude that demand from the food vending sector alone will not institutionalize domestic certification mechanisms this underlines the need for public commitment to facilitating such change

the demand for food and calories we investigate nutrition and expenditure in rural maharashtra in india we estimate that the elasticity of calorie consumption with respect to total expenditure is 0 3 0 5 a range that is in accord with conventional wisdom the elasticity declines only slowly with levels of living and is far from the value of zero suggested by a recent revisionist literature in these indian data the calories necessary for a day s activity cost less than 5 percent of the daily wage which makes it implausible that income is constrained by nutrition rather than the other way around

forecasting exchange rate for the australian dollar via a vis the us dollar using multivariate time series models the purpose of the paper is to forecast exchange rates by using restricted and unresticted vector autoregressive var models also introduced is an econometric model for the purpose of comparison a comparison of forecast stastistics shows that the restricted model bvar has better forecasting ability compared with the unrestricted var model however the econometric model outperforms both the study also indicates that the exchange rate relative price and three month forward rate are cointegrated thus an error correction model also is considered for the structural one and the forecasting performance improved further for this model

econometric evaluation of the exchange rate in models of the uk economy in june 1972 sterling s fixed parity against the dollar was abandoned and macroeconomic modellers could no longer treat the exchange rate as an exogenous variable a considerable research effort ensued as modellers sought to integrate exchange rate systems into their econometric models none of the resulting systems performed well however and the exchange rate equations often had to be overridden or subjected to heavy residual adjustment in forecasting and policy analysis exercises in the first instance these difficulties came as no surprise given the short series of data available for the floating regime and the uninformative nature of the fixed regime the difficulties have persisted however in an analysis of the historical tracking performance of a recent vintage of the main uk macroeconometric models fisher and wallis i990 find that no model has a particularly good static simulation record with respect to the exchange rate nor are these difficulties purely local ones in his international survey isard i 988 concludes that empirical modeling of exchange rates over the past decade has been largely a failure this paper evaluates the exchange rate mechanisms embodied in current large scale models of the uk economy and develops a new specification that is econometrically preferable the models considered are those of the london business school lbs national institute of economic and social research niesr liverpool university research group in macroeconomics lpl bank of england be and her majesty s treasury hmt as deposited with

using a discrete choice experiment to elicit the demand for a nutritious food willingness to pay for orange maize in rural zambia using a discrete choice experiment this paper estimates the willingness to pay for biofortified orange maize in rural zambia the study design has five treatment arms which enable an analysis of the impact of nutrition information comparing the use of simulated radio versus community leaders in transmitting the nutrition message on willingness to pay and to account for possible novelty effects in the magnitude of premiums or discounts the estimation strategy also takes into account lexicographic preferences of a subset of our respondents the results suggest that a orange maize is not confused with yellow maize and has the potential to compete with white maize in the absence of a nutrition campaign b there is a premium for orange maize with nutrition information and c different modes of nutritional message dissemination have the same impact on consumer acceptance

forward and futures prices evidence from the foreign exchange markets empirical studies of the treasury bill markets have revealed substantial differences between the futures price and the implied forward price these differences have been attributed to taxes transaction costs and the settling up procedure employed in the futures market this paper examines the forward and futures prices in foreign exchange in an attempt to distinguish between the competing explanations empirical studies of the treasury bill market have revealed differences between the futures price or rate and the implicit forward price derived from the term structure of interest rates 1 these differences have generally been attributed to market imperfections such as taxes and transaction costs see for example arak 1 capozza and cornell 2 and rendelman and carabini 6 recently however cox ingersoll and ross 3 henceforth cir derived a model in which forward and futures prices need not be equal even in perfect markets without taxes as long as interest rates are stochastic the significance of the cir effect may be hard to investigate using only data from the bill market because of the potentially complicating effects of taxes and transaction costs unique to this market by using data from the foreign exchange market we are able to eliminate the tax effect and reduce the impact of transaction costs the question we address is whether the discrepancies observed in the treasury bill market are also observed in the foreign exchange market if they are then we have evidence that the differences are due to a combination of the cir effect and the transaction costs common to both markets if they are not then either the magnitude of the cir effect is much less in the foreign exchange market or the treasury bill results are due to the unique tax treatment and transaction costs of that market this paper is organized as follows in section i the trading mechanics of the forward and futures markets in foreign exchange are discussed section ii reviews the explanations for the discrepancies between the forward and futures prices for treasury bills the institutional differences between the foreign exchange and bill markets are also summarized to show which of these explanations cannot apply to the foreign exchange market in section iii the data are decribed and the empirical results are presented the conclusions are summarized in the final section

forward and futures pricing of treasury bills the paper discusses the recent literature on interest rate futures contracts applying both traditional futures and term structure theories it is argued that an important characteristic of futures contracts has been ignored in most of the futures literature by constructing a riskless arbitrage between implicit forward contracts and futures contracts it is demonstrated that even in an efficient market the futures and forward prices will be different the difference results because the marking to the market that is required on a futures contract implies that the course of interest rates is important to the pricing of interest rate futures contracts

consumer willingness to pay for genetically modified food in kenya genetically modified gm crops are popular in many regions of the world but their deployment in africa is hindered by safety concerns and regulatory issues although the continent is in dire need of boosting its food production although consumers acceptance of gm food has been analyzed in many continents no such studies have been conducted in africa therefore a survey of 604 consumers was conducted in nairobi kenya in 2003 to gauge consumers awareness of gm crops their willingness to pay wtp for gm food and the factors that influence their wtp consumers knowledge of gm crops was limited and only 38 of the 604 respondents were aware of gm crops people in higher education and income groups were more aware than others regardless people were generally appreciative of the technology and a large majority 68 would be willing to buy gm maize meal at the same price as their favorite brand consumers were however concerned about possible side effects especially on the environment and biodiversity wtp was estimated using a double bounded dichotomous choice model and the mean wtp was found to be 13 8 higher than the average price of non gm maize meal perceptions of health risk and ethical and equity concerns had a negative influence on the likelihood of purchasing gm maize meal whereas trust in government to ensure food quality had a positive influence on wtp people with at least some secondary education and those in the high income category were more likely to purchase gm maize meal at the same price the study concludes that because awareness is still low appropriate communications are needed to involve the consumer in the debate consumers acceptance in this study was high but the research needs to be expanded to rural areas where most consumers live and other survey methods need to be explored

the term structure of forward exchange premiums and the forecastability of spot exchange rates correcting the errors we develop a framework to extract information regarding subsequent spot rate movements from the term structure of forward exchange premiums while admitting possible deviations from rationality and