the manufacturing base under energy price uncertainty this paper provides empirical and methodological analysis under a very important source of uncertainty energy price uncertainty in so doing we show the impact of the energy price instability on the u s manufacturing output and the manufacturing sector s demand for energy in addition our method enables us to easily derive empirical comparative statistics results that can be compared to the theoretical results

the stationarity of consumption income ratios evidence from bootstrapping confidence intervals abstract we study the stationarity of consumption income ratio apc in oecd countries to that end we use three different bootstrapping techniques to construct the 90 confidence intervals the results show that the apc is non stationary in most of the countries

real exchange rates under the recent float unequivocal evidence of mean reversion standard multivariate tests of long run ppp may reject nonstationarity when a single real exchange rate series is stationary we apply a test where the null hypothesis is violated only when all series are stationary and reject nonstationarity for real dollar rates

a confirmatory analysis of the unit root hypothesis for oecd consumption income ratios this article investigates the existence of a unit root in the consumption income ratio for a sample of 23 oecd countries over the period 1960 to 2005 for that purpose we first use recently developed unit root tests with good size and power second we employ the more powerful panel unit root tests of pesaran 2003 and smith et al 2004 that take the null of nonstationarity and a bootstrap version of the test of hadri 2000 that takes stationarity as the null hypothesis overall our confirmatory analysis renders clear cut evidence that oecd consumption income ratios contain a unit root

bayesian estimation and selection of nonlinear vector error correction models the case of the sugar ethanol oil nexus in brazil nonlinear adjustment toward long run price equilibrium relationships in the sugar ethanol oil nexus in brazil is examined we develop generalized bivariate error correction models that allow for cointegration between sugar ethanol and oil prices where dynamic adjustments are potentially nonlinear functions of the disequilibrium errors a range of models are estimated using bayesian monte carlo markov chain algorithms and compared using bayesian model selection methods the results suggest that the long run drivers of brazilian sugar prices are oil prices and that there are nonlinearities in the adjustment processes of sugar and ethanol prices to oil price but linear adjustment between ethanol and sugar prices

crude oil corn ethanol nexus a contextual approach this paper offers a holistic study on the complex relationships between crude oil corn and ethanol during a turbulent period between 2006 and end of 2011 through a holistic mapping of the current market situation and a contextual analytical design we show that there exists a strong relationship between crude oil and corn markets on one side and crude oil and ethanol on the other however the price relationship between corn and ethanol was revealed to be less straightforward and is driven by the us government fuel policy furthermore the study indicates that corn markets have became more prone to volatility due to ethanol production especially when the demand for corn is high and or the crude oil prices are high enough to create a competitive market for ethanol

assessing the functioning of land rental markets in ethiopia although a large theoretical literature discusses the possible inefficiency of sharecropping contracts the empirical evidence on this phenomenon has been ambiguous at best household level fixed effect estimates from about 8 500 plots operated by households that own and sharecrop land in the ethiopian highlands provide support for the hypothesis of marshallian inefficiency at the same time a factor adjustment model suggests that the extent to which rental markets allow households to attain their desired operational holding size is extremely limited our analysis points towards factor market imperfections no rental for oxen lack of alternative employment opportunities and tenure insecurity as possible reasons underlying such behavior suggesting that rather than worrying almost exclusively about marshallian inefficiency it is equally warranted to give due attention to the policy framework within which land rental markets operate

high frequency volatility connectedness between the us crude oil market and china s agricultural commodity markets abstract this paper investigates the realised volatility connectedness of us crude oil futures and five china s agricultural commodity futures using connectedness measures and high frequency data time varying volatility connectedness characteristics are identified by combining a multivariate heteroscedastic autoregressive har model with the dcc garch model the results verify the existence of volatility spillover from the us crude oil market to china s agricultural commodity markets although the magnitude of this spillover is weak furthermore the realised volatility is decomposed into positive and negative components to identify the asymmetric effect of volatility connectedness the results show that market interdependence has obviously increased for negative volatility relative to positive volatility implying that volatility transmission has a leverage effect across markets

option listing and stock returns abstract this article examines the effect of option introductions on the underlying stocks in addition to the price increase and volatility decrease that take place when new options are listed we obtain and explain the following new empirical results i an increase in the value of the market around the listing dates of new options ii an increase in the value of an industry index which excludes the optioned stocks iii the dissipation of the price and volatility effects in recent periods and iv the existence of an announcement effect in one subperiod of our sample and its dissipation in recent periods

changes in the financial market welfare and price effects and the basic theorems of value conservation this paper analyzes the impact on both welfare and equilibrium prices of changes in the financial market in a general equilibrium two period context previous papers have focussed on the securities effect tending to essentially ignore the equally important endowment effect that arises when market structure changes are implemented two forms of endowment neutrality and market structure changes which either preserve expand or shift allocational feasibility differentiate the main theorems which are based on arbitrary preferences and beliefs and substantially extend and modify extant results in particular earlier statements identified with value conservation are sharply moderated very roughly the paper yields the following implications for some of the more common changes in the market nonsynergistic corporate spinoffs and the opening of option markets have on balance strongly positive welfare effects nonsynergistic mergers tend to have strong negative welfare effects while the welfare effects of alternative risky debt structures tend to be ambiguous all of the preceding however may under plausible conditions be redistributive changes in the structure of the financial market have long been of interest to financial economists while such changes may take many forms it is perhaps surprising that only a few of the more common ones have been systematically studied foremost among these are changes which involve the firm s capital structure the relative amounts of debt and equity mergers and other special recapitalizations this paper analyzes the impact on both welfare and equilibrium prices of changes in the financial market in a two period context it differs from previous studies primarily in that it is based on a fully integrated general equilibrium approach similar to that employed in international trade analysis thus while the resulting mosaic contains previous studies as clearly recognizable fragments such as the classic paper of modigliani and miller 33 it also provides the necessary framework and tools for an evaluation of market structure changes of any type such as changes involving subordinated debt convertibles warrants mergers spinoffs and the opening of option markets

a note on the impact of options on stock return volatility abstract this paper measures the impact of option introductions on the return variance of underlying stocks past research generally finds a significant reduction in stock return variance following the listing of options through 1986 using a more extensive sample i compare changes in the return variance of optioned stocks to changes in the return variance of a control group since the average change in the control group is statistically indistinguishable from the average change in the optioned stocks i conclude that option introductions do not significantly affect stock return variance

currency derivatives and exchange rate forecastability by incorporating new information generated by currency derivatives trading underlying exchange rates should be less forecastable than previously and the underlying currency markets should therefore be more efficient this hypothesis was tested for the first time for the period 1982 through 1997 on a clean sample of three major types of currency derivatives launched in two prominent markets various statistical tests indicate that following the introduction of the derivative contracts the underlying exchange rates became more random and the currencies involved tended thus to be priced more efficiently which supports the hypothesis

high food commodity prices will they stay who will pay much of the public discussion of the food price crisis has focused on the sharply increased use of food commodities for biofuel production framing debate in simple food versus fuel terms reality is more complex multiple forces drove food prices to high levels and according to findings we report in this article these forces will sustain high prices over the medium term we also find that the distinction between high world prices for food commodities and the consumer costs of food is an important one to make food consumers do not buy raw food commodities at international prices the degree to which the price of traded food commodities and the price of food are related depends on a long list of factors most of which operate to dampen price transmission in the search for appropriate policy response it is essential to measure consumer effects correctly and to apportion properly the causes of current high prices

analyzing the impact of futures trading on spot price volatility evidence from the spot electricity market in france and germany abstract this paper examines the impact of the introduction of electricity futures on the spot price volatility of the french powernext and german eex electricity markets as well as the degree of their price correlation over the period 2002 2011 our working hypotheses were tested based on a bivariate vecm garch model the results indicate that the introduction of futures contracts in the french electricity market as well as the launch of the joint futures market in these countries in 2009 has decreased spot price volatility however this effect was not as explicit for the german market due to data specificities other interesting results are the german market dominates and leads the long run price relationship the impact of cooling needs on demand is greater than the impact of heating needs there is a substantial systematic pattern of electricity prices and their respective volatilities during weekdays and holidays overall results are supportive of policy making at the european commission regarding electricity market integration

bivariate garch estimation of the optimal commodity futures hedge six different commodities are examined using daily data over two futures contract periods cash and futures prices for all six commodities are found to be well described as martingales with near integrated garch innovations bivariate garch models of cash and futures prices are estimated for the same six commodities the optimal hedge ratio ohr is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of futures the estimated ohrs reveal that the standard assumption of a time invariant ohr is inappropriate for each commodity the estimated ohr path appears non stationary which has important implications for hedging strategies

a cointegration analysis of agricultural energy and bio fuel spot and futures prices this article features an analysis of the cointegration relationships among agricultural commodity ethanol and cushing crude oil spot and future prices the use of grains for the creation of bio fuels has sparked fears that these demands are inflating food prices we analyse approximately 10 years of daily spot and futures prices for corn wheat sugar ethanol and oil prices from datastream for the period 19 july 2006 to 2 july 2015 the analysis features engle granger pairwise cointegration and partial cointegration pairs of series that are cointegrated are analysed using markov switching vecm and impulse response analysis which confirms that these markets have significant linkages that vary according to whether they are in low or high volatility regimes

food oil volatility spillovers and the impact of distinct biofuel policies on price uncertainties on feedstock markets over recent decades the link between crude oil and agricultural markets has been reinforced following the introduction of biofuels we use timely measures of co variation spillovers to analyze the role of crude oil in shaping price uncertainties of agricultural commodities which are largely used as biofuel feedstocks our sectoral and market specific measures distinguish tranquil 1995 2005 and crisis episodes 2006 2015 as well as periods during which either consumption mandates or tax credits were enacted to spur biofuels during the crisis period crude oil volatility transmissions account for 16 20 of price uncertainties in ethanol biodiesel feedstock markets on average moreover we find evidence of enhanced volatility transmissions under tax credit regimes compared with consumption mandates the results from pooled regressions confirm stronger volatility transmissions by about 12 under the enactment of tax credits

why there are organized futures markets i shall present an explanation of the existence of organized futures markets with more predictive power than the two prevailing rival views my explanation briefly is this an organized futures market facilitates trade among strangers one of the rival prevailing views is a defense of futures trading it asserts that an organized futures market furnishes legitimate businessmen with a means of hedging so that they can obtain insurance against price risk the other prevailing view is an attack on organized futures markets it asserts that such markets enable speculators to manipulate prices to the detriment of outsiders who are less well informed and to the detriment of legitimate businessmen such as farmers the attack on organized futures markets likens them to gambling casinos the defense sees them as a form of insurance neither the attack nor the defense is valid the correct explanation is closely related to why we conduct trade using money instead of by barter

the effect of ethanol listing on corn prices evidence from spot and futures markets abstract the use of corn for ethanol has been the topic of heated discussions in the media and among policy makers as part of this debate some observers have argued that the use of corn in the production of ethanol has had adverse effects on corn prices this paper contributes to this reviving debate by examining the impact of the listing of ethanol futures in the chicago board of trade on the spot and futures prices for corn we find a significant listing effect indicating that the listing of ethanol has had a positive contribution to both price and volatility in the corn market especially in the spot and the shorter maturity futures contracts and mostly through its interaction with trading volume in the corn market we discuss the policy implications of the findings for investors and its relevance for the ongoing debate on us energy policy we conclude with some suggestions for future research

drought ethanol and livestock abstract the 2012 drought in the u s midwest resulted in volatile crop prices with field crops constituting a major input in livestock production livestock producers sought a waiver to renewable fuel standard biofuel mandates they believed such a waiver would mitigate crop price volatility given crops are major inputs in biofuel production the u s environmental protection agency epa denied the waiver under the belief that the waiver would have minimal if any impact on mitigating price volatility employing a vecm the objective is to investigate if it was prudent for the epa to reject the waiver results generally support epa s conclusion that the waiver relaxing the biofuel mandate would have minimal impact

do energy prices stimulate food price volatility examining volatility transmission between us oil ethanol and corn markets this paper examines volatility transmission in oil ethanol and corn prices in the united states between 1997 and 2011 we follow a multivariate garch approach to evaluate the level of interdependence and the dynamics of volatility across these markets preliminary results indicate a higher interaction between ethanol and corn markets in recent years particularly after 2006 we only observe however significant volatility spillovers from corn to ethanol prices but not the converse we also do not find major cross volatility effects from oil to corn markets the results do not provide evidence of volatility in energy markets stimulating price volatility in grain markets

fighting global food price rises in the developing world the response of china and its effect on domestic and world markets this article addresses how china is being affected by and is responding to the world food crisis so far chinese officials have responded to higher world prices by drawing down stocks and limiting exports of major grains these policy instruments were not available for soybeans so domestic prices of soy and other oilseeds have risen with international prices using a global cge model we show that the initial world price rise was largely due to higher world oil prices and demand for biofuels as opposed to other factors especially in maize and soybeans china s response to this shock has kept domestic grain prices low relative to world grain markets and to domestic soybean prices as grain stocks are depleted however demand growth will push domestic prices back into alignment anticipating this pressure on consumers and accelerating supply response through public investment will facilitate adjustment

is the consumption income ratio stationary evidence from panel unit root tests this paper provides evidence on the stationarity of the consumption income ratio from a panel of 20 oecd countries using recently developed panel unit root tests which avoid the problem of low power associated with conventional unit root tests our findings suggest that the consumption income ratios in the oecd countries are generated by a nonstationary stochastic process

a systems approach to the relationship between consumption and wealth the single equation approach to the determination of consumption due to hendry and von ungern sternberg hus is extended to a multi equation system which links decisions on consumption and the components of wealth the original hus approach has proved to be a very durable one being applicable to a number of countries and macroeconomic models this approach is extended to allow a role for rates of return as well as income and it is shown how this extension results in an error correction system the empirical analysis used is based on johansen s maximum likelihood extension of the co integration approach of engle and granger

the price effect of option introduction this paper examines the price effect of option introduction from 1974 to 1980 the introduction of individual options causes a permanent price increase in the underlying security beginning approximately three days before introduction the price effect appears to be associated with introduction and not announcement throughout the sample period excess returns volatility declines with option introduction systematic risk is unchanged there is a positive relation between the price increase and a measure of activity in the options market copyright 1989 by american finance association

biofuel related price transmission literature a review abstract in this article an extensive review of the rapidly growing biofuel related time series literature is carried out the data used the modeling techniques and the main findings of this literature are discussed providing a review of this flourishing research area is relevant as a guidepost for future research this literature concludes that energy prices drive long run agricultural price levels and that instability in energy markets is transferred to food markets

higher fuel and food prices impacts and responses for mozambique rising world prices for fuel and food represent a negative terms of trade shock for mozambique the impacts of these price rises are analyzed using various approaches detailed price data show that the world price increases are being transmitted to domestic prices short run net benefit ratio analysis indicates that urban households and households in the southern region are more vulnerable to food price increases rural households particularly in the north and center often benefit from being in a net seller position longer term analysis using a computable general equilibrium cge model of mozambique indicates that the fuel price shock dominates rising food prices from both macroeconomic and poverty perspectives again negative impacts are larger in urban areas the importance of agricultural production response in general and export response in particular is highlighted policy analysis reveals difficult trade offs between short run mitigation and long run growth improved agricultural productivity has powerful positive impacts but remains difficult to achieve and may not address the immediate impacts of higher prices

stochastic trends and economic fluctuations are business cycles mainly the result of permanent shocks to productivity this paper uses a long run restriction implied by a large class of real business cycle models identifying permanent productivity shocks as shocks to the common stochastic trend in output consumption and investment to provide new evidence on this question econometric tests indicate that this common stochastic trend cointegration implication is consistent with postwar u s data however in systems with nominal variables the estimates of this common stochastic trend indicate that permanent productivity shocks typically explain less than half of the business cycle variability in output consumption and investment copyright 1991 by american economic association

the interaction between food prices and oil prices this paper provides a statistical methodology to estimate the impact of oil price uncertainty on food prices in doing so it examines the joint impact of oil price and food price uncertainties and their correlation on the food price also the theoretical model was applied to the oil based trinidad and tobago and the empirical results confirm the theoretical predictions the empirical results indicate that a higher oil price increases food price also a higher oil price volatility yields a higher food price moreover an increase in the oil supply reduces the food price

a cointegration analysis of the impact of the age structure of the population on the household saving rate in japan this paper analyzes the impact of the age structure of the population on japan s household saving rate by applying cointegration techniques to time series data for the 1955 1993 period it finds th

social networks and factor markets panel data evidence from ethiopia we investigate the role of an indigenous social network in ethiopia the iddir in facilitating factor market transactions among smallholder farmers we use detailed longitudinal household survey data and employ fixed effects estimation approaches to identify the effect of iddir membership on factor market transactions among farmers we find that joining an iddir network improves households access to land labour and credit transactions our findings also hint that iddir networks may crowd out borrowing from local moneylenders locally referred as arata abedari a relatively expensive credit source these results suggest that non market institutions can play crucial roles in facilitating market transactions

specification and estimation of production risk risk preferences and technical efficiency this article deals with specification and estimation of risk preferences production risk and technical inefficiency it makes contribution in three separate areas of production economics first we model producers attitude toward risk and derive risk preference functions without assuming any parametric form of the utility function and any distribution of the error term representing production risk when risk arises from production uncertainty and technical inefficiency second the standard production risk model is extended to accommodate technical inefficiency and producers attitude toward risk finally the technical efficiency model is generalized to accommodate production risk and producers attitude toward risk copyright 2002 oxford university press

causality in crude oil prices crude oil markets witness growing disparity between the quality of crudes supplied and demanded in the market the market share of low quality crudes is increasing due to the depletion of old fields and increasing demand this is unnerving the practitioners and affecting the relevance of the traditional benchmark crudes due to the lack of lower quality benchmarks montepeque 2005 in this article we apply granger causality tests to study the price dependence of 32 crudes in order to establish which crudes drive other prices and which ones simply follow general market trends our results indicate that some of the old benchmarks are still relevant while others can be disregarded our results also interestingly show that the low quality mediterranean russian urals crude introduced in the late 1990s has emerged recently as a significant driver of global prices

overreactions in the options market this paper examines the term structure of options implied volatilities using data on s p 100 index options because implied volatility is strongly mean reverting the implied volatility on a longer maturity option should move by less than one percent in response to a one percent move in the implied volatility of a shorter maturity option empirically this elasticity turns out to be larger than suggested by rational expectations theory long maturity options tend to overreact to changes in the implied volatility of short maturity options are investors rational do they behave like bayesian statisticians when it comes to incorporating new information into asset prices proponents of the efficient markets hypothesis would answer this question in the affirmative many others however believe that bayesian rationality is a poor description of investor behavior and that as a consequence asset prices tend to be informationally inefficient one way in which inefficiencies might arise is through the overreactions of traders to the arrival of new information 1 this possibility is raised by experimental and survey findings which indicate that people have a systematic tendency to overemphasize recent data at the expense of other information when making projections 2 the objective of this paper is to search for evidence of such overreactive behavior in a semingly peculiar place the options market options may appear to be unlikely candidates for overreaction because unlike primary securities their prices are closely tied down by arbitrage considerations as black and scholes 1973 demonstrate if stock price volatility is known options prices are completely determined any deviation from the prescribed value implies a riskless profit opportunity however given that volatility is in fact unknown and changing options do retain something of an independent nature not wholly redundant with their underlying stocks options can be thought of as reflecting a speculative market in volatility the implied volatility on a given option obtained by inverting a

asymmetric adjustments in the ethanol and grains markets this paper examines the long and short run asymmetric adjustments and pairs trades for nine pairs of spot and futures prices itemized as three own pairs for three different bio fuel ethanol types three own pairs for three related agricultural products namely corn soybeans and sugar and three cross pairs that included hybrids of the spot price of each of the agricultural products and an ethanol futures price most of the spreads asymmetric adjustments generally occur during narrowing the three ethanol pairs that contain the ecbot futures with each of chicago spot new york harbor spot and western european rotterdam spot show different long run adjustments arbitrage profitable opportunities and price risk hedging capabilities the asymmetric spread adjustments for the three grains are also different with corn spread showing the strongest long run widening adjustment and sugar showing the weakest narrowing adjustment among others the empirical analysis indicates the importance of potentially hedging the spot prices of agricultural commodities with ethanol futures contracts which sends an important message that the ethanol futures market is capable of hedging price risk in agricultural commodity markets the short run asymmetric adjustments for individual prices in the nine pairs with the exception of the corn own pair underscore the importance of futures prices in the price discovery and hedging potential particularly for ethanol futures

productivity effects of land rental market operation in ethiopia evidence from a matched tenant landlord sample as countries increasingly strive to transform their economies from agriculture based into a diversified one land rental will become of greater importance it will thus be critical to complement research on the efficiency of specific land rental arrangements such as sharecropping with an inquiry into the broader productivity impacts of the land rental market plot level data for a matched landlord tenant sample in an environment where sharecropping dominates allow us to explore both issues the author fined that pure output sharing leads to significantly lower levels of efficiency that can be attenuated by monitoring while the inefficiency disappears if inputs are shared as well rentals transfer land to more productive producers but realization of this productivity advantage is prevented by the inefficiency of contractual arrangements suggesting changes that would prompt adoption of different contractual arrangements could have significant benefits

a general equilibrium analysis of option and stock market interactions the traditional pricing methodology in finance values derivative securities as redundant assets that have no impact on equilibrium prices and allocations this paper demonstrates that when the market is incomplete primary and derivative asset markets generically interact the valuation of derivative and primary security prices depend on the contractual characteristics of the derivative assets available in a version of the mossin mean variance model the authors analyze an equilibrium in which a call option derivative asset is traded and the equilibrium stock price primary asset increases when the options market is opened copyright 1991 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

an analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies the notion that a real security is redundant when it can be synthesized by a dynamic trading strategy ignores the informati onal role of real securities markets portfolio insurance uses a dyna mic strategy to synthesize a european put the absence of trading in an appropriate real put option prevents the transmittal of informatio n to market participants about the future price volatility associated with current dynamic hedging strategies less information is transmi tted to potential liquidity providers it will therefore be more di fficult for the market to absorb the trades implied by the dynamic he dging strategies and the stocks future price volatility will rise copyright 1988 by the university of chicago

new ways to assess and enhance land registry sustainability evidence from rwanda summary rwanda has recently implemented a nation wide program of first time land regularization ltr that many believe set new standards for the region we use administrative data combined with household survey and program rollout information to explore sustainability of the infrastructure created in this process including the impact of public efforts to increase registration of subsequent transactions we find that the program provided significant benefits in terms of gender equality and credit access while opening up new opportunities in terms of land taxation or land use planning but that high level of rural informality may undermine these in the medium to long term while public efforts to decentralize service provision helped to significantly reduce informality additional efforts are likely to be needed to ensure sustainability of the registry we discuss how rwanda can further move in this direction and draw out implications for other countries considering first time adjudication and registration of property rights

analysing agricultural land markets as organisations an empirical study in poland abstract analysing markets as organisations governed by a network of relational contracts that establish rules for market participants increases our understanding of exchange processes on the basis of three land market case studies in poland it is shown that market rules are shaped by the identity as well as constellation of actors and are designed to serve the common objectives of the members of the organisation market by decreasing transaction costs and protecting group interests

an investigation of the long run properties of aggregate non durable consumers expenditure in the united this paper estimates the effects of the modeling of nondurable consumption in the light of the five years of new data since the publication of the paper by j e h davidson et al 1978 and the development of the new cointegration technique of r f engle and c w j granger 1987 existing models are found to be inadequate on two grounds they fail parameter stability tests and they do not contain a suitable equilibrium specification the paper uses the cointegration approach to search for an encompassing model that is both stable and cointegrates the main finding is that the analysis must be extended to allow for differential income effects caused by changing higher rate income tax bands copyright 1989 by royal economic society

biofuels and food security the biofuel market created the linkage between energy and agricultural market prices biofuel policies and energy prices set the floor price of feedstock prices and the energy prices and the upper limit of the biofuel blend ratio can decide the ceiling of feedstock prices on the other hand biofuels can also transmit price volatility from energy to agricultural markets despite not always being the cause of price volatility of feedstock and related agricultural commodity prices brazilian bioethanol can play a crucial role in stabilizing the sugar market one of the most crucial problems for increasing biofuel production is the competition with food and food related demand and agricultural resources the definition of competition between biofuels and food can be divided into two dimensions the competition with food and food related demand and the competition with the agricultural resources the feedstock of the second generation biofuels can compete with food and food related demand and agricultural resources the development of second generation biofuels may not solve the problems associated with the competition between biofuels and food however the competition between biofuels and food doesn t always have a negative impact on food security the competition and food security impact on different dimensions biofuels can contribute to agricultural and rural development and can have a positive impact on a national and sub national level but they can also have a negative impact on household levels in the same country international action is required to monitor whether biofuels can have a negative impact on food security and nutrition security at national sub national and household levels biofuels should be compatible with and must not threaten food security the fao in collaboration with other international organizations will have the responsibility of monitoring the impact of biofuels on food security and proposing policy recommendations to individual countries based on the results of the monitoring

toward a green revolution in africa what would it achieve and what would it require the current global food crisis has reemphasized the costliness of africa s failure to achieve food security and poverty reduction the instrument by which other more successful developing countries achieved these outcomes was a green revolution in agriculture while previous research has provided largely discursive appraisals of the viability of an african green revolution this article adopts a more rigorous methodology to address that question first an economy wide multimarket model augmented with existing poverty growth elasticities is developed to assess the likely impacts of a rapid acceleration in food production of the kind witnessed in previous green revolutions on food prices consumption and demand farmer revenue and poverty our results suggest that a rapid growth in staple production together with more integrated regional markets would reduce food prices by roughly 20 40 for consumers and 10 20 for producers among the major crops this translates into a large rise in farm revenues annual agricultural growth rates of 6 5 or higher broader income growth and food security and over 70 million africans being lifted out of poverty the article concludes by emphasizing the kinds of fundamental policy actions and resources that would be required for achieving these outcomes

anatomy of a crisis the causes and consequences of surging food prices although the potential causes and consequences of recent rising international food prices have attracted widespread attention many existing appraisals are superficial and or piecemeal this article attempts to provide a more comprehensive review of these issues based on the best and most recent research as well as on fresh theoretical and empirical analysis we first analyze the causes of the current crisis by considering how well standard explanations hold up against relevant economic theory and important stylized facts some explanations turn out to hold up much better than others especially rising oil prices the depreciation of the u s dollar biofuels demand and some commodity specific explanations we then provide an appraisal of the likely macro and microeconomic impacts of the crisis on developing countries we observe a large gap between macro and micro factors which when identifying the most vulnerable countries often point in different directions we conclude with a brief discussion of what ought to be learned from this crisis

does sharecropping affect long term investment evidence from west bengal s tenancy reforms in india land reform has been high on the political agenda since independence in 1947 and early efforts at abolishing intermediaries are widely credited with having brought about significant social benefits the most prominent type is tenancy reform as it does not extinguish landlords ownership rights tenants who may have benefited from rent ceilings and cannot be evicted still have to pay annual share rent this weakness of rights may fail to create the incentives for effort supply and long term investment that have underpinned the success of land reforms elsewhere effectively adding a dynamic inefficiency to the disincentives created by the marshallian inefficiency of sharecropping this could imply that despite the high political price of implementing land reform in india the schemes so far have failed to reach their productivity and poverty reduction potential

food versus fuel what do prices tell us abstract sorting out the impacts of biofuels on global agricultural commodity prices is impossible without turning to data and distinguishing between the short run versus the long run impacts using time series prices on fuels and agricultural commodities the aim is to investigate the long run cointegration of these prices simultaneously with their multivariate short run interactions results indicate no direct long run price relations between fuel and agricultural commodity prices and limited if any direct short run relationships in terms of short run price movements sugar prices are influencing all the other agricultural commodity prices except rice with sugar the number one world input for ethanol results indicate increased ethanol production is potentially influencing short run agricultural commodity prices overall results support the effect of agricultural commodity prices as market signals which restore commodity markets to their equilibria after a demand or supply event shock

local and personal networks in employment and the development of labor markets evidence from the cut flower industry in ethiopia summary we examine the roles of local and personal networks in the employment process and the emergence and development of the labor market in ethiopia s growing cut flower industry using primary survey data of 320 workers randomly sampled from all 64 farms we find that workers who were recruited informally using the social ties were paid less than the formally recruited workers at hiring however these workers quickly increased their productivity and the effect of social ties on wages disappeared over time further we find that the development of labor market for this newly emerged industry took place particularly within the industrial cluster

fossil fuel price uncertainty and feedstock edible oil prices evidence from mgarch m and virf analysis abstract this paper focuses on examining the impact of crude oil price volatility on the price changes of major edible oils rapeseed soybean and sunflower which are the main feedstock for the biodiesel industry in the european union for this purpose a four variate version of non diagonal garch in mean model that allows for asymmetry in the variance covariance matrix is used an important conclusion that emerges from this study is that the crude oil price uncertainty appears to be responsible for a significant decline in price returns of major feedstock edible oils considered in this study the volatility impulse response analyses support the conclusion that the conditional variances of both edible and crude oil and covariances between them are generally highly responsive to historical shock however the size of the impacts is mainly commodity specific finally we investigate the causality from crude oil price volatility to edible oil prices and the effects of oil price shocks on edible oil prices by using the granger causality test and generalized impulse response function analysis respectively the empirical results show that there is strong evidence of causality from crude oil price volatility to all edible oil prices under study and generalized impulse response analysis shows that the edible oil markets significantly respond to the shocks in oil prices

intraday volatility in the stock index and stock index futures markets we examine the intraday relationship between returns and returns volatility in the stock index and stock index futures markets our results indicate a strong intermarket dependence in the volatility of the cash and futures returns price innovations that originate in either the stock or futures markets can predict the future volatility in the other market we show that this relationship persists even during periods in which the dependence in the returns themselves appears to weaken the findings are robust to controlling for potential market frictions such as asynchronous trading in the stock index our results have implications for understanding the pattern of information flows between the two markets article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

the impact of the listing of options in the foreign exchange market abstract this paper documents the impact of the introduction of foreign currency options and options on foreign currency futures on the underlying securities we find that the volatility of exchange rates decreases following the listing of options for a majority of the currencies under consideration in addition we find that trading volume and open interest in currency futures increases after option introduction this evidence is consistent with the notion that derivative securities are important innovations for stabilizing and increasing liquidity in the market for the underlying assets

how policies affect international biofuel price linkages abstract we estimate the role of biofuel policies in determining which country is the price leader in world biofuel markets using a cointegration analysis and a vector error correction vec model weekly prices are analyzed for the eu us and brazilian ethanol and biodiesel markets in the 2002 2010 and 2005 2010 time periods respectively the us blender s tax credit and brazil s consumer tax exemption are found to play a role in determining the ethanol prices in other countries for biodiesel our results demonstrate that eu policies the consumer tax exemption and blending target tend to determine the world biodiesel price

cattle as a consistently resilient agricultural commodity this study compares a range of agricultural commodities over periods of varying economic circumstances these commodities are examined over three categories including returns risk and contributi

risk coping land tenure and land markets an overview of the literature over the last decades a significant amount of literature has been published on informal risk coping in developing countries in this paper we review how informal risk coping has been addressed in the land tenure literature from two main perspectives a first stream of research looks at how customary tenure and communal property perform key informal risk coping functions a second subset of this literature analyses how informal risk coping creates land market imperfections through sharecropping or distress sales the segmentation of the literature results from the demsetzian property rights framework further research on risk coping and land tenure would benefit from examining recent work on property regimes

the impact of energy derivatives on the crude oil market we examine the effects of energy derivatives trading on the crude oil market there is a common public and regulatory perception that derivative securities increase volatility and can have a destabilizing effect on the underlying market consistent with this view we find an abnormal increase in volatility for three consecutive weeks following the introduction of nymex crude oil futures while there is also evidence of a longer term volatility increase this is likely due to exogenous factors such as the continuing deregulation of the energy markets subsequent introductions of crude oil options and derivatives on other energy commodities have no effect on crude oil volatility we also examine the effects of derivatives trading on the depth and liquidity of the crude oil market this analysis reveals a strong inverse relation between the open interest in crude oil futures and spot market volatility specifically when open interest is greater the volatility shock associated with a given unexpected increase in volume is much smaller

forecasting the good and bad uncertainties of crude oil prices using a har framework abstract good or bad uncertainty is the volatility that is associated with positive or negative innovations to asset prices this paper proposes new heterogeneous autoregressive type har type models to forecast the good and bad uncertainties of crude oil prices in this paper we investigate the effects of lagged bad and good uncertainties daily positive and negative signed jump variations and leverages on predicting good and bad uncertainties by in sample and out of sample analysis the in sample results show that bad and good uncertainties have long memory property and the predictability of long term good and bad uncertainties is stronger than that of short and mid term good and bad uncertainties the out of sample results indicate that lagged bad or good uncertainties daily positive signed jump variation and daily negative signed jump variation contain incremental out of sample information for forecasting good or bad uncertainties and in most cases lagged leverages also play indispensable roles in forecasting the good and bad uncertainties in the crude oil market moreover the results of out of sample analysis remain robust across using the other estimation window other har type models and the other sample

new panel unit root tests of ppp abstract we use the new panel unit root tests im k s pesaran m h shin y 1995 testing for unit roots in heterogenous panels wp 9526 dae university of cambridge revised march 1997 to analyse the stationarity of real exchange rates for the g10 economies and switzerland our results for monthly data 1973 96 indicate mean reversion in real exchange rates and a half life of under three years for one off shocks

credit and land contracting a test of the theory of sharecropping author s das n de janvry a sadoulet e abstract 2019 the author s 2019 published by oxford university press on behalf of the agricultural and applied economics association all rights reserved for permissions please email journals permissions oup com choice of a share vs fixed rent land rental contract has figured prominently in the theory of industrial organization this theory tells us that while a share contract is inefficient in a first best world it may be the preferred option under second best conditions it has thus predicted the existence of sharecropping as the potentially preferred contract under conditions of liquidity constraint rigorous empirical evidence is however still lacking on this basic contribution of theory we use a randomized experiment in a credit program for landless workers and marginal farmers organized by brac in bangladesh to show that increased access to credit has a large positive effect on the choice of fixed rent over share rent contracts both in terms of number of contracts and area contracted as predicted by theory the magnitude of this shift away from sharecropping is enhanced when the tenant is less exposed to risk development programs that facilitate access to credit to potential tenants can thus help them take more efficient land rental contracts

the stationarity of consumption income ratios evidence from minimum lm unit root testing abstract previous research concerning the stationarity of the consumption income ratio is extended via the application of the minimum lm unit root tests of lee and strazicich 2003 lee j and strazicich m 2003 minimum lm unit root test with two structural breaks review of economics and statistics 85 1083 1089 it is found that incorporation of structural change under the null reverses earlier findings of non stationarity with the unit root hypothesis rejected for all 20 oecd economies examined

the impact of oecd biofuels policies on developing countries oecd countries biofuels policies derived from energy and environmental legislation and activated by high oil prices were the primary cause of not only the sudden spike in grain and oilseed prices in 2007 2008 but also of the ensuing price volatility even though developing countries have a comparative advantage in biofuels production they were shut out of rich countries biofuel markets by trade discriminating biofuels policies developing countries would not have been able to take full advantage of the price spike in the short run anyway given the low supply elasticities and the long time required for biofuel production to come online unlike for corn ethanol the controversy over the right price of food is misplaced and policy makers should instead focus on improving biofuels policies which like their counterpart agricultural policies in previous decades have damaged the welfare of developing countries

volatility spillover between oil and agricultural commodity markets abstract this study examines volatility transmission between oil and selected agricultural commodity prices wheat corn soybeans and sugar we apply the newly developed causality in variance test and impulse response functions to daily data from 01 january 1986 to 21 march 2011 in order to identify the impact of the food price crisis the data are divided into two sub periods the pre crisis period 01 january 1986 to 31 december 2005 and the post crisis period 01 january 2006 21 march 2011 the variance causality test shows that while there is no risk transmission between oil and agricultural commodity markets in the pre crisis period oil market volatility spills on the agricultural markets with the exception of sugar in the post crisis period the impulse response analysis also indicates that a shock to oil price volatility is transmitted to agricultural markets only in the post crisis period this paper thereby shows that the dynamics of volatility transmission changes significantly following the food price crisis after the crisis risk transmission emerges as another dimension of the dynamic interrelationships between energy and agricultural markets

economic behavior under uncertainty a joint analysis of risk preferences and technology a method is developed to estimate jointly risk preferences and technology under general conditions the approach is illustrated in an application to the analysis of u s corn soybean acreage decisions over time the results provide useful information on the nature of farmers risk preferences and on the influence of price risk and production risk on acreage allocation and farmers welfare copyright 1996 by mit press

personal networks and nonagricultural employment the case of a farming village in the philippines abstract this article based on an intensive village survey in the philippines analyzes the effects of personal networks on rural villagers access to nonagricultural occupations and the terms of employment given to them a key finding is that personal networks are selectively used to reduce transaction costs and their impacts on employment conditions vary by size and by location of enterprises we find that when villagers are employed in unskilled work at small enterprises those who use family relative networks receive wage premiums however if we limit our sample to small enterprises located near our study village the family relative network premiums become insignificant presumably because of the overriding influence of the community wide network within a narrow local community contrary to the case of small enterprises unskilled workers wages at large enterprises are not much affected by personal networks but are largely determined by years of schooling and work experience the recent developmen

the meaning of kinship in sharecropping contracts analysis of a household survey from the philippines shows that the behavior of sharecroppers with a kinship relation with their landlord is not affected by the disincentive effects of product and factor sharing while behavior of the other sharecroppers responds to the contract terms we characterize the meaning of kinship ties through a survey of opinion conducted among tenants the survey shows that kin landlords help or are expected to help more frequently in case of emergency than other landlords and they do so with a wider range of instruments providing the incentive for cooperative behavior in sharecropping contracts among kin

is the consumption income ratio stationary in african countries evidence from new time series tests that allow for structural breaks abstractthis article examines whether the consumption income ratio is stationary in 50 african countries we use the residual augmented least squares rals lm unit root test that allows for struct

dynamic spillover between commodities and commodity currencies during united states q e abstract this paper comprehensively discusses the dynamic relationship between commodities and commodity currencies particularly during the u s quantitative easing qes by integrating the generalized spillover index into a fractionally integrated var fivar model our empirical analyses reach the following conclusions first the static return and volatility spillovers analyses show that the food is the only net receiver among all the commodity price indices second the dynamic total return and volatility spillover accelerated growth in term of the index by roughly between 15 and 25 for four regional groups during the initiation of the qe1 and subsequently remained across the first two rounds of the u s qe nevertheless both the total return and volatility spillover declined in the midst of the qe3 as the u s federal reserve signaled the qe tapering due to the anticipated u s economic recovery third the energy and metals components were the largest net transmitters of return and volatility spillovers during the u s qes a possible interpretation is that demand for energy and metals increase associated with an increase in economic activity that is triggered by the u s qes last almost all the sample commodity currencies acted as net receivers of return and volatility spillovers during the u s qes supporting the pass through of commodities to commodity currencies

energy and food security linkages through price volatility abstract this study examines the linkages between energy price and food prices over the period 2000 2016 by using a panel var model in the case of eight asian economies our results confirm that energy price oil price has a significant impact on food prices according to the results of impulse response functions agricultural food prices respond positively to any shock from oil prices our results show that there is a linkage between energy and food security through price volatility since inflation in oil price is harmful for food security it would be necessary to diversify the energy consumption in this sector from too much reliance on fossil fuels to an optimal combination of renewable and nonrenewable energy resources that will be in favor of not only the energy security by also the food security in addition the paper found that the impact of biofuel prices on food prices is statistically significant but explains less than 2 of the food price variance however by increasing the demand for biofuel there should be more concern about the global increase in agricultural commodities prices and endangering food security especially in vulnerable economies

insecure land rights and share tenancy evidence from madagascar most studies of tenurial insecurity focus on its effects on investment this paper studies the hitherto unexplored relationship between tenurial insecurity and land tenancy contracts based on distinct features of formal law and customary rights in madagascar this paper augments the canonical model of sharecropping by making the strength of the landlord s property right increasing in the amount of risk she bears within the contract using data on landlords subjective perceptions in rural madagascar empirical tests support the hypothesis that insecure property rights drive contract choice but offer little support in favor of the canonical risk sharing hypothesis