s p 500 cash stock price volatilities s p 500 stock return volatilities are compared to the volatilities of a matched set of stocks after controlling for cross sectional differences in firm attributes known to affect volatility no significant difference in volatility is observed between 1975 and 1983before the start of trade in index futures and index options since then s p 500 stocks have been relatively more volatile the difference is statistically but not economically significant the relative increase occurs primarily in daily returns and only to a lesser extent in longer interval returns other factors besides the start of derivative trade could be responsible for the small increase in volatility stock price volatility has received much attention in the popular press over the last few years especially since the october 19 1987 stock market crash the rise in volatility has alarmed investors regulators and the public in general some suggest that the start of trade in stock index futures and index options increased speculative activity that in turn destabilized cash markets causing higher volatility large trading activity in the derivative contracts makes the suggestion plausible volume in index futures and index options increased dramatically since their introductions in 1982 and 1983 by 1987 the average daily dollar volume in the s p 500 futures contracts alone exceeded the dollar volume of cash s p 500 trade by a factor of about two while the dollar value of the daily net change in total open interest is about 8 of s p 500 stock dollar volume speculative trade in futures and options frequently is accused of destabilizing underlying cash markets the charge has been made for more than a century in the agricultural precious metal and currency markets recent evidence by french and roll 1986 showing stock variance to be strongly related to trading session hours heightens these concerns unfortunately theoretical analyses of whether speculative trade destabilizes cash markets lead to conflicting conclusions depending on what assumptions are made 1 school of business administration university of southern california and office of economic analysis u s securities and exchange commission i wish to thank mary denny mcsweeny and steve hornstein for their valuable research assistance and the referee and editor for their many suggestions and insights the opinions expressed in this paper do not necessarily reflect those of the u s securities and exchange commission or those of the author s colleagues on its staff an increase in well informed speculative trade has two opposite effects on measured volatility it decreases volatility due to order flow imbalances caused by uninformed traders because informed traders provide liquidity in such events and it increases volatility due to new fundamental information since the information which is assumed to be generated at discrete time intervals is impounded into

agricultural price instability a survey of competing explanations and remedies there are two explanations for agricultural price dynamics one follows cobweb logic and models fluctuations driven by expectation errors but emphasises that these expectations create complex dynamics and possibly chaos the other stems from the rational expectations tradition of dynamics driven by real shocks the empirical evidence tends to support the latter but is not conclusive the rational expectations model generates an optimal dynamic path from which no improvement can be expected from public intervention however if we take account of all the potential market failures in agricultural markets and especially in developing countries this conclusion might require some qualifications although an appropriate policy design for stability has still to be achieved this paper surveys the positive and normative literature on agricultural prices highlighting empirical evidence and identifying remaining unresolved issues

on the accuracy of the mean variance approximation for futures markets abstract simple approximate fomulae for the volume and gains from futures trading are derived using the mean variance model the errors involved are exactly quantified and shown to be negligible for the futures price and welfare gains though potentially larger for volumes

spot and futures prices of nonstorable commodities under rational expectations the paper examines the effect of the presence of a commodity futures market upon the price formation process in a stochastic rational expectations framework an optimizing model with price uncertainty and risk aversion is used in order to solve equilibrium distributions of prices for nonstorable commodities the existence of futures trading does not affect the degree of short term spot price fluctuations however if the commodity market disturbance that originates from stochastic consumption demand is serially dependent then the long term price variation is smaller with a futures market than without it futures prices fluctuate less variably over time than spot and expected prices finally there exists a futures intervention rule whereby the authority can stabilize spot prices and raise the overall welfare of society

simulating the impacts of contract supplies in a spot market contract market equilibrium setting this article embeds a principal agent model within a market equilibrium model of contract and cash markets to analyze the impact of contracting on the spot market for hogs the equilibrium model incorporates both quality differentiation in the contract market and an endogenously determined cash market price for three types of contracting scenarios market equilibrium conditions are derived and results are presented for a numerical example contrary to some empirical results our model shows that the increased supply of hogs under typical formula price contracts can increase or decrease the cash market price depending on the relative size of overall contract supplies

some models for estimating technical and scale inefficiencies in data envelopment analysis in management contexts mathematical programming is usually used to evaluate a collection of possible alternative courses of action en route to selecting one which is best in this capacity mathematical programming serves as a planning aid to management data envelopment analysis reverses this role and employs mathematical programming to obtain ex post facto evaluations of the relative efficiency of management accomplishments however they may have been planned or executed mathematical programming is thereby extended for use as a tool for control and evaluation of past accomplishments as well as a tool to aid in planning future activities the ccr ratio form introduced by charnes cooper and rhodes as part of their data envelopment analysis approach comprehends both technical and scale inefficiencies via the optimal value of the ratio form as obtained directly from the data without requiring a priori specification of weights and or explicit delineation of assumed functional forms of relations between inputs and outputs a separation into technical and scale efficiencies is accomplished by the methods developed in this paper without altering the latter conditions for use of dea directly on observational data technical inefficiencies are identified with failures to achieve best possible output levels and or usage of excessive amounts of inputs methods for identifying and correcting the magnitudes of these inefficiencies as supplied in prior work are illustrated in the present paper a new separate variable is introduced which makes it possible to determine whether operations were conducted in regions of increasing constant or decreasing returns to scale in multiple input and multiple output situations the results are discussed and related not only to classical single output economics but also to more modern versions of economics which are identified with contestable market theories

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

assessing the economic costs of a foot and mouth disease outbreak on brittany a dynamic computable general equilibrium analysis abstract outbreaks of animal diseases such as foot and mouth disease fmd are of great concern for agriculture in this paper we quantify the potential dynamic impacts of such a disease on brittany a french region with an important livestock sector in order to do this we develop a dynamic computable general equilibrium model that allows us to measure the impacts on the livestock sectors and downstream food industries we study the impacts of a fmd outbreak including the culling infected animals a temporary decline in demand and restrictions on movements of live animals and meats during the fmd outbreak period our results show that economic losses following this disease are spread over many periods even with a one time shock we also find that the impacts on the various primary sectors and downstream food sectors are quite different depending on their initial trade position our general equilibrium results show the great incidence of potential constraints affecting factor markets capital and wage constraints severely increase the aggregate costs of such disease these results challenge the definition of a simple efficient management policy for this disease

do futures benefit farmers simulations are used to analyze welfare and market and farm level effects of making futures available to producers of a storable commodity key features of the model are the explicit consideration of dynamic impacts due to inventories and of aggregate market effects associated with futures adoption by some producers application to the natural rubber market shows that futures availability can lead to sizeable market and farm level effects futures availability enhances consumer welfare reduces non adopter welfare and yields important welfare gains for adopters when their market share is small and welfare losses when they account for a sufficiently large market share

soybean inventory and forward curve dynamics we present two results concerning soybean prices first we exhibit a simple relationship between stocks and price volatility the observation of an increasing price volatility with decreasing inventory is often mentioned in the literature but has so far been documented using a proxy for inventory see fama and french 1987 1988 litzenberger and rabinowitz 1995 instead we reconstruct a yearly quarterly and monthly database of worldwide soybean inventories using aggregate data from the united states brazil and argentina we show that under all time scales price volatility is an increasing linear function of inverse inventory which we term scarcity second we show how the addition of the factor scarcity in a state variable approach to the dynamics of the term structure of soybean forward prices improves the quality of the fit we document this property on a 25 year database of cbot futures contracts and show that the superior accuracy also affects long maturity futures contracts an important property for the valuation of long term origination contracts between producing countries and the agrifood industry

forward exchange futures trading and spot price variability a general equilibrium approach we investigate the effect of opening a forward or futures market on spot price or real exchange rate variability in a two agent two good two state general equilibrium model we derive a linear approximation to the change in spot price variability which results from opening such a market this is shown to depend upon such familiar parameters as substitution elasticities marginal propensities to consume and degrees of risk aversion our analysis highlights the importance of the income transfers which occur as a result of capital gains and losses in the forward market we find that there is some presumption in favor of the view that opening a forward market reduces spot price variability the presumption is strengthened the less risk averse are agents the central issue addressed in this paper has long been a subject for debate both practical and academic it concerns the effect of forward and futures trading on the stability of spot prices in the markets for both foreign exchange and for commodities in the real world this issue is of obvious importance some active futures markets have been closed on the grounds of their alleged destabilizing effects on prices 2 thus it is no surprise that this topic has been the subject of extensive empirical research 3 recently moreover a number of theoretical studies on this topic have appeared see peck 1976 turnovsky 1979 1983 sarris 1980 kawai 1983a 1983b 1984 and turnovsky and campbell 1985 the existing studies without exception adopt a partial equilibrium approach as a general consequence of this therefore these studies ignore completely any income effects generated by the creation of forward and futures markets the present paper in contrast takes a general equilibrium approach in order to analyze the question in the context of markets where income effects can be expected to play a significant role we shall argue in section 2 that forward and futures transactions in foreign exchange and in agricultural output may be thought of as dealing in futures contracts for broad commodity aggregates income effects which appear in the spot markets for such aggregates affect futures transactions significantly in order to analyze such general equilibrium effects we develop a rational expectations model with futures and spot markets the effect of opening a forward or futures market is isolated by comparing equilibria in our futures spot market model when the futures market is open and when it is closed the difference

destabilizing role of futures markets on north american hard red spring wheat spot prices the objective of the paper is to determine if the futures prices of hard red spring wheat hrsw have stabilizing or destabilizing impact on spot hrsw price in north america several important results emerge from thorough empirical analysis first both granger causality tests and directed acyclic graph algorithms dags point to two way causality between futures and spot hrsw prices and thus endogeneity in both prices formation to the contrary both procedures suggest that ending stocks are exogenous to spot and futures hrsw prices both vector error correction model and impulse response functions point to a large and long lasting impact of a shock to futures price on spot price level finally variance decomposition analysis indicates that futures prices are responsible for the bulk of spot price volatility in both short and long run our result is consistent with those of theoretical models suggesting that when production supply side is the dominant disturbance spot price is destabilized in both the short and the long run by futures prices an important implication of this research is the need for alternative market mechanisms or alternative farm policy measures that would mitigate price risk and ensure sustainable farming of american hrsw farmers

a malmquist based approach to change in local economic well being murias p novello s and martinez roget f a malmquist based approach to change in local economic well being regional studies the focus on the multifaceted nature of well being has increased substantially in recent years this paper employs data envelopment analysis dea combined with the malmquist index to examine the temporal change in the economic well being of spanish provinces over the ten year period between 1996 and 2006 this method not only allows the aggregation of multiple indicators and the estimation of well being shifts over time but also shows the sources of variation in local economic well being the results seem to suggest that whilst economic well being has improved in the great majority of provinces this advancement stems largely from a more favourable environment than from the specific capacity of each province to reduce its relative distance from key benchmarks

alternative measures of environmental technology structure in dea an application abstract the nonparametric data envelopment analysis dea literature on environmental efficiency ee considers handling undesirable outputs in two alternative ways either in their original forms with the assumption that these are weakly disposable or in various translated forms with the assumption that these are strongly disposable choosing a particular approach implies adoption of a particular distinct treatment of undesirable outputs and hence yields a distinct set of ee estimates to explore the effects of the interplay between choice of ee measure and specific treatment of undesirable outputs this paper attempts to generate all possible output oriented ee measures based on these two alternative approaches furthermore guided by the argument that slacks are important in identifying properly the efficiency behavior of firms it proposes two new alternative slacks based formulations of ee one based on the range directional model and the other on the generalized proportional distance function model using a confected data set of ten firms and a real life data set of 22 oecd countries our empirical analysis reveals that first ee scores are influenced not only by the choice of disposability assumption for undesirable outputs but also by the way these are treated in various translated forms second the choice of any particular treatment of undesirable outputs plays no role in influencing the rankings of firms and third our two new alternative ee formulations are at the least viable alternatives to existing ee measures in ranking firms according to their eco efficiency behavior

the determination of spot and futures prices with storable commodities this paper analyzes the effects of futures trading in a market for a storable commodity in which producers and speculators are assumed to be risk averse and specifications of the aggregate supply and inventory demand functions are derived from explicit optimization a critical aspect is how the parameters of these functions change with the introduction of the future market as it is through these induced parameter changes that the futures market exerts its influence on the spot price the effects of the futures market on both the long run average spot price and its variance are analyzed while we are unable to draw any definitive conclusions on this issue we find that in all cases considered the futures market stabilizes the spot price as well as lowering its long run mean for many years now the question of the effects of futures trading on the stability of spot prices has been extensively debated this topic has been discussed at various levels for example farmers and agricultural interest groups have claimed that futures trading destabilizes spot prices thereby imposing welfare losses on the economy in the united states congress has decided that futures trading can cause price destabilization and has subjected futures trading to the regulation of the commodity futures trading commission at a more analytical level economists have been investigating the issue both empirically and more recently theoretically as well

capstone or deadweight inefficiency duplication and inequity in south africa s tertiary education system 1910 93 this paper presents time series on south african tertiary education the data series presented cover inputs and outputs for the university technical training and teacher training systems modern growth theory has emphasised the importance of human capital though empirical studies have attempted to isolate human capital impacts through single aggregate measures that capture only a quantity of human capital dimension while data analysis in the present study is exploratory in nature we show that strong quality differentials exist both within and between different parts of the tertiary education system the methodological implication for growth studies is that fully accounting for both the quantity and quality of human capital in aggregate human capital measures thus faces significant measurement difficulties the data also establish that discrimination in the south african tertiary education was not simply a question of underresourcing of black institutions quality of output was low but attaining it was frequently very expensive copyright 2003 oxford university press

an alternative approach to monetary aggregation in dea this paper proposes a set of alternative dea based money indices that are proved to be both theoretically and empirically competing monetary aggregates since they perform as good as the divisia aggregates based on all the results concerning causality forecasting and money demand we conclude that dea money aggregates prove to be at least competing alternatives to the divisia aggregates and hence suggest that these new aggregates may be considered along with the existing weighted monetary aggregates like the divisia ones given the inherent benefit of the doubt weighting mechanism underlying the dea models where the optimal weight assigned by dea to each monetary asset reflects the ongoing financial innovation and the reserve bank of india s policy priority in the distribution of total liquidity we feel that the dea money indices can truly capture the liquidity better with ongoing financial innovations in the economy

infrastructural investment in long run economic growth south africa 1875 2001 summary productive public expenditure in the area of infrastructure such as roads transportation and housing can play an important role in promoting economic growth and encouraging private investment developments in endogenous growth theory introduce the possibility of a productive role for public expenditure this paper seeks to explain the relationship between investment in economic infrastructure and long run economic growth by examining the experience of south africa in a time series context the main findings that emerge from our examination of economic growth and economic infrastructure in south africa may be summarized as follows investment in infrastructure does appear to lead economic growth in south africa and does so both directly and indirectly the latter by raising the marginal productivity of capital there is weak evidence of feedback from output to infrastructure while the finding of an infrastructure growth impact is robust

optimal inventory policies when purchase price and demand are stochastic in this paper we consider the problem of a firm that faces a stochastic poisson demand and must replenish from a market in which prices fluctuate such as a commodity market we describe the price evolution as a continuous stochastic process and we focus on commonly used processes suggested by the financial literature such as the geometric brownian motion and the ornstein uhlenbeck process it is well known that under variable purchase price a price dependent base stock policy is optimal using the single unit decomposition approach we explicitly characterize the optimal base stock level using a series of threshold prices we show that the base stock level is first increasing and then decreasing in the current purchase price we provide a procedure for calculating the thresholds which yields closed form solutions when price follows a geometric brownian motion and implicit solutions under the ornstein uhlenbeck price model in addition our numerical study shows that the optimal policy performs much better than inventory policies that ignore future price evolution because it tends to place larger orders when prices are expected to increase

strategic corporate social responsibility and economic performance this article proposes a novel corporate social responsibility csr index based on a data envelopment analysis dea model acknowledging the argument that companies might favour those csr dimensions that provide strategic competitive advantages we argue that the index can capture companies strategic approach to csr furthermore our findings reveal a neutral relationship between this strategic csr index and economic performance as measured by return on assets roa and tobin s q when controlling for firm unobserved heterogeneity and past economic performance by contrast an equally weighted index of the same csr indicators is found to be negatively related with roa which reinforces our claim that this specific dea based index is a measure of strategic csr

an analysis of the stabilizing and welfare effects of intervention in spot and futures markets this paper analyzes the effects of three alternative rules on the long run distributions of both the spot and futures prices ina single commodity market in which the key behavioral relationships are derived from the optimizing behavior of producers and speculators the rules considered include i leaning against the wind in the spot market ii utility maximizing speculative behavior by the stabilization authority in the futures market iii leaning against the wind in the futures market since the underlying model is sufficiently complex to preclude analytical solutions the analysis makes extensive use of simulation methods as a general proposition we find that intervention in the futures market is not as effective in stabilizing either the spot price of the futures price as is intervention in the spot market indeed rule iii while stabilizing the futures price may actually destabilize the spot price furthermore the analogous type of rule undertaken in the spot market will always stabilize the futures price to a greater degree than it does the spot price the welfare implications of these rules are also discussed our analysis shows how these can generate rather different distributions of welfare gains including the overall benefits this abstract was borrowed from another version of this item

hedging price risks of farmers by commodity boards a simulation applied to the indian natural rubber market abstract this paper investigates a hypothetical hedging scheme in a domestic commodity market under which a commodity board offers a forward contract to domestic producers and local traders and covers its commitments on an international futures exchange it is aimed to quantify welfare gains to agents in the market and costs and benefits of the board empirically the empirical work is based on the indian natural rubber market and the tokyo commodity exchange tocom for the period 1990 95 the hedging scheme is shown to increase welfare substantially particularly welfare of growers the costs of such a facility for the commodity board basis risk are negligible if the forward price offered on the domestic market is a small fraction below the international futures price the board can prevent losses at only slightly lower welfare gains

derivative securities and cash market stability this study investigates the effect of introducing interest rate futures and options on the price variances in related financial cash markets standard research approaches to this issue relate cash price stability before the introduction of futures and options trading to cash price stability after trading in the derivative security begins however controlling for the additional factors that may also effect cash markets is difficult the approach employed here to deal with this obstacle is motivated by recent theoretical research relating cash and futures markets but hitherto not operationalized to empirically test for a relationship between the markets varying parameter models of 1 the demand for short term treasury securities 2 the demand for large time deposits and 3 the supply of large time deposits are specified such that changes in the parameters imply changes in the volatility of the cash price these parameters are modelled as functions of the trading volume of interest rate futures and o

demand uncertainty and price stabilization price stabilization is an important policy goal of government intervention in competitive markets these policies are primarily directed at raising producer income and stabilizing market prices at levels acceptable to consumers and producers fox 1956 turnovsky 1978 newbery and stiglitz 1979 many of the stabilization policy results have been developed from the study of agricultural commodity markets in these markets prices tend to be highly variable due to uncertain and inelastic supply and demand schultz 1945 gardner 1981

a privately revealing rational expectations equilibrium for the futures market abstract this paper develops a model of the futures market with two types of participants farmers and speculators farmers undertake production decisions and face both output and spot price risk as opposed to speculators who face only spot price risk agents have constant absolute risk aversion von neumann morgenstern utility functions and form rational expectations about the future output shock and spot price we assume that traders specialize in information collection in our model the futures price is not a sufficient statistic for the market information we show that the rational expectations equilibrium ree futures price is privately revealing to traders who purchase costly information this ree is efficient in the sense that in equilibrium traders are in possession of all market information we demonstrate that traders a have an incentive to collect costly information and b are better off by specializing in collecting the information in which they have a comparative advantage in terms of the quality of the information that they can obtain finally we show that the futures market stabilizes the spot price

real effects of futures speculation asymptotically rational expectations to what extent does the diversity in the forecasting ability of futures speculators simply result in transfers of wealth among themselves and to what extent does it affect the allocation of resources on the basis of bayesian analysis it is assumed that the variance of forecast errors between the subjective and objective expectations of the subsequent price differs among groups two major conclusions are as follows 1 if given our parameter estimates the forecast error variance of the amateur speculators is less than six times that of the professionals then the existence of futures markets will lower the expected price to consumers increase expected output and lower the variance of the price 2 since small speculators lose to the professionals the relative variance of the forecast error of the amateurs to the professionals exceeds their relative weights as measured by the ratio of numbers to average risk aversion

a simple competitive model with production and storage we study a rational expectations partial equilibrium model of a market for a single storable commodity whose output each period is a function of previous period effort on production and a realization of a shock that affects equally all producers i he final demand is non random and depends only on each period s price risk neutral producers make production and storage decisions based on forecasts of future price distributions existence of equilibrium is proved and for the case of i i d shocks several comparative statics results are established as well as the existence and stability of a unique stationary distribution and whose output at each period is a multiplicative function of previous period s planting and of the realization of a shock that affects equally all producers the final demand for this good is non random and depends only on this period s price this describes approximately markets for agricultural products which are not traded internationally and where most of the price uncertainty stems from supply shocks risk neutral producers make their decisions based on forecasts of future price distributions and of known cost functions of storage and production to maximize their discounted profits in order to close the model an assumption on how such price forecasts are made is needed we assume that agents make equilibrium forecasts i e that their forecast is common and that when producers act taking the forecasted prices as given they make decisions that yield the forecasted prices as equilibrium prices this is of course what has been sometimes called rational expectations the assumption of equilibrium expectations and the presence of risk neutral pro ducers will imply that the equilibrium variables may be obtained by considering a related market surplus maximization problem 1 this places strong restriction on the stochastic process of equilibrium prices for the case where the basic shocks are assumed to be independently and identically distributed over time one may thus show that equilibrium prices are a function of a certain state variable the total stocks kept from last period plus this period s output and this allows us to derive properties of equilibrium solutions our main results concerning this case are a storage is a non increasing function of price and expected production a non decreasing one b the elasticity of expected future prices with respect to today s prices is positive and less than one c this elasticity is non constant being zero for high enough prices d the price process follows a renewal process if prices are low

radial dea models without inputs or without outputs in this paper we consider radial dea models without inputs or without outputs and radial dea models with a single constant input or with a single constant output we demonstrate that i a ccr model without inputs or without outputs is meaningless ii a ccr model with a single constant input or with a single constant output coincides with the corresponding bcc model iii a bcc model with a single constant input or a single constant output collapses to a bcc model without inputs or without outputs and iv all bcc models including those without inputs or without outputs can be condensed to models having one less variable the radial efficiency score and one less constraint the convexity constraint

productivity measurement in radial dea models with a single constant input abstract we consider productivity measurement based on radial dea models with a single constant input we show that in this case the malmquist and the hicks moorsteen productivity indices coincide and are multiplicatively complete the choice of orientation of the malmquist index for the measurement of productivity change does not matter and there is a unique decomposition of productivity change containing two independent sources namely technical efficiency change and technical change technical change decomposes in an infinite number of ways into a radial magnitude effect and an output bias effect we also show that the aggregate productivity index is given by the geometric mean between any two periods of the simple arithmetic averages of the individual contemporaneous and mixed period distance functions

a note on futures markets with small price and production risks when the spot price and production risk are jointly normally distributed the mean variance approach has little theoretical justification the authors use taylor approximations instead and show the three results one farmers hedge less than expected production when the futures price is less than or equal to the expected spot price two when the futures price equals the expected spot price farmers facing production risk produce less than those without production risk three normal backwardation contango prevails in the markets when correlation between the spot price and production risk is smaller greater in absolute value than the ratio of coefficients of variation of these variables copyright 1992 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

u s farm policy and the volatility of commodity prices and farm revenues a dynamic three commodity rational expectations storage model is used to compare the impact of the federal agricultural improvement and reform fair act of 1996 with a free market policy and with pre fair policies results suggest that fair did not lead to significant increases in long run price volatility or revenue volatility the main impact of pre fair relative to the free market regime was to substitute government storage for private storage in a way that did little to support prices or to stabilize farm incomes results also indicate that u s grain market volatility in 1995 2000 was due to fundamental market forces and not to fair copyright 2002 oxford university press

applying integrated dea ahp to evaluate the economic performance of local governments in china this paper aims at integrating data envelopment analysis dea and analytic hierarchy process ahp to evaluate the economic development achieved by local governments in china since most similar evaluations are multi objection problems which both dea and ahp are capable of solving the integration of these two approaches is shown to be even more powerful the proposed integrated dea ahp model can evaluate and rank different alternatives in addition a time scale comparison of the economic performances of local governments in china was carried out using the malmquist productivity index mpi which indicated that there is a trend of economic growth however empirical results indicate that after discounting the advantages of location and political connections the east district provinces of china do not have superior economic performance or a better mpi index as compared with other districts this result is contrary to our original hypothesis

forward market equilibrium economists have long been interested in the functioning of forward futures markets keynes and hicks were the first to write persuasively in support of the theory of normal backwardation this theory says the futures price is biased downward relative to the expected future spot price as a means of compensating speculators for taking long futures positions 12 8 in this theory speculators are viewed as providing insurance to hedgers who desire to take short futures positions to reduce the riskiness of their commodity holdings in addition to normal backwardation there are theories of unbiasedness and normal contango the unbiasedness theory says that the futures price equals the expected spot price while the normal contango theory says that the futures price exceeds the expected spot price 4 19 21 however the controversy over the three theories has not been entirely resolved it has been suggested 4 19 that each of the three theories could be applicable at various points during the planting harvesting processing cycle of a crop as the net hedging demand shifts from a large number of hedgers who desire to be short in the futures market to a large number of individuals who are long hedgers nonetheless the traditional theories of futures markets have been criticized because they are not grounded in a general equilibrium model where participants tastes endowments and beliefs interact so as to generate a market equilibrium incorporating both speculative and non speculative transactions 9 it is the purpose of this paper to provide a framework within which normal contango normal backwardation and unbiasedness can each occur for commodities which have certain well specified characteristics independent of the relative numbers of participants on each side of the futures market in the spirit of 9 we consider the major source of uncertainty to be technological in nature quantity risk and argue that the commonly used definitions of hedger one who sells forward some fraction of his crop yield and speculator are not very useful for economic analysis instead the more generally applicable concept of hedger as one who trades mean income for reductions in risk in the rothschild stiglitz sense 17 is supported because it

the simultaneous determination of spot and futures prices in a simple model with production risk this paper deals with properties of a rational expectations equilibrium when there is futures trading a simple two good model is analyzed where one of the goods is produced subject to production risk although the futures market provides insurance against price risk to producers it is income risk that concerns them whether they hedge in equilibrium is shown to depend on the price and income elasticity of demand for their output as well as on the degree to which consumers the other party in the futures transaction are risk averse

a theory of commodity price fluctuations this paper studies the price fluctuations of storable commodities that are traded in open markets and are subject to random shocks to demand or more particularly to supply it relaxes the common assumption that the shocks are identically and independently distributed in favor of temporally dependent and periodic disturbances the existence of a unique stationary rational expectations equilibrium is demonstrated for each of the models analyzed and testable implications of the models are derived an illustrative empirical investigation is then undertaken for the model with periodic disturbances using monthly time series observations for seven commodities over the period 1960 93

modeling the market and welfare effects of mexico s agriculture by contract program agriculture by contract hbox a times hbox c is the main mexican government program aimed at mitigating price risks for agricultural producers in mexico hbox a times hbox c has unique features involving forward contracts and the provision of basis subsidies and subsidized exchange traded futures options for both producers and intermediaries a simulation model is developed to analyze the market and welfare effects of hbox a times hbox c when applied to corn results show that hbox a times hbox c exerts substantial impacts and causes large transfers across sectors even if hbox a times hbox c reduced intermediaries market power to the largest extent feasible results indicate that it would still cause important losses in aggregate welfare

competitive storage and commodity price dynamics by buying cheap and selling dear risk neutral commodity speculators can smooth commodity prices and induce serial dependence in price even when none would exist under a simple process of supply and demand commodity prices are variable and strongly positively correlated from one year to the next the variability is often explained by supply factors and the autocorrelation by the activities of speculators we show that this explanation is not consistent with the evidence speculation can substantially increase autocorrelation for prices that are weakly autocorrelated in its absence but not to the high levels that are observed in the data

de stabilizing speculation on futures markets an alternative view point abstract this paper offers a new interpretation for possible destabilizing effects of opening futures markets in our model adapted from stein 1987 speculation on futures markets reduces the likelihood of occurrence of a rational expectations equilibrium although the equilibrium price is less volatile after the futures market is opened which is usually viewed as a stabilizing effect traders may find it more difficult or even impossible to coordinate their expectations in order to implement this equilibrium

production of educational output time series evidence from socioeconomically heterogeneous populations the case of south africa 1927 1993 a number of competing reasons have been advanced for this divergence of findings since standardized test scores and earnings are two distinct outcomes school quality may simply have different impacts on the two outcome measures earnings studies are frequently argued to have insufficient controls for family background variables the effects of local labor market conditions and self selection effects present in samples and earnings studies and school achievement studies tend to employ different types of data with earnings studies tending to rely on historical information and school achievement studies on contemporaneous data the last of these reasons for divergent results between earnings and standardized test score studies is potentially important in pointing to the significance of lags in the impact of schooling inputs on outputs 2 this article furthers understanding of the link between inputs and outputs of the educational production process in contrast to earlier studies our article employs time series data in order to investigate the link between educational inputs and outputs and does so over a relatively long time run from 1910 to 1993 strong results emerge from our analysis we find that educational inputs matter in the determination of educational outputs in the case of south africa

measurement of consumer gains from market stabilization for most cases of practical significance in which partial equilibrium analysis is appropriate there is little difference between exact measures of consumer gains from market stabilization and approximations such as expected change in marshallian or hicksian consumer surplus careful specification of the nature of stabilization is more crucial than the choice of welfare measure it is important to represent correctly the demand curvature and supply response and to determine whether general equilibrium responses can be ignored in any event an improved analytical approximation and a simple numerical method for calculating the exact measures make it unnecessary to rely on suspect measures

information and normal backwardation as determinants of trading performance evidence from the north sea oil forward market this paper utilizes transaction specific data on forward trading in the international petroleum market to test directly predictions from the theory of normal backwardation against information based predictions of trader performance with the ability to identify buyers and sellers the authors find that no traders make significant profits on interday measures within the day however traders likely to have superior information make significant profits the results are not supportive of normal backwardation but are consistent with the time pattern of information dissemination in this market deals made during the day are widely reported only at day s end copyright 1994 by royal economic society

efficiency and productivity of the food and beverage listed firms in the pre recession and recessionary periods in greece this study uses data envelopment analysis to examine the liquidity and sales efficiency of the food and beverage listed firms in athens exchange in the period 2006 2012 the liquidity efficiency of the firms is higher than the sales efficiency but the results indicate that there are not statistical significant differences in the rankings estimated by the two models in each period the malmquist productivity index reveals that over the period of the study firms have experienced an annual average increase in productivity of 0 5 a slight progress on examining the components of this productivity change it becomes evident that firms have experienced an annual average of 2 increase in technology combined with a decrease in technical efficiency of 1 5 the results indicate that 52 4 of the firms experienced productivity gains in the examined period and this was mainly the result of technological gain rather than efficiency improvement more than 90 of the firms in the sample shift the efficiency fron

when do futures markets destabilise spot prices futures markets allow agents to shift price risk onto speculators and encourages them to take riskier decisions historically their main impact has been to encourage the storage of commodities thus arbitraging prices over time and reducing price fluctuations this paper presents a simple model in which opening futures markets in a nonstorable commodity encourages producers to choose riskier production techniques which destabilizes supply and hence the spot price copyright 1987 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

the effect of futures markets and corners on storage and spot price variability when a futures market is introduced the volume of storage should become more sensitive to changes in the return to storage the increase in storage sensitivity means that storage will absorb a larger proportion of demand and supply shocks than it did previously reducing spot price volatility data from the chicago board of trade support the hypotheses of increased storage sensitivity and reduced spot price volatility the effect of futures on spot price volatility is sensitive to the competitive structure of the futures market futures market manipulation causes spot price variance to increase despite manipulation the development of the wheat futures market caused the coefficient of variation of spot price to decline significantly

production flexibility stochastic separation hedging and futures prices we study a dynamic model where uncertainty about interim output adjustments causes producers to face price cost and output uncertainty stochastically separable production decisions are independent of the producer s risk preferences and expectations and are based on the prevailing futures price as a certain output price conditions under which futures contracts achieve stochastic separation are established optimal hedging and maturity structure of futures contracts equilibrium futures prices and the effects of futures trading on output are studied the systematic risk premium depends on the product of the futures beta and the covariance of the market return with production revenues article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

determinants of hedging and risk premia in commodity futures markets this paper examines the determinants of commodity futures hedging and of risk premia arising from covariation of the futures price with stock market returns and with the reve nues of producers owing to supply shocks that stochastically redistribute real wealth surplus between producers and consumers and to limited participation in the futures market the total risk premium in the model is not proportional to the contract s covariance with aggregate consumption stock market variability interacts with the incentive to hedge causing the producer hedging component of the risk premium to increase de crease with income elasticity for a normal inferior good production costs that depend on output raise the premium we argue that output and demand shocks will typically be positively correlated raising the premium high supply elasticity reduces the absolute heding premium by reducing the variability of spot price and revenue