minimum variance hedging of bitcoin inverse futures we formulate an optimal hedging problem of bitcoin inverse futures under the minimum variance framework we obtain the optimal hedging strategy in closed forms for both short and long hedges and co

how investible is bitcoin analyzing the liquidity and transaction costs of bitcoin markets abstract we examine the investibility of bitcoin by exploring the trading dynamics and market microstructure of bitcoin on three us cryptocurrency exchanges using high frequency intraday data of individual trades and quotes although all exchanges offer continuous trading we find that the highest trading activity highest volatility and lowest spreads coincide with us market trading hours suggesting that most trades are non algorithmic and executed by retail investors we further find that average quoted and effective spreads for bitcoin are lower than spreads on major equity exchanges implying that bitcoin is highly investible for retail size transactions

developing variable unit structure premium rate differentials in crop insurance federal crop insurance programs offer producers the option of insuring farm units individually or as an aggregate unit existing programs offer a fixed 10 discount for most growers taking coverage at the aggregate level this article describes an analysis of risk changes when units are aggregated the methods described here which base unit aggregation discounts on observable farm characteristics are approved for implementation into the federal crop insurance program

detecting periodically collapsing bubbles a markov switching unit root test this paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset price keeps returning to the level implied by the market fundamentals as this is essentially a problem of identifying the collapsing periods from the expanding ones we propose using a generalization of the dickey fuller test procedure which makes use of the class of markov regime switching models the potential of the new methodology is illustrated via simulation and an empirical example is given copyright 1999 john wiley sons ltd

informational efficiency of markets for stumpage this paper examines the weak form informational efficiency of markets for pine sawtimber stumpage in the u s south analyses of annual and quarterly rates of price change generally indicate that stumpage markets are efficient when viewed over monthly intervals stumpage markets do not pass the tests for weak form efficiency this failure is attributed to friction in the market due to the time and cost involved in consumating timber sales the results have implications for price responsive timber harvest scheduling for the application of asset pricing models to forestry investments and for policies governing sales of timber from public lands

systematic and nonsystematic risk in farm portfolio selection the concepts of systematic and nonsystematic risk are evaluated as risk measures in farm planning models a diagonal quadratic programming model based upon a single index model yields farm plans similar to the full variance covariance quadratic program with four of thirteen farm plans being identical surprisingly a linear programming model using only systematic risk produces farm plans that are identical to the full variance covariance quadratic program for eleven of thirteen income levels accordingly it is suggested that single index based programming models may prove to be practical alternatives for deriving mean variance efficient farm plans

the swedish banking crisis roots and consequences the article analyses the swedish banking crisis in the early 1990s newly deregulated credit markets after 1985 stimulated a competitive process between financial institutions where expansion was given priority combined with an expansive macro policy this contributed to an asset price boom the subsequent crisis resulted from a highly leveraged private sector being simultaneously hit by three major exogenous events a shift in monetary policy with an increase in pre tax interest rates a tax reform that increased after tax interest rates and the erm crisis combined with some overinvestment in commercial property high real interest rates contributed to breaking the boom in real estate prices and triggering a downward price spiral resulting in bankruptcies and massive credit losses the government rescued the banking system by issuing a general guarantee of bank obligations the total direct cost to the taxpayer of the salvage has been estimated at around 2 per cent of gdp copyright 1999 by oxford university press

the rationale of the mean standard deviation analysis skewness preference and the demand for money publisher summary this chapter discusses the rationale of the mean standard deviation analysis skewness preference and the demand for money in january 1969 issue of the review of economic studies karl borch and martin feldstein separately criticized the widely used mean variance analysis of portfolio selection borch contended that any system of upward sloping mean standard deviation e s indifference curves can be shown to be inconsistent with the basic axiom of choice under uncertainty he pointed out that one can always pick any two points on an upward sloping indifference curve to represent two bernoulli distributions with probability 1 p of gaining the same amount x in both the cases and probability p of gaining y1 in the case of one distribution and y2 in the case of the second distribution with y2 y1 if the second distribution represents the point to the northeast of the other point then by the dominance axiom the second distribution must be preferred to the first which contradicts the basic meaning of indifference curves feldstein by using a log utility function and a lognormal distribution for investment outcome showed that e s indifference curves for a risk averter need not be convex downwards though upward sloping they would change from convex to concave once the standard deviation of the outcome exceeds the mean multiplied by on the face of it this seems to suggest that risk aversion might decrease as risk is increased beyond a certain extent

a theory of shortage in socialist economies based on the soft budget constraint this paper attributes shortages of goods in socialist economies to the soft financial constraints that firms in such economies face a soft budget constraint problem arises when the state bank is unable to make a credible commitment not to refinance bad projects once some investment costs are sunk in such a situation if a consumer good is also demanded by firms as an input and the seller cannot separate firms from households the high market clearing price would lead to welfare losses because too many bad projects would start and crowd out household consumption copyright 1994 by american economic association

policy burdens accountability and the soft budget constraint in a socialist economy when a state owned enterprise soe incurs losses the government often provides it with additional funding cuts its taxes and offers other compensations coincidentally the managers of an soe also expect to receive financial assistance from the state such a phenomenon is called the soft budget constraint sbc a term coined by janos kornai 1986 kornai attributes many problems in a socialist economy to the existence of the sbc to achieve successful reform of both the soe s and socialist economies it is imperative to eliminate the sbc however the sbc phenomenon continues to exist in transitional economies even after soe s are privatized world bank 1996 p 45 there is a large literature on the sbc mathias dewatripont et al 1996 and eric maskin 1996 provide surveys on the recent literature according to kornai 1998 there are two types of explanations for the existence of the sbc the exogenous and endogenous explanations of the first type attribute the existence of the sbc to various exogenous reasons including the paternalism of a socialist state and the government s aims for job creation or for gaining political support kornai 1986 explanations of the second type view the sbc as an endogenous phenomenon arising from a time inconsistency problem dewatripont and maskin 1995 for an inefficient uncompleted investment project the state or creditor may have incentives to refinance the investment because the marginal benefit of refinancing exceeds the marginal cost of abandoning it yingyi qian 1994 attributed the shortage of goods in socialist economies to the sbc based on such a timeinconsistency argument in this paper we provide another explanation for the prevalence of the sbc in socialist and transitional economies we will argue that the sbc is rooted in the state s accountability problem the traditional stalinist system was designed to facilitate the establishment of certain strategic soe s which were not viable in a market system to establish the nonviable soe s a socialist government distorted the prices of all kinds of inputs and of outputs and used administrative measures to allocate these inputs and outputs according to plans however due to information and coordination problems the state could make wrong decisions regarding investment production and fail to deliver necessary materials and inputs in time consequently the state instead of soe s was accountable for the failures and needed to allocate additional credits and other assistance to the soe s in order to complete the investment and production as such the sbc arose after the transition to a market economy many strategic firms still remain nonviable in a market economy for strategic purposes the state needs to support these finns moreover most firms in a transitional economy carry many types of policy burdens inherited from the pretransition system lin et al 1998 because the state is accountable for the losses arising from policy burdens the sbc phenomenon persists in a market economy the state s attempts to build nonviable industry and the state s policy burdens on enterprises will also lead to sbc

too many mothers in law abstract developing countries with low tax capacity may rely on predation to finance government functions government predation in turn is often accused of imposing a choking effect on state owned enterprises soes contributing to the latter s poor performance we formalize this choking effect as a problem of inefficient predation that arises from time inconsistency and show that having multiple government bodies supervising the same soe may mitigate this problem our theory provides an efficiency rationale for the chinese style of decentralization before 1978 and challenges the wisdom of china s recent enterprise reform that attempted to consolidate supervisory power

can cryptocurrencies be a safe haven a tail risk perspective analysis abstractcryptocurrencies are one of the most promising financial innovations of the last decade different from major stock indices and the commodities of gold and crude oil the cryptocurrencies e

on the value of virtual currencies nous construisons un modele d analyse pour cerner les facteurs qui influent sur le taux de change des monnaies virtuelles trois elements importent tout d abord l utilisation actuelle d une monnaie virtuelle comme moyen de paiement ensuite la decision d investisseurs prospectifs d acheter de la monnaie virtuelle et de controler ainsi l offre de ce type de monnaie enfin les facteurs qui determineront ensemble l adoption d une monnaie virtuelle par les consommateurs et son acceptation par les commercants

bank discrimination holding bank ownership and economic consequences evidence from china abstract this paper finds that compared with chinese state owned firms non state owned firms have a greater propensity to hold significant ownership in commercial banks these results are consistent with the notion that because non state owned firms are more likely to suffer bank discrimination for political reasons they tend to address their financing disadvantages by building economic bonds with banks we also find that among non state owned firms those that hold significant bank ownership have lower interest expenses and are less likely to increase cash holdings but more likely to obtain short term loans when the government monetary policy is tight these results suggest that the firms building economic bonds with banks can enjoy benefits such as lower financial expenses and better lending terms during difficult times finally we find that non state owned firms with significant bank ownership have better operating performance overall we find that firms can reduce discrimination through holding bank ownership

pervasive shortages under socialism we present a new theory of pervasive shortages under socialism based on the assumption that the planners are self interested because the planners meaning bureaucrats in the ministries and managers offirms cannot keep the official profits that firms earn it is in their interest to create shortages of output and to collect bribes from consumers the theory implies that 1 an increase in the official price of a good might reduce output 2 market socialism is bound to fail even without computational complexities facing the planners and 3 price liberalization will succeed only iffirms get to keep their profits

testing for bubbles in exchange markets a case of sparkling rates this paper investigates the possibility that the observed deviations of major bilateral exchange rates from values implied by market fundamentals are a consequence of rational asset market bubbles when a new econometric methodology for detecting asset market bubbles is used the joint hypothesis of no bubbles and stable autoregressive processes for relative money supplies and real incomes is rejected for the dollar deutsche mark and dollar pound ratesusing monthly data over the period 1973 82 additional tests for coefficient stability and for lack of cointegration between exchange rates and market fundamentals suggest that the bubble findings must be interpreted with care

the inefficiency of bitcoin bitcoin has received much attention in the media and by investors in recent years although there remains scepticism and a lack of understanding of this cryptocurrency we add to the literature on bitcoin by studying the market efficiency of bitcoin through a battery of robust tests evidence reveals that returns are significantly inefficient over our full sample but when we split our sample into two subsample periods we find that some tests indicate that bitcoin is efficient in the latter period therefore we conclude that bitcoin in an inefficient market but may be in the process of moving towards an efficient market

econometric modelling in the presence of evolutionary change a methodology is offered which can be used to construct an econometric model in the presence of structural change of an evolutionary type the theoretical basis for such modelling is drawn from the self organisation approach and operationalised in the context of the logistic diffusion growth model the latter is augmented to allow for the impact of exogenous effects upon both the diffusion rate and boundary limit we show how the hypothesis of augmented logistic diffusion can be falsified using econometric methods an illustrative case study is used namely the growth and decline of australian building society deposits with the aid of this example it is shown how the approach could be of use to both economic forecasters and regulators in conditions of structural change where conventional econometric methods are often inappropriate jel classification c51 c53 e42 e47 g18 o31

understanding the soft budget constraint we propose a clarification of the notion of a soft budget constraint a concept widely used in the analysis of socialist transitional and market economies our interpretation is broad enough to embrace most existing approaches to soft budget constraint phenomena and provides a classification of their causes and consequences in light of this interpretation we then review the theoretical literature on the subject and compare it with those on other dynamic commitment problems in economics

contradication in china s financial reforms the relationship between blanks and enterprises this paper investigates the effects of the reforms in china s financial sector on enterprise performance particular attention is paid to the effect of the increased role played by banks as a result of the major reorganization of the banking system which occurred in 1984 it is argued that although china s banks now possess considerable power to discriminate between enterprises in the allocation of credit in practice this power is seldom used and enterprises have not been subjected to significantly increased financial discipline as a result of the reforms the reasons for this are discussed and the prospects for further reform assessed copyright 1989 by oxford university press

on the predictive power of arji volatility forecasts for bitcoin motivated by the recent literature on cryptocurrency volatility dynamics this paper adopts the arji garch egarch and cgarch models to explore their capabilities to make out of sample volatility

soft budget constraint and inflation cycles a positive model of the macro dynamics in china during transition abstract in this paper we develop a positive general equilibrium model consistent with china s institutional and political environment to explain the growth and inflation cycles during transition central to our explanation is the government s use of the monetary and financial system to support the state sector and the growing tension between a long running commitment to the sector and economic decentralization given this commitment we show how the cycles emerge as a product of the government s imperfect control over credit allocation under decentralization and the high costs of implementing administrative credit control

crypto currencies an introduction to not so funny moneys we introduce the distributed ledger blockchain technology of crypto currencies we examine the monetary attributes of crypto currencies and describe some of the reasons they have been adopted the paper discusses the mechanics of bitcoin the original crypto currency to illustrate the fundamental elements of decentralized crypto currencies we then provide a high level summary of the implications of crypto currencies for consumers financial systems and for monetary and regulatory authorities we argue that crypto currencies are unlikely to supplant traditional fiat currencies and we anticipate an enduring role for financial intermediaries in facilitating credit

on the inefficiency of bitcoin abstract urquhart 2016 investigated the market efficiency of bitcoin by means of five different tests on bitcoin returns it was concluded that the bitcoin returns do not satisfy the efficient market hypothesis we show here that a simple power transformation of the bitcoin returns do satisfy the hypothesis through the use of eight different tests the transformation used does not lead to any loss of information

credit and efficiency in centralized and decentralized economies we study a credit model where because of adverse selection unprofitable projects may nevertheless be financed indeed they may continue to be financed even when shown to be low quality if sunk costs have already been incurred we show that credit decentralization offers a way for creditors to commit not to refinance such projects thereby discouraging entrepreneurs from undertaking them initially thus decentralization provides financial discipline nevertheless we argue that it puts too high a premium on short term returns the model seems pertinent to two issues soft budget constraint problems in centralized economies and differences between anglo saxon and german japanese financing practices

some stylized facts of the cryptocurrency market abstractwe examine the stylized facts of eight forms of cryptocurrencies representing almost 70 of cryptocurrency market capitalization in particular the empirical results show that 1 there ex

hardening the budget constraint the experience of the post socialist countries abstract the study surveys the typical manifestations of the softness of the budget constraint such as state subsidies soft taxation non performing loans the accumulation of trade arrears between firms and the build up of wage arrears in the various post socialist countries it was widely maintained at the outset of the post socialist transition that the holy trinity of liberalization privatization and stabilization would suffice to produce an efficient market economy since then it has become clear that hardening the budget constraint needs to be given equal priority with these unless this occurs the effects of privatization will fall short of expectations as they have in russia

risk analysis with single index portfolio models an application to farm planning sharpe s 1963 single index portfolio model the separation theorem and a solution method suggested by elton gruber and padberg are adapted in this paper to the farm diversification problem the objectives are to develop risk measures based on single index parameters and computationally simple methods for farm risk planning that are suitable for microcomputers and modern hand held calculators the intent is to produce a normative model with possible extension applications

international oil price uncertainty and corporate investment evidence from china s emerging and transition economy we develop and estimate a dynamic model of investment to investigate the impact of international oil price uncertainty on corporate investment expenditures in china s emerging and transition economy we further examine whether state ownership affects the relationship between oil price uncertainty and corporate investment consistent with the model s prediction the main finding is that oil price uncertainty exerts a negative impact on corporate investment expenditures in addition compared with state owned listed companies the negative influence of oil price uncertainty on corporate investment is more significant for non state owned listed companies our further analysis using the market oriented reform of refined oil pricing in 2008 as a quasi natural event shows the variation between the low degree marketization period and the high degree one in terms of the relationship between international oil price uncertainty state ownership and corporate investment expenditures

understanding risk of bubbles in cryptocurrencies abstract as cryptocurrencies emerged only recently they are subject to only very limited financial regulations in this paper we study which variables can predict bubbles in the prices of eight major cryptocurrencies focusing on uncertainty measures as predictors we detect multiple bubble periods for all eight cryptocurrencies particularly in 2017 and early 2018 we find that higher volatility trading volume and transactions are positively associated with the presence of bubbles across cryptocurrencies regarding the uncertainty variables the vix index consistently demonstrates negative relationships with bubble occurrence while the epu index mostly exhibits positive associations with bubbles these results may assist authorities in designing appropriate regulations

sources of cyclical employment instability in rural counties cyclical employment instability at the county level is examined using monthly indiana employment data for 1970 80 and a single index portfolio model results show rural counties are more responsive to systematic or cyclical employment instability than urban counties at the state level a high percentage employed in manufacturing has been associated with greater employment instability over the business cycle this relationship does not hold at the county level where most manufacturing sectors seem to cyclically stabilize the counties in which they appear

crypto currency bubbles an application of the phillips shi yu 2013 methodology on mt gox bitcoin prices the creation of bitcoin heralded the arrival of digital or crypto currency and has been regarded as a phenomenon since its introduction it has experienced a meteoric rise in price and rapid growth accompanied by huge volatility swings and also attracted plenty of controversies which even involved law enforcement agencies hence claims abound that bitcoin has been characterized by bubbles ready to burst any time e g the recent collapse of bitcoin s biggest exchange mt gox this has earned plenty of coverage in the media but surprisingly not in the academic literature we therefore fill this knowledge gap we conduct an econometric investigation of the existence of bubbles in the bitcoin market based on a recently developed technique that is robust in detecting bubbles that of phillips et al 2013a over the period 2010 2014 we detected a number of short lived bubbles most importantly we found three huge bubbles in the latter part of the period 2011 2013 lasting from 66 to 106 days with the

pitfalls in testing for explosive bubbles in asset prices a number of studies e g robert j shiller 1981 olivier j blanchard and mark watson 1982 kenneth d west 1988 have argued that dividend and stock price data are not consistent with the market fundamentals hypothesis in which prices are given by the present discounted values of expected dividends these results have often been construed as evidence for the existence of bubbles or fads related arguments have been made with respect to gold bonds and foreign exchange a major problem with such arguments e g james hamilton and charles whiteman 1985 is that apparent evidence for bubbles can be reinterpreted in terms of market fundamentals that are unobserved by the researcher behzad t diba and herschel i grossman 1984 1988b and hamilton and whiteman 1985 have recommended the alternative strategy of testing for rational bubbles by investigating the stationarity properties of asset prices and observable fundamentals 1 in essence the argument for equities is that if stock prices are not more explosive than dividends then it can be concluded that rational bubbles are not present since they would generate an explosive component to stock prices 2 using unit root tests autocorrelation patterns and cointegration tests to implement this procedure diba and grossman 1988b p 529 state that the analysis supports the conclusion that stock prices do not contain explosive rational bubbles this paper shows that the above battery of tests is in fact unable to detect an important class of rational bubbles the point is demonstrated by constructing rational bubbles that appear to be stationary when unitroot tests are applied even though they are explosive in the relevant sense simulations show that when such bubbles are present stock prices will not appear to be more explosive than dividends on the basis of these tests even though the bubbles are substantial in magnitude and volatility the presence of rational bubbles in actual stock prices thus remains an open question