the microfinance promise in the past decade microfinance programs have demonstrated that it is possible to lend to low income households while maintaining high repayment rates even without requiring collateral the programs promise a revolution in approaches to alleviating poverty and spreading financial services and millions of poor households are served globally a growing body of economic theory demonstrates how new contractual forms offer a key to microfinance success particularly the use of group lending contracts with joint liability for the most part however high repayment rates have not translated into profits and studies of impacts on poverty yield a mixed picture in describing emerging tensions the paper highlights the diversity of innovative mechanisms beyond group lending contracts the measurement of financial sustainability the estimation of economic and social impacts the costs and benefits of subsidization and the potential to reduce poverty through savings programs rather than just credit the promise of microfinance has pushed far ahead of the evidence and an agenda is put forward for addressing critical empirical gaps and sharpening the terms of policy discussion

contagion volatility persistence and volatility spill overs the case of energy markets during the european financial crisis the aim of this paper is to investigate if and to what extent events in financially troubled eu markets greece ireland and portugal affected energy prices during the eu financial crisis more specifically i we test for contagion effects of bond prices on energy commodity prices ii we examine whether the nature of energy price volatility is affected and iii we investigate whether bond volatility from the financially distressed eu markets spills over to energy commodity return volatility our results indicate the existence of significant contagion effects notable changes in the nature of energy commodity volatility during the eu financial crisis and spill over effects the results are robust to the use of short term yields instead of long term bond price changes and to the inclusion of spain and italy in the sample

correlations between biofuels and related commodities before and during the food crisis a taxonomy perspective abstract in this paper we analyze the relationships between the prices of biodiesel ethanol and related fuels and agricultural commodities with a use of minimal spanning trees and hierarchical trees to distinguish between short term and medium term effects we construct these trees for different frequencies weekly and monthly we find that in short term both ethanol and biodiesel are very weakly connected with the other commodities in medium term the biofuels network becomes more structured the system splits into two well separated branches a fuels part and a food part biodiesel tends to the fuels branch and ethanol to the food branch when the periods before and after the food crisis of 2007 2008 are compared the connections are much stronger for the post crisis period this is the first application of this methodology on the biofuel systems

period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications abstract this paper analyses the changing impact of oil price shocks on a bouquet of metal and agro prices and their implications for investment decisions during different oil price regimes separated by structural breaks endogenously identifying the structural breaks we use network analysis to decipher the nature and extent of such shock transfer across different sub periods we suggest optimal portfolios based on conditional variance estimates to hedge oil shocks during each period this is the first study to analyse the portfolio decisions during specific oil price regimes the results are of significant interest to investors and policy makers

household savings and residential mobility in informal settlements in bhopal india strategies to address the problem of informal settlements have focused on slum upgrading sites and services programmes and tenure security there has been less attention on what enables slum dwell

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

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

household saving micro theories and micro facts in this survey we review the recent theoretical and empirical literature on household saving and consumption the discussion is structured around a list of motives for saving and how well the standard theory captures these motives we show that almost all of the motives for saving that have been suggested in the informal saving literature can be captured in the standard optimizing model particular attention is given to recent work on the precautionary motive and its implications for saving and consumption behavior we also discuss the behavioral or psychological approach that eschews the use of standard optimization techniques and focuses instead on direct consideration on saving we provide a section on facts who save and how much we then discuss informally the recent decline in the u s saving rate and whether the theory is of much use in understanding this and other changes in aggregate saving rates over time we do not find any convincing explanation for the change in saving rates we also discuss some analyses of saving behavior over the life cycle addressing such questions as whether households save enough for retirement and whether the consumption patterns of older households can be rationalized within a simple life cycle model we also review a great number of studies of the consumption euler equations based on our analysis of the studies cited we conclude that there is still mixed evidence that consumption is excessively sensitive to income we also examine in depth the recent empirical literature on the precautionary motive we conclude that although some households do seem to have a significant precautionary motive at some points in their life cycle this motive is not so strong empirically as some investigators suggest

analyzing the time frequency lead lag relationship between oil and agricultural commodities abstract we analyze the time frequency co movement of and lead lag relationship between price indices of oil and 21 agricultural commodities and attempt to identify the leader and follower among the considered price indices for the 1980m1 2017m5 period the empirical analysis is conducted using four wavelet tools wavelet coherency phase difference multiple correlation and multiple cross correlation the first two tools are used to identify the time frequency co movement of and lead lag relationship between price indices of oil and 21 agricultural commodities and the third and fourth tools are used to identify the leader and follower among all series of price indices across different scales our results on wavelet coherency show a high degree of co movement at a long run horizon for the entire period between the price indices of oil and coal cotton fishmeal maize rice rubber and wheat furthermore the connection between these commodity markets and the oil market strengthened after 2000 indicating the importance of financial crisis phenomena and geopolitical turbulence additional findings show that short run investors should invest in the beef and swine pork markets as they have very little correlation with the oil markets the results of multiple correlation and multiple cross correlation analysis show that the coffee price was leader or follower across all time scales except wavelet scale 16 where barely was a leader or a follower

high yield bond and energy markets abstract high yield bonds hold a particularly unique space in the debt market from many aspects literature suggests these assets to behave more like stocks than bonds given the significant similarities between the high yield bond and stock markets it is expected for these markets to be similarly affected by certain outside factors some shocks including the ones from energy markets are known to impact the entire stock market and not just related company shares since high yield bond portfolios include some amount of energy company debt the recent volatility in energy prices has been particularly concerning to market participants however the question of whether price and volatility shocks only impact energy company bonds or the entire high yield bond market as they do with the stock market still remains unanswered this study attempts to address that question by exploring the dynamic relationships between the high yield bond and energy markets price transmission tests which account for gradual structural shifts suggest oil and ethanol markets significantly impacting the high yield bond market furthermore volatility tests find uni directional volatility transmitting from energy markets to the high yield bond market

poverty in dictator games awakening solidarity abstract this paper investigates the effect of recipient poverty and medicines on dictator game giving we develop a new design with three variants 1 subjects do not know they are participating in an experiment 2 dictators receive three 5 bills instead of 15 coins 3 three recipients are used instead of one we performed three different treatments regarding the information about recipients i no info condition ii poverty dictators were informed that their recipients were poor iii medicines donations were given in the form of medicines instead of money we found that 46 percent of the subjects gave the full endowment in the poverty treatment while in the medicines treatment this percentage increased to 72 percent

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

emphasising the problem or the solution in charitable fundraising for international development abstractwe conduct a laboratory experiment to test the effect on charitable donations to international development ngos ingos of emphasising current deprivation in a developing country versus emphasising the potential good a donation can achieve using a double blind dictator experiment with earned endowments we find that varying the information emphasis has no significant effect on total donations nor on the probability of donating we find suggestive evidence that an emphasis on current deprivation may raise the variance of donations and thus the size of donations conditional on donating but the effect is not significant in hurdle models that explicitly recognise this

the relationship between energy and equity markets evidence from volatility impulse response functions this paper examines the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate bekk model of the goldman sach s energy index and the sp in addition we also calculate the time varying conditional correlations and time varying dynamic hedge ratios from volatility impulse response functions we find that low sp however we find only a weak response from s p 500 volatility to energy price shocks moreover our dynamic hedge ratio analysis suggests that the energy index is generally a poor hedging instrument

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

spillover network of commodity uncertainties abstract we study time and frequency connectedness among 22 commodity uncertainty indexes applying spillover analysis and network graphs we find that overall connectedness among commodity uncertainties increase during the global financial crisis gfc and the oil price collapse of 2014 16 network analysis shows more spillover within a specific commodity class and that precious metals due to less spillover with other commodities may serve as safe haven during the crisis the decomposition of spillover index reveals that commodity markets are more connected in long run implications of findings are discussed

a lagrange multiplier test for causality in variance we adapt the lagrange multiplier lm principle to test for noncausality in variance of financial returns the new test is compared with a portmanteau statistic cheung y w ng l k 1996 a causality in variance test and its application to financial market prices journal of econometrics 72 33 48 a monte carlo study reveals superior power of the lm test

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

impact of food price volatility on the us restaurant sector although fluctuations in agricultural commodity prices appear to be a source of risk to the us restaurant sector the effect that volatility of food price has on the performance returns of that s

volatility linkages between energy and agricultural commodity prices abstract we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in germany and study their dynamics over time we propose an econometric approach to quantify the volatility and correlation risk structure which has a large impact for investment and hedging strategies of market participants as well as for policy makers volatilities and their short and long run linkages are analyzed using an asymmetric dynamic conditional correlation garch model as well as a multivariate multiplicative volatility model our approach provides a flexible and accurate fitting procedure for volatility and correlation risk we find that in the long run prices move together and preserve an equilibrium while correlations are mostly positive with persistent market shocks our results reveal that concerns about biodiesel being the cause of high and volatile agricultural commodity prices are rather unjustified

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

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

modelling volatility spillovers for bio ethanol sugarcane and corn spot and futures prices the recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices returns and volatility of related agricultural commodities analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge their portfolios and manage the risk and co risk of their biofuel and agricultural commodities there have been many papers concerned with analyzing crude oil and agricultural commodities separately the purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio ethanol and related agricultural commodities specifically corn and sugarcane the diagonal bekk model is used as it is the only multivariate conditional volatility model with well established regularity conditions and known asymptotic properties the daily data used are from 31 october 2005 to 14 january 2015 the empirical results show that in 2 of 6 cases for the spot market there were significant negative co volatility spillover effects specifically corn on subsequent sugarcane co volatility with corn and sugarcane on subsequent corn co volatility with sugarcane in the other 4 cases there are no significant co volatility spillover effects there are significant positive co volatility spillover effects in all 6 cases namely between corn and sugarcane corn and ethanol and sugarcane and ethanol and vice versa for each of the three pairs of commodities it is clear that the futures prices of bio ethanol and the two agricultural commodities corn and sugarcane have stronger co volatility spillovers than their spot price counterparts these empirical results suggest that the bio ethanol and agricultural commodities should be considered as viable futures products in financial portfolios for risk management

modeling volatility and correlations between emerging market stock prices and the prices of copper oil and wheat abstract increased financial integration between countries and the financialization of commodity markets are providing investors with new ways to diversify their investment portfolios this paper uses varma agarch and dcc agarch models to model volatilities and conditional correlations between emerging market stock prices copper prices oil prices and wheat prices the dynamic conditional correlation model is found to fit the data the best and used to generate dynamic conditional correlations hedge ratios and optimal portfolio weights emerging market stock prices and oil prices display leverage effects where negative residuals tend to increase the variance conditional volatility more than positive ones correlations between these assets increased considerably after 2008 and have yet to return to their pre 2008 values on average oil provides the cheapest hedge for emerging market stock prices while copper is the most expensive but given the variability in the hedge ratios one should probably not put too much emphasis on average hedge ratios

causality and predictability in distribution the ethanol food price relation revisited abstract this paper examines the relationship between biofuels field crops and cattle prices in the u s from a new perspective we focus on predictability in distribution by asking whether ethanol returns can be used to forecast different parts of field crops and cattle returns distribution or vice versa density forecasts are constructed using conditional autoregressive expectile models estimated with asymmetric least squares forecast evaluation relies on quantile weighed scoring rules which identify regions of the distribution of interest to the analyst results show that both the centre and the left tail of the ethanol returns distribution can be predicted by using field crops returns on the contrary there is no evidence that ethanol can be used to forecast any region of the field crops or cattle returns distributions

risk transmission mechanism between energy markets a var for var approach abstract the global financial crisis gfc of 2007 2009 that originated in the us has revealed the need for measuring and monitoring the transmission of extreme downside market risk this paper investigates the risk transmission mechanism between the oil and natural gas markets we apply the recently introduced test statistics based on cross quantilogram function and the multivariate quantile regression model var for var to the us oil and natural gas prices which are independently formed our results show two asymmetric patterns first the shocks in the oil market substantially increase the value at risk var in the natural gas market but the reverse impact does not exist second we highlight the significant asymmetric response of gains and losses transmission in energy markets cautioning about the underlying weakness of adopting volatility to measure risk in the energy market moreover an extreme market risk is more easily transmitted across markets than moderate risks our results are in general robust in application to other regional energy markets such as europe and asia but the heterogeneities in responses are underpinned by the different role of natural gas in regions the findings in this paper have important implications for academic researchers policy makers in gas dependent economies and business practitioners in light of projected increases in the use of natural gas worldwide as well as the development of independent gas on gas competitive hub prices in asia and europe

oil prices and real estate investment trusts reits gradual shift causality and volatility transmission analysis abstract according to literature oil price shocks and volatility can have sector specific impacts in the market while these studies include most asset groups the dynamic relationship between the oil market and real estate investment trusts reits has not been tested this study examines the role of oil price shocks and volatility on six reit categories residential hotel healthcare retail mortgage and warehouse industrial reits for the january 2005 december 2013 period in addition a new causality approach is proposed by augmenting the toda yamamoto method with a fourier approximation this approach is capable of capturing gradual or smooth shifts and does not require a prior knowledge regarding the number dates and form of structural breaks the so called fourier toda yamamoto causality mean spillover test finds uni directional causality running from oil prices to all reits except for the mortgage reits in the latter case the causality is reversed in addition the relatively new and simple causality in variance test shows that there is bi directional volatility transmission between the oil market and all reits our results have important implications for reit managers and investors

oil prices and financial stress a volatility spillover analysis this paper examines whether there is a volatility transmission between oil prices and financial stress by means of the volatility spillover test we employ wti crude oil prices and cleveland financial stress index for the period 1991 2014 and divide the sample into pre crisis in crisis and post crisis periods due to the downward trend in oil price in 2008 the volatility model estimations indicate that oil prices and financial stress index are dominated by long run volatility the volatility spillover causality test supports evidence on risk transfer from oil prices to financial stress before the crisis and from financial stress to oil prices after the crisis the impulse response analysis shows that the volatility transmission pattern has similar dynamics before and after the crisis and is characterized by higher and long lived effects during the crisis our results have implications for both policy makers and investors and for future work

dynamics of volatility transmission between the u s and the chinese agricultural futures markets the u s and china are two of the biggest players in the world agricultural market the literature documents that volatility in the u s agricultural futures market spills over significantly to that of china this article provides further insights into the spillovers from china to the u s as well as the time horizon and dynamics of the bidirectional spillovers through the application of a multivariate extension of the heterogeneous autoregressive model in relation to four commodities soybean wheat corn and sugar the results confirm the existence of significant spillovers from the u s to china for four commodities which are primarily generated by the shorter term volatility components in the u s and provide evidence for the increasing pricing power of the chinese market the findings are robust against various specifications and have important investment and policy implications

review of de soto s the mystery of capital in the mystery of capital hernando de soto promotes his explanation of why formal capital markets function poorly in developing countries de soto argues that much of the population of developing countries lacks access to credit not because they lack assets but because ownership of their property is secured informally which prevents the use of property as collateral the inability to convert assets into capital keeps the developing world from benefiting from capitalism

the dependence structure across oil wheat and corn a wavelet based copula approach using implied volatility indexes abstract this paper examines the dependence structure between three commodities implied volatility indexes oil wheat and corn during bear normal and bull markets and at different scales for this purpose we combine wavelet and copula methods to analyse the changes of the tail dependence at different scales or investment horizons the results support evidence of time varying asymmetric tail dependence between the pair of cereals as well as between oil and the two cereals at different time horizons short term horizon medium term horizon and long term horizon suggesting that the dependence structure is sensitive to time horizons these results have important implications for the analysis of portfolio risk management

volatility spillovers in commodity markets a large t vector autoregressive approach abstract prices of commodities have shown large fluctuations a high volatility of one commodity today may impact the volatility of another commodity tomorrow as such agricultural and energy commodities are closely dependent due to the expansion of the biofuel industry we study volatility spillovers among a large number of energy agriculture and biofuel commodities using the vector auto regressive var model to account for the possible fat tailed distribution of the model errors we propose the t lasso method for obtaining a large var the t lasso is shown to have excellent properties and a forecast analysis shows that the t lasso attains better forecast accuracy than standard estimators our empirical analysis shows the existence of volatility spillovers between energy and biofuel and between energy and agricultural commodities

untitled a study of formal and informal property rights in urban ecuador we explore the substitutability of formal and informal property rights using new survey data from ecuador where households have both formal and informal claims to urban residential property we develop a model of property transactions that distinguishes between transferable and non transferable claims and show how this distinction affects the interpretation of hedonic price regressions the unconditional effect of title is to raise properties value by 23 5 however we also find that informal property rights can substitute effectively for formal property rights and suggest that titling programmes should be targeted at young disorganised communities if they are to benefit the recipients

growth and saving among individuals and households the lifecycle theory of saving and consumption predicts that changes in an economy s rate of economic growth will affect its aggregate saving rate by changing the lifetime resources of younger people relative to older people however studies that track the saving behavior of cohorts of household heads over time as they age have yielded estimates of age saving profiles that are too flat for growth to have much effect on the aggregate saving rate one problem with the cohort approach is that multigenerational households are common in many counties and the age saving profiles of households may be quite different from the age saving profiles of individuals that make up households in this paper we propose a method for estimating individual age saving profiles using household data this method is applied to data from taiwan and thailand we find that the individual method yields results that are more favorable to the lifecycle model these results imply that changes in the rate of economic growth may in som

volatility spillovers between food and energy markets a semiparametric approach previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches this article examines these links by using a semiparametric garch model recently proposed by long et al 2011 which is essentially a nonparametric correction of the parametric conditional covariance function the analysis focuses on price links between crude oil ethanol and sugar prices in brazil results suggest strong volatility links between the prices studied parametric approximations of the conditional covariance matrix may lead to misleading results that can be improved upon by using nonparametric techniques

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

how is volatility in commodity markets linked to oil price shocks abstract this study investigates the effects of oil price shocks on volatility of agricultural and metal commodities we decompose an oil price shock to its underlying components including macroeconomics and oil specific shocks the applied method is the structural vector autoregressive svar model and the time span is from april 1983 to may 2014 the investigation is divided into two subsamples before and after may 2006 for agriculture taking into account the 2006 2008 food crisis and change in u s ethanol production policy and before and after january 2008 for metals considering the recent global financial crisis we find that based on impulse response functions the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying cause of the shock for the both periods moreover according to variance decomposition the explanatory power of oil shocks becomes stronger after the crisis the different responses of commodities are described in detail by investigating market characteristics in each period

entitled to work urban property rights and labor supply in peru this brief summarizes the results of a gender impact evaluation study entitled entitled to work urban property rights and labor supply in peru new legal rights were issued in 1996 project teams providing titling service through 2003 in peru the study observed that between 1996 and 2003 the peruvian government issued property titles to over 1 2 million urban households the largest titling program targeted at urban squatters in the developing world this paper examines the labor market effects of increases in tenure security resulting from the program pre program squatters in program neighborhoods were significantly more likely to report improved tenure security by 60 percent similarly program participants were 18 8 percentage points less likely to report a high likelihood of eviction or invasion and 18 8 percentage points more likely to report that their dwelling was currently very secure from eviction or invasion the likelihood of working inside the home significantly falls by 11 6 percentage points for the average squatter family with two program periods

on the effects of world stock market and oil price shocks on food prices an empirical investigation based on tvp var models with stochastic volatility abstract transmission of price shocks from one market to another one has long been investigated in the economic literature however studies have namely dealt with the relationship between financial and energy markets with the recent changes in market conditions investors policy makers and interest groups are giving special attention to food market this paper aims at analyzing shock transmission between international food energy and financial markets and to provide some insights into the volatility behavior during the past years and discuss its implications for portfolio management to do this we present a new time varying parameter var tvp var model with stochastic volatility approach which provides extreme flexibility with a parsimonious specification we resort also to a generalized vector autoregressive framework in which forecast error variance decompositions are invariant to the variable ordering for the assessment of total and directional volatility spillovers our main findings suggest that volatility spillovers increase considerably during crisis and namely after mid 2008 when stock markets become net transmitter of volatility shocks while crude oil becomes a net receiver shocks to crude oil or msci markets have immediate and short term impacts on food markets which are emphasized during the financial crisis period moreover we show that augmenting a diversified portfolio of food commodities with crude oil or stocks significantly increases its risk adjusted performance

world oil and agricultural commodity prices evidence from nonlinear causality abstract the increasing co movements between the world oil and agricultural commodity prices have renewed interest in determining price transmission from oil prices to those of agricultural commodities this study extends the literature on the oil agricultural commodity prices nexus which particularly concentrates on nonlinear causal relationships between the world oil and three key agricultural commodity prices corn soybeans and wheat to this end the linear causality approach of toda yamamoto and the nonparametric causality method of diks panchenko are applied to the weekly data spanning from 1994 to 2010 the linear causality analysis indicates that the oil prices and the agricultural commodity prices do not influence each other which supports evidence on the neutrality hypothesis in contrast the nonlinear causality analysis shows that i there are nonlinear feedbacks between the oil and the agricultural prices and ii there is a persistent unidirectional nonlinear causality running from the oil prices to the corn and to the soybeans prices the findings from the nonlinear causality analysis therefore provide clues for better understanding the recent dynamics of the agricultural commodity prices and some policy implications for policy makers farmers and global investors this study also suggests the directions for future studies

interdependence between cash crop and staple food international prices across periods of varying financial market stress abstractthis paper investigates the price dynamics between a selection of international staple food and cash crop futures prices this price interaction is particularly relevant for developing coun

nonlinearities in the u s corn ethanol oil gasoline price system we use a smooth transition vector error correction model to assess price relationships within the u s ethanol industry monthly ethanol corn oil and gasoline prices from 1990 to 2008 are used in the analysis results indicate the existence of long run relationships among the prices analyzed strong links between energy and food prices are identified

terms of trade shocks in africa are they short lived or long lived abstract this paper examines the persistence of shocks to the terms of trade using annual data on 42 sub saharan african countries for the period 1960 96 instead of using unit root tests to distinguish between stationary and random walk processes for the terms of trade this paper characterizes the persistence of shocks using point and interval estimates of the half lives of terms of trade shocks using median unbiased mu estimation techniques that remove the downward bias of standard least squares ls estimators we find that the cross country average of the half lives of terms of trade shocks is about 6 years it is also found that the estimated persistence of african terms of trade shocks varies widely for about one half of the countries their half lives are short lived less than 4 years while for one third of the countries their half lives are long lived permanent the majority of african countries are found to have terms of trade that typically experience finitely persistent transitory shocks which is consistent with the reversion of terms of trade to their long run trends

a multifactor stochastic volatility model of commodity prices we propose a novel representation of commodity spot prices in which the cost of carry and the spot price volatility are both driven by an arbitrary number of risk factors nesting many existing specifications the model exhibits unspanned stochastic volatility provides simple closed form expressions of commodity futures and yields analytic formulas of european options on futures we estimate the model using oil futures and options data and find that the pricing of traded contracts is accurate for a wide range of maturities and strike prices the results suggest that at least three risk factors in the spot price volatility are needed to accurately fit the volatility surface of options on oil futures highlighting the importance of using general multifactor models in pricing commodity contingent claims

oil price agricultural commodity prices and the dollar a panel cointegration and causality analysis abstract this study examines the dynamic relationship between world oil prices and twenty four world agricultural commodity prices accounting for changes in the relative strength of us dollar in a panel setting we employ panel cointegration and granger causality methods for a panel of twenty four agricultural products based on monthly prices ranging from january 1980 to february 2010 the empirical results provide strong evidence on the impact of world oil price changes on agricultural commodity prices contrary to the findings of many studies in the literature that report neutrality of agricultural prices to oil price changes we find strong support for the role of world oil prices on prices of several agricultural commodities the positive impact of a weak dollar on agricultural prices is also confirmed

hedging emerging market stock prices with oil gold vix and bonds a comparison between dcc adcc and go garch while much research uses multivariate garch to model volatility dynamics and risk measures one particular type of multivariate garch model go garch has been underutilized this paper uses dcc adcc and go garch to model volatilities and conditional correlations between emerging market stock prices oil prices vix gold prices and bond prices a rolling window analysis is used to construct out of sample one step ahead forecasts of dynamic conditional correlations and optimal hedge ratios in most of the situations we study oil is the best asset to hedge emerging market stock prices hedge ratios from the adcc model are preferred most effective for hedging emerging market stock prices with oil vix or bonds hedge ratios estimated from the go garch are most effective for hedging emerging market stock prices with gold in some instances these results are reasonably robust to choice of model refits forecast length and distributional assumptions

exogenous impacts on the links between energy and agricultural commodity markets abstract the main purpose of this paper is to identify the effects of exogenous factors which have been somewhat controversial on the price links between the energy and agricultural commodity markets our study differs from other studies by employing multivariate normal mixture models to capture the structural properties of the price dependencies in the underlying states this paper investigates price dependencies from both quantitative and structural perspectives by analyzing the overall dependencies and structural heterogeneity in the empirical results we conclude that the global financial crisis is the most influential shock on the price links between energy and agricultural commodities because price links are vulnerable to financial shocks our results also suggest introducing state based analysis to risk management and portfolio diversification across the energy and agriculture markets during times of turmoil

commodity dynamics a sparse multi class approach abstract the correct understanding of commodity price dynamics can bring relevant improvements in terms of policy formulation both for developing and developed countries agricultural metal and energy commodity prices might depend on each other although we expect few important effects among the total number of possible ones some price effects among different commodities might still be substantial moreover the increasing integration of the world economy suggests that these effects should be comparable for different markets this paper introduces a sparse estimator of the multi class vector autoregressive model to detect common price effects between a large number of commodities for different markets or investment portfolios in a first application we consider agricultural metal and energy commodities for three different markets we show a large prevalence of effects involving metal commodities in the chinese and indian markets and the existence of asymmetric price effects in a second application we analyze commodity prices for five different investment portfolios and highlight the existence of important effects from energy to agricultural commodities the relevance of biofuels is hereby confirmed overall we find stronger similarities in commodity price effects among portfolios than among markets

time frequency dynamics of return spillover from crude oil to agricultural commodities we explore return spillover from crude oil to ethanol corn soybean and wheat on daily data during 17 may 2005 27 june 2018 this study is unique in capturing the time frequency dynamics of return

savings behaviour in low income countries the empirical literature on savings in low income countries has exploited some remarkable data sets to shed new light on savings behaviour in the poor agricultural households that make up the majority of the population in such countries a number of conclusions have emerged i the degree of consumption smoothing over seasons within the year and across years in response to very large income fluctuations is higher than was supposed ii the lack of complete insurance and credit markets however is manifested in asset stocks and asset compositions among farmers especially small farmers that are inefficient iii the combination of low and volatile incomes is an important cause of inefficiency and income inequality iv the proximity of formal financial institutions increases financial savings and crowds out informal insurance arrangements thus in principle better facilitating financial intermediation and iv simple life cycle models of savings do not appear to explain long term savings in low income settings copyright 2001 oxford university press

speculation and volatility spillover in the crude oil and agricultural commodity markets a bayesian analysis this paper assesses factors that potentially influence the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets stochastic volatility models are applied to weekly crude oil corn and wheat futures prices from november 1998 to january 2009 model parameters are estimated using bayesian markov chain monte carlo methods speculation scalping and petroleum inventories are found to be important in explaining the volatility of crude oil prices several properties of crude oil price dynamics are established including mean reversion an asymmetry between returns and volatility volatility clustering and infrequent compound jumps we find evidence of volatility spillover among crude oil corn and wheat markets after the fall of 2006 this can be largely explained by tightened interdependence between crude oil and these commodity markets induced by ethanol production

exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets abstract we examine whether heteroskedasticity in measurement errors improves the volatility forecasting ability of the heterogenous autoregressive har model in crude oil and biofuel feedstock markets we also examine the incremental explanatory power of jumps and the investor fear gauge ifg over heteroskedasticity in measurement errors in improving the volatility forecasting ability of the har model in each of these markets for the in sample evaluation we find that exploiting the heteroskedasticity of measurement errors in the har model improves the model s goodness of fit measured by adjusted r2 by up to 10 depending on the market ifg has a significant incremental role over heteroskedasticity in measurement errors in improving the fit of the har model in both the crude oil and biofuel feedstock markets while jumps have a significant incremental role in improving the fit of the har model in the crude oil market but not the biofuel feedstock markets for the out of sample forecasts including regime switching improves volatility predictions in the corn and wheat markets across all forecasting horizons while for the soybean market including regime switching improves the performance of multi step volatility forecasts in the out of sample forecasts the best ranked models almost always include heteroskedasticity of measurement error and ifg

contemporaneous interactions among fuel biofuel and agricultural commodities abstract this study examines the contemporaneous interactions among energy oil and ethanol and agricultural commodities corn soybean and wheat in the united states during the period 1 june 2006 to 22 january 2016 since traditional var analysis is not able to capture the contemporaneous interactions among these commodities we employ a structural var analysis in combination with the identification through heteroskedasticity approach the empirical results indicate that i the contemporaneous interactions are important asymmetric and have implications for impulse response functions ii crude oil has a unidirectional contemporaneous impact on the agricultural commodities and the agricultural commodities corn and soybean mostly used in the biofuel production have a unidirectional contemporaneous impact on ethanol and finally iii these contemporaneous relations depend on the price level of crude oil in that there are stronger effects from crude oil agricultural commodities to agricultural commodities ethanol in high crude oil price states

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

volatility spillovers and cross hedging between gold oil and equities evidence from the gulf cooperation council countries the paper examines the return and volatility spillovers between crude oil gold and equities and investigates the usefulness of the two commodities in hedging equity portfolios using daily data from january 20043 to may 2016 for the gulf cooperation council countries a dcc garch model is used to estimate dynamic correlations and hedge ratios we find significant spillovers from oil to equities highlighting the heavy dependence of the local economies on oil moreover the spillovers of gold on the stock markets are insignificant suggesting that gold price fluctuations do not necessarily influence equity investment decisions in the opposite direction we find that equities do not exert significant influence on the two commodities which we attribute to the relatively small capitalisation of the exchanges our results reveal low dynamic correlations and hedge ratios with a few spikes during crises indicating that oil and gold are cheap hedges for stocks albeit not good ones while they could be considered as weak safe havens but at a considerable cost

do different time horizons in volatility have any significance for the emerging markets abstract this paper investigates the influence of u s stock market over emerging markets in terms of volatility and volatility of volatility vov at different time horizons it finds that spillover from the u s to emerging markets exists for vov in a longer term

non parametric and parametric modeling of biodiesel sunflower oil and crude oil price relationships abstract multivariate local linear regression and parametric error correction models are applied to assess price linkages and price transmission patterns between food and energy prices in spain weekly biodiesel sunflower and crude oil prices observed from november 2006 to october 2010 are used in the empirical analysis results suggest the existence of a long run equilibrium relationship between the three prices studied biodiesel is the only variable that adjusts to deviations from this long run relationship local linear regression techniques show that the speed of adjustment of biodiesel prices is faster when biodiesel is relatively cheap than when it is expensive energy prices are also found to influence sunflower oil prices through short run price dynamics

feedback spillover dynamics of crude oil and global assets indicators a system wide network perspective abstract crude oil the critical driver of the world economy is quick to be blamed for causing volatility in all classes of assets viz equity commodities bonds and currencies the feedback mechanism between crude oil and these four asset classes makes the volatility spillover connectedness dynamics more complex and an important area to explore henceforth we quantify and analyze the time varying system wide volatility spillover connectedness dynamics of crude oil and global asset indicators gais covering four major asset classes for the period from 2000 to 2016 additionally we have used the confluence of generalized error variance decomposition gevd and network diagrams according to the findings of this paper crude oil is affected more by the gais than vice versa thus making the crude oil price more vulnerable to volatility fluctuations in gais on a pairwise basis the study finds that commodities and currency are more tightly knit to crude oil with cadusd and gold being more sensitive to crude oil price fluctuations in addition the equity indices of the us and the uk have become more sensitive to crude oil price volatility following the gfc the study opens future discourse for portfolio managers and policymakers to explore the spillover pattern and act accordingly by mitigating risk via the compensatory mechanism of positive negative spillover pairs

world oil prices and agricultural commodity prices evidence from an emerging market abstract oil prices are thought to have direct effect on agricultural prices followed by an indirect effect through the exchange rate this paper examines the short and long run interdependence between world oil prices lira dollar exchange rate and individual agricultural commodity prices wheat maize cotton soybeans and sunflower in turkey to this end the toda yamamoto causality approach and generalized impulse response analysis for identification of the long and short run interrelationships are applied to the monthly data spanning from january 1994 to march 2010 the impulse response analysis suggests the turkish agricultural prices do not significantly react to oil price and exchange rate shocks in the short run the long run causality analysis reveals that the changes in oil prices and appreciation depreciation of the turkish lira are not transmitted to agricultural commodity prices in turkey hence our results support neutrality of agricultural commodity markets in turkey to both direct and indirect effects of oil price changes

transaction costs the opportunity cost of time and procrastination in charitable giving abstract we conduct a laboratory experiment to study whether giving people more time to donate to charity reduces donations people may intend to donate but because of the transaction costs of doing so postpone making the payment until they are less busy and having postponed making the donation once keep postponing we conjecture that transaction costs will have a greater effect on donations if the solicitation is received when the opportunity cost of time is high we find evidence of a transaction cost reducing donations with the size of this effect depending on the opportunity cost of time but no statistically significant evidence that giving people more time to donate increases procrastination and thus reduces donations

long run waves or short run fluctuations what establishes the correlation between oil and food prices abstractthe strong correlation between food prices and energy prices has gained much attention in the public debate in this article we focus on the so called excess co movement which is the correlation between crude oil price and the prices of food commodities after controlling for economic activity we use a frequency domain granger causality test to analyse short run and long run relationships between crude oil prices and prices of food commodities for important biofuel inputs like maize soybeans rapeseed and eu sugar we find evidence for long run granger causality in particular for the period after 2007 this supports the hypothesis that the increasing biofuel production creates the link between the prices of crude oil and food commodities however we also find short run granger causality for various food commodities this result is more in line with herd behaviour or speculation in commodity markets

dynamic spillovers among major energy and cereal commodity prices abstract over the past decade the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them this article deals with the dynamic return and volatility spillovers across international energy and cereal commodity markets it also examines the impacts of three types of opec news announcements on the volatility spillovers and persistence in these markets for this purpose we make use of the var bekk garch and var dcc garch models for the daily spot prices of eight major commodities including wti oil europe brent oil gasoline heating oil barley corn sorghum and wheat our results provide evidence of significant linkages between these energy and cereal markets moreover the opec news announcements are found to exert influence on the oil markets as well as on the oil cereal relationships finally we show that the persistence of volatility decreases increases for the crude oil and heating oil gasoline returns after accounting for the opec announcements in these multivariate garch models however the results are more mixed for the cereal markets overall our results can be used to improve the risk adjusted performance by having more diversified portfolios and also serve to hedge the oil risk more effectively

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

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

oil volatility shocks and the stock markets of oil importing mena economies a tale from the financial crisis abstract the role of oil price volatility in predicting the stock market volatility of small oil importing countries that have a substantial number of investors from neighboring oil exporting countries remains unexplored to refine our basic understanding of this role this paper proposes a methodological extension of the recently developed causality in variance procedure and considers the case of lebanon and jordan these two heavy importers of oil are interesting in the sense that they are located in a region with a large number of rich oil exporting countries so their stock markets are tied to oil exporters by way of foreign investors the conditional mean and variance of returns are modeled within an armax garch framework that accommodates three salient features of the data namely autocorrelation day of the week effects and movements in international markets for comparison purposes the stock markets of morocco and tunisia are also included in the study empirical analyses highlight the dynamic effects of the global financial crisis on the volatility spillovers between oil and the stock markets of oil importing countries and provide more insights into the seemingly contradictory effects of being oil importers while having investors from oil exporting countries the main results indicate that the volatility spillover is much more apparent from the world oil market to the stock market of jordan than the other way around whereas oil volatility is not a good predictor of lebanese stock market volatility finally policy practical implications and conclusions for future research are drawn