the returns and forecasting ability of large traders in the frozen pork bellies futures market using settlement prices and nine years of daily commitments for large reporting traders in the frozen pork bellies futures market the authors find that these traders generate significant profits and the distribution of trader returns over time is not random further analysis finds that a subset of large elite traders possesses significant forecasting ability indicating that they not only are able to consistently anticipate the direction of price changes but are also on the right side of the market when large price changes occur hence certain futures market traders accumulate trading experience and knowledge permitting them to accrue considerable wealth copyright 1994 by university of chicago press

the effects of rent asymmetries in posted offer markets abstract we report the results of six posted offer market experiments designed to analyze the effects of asymmetric supply and demand configurations on the price convergence path to competitive equilibrium the posted offer experiments are compared with twelve double auction experiments reported by smith and williams 1982 results differ markedly across trading institutions unlike trading under double auction rules we cannot reject the proposition that contract price convergence paths are unaffected by the distribution of consumer and producer surplus posted offer contract prices tend to converge to the competitive equilibrium from above regardless of the distribution of the exchange surplus

the impact of futures price targeting on the precision and credibility of monetary policy this paper analyzes the hypothesis that the targeting of macroeconomic aggregates can be done more effectively by pegging the price of a futures contract linked to future announcements of the policy target where there is an information lag futures price targeting may be more efficient than a contingent money supply rule a policy of futures price targeting would be less likely to suffer from the time inconsistency problem the use of futures price targeting would also appear to be superior to policies based on intermediate targeting as well as most types of discretion copyright 1995 by ohio state university press

allocation of individuals to job levels under rationing summary we augment an ordered response model for the job level at which individuals desire to work with allowance for individual reporting of a discrepancy between actual and desired job level and we also investigate possible biases from restricting the observations to the employed and omitting the unemployed we find that the latter bias can be ignored and interpret this as evidence that the unemployed are not choosier than the employed people claiming inadequate capability utilization are not markedly differently allocated than those claiming a proper match women s lower job levels cannot be explained from rationing by capability utilization

returns to individual traders of futures aggregate results by means of a data set previously unavailable for academic research actual trading histories of individual futures traders are examined with this more detailed data the author is able to 1 test the risk return hypothesis directly 2 include a much larger segment of the market than before and 3 use actual instead of hypothetical t rading strategies it is shown that the commercial hedging traders are most profitable while noncommercial speculative traders earn n egative or zero profits because speculators are not receiving reward s for the risks they willingly absorb the theory of normal backwarda tion and its extension can be rejected copyright 1987 by university of chicago press

toward a positive economic theory of hedging the hedging models developed over the last half century are evaluated for their ability to explain the actual hedging behavior of the various economic agents this evaluation shows a total lack of a reasonable positive model of hedging behavior while each class of existing models predicts some observed behavior none is able to predict the broad range of actions that is easily observed in the real world in this paper i develop such a model and include a plausible and coldly rational economic explanation for why farmers don t hedge at all while merchandisers with identical risk attitudes will fully hedge

the rise and fall of the dollar a comment if readers of this paper were to ask themselves what the rates for the world s major currencies are likely to be in say three years time it is doubtful whether they would have much confidence in their predictions even conditional forecasts on the basis of particular assumptions about policy would be hard to make this state of ignorance and our admission of it owes much to the recent behaviour of the dollar which as koromzay llewellyn and potter so usefully discuss largely defies explanation in terms of conventional economic analysis even when full use is made of the luxury of hindsight that ignorance itself may however have important policy implications these comments relate to both the theoretical and policy aspects of the paper though the focus as in the paper itself is on the implications for policy a general difficulty may be stated at the outset the paper reasonably enough concentrates on the dollar in the i98os but though this is much the most dramatic illustration of the difficulties in explaining exchange rate movements it is not the only one thus ideally an explanation of dollar strength should be consistent with explanations given for previous dollar weakness see for example bliss i986 and for other recent major movements of exchange rates such as the apparently similar gravity defying rise in sterling in the late i970s and early 198os where theory and empirical analysis fail explanations tend to become ad hoc with a danger that false or over strong policy conclusions are drawn even a casual comparison with the united kingdom raises some questions as well as supporting the general thrust of this paper thus the monetary fiscal mix in the united kingdom was very different from that in the united states according to oecd figures the structural budget moved to surplus by some 6 of gdp between i979 and i982 which must at least suggest a cautious approach to some of the simpler stories that trace the rise in the dollar to united states fiscal irresponsibility the united states experience which as the paper demonstrates does not accord with conventional models of the overshootingtype also throws doubt in the other direction about applications of that kind of model to the united kingdom for example by buiter and miller i98i of course the united kingdom s situation was special because of north sea oil but if north sea oil was important the obvious reason would be due to its effect on relative current account positions which does not seem to work well for the united states and in any case most estimates suggest that oil should account for only a part of the rise in sterling see powell and horton i985 for a survey and as in the united states empirical models were notably unsuccessful in predicting the exchange rate haache and townend i98i

an examination of okun s law evidence from regional areas in greece this paper estimates okun s coefficient for certain regional areas in greece over the period 1960 1997 through the hodrick prescott filtering and the band pass filtering the empirical analysis shows that that the coefficients do not exhibit substantial interregional differences except for the cases of epirus and north aegean islands in these two cases the estimates are larger than the regional average under both detrending methodologies the empirical findings also show that okun s relationship undergoes a structural change in 1981 after this break unemployment becomes less responsive to output changes in all regional areas

using usda forecasts to estimate the price flexibility of demand for agricultural commodities we estimate the general equilibrium price flexibility of demand for corn and soybeans using monthly changes in expected supply published by the usda our estimates reflect the demand response to a one year supply shock and thus correspond to the inverse demand elasticity we derive the conditions under which our estimates are consistent and we show how demand flexibility varies by season inventory time horizon and demand composition at average inventory and without accounting for corn ethanol use we obtain price flexibility estimates of 1 35 and 1 03 for corn and soybeans respectively current corn ethanol production levels are associated with much larger absolute flexibilities for both commodities copyright 2012 oxford university press

unemployment and female labour supply the definition of labour force participation in the standard labour supply model stands in sharp contrast to that used in compiling the labour force statistics in the labour supply models only those supplying positive hours of work are considered to be labour force participants on the other hand participation in the labour force statistics is often defined to include not only those supplying positive hours but also those actively searching for work this paper is an attempt to reconcile these concepts by allowing unemployed workers to enter a generalisation of the standard labour supply model this turns out to be a convenient way to enter demand side factors directly into the determination of an individual s labour market position the model is applied with some success to the working behaviour of married women in the uk family expenditure survey

firm specific output limits in a posted offer market distributive and efficiency effects abstract in this paper we look at the effect of the removal of firm specific binding and non binding quotas in experimental posted offer markets in the experiments we see that the effect of both binding and non binding quotas is carried over to the deregulated regime the effect of non binding quotas while being in effect on the number of contracts is statistically significant we also see that distribution of surplus may actually affect the convergence path of prices that is with binding quotas price convergence is observed from below the competitive equilibrium

asymmetric surplus distribution and the price convergence path in posted offer markets a note abstract we report results from five posted offer experiments with firm specific quotas the average contract price converges from below the competitive equilibrium thus the independence of the contract price convergence path from surplus distribution is questioned in our results

a comparison of posted offer and double auction pricing institutions this paper presents an experimental study of a computerized posted offer pricing mechanism that captures many of the basic institutional features of retail exchange in the u s posted offer market performance is evaluated relative to double auction market performance using two supply and demand designs subject experience with the trading mechanism is explicitly considered as an experimental treatment variable the market data suggest that prices tend to be higher and efficiency lower under posted offer pricing relative to double auction however the institutional effect appears to interact with other design conditions when feasible the predictive power of competitive nash and limit price theoretic equilibria are empirically evaluated

interday variations in volume variance and participation of large speculators abstract we use data uniquely available from the commodity futures trading commission cftc to document the intraweek trading patterns of large speculators in five futures markets these markets include futures traded against the standard and poor s 500 stock index treasury bonds gold corn and soybeans we also examine the influence of large speculator trades on the patterns of volume and volatility for the contracts in our sample though we detect the familiar u shaped and inverted u shaped patterns across weekdays for volatility and aggregate volume the association between volume and volatility becomes stronger when we separate large speculator volume from volume associated with other traders the coefficient on large speculator volume is much larger than the coefficient on other volume in these regressions compared with total volume large speculator volume is greater on mondays than on the other days of the week in all five markets

the sensitivity of an empirical model of married women s hours of work to economic and statistical assumptions this study undertakes a systematic analysis of several theoretic and statistical assumption s used in many empirical models of female labor supply using a singl e data set psid 1975 labor supply data the author is able to replic ate most of the range of estimated income and substitution effects fo und in previous studies in this field he undertakes extensive specif ication tests and finds that most of this range should be rejected du e to statistical and model misspecifications the two most important assumptions appear to be the tobit assumption used to control for sel f selection into the labor force and exogeneity assumptions on the wi fe s wage rate and her labor market experience copyright 1987 by the econometric society

luck versus forecast ability determinants of trader performance in futures markets statistical techniques are used to demonstrate that the fortunes of individual futures traders are determined by luck not forecast ability even though a large number of traders appear to exhibit significantly superior forecast ability the investigation strongly supports three conclusions there are fewer participants with significantly superior skill than expected if participants trade randomly there are more traders exhibiting no skill than expected if participants trade randomly and forecast ability is not correlated over time superior forecasters in the early period are only average forecasters in the later period therefore it is luck that determines trader performance copyright 1991 by university of chicago press

financial speculators underperformance learning self selection and endogenous liquidity we develop an equilibrium model of learning by rational traders to reconcile several empirical regularities cross sectionally most individual speculators lose money large speculators outperform small speculators past performance positively affects subsequent trade intensity most new traders lose money and cease speculation and performance shows persistence learning from trading generates substantial endogenous liquidity reducing bid ask spreads and the impact of exogenous liquidity shocks on asset prices but amplifying the effects of real shocks introducing slightly overconfident traders increases bid ask spreads hurting all traders finally behavioral theories cannot reconcile all of these empirical regularities

selection criteria for a microeconometric model of labour supply the wide variety of observed behaviour that is displayed in survey data suggests that microeconometric models should allow a reasonable degree of flexibility in specification however since these models are generally used for policy analysis they are required to satisfy some degree of theoretical consistency this requirement has generally led to the adoption of rather simple inflexible models based on additive preferences or linear labour supply responses we estimate and test a sequence of models for the labour supply of married working women emphasizing the importance of testing both the thecretical and statistical assumptions underlying the models

optimal hedging with a subjective view an empirical bayesian approach the standard optimal hedging model has been the preferred theoretical model of normative hedging behavior in empirical applications the model is often implemented with the parameter certainty equivalent pce procedure however the pce procedure completely ignores parameter estimation risk and subjective views we develop an empirical bayesian optimal hedging model that not only effectively accommodates parameter estimation risk but also provides hedgers with a theoretically intuitive yet quantitatively rigorous framework to blend their subjective views and a marketwide or firmwide consensus in determining optimal hedging positions ratios

smallholder participation in vegetable exports and age disaggregated labor allocation in northern tanzania modern agricultural supply chains have been playing an increasingly important role in developing countries and have had significant effects on rural labor markets this article analyses the effects of smallholder farmer participation in export vegetable supply chains in northern tanzania on both household hired labor demand and off farm labor supply using an age disaggregated approach in our sample neither separability nor exogeneity of smallholder farmer participation in export supply chains can be rejected hence we apply lognormal double hurdle models and find that participation in export supply chains positively affects households decision to hire labor from all age groups we also find that it increases the unconditional overall level of hired labor demand while the age disaggregated analysis shows that these effects mostly benefit rural youth however our sample does not allow us to establish statistically significant evidence of an effect on household off farm labor supply although the point estimates point to nonnegligible positive effect sizes

social interactions and habit formation in a model of female labour supply this paper investigates the influence of habit formation and preference interdependence on labour supply behaviour of married females a novelty of the paper is that we incorporate direct survey information on reference groups of individuals in a neoclassical labour supply model for that purpose we first estimate a latent variables model relating the direct information to the true but unobserved reference groups one of the most interesting features of the model is that the presence of young children becomes an insignificant factor in the hours equation while it remains a significant factor in the participation decision in addition the labour supply curve is much flatter in a model with habit formation and preference interdependence than in a model without it both habit formation and preference interdependence contribute significantly to the explanation of female labour supply 1998 elsevier science s a all rights reserved

female participation and male unemployment duration in greece evidence from the labour force survey the work reported in this paper is part of a project financed by the centre for planning and economic research kepe athens we should like to thank kepe s scientific director louka katseli for her help and encouragement and the staff of kepe for their help with the data we should like to thank d karantinos for the insights he provided on the greek labour market finally we should like to thank neils westergaard nielsen for his comments all errors and shortcomings remain our responsibility

are corn futures prices getting jumpy the article sheds light on price jump risk in corn futures prices in the era of electronic trading and after the shift to real time announcement of usda reports using intraday prices from 2008 to 2015 we employ a nonparametric test to detect jumps and variance analysis to assess the relative importance of jump risk real time trading of major usda reports has substantially increased the frequency and clustering of price jumps and results in higher market liquidity costs in contrast although the presence of jumps on non announcement days has doubled recently their magnitude has declined as have transactions costs during their occurrence the largest jump risk or execution risk is experienced by high frequency traders due to heightened microstructure noise during price jumps however traders holding long term market positions are only minimally affected by increased jump risk

a model of female labour supply in the presence of hours restrictions abstract we develop a discrete choice model of female labour supply in finland using a data set constructed by merging the 1980 labour force survey and housing and population census this contains observations on the perceived incidence of constraints in the labour market and allows us to identify the effects of such constraints on observed labour supply approximately one in five women appears to be seriously constrained in her choice of hours of work our estimated model implies that the response of labour supply to variation in tax and wage rates is rather small

endogeneity and sample selection in a model for remittances abstract we estimate a remittance model in which we address endogeneity and reverse causality relationships between immigrants remittances pre transfer income and consumption in order to take into account the fact that a large share of individuals do not remit instrumental variable variants of the double hurdle and heckit selection models are proposed and estimated by limited information ml semiparametric extensions are considered as robustness checks our results for a sample of recent immigrants to australia show that endogeneity is substantial and that estimates obtained by the methods previously employed in the literature may be misleading if given a behavioral interpretation

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

returns to individual traders in agricultural futures markets skill or luck using individual trader data from the commodity futures trading commission s cftc large trader reporting system ltrs for the period january 2000 to september 2009 this article investigates whether noncommercial traders in the corn live cattle and coffee futures markets persist in making profits two out of sample measures of skill a winner and a loser ranking test and a top and a bottom decile test are used to analyse the ability of traders to consistently perform well at monthly quarterly and annual time horizons the findings identify significant persistence in rankings traders in the top half of the profit distribution in a time period tend to stay in the top half in the next period differences in magnitude of profitability between the top and bottom deciles also provide support that persistent skill exists among the top 10 of traders detailed examination of annual rankings for those traders who were most continuously in the markets further reveals persistence in profits for a smaller s

time varying risk premium further evidence in agricultural futures markets research has provided mixed results regarding the presence of a time varying risk premium in agricultural futures markets in this article we test for the presence of a time varying risk premium focusing on the properties of the underlying data our results show that accounting for the structural break in the 1970s plays a key role in the findings in contrast to recent research we find only limited evidence of time varying risk premium for a two month horizon the corn soybean meal and hog markets show no signs of a risk premium while very weak support for a time varying premium emerges in live cattle for the four month horizon no evidence of a time varying risk premium appears for any of the markets