adoption of new tobacco varieties in greece impacts of empirical findings on policy design abstract greece is a major international tobacco producer flue cured tobacco varieties constituted the major alternative crop to greek farmers growing certain oriental tobacco varieties diffusion of flue cured tobacco was rapid due to its high yields and the depressed market for certain oriental tobacco varieties currently the common organisation of the tobacco market is undergoing substantial changes and the farmers response will be a vital factor of success a portfolio selection model reveals that the major factors influencing the adoption decision of tobacco growers are the size of the farm measured in annual work units the farm s proximity to urban centres the farm s diversification and the farmer s age the number of contacts with institutions is surprisingly inversely related to adoption future tobacco policies impinging on factors influencing decisions to adopt new varieties or production practices may be more cost effective

the incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market abstract this paper aims to investigate whether investor fear gauge ifg contains incremental information content for forecasting the volatility of crude oil futures for this purpose we use oil volatility index ovx to measure the ifg adding the ifg to existing heterogeneous autoregressive har models we develop many har models with ifg subsequently we employ these har models to predict the volatility of crude oil futures the results from the parameter estimation and out of sample forecasting show that the in sample and out of sample performances of har models with ifg are significantly better than their corresponding har models without ifg the results are robust in different ways thus the har models with ifg are more beneficial to the decision making of all participants including financial traders manufacturers and policymakers in the crude oil futures market more importantly the results suggest that the investor fear gauge has a significant positive effect on volatility forecasting and can help improve the performances of almost all the existing har models

supply response and risk in chinese agriculture the main objective of this paper is to model the production and supply response in chinese agriculture which includes not only the standard arguments like expected prices but also risk we extend lin s work 1991 1992 by modelling supply response as a three equation model we fit our model to data for 28 chinese provinces from 1970 to 1997 to determine whether national chinese agricultural supply is price and price risk responsive further we fit our model to data for north northeast south and southeast regions results from the three systems equations are compared to single equation estimations at the national level chinese agriculture is found to be price and price risk responsive the regional analyses suggest that significant regional differences exist unlike lin we do not find the household responsibility system hrs to be the dominant factor in increased yields in different regions of china

electricity market integration decarbonisation and security of supply dynamic volatility connectedness in the irish and great britain markets abstract this study investigates the volatility connectedness between the irish and great britain electricity markets and how it is driven by changes in energy policy institutional structures and political ideologies we assess various aspects of this volatility connectedness including static unconditional vs dynamic conditional symmetric vs asymmetric characteristics between 2009 and 2018 we find that the volatility connectedness is time varying and it is significantly affected by important events policy reforms or market re designs such as brexit oil price slump an increasing share of renewables and fluctuations in the exchange rates our asymmetric analysis shows that magnitude of the good volatility connectedness is marginally larger than that of the bad volatility connectedness our result suggests that good volatility levels would be even higher once the irish market adopts the carbon price floor therefore supporting renewable generation by setting an appropriate price of carbon in interconnected wholesale electricity markets will improve market integration

asymmetric effects of oil price uncertainty on corporate investment abstract using a comprehensive data set of a large panel of us firms over 1984 2017 we show that the negative effect of crude oil price return uncertainty on investments is asymmetric in particular we show that investment is more significantly reduced following the volatility of positive oil price changes than that of negative changes and this asymmetric effect is more pronounced in small firms in addition we find that the asymmetric effect is stronger in the crude oil and gas producing companies where the effect of the volatility of negative oil price changes is greater than that of positive oil price changes we also find that the impact of positive or negative oil price change uncertainty on investments substantially differs across different industries the results are quite robust to the way in which we measure the investment and oil price uncertainty and to alternative regression methods

asymmetric volatility spillovers between crude oil and international financial markets abstract in this paper we examine asymmetric volatility spillovers between oil and international stock markets in a vector autoregression framework using a directed acyclic graph dag technique we provide evidence that bad total volatility spillovers dominate the system and change over time suggesting that a pessimistic mood and uninformed traders who tend to increase volatility dominate in markets positive spillovers of oil markets dominated from 2006 to mid 2009 but reversed after mid 2009 moreover the spillovers from good volatilities in oil markets to bad volatilities in global stock markets were significantly positive during the economic recovery period the recent important economic and political events have influenced asymmetries in volatility spillovers

the household responsibility system in china s agricultural reform a theoretical and empirical study the emergence and eventual prevalence of the household responsibility system which replaces the production team system as the unit of production and income distribution has brought about dramatic changes in china s rural areas since 1979 this institutional change has resulted in remarkable growth in agricultural productivity however in the literature on collective farms a theory that is capable of explaining the causes and effects of this change is yet to be developed the formal theory about collective economies developed so far by ward domar sen oi and clayton bradley maurice and ferguson cameron bonin chinn israelsen putterman and others suggests that the allocation of resources in a collective farm is efficient at least in

trading horizons and the value of money abstract this paper shows that fiat money can be feasible and essential even if the trading horizon is finite and deterministic the result hinges on two features of our model first individual actions can affect the future availability of productive resources so agents may be willing to sell for money even if on that date they have no reason to accept it this makes monetary trade feasible in all preceding dates second agents are anonymous and direct their search for partners so gift giving arrangements may be prevented because agents can misrepresent their consumption needs this makes money essential in exploiting any gains from specialization and trade

technological change rediscovering the engine of productivity growth in china s rural economy abstract this paper focuses on measuring the relative importance of the role of technology versus that of institutional innovation in china s rural economy a six equation rice sector model explaining provincial level technology adoption yield and factor demand are econometrically estimated using data from china s 13 rice growing provinces for the period 1975 1990 growth decomposition analysis identifies technology adoption as the most important determinant of rice yield growth during 1978 1984 accounting for nearly 40 percent the change institutional reform accounted for 35 percent of the growth in 1985 1990 technology accounts for all of the increase in rice yields the study demonstrates earlier studies may have over estimated the impact of decollectivization

the impact of jumps on carry trade returns abstract this paper investigates how jump risks are priced in currency markets we find that currencies whose changes are more sensitive to negative market jumps provide significantly higher expected returns the positive risk premium constitutes compensation for the extreme losses during periods of market turmoil using the empirical findings we propose a jump modified carry trade strategy which has approximately two percentage point per annum higher returns than the regular carry trade strategy these findings result from the fact that negative jump betas are significantly related to the riskiness of currencies and business conditions

the creation and spread of technology and total factor productivity in china s agriculture the overall goal of this study is to create a framework for assessing the trends of china s national and international investment in agricultural research and to measure its impact on total factor productivity the main methodological contribution is to provide more convincing measures of crop specific technologies from china s national research program and of those imported from the international agricultural research system our results find that from 1980 to 1995 china s total factor productivity for rice wheat and maize grew rapidly and new technology accounts for most of the productivity growth

up and downside variance risk premia in global equity markets abstract this paper provides novel insights into the dynamic properties of variance and semivariance premia considering nine international stock market indices we find consistent evidence of significantly negative total and downside semi variance premia of around 15 bps per month these premia almost exclusively compensate investors for the risk of extreme negative returns we also document pronounced downside semivariance premia for longer times to maturity while the term structure of the total variance premium is upward sloping for all of the considered indices the slope is driven by upside semivariance premia which are positive over long horizons they can only be negative in adverse states characterized by high uncertainty and high risk aversion we show that a general equilibrium model featuring external habit formation and bad environment good environment dynamics for consumption and dividends can explain many of these stylized facts and highlight the economic mechanisms

adoption of agricultural innovations in developing countries a survey this paper reviews various studies which have provided a description and possible explanation to patterns of innovation adoption in the agricultural sector the survey points out that the tendency of many studies to consider innovation adoption in dichotomous terms adoption nonadoption may not be appropriate in many cases where the actual decisions are defined over a more continuous range more attention needs to be given to the socio cultural and institutional environment in area studies so that their interrelation with economic factors affecting adoption can be inferred the presence of several interrelated innovations is another aspect that needs to be considered more carefully in future research since a number of simultaneous decisions may be involved furthermore the possibility of regular sequential patterns in adopting components of a new technological package should be specifically addressed in future studies finally the impact of differential adoption rates on land holding distribution merits attention in future research

roughing it up including jump components in the measurement modeling and forecasting of return volatility a rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high frequency returns coupled with simple modeling procedures building on recent theoretical results in barndorff nielsen and shephard 2004a 2005 for related bi power variation measures the present paper provides a practical and robust framework for non parametrically measuring the jump component in asset return volatility in an application to the dm exchange rate the s p500 market index and the 30 year u s treasury bond yield we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation process moreover many jumps appear directly associated with specific macroeconomic news announcements separating jump from non jump movements in a simple but sophisticated volatility forecasting model we find that almost all of the predictability in daily weekly and monthly return volatilities comes from the non jump component our results thus set the stage for a number of interesting future econometric developments and important financial applications by separately modeling forecasting and pricing the continuous and jump components of the total return variation process

which garch model for option valuation characterizing asset return dynamics using volatility models is an important part of empirical finance the existing literature on garch models favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time series of asset returns this paper compares a range of garch models along a different dimension using option prices and returns under the risk neutral as well as the physical probability measure we judge the relative performance of various models by evaluating an objective function based on option prices in contrast with returns based inference we find that our option based objective function favors a relatively parsimonious model specifically when evaluated out of sample our analysis favors a model that besides volatility clustering only allows for a standard leverage effect

do negative and positive equity returns share the same volatility dynamics abstract this paper investigates whether positive and negative returns share the same dynamic volatility process the well established stylized facts on volatility persistence and asymmetric effects are re examined in light of such dichotomy to analyze the dynamics of down and up volatilities estimated from daily returns i use a bivariate generalization of the standard egarch model as a robustness check i also investigate various specifications of down and up realized measures estimated from high frequency data the empirical findings point to the existence of a marked diversity in the volatilities of positive and negative daily returns in terms of persistence and sensitivity to good and bad news a simple forecasting exercise highlights the striking performance of the proposed approach even during the crisis period

a finite horizon monetary economy abstract conventional wisdom says that there is no demand for money in an economy of finite duration in this article we show that this is not necessarily the case we use a random matching model in which the function of money is to mediate exchange by alleviating the double coincidence of wants problem towards the end economic activity decreases but this does not affect the ability of money to speed up trade

fiat exchange in finite economies the state of the art of rendering fiat money valuable is either to impose a boundary condition or to make the boundary condition unimportant through an infinite sequence of markets so as to circumvent backward induction we show fiat exchange may nevertheless arise in finite economies if agents have incomplete information about their relative position in the trade cycle or when the barter and autarky equilibria of the one shot trading round support a monetary equilibrium with repeated trades

can stock volatility be benign new measurements and macroeconomic implications we find nonsynchronized movements of two new measures of financial market uncertainty good and bad volatility which are based on the maximum and minimum stock prices within a month good bad volatility is associated with better worse expectations about the future economic situation and clearly signals acceleration deceleration in economic activity the var results indicate that i output employment and stock price plummet rapidly in response to a bad volatility shock while their responses to a good volatility shock are modest and ii bad volatility shocks explain the bulk of economic activity and stock price fluctuations in the medium run

crude oil price volatility and short term predictability of the real u s gdp growth rate abstract the predictive power contained in crude oil price volatility with regards to forecasting the real u s gdp growth rate is evaluated contrary to models based on the price of crude oil specifications employing crude oil price volatility tend to afford statistically significant improvements in terms of population level predictability and finite sample forecast accuracy relative to the benchmark at the one quarter ahead horizon

china s food economy to the twenty first century supply demand and trade this paper accounts for the structural changes now taking place in china and suggests that china is not likely to become either an enormous importer or exporter of grain ultimately though china s grain balances will depend on decisions made by chinese policymakers rather than natural resource constraints p v this abstract was borrowed from another version of this item

good bad cojumps and volatility forecasting new evidence from crude oil and the u s stock markets abstract in this article we investigate the impacts of jumps cojumps and their signed components on forecasting oil futures price volatility in the framework of the heterogeneous autoregressive realized volatility model our empirical results reveal several noteworthy findings first the effects of signed jumps and cojumps based on the daily and intraday jump tests on future volatility are asymmetric and the negative components are much more powerful in forecasting volatility moreover our proposed models including the signed jump and cojump components are able to generate higher forecasting accuracy and we find that disentangling the effects of positive and negative jumps and cojumps can significantly improve forecasts of future volatility lastly our findings are reliable for various robustness checks and our study provides some new insights into forecasting oil price realized volatility which are useful for researchers market participants and policymakers

unconventional adjustment strategies for rural households in the less developed areas in greece abstract international competition in agricultural production is intensifying following the implementation of the 1993 accord of the general agreement on tariffs and trade the production of conventional farm products in surplus is being discouraged by means of indirect economic disincentives the common agricultural policy has already adjusted to unprotected national markets within the european union and greater market orientation is being achieved mainly through price reductions farmers in the less developed areas in greece where agricultural activity is still the main source of income and employment have been responding to policy reforms by seeking part time employment and income in non farm enterprises the adoption of alternative unconventional farm enterprises that use farm resources in an innovative and quantitatively different way does have the potential for bringing in a new source of income to farm business for the purpose of this research three adjustment strategies were recognised the conventional no change pathway is based on traditional region specific products production methods and services the adoption of the new crop pathway refers to the redeployment of resources into new agricultural products whereas farms on the market integration pathway redeploy resources into new marketing services and agricultural product processing on the farm the new crop and the market integration pathways are identified as unconventional adjustment strategies results derived from multinomial logit analysis highlight the major constraints and opportunities associated with the adoption of new crops and market integration practices farmers who have adopted unconventional practices are influenced by factors external to the farm such as contacts with institutions and have a high probability of having higher debts these farmers are likely to depend heavily on seasonal labour and rented land the fact that market integration activities are associated with smaller farms in conjunction with off farm work signifies the importance of establishing an integrated rural development policy approach public policy involvement in enhancing dissemination of information concerning unconventional enterprises is emphasised

the household responsibility system reform and the adoption of hybrid rice in china abstract this paper studies the diffusion of hybrid rice before and after the recent institutional change from the collective team system to the household based farming system in rural china a simple model which treats the adoption of hybrid rice as a portfolio selection problem is presented the model is tested against time series cross county data collected from hunan province in south china the empirical evidence suggests that 1 adoption behavior in the collective system was not consistent with the predictions of the theoretical model this evidence indicates the existence of administrative intervention in influencing production decisions in the collective system 2 there was a significant change in the structure of the adoption function following the transition from the collective system to the household based system and 3 adoption behavior in the household system is consistent with the predictions of the theoretical model

higher moment risk premiums for the crude oil market a downside and upside conditional decomposition abstract relying on options written on the uso an exchange traded fund tracking the daily price changes of the wti light sweet crude oil we extract variance and skew risk premiums in a model free way we further decompose these risk premiums into downside and upside conditional components and show that they can be partially explained by uso excess returns and more importantly these decomposed risk premiums enable a much better prediction of uso excess returns than the standard or undecomposed variance and skew risk premiums a comparison with existing results for the equity index option market further confirms the usefulness of the decomposition for the crude oil market

china s government finance and food security nexus a regime switching analysis this paper is an empirical assessment of the government finance and food security nexus in china from 1978 to 2016 using autoregressive distributed lag for linear and threshold cointegration the

education and innovation adoption in agriculture evidence from hybrid rice in china this paper uses the diffusion of f1 hybrid rice as a case for examining the effects of education on the adoption of new technology in china a simple behavioral model that treats the adoption of hybrid rice as a portfolio selection problem is presented the implications of the model are tested with farm level data collected from a sample of 500 households in hunan province the results from a dichotomous probit model and a two limit tobit model are consistent with the hypothesis that education has a positive impact on the adoption of new technology

institutional reforms and dynamics of agricultural growth in china abstract the collective farming system the state monopolized procurement and marketing system and the grain self sufficient policy formed in the early 1950s made the rapid development of heavy industries possible in china however they were detrimental to farmers incentives and resulted in a serious misallocation of resources consequently despite sharp improvements in technology and increases in the use of modern inputs grain production in china barely kept up with population growth before the 1979 reform the shift from the collective farming system to the household based farming system in 1979 greatly improved farmers incentive and resulted in a sharp increase of grain output in the early 1980s in the late 1980s grain production stagnated again because the incompleteness of procurement system reform made the production of grain unprofitable for producing enough grain to feed china s ever increasing popualation it is imperative for the chinese government to liberalize the grain procurement and marketing system and to invest in yield improvement research it is also desirable for china to adjust her trade policy and to import more grain for meeting domestic grain demands

forecasting the realized volatility of the oil futures market a regime switching approach considering nonlinear and highly persistent dynamics of realized volatility we introduce markov regime switching models to the heterogeneous autoregressive model of the realized volatility har rv models to forecast the realized volatility of the crude oil futures market in sample results demonstrate that the high volatility regime is short lived out of sample results suggest that har rv models with regime switching increase the forecasting ability significantly than those without regime switching moreover these findings are robust for different actual volatility benchmarks forecasting windows and model settings

rural reforms and agricultural growth in china this paper employs province level panel data to assess the contributions of decollectivization price adjustments and other reforms to china s agricultural growth in the reform period decollectivization is found to improve total factor productivity and to account for about half of the output growth during 1978 84 the adjustment in state procurement prices also contributed positively to output growth its impact came mainly from the responses in input use the effect of other market related reforms on productivity and output growth was very small reasons for slowdown in agricultural growth after 1984 are also analyzed copyright 1992 by american economic association

news good or bad and its impact on volatility predictions over multiple horizons we examine whether the sign and magnitude of intra daily returns have impact on expected volatility the next day or over longer future horizons we first let the data speak namely with minimal interference we capture the mapping between intra daily returns and future volatility we revisit the concept of news impact curves introduced by engle and ng 1993 overall we find that moderately good intra daily news reduces volatility the next day while both very good news unusual high intra daily positive returns and bad news negative returns increase volatility with the latter having a more severe impact the asymmetries disappear over longer horizons we also introduce a new class of parametric models which feature asymmetries and with close ties to arch type models albeit applicable to a mixture of high and low frequency data models featuring asymmetries dominate especially during the 2007 2008 financial crisis

tails fears and risk premia we show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia exploiting the special structure of the jump tails and the pricing thereof we identify and estimate a new investor fears index the index reveals large time varying compensation for fears of disasters our empirical investigations involve new extreme value theory approximations and high frequency intraday data for estimating the expected jump tails under the statistical probability measure and short maturity out of the money options and new model free implied variation measures for estimating the corresponding risk neutral expectations

the impact of positive agricultural income shocks on rural chinese households in the post collectivization period rural chinese households were required to sell part of their grain output to the state at a below market price however increases in this quota price beginning in 1993 generated substantial positive income shocks these income shocks also varied cross sectionally in accordance with crop composition given that quotas were systematically larger for rice producing households generating a quasi random source of variation in the size of the shock driven by climatic variation in suitability for rice cultivation households induced to experience relatively larger income shocks show evidence of decreased agricultural investment increased investment in non agricultural businesses and increased migration as households gain increased income consistent with the hypothesis that credit constraints may have constrained some households from entering non agricultural production ex ante in addition there is evidence that these households were concentrated among households who had not previously diversified out of agriculture

good volatility bad volatility signed jumps and the persistence of volatility abstract using estimators of the variation of positive and negative returns realized semivariances and high frequency data for the s p 500 index and 105 individual stocks this paper sheds new light on the predictability of equity price volatility we showthat future volatility is more strongly related to the volatility of past negative returns than to that of positive returns and that the impact of a price jump on volatility depends on the sign of the jump with negative positive jumps leading to higher lower future volatility we show that models exploiting these findings lead to significantly better out of sample forecast performance

forecasting the volatility of crude oil futures using intraday data abstract we use the information in intraday data to forecast the volatility of crude oil at a horizon of 1 66 days using a variety of models relying on the decomposition of realized variance in its positive or negative semivariances part and its continuous or discontinuous part jumps we show the importance of these decompositions in predictive in sample regressions using a number of specifications nevertheless an important empirical finding comes from an out of sample analysis which unambiguously shows the limited interest of considering these components overall our results indicates that a simple autoregressive specification mimicking long memory and using past realized variances as predictors does not perform significantly worse than more sophisticated models which include the various components of realized variance

public investment social services and productivity of chinese household farms this article examines the impact of village sponsored infrastructural investment and social services on the productivity of chinese farm households using detailed farm level data for the period 1986 90 the main findings are that the public facilities and services provided by village collectives augmented productivity growth of farm households and that the expenditures on public good activities in the sample villages were below the optimal level the problems of under investment in public projects were particularly acute in low income villages

the asymmetric volatility in the gold market revisited abstract based on 13 5 years of intraday data this paper sheds light on the inverse asymmetric volatility effect inherent in the gold market after decomposing realized volatility into positive and negative semivariance rolling estimations of the har model uncover the relative importance of the long term positive semivariance and reveal the dynamics of the individual volatility components over time two effects are identified the relevance of the short term negative semivariance is rather pervasive while the impact of the positive semivariance is strongly correlated with the overall development of the gold market the asymmetric nature of gold price volatility is multi faceted and hence more complex than previously documented

prospects and some policy problems of agricultural development in china chinese agriculture prior to the late 1970s is widely perceived to have had major shortcomings the growth of output and of farm income was quite modest productivity growth was negligible at best and per capita consumption of food apparently suffered a slight long term decline since 1978 by contrast output growth has accelerated to a rate several times the long term average total factor productivity has jumped and levels of food consumption have increased dramatically the alltoo frequent conclusion is that cooperative agriculture of the past was a failure whereas the current arrangements something akin to private household based farming provide the basis for sustained reasonably rapid growth of agricultural output the corollary of that view is that the current institutional arrangements are likely to persist in at least the medium term future the hypothesis i wish to advance here is that china s current institutional arrangements are not in fact likely to persist unaltered while the shift toward household based farming has alleviated some problems of the cooperative system the current arrangements do not appear likely to provide the basis for sustained growth in the mid 1980s china appears to be pursuing three major policy goals in agriculture sustaining rapid growth minimizing the state s commitment of resources for agriculture and rural development and preserving some degree of collective ownership of the means of production notably land i argue below that these three goals cannot be achieved simultaneously that one objective must be sacrificed the choice is whether to accept a lower rate of growth of agricultural output a higher level of state expenditures for agricultural development or a further erosion in the degree of collective ownership and its resulting adverse effects on the distribution of rural income

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

efficiency and technical progress in traditional and modern agriculture evidence from rice production in china abstract productive efficiency for chinese hybrid and conventional rice production is estimated using a dual stochastic frontier efficiency decomposition model results reveal significant differences in technical and allocative efficiency between conventional and hybrid rice production and indicate significant regional efficiency differences in hybrid rice production but not in conventional rice production

playing with money abstract experimental work in monetary economics is usually based on theory that incorporates an infinite horizon yet hard constraints on laboratory sessions lead to finite times when the game must with probability 1 end and then simple backward induction implies monetary equilibria cannot exist hence these experiments cannot evaluate subjects ability to settle on the use of money as a medium of exchange that ameliorates trading frictions as an equilibrium outcome to address this we present some finite horizon games where monetary exchange is an equilibrium outcome and report some experimental results using these games

good volatility bad volatility and option pricing advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components recent studies establish that this decomposition enhances volatility predictions and highlight the upside downside variance spread as a driver of the asymmetry in stock price distributions to appraise the economic gain of this decomposition we design a new and flexible option pricing model in which the underlying asset price exhibits distinct upside and downside semivariance dynamics driven by the model free proxies of the variances the new model outperforms common benchmarks especially the alternative that splits the quadratic variation into diffusive and jump components

asymmetric volatility connectedness on the forex market abstract we show how bad and good volatility propagate through the forex market i e we provide evidence for asymmetric volatility connectedness on the forex market using high frequency intra day data of the most actively traded currencies over 2007 2015 we document the dominating asymmetries in spillovers that are due to bad rather than good volatility we also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in europe while positive spillovers are correlated with the subprime crisis different monetary policies among key world central banks and developments on commodities markets it seems that a combination of monetary and real economy events is behind the positive asymmetries in volatility spillovers while fiscal factors are linked with negative spillovers

the cross market dynamic effects of liquidity on volatility evidence from chinese stock index and futures markets abstractthis article investigates the cross market asymmetric dynamic effects of liquidity on realized volatility and its intersection with jump volatility between chinese stock index and futures m

collective agricultural production a solution for transition economies abstract the paper examines theoretical reasons and provides examples for productivity differences between agricultural service cooperatives and collectives service cooperatives can utilize economies of scale enhance competitiveness and provide technical information advantages that often outweighed problems of free riding low investment and excessive political intervention agricultural collectives while not adding substantial advantages are in addition associated with problems of supervision and effort supply tendencies to substitute casual workers or mechanization for regular members and low investment incentives while collective forms of organization in transition economies respond to high risk and market imperfections they do so inefficiently policies that create conditions for service cooperatives to compete may lead to large productivity gains

forecasting realized volatility of crude oil futures with equity market uncertainty this paper examines whether the equity market uncertainty emu index contains incremental information for forecasting the realized volatility of crude oil futures we use 5 min high frequency tran