reversing urban bias in african rice markets evidence from senegal summary urban bias constitutes an important institutional impediment to economic development in poor countries some african governments now recognize that they should invest in agricultural productivity in order to reverse urban bias but often forget the equally important objective of investing in quality tailored to consumers so as to reverse urban bias footprint on food markets we conduct framed field experiments in two major urban markets in senegal and find that the majority of urban consumers are willing to pay quality premiums for local rice suggesting that investment in post harvest rice quality is a priority in the reversal of urban bias 2012 elsevier ltd all rights reserved

idiosyncratic variation of treasury bill yields i document a dramatic increase in the importance of two types of variation in treasury bill yields beginning in the early 1980s the first is idiosyncratic variation in individual short maturity less than three months bill yields the second is a common component in treasury bill yields that is not shared by yields on other instruments such as short maturity privately issued instruments or longer maturity treasury notes and bonds some evidence suggests the first type reflects increased market segmentation these results have important implications for the calibration and testing of no arbitrage term structure models and interpreting tests of the expectations hypothesis united states treasury bill yields play a central role in economists efforts to understand the behavior of financial markets the focus on treasury bills is driven by the belief that bill yields can be viewed as benchmarks from which yields on other debt instruments are derived for example in no arbitrage models of the default free term structure the stochastic properties of the hypothetical instantaneous interest rate determine bond prices researchers often construct and evaluate these models using short maturity bill yields as proxies for instantaneous interest rates similarly bill yields are frequently used to test the expectations hypothesis of the term structure 2 economists standard pricing models for default risky securities also view treasury yields as building blocks in such models yields on default risky securities depend at least in part on the yields of default free securities and the underlying stochastic default process therefore yields on treasury bills have been used in studies of the effects of monetary policy on the business cycle not because bills are intrinsically critical to the economy but because

scheduling the production of several items with random demands in a single facility consider the problem of scheduling the production of several items in a single facility that can produce only one item at a time this problem occurs since it is often economic to produce several items in a single facility the objective is to reduce the long run average holding backorder and setup costs we assume that demands are random with constant expected rates we allow backorders and charge holding and backlogging costs at linear time weighted rates items are produced at continuous constant rates setup times and setup costs are item dependent constants these parameters however are independent of the order of setups a real time scheduling tool is developed in three steps first with demands replaced by their expectations we compute an optimal or near optimal target cyclic schedule next we study the problem of scheduling the facility after a single disruption perturbs the inventories the goal is to recover the target cyclic schedule at minimal excess over the average cost of the cyclic schedule we formulate this as a control problem and obtain a linear recovery policy that is optimal for a large configuration of disruptions finally we select safety stocks to minimize the long run average cost of following the target schedule with the recovery policy we show that optimal safety stocks are unique and have the property that in the long run the proportion of time that an item is in stock is the ratio of backorder to holding plus backorder cost we present an example that integrates the cyclic schedule the control policy and the safety stocks

a model of target changes and the term structure of interest rates abstract we investigate the effects of short term rate targeting by the federal reserve on the term structure of interest rates and make contributions at two levels using a new series of interest rate targets made available by the federal reserve bank of new york we develop a family of models that highlight the implications of discrete changes in interest rate targets for the term structure of interest rates we show that spreads between short term rates and the overnight federal reserve funds rate are mainly driven by expectations of changes in the target not by the transitory dynamics of the overnight rate around the target hence the bias in tests of the expectations hypothesis that we document can be mainly attributed to the erroneous anticipation of future changes in monetary policy our modeling assumptions and newly available data make it possible to extract a series of market expectations of the next target change which are compared with a series of realized target changes

comparative advantage in demand and the development of rice value chains in west africa summary national rice development strategies in africa are often supply focused and implicitly assume that consumers will readily substitute imported for domestic rice however due to increasing import dependency urban consumer preferences for rice have become biased toward asian export quality standards against which african rice has difficulties to compete anecdotal evidence suggests that this import bias is higher in cities close to the port and remote from the geographical centers of cultural heritage where african rice was domesticated more than 3 000 years ago we purposely select a sample of five west african urban markets which are supplied by both foreign and domestic rice value chains and which are located at varying distances from the nearest ports and centers of cultural heritage and conduct framed field experiments based on auctions to analyze the drivers of urban demand for domestic rice with upgraded quality characteristics we find that west african rice has increasing difficulties competing against imported rice on urban markets the more consumers appreciate characteristics of imported asian rice the closer to the port and the further the geographical and genealogical distance from rice cultural heritage these challenges provide crucial insights into value chain upgrading in policy makers struggle to achieve rice self sufficiency in west africa our findings suggest that the optimal portfolio of investment in value chain upgrading is a function of the targeted end market and its distance from the port and rice cultural heritage the closer the end market is located toward the port the more investment is needed in lifting demand of domestic rice through quality upgrading branding and promotion to enable it to compete against imported rice proximity to centers of cultural heritage on the other hand endows rice value chains with a comparative advantage in demand requiring less investment in demand lifting and leaving more room for supply shifting investments

interest rate volatility and the term structure a two factor general equilibrium model we develop a two factor general equilibrium model of the term structure the factors are the short term interest rate and the volatility of the short term interest rate we derive closed form expressions for discount bonds and study the properties of the term structure implied by the model the dependence of yields on volatility allows the model to capture many observed properties of the term structure we also derive closed form expressions for discount bond options we use hansen s generalized method of moments framework to test the cross sectional restrictions imposed by the model the tests support the two factor model there are essentially two approaches to the modeling of the term structure of interest rates in continuous time the equilibrium approach pioneered by

china s official rates and bond yields abstract recent research shows that bond yields are influenced by monetary policy decisions to learn how this works in a bond market that differs significantly from those in the us and europe we model chinese bond yields using the one year deposit interest rate as a state variable we also include the spread between the one year market interest rate and the one year deposit interest rate as another factor the model is developed in an affine framework and closed form solutions are obtained we then test the model empirically with a markov chain monte carlo simulation procedure the results show that the new model that incorporates the official rate in china characterizes the changing shape of the yield curve well

determination of safety stocks for cyclic schedules with stochastic demands abstract this paper considers the problem of scheduling the production of multiple items each with random demand on a single facility we show how the variance in demand during lead time can be estimated and present a model for determination of safety stocks and order up to levels for a fixed cyclic sequence both with and without idle time for systems with idle time we present a control model to make the decision to produce next item in sequence or idle the facility the performance of the model is tested in a simulation study

the us retail demand for fish products an application of the almost ideal demand system the main objective is to address the limitations of past us fish demand research through the development of a variation of the almost ideal demand system model for disaggregate fish products at the retail level price and expenditure elasticities as well as elasticities of substitution between fish products and other protein commodities determined from this work may be used in the context of fisheries management and market development and promotion results indicate that with the exception of shellfish demand for the various fish products is relatively inelastic cross price elasticities are generally moderate while expenditure elasticities are large and positive for fresh fish and shellfish demographic effects especially geographical division season race occupation age sex household composition and price income interaction as a proxy for quality are highly significant variables

a bootstrapped double hurdle analysis consumption of home produced food this article deals with home made food the consumption of such specific goods involves an important null consumption issue a two step procedure is used to estimate whether the decision to consume is distinct from the decision on the amount of consumption data from the 1991 french food consumption survey show the relevance of double hurdle models finally the estimation of cragg s model is improved with a new undersampling procedure numerous and sometimes opposite effects of household characteristics on the probability of consuming home produced food and on the amount consumed are obtained

estimating fishing and hunting leisure spending shares in the united states abstract we apply a bivariate censored demand system to estimate hunting and fishing trip related spending shares in the united states using data from off site surveys the approach considers fishing and hunting destination decisions and includes respondents who were inactive i e did not hunt or fished in a particular season the statistical significance of correlation coefficient parameter supports the use of a joint e g bivariate rather than separate e g univariate decision modeling process for fishing or hunting share equations most individual characteristics are statistically significant as explanatory variables respondents holding recreation licenses tended to spend significantly more on recreation than those without licenses all own price and cross price elasticities are statistically significant and suggest that hunting and fishing are complements the results also suggest that the popularity of hunting may decline as the population ages

reconciling food for work project feasibility with food aid targeting in tigray ethiopia abstract food for work ffw projects face the challenge of addressing three kinds of objectives to feed hungry people to build public works where needed and to be feasible for prompt project implementation in the debate over how to target ffw to the poorest of the poor the last two program objectives are often overlooked this research examines ffw afforestation and erosion control programs in central tigray ethiopia during 1992 95 in order to understand how these sometimes conflicting objectives were reconciled statistical analyses examined the factors that influenced 1 in which villages ffw projects were located 2 which households were deemed eligible to participate in ffw in those villages having ffw projects and 3 which eligible households elected to participate and 4 how much time the participating households dedicated to ffw activities project feasibility outweighed the needs for food security or natural resource conservation in influencing whether an ffw project would be located in one of the 25 villages surveyed in villages where ffw was available anti poverty targeting appears to be taking place since smaller households with less land were more likely to be eligible to participate in ffw projects but although the poor were likely to be eligible for ffw some non poor households were also eligible which suggests that anti poverty targeting was not efficient among households eligible for ffw those that were relatively better off larger families that did not lease out land tended to participate and supply more days of ffw labor than the poorest households the only households eligible for ffw which did not participate were headed mostly by elderly women and hence unable rather than unwilling to participate overall anti poverty targeting was sub optimal but reasonable considering that these resource conservation projects need to be located where labor and materials could be made available

modeling food consumption decisions as a two step process this article evaluates the suitability of tobit analysis of food consumption patterns by comparing results generated by a tobit model and a modification with a two step decision process two samples of adult women were selected from the 1977 78 nationwide food consumption survey and the 1985 continuing survey of food intakes by individuals results show strong statistical evidence for questioning tobit analysis in examining food consumption decisions determinants of the decision to consume food within a particular food group often differ from the determinants of how much to consume particularly for more highly defined food groupings analysis of u s food consumption patterns and their dietary aspects with respect to consumer behavior has a long history traditionally ordinary least squares ols or some variant has been used in many studies where ols was not appropriate the tobit method was applied tobit allows for a discrete mass point for observations as well as a continuous range of values for the dependent variable this nonlinear method has yielded good results in a variety of studies e g mccracken and brandt lane and devaney and fraker this article examines the suitability of the tobit method for analysis of food consumption patterns the tobit method assumes that the decision to consume a given food item is the same as the decision about the amount of the food to consume ignoring the two step nature of the decision process may hamper understanding of true behavioral patterns lead to erroneous conclusions and generate incorrect policy recommendations this article compares results generated by a tobit model and a modification with a two step decision process in the next section the statistical methods used to test whether food consumption is a one or two step decision process are described the following sections discuss the variables and data present the results and consider the conclusions

term premiums in bond returns abstract this paper examines expected returns on u s treasury bills and on u s government bond portfolios expected bill returns are estimated from forward rates and from sample average returns both estimation methods indicate that expected returns on bills tend to peak at eight or nine months and never increase monotonically out to twelve months reliable inferences are limited to treasury bills and thus to maturities up to a year the variability of longer term bond returns preempts precise conclusions about their expected returns

arbitrage and the expectations hypothesis this paper shows that all traditional forms of the expectations hypothesis can be consistent with the absence of arbitrage if markets are incomplete a key implication is that the validity of the expectations hypothesis is purely an empirical issue the expectations hypothesis cannot be ruled out on a priori theoretical grounds one of the oldest and best known models in finance is the expectations hypothesis of the term structure introduced by fisher 1896 more than a century ago the expectations hypothesis has become a standard framework for explaining how yields of different maturities are related and it provides an important empirical benchmark from a theoretical perspective however the expectations hypothesis is not generally viewed as a viable model of the term structure in particular cox ingersoll and ross 1981 show that the traditional expectations hypothesis is actually a set of mutually exclusive propositions and offer a proof that most forms of the expectations hypothesis admit arbitrage recently mcculloch 1993 and fisher and gilles 1998 present counterexamples to the cox et al proof showing that the traditional forms of the expectations hypothesis can be consistent with the absence of arbitrage they acknowledge however that their counterexamples are somewhat contrived and view them as economically implausible these results leave the impression that the expectations hypothesis is only consistent with the absence of arbitrage in pathological cases of little practical interest in this paper we argue that the expectations hypothesis is much more theoretically defensible than commonly believed an important point often overlooked is that the cox et al 1981 results are developed in an economic setting where bonds are redundant securities in the more realistic case where bond prices display security specific variation and there is mounting evidence of this traditional forms of the expectations hypothesis can hold quite generally without arbitrage only weak conditions guaranteeing the existence of an equivalent martingale measure need be satisfied for the various forms of the expectations hypothesis to hold without arbitrage a key

estimating consumption from expenditure data abstract most studies of distributional issues have focused on the distribution of income but the income information usually available suffers from well known deficiencies this paper explores an alternative approach to distributional analysis based instead on expenditure data in many countries including the united kingdom available household budget data provides information on expenditures only over a short period the problems that consequently arise in interpreting data of this sort are emphasised a general specification for the stochastic structure of expenditure data is presented and a procedure for estimating participant households underlying consumption from their observed expenditures developed and discussed

the monotonicity of the term premium another look this paper reexamines existing evidence regarding the monotonicity of the term premium using a recently developed approach for testing inequality constraints we propose and conduct tests for whether the term premium is monotonic and reach different conclusions from those implied by individual t statistics on term premiums even under a bonferroni type adjustment our results generally support mcculloch s 1987 view that the liquidity preference hypothesis remains unrefuted

economic lot scheduling heuristic for random demands abstract an extension to the economic lot scheduling problem is given for a single machine multi product line under random demands the goal is to find the length of production cycles that minimizes the sum of setup and inventory holding costs per unit of time and satisfies the demand for each product at the required service level first the single product finite replenishment inventory model is extended to the case of random demand then a heuristic procedure uses this extension to determine the production cycles for the multi product case computational results and comparisons with other models are reviewed

special repo rates this article provides the causes and symptoms of special repo rates in a competitive market for repurchase agreements a repo rate is in effect an interest rate on loans collateralized by a specific instrument a special is a repo rate significantly below prevailing market riskless interest rates this article shows that specials can occur when those owning the collateral are inhibited whether from legal or institutional requirements or from frictional costs from supplying collateral into repurchase agreements specialness increases the equilibrium price for the underlying instrument by the present value of savings in borrowing costs associated with the repo specials this article characterizes competitive repurchase or repo markets and the equilibrium relationship between repo rates and the underlying cash market prices repurchase markets are often called financing markets since they are effectively vehicles for collateralized borrowing that are often used to finance the purchase of the underlying collateral this article provides causes and effects of specials meaning specific repo rates significantly below prevailing market interest rates for loans of similar maturity and credit risk the example of united states treasury instruments is emphasized because of the extensive use of the treasury repo market as a means of hedging against or speculating on changes in u s interest rates and because of the high incidence of specials in treasury repo rates numerous specific instru

structural change in the impact of income on food consumption in china 1989 1993 china is undergoing a marked transition in its diet and nutritional status patterns this study determines the structural change in the impact of income on food consumption in china during 1989 93 utilizing data from a longitudinal study of 3800 households in china evidence points to a shift in the relationship between income dietary structure and total nutrient intake at the macrolevel overall it is noted that the increase in income over time in the country coincided with a shift in the demand for inferior and normal food groups in addition there was a pronounced increase in the income elasticity for more luxury foods during the specified period while less superior goods became more inferior over this 4 year span such an increase in income elasticities for total energy and for energy from fat suggest a worsening of the composition of the diet in ways that are linked to obesity and obesity related diseases as incomes continue to rise in view of this several implications for the formulation of future nutrition policies in china are cited

climate change adaptation a study of fuel choice and consumption in the us energy sector abstract using cross sectional data this paper estimates a national energy model of fuel choice by both households and firms consumers in warmer locations rely relatively more heavily on electricity rather than natural gas oil and other fuels they also use more energy climate change will likely increase electricity consumption on cooling but reduce the use of other fuels for heating on net american energy expenditures will likely increase resulting in welfare damages that increase as temperatures rise for example if the us warms by 5 c by 2100 we predict annual welfare losses of 57 billion

the expectation hypothesis of the term structure of very short term rates statistical tests and economic value this paper re examines the validity of the expectation hypothesis eh of the term structure of us repo rates ranging in maturity from overnight to three months we extend the work of longstaff 2000a in two directions i we implement statistical tests designed to increase test power in this context ii more importantly we assess the economic value of departures from the eh based on criteria of profitability and economic significance in the context of a simple trading strategy the eh is rejected throughout the term structure examined on the basis of the statistical tests however the results of our economic analysis are favorable to the eh suggesting that the statistical rejections of the eh in the repo market are economically insignificant

demand for food commodities by income groups in indonesia an analysis of the structure of demand was performed on household data classified into income groups for urban indonesia a demographically augmented linearized almost ideal demand system was used to estimate the structural parameters of the demand equations endogenous switching regression techniques yielded unbiased and consistent demand parameter estimates for the low income group which had a large number of zeros for some food groups standard seemingly unrelated equation techniques were used to estimate the demand parameters for the other income groups the results showed demands for the medium to high and high income households to be responsive to prices income and demographic variables demands for the medium to low income households were responsive to income and prices only demands for low income households were responsive to income and prices of rice and fish only

at home consumption of cheese a purchase infrequency model for many commodities zero purchases are recorded in household budget surveys even though positive consumption occurs this may reflect a survey period that is shorter than the purchase cycle the present study estimates a purchase infrequency model for cheese using the 1987 bls consumer expenditure survey appropriateness of the tobit specification is examined along with the assumption of independence of the two stage expenditure decision process applied consumption analyses often use household budget surveys with little concern as to survey period length relative to the length over which consumption can occur many of these analyses use the tobit model to account for censoring associated with use of this type of model are underlying assumptions that first the same stochastic process affects both purchase decisions and consumption levels and second a zero value of the dependent variable represents a true comer solution however when the commodity in question has a purchase cycle longer than the survey period length a zero expenditure level may not correspond to zero consumption and the tobit specification may be inappropriate blundell and meghir p 197 as a commodity cheese may exhibit characteristics precluding use of a tobit demand model for many cheese varieties consumption may occur many weeks after purchase as evidence the 1972 and 1987 consumer expenditure surveys report that 48 and 42 of surveyed households respectively had purchased cheese over a one week survey period in contrast the 1977 usda household food consumption survey indicates over 75 of surveyed households had consumed cheese at home over a one week period this large difference

how much can marketability affect security values how marketability affects security prices is one of the most important issues in finance we derive a simple analytical upper bound on the value of marketability using option pricing theory we show that discounts for lack of marketability can potentially be large even when the illiquidity period is very short this analysis also provides a benchmark for assessing the potential costs of exchange rules and regulatory requirements restricting the ability of investors to trade when desired furthermore these results provide new insights into the relation between discounts for lack of marketability and the length of the marketability restriction

market segmentation and the term structure of municipal yields an issue of considerable controversy in recent years is whether segmentation exists in the municipal bond market the presence of market segmentation suggests that securities can be subdivided into distinct groups according to some characteristic and there exists a lack of substitution between these groups on the part of borrowers and or investors 1 4 8 hendershott and kidwell 4 for example found evidence that market segmentation affected yields between regionally and nationally marketed municipal bond issues others contend that the municipal bond market is relatively efficient and no permanent segmentation effects can exist 2 9 most recently campbell 2 examined possible segmentation resulting from the large acquisitions of municipal securities by commercial banks and found that bank demand for municipal securities had no significant influence on the yield spreads between municipal bonds which differed in default risk term to maturity and tax treatment this is consistent with the argument that the combination of progressive personal income tax rates and fixed corporate income tax rates induces corporations to issue an amount of debt such that the marginal investor in taxable and tax exempt securities pays taxes at the full corporate rate 9 if segmentation does not exist two peculiar features of the term structure of municipal yields cannot be fully explained for one municipal yields have almost always increased monotonically with maturity this is true both for market averages of similarly rated municipal securities and for reoffering yields on individual serial

beyond segmentation the case of china s repo markets this paper explores the reasons behind the discrepancy between interest rates in china s two repurchase agreement repo markets the interbank repo market and the exchange traded repo market the repo rates in the exchange market are at times significantly higher than those in the interbank market especially in the first three years of the 2000 2005 sample period while market segmentation clearly hinders arbitrage the causes of the repo rate discrepancy are related to the alternative investment opportunities available to market participants and to the volatility differences in the repo rates

food consumption changes of adult women between 1977 and 1985 nationally representative samples of u s women aged nineteen to fifty are used to examine comparable food group consumption data collected in 1977 and 1985 changes in the proportion of women consuming each food group quantities consumed by users and the determinants of consumption changes over time are identified significant shifts in consumption of food groups defined by fat and dietary fiber criteria are measured in this research while standard demographic and socioeconomic factors explain significant amounts of cross section food group consumption variation the effects of these factors vary considerably between 1977 and 1985 and explain most of the food group consumption trends

calculating marginal effects in models for zero expenditures in household budgets using a heckman type correction using the heckamn approach either in single equation or multi equation settings general expressions are derived for calculating marginal effects and elasticities in the conventional calculation of marginal effects terms related to the change in the inverse of mills ratio are omitted using data from the 19877 88 nationwide food consumption survey we calculate income and household size elasticities for 12 food commodities we compare the magnitudes and signs of the elasticities using the conventional expressions of marginal effects and our derived expressions bottomline sizeable differences especially in single equation applications can occur in calculating marginal effects if one fails to account for changes in the inverse of the mills ratio

off farm labour allocation decisions in small scale rural households in zimbabwe the double hurdle model is used to analyse the off farm labour decisions of small scale agricultural household members in the shamva district of zimbabwe the approach permits the joint modelling of the decision to participate in the labour market and the decision regarding the amount of time allocated to work results indicate that a number of variables notably gender education and assets indeed have effects which are qualitatively and quantitatively different in terms of participation and hours worked overall the empirical analysis confirms the importance of individual characteristics such as gender and education and household farm characteristics e g land area accessible to the household productive assets remittances and the agricultural terms of trade in influencing the labour market decisions of rural household members

a daily view of yield spreads and short term interest rate movements daily data on short term interest rates are used to show how changes in federal reserve operating procedures have affected the term structure yield spreads were helpful in predicting short term interest rate movements during the nonborrowed reserves targeting period 1979 82 but not during the earlier federal funds targeting period since the adoption of contemporaneous reserves accounting in 1984 yield spreads have been informative about short term interest rate movements principally because of the interplay between the market determination of the overnight funds rate on reserve settlement wednesdays and the fed s apparent commitment to stabilizing the funds rate on other days copyright 1996 by ohio state university press

statistical models for zero expenditures in household budgets household budget surveys are an important source of data on consumer s expenditure not just for individual consumers but also for estimating national aggregates however it is a widespread finding that for certain commodities most notably tobacco and alcohol the estimate from the household survey falls short of the known consumption total calculated with some confidence from data on production imports exports and excise duties for example in the british family expenditure survey with which we shall largely be concerned total tobacco expenditure was underestimated in 1976 by 21 percent see kemsley redpath and holmes 1980 p 51 much of this understatement together with that on alcohol is thought to occur because of the design of the survey which excludes many persons amongst whom consumption of such items is thought to be atypically high e g prisoners hoteliers and their residents merchant seamen even so the possibility remains that some of the understatement is due to various types of misreporting by households included in the survey in this paper we consider a model in which the standard tobit specification tobin 1958 is supplemented by the operation of a simple binary censor the tobit model is essentially a linear regression model in which non positive observations of the dependent variable are replaced by zero we take this specification as our starting point but add a second censoring process that randomly replaces a fraction of the observations generated by the tobit model bv zeroes the combined model can serve as a representation of several types of

new hope for the expectations hypothesis of the term structure of interest rates survey data on interest rate expectations permit separate testing of the two alternative hypotheses in traditional term structure tests that the expectations hypothesis fails and that expected future interest rates are ex post inefficient forecasts we find that the source of the spread s poor predictions of future interest rates varies with maturity at short maturities the expectations hypothesis fails at long maturities however changes in the yield curve reflect changes in expected future rates one for one an implication of the expectations hypothesis this result confirms earlier findings that long rates underreact to short rates but now it cannot be attributed to term premia if the attractiveness of an economic hypothesis is measured by the number of papers which statistically reject it the expectations theory of the term structure is a knockout most tests beginning with macaulay 1938 find no evidence supporting the expectations hypothesis 1 many cannot even reject statistically the alternative hypothesis that the spread between long and short rates contains no information about future interest rate changes 2 to make matters worse in u s postwar data future long rates tend to rise when short rates are above long rates since the expectations hypothesis would predict that long rates tend to fall the theory often does worse than even the naive model that future interest

liquidity taxes and short term treasury yields this article investigates differences in yields on identical treasury notes and bills and shows that they reflect differences in liquidity immediacy risk and taxes it proposes an empirical measure for differences in the liquidity risk of notes and bills the volatility ofthe underlying rate times the ratio of bills turnover to notes turnover because differential taxes affect sellers but not buyers of bills and notes the results reject free of informational problems the hypothesis that the notes demand curve is horizontal note bill yield differences also decrease with inventories of notes the less liquid asset

distinguishing between market participation and infrequency of purchase models of butter demand household butter expenditures are modeled by market participation and infrequency of purchase specifications the market participation model assumes that zero expenditures represent either traditional corner solutions or consumers who never use the product whereas the infrequency of purchase model assumes that zero expenditures represent either corner solutions or consumption out of storage we determine that the infrequency of purchase specification is preferred to the market participation model by applying a nonnested test based upon likelihood functions if household expenditure surveys contained information about participation and frequency of purchase a likelihood function which contained both models could be written and estimated

a defense of traditional hypotheses about the term structure of interest rates expectations theories of asset returns may be interpreted either as stating that risk premia are zero or that they are constant through time under the former interpretation different versions of the expectations theory of the term structure are inconsistent with one another but i show that this does not necessarily carry over to the constant risk premium interpretation of the theory i present a general equilibrium example in which different types of risk premium are constant through time and dependent only on maturity furthermore i argue that differences among expectations theories are secondorder effects of bond yield variability i develop an approximate linearized framework for analysis of the term structure in which these differences disappear and i test its accuracy in practice using data from the crsp government bond tapes in a well known article in this journal cox ingersoll and ross cir 4 reexamine and find wanting certain hypotheses about the term structure of interest rates a striking feature of cir s re examination is that it is entirely theoretical cir show that different versions of the pure expectations theory of the term structure which traditionally were regarded as equivalent are in fact inconsistent with one another when interest rates are random furthermore in a fairly general continuous time arbitrage pricing framework when interest rates are random all versions of the theory except one are incompatible with equilibrium at first sight cir s results appear to be devastating to traditional empirical work on the term structure they suggest that researchers must specify arbitrage pricing models with a small number of state variables before proceeding to empirical work such models must restrict not only the deterministic components

special repo rates an empirical analysis duffie 1996 examines the theoretical impact of repo specials on the prices of treasury securities and concludes that all else the same an issue on special will carry a higher price than an otherwise identical issue we examine this hypothesis and find strong evidence in support of it we also examine whether the liquidity premium associated with on the run issues is due to repo specialness and find evidence of a distinct effect finally we investigate whether auction tightness and percentage awarded to dealers are related to subsequent specialness and find that both variables are generally significant underlying the cash market for u s treasury securities is the financing or repo market at any given time the repo rate for most treasury issues the general collateral rate is the same but a few issues are typically on special an issue on special has associated with it a repo rate that is less than the prevailing general collateral rate as a result the owner of a security that is on special is able to obtain below market financing rates via a repurchase agreement duffie 1996 examines the theoretical causes of repo specials and their impact on the prices of treasury securities in the context of a general equilibrium model his primary conclusion is that specialness will be priced in the cash market meaning that all else the same an issue on special or likely to go on special will carry a higher price than an otherwise identical issue we investigate this hypothesis using data on repo specials and find clear evidence in support of it we conclude that specialness is priced and that the magnitude of the cash market premium reflects both the future duration and magnitude of repo specialness we also examine whether the liquidity premium associated with on therun issues is due to repo specialness and find evidence of a distinct effect finally as a test of duffie s model we investigate whether auction tightness and percentage awarded to nonbank primary dealers are related to subsequent specialness the evidence is consistent with predictions with both variables generally significant

fluid milk purchases a multivariate tobit analysis we formulate an econometric model of fluid milk expenditures taking into account two important characteristics expenditures may be censored at zero and may be interdependent across milk type censoring of fluid milk expenditures is addressed with a generalized tobit system estimator interdependence of milk expenditures is examined through a likelihood function with no restrictions on elements of the engel curve error covariance matrix expenditure function parameters are estimated using a march 1991 to march 1992 u s consumer panel

the term structure of very short term rates new evidence for the expectations hypothesis abstract empirical researchers have frequently rejected the expectations hypothesis the expectations hypothesis however has seldom if ever been tested at the extreme short end of the term structure where maturities are measured in days or weeks using overnight weekly and monthly repo rates i find that term rates are almost unbiased estimates of the average overnight rate this evidence provides new support for the expectations hypothesis

modeling the dynamics of chinese spot interest rates using the daily data of chinese 7 day repo rates from january 1 1997 to december 31 2008 this paper tests a variety of popular spot rate models including single factor diffusion garch markov regime switching and jump diffusion models we document that chinese spot rates are subject to both market forces and administrative forces garch regime switching and jump diffusion models capture some important features of the dynamics of chinese spot rates but all models under study are overwhelmingly rejected we further explore possible sources of model misspecification using diagnostic tests

a reexamination of traditional hypotheses about the term structure a comment an example of a continuous time economy is given whose general equilibrium term structure of interest rates obeys the expectations hypothesis for continuously compounded interest rates and returns contradicting the 1981 claim by cox ingersoll and ross that such an economy is mathematically impossible this example does not generate exploitable arbitrage opportunities of the type cox ingersoll and ross claim must arise the logarithmic expectations hypothesis as we call it it therefore an acceptable benchmark from which to measure term premia in continuous time term structure modeling the expectations hypothesis eh broadly construed postulates that expected returns on risk free bonds of different maturities are equal or equivalently that appropriately calculated forward interest rates equal expected future spot interest rates in comparing the expected returns on two bonds of different maturities however the returns may be compounded in any of four natural ways continuously to the shorter bond s maturity to the longer bond s maturity or to the nearest available future date it has long been understood that if the eh holds in terms of any one of these methods and if interest rates are stochastic jensen s inequality will in general preclude it from holding in terms of any of the other three in practice the convenience and simplicity of continuously compounded interest rates and returns have led many researchers e g roll 1970 mcculloch 1975 fama 1984 to use the first method and therefore what

food expenditures and household demographic composition in the us a demand systems approach food expenditures and subsistence quantities of poverty status and non poverty status us households are analysed within a linear expenditure system that postulates subsistence quantities to be linear combinations of demographic variables using the us bureau of labor statistics 1992 consumer expenditure survey and detailed monthly consumer price indices this article obtains expenditure elasticities own price elasticities and subsistence quantities for each income group across nine broadly aggregated food commodity groups elasticity estimates and subsistence quantity estimates differ across income groups supporting the premise that policies targeted at specific income groups should be based on the target group s elasticity estimates rather than average population elasticities parameter estimates are then used to simulate how subsistence quantities and own price elasticities can be expected to vary according to the demographic composition of the household within a specific income group

do input subsidy programs crowd in or crowd out commercial market development modeling fertilizer demand in a two channel marketing system many governments in developing countries distribute fertilizer at subsidized prices in an effort to stimulate small farmers agricultural productivity and food security prior fertilizer demand studies have largely failed to account for the effects of government programs on farmers commercial purchases using a double hurdle model and nationally representative rural household panel data in zambia we distinguish between these sources and measure the contemporaneous crowding in and crowding out effects of government input programs on commercial fertilizer sales where the private sector is relatively active and average wealth is higher areas seemingly more likely to be targeted by government programs results indicate that subsidies have substantially crowded out the private sector in some cases to the point that such programs could actually lower overall fertilizer use on the other hand in poorer areas where the private sector is relatively inactive subsidies help to generate demand and crowd in private sector retailers empirical studies explicitly modeling farmers fertilizer purchase behavior within a dual marketing framework can provide important insights for agricultural policy discussions in developing countries

the monotonicity of the term premium abstract fama s evidence that the term premium on treasury securities is not monotonically increasing is found to depend entirely on the behavior of bid asked mean returns on 9 and 10 month bills and only during the subperiod 8 64 12 72 when transactions costs as reflected in the bid asked spread are taken into account there is found to be no way to exploit this non monotonicity the anomalous behavior of the quotations is attributed to the treasury s auctions of 9 month bills during the period 9 66 10 72 the hypothesis that the term premium is a monotonically increasing function of maturity remains unrefuted

the importance of taste in experimental auctions consumers valuation of calorie and sweetener labeling of soft drinks a majority of purchases that consumers make are classified as repeat purchases one of the main reasons why consumers make repeat food purchases is the food s taste therefore we examined the importance of including taste testing in nonhypothetical experimental auctions specifically we used two experiments to determine consumers willingness to pay for soft drinks labeled with different calorie and sweetener information in experiment 1 participants tasted the soft drinks prior to the bidding rounds in experiment 2 participants did not taste the soft drinks prior to the bidding rounds bidding behavior for the soft drinks was significantly different between experiment 1 and experiment 2 results suggest that including taste testing in the design of experimental auctions is important to accurately capture consumers willingness to pay for foods that are purchased repeatedly results also imply that policies aimed at combating obesity by making the calorie content of foods more visible may not produce desired outcomes

the information content of eonia swap rates before and during the financial crisis abstract before august 2007 implied forward rates in the overnight interest swap rates closely reflected market expectations about the future path of the eonia and therefore about the future course of the ecb s monetary policy stance nevertheless this link was weakened considerably during the most acute episode of the financial crisis using the expectations hypothesis of the term structure as a benchmark model for the determination of the overnight interest swap rates we find that after may 2010 the monetary transmission mechanism was partially restored when the ecb implemented various unconventional measures in response to the financial crisis on the contrary liquidity and credit risks are still present in unsecured deposit markets distorting the pricing and transmission of the ecb monetary policy stance along the euribor rates these results should be of interest for regulators financial institutions and researchers in european money markets

around and around the expectations hypothesis we show how to construct models of the term structure of interest rates in which the expectations hypothesis holds mcculloch 1993 presents such a model thereby contradicting an assertion by cox ingersoll and ross 1981 but his example is gaussian and falls outside the class of finite dimensional markovian mode ls we generalize mcculloch s model in three ways i we provide an arbitrage free characterization of the unbiased expectations hypothesis in terms of forward rates ii we extend this characterization to a whole class of expectations hypotheses and iii we show how to construct finite dimensional markovian and non gaussian examples in one form or another the expectations hypothesis has played a central role in the analysis of the term structure of interest rates perhaps the most common form of the expectations hypothesis is the so called unbiased expectations hypothesis u eh which asserts that forward rates equal the conditional expectations of future spot rates but other forms exist as well cox ingersoll and ross cir 1981 characterize a number of mutually incompatible forms of the expectations hypothesis besides the u eh including the local expectations hypothesis l eh under which the expected rate of return on all zero coupon bonds on all assets in fact equals the short term risk free rate see jarrow 1981 for a similar analysis of the various expectations hypotheses they consider cir claim that only the l eh is consistent with general equilibrium in continuous time models as well as in discrete time models with continuous compounding of yields mcculloch 1993 provides a counterexample to cir s claim his example is in the spirit of heath jarrow and morton hjm 1992 in the sense that it does not admit a representation in terms of a finite number of markovian state variables the setting in cir indeed mcculloch suggests that cir s claim may be true within their setting as we show it is not there is a weak version of the u eh according to which forward rates are biased predictors of future spot rates but the bias or term premium is a constant that only depends on the forecast horizon a regression of future spot rates on current forward rates produces a slope coefficient equal to fisher is with the board of governors of the federal reserve system and gilles is with bear stearns co the views expressed herein are the authors and do not necessarily reflect those of the board of governors or the federal reserve system we thank greg duffee and huston mcculloch for extensive comments and an anonymous referee for suggesting improvements in the exposition

u s cigarette consumption the case of low income women we use double hurdle or cragg models to test whether decisions about smoking participation and consumption levels are separate endogenous choices we also estimate several dominance models which assume that standard corner solutions are not applicable a complete dominance model with independence between the participation and consumption decisions is the preferred specification for our data the most important variables influencing participation are region number of children education and ethnicity region age race ethnicity and health status most affected consumption levels