the role of price and nonprice factors in predicting australia s trade performance this article investigates the role of price and nonprice factors in predicting australia s trade performance results broadly suggest that australia s trade performance is largely explained by the

collusion via signalling in simultaneous ascending bid auctions with heterogeneous objects with and without complementarities collusive equilibria exist in simultaneous ascending bid auctions with multiple objects even with large complementarities in the buyers utility functions the bidders collude by dividing the objects among themselves while keeping the prices low in the most collusive equilibrium the complementarities are never realized the scope for collusion however narrows as the ratio between the number of bidders and the number of objects increases

the time pattern of hedging and the volatility of futures prices the paper proposes a multi period model of hedging which allows for a futures position to be revised within the cash market holding period within this framework we assess the robustness of the two period theory of hedging when generalized to many periods we characterize the normal time path of a hedge and the way it is affected by the requirement that futures accounts mark to market daily finally we show how the resolution of production uncertainty over time affects hedging behavior and determines the volatility of futures prices in the large literature on hedging in futures markets the principal analytical accounts of hedging are framed in a two trade date setting an agent commits himself now to a future purchase or sale of a good whose cash price later is uncertain this risk is hedged by purchase or sale of an appropriate number of futures contracts and holding this futures position until the cash transaction is realized in the present paper we formulate a multi period model of hedging which allows for the futures position to be revised within the cash market holding period the resulting analysis captures an important institutional reality that is absent in a two trade date model namely the fact that the day to day fluctuations of the futures price will generate a series of random cash flows over the period during which a futures position is held this is due to the requirement that futures accounts mark to market daily within this framework we address a number of issues first we assess the robustness of the two period theory of hedging when generalized to many periods second we characterize the normal time path of a hedge and contrast futures and forward contracts from the perspective of an individual hedger finally we show how the resolution of production uncertainty over time affects hedging behaviour and determines the volatility of futures prices while the literature on asset demand in a multiperiod setting is large futures markets are specifically treated in a limited number of studies grauer and litzenberger 1976 are concerned principally with characterizing the relation of spot and futures prices in a market for a storable periodically produced commodity they offer a rationale for positive stock holding in markets where spot price exceeds the futures price richard and sundaresan 1980 are also concerned primarily with characterizing price behaviour since they posit identical consumers in equilibrium individual holdings of futures are zero there is no hedging activity in the sense that we understand it breeden 1980b analyzes the optimal futures position sizes in a multiperiod setting his framework is more general than ours in that his is a multi good multi asset model where preferences

soybean inventory and forward curve dynamics we present two results concerning soybean prices first we exhibit a simple relationship between stocks and price volatility the observation of an increasing price volatility with decreasing inventory is often mentioned in the literature but has so far been documented using a proxy for inventory see fama and french 1987 1988 litzenberger and rabinowitz 1995 instead we reconstruct a yearly quarterly and monthly database of worldwide soybean inventories using aggregate data from the united states brazil and argentina we show that under all time scales price volatility is an increasing linear function of inverse inventory which we term scarcity second we show how the addition of the factor scarcity in a state variable approach to the dynamics of the term structure of soybean forward prices improves the quality of the fit we document this property on a 25 year database of cbot futures contracts and show that the superior accuracy also affects long maturity futures contracts an important property for the valuation of long term origination contracts between producing countries and the agrifood industry

the welfare effects of the introduction of storage this paper examines the welfare effects of introducing storage into a market with stochastic supply in which all agents are competitive profit maximizers with rational expectations these welfare effects are the net result of the initial increase in demand for stock building and the partial and asymmetric reduction in the dispersion of consumption brought about by storage the distributional impacts depend crucially on the information available to producers before storage is introduced the elasticity of supply the specification of the consumption demand curve and the cost of storage

auctions and information acquisition sealed bid or dynamic formats the value of an asset is generally not known a priori and it requires costly investments to be discovered in such contexts with endogenous information acquisition which selling procedure generates more revenues we show that dynamic formats such as ascending price or multistage auctions perform better than their static counterpart this is because dynamic formats allow bidders to observe the number of competitors left throughout the selling procedure thus even if competition appears strong ex ante it may turn out to be weak along the dynamic format thereby making the option to acquire information valuable this very possibility also induces the bidders to stay longer in the auction just to learn about the state of competition both effects boost revenues and our analysis provides a rationale for using dynamic formats rather than sealed bid ones

how trade and foreign investment affect the growth of a small but not so open economy australia this article analyses the impact of trade and foreign investment on a small but not so open economy australia whose growth rate outpaced the majority of the oecd countries in the last decade we model five channels of outward orientation exports imports foreign direct investment foreign portfolio investment and other foreign investment a cointegrated vector autoregressive model complemented by a robust granger noncausality test is specified to identify permanent channels of outward orientation imports and direct investment are found to have a growth effect in the long run the effect of imports is almost three times that of direct investment

is the export led growth hypothesis valid for australia the relationship between exports and output is examined using australian annual data over the period 1900 1993 cointegration and causality testing fails to detect the existence of a long run or short run relationship between the two variables these results are explained by restoring to the structural time series modelling approach which shows that while the output series exhibits cyclical variation the exports series does not have this property it is concluded that the export led growth hypothesis is not valid for australia

the empirical merit of structural explanations of commodity price volatility review and perspectives this paper presents both the history of and state of the art in empirical modeling approaches to the world commodity price volatility the analysis builds on the storage model and key milestones in its development specifically it is intended to offer a reader unfamiliar with the relevant literature an insight into the modeling issues at stake from both a historical and speculative viewpoint the review considers primarily the empirical techniques designed to assess the merits of the storage theory it does not address purely statistical approaches that do not rely on storage theory and that have been studied in depth in other streams of the commodity price literature the paper concludes with some suggestions for future research to try to resolve some of the existing empirical flaws and hopefully to increase the explanatory power of the storage model

non bidding equilibrium in an ascending core selecting auction abstract this paper investigates the perfect bayesian equilibrium in an ascending price core selecting auction which is recently used in some countries spectrum license auctions we suppose that there are two identical items two small bidders and one large bidder the small bidders demand only one unit of the item whereas the large bidder wants both units package bidding ensures that the large bidder faces no exposure problem and behaves truthfully however one of the small bidders stops bidding at the beginning in the equilibrium although small bidders generally face the free rider problem and have incentives to underbid once a bidder is the only small one remaining he bids truthfully stopping early induces the remaining bidder to behave truthfully hence each small bidder wants to be the first to stop bidding the free rider problem is considerably mitigated when there are many small bidders

incentives in core selecting auctions with single minded bidders abstract this paper considers some package auctions with known single minded bidders a single minded bidder is interested in a unique bundle of goods and bids only for that bundle we examine each bidder s incentive in ausubel and milgrom s 2002 ascending proxy auction and every bidder optimal core selecting auction we provide a simple condition for each bidder to report his valuation truthfully which can be expressed in a single sentence any rival of my rivals is my rival the vickrey outcome lies in the core if and only if this condition holds for every bidder however it is rarely satisfied

quadratic core selecting payment rules for combinatorial auctions we report on the use of a quadratic programming technique in recent and upcoming spectrum auctions in europe specifically we compute a unique point in the core that minimizes the sum of squared deviations from a reference point for example from the vickrey clarke groves payments analyzing the karush kuhn tucker conditions we demonstrate that the resulting payments can be decomposed into a series of economically meaningful and equitable penalties furthermore we discuss the benefits of this combinatorial auction explore the use of alternative reserve pricing approaches in this context and indicate the results of several hundred computational runs using cats data

pricing and storage of field crops a quarterly model applied to soybeans this paper considers the role of competitive storage in markets for annually harvested field crops a quarterly model is presented that considers the allocative role of storage both within and between crop years rational price expectations are endogenous variables calculated by a recursive method forward stochastic simulations using the model generate data that can be used to characterize the distributions of the variables in the base case the model is assigned parameter values from a quarterly econometric model of the u s soybean market the results shed light on the distributions of the quarterly variables including the rational price expectations and show how these distributions are affected by changes in the carrying charge

competitive pricing and storage under uncertainty with an application to the u s soybean market relative to a no storage regime competitive storage of soybeans greatly reduces the variance of both annual prices and annual consumption variance of production is increased expected values of price consumption and production are not affected the government could reduce price variance by about 70 percent of its competitive level through subsidizing storage activity the research procedure is based on a model of competitive storage under conditions of uncertainty and assuming rational expectations farm level demand and supply functions are estimated simulation is used to generate large random samples of values for soybean prices consumption production and year end stocks

four approaches to commodity market stabilization a comparative analysis the effects of four alternative price stabilization programs for soybeans are compared using a rational expectations model and simulation for a given government expenditure subsidized private storage is the most efficient way to stabilize market price for a given deadweight loss a program of direct payments is the most efficient stabilizer of the effective farm price this program does not stabilize market price all four programs including a buffer stock program and one involving both direct payments and buffer stocks tend to destabilize quasi rent programs that involve an initial build up of stocks increase producer benefits and hurt consumers

the economic role of commodity storage one of the earliest and most successful exainples of economic policy is the oftquoted biblical account of joseph s interpretation of the pharoah s dream joseph foretold that seven years of abundant harvests would precede seven years of drought and recommended that the pharoah accumulate grain during the good years since that time the central role of storage in stabilising the economy in the face of exogenous disturbances has been obvious but our understanding of the nature of that role has not greatly advanced without divine assistance in forecasting stochastic production the storage decision is considerably more complex than the one joseph faced and the role of storage quite different in fact several commonly held impressions about the role of storage of commodities such as grains are incorrect rather than stabilising production storage actually accentuates its variability rather than causing a mean price preserving decrease or a mean output preserving decrease in the dispersion of price storage generally causes a more complex modification of the distribution of price rather than being most effective at eliminating short falls in consumption storage actually is more effective at eliminating the incidence of exceedingly high consumption in this paper we explore the role of storage in a model where production is stochastic and both production and storage are performed by competitive profitmaximisers who form rational expectations about the returns to their activities we derive the subtle but very important interactions among production price expectations and storage which simpler models cannot capture finally we make a comparative statics assessment of the distributional implications of storage these results while confirming the importance of the specification of the demand function and the supply elasticity identified in recent analytical studies e g wright i979 and newbery and stiglitz i979 are surprisingly favourable to consumers considering the asymmetric nature of the effects of storage on consumption and price storage is simply a productive activity one that transfers a commodity from one period to the next like other forms of production it is costly the total cost of storing an amount st from period t to period t i is as of period t i

the vulnerability of price stabilization schemes to speculative attack this paper examines the effects of government attempts to stabilize the prices of commodities by use of buffer stocks agricultural goods subject to supply uncertainty as well as depletable resources are considered in each case it is shown that the resulting rational expectations competitive equilibrium contains a speculative attack a situation where the entire government stock is suddenly purchased by previously inactive speculators the analysis is applied to the historical attempt to peg the gold price which caused the attack of 1968 the insights gained and the methodology developed also apply to the various international agreements to impose bans on commodity prices which have been proposed by the united nations conference on trade and development

effects of exchange rate changes on u s agriculture a dynamic analysis an econometric model of the wheat corn and soybean markets is used to examine the dynamic effects of exchange rate fluctuation on u s commodity markets exports and agricultural prices are found to be sensitive to movements in the exchange rate while domestic factors such as disappearance and inventories are less sensitive but still responsive dramatic short run adjustments in prices and exports are followed by less dramatic but significant longer run adjustments thus the hypothesis of elastic response to the exchange rate seems particularly relevant for the short run

on the impact of trade openness on growth further evidence from oecd countries this study attempts to examine empirically the implications of the degree of openness for total and individual factor productivity growth in a group of 19 oecd countries over the last three decades the study combines both time series and cross sectional data the model employed is a generalization of the commonly used growth accounting model based on the concept of an aggregate production function in which the rate of economic growth is a function of capital and labour accumulation and total factor productivity it is explicitly assumed that total factor productivity depends in turn upon the rate of export expansion the model is then estimated using the random coefficients approach while results generally indicate that the relative importance of trade openness on economic growth varies significantly across countries they also indicate that the role of capital and labour accumulation in fostering economic growth varies with the degree of openness cross sectionally as well as across time

low revenue equilibria in simultaneous ascending bid auctions low revenue equilibria allow participants in an auction to obtain goods at prices lower than would prevail in a competitive market these outcomes are generated as perfect equilibria of ascending bid multiunit auctions we show that these equilibria are possible under mild conditions conditions that are likely to prevail in many situations where auction formats have recently been adopted we argue that these equilibria could explain the low revenues of some recent auctions and discuss potential remedies to eliminate low revenue equilibria