explaining agricultural productivity growth an international perspective this article presents multi output multi input total factor productivity tfp growth rates in agriculture for 88 countries over the 1970 2001 period estimated with both stochastic frontier analysis sfa and the more commonly employed data envelopment analysis dea we find results with sfa to be more plausible than with dea and use them to analyze trends across countries and the determinants of tfp growth in developing countries the central finding is that policy and institutional variables including public agricultural expenditure and proagricultural price policy reforms are significant correlates of tfp growth the most significant geographic correlate of tfp growth is distance to the nearest oecd country

governance and agricultural productivity a cross national analysis abstract in this study we examine the relationship between governance and agricultural performance by employing the world bank s aggregate governance indicators based on a cross country panel sample two methods are employed to test the hypothesis that better governance fosters agricultural productivity the empirical results of both methods support the hypothesis as for the first method the estimation results of the widely used inter country aggregate agricultural production function show that a country with better governance can produce more agricultural outputs given the same amounts of agricultural inputs the same education level and the same climate condition as for the second method the empirical results of a structural equation model reveal that given the same amounts of agricultural capital stock and land an agricultural worker in a country with better governance produces more better governance can indirectly improve agricultural productivity by driving agricultural capital accumulation our empirical work lends support to the claim of hayami and ruttan hayami y ruttan v 1985 agricultural development an international perspective john hopkins university press baltimore that governance is a basic factor explaining the poor economic performance of many developing countries in order to improve the agricultural performance of many developing countries apart from physical and education investments more emphasis should be placed on improving the governance infrastructure of these countries

the role of empowerment in agricultural production evidence from rural households in niger we use new household and individual level weai data from the tahoua region of niger and estimate a variable coefficient cobb douglas production function in which traditional inputs interact with tw

revisiting the role of education for agricultural productivity while the majority of micro studies finds that rural education increases agricultural productivity various recent cross country regressions analysing the determinants of agricultural productivity were only able to detect insignificant or even surprising negative effects of schooling in this paper we argue and show that this failure to find a positive impact of education in the international context is rather a data problem related to the use of enrolment and literacy indicators using a panel of 95 developing and middle income countries from 1961 to 2002 together with the newest version of the barro lee educational attainment dataset we show that education indeed has a highly significant positive effect on agricultural productivity which is robust to changes in the control variables and in the econometric methods applied distinguishing between different levels of education further reveals that only primary and secondary schooling have significant positive impacts while tertiary education remains insignificant finally the effect of education is estimated separately for countries with different income levels results indicate that the coefficient of the education variable remains insignificant for countries from the poorest three income quintiles while it is positive and highly significant for the richest two quintiles this finding can be interpreted as support for the prominent argument claiming that education leads to higher agricultural productivity only in the presence of rapid technical change where education will help farmers to adjust more readily to the new opportunities

examining crop price effects on production decision and resource allocation an ex ante approach this article examines the output price effects on the us crop production employing an ex ante approach to the differential systems of input demand and output supply the estimation results of the

implications of agricultural trade liberalization for the developing countries abstract the developing countries as a group could expect to experience only small welfare gains if they chose not to actively participate in agricultural trade liberalization and relied solely on the benefits of partial liberalization in the oecd countries participation along the lines of the dunkel package with the developing countries reducing positive assistance by less than the developed countries would yield gains of the order of us 20 billion more comprehensive participation in trade liberalization involving reductions of both positive and negative protection would almost triple these welfare gains while some developing countries do not gain from trade liberalization even with full participation the number of such countries and the magnitude of their losses are greatly reduced

nowcasting the real time informational content of macroeconomic data abstract a formal method is developed for evaluating the marginal impact that intra monthly data releases have on current quarter forecasts nowcasts of real gross domestic product gdp growth the method can track the real time flow of the type of information monitored by central banks because it can handle large data sets with staggered data release dates each time new data are released the nowcasts are updated on the basis of progressively larger data sets that reflecting the unsynchronized data release dates have a jagged edge across the most recent months

agricultural distortions structural change and economic growth a cross country analysis taxing agriculture to mobilize resources for industrialization has been a widely used development strategy using novel cross country time series data sets with direct measures of agricultural taxation we examine how a policy bias against agriculture affects the speed of convergence in income per capita structural change and economic growth we find that distortionary agricultural policies in poor economies can account for the emergence of convergence clubs in our sample by significantly retarding their structural transformation and economic growth overall we find no evidence suggesting that policies that discriminate against agriculture have been beneficial for long term economic growth

liquidity dynamics and cross autocorrelations this paper examines the relation between information transmission and cross autocorrelations we present a simple model where informed trading is transmitted from large to small stocks with a lag in equilibrium large stock illiquidity induced by informed trading portends stronger cross autocorrelations empirically we find that the lead lag relation increases with lagged large stock illiquidity further the lead from large stock order flows to small stock returns is stronger when large stock spreads are higher in addition this lead lag relation is stronger before macro announcements when information based trading is more likely and weaker afterward when information asymmetries are lower

prices and productivity in agriculture developing countries often tax agriculture heavily a practice that might affect the productivity as well as the quantity of resources allocated to agriculture a variable coefficient cross country agricultural production function is estimated with past price expectations among the determinants of the production coefficients productivity s responsiveness to those expectations implies that had these developing economies eliminated price interventions agricultural productivity would have increased on average by about a fourth copyright 1993 by mit press

the turn of the year in canada a number of investigators have reported that january stock returns in the u s exceed returns for other months of the year this paper documents a similar finding for canadian stocks over the period 1951 1980 however canada did not introduce a capital gains tax until 1973 and the paper reports that january returns in canada exceed returns for other months of the year before and after this date thus these data do not support the tax loss selling pressure hypothesis as the entire explanation for the turnof the year effect in stock returns nor by implication do they support the tax lossselling pressure hypothesis as the complete explanation for the small firm effect in u s stocks returns recently keim 9 has reported that returns on nyse and ase firms with small market values exceed by significant margins returns on firms with large market values this result was previously reported by banz 1 and reinganum 11 but keim s analysis shows that most of the excess return for small firms is concentrated in january indeed it is concentrated in the first two weeks in january roll 13 also documents this phenomenon and investigates a number of possible explanations for it 2 after rejecting several possible nonexploitable explanations roll is left with year end tax loss selling pressure of the sort discussed by branch 2 dyl 5 and givoly and ovadia 6 as the most likely explanation of this result according to the tax loss selling pressure hypothesis toward the end of the year stockholders sell stocks that have declined in price during the year investors do this to take advantage of the opportunity to write off capital losses against ordinary income in computing their federal income taxes the year end sell off exerts downward pressure on stock prices as soon as the tax and calendar year ends the selling pressure is relieved and stock prices quickly rebound to their equilibrium levels roll 13 presents some evidence consistent with this hypothesis specifically he finds a negative correlation between stock returns in january and returns over the previous 12 months that is stocks that decrease in value during the year tend to be big gainers in january roll also finds that

ldc agriculture nonparametric malmquist productivity indexes abstract this paper examines changes in agricultural productivity in 18 developing countries over the period 1961 1985 we use the nonparametric output based malmquist index to examine whether the results from such an approach confirm results from other methods that have indicated declining agricultural productivity in less developed countries ldcs the results confirm previous findings indicating that at least half of these countries have experienced productivity declines in agriculture we also found that those countries that tax agriculture most heavily had the most negative rates of productivity change

business cycle turning points a new coincident index and tests of duration dependence based on a dynamic factor model with regime switching the synthesis of the dynamic factor model of stock and watson 1989 and the regime switching model of hamilton 1989 proposed by diebold and rudebusch 1996 potentially encompasses both features of the business cycle identified by burns and mitchell 1946 1 comovement among economic variables through the cycle and 2 nonlinearity in its evolution however maximum likelihood estimation has required approximation recent advances in multimove gibbs sampling methodology open the way to approximation free inference in such non gaussian nonlinear models this paper estimates the model for u s data and attempts to address three questions are both features of the business cycle empirically relevant might the implied new index of coincident indicators be a useful one in practice do the resulting estimates of regime switches show evidence of duration dependence the answers to all three would appear to be yes

a new coincident index of business cycles based on monthly and quarterly series maximum likelihood factor analysis of time series is possible even when some series are quarterly and others are monthly treating quarterly series as monthly series with missing observations and replacing them with artificial observations independent of the model parameters one can apply the kalman filter to a state space representation of a factor model and evaluate the likelihood function an application to quarterly real gdp and monthly coincident business cycle indicators gives a new coincident index of business cycles the new index is essentially the smoothed estimate of latent monthly real gdp and should improve upon the stock watson index

productivity growth and the effects of r d in african agriculture this article measures and compares total factor productivity growth in african agriculture under contemporaneous and sequential technology frontiers over the period 1970 2004 the sources of productivity growth are examined using a fixed effects regression model and a polynomial distributed lag structure for agricultural r d expenditures while conventional estimates show an average productivity growth rate of only 0 3 per year the improved measures under sequential technology show that african agricultural productivity grew at a higher rate of 1 8 per year technical progress rather than efficiency change was the principal source of productivity growth agricultural r d weather and trade reforms turned out to have significant effects on productivity in african agriculture with a rate of return of 33 per year r d is shown to be a socially profitable investment in african agriculture while a strong r d expenditure growth of about 2 per year in the 1970s led to strong productivity growth after the mid 1980s stagnation of r d expenditure in the 1980s and early 1990s led to slower productivity growth in the 2000s consistent with recent economic recovery in africa evidenced by stronger agricultural gdp growth rates results showed that policy reforms as well as improved weather contributed to the recovery of agricultural productivity after the mid 1980s

effective costs and chemical use in united states agricultural production using the environment as a free input a cost function based production model is used to represent patterns of input use and output production in u s agriculture and the implied costs of induced reductions in risk from agricultural chemicals bad outputs we estimate and evaluate shadow values for these harmful outputs and the implied input and output specific substitution patterns with a focus on the impacts on pesticide demand and its quality and quantity components using state level data we find these measures to be statistically significant vary substantively by region and imply increased demand for effective pesticides associated with improvements in quality from embodied technology copyright 2002 oxford university press

an analysis of seasonality in the u k equity market this paper examines the nature and importance of seasonal fluctuations in the u k equity market the authors analysis reveals that returns on the ft a all share index exhibit significant seasonality that is best described by a deterministic seasonal model the authors also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk copyright 1995 by royal economic society

is agricultural productivity in developing countries really shrinking new evidence using a modified nonparametric approach abstract nonparametric productivity analyses performed to date show that most developing countries are experiencing relatively rapid technical regress in agriculture we discuss the plausibility of these results and argue that they stem from the existence of biased technical change and the definition of technology used we reestimate the malmquist index for a group of developing countries using a different definition of technology and find that most developing countries in our sample are experiencing positive productivity growth with technical change being the main source of this growth

tax induced trading and the turn of the year anomaly an intraday study this study tests the tax induced trading hypothesis as an explanation of the turn of the year anomaly using canadian and u s intraday data since the canadian tax year end precedes the calendar year end by five business days tax effects may be isolated we find the anomaly is related to the degree of seller and buyer initiated trading and depends upon the incidence of the taxation year end seller initiated transactions at bid prices dominate until the tax year end after which buyer initiated trades at ask prices dominate the anomaly is a function of bid ask prices

international productivity patterns accounting for input quality infrastructure and research in this paper we present measures of land and labor productivity for a group of ninety eight developed and developing countries using an entirely new data set with annual observations spanning the past three decades the substantial cross country and intertemporal variation in productivity in our sample is linked to both natural and economic factors we extend previous work by dealing with multiple sources of systematic measurement error in conventional agricultural inputs the mix of conventional inputs indicators of quality of agricultural inputs and the amount of publicly provided infrastructure are all significant in explaining observed cross sectional differences in productivity patterns

factor forecasting using international targeted predictors the case of german gdp abstract papers on factor forecasting are often focused on national data only this paper highlights the role of international data for forecasting german gdp and shows how targeted predictors as proposed by bai and ng forecasting economic time series using targeted predictors journal of econometrics 146 2008 304 317 can improve forecast accuracy

total factor productivity growth in agriculture a malmquist index analysis of 93 countries 1980 2000 in this paper we examine levels and trends in agricultural output and productivity in 93 developed and developing countries that account for a major portion of the world population and agricultural output we make use of data drawn from the food and agriculture organization of the united nations and our study covers the period 1980 2000 due to the non availability of reliable input price data the study uses data envelopment analysis dea to derive malmquist productivity indexes the study examines trends in agricultural productivity over the period issues of catch up and convergence or in some cases possible divergence in productivity in agriculture are examined within a global framework the paper also derives the shadow prices and value shares that are implicit in the dea based malmquist productivity indices and examines the plausibility of their levels and trends over the study period

risk and return abstract this paper examines the seasonality in the basic relationship between expected return and risk during 1935 82 the results reveal that the positive relationship between return and risk is unique to january the risk premiums during the remaining eleven months are not significantly different from zero

seasonalities in nyse bid ask spreads and stock returns in january using end of month bid ask spreads for 540 nyse stocks over the period 1982 1987 we document a seasonal pattern in which both relative and absolute spreads decline from the end of december to the end of the following january cross sectional regressions do not however provide evidence of a significant correlation between changes in spreads at the turn of the year and january stock returns either there is no cause and effect relation between the coincidental seasonals in bid ask spreads and january returns for nyse stocks or the data are too noisy to reveal any relation bid ask spreads hatve played and continue to play an important role in explanations of the january effect in stock returns for example roll 1983 argues persuasively that high january returns are the result of tax loss selling pressure that occurs throughout the year which is released right after the beginning of the new tax year once the selling pressure is released stocks rise in price which results in high january returns however these predictable excess january returns cannot be exploited fully by arbitrageurs because of round trip transactions costs in the form of the bid ask spread this inhibitor to arbitrage is especially great for small or low priced stocks where historically high january returns have been most pronounced stoll and whaley 1983 take a different tack they do not focus on january returns per se but argue that the excess returns on small stocks are a result of higher proportional bid ask spreads in low priced stocks in their view the bid ask spread itself is the cause of the higher returns on small stocks that is because of the higher proportional cost of transacting in small stocks investors demand a higher rate of return in response keim 1983 and schultz 1983 point out that small stock excess returns are concentrated in january and a seasonal in stock returns cannot be explained by the bid ask spread unless there is a seasonal in the bid ask spread as well schultz 1983 compares bid ask spreads in december with those in june plus round trip commissions for a sample of 40 small capitalization new york stock exchange nyse stocks and finds no signifi

are daily financial data useful for forecasting gdp evidence from mexico this article evaluates the use of financial data sampled at high frequencies to improve short term forecasts of quarterly gdp for mexico the model uses both quarterly and daily sampling frequencies while remaining parsimonious in particular the mixed data sampling midas regression model is employed to deal with the multi frequency problem to preserve parsimony factor analysis and forecast combination techniques are used to summarize the information contained in a data set containing 392 daily financial series our findings suggest that the midas model incorporating daily financial data leads to improvements in quarterly forecasts of gdp growth over traditional models that either rely only on quarterly macroeconomic data or average daily frequency data the evidence suggests that this methodology improves the forecasts for the mexican gdp notwithstanding its higher volatility relative to that of developed countries furthermore we explore the ability of the midas model to provide forecast updates for gdp growth nowcasting

tracing the effects of agricultural commodity prices and food costs we estimate a system of product and input demand equations for food processing industries to trace the links among farm commodity prices food processing costs and food prices disembodied technical change which likely reflects increasing consumer demand for convenience and product variety has sharply reduced agricultural materials demand relative to most other food processing inputs this implies weakening impacts of farm price shocks on food prices but improving quality and falling relative prices for agricultural inputs in combination with increasing factor substitution has counteracted these forces to encourage greater usage of agricultural inputs in food processing and limit these trends food prices today often appear less responsive to farm price shocks than in the past a development sometimes attributed to failures in market institutions however powerful long run technological and social changes leading to adaptations in production processes and food consumption patterns have also altered the demand for primary agricultural materials by changing the structure of food processing industries the social shifts surrounding the expanded role of women in the labor force represent one striking example of such changes the fraction of married women in the labor force less than one third in 1960 rose sharply through the next three decades before stabilizing at around 61 in the 1990s such demographic shifts increased the demand for food products requiring less home preparation time which in combination with enhanced technology has led to more in plant processing of agricultural materials and likely a growing share of nonagricultural inputs in

the intercountry agricultural production function and productivity differences among countries abstract the sources of differences in labor productivity in agriculture between developed countries dc s and less developed countries ldc s are identified by estimating an aggregate agricultural production function based on cross county data for 1960 1970 and 1980 the production function was found to be stable over the entire period agriculture in the dc s was characterized by increasing returns and in the ldc s by constant returns to scale the results imply that unfavorable man land ratios do not represent an immediate barrier to rapid agricultural development in the low income ldc s but they may create a serious agricultural adjustment problem as those countries advance into the middle income range

land distribution and international agricultural productivity the unequal distribution of agricultural land is often cited as a source of inefficiency in agriculture previous cross country studies of agricultural productivity differences though have not considered land inequality this article addresses this issue by using cross country data on inequality in operational holdings of agricultural land from deininger and squire 1998 in an estimation of an agricultural production function the gini coefficient for land holdings is found to have a significant negative relationship with productivity this is consistent with the existence of heterogeneity in productivity by farm size within countries a one standard deviation drop in the gini coefficient implies an increase in productivity of 8 5

is there a slowdown in agricultural productivity growth in south america this article estimates agricultural productivity growth in 10 south american countries in 1969 2009 with the objective of investigating if the slowdown being measured in other countries is present in the region results show that productivity growth accounts for half of the three fold increase in agricultural output during this period and that performance is sensitive to r d investments in the sector the slowdown found for the 1990s to 2000s in the u s and some european economies does not seem to be present yet in south america the region s total factor productivity tfp growth rate increased steadily from 1 07 during the 1970s to 2 29 during the 2000s given lags in adoption and the adaptive nature of innovations in these economies we have yet to see the potential effects in south american agriculture of decreases in r d in advanced economies

ict and agricultural productivity evidence from cross country data this article carries out agricultural production function estimations based on data for the period 1995 2000 on 81 countries to present empirical evidence on the relationship between the adoption of information and communication technology ict and agricultural productivity it is found that new ict has a significantly positive impact on agricultural productivity the evidence suggests that the adoption of modern industrial inputs in agricultural production relies on the information and communication infrastructure however the empirical evidence from this study also suggests that new ict could be a factor for the divergence between countries in terms of overall agricultural productivity not only do we find that the ict adoption levels of the richer countries are much higher than those of the poorer countries but also that returns from ict in agricultural production of the richer countries are about two times higher than those of the poorer countries a plausible explanation for the poorer countries relatively low productivity elasticity of ict is the lack of important complementary factors such as a substantial base of human capital

agricultural productivity in developing countries abstract this paper examines changes in agricultural productivity in 18 developing countries over the period 1961 1985 we use a nonparametric output based malmquist index and a parametric variable coefficients cobb douglas production function to examine whether our estimates confirm results from other studies that have indicated declining agricultural productivity in ldcs the results confirm previous findings indicating that at least half of these countries have experienced productivity declines in agriculture

starting on the wrong foot seasonality in mutual fund performance abstract we document a systematic seasonal component in the aggregate underperformance of active mutual funds at the aggregate level active funds underperform the market and other passive benchmarks only in the first month of a quarter this intra quarter performance seasonality holds across fund sizes and investment styles the pattern is consistent with short term stock return reversal effects along with aggregate window dressing and to a lesser extent nav inflation practices around quarter ends we find marginal or no evidence of microstructure biases fund investor flows or cash distributions as sources of this seasonality our findings highlight new features of the active management underperformance puzzle

an econometric characterization of business cycle dynamics with factor structure and regime switching a dynamic factor model with regime switching is proposed as an empirical characterization of business cycles the approach integrates the idea of comovements among macroeconomic variables and asymmetries of business cycle expansions and contractions the first is captured with an unobservable dynamic factor and the second by allowing the factor to switch regimes the model is estimated by maximizing its likelihood function and the empirical results indicate that the combination of these two features leads to a successful representation of the data relative to extant literature this holds for within and out of sample and for both revised and real time data copyright 1998 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

short term forecasting with mixed frequency data a midasso approach abstractin this article we extend the targeted regressor approach suggested in bai and ng 2008 for variables sampled at the same frequency to mixed frequency data our midasso approach is a combination of the unrestricted mixed frequency data sampling approach u midas see foroni et al 2015 castle et al 2009 bec and mogliani 2013 and the lasso type penalized regression used in bai and ng 2008 called the elastic net zou and hastie 2005 we illustrate our approach by forecasting the quarterly real gdp growth rate in switzerland

institutions and individuals at the turn of the year this article evaluates the tax loss selling hypothesis against the window dressing hypothesis as explanations for turn of the year anomalies we examine differences between securities dominated by individual investors versus those dominated by institutional investors and find that the effect is more pervasive in the former controlling for capitalization we find that in early january late december stocks with greater individual investor interest outperform underperform stocks with greater institutional investor interest these results hold for both stocks that previously appreciated in value and stocks that previously depreciated in value the results are most consistent with the tax loss selling hypothesis as an explanation for the turn of the year effect

new index of coincident indicators a multivariate markov switching factor model approach abstract this paper extends the univariate markov switching unobserved component model to the multivariate markov switching factor model of coincident economic indicators an approximate ml method is developed to estimate the model the extracted markov switching factor may be interpreted as the coincident index and is comparable to the stock watson index which differs only by the markov switching component using four constituent series of the doc coincident index for the period january 1960 to june 1992 the proposed model generates recessionary and expansionary periods which are remarkably consistent with the nber chronology of the business cycles from the noisy monthly data this paper also finds that duration dependence does matter

toward a more reliable picture of the economic activity an application to argentina abstract we advocate a dynamic factor model to provide alternative measures of output data using indirect information from economic indicators we apply the method to show evidence of a significant gap between estimated and official measures of argentine gdp since 2007

testing household specific explanations for the inverse productivity relationship the inverse relationship between land productivity and farm size is an old and puzzling empirical regularity most explanations for this relationship rely on market imperfections that jointly determine the farm size and the household s shadow price of some productive inputs we use plot level data from the icrisat vls to assess whether these household specific theories can explain the puzzle the data exhibit plots of different sizes being simultaneously cropped by the same household the inverse relationship is shown to hold true with the same magnitude across the plots of each household thus cross household heterogeneity does not suffice to explain the puzzle