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The interdependence of Coffee spot and futures markets

Author: John M. Fry Baoying Lai Mark Rhodes
Vol.: 2011.1
Publishing house: i) INFER
Place: Speyer, London
year: 2011
No of pages: 21
ISBN
category INFER Working Paper Series
price EUR

Coffee is both an important source of export revenue for developing countries and the underlying asset for the largest futures markets in soft commodities. This paper examines the interdependence of these spot and futures markets, with particular emphasis on the effect futures trading activity, especially speculative behaviour,  has on the price risk in spot markets. We identify change points associated with particularly poor harvests and modifications made to the underlying futures contract on one exchange.  Findings indicate that spot and futures markets for coffee are indeed interdependent. However, futures markets for coffee appear to be increasingly driven by risks associated with the underlying spot markets.

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Equilibrium Real Effective Exchange Rates and Real Exchange Rate Misalignments: Time Series vs. Panel Estimates

Author: Oliver Hossfeld
Vol.: 2010.3
Publishing house: i) INFER
Place: Speyer, London
year: 2010
No of pages: 50
ISBN n/a
category INFER Working Paper Series
price Free to download EUR

In this paper we apply the Behavioral Equilibrium Exchange Rate (BEER) approach developed by Clark and MacDonald (1998) to derive equilibrium real effective exchange rates and currency misalignments for the US and its major 16 trading partners over a sample from 1986Q1 to 2006Q4. Cointegration and panel cointegration techniques are applied to derive fully country-specific measures of misalignment
and country-specific measures based on panel estimates. We do not only apply the popular first generation panel unit root and panel cointegration tests, but also two recently introduced classes of tests of the second generation: the CIPS (cross-sectionally augmented IPS) panel unit root tests by Pesaran (2007) as well as the error-correction-based tests for panel cointegration byWesterlund (2007), which both account for possible cross-sectional dependencies among the units included in the panel. Using the estimates obtained over a restricted sample, forecasting tests are conducted to assess the relative forecasting performance of pooled vs. heterogeneous estimators. We find that pooling the data delivers more reliable results when calculating equilibrium exchange rates though the implicit homogeneity restriction is statistically rejected. This result is especially remarkable, since we have given the heterogeneous estimator an ’unfair’ advantage by choosing the country-specific model (of up to 21 possible ones) with the best out-of-sample performance prior to comparing it to two final panel specifications. Based on this result, we re-estimate our preferred specification and calculate real effective exchange rate misalignments over the full sample. While we find strong evidence in favor of the Balassa-Samuelson-effect, evidence in favor of other commonly hypothesized fundamentals is weak.

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US Money Demand, Monetary Overhang, and Inflation

Author: Oliver Hossfeld
Vol.: 2010.4
Publishing house: i) INFER
Place: Speyer, London
year: 2010
No of pages: 62
ISBN n/a
category INFER Working Paper Series
price Free to download EUR

In this paper we analyze US money demand stability and the indicator properties of derived money overhang measures of various monetary aggregates for predicting inflation over a sample from 1987Q1 to 2008Q2. In contrast to a large part of the literature, we find evidence of a stable money demand function for M2 in the framework of the cointegrated VAR (CVAR) model without resorting to ’exotic’ determinants or redefinitions of M2. Previous evidence suggesting instability of the M2 money demand function may have been related to two kinds of misspecification: First, with regard to the specification
of the deterministic components, and secondly, with regard to the imposition of theoretically plausible but empirically rejected restrictions imposed on the model from the outset. Using formal stability tests, we find that stability of the long-run coefficients cannot be rejected, while stability of the short-run parameters is doubtable. Inference is not only based on asymptotics, but also on small-scale parametric) bootstraps. We find some evidence that money overhang is a useful information variable for predicting changes in the inflation rate. First, our estimates obtained from the CVAR model suggest that money overhang Granger-causes inflation. Secondly, recursive out-of-sample forecasts which we conducted over a hold-back period show that taking account of derived money overhang measures significantly improves forecasts of the change in inflation over long horizons (about 3 years). Finally, we provide some evidence that the importance of money overhang for predicting (changes in) inflation may have increased over time.

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Globalization, Integration and Transition: Challenges for Developing and Developed Countries

Author: M. Pop Silaghi, H. Marques, D. Mati
Vol.: 2
Publishing house: iv) Lambert Academic Publisher
Place: Koeln, Germany
year: 2010
No of pages: 308
ISBN 3838311655
category Archives (LAP)
price 71.00 GBP

This volume, Globalization, Integration and Transition, originates from the 8th International Network for Economic Research (INFER) workshop on International Economics held at the Faculty of Economics and Business Administration, Babe-Bolyai University of Cluj-Napoca, Romania, on 17-18 October 2008. This workshop brought together researchers and policy makers to discuss the challenges of the European integration, especially for the emergent countries and of the globalisation. Fourteen papers are published in this volume and they form two themes: Globalization, Integration and Development and Facing Globalisation, Integration and Transition: Emergent countries with a focus upon the Romanian Economy. This collection of papers aims to stimulate further debate on these issues and, in doing so, will help to broaden the exchange of ideas among economists in both academia and business.

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Aspects in Varieties of Capitalism: Dynamics, Economic Crisis, New Players

Author: H. Egbert and C. Esser
Vol.: 3
Publishing house: iv) Lambert Academic Publisher
Place: Koeln, Germany
year: 2010
No of pages: 236
ISBN 3838340450
category Archives (LAP)
price 69.00 GBP

The Varieties of Capitalisms (VOC) approach focuses on institutional complementarities. These complementarities explain how and why different types of capitalist systems are able to co-exist and complement each other. This volume provides some new perspectives on the VOC approach by including countries and actors which so far have not been in the focus of attention. Different methodologies are used to analyze topics which have generally been neglected previously. The book includes - inter alia - contributions on Indian multinationals, the labour market in Spain, regional labour markets in Slovakia, a historical analysis of institutional development in New Zealand and the Netherlands, as well as on educational systems. As the contributions are made by economists, political scientists, historians and sociologists, they are meant for an interdisciplinary audience. Hence, readers from these disciplines with an interest in policy analysis will find the book most useful.

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Degree of Openness and Inflation Targeting Policy: Model of a Small Open Economy

Author: Bousrih Jihene Bousrih Jihene
Vol.: 2010.2
Publishing house: i) INFER
Place: Speyer, London
year: 2010
No of pages: 29
ISBN n/a
category INFER Working Paper Series
price Free to download EUR

In this paper, we present the dynamics of a Neo-Keynesian model applied to a small open economy in order to study the impact of openness on the choice of the appropriate inflation targeting policy. In the event of exogenous shocks, we can use either a CPI inflation targeting policy or a domestic inflation targeting policy.
We conclude that there is a relation between the degree of openness of the economy and the type of infation targeting policy. By considering a domestic shock, when the economy is more open towards outside, we may find that the adoption of CPI inflation targeting is benefical. Whereas in the event of foreign shock, the optimal rule would be the domestic inflation targeting. By considering the criteria of social welfare, we find that for an important degree of openness, the policy of CPI inflation targeting remains the optimal monetary rule.

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Modelling the Cyclical Behaviour of Wine Production in the Douro Region Using a Time-Varying Parameters Approach

Author: Mario Cunha Christian Richter
Vol.: 2010.1
Publishing house: i) INFER
Place: Speyer, London
year: 2010
No of pages: 27
ISBN n/a
category INFER Working Paper Series
price Free to download EUR

This paper investigates the cyclical behaviour of the wine production in Portugal’s Douro region during the period of 1932 to 2008. In general, wine production is characterised by large fluctuations. These fluctuations may cover the existence of deterministic cycles. Hence, in this paper, we decompose the wine production’s variance in order to find the dominating production cycles In the next step we try to explain those cycles using a dependent variable, namely the medium spring temperature for the period 1967 to 2008. We estimated a Time-Varying Autoregressive Model, which could explain 76% of wine variability (R2=0.76; n=69; p<0.000). When the temperature was incorporated the R-squared is much higher (R2=0.98; n=36; p<0.000) and the Akaike criterion value is lower. Hence, medium spring temperature causes a large amount of these cycles and the wine production variation reflects this relationship. In addition to an upward trend, there is a clearly identifiable cycle around the long term trend in Douro wine production. We also show how much of the production cycle and what cycle in particular is explained by the medium spring temperature. We use the short time Fourier Transform to decompose the link between wine production and temperature. We find: i) wine production is characterised by 4.8 and 2.5 year cycles; ii) by there is a strong link between wine production and the mean temperature in spring; iii) this link is not constant, but stable. In particular, the temperature is responsible for 5.2 and 2.4 year cycles – which has been happening since the 1980s, iv) the spring temperature can also be used to as an indicator for the six year and one year cycles of wine production.

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Workers’ Remittances and Growth in MENA Labor Exporting Countries

Author: Sufian Eltayeb Mohamed
Vol.: 2009.10
Publishing house: i) INFER
Place: Speyer, London
year: 2009
No of pages: 19
ISBN n/a
category INFER Working Paper Series
price Free to download EUR

This paper presents an empirical examination of effects of workers’ remittance on economic growth in a sample of 7 remittance-receiving MENA countries. In order to empirically analyze the impact of remittances we estimate growth equations using a set of 7 MENA labor exporting countries during the period 1975-2006. A standard growth models are estimated using both fixed-effects and random effects models. The empirical results show the support of the fixed –effects method as the random effects model is rejected in statistical tests. The results show the support for the view that remittances have a positive impact on growth both directly and indirectly through their interactions with financial and institutional channels.

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Challenges for Economic Policy Design - Lessons from the Financial Crisis

Author: Richter, C. Caleiro, A. Vieira, C. Vieira, I.
Vol.: 1
Publishing house: iv) Lambert Academic Publisher
Place: Koeln, Germany
year: 2009
No of pages: 458
ISBN 3838326709
category Archives (LAP)
price 79 EUR

The papers in this volume are delibrately chosen from different areas of economics in order to give an as broad overview of current areas of research as possible. They all have in common that in one way or another they question the current dominant neo- classical theory. The papers are arranged in five sections, with the first group looking into macroeconomic policies, the second group analyses economic growth, the third group looks into banking and moral hazard, the fourth group considers the welfare state and immigration and finally the last group is centred on heterodox economics.

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United Kingdom Eurozone Entry Scenarios Evaluated

Author: John Ryan
Vol.: 2009.9
Publishing house: i) INFER
Place: Speyer, London
year: 2009
No of pages: 13
ISBN n/a
category INFER Working Paper Series
price Free to download EUR

After 10 years of abstinence from the European Monetary Union, should the UK be seriously thinking about joining the Eurozone? Especially in view of the European Central Bank s improved reputation as a crisis manager in the wake of the financial crisis, could EMU represent a safe haven for the UK economy? Would it be wise for Britain to attach itself to the reserve currency Euro to avoid the perils of drifting alone on a storm-tossed open sea? These are big questions. They have been debated in the UK for a generation and have become relevant again during the current financial and economic crises. I will in this short paper assess three scenarios regarding the UK and the Euro - UK entry, EMU collapses before a UK entry, No UK entry and I will discuss the Eurozone view on potential UK membership.

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CALL FOR PAPERS

INFER Workshop in Kaifeng - Extended deadline


event starting date: 2016-03-18

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NEWS


2017-01-06

News in 2017

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2016-12-07

Extended deadline for Call for Papers - ECR

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2016-12-06

New Events, Publications and Post-Doc Position

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PUBLICATIONS

Stocks or flows? New thinking about monetary transmission through the lending channel

Author: Javier Villar Burke
Publishing house: i) INFER
year: 2016

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What is Different about Urbanization in Rich and Poor Countries? Cities in Brazil, China, India and the United States

Author: Juan Pablo Chauvin Edward Glaeser Yueran Ma Kristina Tobio
Publishing house: i) INFER
year: 2016

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Taxing Vacant Apartments: Can fiscal policy reduce vacancy?

Author: Mariona Segú Benjamin Vignolles
Publishing house: i) INFER
year: 2016

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