The role of index trading in price formation in the grains and oilseeds markets

We use both Granger-causality and instrumental variables (IV) methods to examine the impact of index fund positions on price returns for the main US grains and oilseed futures markets. Our analysis supports earlier conclusions that Granger-causal impacts are generally not discernible. However, market microstructure theory suggests trading impacts should be instantaneous. IV-based tests for contemporaneous causality provide stronger evidence of price impact. We find even stronger evidence that changes in index positions can help predict future changes in aggregate commodity price indices. This result suggests that changes in index investment are in part driven by information which predicts commodity price changes over the coming months.

Time-variations in commodity price jumps

In this paper, we study jumps in commodity prices. Unlike assumed in existing models of commodity price dynamics, a simple analysis of the data reveals that the probability of tail events is not constant but depends on the time of the year, i.e. exhibits seasonality. We propose a stochastic volatility jump–diffusion model to capture this seasonal variation. Applying the Markov Chain Monte Carlo (MCMC) methodology, we estimate our model using 20 years of futures data from four different commodity markets. We find strong statistical evidence to suggest that our model with seasonal jump intensity outperforms models featuring a constant jump intensity. To demonstrate the practical relevance of our findings, we show that our model typically improves Value-at-Risk (VaR) forecasts.

Flight to quality? An investigation of changing price spreads in commercial real estate markets

Purpose – The purpose of this paper is to investigate the effect of the crisis on the pricing of asset quality attributes. This paper uses sales transaction data to examine whether flight from risk phenomena took place in the US office market during the financial crisis of 2007-2009. Design/methodology/approach – Hedonic regression procedures are used to test the hypothesis that the spread between the pricing of low-quality and high-quality characteristics increased during the crisis period compared to the pre-crisis period. Findings – The results of the hedonic regression models suggest that the price spread between Class A and other properties grew significantly during the downturn. Research limitations/implications – Our results are consistent with the hypothesis of an increased price spread following a market downturn between Class A and non-Class A offices. The evidence suggests that the relationships between the returns on Class A and non-Class A assets changed during the period of market stress or crisis. Practical implications – These findings have implications for real estate portfolio construction. If regime switches can be predicted and/or responded to rapidly, portfolios may be rebalanced. In crisis periods, portfolios might be reweighted towards Class A properties and in positive market periods, the reweighting would be towards non-Class A assets. Social implications – The global financial crisis has demonstrated that real estate markets play a crucial role in modern economies and that negative developments in these markets have the potential to spillover and create contagion for the larger economy, thereby affecting jobs, incomes and ultimately people’s livelihoods. Originality/value – This is one of the first studies that address the flight to quality phenomenon in commercial real estate markets during periods of financial crisis and market turmoil.

Gaze stabilization testing: The efficiency and test-retest reliability of user operated control versus the parameter estimation (PEST) algorithm

The primary objective of this research study is to determine which form of testing, the PEST algorithm or an operator-controlled condition is most accurate and time efficient for administration of the gaze stabilization test

Sanitation assessment of wastewater treated by stabilization ponds for potential reuse in agricultural irrigation sanitation assessment

Wastewater reuse has become an important alternative to agricultural irrigation; on the other hand, it poses concern with regard to public health. Total coliform and Escherichia coli concentration, presence of helminth eggs and Salmonella, and physical-chemical parameters were evaluated in raw and treated wastewater. Chemical and biochemical oxygen demand removal efficiency was 74.6 and 77.9%, respectively. As for organic nitrogen, total phosphorus, and total suspended solids, total efficiency removal was 17.4, 12.5, and 32.9%, respectively. The average density of total coliforms and E. coli was 3.5 x 10(9) and 1.8 x 10(8) MPN/100 mL and 1.1 x 10(7) MPN/100 mL and 3.9 x 10(5) MPN/100 mL for raw and treated wastewater, respectively. Ascaris eggs were observed in 80.8% of the samples collected, and viable eggs in 42.3% of the samples. Salmonella was detected in 36.4% of the samples. The values observed in treated wastewater did not show the adequate bacteriological quality, as recommended by World Health Organization (Geneva, Switzerland). Therefore, additional measures should be taken to achieve an improved microbiological and parasitological quality.

A model for the stabilization of atomic hydrogen centers in borate glasses

A previously proposed model describing the trapping site of the interstitial atomic hydrogen in borate glasses is analyzed. In this model the atomic hydrogen is stabilized at the centers of oxygen polygons belonging to B-O ring structures in the glass network by van der Waals forces. The previously reported atomic hydrogen isothermal decay experimental data are discussed in the light of this microscopic model. A coupled differential equation system of the observed decay kinetics was solved numerically using the Runge Kutta method. The experimental untrapping activation energy of 0.7 x 10(-19) J is in good agreement with the calculated results of dispersion interaction between the stabilized atomic hydrogen and the neighboring oxygen atoms at the vertices of hexagonal ring structures. (C) 2009 Elsevier B.V. All rights reserved.

On the Stabilization of Gold Nanoparticles over Silica-Based Magnetic Supports Modified with Organosilanes

The immobilization of gold nanoparticles (Au NPs) on silica is made possible by the functionalization of the silica surfaces with organosilanes. Au NPs could only be stabilized and firmly attached to silica-support surfaces that were previously modified with amino groups. Au NPs could not be stabilized on bare silica surfaces and most of the NPs were then found in the solution. The metal-support interactions before and after the Au NP formation, observed by X-ray absorption fine structure spectroscopy (XAFS), indicate a stronger interaction of gold-(III) ions with amino-modified silica surfaces than with the silanol groups in bare silica. An amino-modified, silica-based, magnetic support was used to prepare an active Au NP catalyst for the chemoselective oxidation of alcohols, a reaction of great interest for the fine chemical industry.

Dynamical self-stabilization of the Mott insulator: Time evolution of the density and entanglement entropy of out-of-equilibrium cold fermion gases

The time evolution of the out-of-equilibrium Mott insulator is investigated numerically through calculations of space-time-resolved density and entropy profiles resulting from the release of a gas of ultracold fermionic atoms from an optical trap. For adiabatic, moderate and sudden switching-off of the trapping potential, the out-of-equilibrium dynamics of the Mott insulator is found to differ profoundly from that of the band insulator and the metallic phase, displaying a self-induced stability that is robust within a wide range of densities, system sizes and interaction strengths. The connection between the entanglement entropy and changes of phase, known for equilibrium situations, is found to extend to the out-of-equilibrium regime. Finally, the relation between the system`s long time behavior and the thermalization limit is analyzed. Copyright (C) EPLA, 2011

Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows LIS to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution, the results are independent of the graph structure that models the peer network of agents whose decisions influence each other. (C) 2009 Elsevier B.V. All rights reserved.

Ion pair stabilization effects on a series of procaine structural analogs

In this work, a series of 10 structural procaine analogs have been synthesized in order to investigate the structural features affecting the stability of ion pair formation and its influence on the lipophilicity of ionizable compounds. The structural variation within this series was focused on the terminal nitrogen substituents and on the intermediate chain linkage nature. The hydrophobic parameters log P(n) and log P(i) (partition coefficient of the neutral and ionic species, respectively), as well as the ionization constants pK(a) and pK(a)(oct), were obtained from log D-pH profiles measured at pH values ranging from 2 to 12. The difference between log P(i) and log P(n) values (i.e. difflog P) of each prepared compound was considered a measure of the stability of ion pair formation. In this set, the difflog P values varied nearly over one log unit, ranging from -2.40 to -3.37. It has been observed that the presence of hydrogen bonding groups (especially donor) and low steric hindrance around the terminal amine ionizable group increases the relative lipophilicity of the ionic species as compared to the corresponding neutral species. These results were interpreted as due to the increased stability of ion pairs of the compounds bearing these structural features. (C) 2010 Elsevier B.V. All rights reserved.

Do crude oil price changes affect economic growth of India, Pakistan and Bangladesh? : A multivariate time series analysis

This paper analyzes empirically the effect of crude oil price change on the economic growth of Indian-Subcontinent (India, Pakistan and Bangladesh). We use a multivariate Vector Autoregressive analysis followed by Wald Granger causality test and Impulse Response Function (IRF). Wald Granger causality test results show that only India’s economic growth is significantly affected when crude oil price decreases. Impact of crude oil price increase is insignificantly negative for all three countries during first year. In second year, impact is negative but smaller than first year for India, negative but larger for Bangladesh and positive for Pakistan.

Price elasticity of demand for cigarettes : The Case of Sweden

Due to health problems and the negative externalities associated with cigarette consumption, many governments try to discourage cigarette consumption by increasing its price through taxation. However, cigarette, like the other addictive goods, is viewed as that it is not sensitive to demand rules and the market forces. This study analyses the effect of price increase on cigarette consumption. We used Swedish time series data from 1970 to 2010. Our results reveal that though cigarette is addictive substance its demand is sensitive to changes in the price. Estimates from this study indicate short-run price-elasticity of -0.29 and the long run price elasticity of -0.47.

Determinants and effects of central bank independence reforms

This thesis consists of four empirically oriented papers on central bank independence (CBI) reforms.    Paper [1] is an investigation of why politicians around the world have chosen to give up power to independent central banks, thereby reducing their ability to control the economy. A new data-set, including the possible occurrence of CBI-reforms in 132 countries during 1980-2005, was collected. Politicians in non-OECD countries were more likely to delegate power to independent central banks if their country had been characterized by high variability in inflation and if they faced a high probability of being replaced. No such effects were found for OECD countries.    Paper [2], using a difference-in-difference approach, studies whether CBI reform matters for inflation performance. The analysis is based on a dataset including the possible occurrence of CBI-reforms in 132 countries during the period of 1980-2005. CBI reform is found to have contributed to bringing down inflation in high-inflation countries, but it seems unrelated to inflation performance in low-inflation countries.    Paper [3] investigates whether CBI-reforms are important in reducing inflation and maintaining price stability, using a random-effects random-coefficients model to account for heterogeneity in the effects of CBI-reforms on inflation. CBI-reforms are found to have reduced inflation on average by 3.31 percent, but the effect is only present when countries with historically high inflation rates are included in the sample. Countries with more modest inflation rates have achieved low inflation without institutional reforms that grant central banks more independence, thus undermining the time-inconsistency theory case for CBI. There is furthermore no evidence that CBI-reforms have contributed to lower inflation variability    Paper [4] studies the relationship between CBI and a suggested trade-off between price variability and output variability using data on CBI-levels, and data the on implementation dates of CBI-reforms. The results question the existence of such a trade-off, but indicate that there may still be potential gains in stabilization policy from CBI-reforms.

The impact of price changes on volume sales of alcoholic beverages in Sweden, 2006-2013

We evaluate whether price elasticities on registered alcohol have changed in the last ten years in Sweden, in particular with regard to the investigation by Asplund et al (2007). We also investigate the fiscal effects of such changes. According to our estimates, price elasticities have increased, and these increases may have substantial effects on estimated changes in tax revenues when commodity tax rates are changed. In particular, commodity tax rates on spirits may have reached “Laffer territory” where tax increases may actually lower tax revenues.