Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience

This paper explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in NAFTA (i.e., Canada, Mexico, and the US). Our examination of interactions of the NAFTA stock markets considers three issues. First, we examine the long-run relationship between the three markets, using cointegration techniques. Second, we evaluate the dynamic relationships between the three markets, using impulse-response analysis. Finally, we explore the volatility transmission process between the three markets, using a variety of multivariate GARCH models. Our results also exhibit significant volatility transmission between the second moments of the NAFTA stock markets, albeit not homogenous. The magnitude and trend of the conditional correlations indicate that in the last few years, the Mexican stock market exhibited a tendency toward increased integration with the US market. Finally, we do note that evidence exists that the Peso and Asian financial crises as well as the stock-market crash in the US affect the return and volatility time-series relationships.

Editorial: The Impact of Welfare Reform on Families

On the horizon a huge wave is building, about to crash down on the poorest most hard pressed families in our country. The impact of welfare reform on families and on those who serve them will be profound The degree to which families and workers will be adversely affected is to date not fully understood. Yet as my son concluded, "...basically, if you are on welfare you had better win the lottery or learn to swim in the treacherous waters of poverty!" (C. Sallee, personal communication, November, 1996). We are also informed by looking back at the Elizabethan Poor Laws of 1601 where we find the origin of welfare reform. Orphanages, the responsibility of relatives, poorhouses and awarding relief work to the lowest private sector bidder, all introduced in the beginning of the welfare state, are key components of the current reform. The Personal Responsibility and Work Opportunity Act of 1996 washes away the entitlements and rights created during this country's greatest depression, leaving exposed the stark selfishness of the junk bond 1980's.

Stable isotope analysis and temperature reconstruction data from DSDP Hole 94-609B and ODP Hole 162-984B

The Greenland ice sheet is accepted as a key factor controlling the Quaternary glacial scenario. However, the origin and mechanisms of major Arctic glaciation starting at 3.15 Ma and culminating at 2.74 Ma are still controversial. For this phase of intense cooling Ravelo et al. proposed a complex gradual forcing mechanism. In contrast, our new submillennial-scale paleoceanographic records from the Pliocene North Atlantic suggest a far more precise timing and forcing for the initiation of northern hemisphere glaciation (NHG), since it was linked to a 2-3 °C surface water warming during warm stages from 2.95 to 2.82 Ma. These records support previous models, claiming that the final closure of the Panama Isthmus (3.0- ~2.5 Ma induced an increased poleward salt and heat transport. Associated strengthening of North Atlantic Thermohaline Circulation and in turn, an intensified moisture supply to northern high latitudes resulted in the build-up of NHG, finally culminating in the great, irreversible climate crash at marine isotope stage G6 (2.74 Ma). In summary, there was a two-step threshold mechanism that marked the onset of NHG with glacial-to-interglacial cycles quasi-persistent until today.

Burbujas racionales en el mercado de valores argentino

Desde el surgimiento de los mercados de valores, han existido periodos con importante aumento en los precios de sus activos, que luego se han atribuido a la presencia de burbujas especulativas. Entre los más conocidos se encuentran la manía de los tulipanes en Holanda a principios del siglo XVII, donde un bulbo de tulipán llegó a valer 24 toneladas de trigo, la ola especulativa en Wall Street que terminó en el “crash" de 1929, la burbuja tecnológica en el Nasdaq que estalló a principios de siglo. Estos acontecimientos motivan a deliberar sobre la racionalidad de los precios de los títulos que se negocian en los mercados. Bajo la hipótesis de mercados eficientes, los precios de las acciones varían solamente si los inversores reaccionan a la nueva información relacionada con los fundamentos. Esto significa que los precios siguen una martingala y que cualquier desvió sistemático en relación al valor fundamental debe ser considerado una burbuja. Si existe una burbuja especulativa, el precio de mercado tendrá dos componentes: el precio racional o valor fundamental y la burbuja especulativa. Las razones por las cuales se paga un precio mayor al racional van desde la creencia que existirá un “tonto más grande" que comprará ese activo en el futuro, excesos de confianza o simplemente por un comportamiento de manada de los agentes involucrados. Las burbujas en los precios de los activos pueden ser relevantes en economías emergentes porque pueden acarrear efectos colaterales (como apreciación de su moneda) y potencial reversibilidad. Una burbuja puntual en los precios de las acciones puede terminar acarreando excesiva inversión en capital y euforia seguida de “crash" y recesión. Muchos de los comienzos de crisis económicas o financieras estuvieron históricamente asociados a la formación de burbujas en los precios de los activos, como bien enseña la reciente burbuja en las propiedades inmobiliarias de Estados Unidos. El objetivo de este trabajo consiste en recopilar los diferentes modelos y pruebas utilizadas en la literatura para la detección de burbujas especulativas en los precios de mercado, para luego, siguiendo la metodología propuesta por Diba y Grossman (1988), realizar contrastes de raíces unitarias y cointegración para encontrar dichas burbujas en el Merval. Se destacan en este trabajo dos aportes de interés. En primer lugar, se trata del primer estudio empírico para el mercado bursátil argentino sobre la existencia de burbujas especulativas utilizando las variables de precios y dividendos con la metodología anteriormente descrita. En segundo lugar, el periodo muestral considerado es uno de los más interesantes a la hora de abordar un estudio sobre burbujas especulativas al estar este caracterizado por un importante crecimiento.

Response of marine palynomorphs to Neogene climate cooling in the Iceland Sea, ODP Hole 151-907A

The present study on ODP Leg 151 Hole 907A combines a detailed analysis of marine palynomorphs (dinoflagellate cysts, prasinophytes, and acritarchs) and a low-resolution alkenone-based sea-surface temperature (SST) record for the interval between 14.5 and 2.5 Ma, and allows to investigate the relationship between palynomorph assemblages and the paleoenvironmental evolution of the Iceland Sea. A high marine productivity is indicated in the Middle Miocene, and palynomorphs and SSTs both mirror the subsequent long-term Neogene climate deterioration. The diverse Middle Miocene palynomorph assemblages clearly diminish towards the impoverished assemblages of the Late Pliocene; parallel with a somewhat gradual decrease of SSTs being as high as 20 °C at ~13.5 Ma to around 8 °C at ~3 Ma. Superimposed, palynomorph assemblages not only reflect Middle to Late Miocene climate variability partly coinciding with the short-lived global Miocene isotope events (Mi-events), but also the initiation of a proto-thermohaline circulation across the Middle Miocene Climate Transition, which led to increased meridionality in the Nordic Seas. Last occurrences of species cluster during three events in the Late Miocene to Early Pliocene and are ascribed to the progressive strengthening and freshening of the proto-East Greenland Current towards modern conditions. A significant high latitude cooling between 6.5 and 6 Ma is depicted by the supraregional "Decahedrella event" coeval with lowest Miocene productivity and a SST decline. In the Early Pliocene, a transient warming is accompanied by surface water stratification and increased productivity that likely reflects a high latitude response to the global biogenic bloom. The succeeding crash in palynomorph accumulation, and a subsequent interval virtually barren of marine palynomorphs may be attributed to enhanced bottom water oxygenation and substantial sea ice cover, and indicates that conditions seriously affecting marine productivity in the Iceland Sea were already established well before the marked expansion of the Greenland Ice Sheet at 3.3 Ma.

Sedimentation and sediment redistribution on the Cocos Ridge from two seismic acquisition cruises, NEMO-3 and MV1014

We use digital seismic reflection profiles within a 1° * 1° survey area on the Cocos Ridge (COCOS6N) to study the extent and timing of sedimentation and sediment redistribution on the Cocos Ridge. The survey was performed to understand how sediment focusing might affect paleoceanographic flux measurements in a region known for significant downslope transport. COCOS6N contains ODP Site 1241 to ground truth the seismic stratigraphy, and there is a seamount ridge along the base of the ridge that forms a basin (North Flank Basin) to trap sediments transported downslope. Using the Site 1241 seismic stratigraphy and densities extrapolated from wireline logging, we document mass accumulation rates (MARs) since 11.2 Ma. The average sediment thickness at COCOS6N is 196 m, ranging from outcropping basalt at the ridge crest to ~ 400 m at North Flank Basin depocenters. Despite significant sediment transport, the average sedimentation over the entire area is well correlated to sediment fluxes at Site 1241. A low mass accumulation rate (MAR) interval is associated with the 'Miocene carbonate crash' interval even though COCOS6N was at the equator at that time and relatively shallow. Highest MAR occurs within the late Miocene-early Pliocene biogenic bloom interval. Lowest average MAR is in the Pleistocene, as plate tectonic motions caused COCOS6N to leave the equatorial productivity zone. The Pliocene and Pleistocene also exhibit higher loss of sediment from the ridge crest and transport to North Flank Basin. Higher tidal energy on the ridge caused by tectonic movement toward the margin increased sediment focusing in the younger section.

Nannofossil biostratigraphy of ODP Hole 206-1256B sediments

Site 1256 of Ocean Drilling Program Leg 206 to the Guatemala Basin on the eastern flank of the East Pacific Rise yielded a near-complete, middle Miocene-Quaternary carbonate-rich section that provides an opportunity to study low-latitude biostratigraphic and paleoceanographic events. The sedimentary sequence in Hole 1256B has been zoned using calcareous nannofossils according to the biostratigraphic schemes by Martini of 1971 (modified by Martini and Müller in 1986) and Okada and Bukry of 1980. The nannofossil assemblage is characteristic of the low latitudes, with abundant Gephyrocapsa, Discoaster, and Sphenolithus, and is in general moderately to well preserved, depending on nannofossil abundance and the presence of diatoms. Age estimates for the first occurrence and last occurrence of Reticulofenestra rotaria were derived from biostratigraphy and magnetostratigraphy independently and assigned to 7.18 and 6.32 Ma, respectively. Linear sedimentation rates, calculated using 28 nannofossil datums and age estimates, are high in the middle Miocene, decrease from the late Miocene to the Pliocene, then increase upsection. The abrupt drop in carbonate mass accumulation rates during the early late Miocene is referred to as the "carbonate crash." This pattern reflects (1) the long-trend decrease of productivity as the site moves away from the upwelling system at the equatorial divergence as well as (2) fluctuation in the chemistry of the bottom waters associated with production of the North Atlantic Bottom Water and ventilation via the Panama Gateway. A basement age of 14.5 Ma was obtained by extrapolating the 39.1-m/m.y. rate in the middle Miocene to the basement at 250.7 meters below seafloor, and is consistent with the ~15-Ma age of the oceanic crust estimated from marine magnetic anomalies. Reworked nannofossils and lithologic changes were used to unravel postdepositional history, and three episodes were recognized, one of which in the latest Miocene can be widely correlated.

Miocene planktonic foraminifera of ODP Hole 130-806B

We document the waxing and waning of a "proto-warm pool" in the western equatorial Pacific (WEP) based on a study of multi-species planktic foraminiferal isotope ratios and census data spanning the 13.2-5.8 Ma interval at ODP Site 806. We hypothesize that the presence or absence of a proto-warm pool in the WEP, caused by the progressive tectonic constriction of the Indonesian Seaway and modulated by sea level fluctuations, created El Niño/La Niña-like alternations of hydrographic conditions across the equatorial Pacific during the late Miocene. This hypothesis is supported by the general antithetical relationship observed between carbonate productivity and preservation in the western and eastern equatorial Pacific, which we propose is caused by these alternating ocean-climate states. Warming of thermocline and surface waters, as well as a major change in planktic foraminferal assemblages record a two-step phase of proto-warm pool development ~11.6-10 Ma, which coincides with Miocene isotope events Mi5 and Mi6, and sea-level low stands. We suggest that these changes in the biota and structure of the upper water column in the WEP mark the initiation of a more modern equatorial current system, including the development of the Equatorial Undercurrent (EUC), as La Niña-like conditions became established across the tropical Pacific. This situation sustained carbonate and silica productivity in the eastern equatorial Pacific (EEP) at a time when carbonate preservation sharply declined in the Caribbean. Proto-warm pool weakening after ~10 Ma may have contributed to the nadir of a similar "carbonate crash" in the EEP. Cooling of the thermocline and increased abundances of thermocline taxa herald the decay of the proto-warm pool and higher productivity in the WEP, particularly ~ 9.0-8.8 Ma coincident with a major perturbation in tropical nannofossil assemblages. We suggest that this interval of increased productivity records El Niño-like conditions across the tropical Pacific and the initial phase of the widespread "biogenic bloom". Resurgence of a later proto-warm pool in the WEP ~6.5-6.1 Ma may have spurred renewed La Niña-like conditions, which contributed to a strong late phase of the "biogenic bloom" in the EEP.