Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange

This paper investigates the long-term financial integration and bivariate extreme dependence between Bovespa and the Istanbul Stock Exchange. While a static cointegration test presents no evidence of long-term cointegration, the introduction of a structural break into the model shows that Bovespa and the ISE were cointegrated following the local crisis in Turkey in 2000. Dynamic cointegration tests and DCC-GARCH analysis also reveal that Bovespa and the ISE reacted strongly not only to systemic crises as expected, but also unexpectedly to local crises in each other. This shows that equity prices in two emerging markets in distant regions of the world can co-move in the absence of significant trade and financial linkages. This suggests that there are underlying processes that affect equity prices other than trade, financial linkages, macroeconomic ties, and FDI as the prior literature suggests. While episodic cointegration is found for Bovespa and the ISE, the extremes of these markets still possess asymptotic independence, suggesting diversification opportunities.cointegration, structural break, dynamic conditional correlations, bivariate extreme value, emerging markets, Turkey, Brazil

Linking marketing choices with farming practices of grain producers: A farm level modeling approach applied to the South-west of France

With the increasing commodity prices volatility over the last years and the successive agricultural policy reforms, European grain producers face greater uncertainty. To better understand consequences of a price risk increase on production decisions, marketing decisions and farm revenue as well as linkage between production and marketing decisions, we develop a multiperiodic risk farm model. Production decisions concern selections of crop mix and farming practices (conventional or integrated farming) while marketing decisions focus on four types of pricing arrangements. The model is applied to a representative farmer of a region located in the Southwest of France. The results exposed in this paper shows that with a price risk increase, production adjustments of a risk averse farmer are oriented toward less risky (environmentally friendly) farming practices unless marketing contracts allow to mitigate price risk.multiperiod farm model, marketing contracts, risk, common agricultural policy, Agricultural and Food Policy, Farm Management,

International Diversification: An Extreme Value Approach

.Diversification; Downside Risk; Correlation Complexity; Extreme Value; Systemic Risk

Spatial localization characteristics impact research at value determining of real estate objects situated in small settlements

The article behaves to the property economic measurements implementation using the Comparative Sales independent valuation approach. On example from the real commercial real estate evaluation practice the main methodological principles of valuation object spatial localization characteristics adjustment are considered. According to the described methodology, localization adjustment coefficient is determined by calculation method on the basis of market data cross-correlation regressive analysis. A basic hypothesis is a statement that the relation of valuation object single unit value index to the same of comparable object is determined by its model values relation in the mathematical model of statistical relationship between object single unit value index and its three settlements characteristics: population number; distance to the regional center; area (territory within the settlement boundaries). The research is grounded on mathematical simulation and mathematical statistic quantitative methods. The methodology of adjustment coefficients on investigated price-forming factors definition is based on nonlinear cross-correlation regressive analysis of market data research. This mathematical model is experimentally set by local market data research for the exactly similar real estate objects on the valuation date. It is set that there is observed different statistical relationship level between some of objects price-forming factors and its single square value indexes. The closest statistical relationship exists between settlements population number and single indicator of similar property situated in other compared settlements. It is shown that taking into account some recommended braking coefficients for regressive curve, are published in professional literature, is inadvisable, because it increases the result error is got. Certainly the regression curve characteristics of object spatial localization price-forming factors must be taken into account at adjustment coefficient determination procedure. It is well-proven that methodically correct result of object localization adjustment procedure implementation can be provided only in the case of local market situation research data applying, with determination of the nonlinear regression function characteristics for statistical dependence of single square value index from the object settlements population number. Research is described gives an opportunity to decrease evaluation result uncertainty through the use of new offered approach to mathematical model characteristics definition. The main result of researches described is a possibility to obtain appraising/valuation results with the higher reliability and better accuracy. Researches results are the objective confirmation of the fact, that nowadays methodical base of independent valuation is not able to provide the higher level of this class evaluation objects accuracy results. It does not depend only from an individual appraiser or concrete evaluation company, but, firstly, from unreliable arbitrarily chosen by appraisers adjustments - that usually are "expertly" determined, based on appraiser's own ideas about the dependence of real estate prices on the settlements characteristics. This elementary way of taking these characteristics into account may be a source of result additional errors and its uncertainty level increasing. Future investigations in this direction may deals with the consideration and analysis of other types nonlinear functions application possibilities, that is approximate the regression curve of statistical interdependence between the object single value index and its spatial localization characteristics. The quantitative indexes of absolute and relative methodological errors also may be determined and analyzed in detail in future researches. The importance of those researches for the further development of the independent valuation metrological-information paradigm are confirmed. Practical recommendations for the evaluation results accuracy and reliability increasing are formulated

Ricardian selection

We analyze the foundations of the relationship between trade and total factor productivity (TFP) in the Ricardian model. Under general assumptions about the autarky distributions of industry productivities, trade openness raises TFP. This is due to the selection effect of international competition – driven by comparative advantages – which makes "some" high- and "many" low-productivity industries exit the market. We derive a model-based measure of this effect that requires only production and trade data. In a sample of 41 countries, we find that Ricardian selection raised manufacturing TFP by 11% above the autarky level in 2005 (as against 6% in 1985), with a neat positive time trend and large cross-country differences.selection effect, Eaton-Kortum model, international competition

Market integration for agricultural output markets in Peru: the role of public infrastructure

This paper shows the impact that investment in infrastructure may have on the efficiency of agricultural products markets. Using daily price series for the most important agricultural crop in Peru (potato), in 10 cities from 1995 to 2001, we show that there is enough evidence to conclude that agricultural markets are spatially integrated. However we also show that there is short term disequilibria that affect the efficiency with which price information is transmitted across markets. A Threshold Cointegration Model is used to asses the speed of adjustment towards the equilibrium, the presence of transaction costs and the probabilities of successful and failed arbitrage between spatially distributed markets. As was expected, the paper shows that distance and geographic differences are important factors affecting spatial integration and efficiency between markets. However, other elements susceptible of government intervention, such as availability of information (access to local media and telecommunications facilities), road density or access to wholesale markets, are key factors for the reduction of transaction costs and the improvement of spatial integration between markets.Infrastructure, Investment, Rural, Peru

Estimating an Ex Ante Cost Function for Belgian Arable Crop Farms

We estimate a farm-level cost function for Belgian crop farms using FADN data over the study period 1996-2006. We rely on an estimation of farmers' expected yields at the time cropping decisions are made rather than actual yields observed in the FADN data. The use of an ex ante cost function improves the cost function estimation. We subsequently suggest how our cost function can be used in simulations to analyze farmer response to changes in output price risk.cost function estimation, panel data, risk, Agricultural and Food Policy, Crop Production/Industries, Production Economics, Q12, Q18,

International Diversification: A Copula Approach

.Diversification; Copula; Correlation Complexity; Downside Risk; Systemic Risk