VOLATILITY SPILLOVERS BETWEEN FOREIGN EXCHANGE, COMMODITY AND FREIGHT FUTURES PRICES: IMPLICATIONS FOR HEDGING STRATEGIES

In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign exchange, and freight futures contracts are analyzed for their effectiveness in reducing price uncertainty for international grain traders. A theoretical model is developed for a representative European importer to depict a realistic trading problem encountered by an international grain trading corporation exposed to more than one type of price risk. The traditional method of estimating hedge ratios by Ordinary Least Squares (OLS) is compared to the Seemingly Unrelated Regression (SUR) and the multivariate GARCH (MGARCH) methodology, which takes into account time-varying variances and covariances between the cash and futures markets. Explicit modeling of the time-variation in futures hedge ratios via the MGARCH methodology, using all derivatives and taking into account dependencies between markets results in a significant reduction in price risk for grain traders. The results also confirm that the unique, but underutilized, freight futures market is a potentially useful mechanism for reducing price uncertainty for international grain traders. The research undertaken in this study provides valuable information about reducing price uncertainty for international grain traders and gives a better understanding of the linkages between closely related markets.hedging, multivariate GARCH, foreign exchange, freight and commodity futures, Marketing, F3, C3, G1,

Review of reconstruction efforts in Sri Lanka: Post-tsunami phase

This paper reviews the reconstruction efforts in Sri Lanka to ascertain the efficiency of post-disaster reconstruction through identifying the barriers. Even though the immediate humanitarian relief found to be more effective, long-term reconstruction was ineffective due to lack of funding, lack of knowledge to support local community, institutional constraints, and absence of coordinated management. It suggests that the reliance upon the knowledge, skills, capacities and resources of local people together with effective planning can lead the reconstruction process towards the success

Assessing the relationship between spectral solar irradiance and stratospheric ozone using Bayesian inference

We investigate the relationship between spectral solar irradiance (SSI) and ozone in the tropical upper stratosphere. We find that solar cycle (SC) changes in ozone can be well approximated by considering the ozone response to SSI changes in a small number individual wavelength bands between 176 and 310 nm, operating independently of each other. Additionally, we find that the ozone varies approximately linearly with changes in the SSI. Using these facts, we present a Bayesian formalism for inferring SC SSI changes and uncertainties from measured SC ozone profiles. Bayesian inference is a powerful, mathematically self-consistent method of considering both the uncertainties of the data and additional external information to provide the best estimate of parameters being estimated. Using this method, we show that, given measurement uncertainties in both ozone and SSI datasets, it is not currently possible to distinguish between observed or modelled SSI datasets using available estimates of ozone change profiles, although this might be possible by the inclusion of other external constraints. Our methodology has the potential, using wider datasets, to provide better understanding of both variations in SSI and the atmospheric response.Comment: 21 pages, 4 figures, Journal of Space Weather and Space Climate (accepted), pdf version is in draft mode of Space Weather and Space Climat

Apprehending business and society

This paper claims to make a contribution by addressing a significant number of epistemological, theoretical and methodological problems in the business and society literature. We identify six sets of potential influences promoting corporate social responsibility. The private sector encompasses intra-organisational obligations and pressures from competitors, investors and consumers. Governmental and non-governmental organisations exert regulatory pressures. Calling upon radical institutional theory, we address each set with respect to its conceptual arguments, its empirical salience in terms of the latest relevant research, and our considered opinion regarding its prospects to be a significant factor in promoting outcomes consistent with social welfare. The conclusion addresses their combined potential to put capitalism on a firmly sustainable track, or whether they amount to an ideological distraction from capitalist pathologies. A call is made for fresh imaginings of the discourse.<br /