An empirical examination of bilateral seaborne trade flows in the world economy

The aim of this thesis is to construct a disaggregated econometric model of the pattern of bilateral seaborne trade flows. Commodities are classified into 5 categories according to the type of ship used in their transportation. Exports and imports are classified into 30 regions, according to the major sea-lanes used by ships. An understanding of the determinants of trade f lows at this level of disaggregation is important for shipowners. The use of disaggregated data also helps in the estimation of the price elasticities of traded goods, an issue of more general interest to exporters and policy makers. Our theoretical model borrows the ideas of multistage budgeting from consumer demand theory. The total imports of each importing region are allocated amongst their trade partners, depending on relative prices and trends in tastes. Our econometric implementation of the model uses the very general Constant Ratio of Elasticities of Substitution Homogeneous (CRESH) functional form. This encompasses the CES, LES, Cobb-Douglas and Leontief forms, more commonly used in trade models. Empirical implementation of the model has resulted in elasticity estimates which are much higher than those estimated in earlier trade models. This indicates a high degree of competition in international markets. The pattern of these elasticities suggest that importing regions establish a few trade partners internationally for the main bulk of their imports, while the proportion of their imports allocated to the remaining trade partners, is highly sensitive to relative prices

An empirical examination of bilateral seaborne trade flows in the world economy

Available from British Library Document Supply Centre- DSC:DX176567 / BLDSC - British Library Document Supply CentreSIGLEGBUnited Kingdo

The lead-lag relationship between cash and stock index futures in a new market

This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of the FTSE/ATHEX-20 and FTSE/ATHEX Mid-40 stock index futures and the underlying cash indices in the relatively new futures market of Greece. Empirical results show that there is a bi-directional relationship between cash and futures prices. However, futures lead the cash index returns, by responding more rapidly to economic events than stock prices. This speed is much higher in the more liquid FTSE/ATHEX-20 market. Moreover, results indicate that futures volatilities spill information over to the corresponding cash market volatilities in both investigated futures markets, but volatilities in the cash markets have no effect on the volatilities of futures markets. Overall, it seems that new market information is disseminated faster in the futures market compared to the stock market. This implies that the futures markets can be used as price discovery vehicles, providing further evidence that derivatives markets contribute to completing and stabilising capital markets in Greece. A further finding of this study is that futures volume and disequilibrium effects between cash and futures prices are important variables in the explanation of volatilities in cash and futures markets. © 2008 Blackwell Publishing Ltd

A TSP program for estimating a seaborne trade model of the world economy

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9655(12) / BLDSC - British Library Document Supply CentreGBUnited Kingdo