The Dynamics of Energy-Grain Prices with Open Interest

This paper examines the short- and long-run daily relationships for a grain-energy nexus that includes the prices of corn, crude oil, ethanol, gasoline, soybeans, and sugar, and their open interest. The empirical results demonstrate the presence of these relationships in this nexus, and underscore the importance of ethanol and soybeans in all these relationships. In particular, ethanol and be considered as a catalyst in this nexus because of its significance as a loading factor, a long-run error corrector and a short-run adjuster. Ethanol leads all commodities in the price discovery process in the long run. The negative cross-price open interest effects suggest that there is a money outflow from all commodities in response to increases in open interest positions in the corn futures markets, indicating that active arbitrage activity takes place in those markets. On the other hand, an increase in the soybean open interest contributes to fund inflows in the corn futures market and the other futures markets, leading to more speculative activities in these markets. In connection with open interest, the ethanol market fails because of its thin market. Finally, it is interesting to note that the long-run equilibrium (cointegrating relationship), speeds of adjustment and open interest across markets have strengthened significantly during the 2009-2011 economic recovery period, compared with the full and 2007-2009 Great Recession periods.

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We propose some novel nonlinear threshold conditional autoregressive VaR (CAViaR) models that incorporate intra-day price ranges. Model estimation and inference are performed using the Bayesian approach via the link with the Skewed-Laplace distribution. We examine how a range of risk models perform during the 2008-09 financial crisis, and evaluate how the crisis affects the performance of risk models via forecasting VaR. Empirical analysis is conducted on five Asia-Pacific Economic Cooperation stock market indices as well as two exchange rate series. We examine violation rates, back-testing criteria, market risk charges and quantile loss function values to measure and assess the forecasting performance of a variety of risk models. The proposed threshold CAViaR model, incorporating range information, is shown to forecast VaR more efficiently than other models, across the series considered, which should be useful for financial practitioners.Value-at-Risk; CAViaR model; Skewed-Laplace distribution; intra-day range; backtesting; Markov chain Monte Carlo

Causality Between Market Liquidity and Depth for Energy and Grains

This paper examines the roles of futures prices of crude oil, gasoline, ethanol, corn, soybeans and sugar in the energy-grain nexus. It also investigates the own- and cross-market impacts for lagged grain trading volume and open interest in the energy and grain markets. According to the results, the conventional view, for which the impacts are from oil to gasoline to ethanol to grains in the energy-grain nexus, does not hold well in the long run because the oil price is influenced by gasoline, soybeans and oil. Moreover, gasoline is preceded by only the oil price and ethanol is not foreshadowed by any of the prices. However, in the short run, two-way feedback in both directions exists in all markets. The grain trading volume effect across oil and gasoline is more pronounced in the short run than the long run, satisfying both the overconfidence/disposition and new information hypotheses across markets. The results for the ethanol open interest shows that money flows out of this market in both the short and long run, but no results suggest across market inflows or outflows to the other grain markets.energy;Causality;depth;grains;market liquidity

Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents

This paper examines the impact of the three main channels of international trade on domestic innovation, namely outward direct investment, inward direct investment (IDI) and exports. The number of Triadic patents serves as a proxy for innovation. The data set contains 37 countries that are considered to be highly competitive in the world market, covering the period 1994 to 2005. The empirical results show that increased exports and outward direct investment are able to stimulate an increase in patent output. In contrast, IDI exhibits a negative relationship with domestic patents. The paper shows that the impact of IDI on domestic innovation is characterized by two forces, and the positive effect of cross-border mergers and acquisitions by foreigners is less than the negative effect of the remaining IDI.R&D;export;international direct investment;inward direct investment;negative binomial model;triadic patent;outward direct investment

Tourism stocks in times of crises: An econometric investigation of unexpected non-macroeconomic factors

Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of Euros were wiped from tourism related stocks. The theoretical relationship of the industry with such unexpected non-macro incidents received moderate academic coverage. Nevertheless, the quantifiable impact of such events on tourism-specific stock values, both in terms of returns and volatility, is still a barren landscape. Using econometric methodology, the paper investigates the reaction of five hospitality/tourism stock indices to 150 incidents depicting major Acts of Terrorism, ‘Acts of God’, and War conflicts in the 21st Century. Empirical findings underscore the effect of such incidents on hospitality/tourism stock indices, with distinctive differences among the different types, the specificities of each event, and the five regions under investigation. This paper contributes to the extant literature and enhances our conceptual capital pertaining to the industry’s current financial practices that are related to stock performance and behavior

Tourism stocks in times of crises: An econometric investigation of non-macro factors

Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of euros were wiped from tourism related stocks. This comes at a troublesome time for the tourism industry, in the midst of a global financial crisis, and the unpredictable rise of radical Islamic ideologies, which have caused chaos in the Middle East and Europe. The relationship and vulnerability of the industry to non-macro incidents have been well documented in the literature, mostly in theoretical terms. Nevertheless, the quantifiable impact of such events on tourism-specific stock values, both in terms of returns and volatility, received much less attention. With the use of an econometric methodology, the paper aims to enhance our conceptual capital pertaining to the effects of such possibilities on five hospitality and tourism stock indices. The empirical findings are of interest to stakeholders at all echelons of the spectra of the tourism and financial industries

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory processes, and investigate the finite sample properties via Monte Carlo experiments. We apply the model to three exchange rate return series. Overall, the results of the out-of-sample forecasts show the adequacy of the new GLMSV model

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We pro- pose some novel nonlinear threshold conditional autoregressive VaR (CAViaR) models that incorporate intra-day price ranges. Model estimation and inference are performed using the Bayesian approach via the link with the Skewed-Laplace distribution. We examine how a range of risk models perform during the 2008-09 financial crisis, and evaluate how the crisis aects the performance of risk models via forecasting VaR. Empirical analysis is conducted on five Asia-Pacific Economic Cooperation stock market indices as well as two exchange rate series. We examine violation rates, back-testing criteria, market risk charges and quantile loss function values to measure and assess the forecasting performance of a variety of risk models. The proposed threshold CAViaR model, incorporating range information, is shown to forecast VaR more eficiently than other models, across the series considered, which should be useful for financial practitioners.Value-at-Risk; CAViaR model; Skewed-Laplace distribution; intra-day range; backtesting, Markov chain Monte Carlo.

Assessment of final year medical students in a simulated ward::developing content validity for an assessment instrument

Performance assessment is becoming increasingly important in both undergraduate and postgraduate assessment. At present, the tools used to assess a medical student’s performance evaluate only their care for one patient at a time. The development of the simulated ward has provided an opportunity to assess how a final year medical student would perform caring for a variety of patients simultaneously in a realistic ward environment, without risk to patients. This paper describes the development of valid assessment criteria using a modified Delphi method

Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non- linear models, including smoot