Volatility of primary commodity prices: some evidence from agricultural exports in Sub-Saharan Africa.

This paper utilizes three univariate ARCH-type models to empirically examine persistence and asymmetry in volatility of prices of primary agricultural commodities produced in Sub-Sahara Africa. Maximum likelihood estimation results of the three models ranked the GARCH version as the best statistical fit, lending support for hypotheses of persistence, symmetry and variability in volatility. This pattern of volatility could effectively jeopardize the success of traditional commodity price risk management policies used in this region. Policymakers should appreciate potential benefits associated with market-based strategies for managing commodity exposure of these countries.GARCH; TGARCH; EGARCH; price volatility; agricultural commodities; Sub-Saharan Africa.

A fractional cointegration VAR analysis of Islamic stocks: A global perspective

In this study, we analyse the behaviour of Islamic stocks from a global perspective covering an array of regional Islamic stock markets. Both the fractional integration and fractional cointegration techniques are employed. Thus, we are able to establish whether Islamic stocks are individually integrated with a fractional order on the one hand and whether they are fractionally cointegrated on the other hand. We find that all the regional Islamic stock markets exhibit long memory but are mean reverting regardless of the choice of fractional integration technique and data sample. Second, using the fractional cointegration VAR (FCVAR) approach of Johansen and Nielsen (2012), we find that all the regional stock markets are cointegrated with a fractional order and this behaviour may be influenced by global economic conditions. Further analyses suggest that ignoring the fractional integration property of Islamic stocks when modelling their long run behaviour may lead to wrong conclusions. Also, the economic significance test conducted indicates that Islamic financial markets offer risk hedging characteristics and the results are robust to alternative data frequencies

PRIMARY COMMODITY DEPENDENCE AND DEBT PROBLEM IN LESS DEVELOPED COUNTRIES

Economists have proffered myriads of causes of the debt problem faced by less developed countries (LDCs). This paper uses the panel data technique to investigate the fundamental causes of the debt problem among primary commodity dependent LDCs. The results show a strong link between high levels of indebtedness and unfavourable terms of trade among commodity-dependent countries. Further results show that the degree of openness of the LDC’s economy also has a significant influence on its external debt level.