Prices and production cost in aluminium smelting in the short and the long run

The main objective of this work is to reflect the structural changes that have characterized the aluminium industry over the last few decades. I order to capture the changes in competition I have estimated cost and related it to output prices by illustrating the effect of the prevalent industry risk sharing agreements. I argue that, contrary to what the microeconomic paradigm envisages, in the short run prices mainly determine costs as the consequence of a an exchange pricing system involving contractual risk-sharing arrangements. Costs determine prices only in the long run through investment in new smelting capacity. Previous studies of the aluminium industry had often used unreliable measures of weighted average variable cost. The main contribution of this work lies on the estimation of cost applying the flexible translog framework to a unique set of proprietary data

Prices and Production Cost in Aluminium Smelting in the Short and the Long run

The main objective of this work is to reflect the structural changes that have characterized the aluminium industry over the last few decades. I order to capture the changes in competition I have estimated cost and related it to output prices by illustrating the effect of the prevalent industry risk sharing agreements. I argue that, contrary to what the microeconomic paradigm envisages, in the short run prices mainly determine costs as the consequence of a an exchange pricing system involving contractual risk-sharing arrangements. Costs determine prices only in the long run through investment in new smelting capacity. Previous studies of the aluminium industry had often used unreliable measures of weighted average variable cost. The main contribution of this work lies on the estimation of cost applying the flexible translog framework to a unique set of proprietary data.

Commonality in the LME aluminium and copper volatility processes through a Figarch lens

We consider dynamic representation of spot and three month aluminium and copper volatilities. These are the two most important metals traded in the London Metal Exchange (LME). They share common business cycle factors and are traded under identical contract specifications. We apply the bivariate FIGARCH model which allows parsimonious representation of long memory volatility processes. Our results show that spot and three month aluminium and copper volatilities follow long memory processes, that they exhibit a common degree of fractional integration and that the processes are symmetric. However, there is no evidence that the processes are fractionally cointegrated. This high degree of commonality may result from the common LME trading process

Modelling and measuring price discovery in commodity markets

In this paper we present an equilibrium model of commodity spot (St) and future (Ft) prices, with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating and modeling endogenously the convenience yield, our theoretical model is able to capture the existence of backwardation or contango in the long-run spot-future equilibrium relationship, (St-ß2Ft ). When the slope of the cointegrating vector ß2>1 (ß2

Modelling and measuring price discovery in commodity markets.

In this paper we present an equilibrium model of commodity spot (St) and future (Ft) prices, with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating and modeling endogenously the convenience yield, our theoretical model is able to capture the existence of backwardation or contango in the long-run spot-future equilibrium relationship, (St-ß2Ft ). When the slope of the cointegrating vector ß2>1 (ß2<1) the market is under long-run backwardation (contango). It is the first time in which the theoretical possibility of finding a cointegrating vector different from the standard ß2=1 is formally considered. Independent of the value of ß2, this paper shows that the equilibrium model admits an Error Correction Representation, where the linear combination of (St) and (Ft) characterizing the price discovery process, coincides with the permanent component of the Gonzalo-Granger (1995) Permanent-Transitory decomposition. This linear combination depends on the elasticity of arbitrage services and is determined by the relative liquidity traded in the spot and future markets. Such outcome not only provides a theoretical justification for this Permanent-Transitory decomposition? but it offers a simple way of detecting which of the two prices is dominant in the price discovery process. All the results produced in this article are testable, as it can be seen in the application to spot and future non-ferrous metals prices (Al, Cu, Ni, Pb, Zn) traded in the London Metal Exchange (LME). Most markets are in backwardation and future prices are ?information dominant? in the most liquid future markets (Al, Cu, Ni, Zn).Backwardation; Cointegration; Commodity markets; Contango; Convenience Yield; Future prices; Price discovery; Permanent-transitory decomposition;

Price Variability and Marketing Method in the Non-Ferrous Metals Industry

We examine the impact of the pricing regime on price variability with reference to the non-ferrous metals industry. Theoretical arguments are ambiguous, but in any case suggests that the extent of monopoly power is more important than the pricing regime as determinant of variability. Slade (1991) argued that metals price volatility increased in the nineteen eighties relative to the seventies, and that this was associated with a move from administered producer pricing to exchange pricing. This claims are only partially supported. Extension of Slade's sample to the present indicates that any early differences between the variability of producer and exchange prices have now vanished.Metals, Futures trading, Exchange pricing, Producer pricing, Price volatility

Commonality in the LME aluminium and copper volatility processes through a Figarch lens

We consider dynamic representation of spot and three month aluminium and copper volatilities. These are the two most important metals traded in the London Metal Exchange (LME). They share common business cycle factors and are traded under identical contract specifications. We apply the bivariate FIGARCH model which allows parsimonious representation of long memory volatility processes. Our results show that spot and three month aluminium and copper volatilities follow long memory processes, that they exhibit a common degree of fractional integration and that the processes are symmetric. However, there is no evidence that the processes are fractionally cointegrated. This high degree of commonality may result from the common LME trading process.

A multiplex PCR for detection of poxvirus and papillomavirus in cutaneous warts from live birds and museum skins

Viral cutaneous lesions are frequent in some bird populations, though we are generally ignorant of the causal agent. In some instances, they represent a threat to livestock and wildlife health. We present here a multiplex PCR which detects and distinguishes infection by two such agents, avipoxviruses and papillomaviruses, in avian hosts. We assayed biopsies and superficial skin swabs from field and preserved museum skin specimens. Ninety-three percent of samples from symptomatic specimens tested positive for the presence of avipox (n = 23) or papillomavirus (n = 5). Sixteen and five sequences, corresponding to the P4b and L1 genes, were obtained from avipox and papillomavirus, respectively. One museum specimen, of Fringilla coelebs (chaffinch), was apparently infected with both viruses. Although papillomavirus sequences proved identical to previously published sequences, four novel avipox sequences were generated and used to build a neighbor-joining phylogenetic tree. Our tree recovered a similar topology to that of several recent authors; however, we also propose here two new minor avipox clades (B1b and B3). This multiplex PCR technique shows improved sensitivity compared to other avipox and papillomavirus assays, is able to detect a wide range of avipox and papillomavirus types (it amplifies all three avian-derived papillomavirus genera described thus far and sequences from both major avipox clades), and was even able to detect ancient viral DNA contained in museum specimens of greater than 75 years antiquity for both viruses. © 2011 American Association of Avian Pathologists.Peer Reviewe

Récord de longevidad del Correlimos Zarapitín (Calidris ferruginea)

En aquesta nota es descriu el control d'un territ bec-llarg disset anys després del seu anellament. L'ocell es va marcar com a jove el 5 de setembre de 1975 a Friesland (Holanda) i es va recapturar el 3 d'agost de 1992 al delta de l'Ebre, 6173 dies després de l'anellament. Fins ara la màxima longevitat demostrada per a aquesta espècie era de sis anys. Amb la informació aportada en aquesta nota la longevitat màxima del territ bec-llarg passa a ser equiparable a la d'altres espècies de limícoles de mida petita

Modelling electricity prices with forward looking capacity constraints.

We present a spot price model for wholesale electricity prices which incorporates forward looking information that is available to all market players. We focus on information that measures the extent to which the capacity of the England and Wales generation park will be constrained over the next 52 weeks. We propose a measure of ‘tight market conditions’, based on capacity constraints, which identifies the weeks of the year when price spikes are more likely to occur. We show that the incorporation of this type of forward looking information, not uncommon in the electricity markets, improves the modeling of spikes (timing and magnitude) and the different speeds of mean reversionCapacity constraints; Mean reversion; Electricity indicated demand; Electricity indicated generation; Regime switching model;