How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets

This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States, Europe, and Asia. We account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own- and cross- volatility spillovers and dependence among most of the exchanges. The results also show the major role Chicago plays in terms of spillover effects over the other markets, particularly for corn and wheat. Additionally, the level of interdependence between exchanges has only increased in recent years for some of the commodities.Volatility transmission, agricultural commodities, futures markets, Multivariate GARCH.

How far do shocks move across borders?: Examining volatility transmission in major agricultural futures markets

This paper examines the level of interdependence and volatility transmission across major exchanges of maize, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach to explore in detail and under different specifications the dynamics and cross-dynamics of volatility in agricultural futures markets. We account for the potential bias that may arise when considering exchanges with different closing times. The period of analysis is 2004–2009 for maize and soybeans and 2005–2009 for wheat. The results indicate that there is a strong correlation among international markets. In particular, we find both own- and cross-volatility spillovers and dependence between most of the exchanges. There is also higher interaction between the United States (Chicago) and both Europe and Asia than within the latter. The results further show the major role Chicago plays in terms of spillover effects over the other markets, particularly for maize and wheat. For soybeans, both China and Japan also exhibit important cross-volatility spillovers. Finally, the level of interdependence between exchanges has not necessarily increased in recent years for all commodities. From a policy perspective, these findings suggest that any potential regulatory scheme to address (excessive) price volatility in agricultural exchanges should be coordinated across markets; localized regulation will have limited effects given the high level of interrelation between markets.volatility transmission, agricultural commodities, futures markets, multivariate GARCH,

How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States, Europe, and Asia. We account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own- and cross-volatility spillovers and dependence among most of the exchanges. The results also show the major role Chicago plays in terms of spillover effects over the other markets, particularly for corn and wheat. Additionally, the level of interdependence between exchanges has only increased in recent years for some of the commodities

On the viability of a multilateral trade agreement: a political-economy approach

The big picture issue this paper intends to address is on the incentive aspects of a multilateral trade liberalization. The paper builds on a framework originally introduced in Grossman and Helpman’s The Politics of Free-Trade Agreements (1995). The aim of that work was to explain the viability of free trade agreements (FTAs) between two countries in a political-economy framework. A simple extension to a three-country setting allows us to analyze whether FTAs are “building blocs” or “stumbling blocs”. An illustration with specific functional forms serves to find conditions under which FTAs are, somehow, partial building blocs, i.e., a bilateral liberalization can be feasible when multilateral liberalization is not

Phytochrome b nuclear bodies respond to the low red to far-red ratio and to the reduced irradiance of canopy shade in Arabidopsis

The current consensus is that plant responses to canopy shade involve the perception of low red to far-red ratios (R:FRs) by phytochrome B (phyB), which leads to the direct activation of auxin synthesis genes by PHYTOCHROME INTERACTING FACTORs (PIFs). In addition to its effect on R:FRs, shade also reduces irradiance, but whether shade-induced drops in irradiance affect phyB activity has not been demonstrated. To address this issue, we investigated whether irradiance and R:FRs have similar effects on the nuclear distribution of phyB in petiole cells of light-grown plants. Under high-irradiance white light, phyB formed large nuclear bodies. Lowering irradiance without changing R:FRs or lowering R:FRs by adding far-red light led to the appearance of small nuclear bodies containing phyB. Large nuclear bodies remained but with some concomitant reduction in diameter. The appearance of small nuclear bodies was rapid, stable, and reversible upon the return to high irradiance and high R:FRs. High levels of red light but not of blue light were enough to restrain the formation of small phyB nuclear bodies. Irradiance was effective within the range found in natural canopies and even under relatively low R:FRs. The promotion of leaf hyponasty by lowering irradiance was impaired in phyB and pif mutants, as previously reported for the response to R:FRs. The expression of auxin-related genes showed a similar hierarchy of response to low R:FRs and low irradiance. We propose that phyB is able to perceive not only the low R:FRs, but also the low irradiance of shade.Fil: Trupkin, Santiago Ariel. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Instituto de Investigaciones Fisiológicas y Ecológicas Vinculadas a la Agricultura. Universidad de Buenos Aires. Facultad de Agronomía. Instituto de Investigaciones Fisiológicas y Ecológicas Vinculadas a la Agricultura; ArgentinaFil: Legris, Martina. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Instituto de Investigaciones Bioquímicas de Buenos Aires. Fundación Instituto Leloir. Instituto de Investigaciones Bioquímicas de Buenos Aires; ArgentinaFil: Buchovsky, Ana Sabrina. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Instituto de Investigaciones Fisiológicas y Ecológicas Vinculadas a la Agricultura. Universidad de Buenos Aires. Facultad de Agronomía. Instituto de Investigaciones Fisiológicas y Ecológicas Vinculadas a la Agricultura; ArgentinaFil: Tolava Rivero, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Instituto de Investigaciones Fisiológicas y Ecológicas Vinculadas a la Agricultura. Universidad de Buenos Aires. Facultad de Agronomía. Instituto de Investigaciones Fisiológicas y Ecológicas Vinculadas a la Agricultura; ArgentinaFil: Casal, Jorge Jose. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Instituto de Investigaciones Bioquímicas de Buenos Aires. Fundación Instituto Leloir. Instituto de Investigaciones Bioquímicas de Buenos Aires; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Instituto de Investigaciones Fisiológicas y Ecológicas Vinculadas a la Agricultura. Universidad de Buenos Aires. Facultad de Agronomía. Instituto de Investigaciones Fisiológicas y Ecológicas Vinculadas a la Agricultura; Argentin

The relationship between inflation and growth: a panel smooth transition regression approach for developed and developing countries

This paper studies the existence for a set of countries of an inflation threshold above which its effect on economic growth is negative, considering the speed of transition from one inflation regime to the other. Using a panel data set of above 120 countries for the period after the Second World War, we apply a panel smooth transition regression (PSTR) model with fixed effects. The estimated threshold of the inflation rate for industrialized countries is 4.1%, while for non-industrialized countries the threshold is 19.1%. The speed of transition is relatively smooth in the first group, but for developing economies inflation rapidly has negative effects on growth when it is near the threshold. In addition, we find that the inflation threshold falls to 7.9% by selecting a reduced group of developing countries, according to a measure associated with institutional quality

How far do shocks move across borders? examining volatility transmission in major agricultural futures markets

This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States, Europe, and Asia. We account for the potential bias that may arise when considering exchanges with different closing times. The period of analysis is 2004-2009 for corn and soybeans, and 2005-2009 for wheat. The results indicate that agricultural markets are highly interrelated and there are both own- and cross volatility spillovers and dependence among most of the exchanges. There is higher interaction between the United States (Chicago) and both Europe and Asia than within the latter. The results further show the major role Chicago plays in terms of spillover effects over the other markets, particularly for corn and wheat. Additionally, the level of interdependence between exchanges has only increased in recent years for some of the commodities. Implications for potential regulatory policies of agricultural futures markets are also briefly discussed

Inventories and capacity utilization in general equilibrium

The primary goal of this dissertation is to gain a better understanding, in thecontext of a dynamic stochastic general equilibrium framework, of the role of inventories and capacity utilization (of both capital and labor) and, in particular, therelationship among them. These are variables which have long been recognized asplaying an important role in the business cycle. An analysis of the association between inventories and capital utilization seems natural, for physical capital could beseen as a stock ultimately destined to be transformed into an inventory of finishedgoods. In the same way, inventories could be seen as a stock of physical capital already transformed into finished goods. Introducing variable rates of utilization ofcapacity, then both can be seen as providing a short-run adjustment "buffer stock"mechanism.The analysis of the relationship between those variables is centered on the effectsof two possible shocks: preference (demand) shocks and technology shocks. Impulse-response experiments show that inventories and the rate of capital utilization aremostly complements, while inventories and the rate of labor utilization are mostlysubstitutes. Moreover, low-persistence shocks emphasize the role of inventories asbeing a "shock absorber", whereas high-persistence shocks emphasize the role of inventories as being a complement to consumption. Consistent with the stylized facts inthe literature, simulation results show that inventory holdings are pro-cyclical, while the inventory-to-sales ratio is counter-cyclical.Two additional "themes" are explored. The first has to do with the treatmentof uncertainty and the consequences of using, as it is done in most of the literature, afirst-order approximation. By approximating the decision rules to a second order, weobserve that higher exogenous uncertainty enhances the importance of the precautionary motive to holding inventories. The second additional theme is a more generalframework for the analysis of capital utilization. We find that the two most commonways of modeling capital utilization can t in a more general specification that incorporates spending on capital maintenance. Though the aforementioned results do notvary qualitatively after that concept is introduced, quantitative answers do

Política monetaria y asimetrías en los ciclos económicos de la argentina

Este artículo estudia los potenciales efectos asimétricos de los shocks de política monetaria en la Argentina. A través de un modelo de regime-switching, investigamos si hay variación en el tiempo de la respuesta del componente transitorio del PIB ante shocks monetarios. Los resultados sugieren variación temporal de los coeficientes que describen la respuesta del producto como función de la fase del ciclo. Asimismo, otras dos características de los shocks (dirección y tamaño de la política monetaria) también son capaces de explicar el ciclo económico argentino. Finalmente, brindamos respaldo a la visión de "plucking" de las fluctuaciones económicas.This paper studies the asymmetries that are claimed to arise as a response to monetary policy shocks in Argentina. We build a regime-switching specification in order to investigate time variation in the response of the transitory component of output to monetary shocks. The results suggest time variation in the coefficients that describe the response of output, which can be well explained by the phase of the cycle. We also find support to Friedman’s “plucking” view of economic fluctuations, while other two features of the shocks (direction and size of the monetary policy) explain strongly the business cycle of Argentina.Fil: Trupkin, Danilo Rogelio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentin

Phytochrome interacting factors 4 and 5 redundantly limit seedling de-etiolation in continuous far-red light.

Phytochromes are red/far-red photosensors that regulate numerous developmental programs in plants. Among them, phytochrome A (phyA) is essential to enable seedling de-etiolation under continuous far-red (FR) light, a condition that mimics the environment under a dense canopy. The ecological relevance of this response is demonstrated by the high mortality rate of phyA mutant plants that germinate in deep vegetational shade. phyA signaling involves direct interaction of the photoreceptor with phytochrome-interacting factors PIF1 and PIF3, members of the bHLH transcription factor family. Here we investigated the involvement of PIF4 and PIF5 in phyA signaling, and found that they redundantly control de-etiolation in FR light. The pif4 pif5 double mutant is hypersensitive to low fluence rates of FR light. This phenotype is dependent on FR light perception by phyA, but does not rely on alterations in the phyA level. Our microarray analysis shows that PIF4 and PIF5 are part of an inhibitory mechanism that represses the expression of some light-responsive genes in the dark, and that they are also needed for full expression of several growth-related genes in the light. Unlike PIF1 and PIF3, PIF4 and PIF5 are not degraded in response to FR light, indicating that they are light-regulated by a different mechanism. Our genetic analysis suggests that this is achieved through sequestration of these PIFs by the closely related bHLH transcription factor HFR1 (long hypocotyl in FR light)