Jumps and volatility dynamics in agricultural commodity spot prices

The spot commodities market exhibits both extreme volatility and price spikes, which lead to heavy-tailed distributions of price change and autocorrelation. This article uses various Lévy jump models to capture these features in a panel of agricultural commodities observed between January 1990 and February 2014. The results show that Levy jump models outperform the continuous Gaussian model. Our results prove that assuming a constant volatility or even a deterministic volatility and drift structure of agricultural commodity spot prices is not realistic and is less efficient than the stochastic assumption. The findings demonstrate an interesting correlation between volatility and jumps for a given commodity i, but no relationship between the volatility of commodity i and the probability of jumps of commodity j.     

Are U.S. growth and value stocks similarly integrated with the world markets? A test across business cycles

Utilizing the bivariate GARCH-in-mean methodology, this study examines the strength of global risk premia using 10 major foreign stock markets with two style-based, large-cap U.S. index funds and S&P500, for the period 1993–2014. We incorporated seven U.S. business cycles. The foreign risk premium was found to be significantly strong for both growth and value stocks, and the S&P500 index, indicating that U.S. integration within global market is strong and persistent over the past 20 years. We report distinct risk characteristics owing to global linkages, for the two style-based U.S. funds over different business cycles. The foreign risk premium for growth stocks is mostly positive and especially high during contractions; in contrast, the value stocks demand more premiums during expansions. The growth and value linkages with foreign countries also vary quite substantially over the business cycles. A possible sign of convergence is the decreasing difference between value and growth foreign risk premiums, post-2001, perhaps indicative of greater domestic and global market integration. Our results support a solid, continuing trend of U.S. integration within global markets, with an influential role of business cycles.     

农业现代化的本质要求:农民从身份到职业的转换

农民身份化和职业化有着本质的差别。中国农民至今所代表的还是一种身份,由此阻碍了农业现代化的进程。中国自改革开放以来,经济社会结构的变迁事实上开始推动着农民从身份化到职业化的转换。正确地认识这一趋势并自觉地促进其转换,对于加速中国农业现代化具有重大意义。中国农民从身份化到职业化转换表现为多向裂变。     

论劳动力商品和剩余价值范畴及其现实意义

剩余价值理论是马克思主义政治经济学的核心内容,它揭露了资本主义剥削的实质,揭示了资本主义产生、发展、消亡的一般规律。正确认识和理解马克思关于劳动力商品和剩余价值的范畴,不仅具有深远的理论意义,对于推动社会主义市场经济的发展也具有重要的实践意义。