An Anatomy of Commodity Futures Risk Premia

We identify two types of risk premia in commodity futures returns: spot premia related to the risk in the underlying commodity, and term premia related to changes in the basis. Sorting on forecasting variables such as the futures basis, return momentum, volatility, inflation, hedging pressure, and liquidity results in sizable spot premia between 5% and 14% per annum and term premia between 1% and 3% per annum. We show that a single factor, the high‐minus‐low portfolio from basis sorts, explains the cross‐section of spot premia. Two additional basis factors are needed to explain the term premia.     

Changing Administrative Practices in American Unions: A Research Note

This note presents findings from the first longitudinal study of the administrative practices of American unions. Our surveys, conducted in 1990 and 2000, gathered information on the hiring, human resource, and financial/strategic planning practices of U.S.-based national and international unions. The results indicate that American unions are changing their criteria for hiring staff and moving toward more formal human resource policies and systematic financial and strategic planning practices.     

THE LABOUR FORCE DYNAMICS OF THE MARGINALLY ATTACHED*

One of the most important measures of the state of the labour market is the unemployment rate. However, the standard definition of unemployment ignores an important group of people who are not employed but who want to work – the marginally attached workforce. The marginally attached are defined as those who are not employed, want to work but are not actively seeking work and therefore not classified as unemployed. The paper uses longitudinal data from the Survey of Employment and Unemployment Patterns (SEUP) to test whether the marginally attached are behaviourally distinct from the unemployed or those who are not attached to the labour force. We find that the labour force transitions of the marginally attached, on the whole, are between those of the unemployed and the unattached. Another finding is that the length of time over which the labour market dynamics are considered is crucial to our understanding of the labour market dynamics of the marginally attached. An implication of the findings of this paper is that a range of measures of potential labour supply should be considered, and that the measure used should depend on the specific question being asked.     

On the Neutrality of the Resource Rent Tax*

This paper investigates the existence of an investtnent'neutral Resource Rent Tax using a model of optimal investment to extract an unknown quantity of resource stock. This model is solved by numerical methods to show that the levels of profit margin and resource stock uncertainty are key parameter values in determining both the existence and the characteristics of an investment-neutral Resource Rent Tax.