On the Comovement of Commodity Prices

We present strong evidence against the excess-comovement hypothesis—that the prices of commodities move together beyond what can be explained by fundamentals. Prior studies employ broad macroeconomic indicators to explain common price movements, and potentially correlated fundamentals are not controlled for. We use inventory and harvest data to fit a partial equilibrium model that more effectively captures the variation in individual prices. The model explains the majority of the comovements among commodities with high price correlation, and all of the comovements among those with marginal price correlation. Common movements in supply factors appear to play an important role in the observed comovements in commodity prices.     

The human right to development

This paper examines the content of the right to development in the light of human rights as recognized in international law and interprets it in an operational manner. The right to development is the right to a development where all rights can be progressively realized. Both the process of development and the outcomes of the process can be regarded as human rights claimed by the people of a country for the benefit of all individuals. The right is exercised collectively but enjoyed individually. The related obligation is appropriate development policy by the state (the primary duty‐bearer) and co‐operation by other states and international institutions. The international community that recognizes this right has to support its implementation by co‐operating in trade, debt, finance, technology transfer and development assistance. This paper provides illustrative mechanisms for implementing the right, complemented by programmes of international co‐operation     

The Effects of Foreign Trading of U.S. Treasuries

We examine the effects of foreign trading of U.S. Treasuries on the market's microstructure. Two intervals, the first characterized by heavy run‐ups in foreign ownership (1/1994–6/1997), and the second by multiple indicators of peaking of foreign ownership (7/1997–2000), are followed. Our findings reveal systematic effects associated with foreign trading. For instance, reductions in liquidity and trade sizes, and increases in informational asymmetry and dealer risk aversion, accompany falling demand for Treasury debt. Moreover, in this environment, foreign trading volume plays a larger explanatory role about the market's microstructure, than in an environment of rising demand. We also find dealer reactions to foreign transactions vary across the term‐structure.     

Price Dynamics and Information Flows in Strategically-Linked Debt Instruments: The NOB and MOB Constituents

We examine information flows between the constituents of the NOB (notes-over-bonds) and MOB (municipals-over-bonds) futures spreads. The results suggest a bicausal relationship between notes and bonds and a unicausal relationship from bonds to municipals. Shocks in the bond market have a large impact on the municipal and note markets, whereas shocks in the municipal or note markets have a smaller impact on the bond market. Volatility spillover from bonds to notes and municipals is detected. We also find significant volatility persistence in all three markets. Spread trades are found to have an asymmetric influence on notes and municipal futures variance.     

Capital account openness and the labour share of income

This paper investigates the relationship between capital accountopenness and the share of labour in national income. Employinga new index of financial openness and a cross-country panelof labour shares available from the United Nations System ofNational Accounts, the author shows a robust negative correlationbetween the degree of openness and the labour share. Althoughthis effect is not present for low income countries, the directnegative relationship holds for all other subsamples and inthe presence of a variety of controls. A plausible explanationis that openness alters the conditions of bargaining betweenlabour and capital. By increasing the bargaining strength ofcapital vis-a-vis labour, increased capital mobility raisesrents accruing to capital. Thus, capital account openness mayreduce labour's share of income in the firm, and thereby, atan economy-wide level, its share of national output.     

Are commodity prices chaotic?

We conduct tests for the presence of low‐dimensional chaotic structure in the futures prices of four important agricultural commodities. Though there is strong evidence of non‐linear dependence, the evidence suggests that there is no long‐lasting chaotic structure. The dimension estimates for the commodity futures series are generally much higher than would be for low dimension chaotic series. Our test results indicate that autoregressive conditional heteroskedasticity (ARCH)‐type processes, with controls for seasonality and contract‐maturity effects, explain much of the non‐linearity in the data. We make a case that employing seasonally adjusted price series is important in obtaining robust results via some of the existing tests for chaotic structure. Finally, maximum likelihood methodologies, that are robust to the non‐linear dynamics, lend strong support to the Samuelson hypothesis of maturity effects in futures price changes.     

An exact test for a column of the covariance matrix based on a single observation

In this paper, we derive an exact test for a column of the covariance matrix. The test statistic is calculated by using a single observation. The exact distributions of the test statistic are derived under both the null and alternative hypotheses. We also obtain an analytical expression of the power function of the test for the equality of a column of the covariance matrix to a given vector. It is shown that the information contained in a single vector is large enough to ensure a good performance of the test. Moreover, the suggested test can be applied for time-dependent multivariate Gaussian processes.     

Tides and Prejudice: Racial Attitudes During Downturns in the United States 1979–2014

What happens to racial prejudice during economic downturns? This paper analyzes white attitudes towards African Americans in the United States at different points in a business cycle from 1979 to 2014. Using a number of indicators of hostility towards African Americans available from the General Social Survey we develop an indicator of racial prejudice. We combine this with data on unemployment from the Current Population Survey and find robust evidence that racial hostility as measured by our indicator of prejudice is counter cyclical and rises during periods of higher unemployment for whites. Specifically a one standard deviation in the unemployment rate being experienced by whites is associated with a .03 to.05 standard deviation increase in the discrimination index. This is of a magnitude comparable with one year less of education. We undertake a quantile regression to show that this effect is widespread across the distribution of prejudice and that apart from those with initially low levels of prejudice, increasing own group unemployment results in statistically significant increases of similar magnitude in prejudice across that distribution.