The market efficiency hypothesis: the case of coffee and cocoa futures

This study tests the market efficiency hypothesis for coffee and cocoa futures using daily data for contracts with a maturity of 2 and 6 months. The hypothesis is tested sequentially. The first condition is that future spot and futures prices be cointegraled. If this condition is maintained, market efficiency requires the cointegrating vector to support a (0, 1) restriction that can be likened to an unbiasedness condition. Finally, market efficiency imposes zero restrictions on the parameters of the variables expressed in first differences in the specification of the error-correction representation of the relationship between future spot and futures prices. Brenner and Kroner [Brenner, R., Kroner, K., 1995. Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets. Journal of Financial and Quantitative Analysis 30, pp. 23–42] argue that the cointegration condition is rarely met in practice. They attribute this outcome to potentially non-stationary net cost-of-carry which would make the parameters of the cointegration relation unstable. It is for this reason that Hansen's tests [Hansen, B.E., 1992. Tests of parameter instability in regressions with I(1) processes. Journal of Business and Economic Statistics 10] about the stability of the parameters in cointegration regressions were used to supplement more traditional cointegration tests, Johansen and Juselius' cointegration tests [Johansen, S., Juselius, K., 1992. Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK, Journal of Econometrics 53] could not reject cointegration for all four contracts while Hansen's L_C test favored cointegration only for the cocoa contracts. Nested and non-nested testing procedures were used to test the (0, 1) restriction on the cointegration vector. Unbiasedness was found to be robust across testing procedures. However, further testing about the specification of the error-correction representation revealed the existence of important short run deviations from unbiasedness, Even though these results hold strictly for a rather limited number of contracts and commodities, they are encouraging for futures markets advocates in developing countries.     

Energy use in convenience foods : Tracing inputs from primary through final product

Ready-to-heat or ready-to-eat foods do not necessarily take more energy than similar foods prepared at home. Less waste and more efficient ovens can give the processor an energy advantage. Tracing these foods from fishing or agriculture through home use shows that a major energy saving could be made by substituting vegetable proteins for animal or fish proteins. Reduced use of conventional home ovens and freezers would also make a contribution to energy conservation. Metal packages, grocery shopping and energy to make processing machinery add significantly to the total energy input only in certain circumstances.     

PRINClPLES IN THE VALUATION OF HUMAN CAPITAL

Human capital concepts and measures have been applied and misapplied to an increasing variety of economic problem areas, two of which are examined. One of these is measurement of human capital gains and losses through migration. First requirements here are specification of the gaining or losing entities and of the relevant welfare functions. Alternatives in these respects are outlined. It is then argued that an appropriately adapted Fisherian present-value assessment of human capital is normally the correct measure. Replacement costs are a legitimate substitute only for young migrants with little cumulated learning through experience and even then they have usually been fallaciously applied. Probability adjustments for migration and re-migration are required in both cost and present-value assessments of human capital effects of migration-relevant policy alternatives, but the nature of those adjustments differs with the measurement approach used. For longitudinal analysis of contributions of human capital to economic growth, all measures of human capital stocks are inappropriate. A first principle of such analysis is measurement of resource inputs as flows. A coordinate principle requires that disaggregation be carried as far as necessary to distinguish essentially homogeneous categories of labor inputs. Though a way of separating out the schooling versus on-the-job-experience components of human capital is illustrated, it requires some strong assumptions. Splitting men into abstracted human capital components is better avoided in growth analysis. Furthermore, categorization of labor-force sub-groups could equally well provide the basis for rate-of-return assessments of marginal changes in the pace of investments in humans. Such assessments would incorporate the main elements of capital theory except valuation of the capital asset itself. Ultimately, human resource measurements for use in major public policy decisions relating to either growth or migration (or both) must incorporate modifications or error components that allow for development phenomena that elude marginal assessments. Among developing countries especially, a consideration of educational diffusion processes and dynamic productivity scale effects, for example, could have critical measurement and policy implications.     

Configuring and managing strategic supplier portfolios

Acknowledging that not all supplier relationships can nor should be close partnerships, this article explores the development of strategic supplier portfolios. The strategic portfolio perspective considers risks, trade-offs, and interdependencies between the firm's array of supplier relationships. Based on over 50 interviews with managers and archival data from 12 multinational companies, a strategic supplier portfolio management framework is developed. The authors explore processes that firms use to plan, implement, and monitor strategic supplier portfolios. This research indicates that by assembling superior supplier bases, developing suppliers and integrating them into product development and manufacturing, strategic supplier portfolios contribute to competitive advantage.     

Residential Fixed Investment and the Macroeconomy: Has Deregulation Altered Key Relationships?

Financial deregulation in 1980 potentially altered key relationships between residential fixed investment (RFI) and key macroeconomic variables. This study uses a vector error correction model to examine relationships between RFI, money, interest rates, and output in pre-deregulation and post-deregulation sub-periods. Results indicate short-term interest rate shocks account for much of RFI variability pre-deregulation. After deregulation, long-term FHA interest rate shocks better account for RFI movements. Results also show that, in the post-deregulation era, RFI shocks have increased predictive power for overall gross domestic product movements. Thus, the study finds altered relationships between RFI and macroeconomic variables.     

On the Generalized Bootstrap for Sample Surveys with Special Attention to Poisson Sampling

We study the generalized bootstrap technique under general sampling designs. We focus mainly on bootstrap variance estimation but we also investigate the empirical properties of bootstrap confidence intervals obtained using the percentile method. Generalized bootstrap consists of randomly generating bootstrap weights so that the first two (or more) design moments of the sampling error are tracked by the corresponding bootstrap moments. Most bootstrap methods in the literature can be viewed as special cases. We discuss issues such as the choice of the distribution used to generate bootstrap weights, the choice of the number of bootstrap replicates, and the potential occurrence of negative bootstrap weights. We first describe the generalized bootstrap for the linear Horvitz‐Thompson estimator and then consider non‐linear estimators such as those defined through estimating equations. We also develop two ways of bootstrapping the generalized regression estimator of a population total. We study in greater depth the case of Poisson sampling, which is often used to select samples in Price Index surveys conducted by national statistical agencies around the world. For Poisson sampling, we consider a pseudo‐population approach and show that the resulting bootstrap weights capture the first three design moments of the sampling error. A simulation study and an example with real survey data are used to illustrate the theory.     

An investigation into the role of IT integration,relationship predictability and routinization in interfirm relationships: From the structuration perspective

Recognizing the influence of information technology (IT) in interfirm buyer–seller relationships, the authors draw on structuration theory and its extension as a theoretical basis for understanding the benefits of IT in customer relationships. The authors propose that IT integration gives rise to certain factors in interfirm relationships, i.e., predictability and routinization, which facilitate high quality relationships, i.e., those characterized by reciprocity and stability, which in turn enhance firm performance. Hypotheses are tested on data collected from 152 firms. The results show that relationship predictability is critical in linking IT integration to positive relationship outcomes, and that routinization reinforces the impact on those outcomes.