Testing for the Presence of Financial Constraints in US Agricultural Cooperatives: An Investment Behaviour Approach

This study examines the presence of financial constraints in US agricultural cooperatives. We test the cooperative capital constraint hypothesis with a panel data econometric analysis of agricultural cooperatives’ investment behaviour. Regression results suggest that agricultural cooperatives’ capital expenditures are significantly affected by the availability of internal funds. Results also indicate that the sensitivity of investment to cash flow is correlated with cooperative structural characteristics.     

银行间债券市场7天回购利率影响因素的实证分析

我国银行间债券市场7天回购交易品种成交量大、交易活跃、参与机构多，其回购利率R07D也成为货币市场短期利率的重要基准。本文从资金面和政策面两个角度出发选取了若干R07D利率的影响因素，对从2001年1月至2006年6月的数据，运用协整、格兰杰因果检验、回归等计量方法进行实证分析，结果显示：央行票据发行利率、超额准备金利率、M2同比增长率、商业银行存贷比与R07D利率存在着长期的协整关系，是R07D利率变动的原因。     

Efficiency, subsidies, and environmental adaptation of animal farming under CAP

The purpose of this article is to model the interaction between the targets of the current Comman Agriculture Politic (CAP): environmental adaptation, subsidies, and efficiency of animal farming. To this end we first have to identify the production frontier and relative efficiency level for each animal‐oriented farm in the sample. The production frontier and efficiency index for each type of farm (assuming no specific production functions) are identified using Data Envelope Analysis (DEA) techniques. We then address the relationship between relative efficiency, farm size, and environmentally friendly behavior by carrying out a nonparametric regression of efficiency, on economic size, a proxy for the degree of environmental appropriateness, and regional dummies. Calculations of the efficiency of the farms including direct subsidies are compared with the counterfactual exercise in the case in which direct subsidies are not considered. Finally, we look for relations between subsidies and factors such as farm size, efficiency, and environmentally friendly behavior. One key result shows that, on average direct payments generally tend to increase efficiency. However, in most of the cases the mean efficiency decreases as the percentage of direct payments rises. Direct payments are found to be positively related to environmentally friendly production, at least in Germany. However, in general, the direct payment system is not sufficient to offset the fact that the less environmentally friendly farms as well as the larger farms are more efficient.     

Consumption effects of genetic modification: what if consumers are right?⋆

This paper develops a model of differentiated consumers to examine the consumption effects of genetic modification (GM) under alternative labelling regimes and segregation enforcement scenarios. Analytical results show that if consumers perceive GM products as being different than their traditional counterparts, GM affects consumer welfare and, thus, consumption decisions. When the existence of market imperfections in one or more stages of the supply chain prevents the transmission of cost savings associated with the new technology to consumers, GM results in welfare losses for consumers. The analysis shows that the relative welfare ranking of the ‘no labelling’ and ‘mandatory labelling’ regimes depends on: (i) the level of consumer aversion to GM products; (ii) the size of marketing and segregation costs under mandatory labelling; (iii) the share of the GM product in total production; and (iv) the extent to which GM products are incorrectly labelled as non‐GM products.     

The Interbank Market after August 2007: What Has Changed,and Why?

After the onset of the financial crisis, spreads between interbank interest rates on unsecured and secured deposits for the major world currencies became exceptionally large and volatile. First, we find that the phenomenon was mainly driven by aggregate—rather than bank‐specific—factors, notably risk aversion, and accounting practices; by contrast, funding liquidity, capital shortage, and central bank interventions were not important determinants. Second, prior to August 2007, the spread was broadly insensitive to key borrower characteristics, whereas afterward it became somewhat more reactive to measures of creditworthiness. Third, conditions for big borrowers became relatively more favorable during the crisis, suggesting that moral hazard risks related to the “too‐big‐to‐fail” argument have increased. These results are discussed in the light of theories on the interbank market during a crisis.     

Precautionary Saving and Endogenous Labor Supply with and without Intertemporal Expected Utility

We analyze precautionary saving behavior in a framework with labor and nonlabor income risks, an endogenous supply of labor, and a representation of preferences that disentangles attitudes toward risk, attitudes toward intertemporal substitution, and ordinal preferences for consumption and leisure. This preference structure allows us to disentangle and to describe in an intuitive way the different forces that determine precautionary saving “in the small” and “in the large.”     

The puzzling peso

In the past decade, some observers have noted an unusual aspect of the Mexican peso’s behavior: During periods when the U.S. dollar has risen (fallen) against other major currencies such as the euro, the peso has risen (fallen) against the dollar. Very few other currencies display this behavior. In this paper, we attempt to explain the unusual pattern of the peso’s correlation with the dollar by developing some general empirical models of exchange rate correlations. Based on a study of 29 currencies, we find that most of the cross-country variation in exchange rate correlations with the dollar and the euro can be explained by just a few variables. First, a country’s currency is more likely to rise against the dollar as the dollar rises against the euro, the closer it is to the United States and the farther it is from the euro area. In this result, distance likely proxies for the role of economic integration in affecting exchange rate correlations. Second, a country’s currency is more likely to exhibit this unusual pattern when its sovereign credit rating is more risky. This may reflect that currencies of riskier countries are less substitutable in investor portfolios than those of better-rated countries. All told, these factors well explain the peso’s unusual behavior, as Mexico both is very close to the United States and has a lower credit rating than most industrial economies.     

Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests

There is a burgeoning literature using non-parametric frontier methods to measure mutual fund performance. These articles measure the relationship between the various characteristics (mainly return information and some costs of ownership) of these specialized financial products to establish a ranking using some efficiency measure. We argue in favor of the use of the shortage function, which is compatible with general investor preferences, and question some of the often maintained hypotheses in this line of research. The empirical part employs a large database of US and European mutual funds to offer extensive tests of the underlying modeling assumptions using various frontier estimators.     

What drives foreign expansion of the top 100 multinational banks? The role of the credit reporting system

This study explores how information costs, proxied by characteristics of credit reporting systems, affect the foreign expansion of the top 100 multinational banks. We find that banks prefer to expand operations in countries where private credit bureaus exist or where the credit reporting system is of better quality. This preference is particularly strong for banks’ branch decisions. Furthermore, banks prefer subsidiary entry only in countries where private credit bureaus exist with better credit information quality. Overall, our results indicate that banks are attracted to countries where the credit reporting system helps reduce banks’ information costs.     

Dynamics of international integration of government securities’ markets

This paper investigates the dynamics of international government bond market integration in six of the G7 economies over two decades leading up to the global crisis. It examines whether such integration had been significant; the extent to which integration at the short and long end of the yield curve differed; the nature of such integration; and the extent of the decoupling of the long rates from short rates. These issues are investigated using the rigorous smooth-transition copula-GARCH model framework. The results show that integration at the long end of the yield curve had been increasing, had become pronounced, and was significantly greater than at the short end. Decoupling between the short and long end of the yield curve was notable, with important implications for the efficacy of monetary policy in the period before the crisis.