Small farmer cooperatives and voluntary coffee certifications: Rewarding progressive farmers of engendering widespread change in Costa Rica?

Our research examines the benefits and drawbacks for cooperatives who participate in voluntary coffee certifications. We interviewed administrators at twenty Costa Rican coffee cooperatives about management practices related to voluntary certification. Voluntary certifications are popular among coffee cooperatives. Access to certified markets is facilitated by state support of the cooperative sector, regulation of the coffee sector and well-enforced environmental and social laws. However, there are no significant or consistent financial incentives for farmers to pursue certification. Multiple certifications may lower auditing and implementation costs, but cooperatives rarely receive the full premium for multiply-certified coffee. Low market demand for certified coffee, weak price incentives and high auditing and management costs encourage cooperatives to certify only a portion of their members. This strategy rewards compliant farmers rather than inducing widespread change to farming practices among the entire membership. Though financial incentives are weak, certifications offer non-financial benefits to both farmers and cooperatives, including better management and more resilient cooperatives.     

Geometric Asian option pricing in general affine stochastic volatility models with jumps

In this paper, we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast, and we shall obtain closed form solutions for some relevant affine model classes.     

Contained crisis and socialized risk: Unconventional monetary policy by the Bank of Japan in the 1890s

In the 1880s, Japan experienced its first stock investment boom, which was highly leveraged by the banking sector. In 1890, its first financial crisis occurred and triggered a de-leveraging process. With a high lower bound of the conventional interest rate intervention under the fixed exchange rate regime, the Bank of Japan decided to implement a massive securities purchases first time among major industrial economies and continued this unconventional policy until the early 1900s. We examine how the unconventional intervention for a decade affected the stock prices and the trade volumes, and show that the upward distortion in market pricing was considerable and that the equity-risk premium accordingly dropped, which meant socialization of the risk associated with the industrial investment.     

Effects of perceived product quality and Lifestyles of Health and Sustainability (LOHAS) on consumer price preferences for children's furniture in China

The effects of perceived product quality and orientation toward Lifestyles of Health and Sustainability (LOHAS) on consumer price preferences were studied with the use of survey data of the children's furniture market in two metropolitan cities of China: Shanghai and Shenzhen. Based on the results from a factor analysis and logistic regression, consumers’ perceived product quality of children's furniture was identified as a four-dimensional construct: ‘supplier attributes’, ‘extended product attributes’, ‘basic product attributes’ and ‘environmental quality attributes’. Consumer price preferences were discovered to be negatively influenced by ‘basic product attributes’, but positively influenced by consumer orientation towards LOHAS, gender and education level. In conclusion, China's children's furniture market presents a high-end niche segment with growth potential for both furniture producers and wood material suppliers.     

A model of West African millet prices in rural markets

In this article we specify a model of millet prices in the three West African countries of Burkina Faso, Mali, and Niger. Using data obtained from USAID’s Famine Early Warning Systems Network (FEWS NET) we present a unique regional millet price forecasting model that takes advantage of the panel nature of our data and accounts for the distance of rural markets from capital cities. Another novel aspect of our analysis is our use of the Normalized Difference Vegetation Index (NDVI) to detect and control for variation in conditions for productivity. We find that including NDVI information significantly improves price forecasts.     

Income and Price Elasticities of Demand in South Africa: An Application of the Linear Expenditure System

This paper investigates the expenditure patterns of South African households using detailed cross‐sectional expenditure and price data that varies across region and time. Linear expenditure system parameter estimates are used to calculate income and price elasticities for a number of product categories at different points of the income distribution. We find substantial variation in the price and income elasticities of demand for items across the income distribution, with the bottom quartile being extremely sensitive to increases in the price of food and clothing items, and the top quartile being as sensitive as households in developed countries.     

Price and RevPAR determinants of Airbnb listings: Convergent and divergent evidence

This paper explores the performance determinants of Airbnb listings, analyzing three research questions. First, the study investigates the different effects generated by the antecedents on price and revenue; second, it ranks different groups of variables; third, it distinguishes between private rooms and entire homes or apartments. These research questions are addressed by analyzing Airbnb listings in Milan, a business city where the sharing economy is growing fast. In particular, the study will use the monthly data of all Airbnb listings in Milan recorded by AirDNA during the period from November 2014 to June 2019, which consists of 323,184 total observations. Some hedonic price models are calculated, adding the Shapley value approach. Empirical findings show some important differences between price and revenue determinants. Furthermore, listing type and size, along with location and seasonality, are by far the most important factors that explain performance differentials among Airbnb properties.     

Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks

This paper studies the nonlinear response of the term structure of interest rates to monetary policy shocks and presents a new stylized fact. We show that uncertainty about monetary policy changes the way the term structure responds to monetary policy. A policy tightening leads to a significantly smaller increase in long-term bond yields if policy uncertainty is high at the time of the shock. We also look at the decomposition of bond yields into expectations about future policy and the term premium. The weaker response of yields is driven by the fall in term premia, which fall more strongly if uncertainty about policy is high. Conditional on a monetary policy shock, higher uncertainty about monetary policy tends to make securities with longer maturities relatively more attractive to investors. As a consequence, investors demand even lower term premia. These findings are robust to the measurement of monetary policy uncertainty, the definition of the monetary policy shock, and to changing the model specification.     

Price connectedness between green bond and financial markets

We study price connectedness between the green bond and financial markets using a structural vector autoregressive (VAR) model that captures direct and indirect transmission of financial shocks across markets. Using heteroskedasticity to identify the structural VAR model parameters, our empirical findings reveal that the green bond market is closely linked to the fixed-income and currency markets, receiving sizeable price spillovers from those markets and transmitting negligible reverse effects. We also show that, in contrast, the green bond market is weakly tied to the stock, energy and high-yield corporate bond markets. These findings have implications in terms of portfolio and risk management decisions for environmentally aware investors holding positions in green bonds.