Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets

Using price discovery measures, including Putniņš’ (2013) information leadership share and intraday data, we quantify the proportional contribution of nearby and deferred contracts in price discovery in the corn and live cattle futures markets. On average, nearby contracts reflect information more quickly than deferred contracts in the corn market, but have a relatively less dominant role in the live cattle market. In both markets, the nearby contract loses dominance when its relative volume share dips below 50%, which typically occurs when the nearby is close to maturity. Regression results indicate that the share of price discovery is mainly related to trading volume and time to expiration in both markets. In the corn market, price discovery share between nearby and deferred contracts is also related to inverse carrying charges, crop year differences, USDA announcements, market crashes, and commodity index position rolls. Differences between corn and live cattle markets are consistent with differences in the contracts’ liquidity and commodity storability.     

制度诱制型跨越式发展:破解发展悖论的战略选择

2020年是我国全面建成小康社会的关键年份，跨越式发展已成为国内战略规划以及经济研究领域的热点问题。跨越式发展是落后地区赶超先进的过程，要么学习先进地区的经验实现赶超，要么在先发地区挤压的空间中亦步亦趋，面临发展悖论。对照国内外的发展情况，以贵州省的跨越式发展为例，通过诱制性制度，既尊重客观的市场规律，培育市场主体，又充分发挥社会主义制度的优越性，通过一系列措施诱导市场、社会和民众积极参与经济发展，实现了跨越式发展，走出了贵州跨越式发展的独特道路。     

保守主义思想回归与特朗普政府的网络安全战略调整

特朗普执政后,保守主义思想的回归引领了美国网络安全战略的转向。“美国优先”和传统共和党保守主义两种思想自上而下的调整与“黑客干预大选”事件自下而上的驱动共同推动形成了保守主义网络安全战略。联邦政府各部门并以此为指导制定了“全政府”的网络安全政策。主要表现为网络军事力量发展更加激进,并且试图突破“主权”限制,通过“持续交手”“前置防御”将行动空间拓展到他国主权范围;网络外交地位明显弱化,美国与主要大国之间网络外交陷入低谷,并消极对待网络空间国际治理进程;国土安全防御一改过去“虚大于实”的状况,定位得到了明显提升;信息与通信技术政策成为网络安全战略的新领域,引发了大国之间围绕供应链安全的激烈博弈。保守主义网络安全战略调整能否获得预期的战略收益还很难说,但一系列负面效应已经开始显现,单边主义让美国陷入了双重网络安全困境,进攻性网络行动增加了大国冲突风险。对外交和网络空间国际治理地位的弱化则加剧了国际秩序失范。作者旨在从特朗普政府保守主义网络安全战略调整入手,通过分析其背后的保守主义战略思想源流,并结合网络军事、外交、国土安全、信息与通信技术政策等领域的实际政策调整进行论证,对特朗普政府网络安全战略调整的影响进行评估。     

Yield curve risks in currency carry forwards

We provide empirical evidence that cross-country yield curve gaps (parallel gap, twist gap, and butterfly gap) are predictive to the expected currency carry premiums using currency forward contracts. We find that the expected currency gains are more notable as these yield curve risk factors at time t indicate short-term bond prices of investment currencies to go up (positive parallel movement, negative twist, and positive butterfly). We also find carry gains are more sensitively affected by cross-country monetary shocks than currency-country inflation pressures and business cycles. Our findings support that cross-country yield curve risk premiums still exist even after considering transaction costs.     

The Use of Prior Information in Very Robust Regression for Fraud Detection

Misinvoicing is a major tool in fraud including money laundering. We develop a method of detecting the patterns of outliers that indicate systematic mis‐pricing. As the data only become available year by year, we develop a combination of very robust regression and the use of ‘cleaned’ prior information from earlier years, which leads to early and sharp indication of potentially fraudulent activity that can be passed to legal agencies to institute prosecution. As an example, we use yearly imports of a specific seafood into the European Union. This is only one of over one million annual data sets, each of which can currently potentially contain 336 observations. We provide a solution to the resulting big data problem, which requires analysis with the minimum of human intervention.     

Forward rates as predictors of future spot rates in small open economies: The case of Kuwait

The relationship between forward and future spot rates appears to be the same for Kuwait as for larger developed countries. Bid-ask spreads do not appear to affect the relationship. But cointegration, unit root and frequency domain tests suggest that there may be a stronger long-run than short-run relationship.     

The Forward Premium in the Nord Pool Power Market

This article investigates the forward premium of futures contracts in the Nordic power market for the time period from January 2004 to December 2013. We find that futures prices are biased predictors of the subsequent spot prices and that there is a significant forward premium in the Nord Pool market, particularly during the winter and autumn. We analyze the impact from several factors on the forward premium. The spot price, and the deviation of water inflow from its usual level, positively affect the forward premium. The variance of the spot price also has a positive effect on the forward premium, but only for the contract closest to delivery.     

Inflation Dynamics in a Small Open Economy

We evaluate the empirical performance of forward‐looking models for inflation dynamics in a small open economy. Using likelihood‐based testing procedures, we find that the exact formulation is at odds with Norwegian data. Moreover, some of the parameters in the model are not well identified. We also find that the inexact formulation is not rejected statistically using a test based on a minimum distance method. However, confidence regions also reveal an identification problem with this model. Instead, we find a well‐specified backward‐looking model with imperfect competition underlying the price setting, which is a model that outperforms an alternative forward‐looking model in‐sample. The backward‐looking model also forecasts somewhat better than the alternative forward‐looking model, during and after the recent financial crisis.     

Modeling Foreign Exchange Risk Premium in Armenia

This paper applies stochastic discount factor methodology to modeling the foreign exchange risk premium in Armenia. We use weekly data on foreign and domestic currency deposits, which coexist in the Armenian banking system. This coexistence implies elimination of the cross-country risks and transaction costs, leaving the pure foreign exchange risk. It is shown that there exists a systematic time-varying risk premium that increases with maturity. Using two-currency affine term structure and generalized autoregressive conditional heteroskedasticity (GARCH)-in-mean models, we find that the central bank's foreign exchange market interventions and ratio-of-deposit volumes significantly affect public expectations about foreign exchange fluctuations. We also find that the foreign exchange risk premium accounts for the largest part of the interest differential. When accounting for economic and institutional differences, our results can be extended to other countries.