Measuring market integration during crisis periods

[Infant mortality in Brazil during recent periods of economic crisis].

OBJECTIVE To analyze time trends in infant mortality in Brazil during a recent period of economic crisis (1980-1998). METHODS Time-series study based on the Ministry of Health's Mortality Information System, IBGE Foundation and Funda o Nacional de Sa de (National Health Institute database. Serial parameters were described using autoregressive integrated moving average (ARIMA) models, and the...

Evaluating “correlation breakdowns” during periods of market volatility

In order to measure and manage market risks, financial analysts take account of the variability and correlation of the returns on assets held in their portfolios. One difficulty they encounter in doing so is that in periods of heightened market volatility, correlations between asset returns can differ substantially from those seen in quieter markets. The problem of “correlation breakdown” durin...

Financial market crisis and financial market channel

Market Power in Commodity Crisis

This paper shows that changes in market power explain one of the major commodity crises in recent history. I estimate coffee bean demand and then use the estimates jointly with a model of supply side to recover the effectiveness of the export quota agreement. Of the 73.7% price decline between 1988 and 2001, 53.7% points are attributed to the 1989 cartel breakdown. Growing exports from Vietnam ...

Measuring potential market risk

The difference between market risk and potential market risk is emphasized and a measure of the latter risk is proposed. Specifically, it is argued that the spectrum of smooth Lyapunov exponents can be utilized in what we call (λ, σ)-analysis, which is a method to monitor the aforementioned risk measures. The reason is that these exponents focus on the stability properties (λ) of the stochastic...