Using a spillover index approach, we investigate volatility spillovers across China’s stock, bond, commodity futures, and foreign exchange (FX) markets and their evolution during the period 2005–2015. We find that these four financial markets are weakly integrated. The stock market is the largest net sender of volatility spillovers to other markets, followed by the bond market, and the FX and c...

Currently, evidence on the ‘resource curse’ yields a conundrum. While there is much crosssection evidence to support the curse hypothesis, time series analyses using vector autoregressive (VAR) models have found that commodity booms raise the growth of commodity exporters. This paper adopts panel cointegration methodology to explore longer term effects than permitted using VARs. We find strong ...

Issues of recent interest and controversy regarding bid-ask spreads in commodity futures markets are investigated. First we apply competing spread estimators to open outcry transactions data and compare resulting estimates to observed spreads. This enables market microstructure researchers, regulators, exchange officials, and traders the opportunity to evaluate the usefulness and accuracy of bi...

In this paper, we focus on the practical issues of designing e cient complete exchange algorithms on a commodity cluster interconnected by a non-blocking crossbar switch. Four complete exchange algorithms, including, shift exchange, pairwise exchange, group shu e exchange and synchronous shu e exchange algorithms are studied and tested on a cluster platform. These algorithms feature their own c...

It is assumed that under suitable economic and information-theoretic conditions, market exchange rates are free from arbitrage. Commodity markets in which trades occur over a complete graph are shown to be trivial. We therefore examine the vector space of no-arbitrage exchange rate ensembles over an arbitrary connected undirected graph. Consideration is given for the minimal information for det...

The recent past has seen an increased interest in piecewise linear real exchange rate models. By invoking Heckscher’s (1916) ’commodity points’ it has been argued that a threshold autoregressive (TAR) model should be used to study movements in the real exchange rate. This paper examines the problems of fitting TAR models to real exchange rates. We find that the power of the tests for TAR behavi...

pistachio is a major agricultural export commodity in iran. nowadays, it ranks first among iran’s agricultural exports. this paper focuses on the comparative advantage in pistachio production and the export market in iran. a policy analysis matrix (pam) framework and revealed comparative advantage (rca) index are applied to 2000-2004 data to study iranian government policy regarding pistachio p...

Consider an exchange mechanism which accepts “diversified” offers of various commodities and redistributes everything it receives. We impose certain conditions of fairness and convenience on such a mechanism and show that it admits unique prices, which equalize the value of offers and returns for each individual. We next define the complexity of a mechanism in terms of certain integers τij , πi...

We consider abstract exchange mechanisms wherein individuals submit “diversified” offers in m commodities, which are then redistributed to them. Our first result is that if the mechanism satisfies certain natural conditions embodying “fairness”and “convenience”then it admits unique prices, in the sense of consistent exchange-rates across commodity pairs ij that equalize the valuation of offers ...

This paper assesses the effects and transmission mechanisms of global liquidity commodity market shocks in Mongolia, a commodity-exporting developing economy, using structural vector autoregression (SVAR) model. Results show that boom bust cycles international financial markets lead to business economy as these account for 30, 45, 60 percent domestic output, real exchange rate, lending rate flu...