This study examines individual commodity futures price reactions to large one-day price changes, or 'shocks'. The mean-adjusted abnormal return model suggests that investors in 6 of the 18 commodity futures examined in this study either underreact or overreact to positive surprises. It also...

La Chine est le premier pays producteur de coton dans le monde mais sa forte consommation la place en position d'importateur structurel. La production chinoise est issue d'une agriculture familiale, avec une sole cotonnière d'environ 0,3 ha par exploitation, dont le niveau d'intensification lui...

The terms of trade and the real exchange rate of the US appreciate when the US labor productivity increases relative to the rest of the world. This finding is at odds with predictions from standard international macroeconomic models. In this paper, we find that incorporating news shocks to total...

Data for OECD countries document: 1. imports and exports are about three times as volatile as GDP; 2. imports and exports are pro-cyclical, and positively correlated with each other; 3. net exports are counter-cyclical. Standard models fail to replicate the behavior of imports and exports,...

By adopting the coupling method, we obtain new verifiable sufficient conditions about the -Feller continuity, the Lipschitz continuity and the strong Feller continuity of the semigroups associated with Lévy type operators. These results easily apply to jump-diffusion processes and stochastic...

Some sufficient conditions for the recurrence, the positive recurrence and the exponential ergodicity of one-dimensional Lévy type operators are presented. The conditions are classified according to different conditions on the ranges and integrability of the Lévy measure, based on the drift...

We construct optimal Markov couplings of Lévy processes, whose Lévy (jump) measure has an absolutely continuous component. The construction is based on properties of subordinate Brownian motions and the coupling of Brownian motions by reflection.

By using the existing sharp estimates of the density function for rotationally invariant symmetric [alpha]-stable Lévy processes and rotationally invariant symmetric truncated [alpha]-stable Lévy processes, we obtain that the Harnack inequalities hold for rotationally invariant symmetric...

We estimate exchange rate pass-through (PT) into import, producer and consumer price indexes for nine OECD countries, using a method proposed by Uhlig (2005). In a Vector Autoregression (VAR) model, we identify the exchange rate shock by imposing restrictions on the signs of impulse responses...

The U.S. current account deficit has deepened significantly since the late 1990s. This shortfall—the value of net exports of goods and services, international financial investment net income and transfer payments—was $803 billion at its peak in 2006, or 6 percent of U.S. gross domestic...