This paper outlines a methodology to build monthly financial conditions indicators (FCIs) for developing countries, including a Small Island Developing State (SIDS), least developed countries, and transitions economies as defined by the United Nations’ classification. The proposed composite index uses ragged-edge panel data as well as mixed frequency observations. FCIs are compiled using a Dynamic Factor Analysis (DFA) in order to create a synthetic index in real time (as data is released). Also the choice of variables reflects typical emerging markets considerations given to interdependency issues and include variables like capital flows and real effective exchange rates. We show, that the obtained indicators are able to capture periods of financial stress and near-miss events historically. In addition, although our FCIs are free from the business cycle, it is able to track GDP growth, in several cases with a clear leading effect. Our FCIs are therefore an interesting tool for policymakers and market participants alike since its predictive power allows them to assess financial stability in real time before financial shocks are transmitted to the real economy. Consequently, upcoming stormy macroeconomic conditions can be anticipated well ahead.

We propose a “reflexivity” index that quantifies the relative importance of short-term endogeneity for several commodity futures markets (corn, oil, soybean, sugar, and wheat) and a benchmark equity futures market (E-mini S&P 500), from mid-2000s to October 2012. Our reflexivity index is defined as the average ratio of the number of price moves that are due to endogenous interactions to the total number of all price changes, which also include exogenous events. It is obtained by calibrating the Hawkes self-excited conditional Poisson model on time series of price changes. The Hawkes model accounts simultaneously for the co-existence and interplay between the exogenous impact of news and the endogenous mechanism by which past price changes may influence future price changes. Our robustness tests show that our index provides a ‘pure’ measure of endogeneity that is independent of the rate of activity, order size, volume or volatility. We find an overall increase of the reflexivity index since the mid-2000s to October 2012, which implies that at least 60–70 percent of commodity price changes are now due to self-generated activities rather than novel information, compared to 20–30 percent earlier. While our reflexivity index is defined on short-time windows (10–30 min) and thus does not capture long-term memory, we discover striking coincidence between its dynamics and that of the price hikes and abrupt falls that developed since 2006 and culminated in early 2009.

We examine the relation among daily returns to crude oil prices, equity prices, and commodity markets by modifying previous efforts in two important ways; expanding the model to include the equity price for an oil-producing firm, ConocoPhillips, which ameliorates omitted variable bias and estimating the expanded model using the Kalman Filter, which reduces uncertainty associated with OLS estimates from rolling windows. Consistent with the notion of a commodity price beta for oil industry stocks, there is a positive correlation between returns to the spot price of WTI and ConocoPhillips. This correlation indicates not all price changes in crude oil are expected to persist; indeed, some of the price reductions associated with the Asian Financial crisis and the price increase associated with the 2008 price spike are not included in our estimate for long-run prices. In 2008:Q4, the correlations between daily returns to crude oil and equities flip from negative to positive. We hypothesize that this flip is triggered by a large reduction in interest rates in the fourth quarter of 2008, which is associated with a reduction in convenience yields and a change from backwardation to contango in futures markets. These changes increase the returns to holding crude oil as a financial asset relative to holding oil as a commodity.

La rubrique « débats » d'Économie rurale s'appuie désormais sur des interventions dans le cadre des Séminaires de politiques agricoles organisés par la Société française d'économie rurale. Sur un sujet d'actualité, deux points de vue courts sont demandés aux intéressés. Cette fois-ci, il s'agit de développer la question de la financiarisation des marchés de matières premières et notamment, les incidences sur les prix agricoles et alimentaires. Trois auteurs, Nicolas Maystre, David Bicchetti (Conférence des Nations Unies pour le Commerce et le Développement – CNUCED –) et Bernard Valluys (Association Nationale de la Meunerie Française – ANMF –) se sont prêtés au jeu, sur la base de leur intervention dans le SPA de septembre 2012.

This paper analyses the co-movements between the US stock market and several commodity futures between 1998 and 2011. It computes dynamic conditional correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second, and (iv) 1-second frequencies and documents a synchronized structural break, characterized by correlations that have significantly departed from zero to positive territories, since late September 2008. Our results support the idea that high frequency trading and algorithmic strategies have an effect on the behaviour of commodity prices.

We analyze the implications of a global carbon tax on CO2 to finance the damage and adaptation costs of developing countries (DCs) using the computable general equilibrium model GEMINI-E3. We considered two options, first, that the tax is only applied to industrialized countries and secondly, that the tax is charged globally. We conclude that a scheme that puts the entire tax burden on the industrialized countries would not be a feasible policy strategy. Furthermore, it would be more likely that industrialized countries accept to finance adaptation because it entails a lower financial burden and might foster emission reductions in DCs.

We analyze in this paper the implications of a global carbon tax on CO2 to finance the damage and adaptation costs of the developing countries. To attain our objective, we use the GEMINI-E3 model. We considered two options for our scenarios, first that the tax is only applied to industrialized countries and secondly, that the tax is charged globally. We conclude that a scheme that put the entire tax burden on the industrialized countries would not be a feasible policy strategy. Furthermore, it would be more likely that industrialized countries accept to finance adaptation because it entails a lower financial burden and might incentive DCs to reduce their emissions.

A harmonized worldwide carbon tax, implemented at regional or national level, can be enforced only with an international collective action which takes into account inherent interests of all countries. The purpose of this study is to assess the impact ofthe implementation of such a tax by means of different scenarios based on realistic assumptions. We endeavor to design a world tax on anthropogenic greenhouse-gases emissions which can be politically acceptable and technically feasible. To do so, we also address international equity through lump-sum transfer and transfers based on countries’ financial capacity. Part of the Report 'The Feasibility of a World-wide Tax on Anthropogenic Emissions of Greenhouse Gases' for the Federal Office of the Environment