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 provide a model of product-based cultural change where trade integration leads to cultural convergence. A standard trade model of Dixit–Stiglitz monopolistic competition is coupled with a micro-founded model of cultural dynamics. We show that access to varieties that are attached to a global cultural type changes the incentives of parents to socialize their children and transmit their type. The resulting increase in agents of the global cultural type leads to a magnification of the initial shock. A striking feature of the model is that even temporary shocks to openness may have permanent effects through the changing distribution of preferences in the economy.

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 reexamine the widely held belief that free availability of scientific articles increases the number of citations they receive. Since open access is relatively more attractive to authors of higher quality papers, regressing citations on open access and other controls yields upward biased estimates. Using an instrumental variable approach, we find no significant effect of open access. Instead, self-selection of higher quality articles into open access explains at least part of the observed open access citation advantage.

Cross-sectional studies typically find positive correlations between free availability of scientific articles (‘open access’) and citations. Using a number of instruments as plausible sources of exogeneous variation, we find no evidence for a causal effect of open access on citations. We provide theory and evidence suggesting that authors of higher quality papers are more likely to choose open access in hybrid journals which offer an open access option. Self-selection mechanisms may thus explain the discrepancy between the positive correlation found in Eysenbach (2006) and other cross-sectional studies and the absence of such correlation in the field experiment of Davis et al. (2008).

Using tariffs as a measure of openness, this paper finds consistent evidence that the conditional effects of trade liberalization on inequality are correlated with relative factor endowments. Trade liberalization, measured by changes in tariff revenues, is associated with increases in inequality in countries well-endowed with highly skilled workers and capital or with workers that have very low education levels. Similar, although less robust, results are also obtained when decile data are used instead of the usual Gini coefficients. Taken together, the results are strongly supportive of the factor-proportions theory of trade and suggest that trade liberalization in poor countries where the share of the labor force with little education is high raises inequality. Simulation results also suggest that relatively small changes in inequality as measured by aggregate measures of inequality, like the Gini coefficient, are magnified when estimates are carried out using decile data.

EXTREMELY PRELIMINARY DRAFT Please do not circulate and do not quote without permission This paper studies empirically and theoretically the joint evolution of international trade and cultural diversity. In this very preliminary draft we report only our empirical results. Following the genetical and physical anthropology literature and based on the World Values Survey we develop an index of cultural diversity that can be split up into a betweenand within-country component. Contrary to the existing literature, our index is time-varying which enables to neutralize many endogeneity concerns. First we …nd that both components of cultural diversity have decreased during the last two decades. We interpret this result as evidence for cultural convergence and for cultural erosion at the world level. In a second stage we look at the impact of cultural diversity on international trade. We …nd that an increase in cultural diversity between two given countries reduces their bilateral trade. We also …nd that an increase in cultural diversity within a given country translates into an increase of its total exports. In a third stage we study the causal impact of international trade on cultural diversity between countries. Using an instrumental variable approach and including time and country-pair …xed e¤ects, we …nd that bilateral trade reduces the between-country component of cultural diversity. The e¤ect is sizeable as a one standard deviation increase in bilateral trade openness translates into a 18.2% decrease in the between component of cultural diversity.