Milda Maria Burzała * Determination of the Time of Contagion in Capital Markets Based on the Switching Model

Size: px
Start display at page:

Download "Milda Maria Burzała * Determination of the Time of Contagion in Capital Markets Based on the Switching Model"

Transcription

1 D YNAMIC E CONOMETRIC M ODELS DOI: hp://dx.doi.org/ /dem Vol. 13 (2013) Submied Ocober 10, 2013 ISSN Acceped December 30, Milda Maria Burzała * Deerminaion of he Time of Conagion in Capial Markes Based on he Swiching Model A b s r a c. This aricle aemps o compare conclusions made abou marke conagion based on he periods indicaed by using he Markov-swiching model and based on a range for uncondiional correlaions as well as on arbirary arrangemens. DCC-model was used o conrol for correlaion change over ime. Deerminaion of exremely high correlaions by using a range for uncondiional correlaions and he MS(3) swiching model yields similar resuls regarding conclusions abou he occurrence of he process of conagion in a marke. Conclusions abou conagion are, however, made a a higher significance level in he case of he swiching model. K e y w o r d s: swiching model, DCC-GARCH model, conagion. J E L Classificaion: G01, G15, C24. Inroducion Curren economical and financial crises in general have inernaional characer. Propagaion mechanisms across counries and markes are called he ransmissions for fundamenal linkages. In lieraure conagion erm is applied only o he financial markes, however i should no be idenified only wih he financial linkages i can also concern he markes which are no significanly financially conneced. Many auhors claim ha increase in financial inegraion inensifies conagion effecs. On he subjec of inerde- * Correspondence o: Milda Burzala, Deparmen of Economerics, Faculy of Informaics and Elecronic Economy, Poznan Universiy of Economics, Towarowa 53, Poznań, Poland, m.burzala@ue.poznan.pl Nicolaus Copernicus Universiy. All righs reserved. hp://

2 70 Milda Maria Burzała pendence beween markes, conagion effecs and ransmission channels rea, among ohers, he works of: Eichengreen e al. (1995, 1996), Goldsein (1998), Masson (1998), Kaminsky and Reinhar (2000, 2002), Forbes and Rigobon (2002), Pericoli and Sbracia (2003), Pesaran and Pick (2004), Dungey e al. (2005). The mos resricive definiion provided by he World Bank assumes ha marke conagion occurs when he correlaion beween markes in a ime of crisis is significanly higher han during he period of ranquilliy 1. I is possible o conrol for correlaion change over ime by using, for example, a dynamic condiional correlaion model. Researchers ofen also adop an addiional definiion of conagion ha would sui he purpose of a given research mehod. If volailiy models are used, hen conagion is idenified wih he spread of uncerainy across financial markes. The assessmen of he significance of a conagion process requires dividing a sample ino observaions from he ime of ranquilliy and from he ime of crisis in financial markes. A period of ranquilliy is a benchmark period for deermining connecions beween markes, which is a poin of reference for changes observed during a crisis. The ransiion from a ranquilliy period o he period of crisis is usually esablished based on evens which may change he behaviour of cerain indicaors. The resuls of research sudies depend on he division which has been made and he ime of crisis ofen covers boh high and low correlaions beween researched markes. Esablishing a poenial ime of marke conagion by using he Markovswiching model makes i possible o make an assumpion abou he differences in a sochasic process ha deermines correlaions in paricular regimes. The main hypohesis refers o he possibiliy of using he onedimensional Markov swiching model o deermine he ime of conagion in capial markes. Resuls were compared wih conclusions made abou marke conagion based on a range for uncondiional correlaions as well as on arbirary arrangemens. The consequences of adoping paricular divisions are, in fac, imporan informaion for researchers. Research resuls presened in his paper concern he assessmen of he significance of conagion in cerain capial markes in he years Seleced sock exchange indices represen he siuaion in securiies markes 2. In empirical sudies ha are described laer, he concep of marke 1 Conagion of Financial Crises, World Bank, hp:// (14 May 2012). This definiion is cied based on Forbes and Rigobon s paper (2002). 2 Capial marke crisis is idenified wih sharp decline in sock prices, mainaining for an exended period of ime. Role of sock marke indexes is broadly described by Jajuga (2006).

3 Deerminaion of he Time of Conagion in Capial Markes conagion means a conagion spreading from an index represening he U.S. marke o an index represening he sudied marke 3. Secion 1 presens he DCC-GARCH model and secion 2 describes he Markov-swiching model which has been used in he research. Secion 3 conains informaion on he esed sock exchange indices as well as he crieria for an arbirary division of he se of observaions ino hose relaing o he ime of crisis and hose relaing o he period of ranquilliy in securiies markes. The obained research resuls are presened in secion A dynamic Condiional Correlaion Model Le us assume ha an n-dimensional vecor of raes of reurn s ( = 1,,T) can be decomposed ino he following form: s = μ + ε, (1) 1/ 2 ξ ε = H, (2) where μ is he vecor of condiional expeced values of vecor s based on model VAR(p). In empirical research i is usually assumed ha p =1 4. The Suden s -disribuion was used because of an increased kurosis for process ξ. The dynamic condiional correlaion (DCC) model can be formulaed as (Engle, 2002): H = D R D, (3) D = diag( h,..., h ), (4) 11, NN, 3 Causaliy ess are someimes used for esablishing he direcion of conagion (Cheung, Ng, 1996; Coporale, Piis and Spagnolo, 2002). Their usefulness, however, is limied. This is because hese ess are based on Granger s concep relaed o analysing correlaions beween sudied processes and he consequences of evens. I is ofen a researcher who decides wheher o es a paricular causal relaionship exiss based on his or her knowledge and experience (Osińska, 2006; Fiszeder, 2009). 4 A vecor auoregression model also conrols for he muual inerdependence beween markes hrough connecions beween he delayed values of endogenous variables. Empirical sudies described in lieraure have found ha linear relaionship beween sock reurns are low significan. Some researchers sugges ha i is beer o resign from expeced value model han include incorrecly specified model, especially in he case of oal model for expeced values and variances (Doman, Doman, 2009).

4 72 Milda Maria Burzała q p 2 2 i, = i+ αε ij i, j+ γij εi, j < εi, j + βij i, j j= 1 j= 1 (5) h c ( I( 0) ) h, i= 1,... N, R Q Q Q (6) 1/2 1/2 = ( diag( )) ( diag( )), K L K L ' = αk βl + αk k k + βl l k= 1 l= 1 k= 1 l= 1 Q 1 Q ξ ξ Q, (7) Marix R is a posiively defined symmeric marix wih ones along he main 1 diagonal; vecor ξ = D ε in his case denoes he vecor of sandardised residuals from model VAR(1). Marix D was esimaed based on he onedimensional GJR-GARCH(1,1) model (Glosen, Jagannahan, Runkle, 1993). In equaion (5) I ( ) is an indicaor funcion and i assumes he value of 1 for ε i, j < 0 and he value of 0 for ε i, j 0 ( i = 1,..., N ). Posiive values of parameer γ ij which are significanly differen from zero prove ha he leverage effec occurs 5. Covariance saionariy and hus a finie variance in equaion (5) is ensured by saisfying hese condiions: k k= 1 l= 1 q p c > 0, α, β 0 and ( α + γ / 2) + β < 1. (8) i ij ij ij ij ij j= 1 j= 1 In equaion (6) Q denoes a square marix of uncondiional covariances of he vecor ξ variables. In addiion, i is required ha α k, βl 0, K L α + βl < 1. The model s parameers are esimaed in wo sages. The logarihmic likelihood funcion is he sum of likelihood funcions for a volailiy model and likelihood funcions for he parameers of dynamic correlaions (Engle, 2002). 5 The leverage effec resuls from an asymmeric response of raes of reurn o posiive and negaive informaion reaching he financial marke. I is a consequence of a negaive correlaion beween securiies prices and he volailiy of raes of reurn. The higher he value of paramer γ ij, he sronger he leverage effec (he addiional impac of negaive informaion).

5 Deerminaion of he Time of Conagion in Capial Markes The Markov-Swiching Model In Markov-swiching models i is assumed ha a swich beween he behaviours of raes of reurn in regimes (periods), and hus he process of conagion in a marke, depend on cerain hidden facors which are no direcly observable. One can only observe he exernal sympoms of regime change by observing, for example, he muual correlaions beween raes of reurn. Theoreically, for a ime series of dynamic condiional correlaions ρ, a one-dimensional swiching model can be used, in which swiches occur as a resul of changes in he expeced value μ, variance σ 2 or he expeced value and variance of he sudied correlaions (Hamilon, 1989; Davidson, 2013). If a swiching model is only consruced for he purpose of classifying he already obained heoreical values of correlaions, i can be assumed ha, in each regime, values are generaed by independen processes wih a differen consan expeced value and consan variance: ρ = μ( r = i) + ε ε ~ N(0, σ ( r = i), i = 0,1,2, (9) i 2 i i where μ ( r = i), σ ( r = i) denoe he expeced value and variance of condiional correlaions, respecively, in he i-regime. Such an approach allows one o use a one-dimensional model, in which i is assumed ha hree regimes will be analysed, i.e. r = i (i = 0, 1, 2), which are relaed o an exremely low, average and exremely high correlaion beween raes of reurn. The proposed sequenial procedure enails esimaing he model of dynamic condiional correlaions and he swiching model separaely, which makes i possible o avoid many problems relaed o esimaing mulidimensional models 6. The series of random variables r in he subsequen momens in ime (=1,..., T) has he Markov propery, i.e. is value a he ime momen +1, i.e. r +1, depends only on he regime a he momen, raher han on all he preceding regimes, which is formally formulaed as: 2 6 In pracice, he use of mulidimensional swiching models is associaed wih many problems because of he number of esimaed parameers which grows exponenially, as in he mulidimensional VechGARCH model (Billio, Lo Duca, Pelizzon, 2005). If one assumes ha only wo saes (of high and low volailiy) can occur in each of wo sudied markes, han one already allows for he occurrence of four regimes, and he marix of condiional probabiliies has dimensions [4 x 4]. The final number of parameers depends on he assumpions regarding he differences beween processes deermining he behaviour of raes of reurn in paricular regimes.

6 74 Milda Maria Burzała Pr ( + 1 = j r = i, r 1 = k,...) = P( r+ 1 = j r = i) = pij, (10) i, j = 0,1,2. Probabiliies p ij denoe he probabiliy of ransiion of he dependence beween raes of reurn from regime i o regime j. If a he 1 momen he process was under he r -1 = i regime, hen he condiional densiy funcion of he explained variable ρ can be represened as f ( s r = i, I 1), where I 1 denoes he hisory of he process unil he 1 momen. Any supposiions on he i regime may be made by means of a condiional probabiliy: f ( s r = i, I ) P( r 1) 1 = i I P ( r = i I ) =, (11) 2 f ( s r = j, I ) P( r = j I ) j = where 2 ) = = p ( = j 0 ij P r 1 j I 1 P ( r = i I 1 ). (12) The model s parameers are esimaed by using he maximum likelihood mehod (Davidson, 2013) The Saisical Maerial and an Arbirary Division of he Sample In he empirical research, daily coninuously compounded raes of reurn on six indices represening he siuaion on sock exchanges during he period from Augus 17, 2005 o July 31, 2009 were used (1022 observaions for each sock exchange): s i = 100 (ln( Pi, ) ln( Pi, 1)). Two indices from srong EU economies DAX and CAC, represening he siuaion on he German and French sock exchanges, as well as wo indices from weaker economies from he old European Union he Spanish IBEX and he Greek ATEX, and wo indices from he counries of Cenral and Easern Europe he Hungarian BUX and he Polish WIG20 were seleced for he purpose of he analysis (source: he Sooq daabase). The Dow Jones 7 The relevan likelihood funcion is presened as par of he descripion of he TSM (Time Series Modelling) program. I is no easy o esimae he model s parameers. Numerical problems resul from he occurrence of local exrema of he logarihmic likelihood funcion. This is why normally wo, up o hree, regimes under which a process may be are disinguished.

7 Deerminaion of he Time of Conagion in Capial Markes Indusrial Average (DJIA) index represened he siuaion on he U.S. sock exchanges. Gaps in he daa were filled by using he linear inerpolaion mehod. Due o he differen quoaion imes, daa were smoohed by using a wo-period moving average (Dungey e al., 2007) he beginning of he sample bankrupcy of he bank Lehman Brohers end of he sample BNP Paribas canno deermine securiy values march-2009 min on he sock Figure 1. The Dow Jones Indusrial Average index during he period from Augus 17, 2005 o July 31, 2009 (lower figure daily raes of reurns from DJIA index) The behaviour of he Dow Jones Indusrial index during he sudied period is shown in Figure 1. An arbirary division of he observaion se ino wo subses relaed o he period of crisis (high volailiy of raes of reurn) and he period of ranquilliy (low volailiy) in securiies markes should be made in such a way ha he ime of ranquilliy immediaely precedes he ime of crisis. This is because i consiues a benchmark for comparisons. Quoaions preceding, for example, he collapse of Lehman Brohers, hardly represened a ime of ranquilliy as he Dow Jones Indusrial Average had already been declining for some ime and he rae of reurn on he index had been characerised by increased volailiy. Therefore, i was decided ha he informaion abou he difficulies relaed o evaluaing asses which was announced by he French BNP Paribas would be used when dividing he se of observaions. On 9 Augus 2007 his bank suspended paymens from hree funds invesing in he marke of bonds secured by subprime morgages. The period of crisis was exended beyond he ime when securiies were rading a he lowes level because of he increased volailiy of raes of reurn which persised unil he end of July There were 511 observaions for he ime of crisis deermined in his way. In order o ensure comparabiliy of resuls, 511 former observaions were analysed for evens conribuing o

8 76 Milda Maria Burzała financial urmoil. I was a ime of rising asse prices, wih minor adjusmens, which is why i has been assumed o be a period of ranquilliy on he sock exchange. 4. Research Resuls The esimaion of a model of dynamic condiional correlaions should be preceded by a es jusifying heir use. The resuls of such ess depend on he adoped specificaion of volailiy models. Therefore, wo ess were used in he research, i.e. he Tse es (2000) as well as Engle and Sheppard es (2001) in wo versions wih delays p=5 and p=10. For all indices a leas one es indicaed he reasonableness of consrucing a dynamic condiional correlaion model 8. A significan increase of correlaions in he ime of crisis confirms he occurrence of he process of marke conagion. Forbes and Rigobon (2002) propose using Fisher s ransformaion of correlaion coefficiens while esing he significance of change in correlaion beween raes of reurn. Afer Fisher s ransformaion, he sample correlaion coefficien can be reaed as he realizaion of a random variable wih a normal disribuion 1 1+ ˆ ρ wih he expeced value of E( ρ) = ln, where ρˆ is he esimaed correlaion coefficien. The variance of his variable is Var( ρ ) =. The null 2 1 ˆ ρ 1 T 3 hypohesis : K S H0 ρ ρ is esed agains an alernaive hypohesis, i.e. : K S H1 ρ > ρ (index S means he ranquiliy period, K - he ime of poenial marke conagion). The empirical saisic in he es for wo expeced values is as follows: 1 ˆ 1 ˆ 0,5ln K S + ρ 0,5ln + ρ K S 1 ˆ ρ 1 ˆ ρ FR =. (13) T 3 T 3 K S The FR-saisic have a normal disribuion N(0,1) and even if he sample is small i allows one o use he criical values of a sandard normal disribuion. 8 Calculaions were carried ou by using he OxMerics 6.10 program.

9 Deerminaion of he Time of Conagion in Capial Markes The parameers of he GJR-GARCH(1,1) model are presened in he upper par of Table 1. Le us remember ha he models were esimaed on he basis of residuals from model VAR(1). Therefore, a slighly differen model for he DJIA index was conneced wih each index. In all he volailiy models for he DJIA index, he alfa parameer which describes he impac of posiive residual impulses was insignifican. In he models for he European indices, he alfa parameer was only significan for he Greek (ATH), he Hungarian (BUX) and he Polish (WIG20) indices. The parameers ha were significan were bea and gamma which describe he impac of pas variance as well as he leverage effec (an addiional impac of negaive informaion reaching he marke). The model s assumpions require ha he alfa parameer be significanly greaer han zero. Thus, in order o sandardise he residuals from model VAR(1), i was finally he GARCH(1,1) models ha were used 9 : where h q p ij, = ci + ij i, j ij ii, j = N j= 1 j= 1 q p ij j= 1 j= 1 2 α ε + β h, i 1,..., (14) α + βij < 1, c i > 0, α ij 0, βij 0. This ime he obained parameer esimaes mee he models assumpions; he arch effec is significan in all of he models (he lower par of Table 1). This means ha he impac of negaive informaion on many markes was considerably sronger han he impac of posiive informaion. Such markes could be idenified by esimaing he GJR-GARCH model a he firs sage of he research. Esimaes of parameer β exceed he value of 0.8, which confirms he volailiy clusering phenomenon. Boh in he GARCH(1,1) model and in he condiional correlaion model DCC-GARCH(1,1) he requiremen of covariance saionariy is saisfied. Also he condiions for variance (nonnegaive, significan model parameers) are me. The sum of parameers ( α + β ) in he GARCH model is close o one, which means he occurrence of persisence (long-erm dependencies) and sugges es of inegraed model (IGARCH, FIGARCH) in furher sudies. The highes uncondiional correla- 9 The same volailiy model was adoped for wo ime series due o program limiaions. In he research GARCH (1,2), GARCH (2,1) and GARCH (2,2) models were also esed only in GARCH (1,1) model all parameers were significan and was he lowes informaion crierion value (AIC). Condiional correlaions from wo models (DCC-GJR-GARCH (1,1) and DCC-GARCH) were slighly differen.

10 78 Milda Maria Burzała ion wih he DJI index was recorded for he CAC and he DAX indices and he lowes for he BUX and he WIG20 indices. Table 1. The DCC-GARCH model s parameers GJR GARCH(1,1) Index for index i for index DJIA cons(i) alfa(i) bea(i) gamma(i) cons alfa bea gamma ATH *** ** *** *** *** *** *** CAC *** *** *** *** *** *** DAX *** *** *** *** *** *** IBEX ** *** *** *** *** *** BUX ** *** *** *** *** *** *** WIG ** ** *** ** *** *** *** GARCH(1,1) Index for index i for index DJIA cons(i) alfa(i) bea(i) cons alfa bea ATH ** *** *** ** *** *** CAC ** *** *** ** *** *** DAX ** *** *** ** *** *** IBEX ** *** *** ** *** *** BUX ** *** *** ** *** *** WIG * *** *** ** *** *** DCC GARCH(1,1) Index Alfa bea df uncondiional correlaions Log likelihood ATH *** *** *** *** CAC * *** *** *** DAX ** *** *** *** IBEX ** *** *** *** BUX *** *** *** WIG ** *** *** *** Noe: a parameer s significance for α = 0.01 is marked wih hree aserisks, for α = 0.05 wih wo aserisks and for α = 0.1 wih one aserisk. The parameers of he MS(3) swiching model are provided in Table 2. Regime 2 is relaed o an exremely high correlaion (he shaded area in Figure 2). As for he wo indices CAC and DAX, regime 2 covered boh significanly high and significanly low correlaion beween markes. This probably resuled from a very high volailiy of exreme correlaions. A correc classificaion was obained by simplifying he process o a model in which only he expeced value would change. For he remaining four indices, he variance of exremely high and exremely low correlaions was significanly higher han he variance of condi-

11 Deerminaion of he Time of Conagion in Capial Markes ional correlaions in he ime of ranquilliy, and he model made i possible o make a correc classificaion 10. Table 2. The esimaes of he MS(3) swiching model s parameers Swiches occur as a resul of changes he expeced value and variance he expeced value Regime ATH IBEX BUX WIG20 CAC DAX Number of observaions ,520 Expeced value , ,710 FR-saisic 1,820 ** * *** * ** x x Variance x x x x H-saisic *** *** *** *** *** *** D-saisic *** *** *** *** *** *** *** *** *** *** *** *** p_{0/0} ,961 p_{0/1} ,039 p_{0/2} ,000 p_{1/0} ,018 p_{1/1} ,965 p_{1/2} ,017 p_{2/0} ,000 p_{2/1} ,021 p_{2/2} ,979 Log-likelihood 1708, AIC 3, Probabiliy of ransiion Noe: he FR-saisic refers o he difference in correlaion beween regimes 2 and 1; he D-saisic refers o he difference disribuions beween regime 2 and regime 0 or 1. The Jarque-Berra es rejecs a convenional significance level he normaliy of correlaion in hree regimes (no repored). I is he reason of he use of nonparameric variance analysis (Kruskal and Wallis-es) o evaluae he qualiy of classificaion (division of he sample ino observaions from he ime of ranquilliy and from he ime of poenial marke conagion). In he firs research sage, H-saisic indicaes he diversificaion of disribuion a leas in wo regimes. In he second sage, D-saisics indicaes he 10 High variance in 0 regime (exremely low correlaions) indicaes, ha differeniaion of he sign of reurns on wo markes causes he increase of uncerainy among invesors.

12 80 Milda Maria Burzała diversificaion of disribuion in all regimes for all sudied indices. Relevan saisics are provided in Table 2. Resuls confirms he legiimacy of he use of one-dimensional swiching model. Simple model can give saisfacory resuls. Corr_ATH_DJIA Corr_IBEX_DJIA Corr_BUX_DJIA Corr_WIG20_DJIA Corr_CAC_DJIA Corr_DAX_DJIA Figure 2. Poenial periods of marke conagion as deermined based on condiional correlaions from he DCC-GARCH(1.1) model Noe: he shaded area: he ime of exremely high correlaions (regime 2); he average value of condiional correlaions in he ime of crisis (Augus 9, 2007 o July 31, 2009); he upper limi of he range: uncondiional correlaion + 2 error.

13 Deerminaion of he Time of Conagion in Capial Markes The occurrence of exreme correlaions under regime 2 only means he ime of poenial marke conagion. Only he rejecion of he null hypohesis in he es for wo expeced values means ha he process of marke conagion has occurred. The expeced value of correlaion in regime 2 is significanly higher han he expeced value of correlaion in regime 1 (he ime of ranquilliy in he marke) in all securiies markes excep for he French marke (CAC). The significance level ha allows one o rejec he null hypohesis is, however, varied, which is highlighed in he able. The FRsaisics assumes he highes value for he Hungarian marke. I can be assumed ha he value of saisics reflecs he effecs of conagion. The higher he value of saisics, he more severe he effecs of marke conagion. The probabiliy of remaining under each of he regimes, which is provided in Table 2, is high, which means ha he highlighed regimes are persisen. The analysis of chars in Figure 2 allows one o compare he frequency of an index being under regime 2 and he ime of remaining here. The addiional, horizonal and dashed line makes i possible o relae indicaed periods o he ime of poenial marke conagion as idenified based on a range for uncondiional correlaions. In his case, hose correlaions which fall ouside he upper and he lower limis deermined by a double esimaion error are assumed o be exremely high and exremely low correlaions, respecively. The ime of ranquilliy in a marke is represened by correlaions from a range deermined in his way. As for arbirary arrangemens, i should be remembered ha he sample was only divided ino wo subses. Toal duraion imes of he poenial marke conagion period are provided in Table 3. The longes ime is for an arbirary division and he shores for he range for uncondiional correlaions. The swiching model indicaed ha he period of poenial conagion in he Hungarian marke was he longes. Table 3. The number of observaions during he poenial period of marke conagion Meod ATH IBEX BUX WIG20 CAC DAX Arbirary arrangemens Swiching model regime Range for uncondiional correlaions A comparison of he resuls of ess of he significance of occurrence of conagion spreading from he U.S. marke o a given marke is presened in Table 4.

14 82 Milda Maria Burzała Table 4. A comparison of he resuls of esing he significance of conagion in a marke Mehod Index ATH IBEX BUX WIG20 CAC DAX Conagion Arbirary Tranquiliy arrangemens FR-saisic * * ** Conagion Swiching model Tranquiliy FR-saisic ** * *** * ** Range for uncondiional correlaions Conagion Tranquiliy FR-saisic ** ** *** * ** Noe: conagion means he ime of poenial marke conagion. For five indices he values of he FR-saisics recorded in he case of he swiching model are lower han he corresponding saisics in he analysis of uncondiional correlaions, which has an effec on conclusions abou conagion. The occurrence of he conagion process is regisered more ofen (for lower significance levels) in he analysis of a range for uncondiional correlaion. The opposie is rue only for he BUX index, which probably resuls from small differences beween he duraion imes of marke conagion ha are deermined by using differen mehods. The lowes values of he FRsaisics are usually recorded for an arbirary division. Deailed resuls and significance levels are provided in Table 4. Conclusions I is relaively difficul o dae a crisis in financial markes. During periods deermined based on evens ha change he behaviour of raes of reurn, boh high and low correlaion beween markes can be observed. This paper proposes indicaing he periods of poenial marke conagion on he basis of a one-dimensional swiching model. Tess made confirm he legiimacy of he use of simple swiching model o deermine poenial marke conagion periods. Furher sudies should be conduced i is imporan o compare obained resuls wih he resuls from mulidimensional model, where swiches are deermined based on he changes of expeced value, variance, and covariance. In he paper such comparisons were no made because of he lack of appropriae sofware. Occurrence of persisence sugges, ha furher sudies should also include inference based on he inegraed model. Resuls confirm he conclusions made by he auhor on he subjec of conagion on he basis of logi model for panel daa (Burzała, 2012). Significan conagion effecs were observed on German marke, less significan

15 Deerminaion of he Time of Conagion in Capial Markes on Polish, and he lack of significan conagion effecs were observed on French marke. Deerminaion of exremely high correlaions by using a range for uncondiional correlaions and he MS(3) swiching model yields similar resuls regarding conclusions abou he occurrence of he process of conagion in a marke. Conclusions abou conagion are, however, made a a higher significance level in he case of he swiching model. I is worh emphasising ha i is necessary ha he appropriae ess be conduced which would confirm he significance of he increase of correlaion beween markes. Also, he ime of poenial marke conagion deermined on he basis of a regime wih an exremely high correlaion (he swiching model) is longer. In furher sudies more aenion should be paid o he issue of deermining he direcion of conagion as well as exremely low correlaions which may be a harbinger of a crisis. References Aczel, A. D. (2000), Saysyka w zarządzaniu (Saisic in Business), PWN, Warszawa. Billio, M., Lo Duca, M., Pelizzon, L. (2005), Conagion Deecion wih Swiching Regime Models: a Shor and Long Run Analysis, Working Paper 05.01, Universiy Ca Foscari of Venice, Ialy, DOI: hp://dx.doi.org/ %2fssrn Burzała, M. M. (2012), Efeky zarażania giełd europejskich w czasie kryzysu finansowego model logiowy dla danych panelowych (Conagion Effecs on European Sock Exchanges During Financial Crisis Logi Model for Panel Daa), in: Appenzeller D. (ed.), Maemayka i informayka na usługach ekonomii: meody, analizy, prognozy (Mahemaics and compuer science a he service of economics: mehods, analysis, forecass), 31 43, Wydawnicwo Naukowe UEP, Poznań. Cieciura, M., Zacharski, J. (2007), Meody probabilisyczne w ujęciu prakycznym (Probabilisic Mehods: a Pracical Approach), Vizja Press&IT, Warszawa. Davidson, J. (2013), Time Series Modelling, Version 4.38, Universiy of Exeer, hp:// ( ), DOI: hp://dx.doi.org/ %2f Doman, M., Doman, R. (2009), Modelowanie zmienności i ryzyka. Meody ekonomerii finansowej (Volailiy and Risk Modeling. Mehods of Financial Economerics), Oficyna, Kraków. Dungey, M., Fry, R. A., Gonzalez-Hermosillo, B., Marin, V. L. (2005), Empirical Modeling of Conagion: A Review of Mehodologies, Quaniaive Finance, 5(1), 9 24, DOI: hp://dx.doi.org/ %2f Dungey, M., Fry, R., A., González-Hermosillo, B., Marin, V., L. (2007), Conagion in Global Equiy Markes in 1998: The Effecs of he Russian and LTCM Crises, Norh American Journal of Economics and Finance, 18(2), , DOI: hp://dx.doi.org/ %2fj.najef Eichengreen, B., Rose, A., Wyplosz, C., Dumas, B., Weber, A. (1995), Exchange Marke Mayhem: The Anecendens and Afermah of Speculaive Aacks, Economic Policy, 21, , DOI: hp://dx.doi.org/ %2f

16 84 Milda Maria Burzała Eichengreen, B., Rose, A., Wyplosz, C. (1996), Conagious Currency Crises: Firs Tess, The Scandinavian Journal of Economics, 98(4), , DOI: hp://dx.doi.org/ %2f Engle, R. F. (2002), Dynamic Condiional Correlaion: a Simple Class of Mulivariae Generalized Auoregressive Condiional Heeroskedasiciy Models, Journal of Business and Economic Saisics, 20(3), , DOI: hp://dx.doi.org/ %2f Fiszeder, P. (2009), Modele klasy GARCH w empirycznych badaniach finansowych (The GARCH-Class Models in Empirical Financial Research), Wydawnicwo Naukowe UMK, Toruń. Forbes, K., Rigobon, R. (2002), No Conagion, Only Inerdependence: Measuring Sock Marke Comovemens, The Journal of Finance, 57(5), DOI: hp://dx.doi.org/ %2f Glosen, L., Jagannahan, R., Runkle, D. (1993), On he relaion beween he expeced value and he volailiy of he nominal excess reurn on socks, Journal of Finance, 48, , DOI: hp://dx.doi.org/ %2f Goldsein, M. (1998), The Asian Financial Crisis: Causes, Cures and Sysemic Implicaions, Insiue for Inernaional Economics, Peerson Insiue. Hamilon, J. D. (1989), A New Approach o he Economic Analysis of Nonsaionary Time Series and he Business Cycle, Economerica, 57(2), , DOI: hp://dx.doi.org/ %2f Jajuga, K. (2006), Rynek wórny papierów warościowych (Secondary marke securiies), Fundacja Edukacji Rynku Kapiałowego, Warszawa. Kaminsky, G. L., Reinhar, C. M. (2000), On Crises, Conagion and Confusion, Journal of Inernaional Economics, 51(1), , DOI: hp://dx.doi.org/ %2fs %2899% Kaminsky, G. L., Reinhar, C. M. (2002), The Cener and he Periphery: Tales of Financial Turmoil, mimeo, George Washingon Universiy. Masson, P. (1998), Conagion: Monsoonal Effecs, Spillovers and Jumps beween Muliple Equilibria, IMF Working Paper WP/98/142, DOI: hp://dx.doi.org/ %2fcbo Osińska, M. (2006), Ekonomeria finansowa (Financial Economerics), PWE, Warszawa. Pericoli, M., Sbracia, M. (2003), A Primer on Financial Conagion, Journal of Economic Surveys, 17(4), , DOI: hp://dx.doi.org/ %2f Pesaran, M. H., Pick, A. (2004), Economeric Issues In The Analysis Of Conagion, Universiy of Cambridge, Working Paper in Economics 0402, Cambridge. World Bank, hp:// definiions.hm ( ).

17 Deerminaion of he Time of Conagion in Capial Markes Wyznaczanie czasu zarażania rynków kapiałowych na podsawie modelu przełącznikowego Z a r y s r e ś c i. W arykule podjęo próbę porównania wnioskowania o zarażaniu rynków na podsawie okresów wskazanych przez model przełącznikowy Markowa z wnioskowaniem oparym na przedziale dla korelacji bezwarunkowych i usaleniach arbiralnych. W celu konrolowania zmieniających się w czasie korelacji wykorzysano model DCC. Usalenie eksremalnie wysokich korelacji przy wykorzysaniu przedziału dla korelacji bezwarunkowych lub modelu przełącznikowego MS(3) prowadzi do podobnych rezulaów w zakresie wnioskowania o wysąpieniu procesu zarażania rynku. Wnioski o zarażaniu są jednak sawiane przy wyższym poziomie isoności w przypadku modelu przełącznikowego. S ł o w a k l u c z o w e: model przełącznikowy, model DCC, zarażanie.

18

Duration models. Jean-Marie Le Goff Pavie-Unil

Duration models. Jean-Marie Le Goff Pavie-Unil Duraion models Jean-Marie Le Goff Pavie-Unil Oher erms for duraion models Duraion models: economery Survival analysis : medical sciences, demography Even hisory analysis, ransiion analysis : social sciences

More information

Economic Computation and Economic Cybernetics Studies and Research, Issue 3/2016, Vol. 50

Economic Computation and Economic Cybernetics Studies and Research, Issue 3/2016, Vol. 50 Economic Compuaion and Economic Cyberneics Sudies and Research, Issue 3/2016, Vol. 50 Assisan Professor Murad A. BEIN, PhD E-mail: mbein@ciu.edu.r Deparmen of Accouning and Finance Faculy of Economics

More information

INSTITUTIONAL INVESTOR SENTIMENT

INSTITUTIONAL INVESTOR SENTIMENT 9. INSTITUTIONAL INVESTOR SENTIMENT AND MARET RETURNS: EVIDENCE FROM THE TAIWAN FUTURES MARET Absrac Ralph Yang-Cheng LU 2 Hsiu-Chuan LEE 3 Peer CHIU 4 This sudy explores he dynamic relaionship beween

More information

Título artículo / Títol article: Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off?

Título artículo / Títol article: Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off? Tíulo arículo / Tíol aricle: Re-examining he risk-reurn relaionship in Europe: Linear or non-linear rade-off? Auores / Auors Enrique Salvador Aragó, Chrisos Floros, Vicen Aragó Manzana Revisa: Journal

More information

Global financial crisis and spillover effects among the U.S. and BRICS stock markets

Global financial crisis and spillover effects among the U.S. and BRICS stock markets Acceped Manuscrip Global financial crisis and spillover effecs among he U.S. and BRICS sock markes Walid Mensi, Shawka Hammoudeh, Duc Khuong Nguyen, Sang Hoon Kang PII: S1059-0560(15)00227-0 DOI: doi:

More information

Volume-Return Relationship in ETF Markets: A Reexamination of the Costly Short-Sale Hypothesis

Volume-Return Relationship in ETF Markets: A Reexamination of the Costly Short-Sale Hypothesis Journal of Applied Finance & Banking, vol., no. 6,, -4 ISSN: 79-658 (prin version), 79-6599 (online) Scienpress Ld, Volume-Reurn Relaionship in ETF Markes: A Reexaminaion of he Cosly Shor-Sale Hypohesis

More information

Volatility and risk spillovers between oil, gold, and Islamic and conventional GCC banks

Volatility and risk spillovers between oil, gold, and Islamic and conventional GCC banks Volailiy and risk spillovers beween oil, gold, and Islamic and convenional GCC banks Walid Mensi a,b, Shawka Hammoudeh c,d, Idries Mohammad Wanas Al-Jarrah e, Khamis Hamed Al-Yahyaee b*, Sang Hoon Kang

More information

The Spillover Effects of U.S. and Japanese Public Information News in. Advanced Asia-Pacific Stock Markets

The Spillover Effects of U.S. and Japanese Public Information News in. Advanced Asia-Pacific Stock Markets The Spillover Effecs of U.S. and Japanese Public Informaion News in Advanced Asia-Pacific Sock Markes Suk-Joong Kim Absrac School of Banking and Finance The Universiy of New Souh Wales UNSW SYDNEY 2052

More information

Investor Herds in the Taiwanese Stock Market

Investor Herds in the Taiwanese Stock Market Invesor Herds in he Taiwanese Sock Marke Rıza Demirer *, Chun-Da Chen ** and Ali M. Kuan *** * Souhern Illinois Universiy Edwardsville ** Tennessee Sae Universiy *** Souhern Illinois Universiy Edwardsville,

More information

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification *

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification * Macro-Finance Deerminans of he Long-Run Sock-Bond Correlaion: The DCC-MIDAS Specificaion * Hossein Asgharian, Lund Universiy + Charloe Chrisiansen, CREATES, Aarhus Universiy ++ and Ai Jun Hou, Sockholm

More information

Modelling Financial Markets Comovements During Crises: A Dynamic Multi-Factor Approach.

Modelling Financial Markets Comovements During Crises: A Dynamic Multi-Factor Approach. Modelling Financial Markes Comovemens During Crises: A Dynamic Muli-Facor Approach. Marin Belvisi, Riccardo Pianei, Giovanni Urga February 24, 2014 We wish o hank paricipans in he Finance Research Workshops

More information

The Influence of Earnings Quality and Liquidity on the Cost of Equity

The Influence of Earnings Quality and Liquidity on the Cost of Equity Inernaional Business Research; Vol. 8, No. 4; 2015 ISSN 1913-9004 E-ISSN 1913-9012 Published by Canadian Cener of Science and Educaion The Influence of Earnings Qualiy and Liquidiy on he Cos of Equiy Ming-Feng

More information

GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES

GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES John I. CARRUTHERS *, Michael K. HOLLAR **, Gordon F. MULLIGAN *** Absrac - This paper invesigaes geographic relaionships in

More information

Market Overreaction and Under-reaction for Currency Futures Prices. January 2008

Market Overreaction and Under-reaction for Currency Futures Prices. January 2008 Marke Overreacion and Under-reacion for Currency Fuures Prices Sephen J. Larson and Sephen E. Wilcox* Minnesoa Sae Universiy, Mankao January 2008 Sephen J. Larson, Ph.D., CFP Minnesoa Sae Universiy, Mankao

More information

Taking Advantage of Global Diversification: A Mutivariate-Garch Approach

Taking Advantage of Global Diversification: A Mutivariate-Garch Approach Taking Advanage of Global Diversificaion: A Muivariae-Garch Approach Elena Kaloychou *, Soiris K. Saikouras, Gang Zhao Cass Business School, Ciy Universiy London, 106 Bunhill Row, London EC1Y 8TZ Firs

More information

Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices

Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices Universiy of Wollongong Research Online Faculy of Business - Economics Working Papers Faculy of Business 200 Tesing for he Random Walk Hypohesis and Srucural Breaks in Inernaional Sock Prices S. Chanchara

More information

Stock Market Liberalizations and Efficiency: The Case of Latin America

Stock Market Liberalizations and Efficiency: The Case of Latin America MPR Munich Personal RePEc rchive Sock Marke Liberalizaions and Efficiency: he Case of Lain merica João Paulo Vieio and Wing-Keung Wong and Sheung Chi Chow 06 Online a hps://mpra.ub.uni-muenchen.de/68949/

More information

Textos para Discussão PPGE/UFRGS

Textos para Discussão PPGE/UFRGS Texos para Discussão PPGE/UFRGS Programa de Pós-Graduação em Economia Universidade Federal do Rio Grande do Sul ENDOGENEITY AND NONLINEARITIES IN CENTRAL BANK OF BRAZIL S REACTION FUNCTIONS: AN INVERSE

More information

Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis

Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis Transmission of prices and price volailiy in Ausralian elecriciy spo markes: A mulivariae GARCH analysis Auhor Worhingon, Andrew, Kay-Spraley, Adam, Higgs, Helen Published 2005 Journal Tile Energy Economics

More information

Out-of-Sample Exchange Rate Forecasting and. Macroeconomic Fundamentals: The Case of Japan

Out-of-Sample Exchange Rate Forecasting and. Macroeconomic Fundamentals: The Case of Japan Ou-of-Sample Exchange Rae Forecasing and Macroeconomic Fundamenals: The Case of Japan Takashi Masuki and Ming-Jen Chang * ABSTRACT: The sudy explores he exchange rae forecasing abiliy of a number of macroeconomic

More information

International Trade and Finance Association THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE

International Trade and Finance Association THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE Inernaional Trade and Finance Associaion Inernaional Trade and Finance Associaion 15h Inernaional Conference Year 2005 Paper 46 THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE

More information

The Long-Run Volatility Puzzle of the Real Exchange Rate. Ricardo Hausmann Kennedy School of Government Harvard University

The Long-Run Volatility Puzzle of the Real Exchange Rate. Ricardo Hausmann Kennedy School of Government Harvard University The Long-Run Volailiy Puzzle of he Real Exchange Rae Ricardo Hausmann Kennedy School of Governmen Harvard Universiy Ugo Panizza Research Deparmen Iner-American Developmen Bank Robero Rigobon * Sloan School

More information

THE UNIVERSITY OF TEXAS AT SAN ANTONIO, COLLEGE OF BUSINESS Working Paper SERIES

THE UNIVERSITY OF TEXAS AT SAN ANTONIO, COLLEGE OF BUSINESS Working Paper SERIES THE UNIVERITY OF TEXA AT AN ANTONIO, COLLEGE OF BUINE Working Paper ERIE Dae May 15, 013 WP # 0046FIN-0-013 Commodiy Financializaion and Herd Behavior in Commodiy Fuures Markes Rıza Demirer Deparmen of

More information

AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS

AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS A REPORT PREPARED FOR THE HASS AVOCADO BOARD BY Hoy F. Carman Lan Li Richard J. Sexon 1 March 30, 2009 1 Hoy F. Carman is Professor

More information

The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate

The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate The Ineres Rae Sensiiviy of Value and Growh Socks - Evidence from Lised Real Esae This Version: January 25, 2017 Please reques he mos recen version from he auhors Chrisian Weis, Universiy of Regensburg

More information

Price convergence in the European electricity market

Price convergence in the European electricity market Price convergence in he European elecriciy marke Dr. E. Dijkgraaf Prof.dr. M.C.W. Janssen Erasmus Compeiion and Regulaion insiue Erasmus Universiy Roerdam Augus 7 7 Conac: Elber Dijkgraaf SEOR-ECRi Erasmus

More information

The Design of a Forecasting Support Models on Demand of Durian for Export Markets by Time Series and ANNs

The Design of a Forecasting Support Models on Demand of Durian for Export Markets by Time Series and ANNs AIJSTPME (20) 4(2): 49-65 The Design of a Forecasing Suppor Models on Demand of Durian for Expor Mares by Time Series and ANNs Udomsri N. Deparmen of Indusrial Engineering, Faculy of Engineering, King

More information

Supply and Demand Model for the Malaysian Cocoa Market

Supply and Demand Model for the Malaysian Cocoa Market MPRA Munich Personal RePEc Archive Supply and Demand Model for he Malaysian Cocoa Marke Amna Awad Abdel Hameed and Akram Hasanov and Nurjihan Idris and Amin Mahir Abdullah and Faimah Mohamed Arshad and

More information

NBER WORKING PAPER SERIES A SIMPLE TEST OF THE EFFECT OF INTEREST RATE DEFENSE. Allan Drazen Stefan Hubrich

NBER WORKING PAPER SERIES A SIMPLE TEST OF THE EFFECT OF INTEREST RATE DEFENSE. Allan Drazen Stefan Hubrich NBER WORKING PAPER ERIE A IMPLE TET OF THE EFFECT OF INTERET RATE DEFENE Allan Drazen efan Hubrich Working Paper 12616 hp://www.nber.org/papers/w12616 NATIONAL BUREAU OF ECONOMIC REEARCH 1050 Massachuses

More information

Employment, Family Union, and Childbearing Decisions in Great Britain

Employment, Family Union, and Childbearing Decisions in Great Britain Employmen, Family Union, and Childbearing Decisions in Grea Briain Arnsein Aassve Simon Burgess Carol Propper Ma Dickson Conens 1. Inroducion... 1 2. Daa... 3 Union formaion and dissoluion... 3 Employmen

More information

Hi-Stat. Discussion Paper Series. Estimating Production Functions with R&D Investment and Edogeneity. No.229. Young Gak Kim.

Hi-Stat. Discussion Paper Series. Estimating Production Functions with R&D Investment and Edogeneity. No.229. Young Gak Kim. Hi-Sa Discussion Paper Series No.229 Esimaing Producion Funcions wh R&D Invesmen and Edogeney Young Gak Kim December 2007 Hosubashi Universy Research Un for Saisical Analysis in Social Sciences A 21s-Cenury

More information

Sustainability of external imbalances in the OECD countries *

Sustainability of external imbalances in the OECD countries * Susainabiliy of exernal imbalances in he OECD counries * Oscar Bajo-Rubio (Universidad de Casilla-La Mancha) Carmen Díaz-Roldán (Universidad de Casilla-La Mancha) Vicene Eseve (Universidad de Valencia

More information

Applicability of Investment and Profitability Effects in Asset Pricing Models

Applicability of Investment and Profitability Effects in Asset Pricing Models Disponível em hp://www.anpad.org.br/rac RAC, Rio de Janeiro, v. 21, n. 6, ar. 6, pp. 851-874, Novembro/Dezembro, 2017 hp://dx.doi.org/10.1590/1982-7849rac2017170027 Applicabiliy of Invesmen and Profiabiliy

More information

A Macro Assessment of China Effects on Malaysian Exports and Trade Balances

A Macro Assessment of China Effects on Malaysian Exports and Trade Balances MPRA Munich Personal RePEc Archive A Macro Assessmen of China Effecs on Malaysian Expors and Trade Balances Tze-Haw Chan and Hooi Hooi Lean and Chee Wooi Hooy Graduae School of Business, Universii Sains

More information

DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES. Working Papers on International Economics and Finance

DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES. Working Papers on International Economics and Finance DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES Working Papers on Inernaional Economics and Finance DEFI 11-07 Ocober 2011 Susainabiliy of exernal imbalances in he OECD counries Oscar Bajo-Rubio Carmen

More information

Analysis of Egyptian Grapes Market Shares in the World Markets

Analysis of Egyptian Grapes Market Shares in the World Markets American-Eurasian J. Agric. & Environ. Sci., 3 (4): 656-66, 008 ISSN 1818-6769 IDOSI Publicaions, 008 Analysis of Egypian Grapes Marke Shares in he World Markes Hamdi A. El- Sawalhy, Mohamed G.M. Abou

More information

Application of Peleg Model to Study Water Absorption in Bean and Chickpea During Soaking

Application of Peleg Model to Study Water Absorption in Bean and Chickpea During Soaking Applicaion of Peleg Model o Sudy Waer Absorpion in Bean and Chickpea During Soaking A. A. Masoumi * Assisan Professor, Deparmen of Farm Machinery. Isfahan Universiy of Technology, IUT Isfahan, Iran 8456-83

More information

What Determines the Future Value of an Icon Wine? New Evidence from Australia. Danielle Wood

What Determines the Future Value of an Icon Wine? New Evidence from Australia. Danielle Wood Wha Deermines he Fuure Value of an Icon Wine? New Evidence from Ausralia Danielle Wood Produciviy Commission Melbourne dwood@pc.gov.au and Kym Anderson (corresponding auhor) School of Economics and Cenre

More information

Inter-regional Transportation and Economic Development: A Case Study of Regional Agglomeration Economies in Japan

Inter-regional Transportation and Economic Development: A Case Study of Regional Agglomeration Economies in Japan Iner-regional Transporaion and Economic Developmen: A Case Sudy of Regional Agglomeraion Economies in Japan Jepan Wewioo a and Hironori Kao b a Deparmen of Civil Engineering, The Universiy of Tokyo 7-3-1,

More information

Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets

Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets MPRA Munich Personal RePEc Archive Unravelling he underlying causes of price volailiy in world coffee and cocoa commodiy markes Noemie Maurice and Junior Davis UNCTAD 011 Online a hps://mpra.ub.uni-muenchen.de/43813/

More information

This paper can be downloaded without charge from the Social Sciences Research Network Electronic Paper Collection:

This paper can be downloaded without charge from the Social Sciences Research Network Electronic Paper Collection: = = = = = = = Working Paper A Regime Shif Model of he Recen Housing Bubble in he Unied Saes Rober Van Order Sephen M. Ross School of Business a he Universiy of Michigan Rose Neng Lai Universiy of Macau

More information

Accounting Fundamentals and Variations of Stock Price: Forward Looking Information Inducement

Accounting Fundamentals and Variations of Stock Price: Forward Looking Information Inducement Accouning Fundamenals and Variaions of Sock Price: Forward Looking Informaion Inducemen Sumiyana Gadjah Mada Universiy Absrac This sudy invesigaes a permanen issue abou low associaion beween accouning

More information

CO2 Emissions, Research and Technology Transfer in China

CO2 Emissions, Research and Technology Transfer in China MPRA Munich Personal RePEc Archive CO2 Emissions, Research and Technology Transfer in China Ang, James Monash Universiy 09. February 2009 Online a hp://mpra.ub.uni-muenchen.de/13261/ MPRA Paper No. 13261,

More information

On the relationship between inventory and financial performance in manufacturing companies Vedran Capkun HEC Paris, Paris, France

On the relationship between inventory and financial performance in manufacturing companies Vedran Capkun HEC Paris, Paris, France The curren issue and full ex archive of his journal is available a www.emeraldinsigh.com/0144-3577.hm On he relaionship beween invenory and financial performance in manufacuring companies Vedran Capkun

More information

Prices of Raw Materials, Budgetary Earnings and Economic Growth: A Case Study of Côte d Ivoire

Prices of Raw Materials, Budgetary Earnings and Economic Growth: A Case Study of Côte d Ivoire Prices of Raw Maerials, Budgeary Earnings and Economic Growh: A Case Sudy of Côe d Ivoire Nguiakam Sandrine 1 and Kabore Augusin 1 Ciaion: CTA and FARA. 2011. Agriculural Innovaions for Susainable Developmen.

More information

Working Paper

Working Paper Inernaional Nework for Economic Research Working Paper 010.1 Modelling he Cyclical Behaviour of Wine Producion in he Douro Region Using a Time-Varying Parameers Approach by Mario Cunha (Universidade do

More information

Paper for Annual Meeting 2015 Abstract. World Trade Flows in Photovoltaic Cells: A Gravity Approach Including Bilateral Tariff Rates * Abstract

Paper for Annual Meeting 2015 Abstract. World Trade Flows in Photovoltaic Cells: A Gravity Approach Including Bilateral Tariff Rates * Abstract Paper for Annual Meeing 2015 Absrac World Trade Flows in Phoovolaic Cells: A Graviy Approach Including Bilaeral Tariff Raes * Asuko Masumura (Tokyo Inernaional Universiy) Absrac This paper invesigaes he

More information

Monetary Policy Impacts on Cash Crop Coffee and Cocoa Using. Structural Vector Error Correction Model

Monetary Policy Impacts on Cash Crop Coffee and Cocoa Using. Structural Vector Error Correction Model Moneary Policy Imacs on Cash Cro Coffee and Cocoa Using Srucural Vecor Error Correcion Model By Ibrahim Bamba Michael Reed Preared for resenaion a he Meeing of American Agriculural Economiss Associaion,

More information

Essays on Board of Directors External Connections. Sehan Kim. B.A., Applied Statistics, Yonsei University, 2001

Essays on Board of Directors External Connections. Sehan Kim. B.A., Applied Statistics, Yonsei University, 2001 Essays on Board of Direcors Exernal Connecions by Sehan Kim B.A., Applied Saisics, Yonsei Universiy, 2001 M.S., Saisics, Purdue Universiy, 2008 Submied o he Graduae Faculy of The Joseph M. Kaz Graduae

More information

PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS

PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS MARTA-COSTA A., MARTINHO V., SANTOS M., Regional Science Inquiry, Vol. IX, (2), 2017, pp. 97-107 97 PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS Ana MARTA-COSTA Corresponding auhor. Assisan Professor.

More information

POLICY RELEVANCE SUMMARY

POLICY RELEVANCE SUMMARY POLICY RELEVANCE SUMMARY Ensuring Food Securiy in Ghana The Role of Maize Sorage Sysems. Paul W. Armah and Felix Asane 1 Research Findings and Policy Relevance-Summary 1. Research Framework and Objecives

More information

LIQUID FLOW IN A SUGAR CENTRIFUGAL

LIQUID FLOW IN A SUGAR CENTRIFUGAL LIQUID FLOW IN A SUGAR CENTRIFUGAL C.P. Please, N.D. Fowkes, D.P. Mason, C.M. Khalique, A. Huchinson and M. C. Rademeyer Indusry represenaives Richard Loubser and Seve Davis Absrac Massecuie is a mixure

More information

PRODUCTION PERFORMANCE OF MAIZE IN INDIA : APPROACHING AN INFLECTION POINT

PRODUCTION PERFORMANCE OF MAIZE IN INDIA : APPROACHING AN INFLECTION POINT In. J. Agricul. Sa. Sci., Vol. 10, No. 1, pp. 241-248, 2014 ISSN : 0973-1903 ORIGINAL ARTICLE PRODUCTION PERORMANCE O MAIZE IN INDIA : APPROACHING AN INLECTION POINT Ranji Kumar*, K. Srinivas, Naveen Kumar

More information

Deakin Research Online

Deakin Research Online Deakin Research Online This is he published version: Widjaja, Wany 2010, Modelling he cooling of coffee : insighs from a preliminary sudy in Indonesia, in MERGA 2010 : Shaping he fuure of mahemaics educaion

More information

IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA. Jonq-Ying Lee and Daniel S. Tilley

IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA. Jonq-Ying Lee and Daniel S. Tilley SOUTHERN JOURNAL OF AGRICULTURAL ECONOMICS DECEMBER, 1983 IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA Jonq-Ying Lee and Daniel S. Tilley Canada is he mos imporan U.S. expor

More information

The Role of Infrastructure Investment Location in China s Western Development

The Role of Infrastructure Investment Location in China s Western Development The Role of Infrasrucure Invesmen Locaion in China s Wesern Developmen By Xubei Luo Developmen of he wesern region is vial o he balanced growh of China. Luo sudies he impacs of infrasrucure invesmen ha

More information

Jordan Journal of Mathematics and Statistics (JJMS) 8(3), 2015, pp

Jordan Journal of Mathematics and Statistics (JJMS) 8(3), 2015, pp Jordan Journal of Mahemaics and Saisics (JJMS) 8(3), 015, pp. 57-70 FORECASTING THE TEA PRODUCTION OF BANGLADESH:APPLICATION OF ARIMA MODEL ** MD. MOYAZZEM HOSSAIN (1) AND FARUQ ABDULLA () ABSTRACT: Bangladesh

More information

The Determinants of Supply of Kenya s Major Agricultural Crop Exports from 1963 to 2012

The Determinants of Supply of Kenya s Major Agricultural Crop Exports from 1963 to 2012 Inernaional Journal of Buine, Humaniie and Technology Vol. 3 No. 5; May 13 The Deerminan of Supply of Kenya Major Agriculural Crop Expor from 1963 o 1 Leniy Kananu Maugu Lecurer in Economic, Chuka Univeriy

More information

Citation for published version (APA): Hai, L. T. D. (2003). The organization of the liberalized rice market in Vietnam s.n.

Citation for published version (APA): Hai, L. T. D. (2003). The organization of the liberalized rice market in Vietnam s.n. Universiy of Groningen The organizaion of he liberalized rice marke in Vienam Hai, L.T.D. IMPORTNT NOTE: You are advised o consul he ublisher's version (ublisher's PDF) if you wish o cie from i. Please

More information

Final Exam Financial Data Analysis (6 Credit points/imp Students) March 2, 2006

Final Exam Financial Data Analysis (6 Credit points/imp Students) March 2, 2006 Dr. Roland Füss Winter Term 2005/2006 Final Exam Financial Data Analysis (6 Credit points/imp Students) March 2, 2006 Note the following important information: 1. The total disposal time is 60 minutes.

More information

TABIE l.~ Yields of Southern Peas In Relation to Seed Coat Color and Season. Pounds per Acre of "Whole-Pod F^asgT 19?5-196l#

TABIE l.~ Yields of Southern Peas In Relation to Seed Coat Color and Season. Pounds per Acre of Whole-Pod F^asgT 19?5-196l# HALSEY: SOUTHERN PEAS 233 SOUTHERN PEA VARIETIES, CULTURE AND HARVESTING AS RELATED TO PRODUCTION FOR HANDLING AND PROCESSING L. H. Halsey Florida Agriculural Experimen Saion Gainesville Much emphasis

More information

Working Paper Series. The reception of. in financial markets what if central bank communication becomes stale? No 1077 / august 2009

Working Paper Series. The reception of. in financial markets what if central bank communication becomes stale? No 1077 / august 2009 Woring Paper Series No 1077 / augus 009 The recepion of pubic signas in financia mares wha if cenra ban communicaion becomes sae? by Michae Ehrmann and David Sondermann WORKING PAPER SERIES NO 1077 / AUGUST

More information

Effects of Policy Reforms on Price Transmission and Price Volatility in Coffee Markets: Evidence from Zambia and Tanzania

Effects of Policy Reforms on Price Transmission and Price Volatility in Coffee Markets: Evidence from Zambia and Tanzania Aus dem Insiu für Ernährung und Verbrauchslehre der Chrisian-Albrechs- Universiä zu Kiel Effecs of Policy Reforms on Price Transmission and Price Volailiy in Coffee Markes: Evidence from Zambia and Tanzania

More information

The R&D-patent relationship: An industry perspective

The R&D-patent relationship: An industry perspective Université Libre de Bruxelles (ULB) Solvay Brussels School of Economics and Management (SBS-EM) European Center for Advanced Research in Economics and Statistics (ECARES) The R&D-patent relationship: An

More information

Economics of grape production in Marathwada region of Maharashtra state

Economics of grape production in Marathwada region of Maharashtra state Volume 5 Issue 2 Sepember, 2014 179-183 e ISSN-2231-6434 Inernaional Research Journal of Agriculural Economics and Saisics Visi Us - www.researchjournal.co.in DOI : 10.15740/HAS/IRJAES/5.2/179-183 Research

More information

Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities

Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities risks Article Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities Zaghum Umar 1, * and Tahir Suleman 2 1 Suleman Dawood School of Business, Lahore University of Management

More information

Lack of Credibility, Inflation Persistence and Disinflation in Colombia

Lack of Credibility, Inflation Persistence and Disinflation in Colombia Lack of Credibility, Inflation Persistence and Disinflation in Colombia Second Monetary Policy Workshop, Lima Andrés González G. and Franz Hamann Banco de la República http://www.banrep.gov.co Banco de

More information

Valuation in the Life Settlements Market

Valuation in the Life Settlements Market Valuation in the Life Settlements Market New Empirical Evidence Jiahua (Java) Xu 1 1 Institute of Insurance Economics University of St.Gallen Western Risk and Insurance Association 2018 Annual Meeting

More information

Fair Trade and Free Entry: Can a Disequilibrium Market Serve as a Development Tool? Online Appendix September 2014

Fair Trade and Free Entry: Can a Disequilibrium Market Serve as a Development Tool? Online Appendix September 2014 Fair Trade and Free Entry: Can a Disequilibrium Market Serve as a Development Tool? 1. Data Construction Online Appendix September 2014 The data consist of the Association s records on all coffee acquisitions

More information

Gail E. Potter, Timo Smieszek, and Kerstin Sailer. April 24, 2015

Gail E. Potter, Timo Smieszek, and Kerstin Sailer. April 24, 2015 Supplementary Material to Modelling workplace contact networks: the effects of organizational structure, architecture, and reporting errors on epidemic predictions, published in Network Science Gail E.

More information

wine 1 wine 2 wine 3 person person person person person

wine 1 wine 2 wine 3 person person person person person 1. A trendy wine bar set up an experiment to evaluate the quality of 3 different wines. Five fine connoisseurs of wine were asked to taste each of the wine and give it a rating between 0 and 10. The order

More information

Ethyl Carbamate Production Kinetics during Wine Storage

Ethyl Carbamate Production Kinetics during Wine Storage Ehyl Carbamae Producion Kineics during Wine Sorage J. Xue,*, F. Fu, M. Liang, C. Zhao, D. Wang, Y. Wu * () China Naional Research Insiue for Food and Fermenaion Indusries, Beijing 7, China () Deparmen

More information

Asia-Pacific Interest Rate Movements: A Tale Of A Two-Horse Sleigh. Do Quoc Tho Nguyen, Thi Thu Ha Phi, Thuy-Duong Tô * Abstract

Asia-Pacific Interest Rate Movements: A Tale Of A Two-Horse Sleigh. Do Quoc Tho Nguyen, Thi Thu Ha Phi, Thuy-Duong Tô * Abstract Asia-Paifi Ineres Rae Movemens: A Tale Of A Two-Horse Sleig Do Quo To Nguyen, Ti Tu Ha Pi, Tuy-Duong Tô * Absra We sudy e spillover effes of e U.S. s and e euro area s maroeonomi news on e Asia-Paifi ineres

More information

Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market

Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market Marke Poer in Inernaional Commodiy Processing Chains: Preliminary Resuls from he Coffee Marke Ben Sheherd March 2004 The vies exressed in his aer are hose of he auhor. They do no necessarily reflec hose

More information

The Bank Lending Channel of Conventional and Unconventional Monetary Policy: A Euro-area bank-level Analysis

The Bank Lending Channel of Conventional and Unconventional Monetary Policy: A Euro-area bank-level Analysis The Bank Lending Channel of Conventional and Unconventional Monetary Policy: A Euro-area bank-level Analysis by U. Albertazzi, A. Nobili and F. Signoretti (Banca d Italia) Workshop : Effectiveness and

More information

Missing value imputation in SAS: an intro to Proc MI and MIANALYZE

Missing value imputation in SAS: an intro to Proc MI and MIANALYZE Victoria SAS Users Group November 26, 2013 Missing value imputation in SAS: an intro to Proc MI and MIANALYZE Sylvain Tremblay SAS Canada Education Copyright 2010 SAS Institute Inc. All rights reserved.

More information

Flexible Working Arrangements, Collaboration, ICT and Innovation

Flexible Working Arrangements, Collaboration, ICT and Innovation Flexible Working Arrangements, Collaboration, ICT and Innovation A Panel Data Analysis Cristian Rotaru and Franklin Soriano Analytical Services Unit Economic Measurement Group (EMG) Workshop, Sydney 28-29

More information

Trade Integration and Method of Payments in International Transactions

Trade Integration and Method of Payments in International Transactions Trade Integration and Method of Payments in International Transactions Veysel Avşar College of Business - TAMUCC & Alexis Habiyaremye Human Sciences Research Council Cape Town, South Africa Introduction

More information

Imputation of multivariate continuous data with non-ignorable missingness

Imputation of multivariate continuous data with non-ignorable missingness Imputation of multivariate continuous data with non-ignorable missingness Thais Paiva Jerry Reiter Department of Statistical Science Duke University NCRN Meeting Spring 2014 May 23, 2014 Thais Paiva, Jerry

More information

Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing? Mindy L. Mallory and Sergio H. Lence September 17, 2010

Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing? Mindy L. Mallory and Sergio H. Lence September 17, 2010 Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing? Mindy L. Mallory and Sergio H. Lence September 17, 2010 Cointegration Analysis, Commodity Prices What is cointegration analysis?

More information

ICC September 2018 Original: English. Emerging coffee markets: South and East Asia

ICC September 2018 Original: English. Emerging coffee markets: South and East Asia ICC 122-6 7 September 2018 Original: English E International Coffee Council 122 st Session 17 21 September 2018 London, UK Emerging coffee markets: South and East Asia Background 1. In accordance with

More information

Multiple Imputation for Missing Data in KLoSA

Multiple Imputation for Missing Data in KLoSA Multiple Imputation for Missing Data in KLoSA Juwon Song Korea University and UCLA Contents 1. Missing Data and Missing Data Mechanisms 2. Imputation 3. Missing Data and Multiple Imputation in Baseline

More information

Pitfalls for the Construction of a Welfare Indicator: An Experimental Analysis of the Better Life Index

Pitfalls for the Construction of a Welfare Indicator: An Experimental Analysis of the Better Life Index Clemens Hetschko, Louisa von Reumont & Ronnie Schöb Pitfalls for the Construction of a Welfare Indicator: An Experimental Analysis of the Better Life Index University Alliance of Sustainability Spring

More information

Zeitschrift für Soziologie, Jg., Heft 5, 2015, Online- Anhang

Zeitschrift für Soziologie, Jg., Heft 5, 2015, Online- Anhang I Are Joiners Trusters? A Panel Analysis of Participation and Generalized Trust Online Appendix Katrin Botzen University of Bern, Institute of Sociology, Fabrikstrasse 8, 3012 Bern, Switzerland; katrin.botzen@soz.unibe.ch

More information

BORDEAUX WINE VINTAGE QUALITY AND THE WEATHER ECONOMETRIC ANALYSIS

BORDEAUX WINE VINTAGE QUALITY AND THE WEATHER ECONOMETRIC ANALYSIS BORDEAUX WINE VINTAGE QUALITY AND THE WEATHER ECONOMETRIC ANALYSIS WINE PRICES OVER VINTAGES DATA The data sheet contains market prices for a collection of 13 high quality Bordeaux wines (not including

More information

Burgers. get 1. case BIG BUCK$ free! up to. Buy 2. cases. $5 per $ Need a Bit More Inspiration? Merchandising Ideas! Savings & ( Menu Ideas

Burgers. get 1. case BIG BUCK$ free! up to. Buy 2. cases. $5 per $ Need a Bit More Inspiration? Merchandising Ideas! Savings & ( Menu Ideas Big Reurns Buy 2 cases ge 1 free! Purchase 2 cases of any qualifying producs lised on back and riden will reimburse he value of 1 case up o $70.00. rebae valid on 2 case purchase only 1. Complee he rebae

More information

Variation and Its Distribution in Wild Cacao Populations from the Brazilian Amazon

Variation and Its Distribution in Wild Cacao Populations from the Brazilian Amazon 507 Vol.46, n. 4 : pp. 507-514, December 003 ISSN 1516-8913 Prined in Brazil BRAZILIAN ARCHIVES OF BIOLOGY AND TECHNOLOGY AN INTERNATIONAL JOURNAL Variaion and Is Disribuion in Wild Cacao Populaions from

More information

Simulating extended reproduction Poverty reduction and class dynamics in Bolivia

Simulating extended reproduction Poverty reduction and class dynamics in Bolivia Simulain exended reroducion Povery reducion and class dynamics in Bolivia a Jore Buzalo b and Alvaro Calzadilla a Dearmen of Economics, Göebor Universiy. b ZMAW, Research Uni Susainabiliy and Global Chane

More information

STOCHASTIC LONG MEMORY IN TRADED GOODS PRICES

STOCHASTIC LONG MEMORY IN TRADED GOODS PRICES STOCHASTIC LONG MEMORY IN TRADED GOODS PRICES John T. Barkoulas Department of Economics Boston College Chestnut Hill, MA 02167 USA tel. 617-552-3682 fax 617-552-2308 email: barkoula@bcaxp1.bc.edu Christopher

More information

Online Appendix to. Are Two heads Better Than One: Team versus Individual Play in Signaling Games. David C. Cooper and John H.

Online Appendix to. Are Two heads Better Than One: Team versus Individual Play in Signaling Games. David C. Cooper and John H. Online Appendix to Are Two heads Better Than One: Team versus Individual Play in Signaling Games David C. Cooper and John H. Kagel This appendix contains a discussion of the robustness of the regression

More information

Pub mentors. Greets Inn, Warnham. The Great Lyde, Yeovil. The Elephant, Bristol. College Arms, Stratford

Pub mentors. Greets Inn, Warnham. The Great Lyde, Yeovil. The Elephant, Bristol. College Arms, Stratford Pub menors Offering help in overcoming he significan challenges facing pubs is he key heme of Pub Menor, he brand-new join iniiaive from Coca-Cola Enerprises Open More Business and he Publican s Morning

More information

Statistics & Agric.Economics Deptt., Tocklai Experimental Station, Tea Research Association, Jorhat , Assam. ABSTRACT

Statistics & Agric.Economics Deptt., Tocklai Experimental Station, Tea Research Association, Jorhat , Assam. ABSTRACT Two and a Bud 59(2):152-156, 2012 RESEARCH PAPER Global tea production and export trend with special reference to India Prasanna Kumar Bordoloi Statistics & Agric.Economics Deptt., Tocklai Experimental

More information

STATE OF THE VITIVINICULTURE WORLD MARKET

STATE OF THE VITIVINICULTURE WORLD MARKET STATE OF THE VITIVINICULTURE WORLD MARKET April 2015 1 Table of contents 1. 2014 VITIVINICULTURAL PRODUCTION POTENTIAL 3 2. WINE PRODUCTION 5 3. WINE CONSUMPTION 7 4. INTERNATIONAL TRADE 9 Abbreviations:

More information

Appendix A. Table A.1: Logit Estimates for Elasticities

Appendix A. Table A.1: Logit Estimates for Elasticities Estimates from historical sales data Appendix A Table A.1. reports the estimates from the discrete choice model for the historical sales data. Table A.1: Logit Estimates for Elasticities Dependent Variable:

More information

The Sources of Risk Spillovers among REITs: Asset Similarities and Regional Proximity

The Sources of Risk Spillovers among REITs: Asset Similarities and Regional Proximity The Sources of Risk Spillovers among REITs: Asset Similarities and Regional Proximity Zeno Adams EBS Business School Roland Füss EBS Business School ZEW Mannheim Felix Schinder ZEW Mannheim Steinbeis University

More information

Investment Wines. - Risk Analysis. Prepared by: Michael Shortell & Adiam Woldetensae Date: 06/09/2015

Investment Wines. - Risk Analysis. Prepared by: Michael Shortell & Adiam Woldetensae Date: 06/09/2015 Investment Wines - Risk Analysis Prepared by: Michael Shortell & Adiam Woldetensae Date: 06/09/2015 Purpose Look at investment wines & examine factors that affect wine prices over time We will identify

More information

Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches

Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches James J. Fogarty a* and Callum Jones b a School of Agricultural and Resource Economics, The University of Western Australia,

More information

Discussion Papers. John Beirne Guglielmo Maria Caporale Marianne Schulze-Ghattas Nicola Spagnolo

Discussion Papers. John Beirne Guglielmo Maria Caporale Marianne Schulze-Ghattas Nicola Spagnolo Deutsches Institut für Wirtschaftsforschung www.diw.de Discussion Papers 942 John Beirne Guglielmo Maria Caporale Marianne Schulze-Ghattas Nicola Spagnolo Global and Regional Spillovers in Emerging Stock

More information

Simulating extended reproduction

Simulating extended reproduction Conference on Develoin Quaniaive Marxism Aril 2008, Universiy of Brisol Simulain exended reroducion Povery reducion and class dynamics in Bolivia Jore Buzalo a and Alvaro Calzadilla b a Dearmen of Economics,

More information

Notes on the Philadelphia Fed s Real-Time Data Set for Macroeconomists (RTDSM) Capacity Utilization. Last Updated: December 21, 2016

Notes on the Philadelphia Fed s Real-Time Data Set for Macroeconomists (RTDSM) Capacity Utilization. Last Updated: December 21, 2016 1 Notes on the Philadelphia Fed s Real-Time Data Set for Macroeconomists (RTDSM) Capacity Utilization Last Updated: December 21, 2016 I. General Comments This file provides documentation for the Philadelphia

More information