Darnell B. Smith

Reconciling Chinese Meat Production and Consumption Data

Suggests that apparent inconsistencies in published statistics for Chinas livestock sector raise questions about the validity of the underlying data. This paper provides a preliminary assessment of the magnitude of the discrepancies, and considers the implications of using published statistics as the basis for research. The authors use stylized facts to construct two alternative data sets that may be closer to actual production and consumption levels.

Fractional Cointegration and the False Rejection of the Law of One Price in International Commodity Markets

This study examines the Law of One Price (LOP) in international commodity markets using fractional cointegration analysis. For proper evaluation of the LOP, fractional cointegration analysis seems to be appropriate because of its flexibility in capturing a wider range of mean reversion behavior than standard cointegration analysis. Out of nine pairs of price series examined, fractional cointegration supports the existence of the LOP in eight cases, as compared to three cases using standard cointegration procedures. Overall, these results suggest that there is a long-run tendency for the LOP to hold for commodity prices.