Semei Leopoldo Coronado Ramírez

Adaptive market efficiency of agricultural commodity futures contracts

In this paper we investigate the adaptive market efficiency of the agricultural commodity futures market, using a sample of eight futures contracts. Using a battery of nonlinear tests, we uncover the nonlinear serial dependence in the returns series. We run the Hinich portmanteau bicorrelation test to uncover the moments in which the nonlinear serial dependence, and therefore adaptive market efficiency, occurs for our sample.

Inefficiency in the international coffee market: The case of Colombian arabica

In this paper, we apply a nonstructural approach to analyze coffee price returns behavior over time. In particular, we use the Hinich portmanteau statistic test (H) to detect nonlinear dependence of the International Colombian Arabica Coffee price return for the period of June 29, 1990 to July 1, 2010 (5,219 observations). Our results sheds light that in 10 out of 173 episodes, a standard volatility model like GARCH for instance, does not entirely capture all the nonlinearity patterns that are present in the data. And we report some events whose arrival might have induced nonlinear dynamics. Our findings also suggest that the weak form of the efficient markets hypothesis (EMH) cannot be supported in this market.

RECIPROCAL DUMPING AND ENVIRONMENTAL TAXES

This paper calculates the optimal tax of the emission of polluting agents in oligopolistic possess and under conditions of the reciprocal dumping, in which the firms count on the appropriate technology to decrease the pollution and can decide the amount of emissions generated. In this model the optimal tax mainly depends on the amount of the marginal disutility to pollute, as well as the abatement cost.

Pollution and Commerce Control between Emerging Countries

This work presents a mathematical model for reciprocal dumping and transboundary pollution, under a setting of oligopolistic competition. To control emissions, governments can establish two environmental regulation instruments: quotas and taxes. To do so, they calculate the optimal values for these variables and implement environmental policies, which aim to maximize the welfare function for both consumers and manufacturing companies and improve tax revenue and the social cost of polluting. With this model, we are able to conclude that when the social cost of polluting is high, governments should impose a quota for the level of pollution or a tax for contaminating. However, if the cost to abate pollution is high, the government may increase the pollution quota or reduce the tax.

Aplicación de bicorrelación cruzada al rendimiento diario del precio del café

En este trabajo se utiliza la metodologia de bicorrelacion cruzada, la cual permite capturar periodos de trascendencia no lineal por medio de funciones ventana y momentos de tercer orden. Esto se aplico al retorno de cuatro series de commodities del cafe (arabica colombiano, suave, brasileno y otras) que cotiza en el mercado de Nueva York durante el periodo del 20 de junio de 1997 al 27 de octubre de 2010. Los resultados muestran que existe una bicorrelacion entre las cuatro series, donde el lider es el cafe tipo brasileno y hay una menor bicorrelacion en los otros, lo que complica las decisiones de los inversionistas en este tipo de series.