C. B. Baker is a professor ofagricultural economics at the University of Illinois, Urbana-Champaign. This paper was presented at the annual meeting ofthe Federal Reserve System Committee on Agriculture and Rural Development held at the Federal Reserve Bank of St. Louis on May 21, 1987. ‘See Melichar (1987). 2Ibid. crated product innovations and changes in management practices in financial marke...

The estimation of the impact of macroeconomic announcements on the Brazilian futures markets is used to uncover the relationship between macroeconomic fundamentals and asset prices. Using intraday data from October 2008 to January 2011, we find that external macroeconomic announcements dominate price changes in the Foreign Exchange and Ibovespa markets, while the impact of the domestic ones is ...

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily data for 107 pairs of bonds, we present unambiguous evidence that trades on EuroMTS have a sizeable in...

This study tested for spatial integration in the rice market and the substitution of imported rice for local rice in Ghana. It is established that the markets for domestic imported rice are well-integrated, but not complete. The imperfect spatial integration of domestic foreign rice markets implies that the market provides opportunities for arbitrage. Price leadership roles are found to be dete...

Sovereign debt crises in emerging markets are usually associated with liquidity and banking crises within the economy. This connection is suggested by both anecdotical and empirical evidence. The conventional view is that the domestic financial turmoil is caused by foreign creditors’ retaliation. Yet, there is no clear-cut evidence supporting the existence of “classic” default penalties (e.g., ...

It is quite established by now both within and outside the country that the economic fundamentals in Pakistan have taken a turn for better during the last four and a half years. For the first time Pakistan has successfully completed a four-year programme with the IMF and has decided to exit from its supervision and monitoring. The international financial markets have reposed their confidence in...

Firms in developing countries typically cite credit constraints as one of their primary obstacles to investment. By bringing in scarce capital, it is often argued that foreign direct investment may ease domestic firms’ credit constraints. Alternatively, if foreign firms borrow heavily from domestic banks, they may exacerbate domestic firms’ credit constraints by crowding them out of domestic ca...

We observe different market reactions whether firms based in emerging countries issue equity locally or abroad. This result suggests that the decision on where to issue may convey information regarding the value of the firm. Constructing indexes for market openness and information disclosure, we empirically find that the probability of issuing in international markets decreases by seven percent...

The current international integration of financial markets provides a channel for currency depreciation to affect stock prices. Moreover, the recent financial crisis in Asia with its accompanying exchange rate volatility affords a case study to examine that channel. This paper applies a bivariate GARCH-M model of the reduced form of stock market returns to investigate empirically the effects of...