Market Backwardation and The Theory of Storage: An Empirical Investigation of Indian Gold Futures Markets

The backwardation and contango in the futures markets are explained by two popular theories, namely the theory of storage and the theory of risk premium. The investment assets tend to follow the theory of risk premium, whereas the consumption assets are likely to follow the theory of storage. As India is the largest importer of gold, and gold is used for consumption purposes (mostly by jewellers, who store gold as a consumption commodity), we empirically test whether backwardation in the gold market is explained by the theory of storage. We use the indirect test of the theory of storage developed by Fama and French (1988 , Journal of Finance, Vol. 4, p. 1075), calculate the interest adjusted basis (IAB) and test the implications of the theory of storage. We also use two asymmetric models of the Generalized Autoregressive Conditional Heteroscedastic (GARCH) family to understand the asymmetric volatility of IAB. We find that the Indian gold futures markets partially follow the theory of storage; however, we do not find any support of asymmetric behaviour of IAB in the contango and backwardation markets. Our results suggest that in the context of the Indian gold market, keeping inventory has minimal benefits, and gold behaves more like an investment asset.

COVID-19 as Information Transmitter to Global Equity Markets: Evidence from CEEMDAN-Based Transfer Entropy Approach

This study provides an analysis of chaotic information transmission from the COVID-19 pandemic to global equity markets in a novel denoised frequency domain entropy framework. The current length of the pandemic data offers the opportunity to examine its role in the asymmetric behaviour patterns of investors according to time horizons and the diversification potentials available to them. We employ the total daily global confirmed cases of COVID-19 and 27 equity indices from December 31, 2019, to April 18, 2021. Our results corroborate the idea that diversification potentials are stronger in the short to medium term. The Global Index (higher risk) and Canada and New Zealand (lower risk) remain at both ends to pair some other equities to offer diversification prospects because of the transmission of information from COVID-19 to the selected equity markets. In addition, we provide the source of these diversification prospects as information flow rather than transmission of shocks, which is common in the literature. Furthermore, our results suggest detailed levels of risk (lower vis-à-vis higher) in the situation where they have been stripped of the noise in the market. The findings allow both investors and policymakers to make informed decisions based on the time horizons since the pandemic communicates different chaotic information with the lapse of time. This is imperative to avoid the negative consequences of the increasing infection rate on global stock markets.

ASYMMETRIC ADJUSTMENT OF THE SECTORIAL LENDINGDEPOSIT RATE SPREAD IN FIJI

This study investigates the asymmetric adjustment of the sectorial lending-deposit rate spread in Fiji’s banking industry using monthly data from January 2000 to February 2020. The study uses the threshold autoregressive and the momentum threshold autoregressive models to test for cointegration and to detect asymmetries. The analysis provides evidence of an asymmetric adjustment process in the sectorial lending deposit rate spread among Fijian commercial banks. This finding has important policy implications and provides better understanding of the asymmetric behaviour in Fiji’s banking industry.

Characterisation of Atlantic meridional overturning hysteresis using Langevin dynamics

Hysteresis diagrams of the Atlantic meridional overturning circulation (AMOC) under freshwater forcing from climate models of intermediate complexity are fitted to a simple model based on the Langevin equation. A total of six parameters are sufficient to quantitatively describe the collapses seen in these simulations. Reversing the freshwater forcing results in asymmetric behaviour that is less well captured and appears to require a more complicated model. The Langevin model allows for comparison between models that display an AMOC collapse. Differences between the climate models studied here are mainly due to the strength of the stable AMOC and the strength of the response to a freshwater forcing.

Does Globalization Asymmetrically Affect CO2 Emissions in Pakistan? A New Evidence through NARDL Approach

The study examines the impact of globalization and institutional quality on environmental degradation in Pakistan. The study employs symmetric and asymmetric Autoregressive Distributed Lag Model (ARDL) at a time to check the linear and nonlinear effect of globalization on the environment over 1985 to 2017. The long-run findings of linear ARDL shows globalization affect positively to the environment and all other control variables FDI, GDP are significant with a positive sign while institutional quality and the interaction term of globalization and institutional quality is significant with a negative sign. The study also finds the marginal effect of interaction term and found that globalization has a different effect on the environment with different level of institutional quality. The linear ARDL model is not suitable to check the asymmetric behaviour of globalization on the environment. For this, the study applied a nonlinear ARDL estimation method. The findings of the nonlinear ARDL model showed the asymmetric behaviour of globalization on the environment. This study provides a new direction by proving the asymmetric relationship of globalization on environment quality that is more beneficial for policymakers and government officials.

Collapse of the Atlantic Meridional Overturning described by Langevin dynamics

Using a machine learning technique, collapse trajectories of the Atlantic Meridional Overturning Circulation from climate models of intermediate complexity are fitted to a simple model based on the Langevin equation. A total of six parameters are sufficient to quantitatively describe the collapses seen in these simulations under a freshwater forcing. Reversing the freshwater forcing results in asymmetric behaviour that is less well captured and would require a more complicated model.

Keynes, Kalecki and Metzler in a dynamic distribution model

This paper focuses on the dynamics analysis from the ultra-short to the short period from a Post-Keynesian perspective. It is argued that the construction of both the short-run and the long-run models are based on the critical assumption of an equilibrium between aggregate demand and aggregate supply. Starting from the work by Metzler (1941. The nature and stability of inventory cycles, The Review of Economic Statistics, 113–29), the issue of equilibrium and stability is investigated inside a Keynesian–Kaleckian perspective. The suggested model analyses under which conditions the standard Kaleckian conclusions are still valid considering a disequilibrium situation. Two scenarios are simulated: one with fixed expectations as in Metzler (1941. The nature and stability of inventory cycles, The Review of Economic Statistics, 113–29) and another based on adaptive expectations and asymmetric behaviour of the wages–unemployment relation. The model questions the effective demand labour curve and suggests that an increase in real autonomous expenditures, mainly by the government, might be even more essential than what is generally considered in the Kaleckian literature, to avoid increasing unemployment a world with increasing wages.

About the Dependence of Breakthrough Curves on Flow Direction in Column Experiments of Transport across a Sharp Interface Separating Different Porous Materials

Conservative transport experiments with layered porous materials (coarse-grained vs. fine-grained) were performed through experimental cylindrical columns to assess the possible occurrence of interface processes at the discontinuity between media with different hydrodynamic and hydrodispersive properties, as proposed by some authors in the past based on modelling and experimental results. The outcomes of the present work show that, under certain conditions, the breakthrough curves (BTCs) obtained for flow through the coarse-grained and then through the fine-grained media (CtF) or vice versa (FtC) can differ. More specifically, an asymmetric behaviour is observed for cases when the ratio between the column and grain diameters is small. Moreover, the discrepancies between CtF and FtC BTCs are enhanced for low flow rates and low quantity of injected solute.