One of the growing agricultural subsectors in developing countries is livestock. Livestock and livestock products account for a third of the agricultural gross output. However, the lack of viable livestock market information systems to increase efficiency of markets and support the decision making of traders, pastoralists, and policy makers are still an obstacle for a full development of this subsector. It is along these lines that the USAID, through the Global Livestock-Collaborative Research Support Program, supported the introduction of livestock market information systems in Kenya and Tanzania in 2003, and later in Mali in 2007. The overall objective of the dissertation is to test for cattle markets integration in three African developing countries of Mali, Kenya, and Tanzania. One way of assessing the efficiency of market and the impacts of liberalization policies is to test for market integration and price transmission. We also analyzed price leadership among the markets in each of the three case studies. Autoregressive models (vector autoregressive models and error correction model) were used to determine the level of cattle market integration. The results show a low level of cattle markets integration in Mali. The cattle markets in Mali are more-or-less independent with regard to price transmission among markets. Kenya cattle markets showed a good level of integration among the markets. Chepareria market in the Rift Valley region (west) seemed to lead other markets in price signal transmission. Tanzanian cattle markets exhibited a higher level of integration with Pugu market, in Dar es Salaam, leading other cattle markets in price signal transmission. In conclusion, the cattle markets in Tanzania and Kenya appeared to have a relatively higher level of market integration compared to the cattle markets in Mali. There is a reasonable belief that the time the livestock market information system has been in place, in each country, played a role in the market integration process. More time and better communications seem to have allowed the market actors to learn arbitrage skills and strengthen their trade relationships that ultimately led to the market integration.

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In this thesis I study two fields of empirical finance: market integration and economic forecasting. The first two chapters focus on studying regional integration of Mexican and U.S. equity markets. In the third chapter, I propose the use of the daily term structure of interest rates to forecast inflation. Each chapter is a free-standing essay that constitutes a contribution to the field of empirical finance and economic forecasting. In Chapter 1, I study the ability of multi-factor asset pricing models to explain the unconditional and conditional cross-section of expected returns in Mexico. Two sets of factors, local and foreign factors, are evaluated consistent with the hypotheses of segmentation and of integration of the international finance literature. Only one variable, the Mexican U.S. exchange rate, appears in the list of both foreign and local factors. Empirical evidence suggests that the foreign factors do a better job explaining the cross-section of returns in Mexico in both the unconditional and conditional versions of the model. This evidence provides some suggestive support for the hypothesis of integration of the Mexican stock exchange to the U.S. market. In Chapter 2, I study further the integration between Mexico and U.S. equity markets. Based on the result from chapter 1, I assume that the Fama and French factors are the mimicking portfolios of the underlying risk factors in both countries. Market integration implies the same prices of risk in both countries. I evaluate the performance of the asset pricing model under the hypothesis of segmentation (country dependent risk rewards) and integration over the 1990-2004 period. The results indicate a higher degree of integration at the end of the sample period. However, the degree of integration exhibits wide swings that are related to both local and global events. At the same time, the limitations that arise in empirical asset pricing methodologies with emerging market data are evident. The data set is short in length, has missing observations, and includes data from thinly traded securities. Finally, Chapter 3, coauthored with John Maheu and Alex Maynard, studies the ability of daily spreads at different maturities to forecast inflation. Many pricing models imply that nominal interest rates contain information on inflation expectations. This has lead to a large empirical literature that investigates the use of interest rates as predictors of future inflation. Most of these focus on the Fisher hypothesis in which the interest rate maturity matches the inflation horizon. In general, forecast improvements have been modest. Rather than use only monthly interest rates that match the maturity of inflation, this chapter advocates using the whole term structure of daily interest rates and their lagged values to forecast monthly inflation. Principle component methods are employed to combine information from interest rates across both the term structure and time series dimensions. Robust forecasting improvements are found as compared to the Fisher hypothesis and autoregressive benchmarks.

North America is the world’s largest pulp and paper producing region as well as the largest consuming region. An understanding of market integration is critical for designing relevant policies since it is important to improve national welfare and ensure long-run competitive market equilibrium. In addition, it is crucial for the Canadian industry to maintain the competitiveness for its pulp and paper products in the world market, because any deterioration in the performance of the Canadian pulp and paper industry will have negative social and economic impact on the well-being of Canada and affect Canadian balance of payment. This thesis contains three essays that investigate the market integration of the combined markets of Canada and the US, and the competitive position of Canadian pulp and paper products in the US market. The first essay presents an econometric analysis of spatial integration of the US and Canada newsprint markets as reflected in newsprint prices. It applies the Johansen multivariate cointegration procedure to test the law of one price for five regional markets (British Columbia, Ontario, Quebec, US east, US west) of newsprint using monthly data for the 1988 to 2004 period. Preliminary data analysis shows that all price series are non-stationary I(1) processes. The hypothesis that the Law of One Price (LOP) holds for all five regional newsprint markets simultaneously was not supported by the Johansen multivariate test. The LOP was also tested for national markets, and it was found to hold between US west and US east newsprint prices. The results suggest that there is a single newsprint market in the US, whereas there are several distinct newsprint markets in Canada. The second essay examines the degree of market integration among US import markets for three pulp and paper products, and further analyses the dynamic interaction between US domestic and US import markets. Persistence profile results show that long-run equilibrium exists in the US import markets for three pulp and paper products of interest; moreover, given a system-wide shock, a new equilibrium could be reached in a relatively short period. Forecast error variance decomposition suggests that US markets are critical since shocks to domestic US prices for relevant pulp and paper products explain a substantial amount of movements in import prices. The third essay studies substitution between main categories of imported pulp and paper products and between imported and domestic pulp and paper products in the US market. A restricted translog subcost function approach was employed to derive the elasticity of substitution. The results suggest that Canadian pulp and paper products are still competitive and have maintained their competitiveness in the US market. However the consecutive demand decline for pulp and paper in the US has brought hard times to Canada. It seems that if Canadian pulp and paper industry wants to retain a dominant position in the world market place, it will have to create global reach and develop new markets.

This theses analyses a proces of the european financial integration. First part summarises opinions on financial integration among contemporary economists. The following part describes a proces of harmonisation of financial law in EU. Another two chapters briefly analyse consolidation of market structure and supervision. Last part measures the level and speed of financial integration.

This thesis contains three essays on topics in agricultural economics. The research is focused on the economic effects of different trade policies applied within the US, Canada and the European Union. <p>Essay one evaluates the accession of Austria, Finland and Sweden to the single EU common market. The degree of integration of these three countries in agricultural trade in the EU has not previously been evaluated. Trade theory suggests that one of the outcomes resulting from a regional trade agreement is increased market integration among markets in member states. The cointegration of the commodity prices across countries is tested using time-series techniques. This method is important as it can be applied to questions relating to globalization. <p>Essay two examines the biofuel industry in Canada and US from a trade perspective. The development of a large market for biofuels is judged to have two main benefits for North America: environmental benefits in Canada and energy security in the US. A theoretical model is developed using the option value theory to determine whether the two distinct motivating factors can lead to different levels of optimal subsidies in each country. While the development of a biofuel industry is viewed as extremely important in a number of countries, the trade laws on subsidies with respect these products lacks clarity. This research represents an important step in understanding the economics of biofuels and the situations where trade disputes can be expected to appear in the future.<p>Dumping is the subject of the third essay where the strategies of firms in the face of an anti-dumping action are examined using game theory. The possibility of free riding in case of an anti-dumping petition is investigated in two situations: the benefits of the anti-dumping case are considered either a public good or a joint product. The second situation can be applied only for US, because of so-called Byrd Amendment. The theoretical model developed represents an important contribution to trade policy and it can be easily applied when examining the effects of other trade or domestic policies.

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This thesis contains three essays on topics in agricultural economics. The research is focused on the economic effects of different trade policies applied within the US, Canada and the European Union. <p>Essay one evaluates the accession of Austria, Finland and Sweden to the single EU common market. The degree of integration of these three countries in agricultural trade in the EU has not previously been evaluated. Trade theory suggests that one of the outcomes resulting from a regional trade agreement is increased market integration among markets in member states. The cointegration of the commodity prices across countries is tested using time-series techniques. This method is important as it can be applied to questions relating to globalization. <p>Essay two examines the biofuel industry in Canada and US from a trade perspective. The development of a large market for biofuels is judged to have two main benefits for North America: environmental benefits in Canada and energy security in the US. A theoretical model is developed using the option value theory to determine whether the two distinct motivating factors can lead to different levels of optimal subsidies in each country. While the development of a biofuel industry is viewed as extremely important in a number of countries, the trade laws on subsidies with respect these products lacks clarity. This research represents an important step in understanding the economics of biofuels and the situations where trade disputes can be expected to appear in the future.<p>Dumping is the subject of the third essay where the strategies of firms in the face of an anti-dumping action are examined using game theory. The possibility of free riding in case of an anti-dumping petition is investigated in two situations: the benefits of the anti-dumping case are considered either a public good or a joint product. The second situation can be applied only for US, because of so-called Byrd Amendment. The theoretical model developed represents an important contribution to trade policy and it can be easily applied when examining the effects of other trade or domestic policies.

In this thesis I study two fields of empirical finance: market integration and economic forecasting. The first two chapters focus on studying regional integration of Mexican and U.S. equity markets. In the third chapter, I propose the use of the daily term structure of interest rates to forecast inflation. Each chapter is a free-standing essay that constitutes a contribution to the field of empirical finance and economic forecasting. In Chapter 1, I study the ability of multi-factor asset pricing models to explain the unconditional and conditional cross-section of expected returns in Mexico. Two sets of factors, local and foreign factors, are evaluated consistent with the hypotheses of segmentation and of integration of the international finance literature. Only one variable, the Mexican U.S. exchange rate, appears in the list of both foreign and local factors. Empirical evidence suggests that the foreign factors do a better job explaining the cross-section of returns in Mexico in both the unconditional and conditional versions of the model. This evidence provides some suggestive support for the hypothesis of integration of the Mexican stock exchange to the U.S. market. In Chapter 2, I study further the integration between Mexico and U.S. equity markets. Based on the result from chapter 1, I assume that the Fama and French factors are the mimicking portfolios of the underlying risk factors in both countries. Market integration implies the same prices of risk in both countries. I evaluate the performance of the asset pricing model under the hypothesis of segmentation (country dependent risk rewards) and integration over the 1990-2004 period. The results indicate a higher degree of integration at the end of the sample period. However, the degree of integration exhibits wide swings that are related to both local and global events. At the same time, the limitations that arise in empirical asset pricing methodologies with emerging market data are evident. The data set is short in length, has missing observations, and includes data from thinly traded securities. Finally, Chapter 3, coauthored with John Maheu and Alex Maynard, studies the ability of daily spreads at different maturities to forecast inflation. Many pricing models imply that nominal interest rates contain information on inflation expectations. This has lead to a large empirical literature that investigates the use of interest rates as predictors of future inflation. Most of these focus on the Fisher hypothesis in which the interest rate maturity matches the inflation horizon. In general, forecast improvements have been modest. Rather than use only monthly interest rates that match the maturity of inflation, this chapter advocates using the whole term structure of daily interest rates and their lagged values to forecast monthly inflation. Principle component methods are employed to combine information from interest rates across both the term structure and time series dimensions. Robust forecasting improvements are found as compared to the Fisher hypothesis and autoregressive benchmarks.

North America is the world’s largest pulp and paper producing region as well as the largest consuming region. An understanding of market integration is critical for designing relevant policies since it is important to improve national welfare and ensure long-run competitive market equilibrium. In addition, it is crucial for the Canadian industry to maintain the competitiveness for its pulp and paper products in the world market, because any deterioration in the performance of the Canadian pulp and paper industry will have negative social and economic impact on the well-being of Canada and affect Canadian balance of payment. This thesis contains three essays that investigate the market integration of the combined markets of Canada and the US, and the competitive position of Canadian pulp and paper products in the US market. The first essay presents an econometric analysis of spatial integration of the US and Canada newsprint markets as reflected in newsprint prices. It applies the Johansen multivariate cointegration procedure to test the law of one price for five regional markets (British Columbia, Ontario, Quebec, US east, US west) of newsprint using monthly data for the 1988 to 2004 period. Preliminary data analysis shows that all price series are non-stationary I(1) processes. The hypothesis that the Law of One Price (LOP) holds for all five regional newsprint markets simultaneously was not supported by the Johansen multivariate test. The LOP was also tested for national markets, and it was found to hold between US west and US east newsprint prices. The results suggest that there is a single newsprint market in the US, whereas there are several distinct newsprint markets in Canada. The second essay examines the degree of market integration among US import markets for three pulp and paper products, and further analyses the dynamic interaction between US domestic and US import markets. Persistence profile results show that long-run equilibrium exists in the US import markets for three pulp and paper products of interest; moreover, given a system-wide shock, a new equilibrium could be reached in a relatively short period. Forecast error variance decomposition suggests that US markets are critical since shocks to domestic US prices for relevant pulp and paper products explain a substantial amount of movements in import prices. The third essay studies substitution between main categories of imported pulp and paper products and between imported and domestic pulp and paper products in the US market. A restricted translog subcost function approach was employed to derive the elasticity of substitution. The results suggest that Canadian pulp and paper products are still competitive and have maintained their competitiveness in the US market. However the consecutive demand decline for pulp and paper in the US has brought hard times to Canada. It seems that if Canadian pulp and paper industry wants to retain a dominant position in the world market place, it will have to create global reach and develop new markets.