333 research outputs found
Oil price instability, hedging, and an oil stabilization fund : the case of Venezuela
No full textThe Venezuelan government and PDVSA (Venezuela's state oil companies) are both exposed to oil price instability. Given the existing tax structure, PDVSA has a higher exposure than the government, especially when prices drop below $18-20 a barrel. The authors show that the volatility of prices for crude oil is higher (but not significant) than the volatility of prices for refined oil products. And both prices are highly correlated. So, there is not much strength to the argument that Venezuela, being now mainly an exporter of refined products, faces less volatility than when it was exporting mainly crude oil. The basis risk for hedging Venezuelan crude oil was founded to be higher than for other crudes of comparable quality in the region. One explanation could be the pricing policies Venezuela follows, which leads Venezuelan crude oil prices to deviate for long periods from international prices. The basis risk in Venezuelan refined products is much lower and at acceptable levels for risk management. The issue of liquidity is concentrated in contracts for periods of less than a year. For products, the liquidity is concentrated in the nearest 4-5 months. So, for short-term hedges (6-9 months ahead), there is sufficient liquidity for Venezuela to hedge a substantial part of its exports. For longer-term hedges, the over-the-counter market is the more appropriate vehicle. In either case, it will not usually be the case that all production or exports should be hedged. The authors also examined the issue of an oil stabilization fund. For an oil stabilization fund to be effective several preconditions must be met. Most notably: oil prices should not follow a random walk; financial markets are incomplete; and there are large adjustment costs. These conditions do likely apply in Venezuela. Venezuela's best strategy would be to remove as much short-term oil price risk as possible by using short-dated hedging instruments (such as futures, options, or short-dated swaps) and to also do some longer term hedging (using mainly over-the-counter options and long-dated swaps). They also find that an oil stabilization fund should be complemented by using market-based risk management tools. The oil stabilization fund could then be used to manage any remaining interperiod oil price risk to the extent considered necessary.Markets and Market Access,Environmental Economics&Policies,Oil Refining&Gas Industry,Energy and Environment,Energy Demand
Hybrid adaptive chassis control for vehicle lateral stability in the presence of uncertainty
No full textTo guarantee the safety of passengers in a wide range of driving situations, vehicle lateral stability should be achieved in the presence of nonlinear dynamics (consequence of critical maneuvers) and uncertainty (consequence of uncertain parameters). This paper designs a hybrid adaptive strategy to attain vehicle stability in these situations. The design is based on a piecewise affine (PWA) description of the vehicle model where partitions describe both the linear and the nonlinear regimes, and where parametric uncertainties are handled by estimators for the control gains that can adapt to different conditions acting on the system. Comparisons with strategies that merely exploits the linear region of the vehicle dynamics are provided for different driving conditions, and performance improvements of the proposed methodology are assessed.Accepted Author ManuscriptTeam Bart De Schutte
Dealing with the coffee crisis in Central America - impacts and strategies
No full textCurrent coffee prices are at record lows and below the cost of production for many producers in Central America. Moreover, the coffee crisis is structural, and changes in supply and demand do not indicate a quick recovery of prices. So, coffee producers in Central America are facing new challenges-as are coffee laborers, coffee exporters, and others linked to the coffee sector. Coffee plays a major economic role in Costa Rica, El Salvador, Guatemala, Honduras, and Nicaragua. The coffee crisis is actually part of a broader rural crisis caused by weather shocks (such as Hurricane Mitch and droughts), low international agricultural commodity prices, and the global recession. These challenges call for new strategies for Central American countries aimed at broad-based sustainable development of their rural economies. The authors deal with the impact of the coffee crisis and strategies to deal with it. They include an analysis of the international coffee situation and country-specific analyses. The authors explore options and constraints for increased competitiveness and diversification, and discuss social, environmental, and institutional dimensions of the crisis. The authors conclude that there are specific solutions that can be pursued for the coffee sector. Some are already being applied, but more can be done in a more systematic way. Also, there is a need for safety nets to deal with the short-term impact of the crisis. Longer-term solutions are to be found in increased competitiveness and diversification in the context of broad-based sustainable rural economic development.Crops&Crop Management Systems,Environmental Economics&Policies,Labor Policies,Economic Theory&Research,Markets and Market Access,Crops&Crop Management Systems,Environmental Economics&Policies,Economic Theory&Research,Access to Markets,Markets and Market Access
The use of New York cotton futures contracts to hedge cotton price risk in developing countries
No full textCotton exports account for a significant share of commodity exports for some developing countries, especially in West Africa and Central Asia. In these countries, dependency on cotton for export revenues has increased in the past 20 years. These countries therefore have a high exposure to cotton price volatility. Cotton-producing developing countries and economies in transition make little use of hedging mechanisms to reduce risk from the volatility of cotton export revenues. Countries in Francophone West Africa use forward sales to hedge but only for a small share of the crop. These countries could use cotton futures and options contracts to hedge against short- to medium-term price volatility, making cotton export revenues more predictable. Cotton futures and options contracts could also make cotton-related commercial transactions more flexible. (Futures could be sold when there are no buyers in the physical market, for example.) In West Africa, futures and options could complement the existing system of forward sales. The authors examine the feasibility of using New York cotton futures and options contracts as hedging instruments. They base their analysis on a portfolio selection problem in which the hedger selects the optimal proportions of unhedged and hedged output to minimize risk. The results suggest that despite the existence of relatively high basis risk (that is, a relatively low correlation between spot and future prices), hedging reduces cotton price volatility by 30 to 70 percent. Moreover, for all varieties of cotton examined, the hedge ratio (the percentage of exports hedged) was below one. Using a hedge ratio of one (naive hedge), at times, increases rather than decreases risk. The results also show that hedging, while reducing risk, also reduces expected returns. Attitudes toward risk that is, the degree of risk aversion - determine how much of this risk-return tradeoff is acceptable. For a risk-averse agent, the main benefit of hedging lies in risk reduction rather than in the potential for increased returns.Insurance&Risk Mitigation,Environmental Economics&Policies,Non Bank Financial Institutions,Financial Intermediation,Insurance Law
Reforming Cote d'Ivoire's cocoa marketing and pricing system
No full textCote d'Ivoire has historically taxed cocoa producers. Market reforms over the past 10 years have somewhat succeeded in making domestic and foreign marketing more transparent and competitive. But they have not done much to raise producer prices in real terms or as a share of the FOB (free on board) price. Maintaining fixed producer prices and marketing costs and margins has encouraged rent-seeking and led to efficiency losses. New reform will fully liberalize the country's export marketing system by eliminating public management of exports. This means the end of mandatory export authorization, of public forward sales, and of fixed minimum producer prices and marketing margins. The new reform is expected to improve producers'incomes. The authors find that the benefits from the new reform (in terms of lower implicit taxes, lower marketing costs and margins, and higher producer prices) will outweigh the costs from eliminating public forward sales and fixed producer prices. Results from a general equilibrium model indicate that reducing export taxes would have a small negative effect on aggregate income but would improve income distribution for poorer rural areas. The fact that Cote d'Ivoire has market power in the world cocoa market justifies a higher optimal export tax than the current one. But raising export taxes may eventually reduce its market share and worsen income distribution, at the expense of the poorer rural sector.Payment Systems&Infrastructure,Economic Theory&Research,Environmental Economics&Policies,Markets and Market Access,Labor Policies,Consumption,Markets and Market Access,Access to Markets,Economic Theory&Research,Environmental Economics&Policies
Improving temporal interpolation of head and body pose using Gaussian process regression in a matrix completion setting
No full textThis paper presents a model for head and body pose estimation (HBPE) when labelled samples are highly sparse. The current state-of-the-art multimodal approach to HBPE utilizes the matrix completion method in a transductive setting to predict pose labels for unobserved samples. Based on this approach, the proposed method tackles HBPE when manually annotated ground truth labels are temporally sparse. We posit that the current state of the art approach oversimplifies the temporal sparsity assumption by using Laplacian smoothing. Our final solution uses: i) Gaussian process regression in place of Laplacian smoothing, ii) head and body coupling, and iii) nuclear norm minimization in the matrix completion setting. The model is applied to the challenging SALSA dataset for benchmark against the state-of-the-art method. Our presented formulation outperforms the state-of-the-art significantly in this particular setting, e.g. at 5% ground truth labels as training data, head pose accuracy and body pose accuracy is approximately 62% and 70%, respectively. As well as fitting a more flexible model to missing labels in time, we posit that our approach also loosens the head and body coupling constraint, allowing for a more expressive model of the head and body pose typically seen during conversational interaction in groups. This provides a new baseline to improve upon for future integration of multimodal sensor data for the purpose of HBPE.Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.Pattern Recognition and Bioinformatic
Does exchange rate volatility hinder export growth? Additional evidence
No full textThe authors examine the impact of exchange rate volatility on trade, using and ARCH-in-mean model. The advantages of this statistical approach over earlier approaches is that it provides more efficient coefficient estimates and it prevents the problem of spurious regressions. They applied the model to six countries, estimating both bilateral and aggregate exports. The results led to the hypothesis that the impact of exchange rate volatility may be influenced by the invoicing of exports. Also, one can argue that the effect of exchange rate volatility on trade is overstated, for the following reasons: exchange rate volatility does not measure the added riskiness of a firm's portfolio;exchange rates can provide a natural hedge in a firm's portfolio; exchange rates may be negatively correlated with each other or with the firm's other assets; and finally, the use of forward markets can provide a useful short-term hedge.Economic Stabilization,Environmental Economics&Policies,Macroeconomic Management,Fiscal&Monetary Policy,Economic Theory&Research
Conference Travel CO<sub>2</sub> Emissions by Author Country.
No full text<p>Conference Travel CO<sub>2</sub> Emissions by Author Country.</p
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