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1.
This paper identifies the empirical stylized features of consumer price setting behavior in Portugal using two micro-datasets
underlying the consumer price index. The main conclusions are: one in every four prices change each month; there is a considerable
degree of heterogeneity in price setting practices; prices of goods change more often than prices of services; price reductions
are common, as they account to around 40% of total price changes; price changes are, in general, sizeable; finally, the price
setting patterns seem to depend on the level of inflation as well as on the type of outlet.
相似文献
Daniel A. DiasEmail: |
2.
The paper investigates price dynamics under market liberalization, with a focus on the effects of lowering price floors. We
analyze price dynamics by specifying and estimating a dynamic Tobit model under time-varying volatility, where the market
price is censored by a government-set support price. The model is applied to the U.S. butter market over the last three decades.
The econometric results show how the price support program affects both expected prices and the volatility of prices. It is
found that the censoring effects of a price support program can be significant and large even if the price support is set
relatively low.
相似文献
Jean-Paul ChavasEmail: |
3.
Using data from the Austrian retail gasoline market we find that a higher station density reduces average prices. Market (i.e. ownership) concentration does not significantly affect average price, however is negatively related to the density of stations. Estimation of the pricing and entry equations as simultaneous equations does not alter our conclusions, and suggests causality running from station density to price. We argue that the spatial dimension of markets allows the identification of market conduct, which is particularly relevant for competition policy.
相似文献
Klaus GuglerEmail: |
4.
This study examines the impact of a stamp tax rate increase on market behavior, using data from two stock exchanges in China. We find that when the tax rate increases from 0.3 to 0.5% (which implies that the transaction cost increases by about 1/3) trading volume decreases by 1/3. This implies an elasticity of turnover with respect to a stamp tax of −50% and an elasticity of turnover with respect to transaction cost of −100%. The markets’ volatility significantly increases after the increase in the tax rate. Furthermore, the change in the volatility structure indicates that the markets become less efficient in the sense that shocks are less quickly assimilated in the markets.
相似文献
Badi H. Baltagi (Corresponding author)Email: |
Dong LiEmail: |
Qi LiEmail: |
5.
Beatriz Larraz-Iribas Jose-Luis Alfaro-Navarro 《International Advances in Economic Research》2008,14(4):407-421
In connection with the housing market, which is presently raising a great deal of concern among the general public, this paper
investigates regional housing prices in Spain using variable co-integration techniques. It analyzes the asymmetric behavior
in real house prices among the Spanish regions focusing on the study of the long-term relationships over time. This paper
raises an important question of the national averages masking important regional asymmetries. Results indicate evidence of
co-integration, which suggests a broad grouping of regions based on physical proximity or similar economic characteristics.
相似文献
Beatriz Larraz-IribasEmail: |
6.
Samir M. El-Gazzar Philip M. Finn Charles Tang 《International Advances in Economic Research》2009,15(1):88-101
This paper examines the valuation effects of earnings and two nonearnings-based measurements (book values and operating cash
flow) on security prices of airline companies under two different market structures: regulated and deregulated. The literature
lacks empirical evidence in examining the relative importance of earnings and nonearnings accounting-based measurements in
regulated and deregulated markets, especially in the airlines industry. We compare coefficient estimates of regressing stock
prices on earnings, book value, and cash flow from operations of airline companies during regulated and deregulated times.
A control sample of manufacturing companies is also used for supporting inferences from the airline sample’s findings. In
a typical regulated market, using cost recovery plus an adequate rate of return on assets, security prices are highly aligned
with nonearnings measurements such as the book value. In the airline industry, regulation took the form of guaranteed routes
and subsidies to service rural areas, giving rise to a differential effect of both earnings and nonearnings measurements.
Under deregulation, airline firms operate in highly competitive markets with large airline firms enjoying the benefits of
economy of scale and service diversification. Thus, the asset capitalization (book value), cash flow, and operational efficiencies
(earnings) would be major indicators in the market assessment of the firm’s future profitability and security price. This
paper finds that nonearnings measures have higher explanatory power of security prices in regulated times for the airline
firms. In deregulated times, although earnings have a stronger relationship with prices, nonearnings measures continued to
influence stock price levels, reflecting airline specific economics.
相似文献
Samir M. El-GazzarEmail: |
7.
How large is liquidity risk in an automated auction market? 总被引:2,自引:0,他引:2
We introduce a new empirical methodology that models liquidity risk over short time periods for impatient traders who submit market orders. Using Value-at-Risk type measures, we quantify the liquidity risk premia for portfolios and individual stocks traded on the automated auction market Xetra. The specificity of our approach relies on the adequate econometric modelling of the potential price impact incurred by the liquidation of a portfolio. We study the sensitivity of liquidity risk towards portfolio size and traders' time horizon, and interpret its diurnal variation in the light of market microstructure theory.
相似文献
Pierre GiotEmail: Phone: +32-81-724887 |
Joachim Grammig (Corresponding author)Email: Phone: +49-7071-2976009Fax: +49-29-5546 |
8.
We document the patterns of market-wide and firm-specific volatility in the Portuguese stock market over the 1991–2005 period
and test several explanations for the behavior of firm-level idiosyncratic volatility. Unlike previous studies we find no
evidence of a statistically significant rise in firm-specific volatility. On the contrary, the ratio of firm-specific risk
to total risk slightly decreases. We show that this result stems from new listings of large privatized companies that display
lower firm-specific risk. Our findings are consistent with the idea that changes in idiosyncratic volatility are related to
changes in the composition of the market.
相似文献
Ana Paula SerraEmail: |
9.
Bruno Paolo Bosco Lucia P. Parisio Matteo M. Pelagatti 《International Advances in Economic Research》2007,13(4):415-432
In this paper we analyze a time series of daily average prices in the Italian electricity market, which started to operate
as a Pool in April 2004. Our objective is to model the high degree of autocorrelation and the multiple seasonalities in electricity
prices. We use periodic time series models with GARCH disturbances and leptokurtic distributions and compare their performance
with more classical ARMA-GARCH processes. The within-year seasonal variation is modelled using the low-frequency components
of physical quantities, which are very regular throughout the sample. Our results reveal that much of the variability in the
price series is explained by the interactions between deterministic multiple seasonalities. Periodic AR-GARCH models seem
to perform quite well in mimicking the features of the stochastic part of the price process.
相似文献
Bruno Paolo BoscoEmail: |
10.
Krzysztof Kompa Aleksandra Matuszewska-Janica 《International Advances in Economic Research》2009,15(1):59-70
The Warsaw Stock Exchange (WSE) has been operating in present form for 15 years. WSE is regarded as an “emerging market”.
We can observe that it is still developing (in order to become “developed market”). The level of development is often analyzed
with reference to the efficiency of the market. We can say that the capital market is efficient if the prices at the market
fully reflect all available information. The aim of the presented research is to analyze the current situation at the Warsaw
Stock Exchange. Particularly we investigate the weak form of efficiency using selected statistical tests. The research is
based on actual data concerning daily observations of shares at the Warsaw Stock Exchange transformed to the logarithmic rates
of return, considering the period 2000–2006 and subperiods: the bear market, stagnation and the bull market.
相似文献
Aleksandra Matuszewska-Janica (Corresponding author)Email: |
11.
Gianpaolo Rossini 《International Review of Economics》2008,55(3):229-242
We go through the decision to vertically integrate or its opposite, outsource, in an uncertain environment. We consider two
different market strategies, price setting and quantity setting and two different vertical relationships: an (imperfectly)
competitive one following Stackelberg mode and a more cooperative one with bargaining. In the first scenario, with certainty,
price and quantity settings are alike, while with uncertainty the ranking changes. If a bargaining framework is adopted instead,
quantity setting under uncertainty leads to an asymmetric distribution of realized gains along the vertical chain. Price setting
turns out to be more equitable for firms and preferable even by consumers.
相似文献
Gianpaolo RossiniEmail: |
12.
The determinants of profitability and productivity for large Italian companies operating in industrial sectors are investigated
in this paper. Data were taken from one of the most important Italian business surveys, and furthermore two cross-section
surveys for the years 1998 and 2002 are compared. The results highlight the importance of financial management and organisational
complexity in order to explain the development of profitability and productivity ranking during 1998–2002. This paper identifies
the important enterprise behaviour in terms of the variables considered. Large Italian companies remain competitive in the
more traditional sectors (e.g. mechanics, textiles, etc.). In general, the Italian enterprises are not dynamic enough to compete
in the most technological and innovative sectors. Moreover, there is the necessity for greater investments in order to foster
the national economy.
相似文献
Paolo MarianiEmail: |
13.
The paper examines the processes underlying economic fluctuations by investigating the volatility moderation of U.S. economy
in the early 1980s. We decompose the volatility decline using a dynamic factor framework into a common stochastic trend, common
transitory component and idiosyncratic components. We find that the moderation of business cycle was a result of the moderation
in transitory and idiosyncratic components. Our results suggest that important part of stochastic process that drives economy
is transitory. The paper investigates the role of oil prices, monetary and financial market factors. Proposed economic factors
do not have a significant relationship to either transitory or permanent components. In addition, we find that transitory
shocks are as common during the 1980s and 1990s as they were during the 1960s and 1970s.
相似文献
Stanislav Radchenko (Corresponding author)Email: |
14.
Wolfgang Lechthaler 《Empirica》2009,36(3):331-350
By allowing firms to invest in their workers’ human capital, this paper extends the traditional analysis of firing costs with
respect to two points, both of them positive in terms of welfare. On the one hand, firing restrictions reduce turnover, thereby
enhancing incentives to provide training. On the other hand, training gives firms the opportunity to lower the costs of firing
restrictions since well-trained workers are less likely to be fired. In this way the negative effects of firing costs on firm
profitability and workers’ job-finding rates are reduced.
相似文献
Wolfgang LechthalerEmail: |
15.
Neil Rankin 《Portuguese Economic Journal》2007,6(3):133-150
We show that when a model of the macroeconomy is based on imperfect, rather than perfect, competition, this may increase the
problem of how to model agents’ expectations. We provide a simple example using an overlapping-generations economy with the
potential for unemployment. Under certain assumptions about how consumers migrate between locations between the first and
second periods of their lives, this extra issue regarding expectations arises. Imperfect competition may increase agents’
forecasting difficulties because they have to forecast not only future equilibrium prices, but also future out-of-equilibrium
prices, and by definition the latter are never actually observed.
相似文献
Neil RankinEmail: |
16.
Ramya M. Vijaya 《Forum for Social Economics》2007,36(2):73-85
This paper presents a gender perspective of the Trade Adjustment Assistance (TAA) program. The TAA is the primary US policy
to assist the transition of workers displaced due to trade related economic restructuring. In comparison to the relatively
substantial research on gendering trade policies in developing economies there is very limited focus on gendering policy responses
to trade in the US. We argue that there is a specific gender trend in the trade-displacement patterns in the US which calls
for a gender sensitive policy response. We examine the TAA in light of this trend and offer some suggestions for a gendered
approach to providing assistance to workers negotiating an increasingly flexible global labor market.
相似文献
Ramya M. VijayaEmail: |
17.
Political pressures and the credibility of regulation: can profit sharing mitigate regulatory risk? 总被引:1,自引:0,他引:1
When price-cap rules determine the structure of prices for a long period, they suffer a credibility problem and introduce
an element of risk especially if a firm’s profits are “too large”. Profit sharing may be seen as a device to pre-determine
price adjustments and thus to decrease regulatory risk. We analyse the effects of profit sharing on the incentives to invest,
using a real option approach. Absent credibility issues, a well designed profit sharing system may be neutral relative to
a pure price cap. With regulatory risk, profit sharing is preferable to a pure price-cap one, if it intervenes for high enough
profit levels.
相似文献
Carlo Scarpa (Corresponding author)Email: |
18.
This paper estimates a cointegrated vector autoregressive (VAR) model for UK data on consumer prices, unit labour costs, import prices and real consumption growth. The estimated VAR indicates that the nominal variables are characterised by I(2) trends, and that a linear combination of these processes cointegrate to I(1). This supports an analysis in which I(1) and I(2) restrictions are imposed. A key finding is that an increase in real import prices reduces productivity adjusted real wages, such that the change in domestic inflation is moderated. This may explain why the depreciation of sterling in 1992 left inflation unchanged.
相似文献
Christopher BowdlerEmail: |
19.
Monetary policy as bad medicine: The volatile relationship between business cycles and asset prices 总被引:1,自引:0,他引:1
Philipp Bagus 《The Review of Austrian Economics》2008,21(4):283-300
Austrian business cycle theory has become an important point of focus in controversial mainstream discussions regarding the
role of asset prices in monetary policy. In this article, the relation between asset prices and the Austrian business cycle
theory is examined. The analysis focuses on how central banking supports optimism, resulting in the redirection of entrepreneurial
activity and knowledge via asset price bubbles. The crucial role of credit expansion for asset price booms is also analyzed.
Following this analysis, the implications for monetary policy are deduced.
相似文献
Philipp BagusEmail: |
20.
We combine evolutionary theory concepts and multivariate persistence methodology to develop and test expectations about the
adaptiveness of firm decisions and its implications for performance heterogeneity. We focus on the relatively reversible advertising
decisions in an evolving product market, domains typically ignored by evolutionary research. We find that an adaptive decision
routine helps an incumbent firm maintain its advantages and overcome the challenge posed by a major competitive entry.
相似文献
Zhenfeng MaEmail: |