Time lags in the pass-through of crude oil prices: big data evidence from the German gasoline market

This article investigates the pass-through of global Brent oil notations to fuel prices across the oligopoly of retail majors in Germany. We assemble a high-frequency panel data set that encompasses millions of price observations and allows us to distinguish effects by brand. Upon establishing a cointegrating relationship between fuel and crude oil prices using daily data, we estimate an ECM and find that (1) the pass-through of oil prices critically depends on the number of time lags included in the ECM; (2) strict adherence to classical information criteria for determining lag length yields extremely long pass-through durations and (3) the estimated impulse response functions are virtually identical across brands, irrespective of the lag count, suggesting a high degree of competition among brands.     

PLATFORM PRICING IN MIXED TWO‐SIDED MARKETS

When a consumer can appear on both sides of a two‐sided market, such as a user who both buys and sells on eBay, the platform may want to bundle the services it provides to two sides. I develop a general model for such “mixed” two‐sided markets and show that a monopolist platform's incentive to bundle and its optimal pricing strategy are determined by simple formulas using familiar price elasticities of demand, which embody the bundling effect, and price‐cost margins adjusted for network externalities, which incorporate “two‐sidedness.” The optimal pricing rule in such markets generalizes the familiar Lerner formula.     

Regulation of network infrastructure investments: an experimental evaluation

This paper reports the results of an experiment evaluating three regulatory schemes for network infrastructure, in terms of their ability to generate efficient levels of capacity investment. We compare the performance of (1) price cap regulation, (2) a regulatory holiday for new capacity, and (3) price cap regulation with long term contracts combined with a secondary market. The setting is one in which network users can benefit from acting strategically, and are better informed than the network operator about demand growth. We find that the regulatory holiday creates an incentive to underinvest relative to optimal levels. Long term contracts also fail to improve on single price-cap regulation, and may reduce investment by providing noisier signals about future demand.     

Exchange rate pass-through in the U.S. automobile market: A cointegration approach

This study analyzes exchange rate pass-through in the presence of monopolistic competition in the U.S. automobile market. Using cointegration techniques, we investigate how foreign competing firms' prices interact following an exchange rate-shock. The results generally indicate price interdependence (competition) among the rival firms. In one case where we did not find any price interdependence, the extent of exchange rate pass-through was higher. This validates the economic intuition that a low degree of price competition corresponds with a high degree of exchange rate pass-through.     

The Revealed Preference of Regulatory Menus: Evidence from the Pre‐Nationalisation British Gas Industry

Prior to nationalisation British gas undertakings were faced with a choice of three different regulatory schemes linking the price charged for gas with the amount of dividend that could be paid. The three schemes, the maximum price system, the sliding scale and the basic price system possessed varying incentive properties. This paper investigates, empirically, the characteristics of firms under each regime. The multinomial logit results suggest that larger firms with lower unit costs were more likely to opt for regulatory options with more powerful incentive mechanisms.     

Cyclical and political influences on the size distribution of income in the US (1959–1989)

This study addresses the question of whether exchange rate pass-through into the import price is symmetric between appreciation and depreciation of the home currency. The dramatic increase of the dollar in the early 1980s and the subsequent decline provided a necessary setting for testing whether there was a structural change in the exchange rate pass-through. Examining import price data for 98 disaggregated SIC industries in the US manufacturing sector and the US import price for all commodities, mixed evidence is found regarding the stability of exchange rate pass-through.     

The effect of VAT rate on inflation in Latvia: evidence from CPI microdata

This article evaluates the inflation effect of recent value added tax (VAT) rate changes in Latvia by using consumer price index (CPI) microdata. Our findings suggest that the pass-through of the tax rate to consumer prices is strong in case of upward tax adjustments, especially when there are no demand restrictions, while the pass-through is weaker for tax reductions. The frequency of price changes peaks at the moment of VAT adjustment, which, however, is partially compensated by lower average size of price revisions. The level of pass-through exhibits a high degree of heterogeneity with higher pass-through for goods, especially food, and lower for services.     

PRICING REGULATIONS AND NETWORK TECHNOLOGY INVESTMENTS: A RETROSPECTIVE EVALUATION

This article evaluates the impact of the introduction of incentive regulation on technology deployment, as evaluated using two technology deployment metrics, among the population of local exchange carriers in the USA between 1988 and 2001. The regulatory schemes are disaggregated into five categories, permitting examination of heterogeneity among regulatory schemes. The results show that the rate of return method and the other intermediate incentive schemes implemented have had a negative impact on technology deployment. Conversely, the introduction of pure price caps schemes had a positive and significant impact on firms’ technology deployment. These results highlight the importance of appropriate incentive compatible mechanism design in motivating firms to adopt the new and important technologies that have been developed.     

Asymmetric evidence of gasoline price responses in France: A Markov-switching approach

It has been documented that retail gasoline prices respond more quickly to increases in wholesale prices than they do to decreases in wholesale prices. However, there is little empirical evidence that identifies the link between the pass-through of oil prices to gasoline in different volatility regimes. Using a Markov-switching model on weekly observations of fuel prices from 1990 to 2011, we find that fuel prices respond significantly faster to increases in crude oil prices than to decreases in crude oil prices. However, when volatility is low, the transmittal of a price change from crude oil to retail fuel is higher compared to periods of high volatility. These results provide important information on the behavior of retailers. The findings of this paper therefore provide clues for better understanding the recent dynamics of fuel prices and some policy implications.     

Trade liberalisation and exchange rate pass-through: the case of textiles and wearing apparels

Studies on the relationship between exchange rates and traded goods prices typically find evidence of incomplete pass-through, usually explained by pricing-to-market behaviour. Although economic theory predicts that incomplete pass-through may also be linked to the presence of non-tariff barriers to trade, variables reflecting such a link is rarely included in empirical models. In this paper, we estimate a pricing-to-market model for Norwegian import prices on textiles and wearing apparels, controlling for non-tariff barriers to trade and shift in imports from high- to low-cost countries. We apply the cointegrated VAR approach and develop measures of foreign prices based on superlative price indices (including the Törnqvist and Fischer price indices) and a data calibration method necessary to approximate relative price levels across countries. Our measures of foreign prices thereby account for inflationary differences and varying import shares and price level differences (known as the China effect) among trading partners. We show that these measures of foreign prices, unlike standard measures used in the pricing-to-market literature, are likely to produce unbiased estimates of pass-through. Once the China effect is controlled for, we find little evidence that pass-through has changed alongside trade liberalisation.     

强自然垄断定价理论与中国电价规制制度分析

强自然垄断行业由于其定价方面的两难困境 ,需要规制者对其产品定价进行规制以在厂商利润与社会福利之间进行权衡。边际成本定价原则并不适合于自然垄断厂商。本文在规制定价理论以及激励规制理论的基础上 ,对中国电力定价问题进行了分析 ,认为电价改革的第一步应在发电环节中引入竞争的基础上 ,对不同效率类型的电力厂商设计不同激励强度的定价机制 ,另外本文尝试着对不同技术效率的电力厂商列出了不同激励强度的价格规制方案菜单     

Technical efficiency,allocative efficiency,and the impact of incentive regulation in telecommunications in the United States

Incentive regulation is now an important regulatory tool in the telecommunications industry in the United States. The objective of incentive regulation is to improve productive efficiency, enhance service quality and consumer welfare, and reduce the costs of regulation. The issue that is considered here is whether incentive regulation in the form of a price cap applicable to interstate access service to local loops has resulted in an increase in the technical efficiency and allocative efficiency of local exchange carriers (LECs). After discussing the reasons for adopting incentive regulation, the nature of price caps is explored followed by an overview of the methodology for measuring the effects of incentive regulation on productive efficiency. The results indicate that for changes in technical efficiency, there is a definite randomness between 1985 and 1993 with technical efficiency increasing in some years and decreasing in others. Subsequent to 1993, however, there is a consistent improvement in technical efficiency. Given that incentive regulation in the forin of price caps was implemented for LECs in 1991, it is likely that some portion of the improvement in technical efficiency subsequent to 1993 is attributable to incentive regulation. A pronounced upward trend in allocative efficiency is observed beginning in 1985. It is problematic, however, to attribute the improvement in allocative efficiency to the adoption of incentive regulation. It is more likely an artifact of the divestiture of AT&T although some indeterminant portion is probably associated with the implementation of price caps.JEL classification: L51, L96     

汇率传递：模型说明及文献综述

汇率是开放经济环境下的核心工具变量,在维持一国内部平衡和外部平衡时起着重要的作用。对于汇率传递问题的关注开始于世界由固定汇率体系向浮动汇率体系转变的时期,目前它仍然是关于外部调整研究的重要内容。本文分析了汇率传递与一价定律、依市场定价之间的关系,使用一个汇率传递模型阐明了汇率变动对价格体系的传导机制。汇率变动对商品出口价格和进口价格传递应该是一个连续的过程。当获知汇率发生变动时,出口商在不完全竞争的市场结构下,出于经营目的会调整其对价格的加成,这反应到进口国的进口价格上已经是一种“不完全”的传递;而进口商品由于存在分销过程,在最终销售价格上包含了相当程度的国内不可贸易的服务成本,这部分成本由于不受汇率变动的影响,因此汇率变动对进口价格的传递会进一步被削弱。     

外部冲击与我国物价水平的决定——基于结构VAR模型的分析

文章建立结构VAR模型考察了1997年1月至2008年8月期间外部冲击(国际石油价格和人民币名义有效汇率)对我国国内物价水平及其分类价格指数的传递效应.结果表明,价格和汇率传递都是不完全的、滞后的和沿价格链递减的,且对分类价格指数的传递差异较大;相比人民币名义有效汇率,国际石油价格冲击对我国进口价格指数、生产者价格指数和消费者价格指数的传递率更高,影响更大;我国近期消费者价格指数的上扬较多地是受到上游价格链冲击、需求冲击、货币政策冲击和供给冲击的影响,人民币升值的抑制通胀效应较弱.     

Regulating oligopolistic industries: A generalized incentive scheme

This paper deals with the design of regulatory mechanisms for oligopolistic industries. The proposed incentive scheme consists of two parts: a subsidy depending upon a firm's contribution to an equilibrium price reduction, and a tax equal to the profit of the previous period. This mechanism is as effective in regulating oligopolies as the well-known incremental surplus subsidy scheme in a monopoly framework. The proposed scheme provides appropriate incentives to enforce competitive behavior in a Cournot oligopoly. The scheme is welfare improving even if firms collude.     

The impact of bargaining on markets with price takers: Too many bargainers spoil the broth

In this paper we study how bargainers impact on markets in which firms set a list price to sell to those consumers who take prices as given. The list price acts as an outside option for the bargainers, so the higher the list price, the more the firms can extract from bargainers. We find that an increase in the proportion of consumers seeking to bargain can lower consumer surplus overall, even though new bargainers receive a lower price. The reason is that the list price for those who do not bargain and the bargained prices for those who were already bargaining rise: sellers have a greater incentive to make the bargainers’ outside option less attractive, reducing the incentive to compete for price takers. Competition Authority exhortations to bargain can therefore be misplaced. We also consider the implications for optimal seller bargaining.     

Seasonal asymmetries in wholesale–retail cost pass-through

This article investigates the extent of seasonal asymmetries in wholesale to retail cost pass-through in the Canadian apple market. We model nonlinearity in cost pass-through in a panel two-regime error correction model. The model employs weekly store-level retail matching wholesale price data for a major US retail chain. Our results reveal distinct seasonal asymmetries in cost pass-through. Retail prices adjust faster during the fall indicating significantly higher pass-through in response to a change in input composition and seasonal expansion of alternative marketing channels. This input composition effect on cost pass-through highlights the general importance of time-variant market conditions and their respective determinants in explaining cost pass-through dynamics in commodity markets.     

Exchange Rate Pass-through: How Much do Exchange Rate Changes Affect the Prices of Australian Exports?

Australia is generally held to be a small open economy with a high proportion of commodity exports. It is therefore regarded as a 'price taker' in international markets, and pass-through on exports is expected to be zero. This paper uses the Johansen Multivariate Cointegration technique to estimate the pass-through of exchange rate changes to the destination-currency prices of aggregate Australian exports. The results demonstrate a stable long-run pass-through level of 60 per cent, which refutes the 'small-country' assumption of Australian exporters as price takers. These findings have important implications for Australia's terms of trade and current account deficit     

Optimal search,learning and implementation

We characterize the incentive compatible, constrained efficient policy (“second-best”) in a dynamic matching environment, where impatient, privately informed agents arrive over time, and where the designer gradually learns about the distribution of agents? values. We also derive conditions on the learning process ensuring that the complete-information, dynamically efficient allocation of resources (“first-best”) is incentive compatible. Our analysis reveals and exploits close, formal relations between the problem of ensuring implementable allocation rules in our dynamic allocation problems with incomplete information and learning, and between the classical problem, posed by Rothschild (1974) [20], of finding optimal stopping policies for search that are characterized by a reservation price property.     

Pass-through in United States beef cattle prices: a test of Ricardian rent theory

Feeder cattle are fattened to become fed live cattle 6 months later, and the feeder cattle stock is fixed in the short-run. Efficiency in competitive markets suggests feeder cattle prices should fully reflect feed prices and information on future fed cattle prices. Employing a long time series (1979–2004) of feeder cattle futures, live cattle futures, and local corn prices, we test whether complete pass-through occurs. For fed cattle futures prices, we find about 93% of complete pass-through to present feeder cattle prices. The corresponding negative effect of a corn price increase is about 87% of complete pass-through. In contrast with imperfectly competitive agricultural land rental markets, the results support the hypothesis of Ricardian rent extraction by the scarce asset owner in feeder cattle markets.