Vertical price transmission in the Egyptian tomato sector after the Arab Spring

This study assesses price transmission along the Egyptian tomato food marketing chain in the period that followed the Arab Spring, which accentuated economic precariousness in Egypt. Static and time-varying copula methods are used for this purpose. Results suggest a positive link between producer, wholesaler and retailer tomato prices. Such positive dependence is characterized by asymmetries during extreme market events that lead price increases to be transferred more completely along the supply chain than price declines.     

Fairness, price stickiness, and history dependence in decentralized trade

The paper investigates price formation in a decentralized market with random matching. Agents are assumed to have subdued social preferences: buyers, for example, prefer a lower price to a higher one but experience reduced utility increases below a reference price that serves as a common fairness benchmark. The strategic equilibrium reflects market fundamentals, but it is markedly less sensitive to the buyer–seller ratio near the fair price benchmark. Prices may be sticky around very different reference levels in markets with otherwise identical fundamentals. The implied history dependence turns out to be mitigated rather than exacerbated by friction.     

关于地租推进型通货膨胀的价格传导机制研究

本文认为,地租推进型通货膨胀是土地产品价格上涨推动的通货膨胀,是土地产品价值上升的结果,是土地产品价值实现的要求,不是传统意义上的通货膨胀。不同类型的货币政策下,尽管地租推进型通货膨胀的价格传导机制是不同的,其基本内容都是剩余产品在初次分配中向土地所有者的倾斜。因此,地租推进型通货膨胀的治理,核心不在于消灭地租推进型通货膨胀本身,而在于缓解收入分配带来的社会阵痛。地租推进型通货膨胀在投机资本的影响下往往呈现复合式发展的特征。地租推进型通货膨胀研究的新视角,为政府宏观调控应对土地产品价格上涨提供了全新的思路。     

Time-varying dependence structures of equity markets of China,ASEAN and the USA

Popular time-varying Copulas are used to analyse the dependence structure between the CSI 300 index return, the S&P 300 index return and the Association of South East Asian Nations (ASEAN) 80 index return. Results show that these three types of stock index returns have obvious time-varying characteristics. The US sub-prime mortgage crisis has strengthened the correlation among the three-stock index returns, whereas the dependence between China and the ASEAN stock markets is more sensitive to the financial crisis. The time-varying features of the extreme dependence risk between China-ASEAN and China-US are very different.     

Portfolio management with tail dependence

Many publications, that treated with Portfolio Management, were devastating for all asset allocation models in the context of portfolios. The elimination of extreme events (asymmetric or tail dependence) during the portfolio construction process can reduce the skills of asset managers to reduce risk through diversification. The copula theory allows us to calculate an alternative to measure the dependence of extreme events in assets through the index lower tail dependence. We check that the strategies with tail dependence overcame Talmud rule, the Markowitz model and the model of Tu and Zhou by simulating 1,000 portfolios with 3, 5, 10 and 20 randomly selected assets from DJIA for the period 03/1990 until 12/2016. We conclude that models of tail dependence and Markowitz had more performance ex-ante than Talmud and the Tu and Zhou model for portfolios with 3, 5, 10 and 20 assets. Tail dependence models overcome Markowitz, in terms of cumulative return, in over 60% of months considered in the analysis. The results indicate that the Talmud rule should be discarded in a context of constructing portfolios with individual stocks ahead strategies with tail dependence.     

Estimating Lower Tail Dependence Between Pairs of Poverty Dimensions in Europe

This article provides an innovative method for measuring the dependence between pairs of poverty dimensions using a semiparametric copula approach that permits us to account for the importance of extreme low values. The association between pairs of poverty dimensions at the lower tail is easily measured using the parameter estimates of the specified parametric copula, and no further calculations are needed. This approach is used to measure the bivariate lower tail dependence between the dimensions of the AROPE rate in Europe at two time points (2009 and 2018). The findings reveal a statistically significant increase in the lower tail dependence between 2009 and 2018 in several European countries.     

Cointegration and spatial price transmission among wheat and wheat-flour markets in Afghanistan

This article examines cointegration and spatial price transmission among Afghan wheat and flour markets as well as their linkages with those of supplier countries and global markets. Unit root tests, consistent momentum threshold autoregressive (M-TAR) models and vector error correction models (asymmetric and symmetric) are employed to achieve research objectives. The results suggest that provincial wheat and flour markets may have a long-run relationship with principal market of Kabul. Afghan wheat and flour markets may also be cointegrated with their respective global, Kazakh and Pakistani markets. While provincial wheat markets might adjust to divergence from their long-run equilibrium with Kabul wheat market, some of the provincial flour markets may not respond to deviation from their long-run equilibrium with Kabul flour market. The speed of adjustment towards the long-run Afghan–Pakistani and Afghan–Kazakh equilibrium may be faster for Afghan flour than wheat markets. The equilibrium adjustment coefficients are generally small and market imperfections may exist, however. A shock in Kabul wheat and flour markets may have long-lasting effect on the respective provincial markets whereas a shock in global wheat and Pakistani, and Kazakh wheat and flour markets might have transitory effect on the corresponding Afghan markets.     

Modeling asymmetric price transmission in the European food market

In this study, we employ a multivariate panel error correction model (PVECM) to investigate asymmetric price transmission among the farm, processor, and retail segments of the European food supply chain for the 2005–2016 period. The results indicate that, in both the long- and short-run, retail prices respond more strongly to processor price increases than decreases and the same occurs for processor prices due to farm price changes. Thus, the findings demonstrate the presence of positive asymmetric price transmission in the European food supply chain. Finally, the results of the present study indicate that the food price pass-through varies greatly across product category and across countries, and that the pass-through to producer prices is greater than that to consumer prices.     

An econometric analysis of the effects of market liberalization on price dynamics and price volatility

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.

Price transmission in cross boundary supply chains

The extent to which demand and supply shocks are transmitted in the supply chain is an important topic. As many supply chains cross international borders exchange rate pass through is an important element in this context. In this paper a multivariate system that allow us to test different hypothesis with respect to the supply chain is specified. Our empirical analysis includes tests of whether there is a link between the different stages in the supply chain, whether the exchange rate pass through is complete and whether price signals are fully transmitted. Different exogeneity assumptions are testable hypothesis, and one can avoid the simultaneity problem associated with the common single equation specifications. Moreover, one can also test whether the exchange rate is determined outside the system, as well as testing for price leadership. An application is provided for the supply chain for cod between Norway and Portugal.

近期股价波动的原因及趋势分析

本文通过对最近几年股票市场现状的分析,并从经济、心理、制度、政治等因素,深层次探讨股票市场价格暴涨暴跌的原因,发现其是股票市场的一般规律和时间特征耦合在一起的结果,演绎的过程在股票市场自身性和外围众因素波动性的博弈中具有短期不可测性和长期趋势性.最后分析如何从制度上理顺股票市场,政策上应对股票市场价格剧烈波动,并对股票市场做简单长期趋势分析.     

Introducing the mini-futures contract on Ibex 35: implications for price discovery and volatility transmission

This paper analyzes the effects of the introduction of the mini-futures contract in the Spanish stock index futures market. The objective of the paper is twofold: (a) to analyze the potential destabilizing effect of the mini futures trading activity on the distribution of spot returns, and (b) to test whether the mini futures contract significantly contributes to the price discovery process. A non-parametric approach is used to estimate the density function of spot return conditional to both spot and futures trading volume. Empirical findings using 15-min intraday data reveal that the mini futures trading activity enhances the price discovery function of the derivative market and does not destabilize spot prices. A preliminary version of this paper has been previously published as a working paper of the Instituto Valenciano de Investigaciones Económicas, WP-EC 2004-13. M. Illueca and Juan A. Lafuente acknowledge financial support from Spanish ministry of Science and Technology through grants SEJ-2005-02776, and both SEJ2006-14354 and BEC-2003-03965, respectively.     

Tail dependence and diversification benefits in emerging market stocks: an extreme value theory approach

This article examines tail dependence, the benefits of diversification and the relation between the two for emerging stock markets. We find most emerging equity markets are independent in limiting joint extremes. However, the dependence in finite levels of extremes is still much stronger than the dependence implied by multivariate normality. Therefore, simple correlation analysis can lead to gross underestimation of the chances of joint crashes in multiple markets. Assuming risk-averse investors guarding against extreme losses, diversification benefits are measured for each two-country optimal portfolio by the reduction in quantile risk measures such as value-at-risk and expected shortfall relative to an undiversified portfolio. It is shown that tail dependence measures developed from multivariate extreme value theory are negatively related to diversification benefits and more importantly can explain diversification benefits better than the correlation coefficient at the most extreme quantiles.     

Modelling price transmission and volatility spillover in the Slovenian wheat market

Interdependence between first and second moments of producer and consumer wheat prices in Slovenia is assessed, in light of the recent major historical events that the country has undergone, as well as the recent rumours of cartel agreements between millers causing a decline in farm-gate prices, while leaving consumer prices untouched. A threshold vector error correction and multivariate generalized autoregressive conditional heteroscedasticity model with exogenous variables is applied. Results indicate that price-level adjustments mainly favour retailers by increasing their marketing margins. Important second-moment interactions are also identified. Increases in international wheat stocks reduce producer prices, while higher interest rates increase their instability.     

Coordination and price shocks: an empirical analysis

This paper outlines a new technique, which makes optimal control in a stochastic minimum variance framework computationally feasible. The new approach is then used to evaluate gains to policy coordination in the context of a macroeconometric model for the G-3. More specifically, we consider policy responses to a temporary price shock in a single country and in multi-country cases. The results show that coordination brings about a striking improvement in the overall control of inflation and a reduction in output costs.     

True versus spurious state dependence in firm performance

This paper analyzes the persistence of firms’ exporting behavior in a panel of German manufacturing firms using dynamic binary choice models. We distinguish between true and spurious state dependence in exports and apply fixed effects methods that allow us to verify the robustness of our results to critical assumptions on firms’ initial export status. We find robust evidence of state dependence in the current export status of firms. We also document an important role of unobserved permanent firm heterogeneity (spurious state dependence) and quantify the relative importance of different export determinants. Our results, which are consistent with the findings of previous studies on firms in developing countries and in the United States, show the presence of important sunk costs in export market entry and a depreciation of knowledge and experience in export markets. This paper benefitted substantially from three anonymous referees and Bernd Fitzenberger, one of the editors of this journal. The authors wish to thank the Centre for European Economic Research (ZEW), Mannheim, for its hospitality during the time this study was carried out. Both authors gratefully acknowledge helpful comments received at a workshop hosted by the Centre for Applied Microeconometrics, University of Copenhagen workshop, especially those from Bo Honoré. Useful discussions with Georg Licht also lead to improvements of this paper. We thank Ken Chay for sharing Gauss codes used in parts of the paper. Lastly, we would like to thank Bettina Peters, a member of the ZEW team that compiles the data set used in this study, for data guidance and numerous helpful comments. The activities of the Centre for Applied Microeconometrics are financed by a grant from the Danish National Research Foundation.     

A new test procedure for the choice of dependence structure in risk measurement: application to the US and UK stock market indices

The choice of an appropriate dependence structure in modelling multivariate risks is an important issue because different tail structure embedded in copula leads to a different capital requirement for the institution. We present how to select a well-specified dependence structure to given application data. Using a simple simulation technique, we develop a statistical test to assess the adequacy of a specific dependence structure. We examine the sensitivity of risk estimates to the choice of copulas using the S&P 500 and FTSE 100 stock indices.     

Price transmission and local market power: empirical evidence from the Austrian gasoline market

We analyse the impact of local market power on price margins and different dimensions of price adjustment dynamics (speed and asymmetry of price transmission) using data for a large number of individual gasoline stations in Austria. Specific attention is paid to threshold effects in price adjustment. Our results clearly suggest that the speed of price transmission between the Brent crude oil index and retail diesel prices is higher in a more competitive environment. While evidence on the relationship between local market power and asymmetries in the speed of price adjustment is mixed, our findings regarding asymmetries in price thresholds are clear: in regions where competition from neighbouring rivals is weak and/or consumers’ price elasticity of demand is low (stations located on the highway), positive thresholds significantly exceed negative ones, which corresponds to the ‘rockets and feathers phenomenon’. As expected, we observe that prices are lower in more competitive local markets.     

Geographic price dispersion in retail markets: Evidence from micro-data

Using an extensive micro-price data of 266 retail goods and services across US, EU and OECD cities between 1990 and 2005, we study characteristics of geographic dispersion of deviations from the Law of One Price. We find that the magnitude of price dispersion is a function of the characteristics of both the type of good and set of locations under examination. Higher share of non-traded inputs and lower tradability of goods are both found to contribute to geographic price dispersion, with the former typically dominating in explanatory power. The role of tradability of good in accounting for the price dispersion is more significant as we move beyond an economic geography, while non-traded input level matters relatively more if we move to the interior of this geography. Our evidence suggests that the models of real exchange rates should incorporate the classical distinction between traded inputs and local inputs as well as a role for relative markups and traditional trade costs.     

Vertical price transmission in the Turkish poultry market: the avian influenza crisis

This article assesses the impact of the Avian Influenza (AI) outbreak in the Turkish poultry market by focusing on price transmission at producer and retail levels. The relationship and patterns of transmission between producer and retail prices are analysed by estimating a Regime-Switching Vector Error Correction Model with three regimes. An AI information index variable is developed and used to determine regime-switching. Results suggest that consumer prices adjust to disequilibrium caused by the AI crisis, while producer prices are sticky and slowly responsive.