共查询到20条相似文献,搜索用时 31 毫秒
1.
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: |
2.
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 |
3.
Germán Coloma 《Empirical Economics》2006,31(3):587-599
This paper presents a version of the proportionally calibrated almost ideal demand system (PCAIDS) model, useful for merger simulations, which can be econometrically estimated using price data for two firms in a market. PCAIDS is therefore seen as a set of restrictions to be imposed in an econometric estimation, and not only as a pure calibration method. The proposed model is applied to a database of the Argentine gasoline market, and its results are compared to the ones obtained with other alternative specifications.
相似文献
Germán ColomaEmail: |
4.
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: |
5.
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: |
6.
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: |
7.
Order aggressiveness and order book dynamics 总被引:2,自引:0,他引:2
In this paper, we study the determinants of order aggressiveness and traders’ order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most aggressive market orders, limit orders as well as cancellations on both sides of the market employing a six-dimensional autoregressive conditional intensity model. Using order book data from the Australian Stock Exchange, we find that market depth, the queued volume, the bid-ask spread, recent volatility, as well as recent changes in both the order flow and the price play an important role in explaining the determinants of order aggressiveness. Overall, our empirical results broadly confirm theoretical predictions on limit order book trading. However, we also find evidence for behavior that can be attributed to particular liquidity and volatility effects.
相似文献
Nikolaus HautschEmail: |
8.
This paper studies the disequilibrium transition process engaged by increased openness to trade, and the effect of institutions,
market behaviors and economic policies on that transition. The issue is analyzed with a simple two country (north and south),
two goods model, amended in order to take into account the time dimension of both the production and the decision processes.
Investigating the consequences of a tariff decrease by means of numerical simulations, we show to what extent wage and price
setting, and the degree of tightness of monetary policy affect the outcome of the disequilibrium process. The main result
is that capturing the gains associated with international trade requires market behaviors and economic policies, which are
rather different from what is usually prescribed.
相似文献
Francesco SaracenoEmail: |
9.
The behavior of the exchange rate in the genetic algorithm with agents having long memory 总被引:1,自引:1,他引:0
Yiping Xu 《Journal of Evolutionary Economics》2006,16(3):279-297
This paper studies the behavior of the exchange rate in Kareken and Wallace (1981)'s model under the genetic algorithm adaptation with agents having long memory. The simulation results show that, if agents have full memory, the average portfolio fraction will converge, and the initial equilibrium that it converges to is history dependent. Under the lasting evolutionary pressure of the noise trader, the market will eventually drift from one equilibrium to another, and asymptotically will converge to the neighborhood of an equilibrium with agents putting their savings equally into two currencies. If the agents do not have full memory, the foreign exchange market will show periodic crisis. Before and after a market crises, the average portfolio fraction will converge to different stationary equilibria. A mean difference equation of the average portfolio fraction is also given to describe the dynamics of the model.
相似文献
Yiping XuEmail: |
10.
Price-setting behavior of Austrian firms 总被引:1,自引:1,他引:0
This paper explores nominal rigidities by investigating price-setting behavior of Austrian firms based on survey evidence.
Distinguishing between two stages of price setting—first the price reviewing phase and second the price changing phase—our
results suggest that the main obstacles to price flexibility lie on the second stage. Our main result is that firms postpone
price adjustments, because they are afraid to antagonize customers with frequent price changes. Thus, customer relationships
- especially those with consumers—are a major source of price stickiness in the Austrian economy.
相似文献
Josef Baumgartner (Corresponding author)Email: |
11.
In this paper we develop a dynamic model for integer counts to capture fundamental properties of financial prices at the transaction level. Our model relies on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the price changes. Since the model is capable of capturing a wide range of discrete price movements it is particularly suited for financial markets where the trading intensity is moderate or low. We present the model at work by applying it to transaction data of two shares traded at the NYSE traded over a period of one trading month. We show that the model is well suited to test some theoretical implications of the market microstructure theory on the relationship between price movements and other marks of the trading process. Based on density forecast methods modified for the case of discrete random variables we show that our model is capable to explain large parts of the observed distribution of price changes at the transaction level.
相似文献
Winfried PohlmeierEmail: Phone: +49-7531-882660Fax: +49-7531-884450 |
12.
Carsten Herrmann-Pillath 《Journal of Evolutionary Economics》2006,16(4):383-417
Standard trade theory is a theory about the structure of international production which emerges from an international arbitrage equilibrium. It is not a theory about the activity of trading which is simply taken for granted or which is treated implicitly in the concept of exogenous trade costs. This paper proposes an alternative evolutionary framework based on networks as structures of non-price interactions into which price/quantity-interactions are embedded. These networks manifest different levels with specific problems of coordination and communication, i.e. levels of market transactions, of transaction-enabling transactions, of markets for market access rights, and of the respective transaction-enabling transactions. Furthermore, the theory is based on the analysis of capabilities to trade, resting upon competitive advantage, which cannot be imitated. The exploitation of competitive advantage presupposes the capability to control network interactions, identified as social capital. Finally, the security of market access reflects power balances among countries.
相似文献
Carsten Herrmann-PillathEmail: |
13.
In many differentiated product industries, both traditional and “new economy” activities, vertically integrated firms also
supply inputs to apparent rivals in the downstream business. This generates heterogeneity between low- and high-sunk cost
suppliers with implications for entry and competitive conduct. The web hosting market is typical with primary suppliers operating
alongside resellers who rent server space from them. We explore the impact of competition in US hosting using a unique dataset
covering 15,000 packages offered by 3,500 firms. The results suggest price is sensitive to competitor clustering in quality
space; an outcome consistent with easy entry for resellers with ultra-low fixed costs.
相似文献
Steve ThompsonEmail: |
14.
This article studies the question whether labour market institutions can explain the large differences in unemployment rates
in the new member states. It investigates several labour market institutions and concludes that they are on average no more
rigid in the new member states than in the old ones. However, there is a lot of heterogeneity both in terms of institutions
and unemployment rates. The impact of labour market institutions on performance is empirically examined for a panel of European
countries. These results are used to assess to what extent labour market institutions are responsible for the diverse unemployment
experiences in the new member states. Labour market institutions can explain only a small part of these differences. Other
causes of unemployment seem to be more important.
相似文献
Laura ThissenEmail: |
15.
Steve Fleetwood 《The Review of Austrian Economics》2007,20(4):247-267
Theory and policy relating to labor markets is dominated by the mainstream labor market model, although a less well-known,
socioeconomic version can also be identified. The mainstream model is methodologically flawed and forced, thereby, to relegate
any (serious) investigation of labor market institutions and/or social structures to the margins of its analysis. The socioeconomic
account is not so much methodologically flawed, as methodologically ambivalent. While this ambivalence does not actually prevent
the investigation of institutions and/or social structures, it does promote ambiguity whenever we inquire into the precise nature of the interaction between them and labor markets. Insights from Austrian economics, when used in collaboration with critical
realist methodology, can play a part in augmenting the socioeconomic account, generating a totally new approach to the analysis
of labor markets.
相似文献
Steve FleetwoodEmail: |
16.
Tyler Cowen 《The Review of Austrian Economics》2007,20(1):1-10
Under a variety of assumptions, subsidized bidding for creative resources fails to spur economic growth. First, under many
conditions, the resource would find an optimal location in any case. Second, the bid may be good for a winning city's economy,
but bad for the arts more generally. The bid winner is not necessarily the most appropriate home for the resource. Third,
bids based on publicly available information are unlikely to beat the market price for attracting those resources. The key
to stimulating growth, and drawing successful creative resources, is to stimulate the underlying microconditions for entrepreneurship,
whether in the private or public sectors. Furthermore, we should make arts subsidies less location-specific.
相似文献
Tyler CowenEmail: |
17.
The study aims to examine the impact of changes in policy variables namely, monetary aggregate (M1), exchange rate and interest
rate on two monetary goal variables, namely output and price level in Fiji from 1970 to 2006 by applying the procedures of
variance decomposition and impulse response functions. We conclude that the money channel is the most effective channel of
transmission mechanism among the three channels.
相似文献
Chee-Keong Choong (Corresponding author)Email: |
18.
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: |
19.
This paper empirically tests the law of one price by applying unit root tests to three panels consisting of data on 90 consumer
price indices for the EU-25, the EU-15 and the 10 new EU member countries that joined the EU in 2004. The four major findings
of this paper are: (1) panel unit root tests find evidence of price convergence for about 70% of all product groups, (2) the
results are sensitive to the choice of the numeraire country implying that any conclusions must be based on all bilateral
combinations, (3) the average half life across all product groups is 2.0 years, (4) the overall evidence for the law of one
price is weaker in the 10 new EU member countries than in the EU-15.
相似文献
Isabell Koske (Corresponding author)Email: |
20.
Estate taxation with warm-glow altruism 总被引:1,自引:0,他引:1
This article examines the properties of the optimal fiscal policy in an economy with warm-glow altruism (utility interdependence)
and heterogeneous individuals. We propose a new efficiency concept, D-efficiency, that considers an implicit constraint in the act of giving: Donors cannot bequeath to donees more than their
existing resources. Considering this constraint, we show that the market equilibrium is not socially efficient. The efficient
level of bequest transfers can be implemented by the market with estate and labor-income subsidies and a capital-income tax.
In the absence of lump-sum taxation, the government faces a trade-off between minimizing distortions and eliminating external
effects. The implied tax policy differs from Pigovian taxation since the government’s ability to correct the external effects
is limited. Finally, we show that the efficiency-equity trade-off does not affect the qualitative features of the optimal
distortionary fiscal policy.
相似文献
Fernando Sánchez-LosadaEmail: |