共查询到20条相似文献,搜索用时 31 毫秒
1.
On the distribution of product price and quality 总被引:1,自引:0,他引:1
Alex Coad 《Journal of Evolutionary Economics》2009,19(4):589-604
We investigate the structure of demand by focusing on the distribution of prices within narrowly-defined classes of goods.
We observe considerable heterogeneity—products that are functionally similar but presumably of different ‘quality’ may sell
at very different prices. We analyze distribution of prices for bottles of wine, used cars, houses in London and week-long
holidays in Majorca, and observe in each case that the the resulting distribution is more skewed than the lognormal but less
skewed than a Pareto distribution. We then present a theoretical model whereby products can distinguish themselves along multiple
hedonic dimensions of ‘performance’, with these product attributes being random variables subject to multiplicative interactions.
Variations of this model can reproduce a lognormal price distribution and a Pareto distribution as lower and upper bound benchmarks
(respectively).
相似文献
Alex CoadEmail: |
2.
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: |
3.
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: |
4.
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 |
5.
In this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the
links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance
framework with multiple regimes and volume effects. Volatility forecast comparisons, using the Harvey-Newbold test for multiple
forecasts encompassing, seem to demonstrate that the MSV-EGARCH complex threshold structure is able to correctly fit GARCH-type
dynamics of the series under study and dominates competing standard asymmetric models in several of the considered stock indexes.
相似文献
José Dias CurtoEmail: |
6.
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: |
7.
The present paper aims at examining the role of variety in the ski manufacturing industry and its relevance in firms’ price
setting strategies. In particular, it intends to investigate and to empirically test three hypotheses concerning the relations
between: product quality and prices; variety in technical characteristics and prices; variety in service characteristics and
prices. Our empirical investigation finds that prices are positively affected by product quality and positively affected by
variety in service characteristics. This means that a high degree of product variety allows firms to charge a premium price
on consumers, who are able to find the product that best meets their needs and are therefore willing to pay a higher price.
By contrast, variety in technical characteristics negatively impacts prices. In a context where a dominant design has emerged
and new varieties are not radically different from each other, the gains in economies of scale and scope outweigh the costs
of the increased flexibility in the equipment required to produce variety.
相似文献
Marco GuerzoniEmail: |
8.
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: |
9.
Mansor H. Ibrahim 《International Review of Economics》2007,54(4):463-483
In this paper, we empirically examine the finance-economic development relations for the case of Malaysia. Using a battery
of time series econometric techniques, we document robust evidence suggesting favorable output effects of financial market
development. Likewise, there are consistent results showing the adverse real effects of financial volatility. The results
of the development of financial intermediaries, however, are fragile. Moreover, the development of the financial markets hinges
crucially on macro-economic performance and financial stability of the country. However, the process of financial market development
is likely to be accompanied by financial volatility, leaving Malaysia with the trade-off between financial development and
financial volatility. Lastly, we obtain limited evidence indicating the complementarity between financial market and banking
sector developments.
相似文献
Mansor H. IbrahimEmail: |
10.
This paper proposes a new approach to jointly model the trading process and the revisions of market quotes. This method accommodates asymmetries in the dynamics of ask and bid quotes after trade-related shocks. The empirical specification is a vector error correction (VEC) model for ask and bid quotes, with the spread as the co-integrating vector, and with an endogenous trading process. This model extends the vector autoregressive (VAR) model introduced by Hasbrouck (Hasbrouck J (1991) Measuring the information content of stock trades. J Finance 46:179–207). We provide evidence against several symmetry assumptions, very familiar among microstructure models. We report asymmetric adjustments of ask and bid prices to trade-related shocks, and asymmetric impacts of buyer and seller-initiated trades. In general, buys are more informative than sells. The likelihood of symmetric quote responses increases with volatility. We show that our findings are robust across different model specifications, time frequencies, and trading periods. Moreover, we find similar asymmetries in markets with different microstructures.
相似文献
Roberto PascualEmail: |
11.
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: |
12.
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: |
13.
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: |
14.
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: |
15.
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: |
16.
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: |
17.
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: |
18.
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: |
19.
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: |
20.
Based on a sample of 1,084 European regions (EU15) from 1995 to 2004, we estimate the relationship between the average growth
rate of GDP per capita and the volatility of the growth rate allowing for spatial effects. The spatial lag and spatial error
models show that the regional per capita growth rate and volatility are significantly positively related on average. However,
the inclusion of country interaction terms reveals that the volatility impact is not uniform across countries. In particular,
the relationship between growth and volatility is significantly positive for the majority of countries but significantly negative
for three countries (namely Finland, Italy, and Ireland).
相似文献
Martin FalkEmail: |