Commodity option pricing efficiency before Black,Scholes, and Merton

It is often thought that the arrival of the Black–Scholes–Merton (BSM) model of option pricing in the early 1970s allowed traders to understand how to price and value options with greater precision. However, our study suggests that interwar commodity options traders may have been able to intuit ‘fair’ value and to adjust their prices to changes in the market environment well before the advent of this innovative model. A scarcity of historical price data has limited empirical tests of option price efficiency well before BSM to studies of stock options in the 1870s and the early twentieth century which revealed contrasting findings. This study deals with option pricing in a different market—commodities—during the interwar period. We conclude that option prices were closer to their BSM theoretical values than prior studies suggest. Institutional differences between interwar commodity options markets and stock options markets in the 1870s and the early twentieth century may partly account for this result. Furthermore, we find that interwar option prices were no more mispriced than in modern times, and were as sensitive to changes in volatility—the key valuation parameter in the BSM model.     

Commodity price instability and economic goal attainment in developing countries

This paper reviews the theoretical and empirical micro and macro foundations for the frequent claims that instabilities in international commodity markets have deleterious effects on goal attainment in primary-commodity exporting developing countries. This review leads to the conclusion that the available evidence does not support these claims. The paper concludes with speculation on why such claims are so strong despite the lack of supporting evidence: perhaps it is because of measurement problems and perhaps because of small but articulate groups with vested interests in overstating the problem.     

雷达装备定价暨价格管理信息化系统建设

在军民融合的新形势下,文章针对军工企业在产品价格管理工作中存在的一些问题,提出了建立雷达装备价格信息化系统建设方案,有效解决了雷达装备价格数据管理,实现了雷达装备快速报价和雷达定价的准确预测,进一步提升了价格管理水平。     

现行定价机制下我国成品油价格调整对相关行业的影响

本文通过对我国成品油定价机制的分析,阐述了在现行的定价机制下,成品油价格在调整过程中存在的问题,并着重探讨了其对相关行业的影响,论述了国家给予相应补贴政策的作用,提出了相应对策。     

传统零售业的网络营销定价策略研究--价格歧视理论的应用

~~传统零售业的网络营销定价策略研究——价格歧视理论的应用@孙虹乔$湖南长沙市长沙民政职业技术学院     

Exchange rate pass-through: evidence from the Syrian economy

This paper studies the exchange rate pass-through in the Syrian economy over the period 1990Q1-2009Q4. To this end it constructs a cost of imports indicator which is used in an Autoregressive Distributed Lag (ARDL) approach. The findings point to a high and fast exchange rate pass-through effect. As a consequence, Syrian macro-economic performance is very sensitive to international price evolutions as well as depreciations of the Syrian Pound.     

Regional Mc parity: do common pricing points reduce deviations from the law of one price?

This paper analyses price differences of McDonald’s products in four different countries. I show that pricing at pricing points in different currencies may contribute to explaining deviations from the law of one price. Observing strictly equal prices is more probable if prices are set at psychological and fractional pricing points in a common currency. The latter is also found to reduce the size of price deviations. Additionally, price differences increase as transaction costs increase. Based on this data set there is no evidence that the euro has reduced price deviations.     

供应链企业间创新合作退出机制的期权价值分析

在识别供应链企业间共同以及单方面终止创新合作两种形式的合作退出机制的基础上,应用实物期权理论分析了不同退出机制下各参与方的预期项目价值。研究结果表明,共同终止项目的期权行为是项目内生的,通过各方协议达成一致对项目中所出现的不确定性做出的决策,可使参与方都能够从中获益,强调了伙伴关系的合作本质。单方面终止合作的期权行为本质上是一种不合作的行为,会引起合作方利益的损失并造成项目总体价值的降低。     

Big data pricing in marketplace lending and price discrimination against repeat borrowers: Evidence from China

In this work, we systematically investigate the pricing mechanism change from auction to big data pricing on one of the major marketplace lending platforms in China. We find that big data pricing reduces the average interest rate while the borrowers with delinquency or default histories are assigned higher interest rates. However, repeat borrowers are also faced with growing interest rates, even though they have been paying their debts on time. Further analysis shows that repeat borrowers have lower income and education levels. Moreover, investor returns become less dispersed after pricing with big data, which can be a result of homogeneous loans on the market. The implications of the above findings are discussed.     

South African competition policy on excessive pricing and its relation to price gouging during the COVID-19 disaster period

The declaration of a state of national disaster in South Africa, due to the COVID-19 pandemic, was followed by excessive-pricing regulations pertaining to certain consumer and medical products and services. The regulations and their application suggest an intertemporal benchmark to judge excessive pricing, deviating from previous practice. Intertemporal comparisons assume a structural shift during COVID-19 that changes competitive conditions, related to changes in consumer behaviour. Such comparisons must also account for demand and cost changes. While the COVID-19 regulations allow for cost-based price increases, demand-based increases are not explicitly accounted for, suggesting that the regulations are framed more generally as price-gouging regulations. The differences between price-gouging and excessive-pricing benchmarks depends on the type of disaster-period demand shock. They are similar following a transitory demand spike, provided sufficient time is allowed for dynamic price behaviour, but differ markedly when demand is elevated for the duration of the disaster period. Applying simple cost-based comparisons in recently concluded cases against smaller retailers are consistent with excessive pricing, given the presence of a demand spike. To the extent that these involve persistently higher demand, cases against wholesalers and larger retailers will be more complicated, as such demand must be reflected in competitive prices.     

消费者环保意识背景下的再制造供应链定价策略与协调研究

随着消费者环境意识的增强,再制造产品的需求量也会增加,从而提升了制造商和零售商在再制造产品方面的资源利用率,实现了可持续发展。本文讨论了在分散化、集中化以及协调定价三种情况下,消费者环境意识对供应链定价策略的影响。     

Exchange rate pass-through and rivalry in the Swiss automobile market

Exchange Rate Pass-Through and Rivalry in the Swiss Automobile Market. —This paper investigates the pricing rivalry among foreign automobile producers in the Swiss market. The main results from the dynamic analysis of two categories of automobiles between 1977 and 1991 are: First, the degree of exchange rate pass-through differs among source-countries despite the absence of quantitative restrictions on imports and of domestic production facilities. However, for some countries, pricing strategies show remarkable consistency across product categories and time spans. Second, the degree of exchange rate pass-through is low, especially in the market for small-size automobiles. Third, this low degree of pass-through may be attributed to a low degree of competition among foreign sellers.     

出口商品的价格困惑

2006年10月，第100届中国出口商品交易会在广州如期进行，在国家调低出口退税率和欧盟对中国鞋征收反征销税的压力之下，中国纺织服装和鞋类生产商按照早已酝酿好的既定方案，纷纷提高了出口商品报价。     

地主制经济容纳商品经济问题

上世纪80年代,吴承明教授提出了一个卓有见地的问题:中国地主制经济,能够较大限度地容纳商品经济,能够利用商品货币关系,在生产关系上做出某些调节,因而能延长自己的生命.对这个问题当时学术界曾经以地租、商业利润和利息自由流动,相互转化,形成地主、商人和高利贷者"三位一体"的经济结构,共同分割农民和手工业者的剩余劳动来作解释.这种经济结构固然有利于商品经济的发展,但并非这个问题最确切的答案.     

Recent estimates of exchange rate pass-through to import prices in the euro area

This paper provides an update on the exchange rate pass-through (ERPT) estimates for 12 euro area (EA) countries. First, based on quarterly data over the 1990–2012 period, the study does not find a significant heterogeneity in the degree of pass-through across the monetary union members, in contrast to previous empirical studies. As the authors use a longer time span for the post-EA era than existing studies, this is not surprising, since the process of monetary union has entailed some convergence towards more stable macroeconomic conditions across EA member states. Second, when assessing the stability of pass-through elasticities, the authors find very weak evidence of a decline around the inception of the euro in 1999. However, their results reveal that a downtrend in ERPT estimates became apparent starting from the beginning of the 1990s. This observed decline was synchronous to the shift towards reduced inflation regimes in their sample of countries. Finally, the authors notice that the distinction between “peripheral” and “core” EA economies in terms of pass-through has significantly decreased over the last two decades.     

Interest rate pass-through and monetary policy asymmetry: A journey into the Caucasian black box

This paper analyses the interest rate pass-through for five economies of the Caucasus – Armenia, Azerbaijan, Georgia, Kazakhstan, and Russia. Employing an autoregressive distributed lag (ARDL) specification to monthly data, we find that the interest rate pass-through is systematically incomplete and sluggish, probably due to macroeconomic instability and a low degree of competition in the banking sector. It is not clear whether pass-through has improved over time and asymmetric adjustment is found to characterize the pass-through only occasionally. Overall, our results show a considerable degree of cross-country heterogeneity in the pass-through.     

Uncertainty and the arbitrage pricing theory

This paper tests the economic importance of income uncertainty in the context of a measured factor arbitrage pricing theory model. This provides a test of the importance of uncertainty using a different methodology and data set than are traditionally used. If income uncertainty affects the investment climate, a statistically significant risk premium will be associated with assets that are affected by uncertainty. The empirical work in this essay finds that a generalized autoregressive conditional heteroskedasticity measure of income uncertainty is a priced factor in a model of the arbitrage pricing theory. The risk premium between a baa-rated 10-year corporate bond and a 10-year government bond, as well as the term structure, also are priced factors.     

票证,远去的记忆

民以食为天.千百年来,人们将"食"作为生活的最低标准,同时也将"食"作为生活的高档追求和享受;中国作为世界人口大国,解决老百姓温饱问题一直是执政者的首要大事.改革开放30年来,最让老百姓感觉真切的也就是菜篮子、米袋子的变化.     

Mechanical Refrigeration and the Integration of Perishable Commodity Markets

In this paper, we provide a history of the economic impact of mechanical refrigeration in the United States. We also examine spatial and temporal aspects of market integration. Specifically, we examine seasonal fluctuations in prices and analyze regional integration of markets for butter. We test the null hypothesis of no integration before and after the advent and adoption of refrigerated shipping and warehousing using 31 years of monthly data. We find strong evidence of spatially integrated markets after adoption. Our results indicate that the adoption of mechanical refrigeration brought about a significant dampening of seasonal fluctuations of butter prices and a tightening of spatial price linkages. We conclude that the adoption of mechanical refrigeration had a significant impact on both temporal and spatial butter price relationships.