Extreme dependence in price transmission analysis

We propose a generalized procedure that combines conventional price transmission analysis with copula-based dynamic tail dependence, to examine price relationships under extreme conditions. This approach is used to examine Ukrainian wheat markets where export restrictions combined with price surges, 2006–2008 and 2010–2012, have contributed to a turbulent market. The results indicate that domestic prices were effectively insulated from world price shocks, but that a ‘rocket and feathers’ price relation held between domestic flour and wheat prices. These asymmetric price co-movements changed with the degree of restrictiveness of the export prohibitions.     

论我国海域价格的理论构成

随着我国海域有偿使用制度的推行,海域资源从无偿使用逐步走上有偿使用的轨道,海域资源配置逐渐向市场机制过渡,海域价格评估方法的探讨成为当前海域研究的热点.本文在分析海域价格形成机制的基础上,从理论上分析得出我国海域价格的构成,对于进一步探讨海域价格的评估方法具有十分重要的意义.     

Pierson on scarcity of gold and changes in the general price level

This paper is a historical reflection on the monetary view of Pierson. (1838–1910) a nineteenth-century Dutch economist, Bank president and prime minister, and his writing on the appropriateness of index numbers to measure inflation. Two aspects are conisdered. First, a policy of price stability should not focus solely on a general price index because this does not take inot account monetary factors sufficiently. Second, a pure monetary explanation as in the gold debate of the 1880s falls short of the mark and might conceal what really is going on, e.g. deflation.     

Dynamic price dependence of Canadian and international art markets: an empirical analysis

Although the market for Canadian paintings is now of substantial magnitude, with several works having recently been sold for well over a million dollars, it remains true that with very few exceptions, the works of Canadian painters are bought and sold only in Canada and seem to be held only by Canadian collectors. This market can thus be viewed as largely local, and it is therefore not clear whether there should be any linkage between price movements for Canadian art and those for the mainstream international market in old master, impressionist, and modern art. This article investigates the presence and nature of such time series dependence econometrically, both in terms of long-term trends as reflected in the co-integrating relationship between Canadian and the international market, and in terms of short-run co-movements as represented in correlations. The possibility that the local market ??follows?? the international one is also considered through an analysis of Granger causality. For Canadian art prices, we use a new hedonic index that has been computed using an updated version of the dataset of Hodgson and Vorkink (Can J Econ 37:629?C655, 2004), while for the international prices, we use an index provided by Mei and Moses (Am Econ Rev 92:1656?C1668, 2002).     

A general equilibrium analysis of price controls and subsidies on food in mexico

In this paper we present a general equilibrium model that permits a thorough analysis of the effects of government pricing policies. In particular, we study the effects of price controls and subsidies on agricultural and food items in Mexico. We analyze alternative policies for reducing the government deficit by cutting subsidies and increasing indirect taxes. Our results indicate that, although food subsidies need to be reduced, maintaining some subsidies would have a favorable impact on income distribution.     

顾客价值的层次性分析

顾客价值被认为是企业塑造竞争优势的重要来源.本文从顾客价值的概念出发,深入分析顾客价值的三个层次及其相互联系,最后揭示顾客价值的层次性分析对企业营销的启示.     

A general existence theorem for equilibrium price dispersions

This paper presents sufficient conditions for the existence of non-degenerate equilibrium price dispersions in economies with sequentially searching consumers. This existence result is obtained by fully utilizing the fixed-point property of equilibrium price dispersions. Compared with the existing literature, the formal framework used in this paper is very general. Consequently, the results of the paper are valid for a large class of economic models.     

The macroeconomic impact of the nixon wage and price controls: A general equilibrium approach

This paper empirically estimates the effects of the Nixon Wage and Price Controls using a general equilibrium macroeconomic model which allows for interaction of prices, wages, aggregate demand, real output, and interest rates. Results confirm earlier findings: the controls had only brief, downward effects on measured inflation which were reversed by the end of 1973. Even before the end of 1973, controls were having adverse effects on prices, output and interest rates. Furthermore, there is evidence that controls, coupled with expansive monetary policy, can lead to economic conditions that are more serious than those existing prior to the imposition of the controls.     

Tail dependence analysis of stock markets using extreme value theory

Financial risk modelling frequently uses the assumption of a normal distribution when considering the return series which is inefficient if the data is not normally distributed or if it exhibits extreme tails. Estimation of tail dependence between financial assets plays a vital role in various aspects of financial risk modelling including portfolio theory and hedging amongst applications. Extreme Value Theory (EVT) provides well established methods for considering univariate and multivariate tail distributions which are useful for forecasting financial risk or modelling the tail dependence of risky assets. The empirical analysis in this article uses nonparametric measures based on bivariate EVT to investigate asymptotic dependence and estimate the degree of tail dependence of the ASX-All Ordinaries daily returns with four other international markets, viz., the S&P-500, Nikkei-225, DAX-30 and Heng-Seng for both extreme right and left tails of the return distribution. It is investigated whether the asymptotic dependence between these markets is related to the heteroscedasticity present in the logarithmic return series using GARCH filters. The empirical evidence shows that the asymptotic extreme tail dependence between stock markets does not necessarily exist and rather can be associated with the heteroscedasticity present in the financial time series of the various stock markets.     

The use of data envelopment analysis for the detection of price above the competitive level

Economic theory can predict the impact of exogenous influences on the equilibrium prices in a market. However, it is difficult to measure the magnitude of such effects because the appropriate data are usually not available. In this paper a new approach to comparing prices is explored using individual firm data which are typically available. If the firms in different markets can be assumed to use the same technology, price differentials can be inferred from the estimates can be assumed to use the same technology, price differentials can be inferred from the estimates of best practice frontiers. The new approach is applied to data on the Swiss construction industry in different cantons. In some cantons the market can be said to be competitive, in others non-competitive procurement rules are expected to raise equilibrium prices. The data envelopment analysis estimates the price differential to be approximately equal to 7.5%.Helpful criticism from participants of a seminar at the Business Institute of the University of Vienna are gratefully acknowledged.     

Modelling the dynamics of European carbon futures price: A Zipf analysis

This article investigates the European carbon futures price dynamics by applying the Zipf analysis. The results show that: first, carbon price behaviour is asymmetric, and the long-term bearish probability is greater than the long-term bullish probability. Second, time-scales of investment and speculators' expectations of returns have dual effects on carbon price behaviour. The longer the time-scales of investment, the higher the bearish probability. The lower the expectations of returns, the smaller the distortion of carbon price behaviour. Third, the differences in carbon market cognitions from non-greedy speculators with different expectations of returns mainly lie in the amplitudes and occasions of carbon price fluctuations, rather than in the carbon price fluctuations themselves. Fourth, speculators' expectations of returns have critical points. Once the critical points are reached, they will no longer be able to distort carbon price behaviour. Finally, we discuss some investment advice for supports of the decision-makers. For non-greedy-type speculators, they will choose to hold negatively in the short term and buy and hold in the long term, while for greedy-type speculators they will sell their European Union Allowances (EUAs) in the short term, and buy and hold in the long term. The results are helpful to hedge against unwanted carbon price movements, and to understand the transactions between different types of agents.     

Welfare reform: A game theoretic perspective

Traditionally, the debate over welfare reform has been infused with passion and driven by ideology, but reform itself has proceeded in careful steps. In recent years, however, the status quo has been dramatically altered as the need for fundamental change has become apparent as the starting point for reform. Using the state of Wisconsin’s aggressive approach to welfare reform as a model of what is administratively possible, we portray reform as an n-person iterated coordination game in order to examine potential outcomes under the larger rubric of ratinal decision-making and utility maximization. In so doing, we demonstrate that game theory offers an alternative framework for dissecting and discussing complex social issues such as welfare reform.     

A general formula for the optimal level of social insurance

In an influential paper, Baily (1978) showed that the optimal level of unemployment insurance (UI) in a stylized static model depends on only three parameters: risk aversion, the consumption-smoothing benefit of UI, and the elasticity of unemployment durations with respect to the benefit rate. This paper examines the key economic assumptions under which these parameters determine the optimal level of social insurance. I show that a Baily-type expression, with an adjustment for precautionary saving motives, holds in a general class of dynamic models subject to weak regularity conditions. For example, the simple reduced-form formula derived here applies with arbitrary borrowing constraints, durable consumption goods, private insurance arrangements, and search and leisure benefits of unemployment.     

Welfare reform: A game theoretic perspective

Traditionally, the debate over welfare reform has been infused with passion and driven by ideology, but reform itself has proceeded in careful steps. In recent years, however, the status quo has been dramatically altered as the need for fundamental change has become apparent as the starting point for reform. Using the state of Wisconsin’s aggressive approach to welfare reform as a model of what is administratively possible, we portray reform as an n-person iterated coordination game in order to examine potential outcomes under the larger rubric of ratinal decision-making and utility maximization. In so doing, we demonstrate that game theory offers an alternative framework for dissecting and discussing complex social issues such as welfare reform.     

A theoretical analysis of resale price maintenance

Resale Price Maintenance has been defended as a tool to prevent free riding among retailers and condemned as a tool to protect price fixing schemes. This paper presents an economic model in which customers search for products from among those provided by manufacturers and competitive dealers who provide, at a cost, information useful in the customers' search. It is shown that competitive manufacturers will not maintain the resale price above the competitive dealer equilibrium but that the monopolist manufacturer will under certain elasticity conditions. Thus resale price maintenance is a sufficient but not necessary condition of monopoly.     

A CGE analysis of oil price change

As Chinese economy system has been depended more on the import of petroleum with the development of China, the change in the price of international oil have caused concern among economists and policy makers. This paper is to present a financial Computable General Equilibrium (CGE) model of the Chinese economy which integrates real economy and financial sectors, and to apply it to quantitatively evaluate the impacts on Chinese economy caused by international oil price changes. And the model endogenously determines the exchange rate, covering fixed, partially flexible, and completely flexile exchange rate system to consider the effect of foreign oil price changes from the point of view of macro and industrial aspects. Finally, this paper presents concluding remarks.     

A general analysis of the Averch-Johnson effect

This note provides general proofs of the basic results concerning the effects of rate-of-return regulation on factor use and output levels. These results may be applied tothe case of a firm using an arbitrary form of price schedule.     

A wavelet decomposition approach to crude oil price and exchange rate dependence

This paper studies the relationship between oil prices and US dollar exchange rates using wavelet multi-resolution analysis. We characterized the oil price–exchange rate relationship for different timescales in an attempt to disentangle the possible existence of contagion and interdependence during the global financial crisis and analyze possible lead and lag effects. For crude oil prices and a range of currencies, we show that oil prices and exchange rates were not dependent in the pre-crisis period; however, we did find evidence of contagion and negative dependence after the onset of the crisis. Additionally, we found that oil prices led exchange rates and vice versa in the crisis period but not in the pre-crisis period. These findings have important implications for risk management, monetary policies to control oil inflationary pressures and fiscal policy in oil-exporting countries.     

Second price auctions on general preference domains: two characterizations

Auction theory usually assumes the quasi-linearity of individual preferences. We drop this assumption and define an extension of second price mechanisms that applies to general preferences. It turns out that the extended second price mechanisms are the only rules satisfying efficiency, strategy-proofness, and a mild non-imposition property. Their definition is simple just as much as the definition of usual second price mechanisms: everyone reports his maximum willingness to pay and the bidder whose reported value is highest buys the auctioned object for the price equal to the second highest reported value. The characterization is valid if efficiency is replaced by envy-freeness. I gratefully acknowledge an associate editor and two anonymous referees for their very helpful comments. Hiroki Saitoh and Shigehiro Serizawa independently obtain a result that is closely related to my main result (see, Remark in Sect. 1). I thank them for sending me the paper and communication, and Yuji Fujinaka for informing me about their work. I also thank the financial support by KAKENHI (19310031).