Measuring physical access to ‘healthy foods’ in areas of social deprivation: a case study in Cardiff

This paper examines some characteristics of ‘food deserts’– areas of social deprivation which have poor physical access to food shopping – in a large British city, Cardiff. The stereotype of the ‘food desert’ is critically examined, emphasizing the importance attached by residents of such areas to easy access to food shopping, especially in multiple supermarkets. The case study of Cardiff briefly discusses the identification of potential ‘food deserts’, and then examines the structures of ‘healthy food’ availability and prices in four areas of the city (two in the inner city, two in the outer city) where physical access to large multiple supermarkets is poor. The analysis shows that the local shops in these areas cannot compete generally with large supermarkets on either availability of items or their prices, but that the local shops in the inner city areas are rather more competitive than those in the outer areas. Implications for research and policy formulation are finally discussed.     

House Prices and Bubbles in New Zealand

This paper studies actual (real) house prices relative to fundamental (real) house values in New Zealand for the period 1970–2005. Utilizing a dynamic present value model, we find disparities between actual and fundamental house prices in the early 1970s and 1980s and from 2000 to date. We model the bubble component that is related to fundamentals (the intrinsic component), making it possible to highlight whether a bubble still exists after that component is accounted for. We then analyze any remaining bubble to detect any momentum behavior. Much of the overvaluation of the housing market is found to be due to price dynamics rather than an overreaction to fundamentals.

Do retail gasoline prices rise more readily than they fall?: A threshold cointegration approach

This paper revisits the controversy over whether retail gasoline prices respond to increases in upstream prices more rapidly than decreases. Using threshold and momentum models of cointegration and daily data at different stages in the distribution chain, we find that transmission between upstream and downstream prices is mostly asymmetric in the momentum model: increases in upstream prices are passed on to downstream prices more quickly than decreases. We distinguish between small and large shocks and show that the asymmetry is more pronounced for small shocks, which may be due to consumer search costs.     

人民币汇率变动的进口价格传递效应——基于企业类型的实证研究

汇率传递是汇率变动与其经济影响的中间环节。传递弹性在很大程度上决定了汇率变动经济影响的大小。利用分布滞后模型、协整、向量自回归等方法,研究本国企业和外资企业的进口价格对人民币汇率变动的传递效应,结果显示,外资企业进口价格的传递弹性明显大于本国企业,人民币升值对外资企业进口的促进作用较明显。由于外资企业进口的很大部分是用于加工贸易,其较高的传递弹性会在一定程度上抵消人民币升值对出口的负面影响。     

Pricing jump risk with utility indifference

This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion process. We price options according to the principle of utility indifference. Our main contribution is an efficient multi-nomial tree method for computing the utility indifference prices for both European and American options. Moreover, we conduct an extensive numerical study to examine how the indifference prices vary in response to changes in the major model parameters. It is shown that the model reproduces ‘crash-o-phobia’ and other features of market prices of options. In addition, we find that the volatility smile generated by the model corresponds to a zero mean jump size, while the volatility skew corresponds to a negative mean jump size.     

Learning and price volatility in duopoly models of resource depletion

The combination of learning and depletion in non-renewable resource markets adds significant volatility to commodity prices. The market consists of a small number of suppliers who make depletion plans based on their perceptions of how sensitive price is to supply. Learning leads to changes in these perceptions and hence the revision of depletion plans, which can have a dramatic effect on market supply and price. Firstly, price trends upwards faster than the rate of time preference as the non-renewable resource approaches exhaustion. Secondly, there are frequent escape episodes in which price rises rapidly before gradually falling back. The striking volatility and nonstationarity in commodity prices that results has parallels in oil price data.     

Evidence on the Relationship between Housing and Consumption in the United States: A State‐Level Analysis

We estimate the dynamic effects of U.S. housing market shocks on state‐level spending and home prices from a dynamic common factor model, and identify housing demand and supply shocks using a sign‐restrictions approach. While state‐level spending and house prices gradually respond positively and persistently to aggregate housing demand shocks, there is significant variation across states in the magnitude of these responses. Cross‐state regressions of the estimated responses on an index of mortgage market development suggest that spending in states with greater opportunities for home equity borrowing is more sensitive to housing demand shocks than in states with fewer opportunities, which is consistent with the prominence of a “collateral” channel over a “wealth” channel in explaining the link between housing and the overall economy.     

Time-Varying Spillover and the Portfolio Diversification Implications of Clean Energy Equity with Commodities and Financial Assets

This article examines the time-varying spillover and its implications on hedging and portfolio diversification for clean energy equities (WilderHill New Energy Global Innovation Index (NEX)) with technology stocks (PSE), four energy sub-indices of Standard & Poor Goldman Sachs Commodity Index (S&P-GSCI) viz., Crude oil, Brent crude oil, Gasoline and Heating oil and three major global equities indices represented by the USA, Europe, World, Dow-Jones Islamic Market Index (DJIMI) along with USD-Euro exchange rate. We find that in a mixed portfolio set-up, the inclusion of NEX in energy portfolio provides better diversification and risk reduction benefits for hedgers and portfolio managers.     

Noise Momentum Around the World

We argue that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such ‘noise momentum’ is an important determinant of the overall arbitrage process. We design an empirical strategy to capture noise momentum in a two‐period generalized error correction model. Applying it to a wide range of international spot‐futures market pairs, we document pervasive evidence of noise momentum around the world.     

The Impact of Biofuel Policies on Crop Acreages in Germany and France

A major concern about biofuels is that increasing biofuel feedstock demand reduces availability of crops for food and feed leading to higher food prices. This paper investigates relations between biofuel policies and prices of rapeseed, the major feedstock used for biodiesel production in Europe, and the impact of rapeseed prices on crop acreages in Germany and France. Biodiesel is an important biofuel in Europe, and Germany and France are the largest biodiesel producers in Europe. First, the various biofuel policies in Germany and France are discussed, followed by an analysis of their effects on rapeseed prices. Although theory indicates that such effects exist, we could not find empirical evidence for them. Second, using regional land use panel data from Germany and France we investigate empirically whether crop shares have been affected by rapeseed prices in the period 2000–2015 and whether these price effects changed because of biofuel policy changes. Results show that wheat shares in Germany and France did respond to rapeseed prices, but barley shares did not. Moreover, mandatory blending introduced in Germany in 2007 and production quotas introduced in France in 2005 led to a stronger effect of rapeseed prices on wheat shares, but again did not affect barley shares.