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Journal articles on the topic 'Equilibrium prices'

Author: Grafiati

Published: 4 June 2021

Last updated: 13 February 2022

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1

Kwak, Minsuk, Traian A. Pirvu, and Huayue Zhang. "A Multiperiod Equilibrium Pricing Model." Journal of Applied Mathematics 2014 (2014): 1–14. http://dx.doi.org/10.1155/2014/408685.

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We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income. There are one tradable risky asset (stock/commodity), one nontradable underlying (temperature), and also a contingent claim (weather derivative) written on the tradable risky asset and the nontradable underlying in the market. The price of the contingent claim is priced in equilibrium by optimal strategies of representative agent and market clearing condition. The risk preferences are of exponential type with a stochastic coefficient of risk aversion. Both subgame perfect strategy and naive strategy are considered and the corresponding equilibrium prices are derived. From the numerical result we examine how the equilibrium prices vary in response to changes in model parameters and highlight the importance of our equilibrium pricing principle.

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2

Gorbenko, Alexander S., and Andrey Malenko. "Competition among Sellers in Securities Auctions." American Economic Review 101, no. 5 (2011): 1806–41. http://dx.doi.org/10.1257/aer.101.5.1806.

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We study simultaneous security-bid second-price auctions with competition among sellers for potential bidders. The sellers compete by designing ordered sets of securities that the bidders can offer as payment for the assets. Upon observing auction designs, potential bidders decide which auctions to enter. We characterize all symmetric equilibria and show that there always exist equilibria in which auctions are in standard securities or their combinations. In large markets the unique equilibrium is auctions in pure cash. We extend the model for competition in reserve prices and show that binding reserve prices never constitute equilibrium as long as equilibrium security designs are not call options. (JEL D44, D82, G10)

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3

Krylatov, Alexander Y., Yulia E. Lonyagina, and Ruslan I. Golubev. "Spatial market equilibrium in the case of linear transportation costs." Vestnik of Saint Petersburg University. Applied Mathematics. Computer Science. Control Processes 16, no. 4 (2020): 447–54. http://dx.doi.org/10.21638/11701/spbu10.2020.409.

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In this article, we study the spatial market equilibrium in the case of fixed demands and supply values, the requirement of equality in regard to overall supply and overall demand, and linear transportation costs. The problem is formulated as a nonlinear optimization program with dual variables reflecting supply and demand prices. It is shown that the unique equilibrium commodity assignment pattern is obtained explicitly via equilibrium prices. Moreover, it is proved that in order to obtain absolute values of equilibrium prices, it is necessary to establish a certain base market price. Therefore, once the base market price is given, then other prices are adjusted according to spatial market equilibrium.

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4

Girma, Paul Berhanu. "Do Heating Oil Prices Adjust Asymmetrically To Changes In Crude Oil Prices." Journal of Business & Economics Research (JBER) 9, no. 7 (2011): 1. http://dx.doi.org/10.19030/jber.v9i7.4676.

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This study investigated if there is an asymmetric relationships between heating oil and crude oil futures price changes for maturities of one to four months. The study finds that heating oil and crude oil futures price series of one-month to four month maturities are threshold cointegrated. The study also shows that heating oil and crude oil futures prices adjust "Asymmetrically" for deviation from equilibrium. At shorter maturities (one and two month contracts) heating oil and crude oil prices adjust faster for positive deviation from threshold equilibrium. In contrast, for longer maturities (three and four month contracts) heating oil and crude oil prices adjust faster for negative deviation from equilibrium. Finally, this study finds that only heating oil prices adjust to clear deviations from long-run equilibrium relationship.

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5

Dana, Rose-Anne, Monique Florenzano, Cuong Le Van, and Dominique Levy. "Production prices and general equilibrium prices." Journal of Mathematical Economics 18, no. 3 (1989): 263–80. http://dx.doi.org/10.1016/0304-4068(89)90024-4.

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6

D’Haultfœuille, Xavier, Isis Durrmeyer, and Philippe Février. "Automobile Prices in Market Equilibrium with Unobserved Price Discrimination." Review of Economic Studies 86, no. 5 (2018): 1973–98. http://dx.doi.org/10.1093/restud/rdy064.

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Abstract In markets where sellers are able to price discriminate, individuals pay different prices that may be unobserved by the econometrician. This article considers the structural estimation of a demand and supply model of differentiated products with such price discrimination and limited information on prices taking the form of, e.g., observing list prices from catalogues or average prices. Within this framework, identification is achieved not only with usual moment conditions on the demand side, but also through supply-side restrictions. The model can be estimated by GMM using a nested fixed point algorithm that extends the usual contraction mapping algorithm to our setting. We apply our methodology to estimate the demand and supply in the French new automobile market. Our results suggest that discounting arising from price discrimination is important. The average discount is estimated to be 9.6%, with large variation depending on buyers’ characteristics and cars’ specifications. Our results are consistent with other evidence on transaction prices in France.

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7

Hitzemann, Steffen, and Marliese Uhrig-Homburg. "Equilibrium Price Dynamics of Emission Permits." Journal of Financial and Quantitative Analysis 53, no. 4 (2018): 1653–78. http://dx.doi.org/10.1017/s0022109018000297.

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This article presents a stochastic equilibrium model for environmental markets that allows us to study the characteristic properties of emission permit prices induced by the design of today’s cap-and-trade systems. We characterize emission permits as highly nonlinear contingent claims on economy-wide emissions and reveal their hybrid nature between investment and consumption assets. Our model makes predictions about the dynamics and volatility structure of emission permit prices, the forward price curve, and the implications for option pricing in this market. Empirical evidence from existing emissions markets shows that the model explains the stylized facts of emission permit prices and related derivatives.

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8

Prager, Elena. "Healthcare Demand under Simple Prices: Evidence from Tiered Hospital Networks." American Economic Journal: Applied Economics 12, no. 4 (2020): 196–223. http://dx.doi.org/10.1257/app.20180422.

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This paper shows that consumers respond to prices for complex healthcare when they can easily assess out-of-pocket prices. Healthcare cost containment efforts increasingly incentivize price shopping despite a dearth of evidence that this steers consumers toward lower-priced care for major medical services. I show that consumers shift toward lower-priced hospitals in the highly simplified price information environment of insurance plans with tiered hospital networks. Consumers observe a single predictable, well-defined price that applies to a broad range of services within each of at most three hospital tiers. Within three years, expected partial-equilibrium savings reach 8–17 percent of baseline spending. (JEL G22, H75, I11, I13)

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9

Brown, Zach Y. "Equilibrium Effects of Health Care Price Information." Review of Economics and Statistics 101, no. 4 (2019): 699–712. http://dx.doi.org/10.1162/rest_a_00765.

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Do information frictions in health care markets lead to higher prices and price dispersion? Focusing on medical imaging procedures, this paper examines the equilibrium effect of a unique statewide price transparency website. Price information leads to a shift to lower-cost providers, especially for patients subject to a deductible. Furthermore, supply-side effects play a significant role in the long run, benefiting all insured individuals. Supply-side effects reduce price dispersion and are especially relevant in concentrated markets. These effects are important given that high prices are thought to be a primary cause of high private health care spending.

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10

Anokye, Martin, Henry Amankwah, Emmanuel Kwame Essel, and Irene Kafui Amponsah. "Dynamics of Equilibrium Prices With Differential and Delay Differential Equations Using Characteristic Equation Techniques." Journal of Mathematics Research 11, no. 4 (2019): 1. http://dx.doi.org/10.5539/jmr.v11n4p1.

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This study compares differential model to delay differential model in terms of their qualitative behaviour with respect to equilibrium price changes using roots of characteristic equation techniques. The equilibrium states of both price adjustment models were simulated using inputs from same source. The study found that irrespective of initial prices set for the system, the current price of the differential model would always move monotonically towards the equilibrium price defined for the system. However, the current price of the delay- differential model will fluctuate and move away from the initial prices due to the delay parameter associated with the supply, then gradually decrease and turn towards the defined system equilibrium price.  Results from the study also showed that current prices in the delay-differential model are not predictable at the initial stage due to the time delay parameter in the supply function of price. On the other hand, current prices in their counterpart models without delay are predictable, as they always converge to the equilibrium price points defined in the system. Since most economic and physical systems are time delay inherent, it is recommended that such systems are modeled using delay-differential equations to reflect realities of the phenomena.

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11

Lucier, Brendan. "Setting equilibrium prices, approximately." ACM SIGecom Exchanges 12, no. 1 (2013): 30–33. http://dx.doi.org/10.1145/2509013.2509017.

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12

Restoy, Fernando, and Philippe Weil. "Approximate Equilibrium Asset Prices*." Review of Finance 15, no. 1 (2010): 1–28. http://dx.doi.org/10.1093/rof/rfq015.

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13

Gul, Ferdinand A. "Audit Prices, Product Differentiation and Economic Equilibrium." AUDITING: A Journal of Practice & Theory 18, no. 1 (1999): 90–100. http://dx.doi.org/10.2308/aud.1999.18.1.90.

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This study tests the hypothesis that Big 6 audit prices are higher than non-Big 6 audit prices for both large and small segments of the auditee market. The hypothesis is based on the assumption that these price differentials should be observed given product differentiation and competition in a stable audit market. The absence of price differentials between Big 6 and non-Big 6 auditors for large auditees due to diseconomies of scale to the non-Big 6 (previously non-Big 8) auditors found in some prior studies is inconsistent with long-run allocational efficiency which suggests that inefficient audit firms should be driven out of the market. Results of OLS regression analyses of Hong Kong market data provide evidence to support the above hypothesis that product differentiation and competition prevails in both segments of the market.

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14

Yetman, James. "Fixed prices versus predetermined prices and the equilibrium probability of price adjustment." Economics Letters 80, no. 3 (2003): 421–27. http://dx.doi.org/10.1016/s0165-1765(03)00137-x.

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15

Orzen, Henrik, and Martin Sefton. "Buyer Subsidies in an Equilibrium Model of Price Dispersion." German Economic Review 4, no. 4 (2003): 497–501. http://dx.doi.org/10.1111/j.1465-6485.2003.00091.x.

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Abstract We present a model of equilibrium price dispersion in which a per-unit subsidy to buyers can reduce average prices. The reason is that subsidies have two effects on average prices that work in opposite directions. First, subsidies raise buyers’ willingness-to-pay, and by itself this causes firms to charge higher prices. However, since a higher willingness-to-pay lowers the relative cost of search, subsidies also induce more search. This creates a second effect that puts pressure on firms to reduce prices.We show that the second effect can dominate, thus causing an overall reduction in average price.

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16

Krakstad, Svein Olav, and Are Oust. "Are house prices in the Norwegian capital too high?" International Journal of Housing Markets and Analysis 8, no. 2 (2015): 152–68. http://dx.doi.org/10.1108/ijhma-08-2014-0034.

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Purpose – This paper aims to investigate whether the homes in the Norwegian capital, Oslo, are overpriced. While house prices in many countries dropped after the financial crisis, those in Norway have continued to increase. Over the past 20 years, real house prices in Oslo have increased by around 7 per cent yearly. Design/methodology/approach – The authors use a vector error correction model to estimate the equilibrium between house prices, rents, construction costs and wages to examine whether house prices in Oslo are overpriced. Findings – Long-term relationships between house prices, rents, construction costs and wages are found and used to estimate equilibrium house prices in Oslo. The overpricing in Oslo compared to estimated equilibrium prices is around 35 per cent. Practical implications – Price–rent, price–construction cost and price–income ratios are often used, by practitioners to say something about over- or underpricing in the housing market. We test and find that house prices, rents and construction costs move toward constant ratios in the long run, while wages are found to be weakly exogenous in the system. Originality/value – Our estimate of overpricing gives households, investors and policy-makers a better understanding of the risk associated with owning dwellings.

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17

Byrne, David P., and Nicolas de Roos. "Learning to Coordinate: A Study in Retail Gasoline." American Economic Review 109, no. 2 (2019): 591–619. http://dx.doi.org/10.1257/aer.20170116.

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This paper studies equilibrium selection in the retail gasoline industry. We exploit a unique dataset that contains the universe of station-level prices for an urban market for 15 years, and that encompasses a coordinated equilibrium transition mid-sample. We uncover a gradual, three-year equilibrium transition, whereby dominant firms use price leadership and price experiments to create focal points that coordinate market prices, soften price competition, and enhance retail margins. Our results inform the theory of collusion, with particular relevance to the initiation of collusion and equilibrium selection. We also highlight new insights into merger policy and collusion detection strategies. (JEL G34, L12, L13, L71, L81, Q35)

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18

Saleerut, Sriwena, Chalermpon Jatuporn, Vasu Suvanvihok, and Apinya Wanaset. "Price Adjustment of Oil Palm and Palm Oil in Thailand to the World Price of the Palm Oil Market." Asian Journal of Agriculture and Rural Development 10, no. 2 (2020): 690–97. http://dx.doi.org/10.18488/journal.ajard.2020.102.690.697.

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The objectives of this study are to analyze: (1) the effects from the change of palm oil price in the world market to the prices of oil palm and palm oil in Thailand, and (2) the adjustment of oil palm and palm oil prices in Thailand to the change of the price of palm oil in the world market using monthly time series from January 2008 to September 2019. The statistics consist of the stationary test using the ADF unit root, the long-run equilibrium test using the cointegration, and the short-run adjustment to the equilibrium using the error correction model, respectively. The empirical findings show that farm-gate price is the most affected by the change of palm oil price in the world market, followed by wholesale, export, and retail prices, respectively. In line with the adjustment of the prices of oil palm and palm oil in Thailand to the change in the world palm oil price, it is found that farm-gate price has adjusted in the short-term to return the equilibrium with the highest speed at 27.883%, followed by wholesale price 22.710%, exporting price 18.792%, and retail price 15.658%, respectively.

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19

Baye, Michael R., and John Morgan. "Information Gatekeepers on the Internet and the Competitiveness of Homogeneous Product Markets." American Economic Review 91, no. 3 (2001): 454–74. http://dx.doi.org/10.1257/aer.91.3.454.

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We examine the equilibrium interaction between a market for price information (controlled by a gatekeeper) and the homogenous product market it serves. The gatekeeper charges fees to firms that advertise prices on its Internet site and to consumers who access the list of advertised prices. Gatekeeper profits are maximized in an equilibrium where (a) the product market exhibits price dispersion; (b) access fees are sufficiently low that all consumers subscribe; (c) advertising fees exceed socially optimal levels, thus inducing partial firm participation; and (d) advertised prices are below unadvertised prices. Introducing the market for information has ambiguous social welfare effects. (JEL D4, D8, M3, L13)

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20

Cao, H. Henry, and Dongyan Ye. "Transaction Risk, Derivative Assets, and Equilibrium." Quarterly Journal of Finance 06, no. 01 (2016): 1650001. http://dx.doi.org/10.1142/s2010139216500014.

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We describe a rational expectations model in which there is not only asymmetric information about payoffs but also asymmetric information about the preference, proportion and precision of private information of investors. We define this payoff-irrelevant risk as transaction risk, which is described by market state variables unrelated to payoffs. When derivative assets are introduced, the prices of the derivative assets can reveal information about transaction risk. Due to the informational role of derivative-asset prices, introducing derivative assets can increase social welfare and the price of the underlying asset even though no investors are trading in these derivative assets.

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21

Papadimitriou, Christos H., and Mihalis Yannakakis. "An impossibility theorem for price-adjustment mechanisms: Fig. 1." Proceedings of the National Academy of Sciences 107, no. 5 (2010): 1854–59. http://dx.doi.org/10.1073/pnas.0914728107.

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We show that there is no discrete-time price-adjustment mechanism (any process that at each period looks at the history of prices and excess demands and updates the prices) such that for any market (a set of goods and consumers with endowments and strictly concave utilities) the price-adjustment mechanism will achieve excess demands that are at most an ϵ fraction of the total supply within a number of periods that is polynomial in the number of goods and . This holds even if one restricts markets so that excess demand functions are differentiable with derivatives bounded by a small constant. For the convergence time to the actual price equilibrium, we show by a different method a stronger result: Even in the case of three goods with a unique price equilibrium, there is no function of ϵ that bounds the number of periods needed by a price-adjustment mechanism to arrive at a set of prices that is ϵ-close to the equilibrium.

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22

Bizid, Abdelhamid, and Elyès Jouini. "Equilibrium Pricing in Incomplete Markets." Journal of Financial and Quantitative Analysis 40, no. 4 (2005): 833–48. http://dx.doi.org/10.1017/s002210900000199x.

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AbstractGiven the exogenous price process of some assets, we constrain the price process of other assets that are characterized by their final payoffs. We deal with an incomplete market framework in a discrete-time model and assume the existence of the equilibrium. In this setup, we derive restrictions on the state-price deflators. These restrictions do not depend on a particular choice of utility function. We investigate numerically a stochastic volatility model as an example. Our approach leads to an interval of admissible prices that is more robust than the arbitrage pricing interval.

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23

Hansen, Karsten T., Kanishka Misra, and Mallesh M. Pai. "Frontiers: Algorithmic Collusion: Supra-competitive Prices via Independent Algorithms." Marketing Science 40, no. 1 (2021): 1–12. http://dx.doi.org/10.1287/mksc.2020.1276.

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We show that the long-run prices from independent machine learning algorithms depend on the informational value of price experiments. If low, the long-run prices are consistent with the static Nash equilibrium; however, if high, the long-run prices are supra-competitive.

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24

Berry, Steven, James Levinsohn, and Ariel Pakes. "Automobile Prices in Market Equilibrium." Econometrica 63, no. 4 (1995): 841. http://dx.doi.org/10.2307/2171802.

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25

Goldenberg, David H. "Memory and equilibrium futures prices." Journal of Futures Markets 9, no. 3 (1989): 199–213. http://dx.doi.org/10.1002/fut.3990090303.

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26

Ball, Clifford A., and Tarun Chordia. "True Spreads and Equilibrium Prices." Journal of Finance 56, no. 5 (2001): 1801–35. http://dx.doi.org/10.1111/0022-1082.00390.

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27

Herings, Jean-Jacques, Gerard van der Laan, Dolf Talman, and Richard Venniker. "Equilibrium adjustment of disequilibrium prices." Journal of Mathematical Economics 27, no. 1 (1997): 53–77. http://dx.doi.org/10.1016/0304-4068(95)00761-x.

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28

SCHOONBEEK, LAMBERT, and PETER KOOREMAN. "THE IMPACT OF ADVERTISING IN A DUOPOLY GAME." International Game Theory Review 09, no. 04 (2007): 565–81. http://dx.doi.org/10.1142/s0219198907001606.

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We investigate the impact of advertising in a static differentiated duopoly. First, we consider the Nash equilibrium if firms compete with both prices and advertising. Second, we examine the Nash equilibrium if firms only compete in prices and do not advertise. We characterize the circumstances in which the profit, output, and/or price of each firm is greater (or smaller) with advertising than without advertising.

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29

ROCKENBACH, BETTINA. "A STRATEGIC ANALYSIS OF SPECULATIVE TRADE IN A TWO-SIDED ASSET MARKET WITH INFORMATION DIVERSITY." International Game Theory Review 07, no. 02 (2005): 151–70. http://dx.doi.org/10.1142/s0219198905000466.

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The impossibility of speculative trade result (Milgrom and Stokey, 1982) provokes the questions why traders care about their private information, if they cannot profit from it and how the aggregate information can then be reflected in REE prices. This paper answers these questions by analyzing a speculative market as a game, which has the advantage of making the equilibrium strategies explicit. We introduce the new equilibrium selection concept of best reply resistance, which singles out those equilibria that remain an equilibrium even if opponent(s) deviate to a best reply. In the unique best reply resistant equilibrium of the two-player game trade at the REE price occurs each time both traders receive contradicting private information.

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30

Matsumoto, Akio, and Ferenc Szidarovszky. "Theocharis Problem Reconsidered in Differentiated Oligopoly." Economics Research International 2014 (August 17, 2014): 1–12. http://dx.doi.org/10.1155/2014/630351.

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Oligopolies with product differentiation are examined with both quantity-adjusting and price-adjusting firms. Conditions are given for the positivity of the equilibrium outputs as well as for that of the equilibrium prices. The stability of the positive equilibria is then investigated; the positivity and stability conditions are also compared. The dependence of these conditions on the number of firms, their qualifications and the degree of relation between the goods is discussed. The analysis is given by assuming both discrete- and continuous-time scales.

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31

Sheng, Jiliang, Jian Wang, and Jun Yang. "Regret Theory and Equilibrium Asset Prices." Mathematical Problems in Engineering 2014 (2014): 1–7. http://dx.doi.org/10.1155/2014/912652.

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Regret theory is a behavioral approach to decision making under uncertainty. In this paper we assume that there are two representative investors in a frictionless market, a representative active investor who selects his optimal portfolio based on regret theory and a representative passive investor who invests only in the benchmark portfolio. In a partial equilibrium setting, the objective of the representative active investor is modeled as minimization of the regret about final wealth relative to the benchmark portfolio. In equilibrium this optimal strategy gives rise to a behavioral asset priciting model. We show that the market beta and the benchmark beta that is related to the investor’s regret are the determinants of equilibrium asset prices. We also extend our model to a market with multibenchmark portfolios. Empirical tests using stock price data from Shanghai Stock Exchange show strong support to the asset pricing model based on regret theory.

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32

Jorge, Marcos Valli, and Wilfredo Leiva Maldonado. "Price differentiation and menu costs in credit card payments." Journal of Economic Studies 43, no. 2 (2016): 178–202. http://dx.doi.org/10.1108/jes-08-2014-0152.

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Purpose – The purpose of this paper is to model a credit card market where the retailers may charge differential prices depending on the instrument of payment used by the consumer. According to the research agenda proposed by Rochet and Wright (2010), the authors find conditions for the existence of differential prices equilibrium and analyze the effects of that price differentiation on the consumer’s welfare. Design/methodology/approach – This is done when the consumer has also the store credit as an alternative of payment. The equilibrium prices are computed assuming a Hotelling competition among retailers in both scenarios, when the cost of the store credit provided by the retailer is greater than that provided by the credit card and vice versa. Findings – From this, the authors prove that the average price under the price differentiation is lower than the single price under the no-surcharge rule; nevertheless, the retailer’s margins remain the same in both situations. Furthermore, some cross-subsidies are expunged when price differentiation is allowed. The authors also conclude that the consumers’ welfare is greater when the no-surcharge rule is abolished. Finally, if the retailers face menu costs whenever they differentiate prices, the authors provide sufficient conditions for differential prices remain as equilibrium. Practical implications – This is an important input for discussions among regulators and players of the credit card market. Originality/value – From the analysis the authors can conclude that price differentiation, according to the instrument of payment, is a welfare improving policy. The authors explicitly determine the average price in that setting and the differentiated prices even in presence of costs that arise from price differentiation. The obtained theoretical results can be used as an input for econometric modeling purposes.

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33

Belyakova, E. S., and N. G. Pavlova. "EQUILIBRIUM PRICES IN ECONOMIC EQUILIBRIUM MODELS WITH TRANSACTION COSTS." Tambov University Reports. Series: Natural and Technical Sciences 21, no. 1 (2016): 9–16. http://dx.doi.org/10.20310/1810-0198-2016-21-1-9-16.

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34

Wong, Kam-Chau. "Excess demand functions, equilibrium prices, and existence of equilibrium." Economic Theory 10, no. 1 (1997): 39–54. http://dx.doi.org/10.1007/s001990050145.

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35

Wang, Z., S. Zheng, H. H. Wang, and S. Liang. "Determinants of agricultural chemical price in China’s export-oriented vegetable production area." Agricultural Economics (Zemědělská ekonomika) 56, No. 1 (2010): 32–42. http://dx.doi.org/10.17221/1/2009-agricecon.

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Agricultural chemicals may have an adverse impact on environment and food safety. The demand prices of such chemicals reveal farmers’ willingness to pay and their preferences. This article examines the determinants of the agricultural chemicals price in the export-oriented vegetable production area, Anqiu, Shandong Province, applying the Hedonic Price Model based on the spatial econometric technique to analyze the price. We find that the agricultural chemicals with a different shape and function have different equilibrium prices, and the chemical attributes of permeability, rainfastness, being a substitute of the highly poisonous chemical, having a zero residue, and the internal absorption can all influence the equilibrium prices remarkably. We also find that the prices of biological and non-pollution agricultural chemicals might not be higher than the ordinary agricultural chemicals with the same characteristics. These findings do not show a good sign to the new agricultural chemicals promotion and environmental protection, and should be brought to the government’s attention.

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36

Wang, Shing-Yi. "State Misallocation and Housing Prices: Theory and Evidence from China." American Economic Review 101, no. 5 (2011): 2081–107. http://dx.doi.org/10.1257/aer.101.5.2081.

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This paper examines the equilibrium price effects of the privatization of housing assets that were previously owned and allocated by the state. I develop a theoretical framework that shows that privatization can have ambiguous effects on prices in the private market, and that the degree of misallocation of the assets prior to privatization determines the subsequent price effects. I test the predictions of the model using a large-scale housing reform in China. The results suggest that the removal of price distortions allowed households to increase their consumption of housing and led to an increase in equilibrium housing prices. (JEL L33, O18, P25, R31, R38)

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37

Coey, Dominic, Bradley J. Larsen, and Brennan C. Platt. "Discounts and Deadlines in Consumer Search." American Economic Review 110, no. 12 (2020): 3748–85. http://dx.doi.org/10.1257/aer.20190460.

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We present a new equilibrium search model where consumers initially search among discount opportunities, but are willing to pay more as a deadline approaches, eventually turning to full-price sellers. The model predicts equilibrium price dispersion and rationalizes discount and full-price sellers coexisting without relying on ex ante heterogeneity. We apply the model to online retail sales via auctions and posted prices, where failed attempts to purchase reveal consumers' reservation prices. We find robust evidence supporting the theory. We quantify dynamic search frictions arising from deadlines and show how, with deadline-constrained buyers, seemingly neutral platform fee increases can cause large market shifts. (JEL D11, D44, D83, L81)

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38

İmrohoroğlu, Ayşe, Kyle Matoba, and Şelale Tüzel. "Proposition 13: An Equilibrium Analysis." American Economic Journal: Macroeconomics 10, no. 2 (2018): 24–51. http://dx.doi.org/10.1257/mac.20160327.

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There are many federal, state, and local laws that distort housing decisions and prices. However, it is often difficult to tease out the quantitative impact of such policies. In this paper, we examine the implications of one of the most significant tax changes initiated by voters in the United States on house prices, housing turnover, and household welfare. In 1978 California passed Proposition 13, which lowered property tax rates and restricted future property tax increases. We find that the introduction of Proposition 13 leads to a 15 percent increase in house prices and a 3.3 percent decrease in the moving rates. The elimination of Proposition 13, however, leads to modest changes in house prices and mobility but sizable welfare gains. (JEL E13, G21, H71, R21, R31)

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Chen, Tao, Kaili Xiang, and Xuemei Luo. "Estimation of Ask and Bid Prices for Geometric Asian Options." Discrete Dynamics in Nature and Society 2019 (March 13, 2019): 1–9. http://dx.doi.org/10.1155/2019/6276250.

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Traditional derivative pricing theories usually focus on the risk-neutral price or the equilibrium price. However, in highly competitive financial markets, we observed two prices which are called bid and ask prices; then the unique risk-neutral price fails to hold. In this paper, within the framework of conic finance, we provide a useful approach to evaluate the ask and bid prices of geometric Asian options and obtain the explicit formulas for the ask and bid prices. Finally, numerical examples show that the higher the market liquidity parameter γ, the wider the spread and hence the less the liquidity.

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Guerrieri, Veronica, and Robert Shimer. "Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality." American Economic Review 104, no. 7 (2014): 1875–908. http://dx.doi.org/10.1257/aer.104.7.1875.

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We develop a dynamic equilibrium model of asset markets with adverse selection. There exists a unique equilibrium in which better quality assets trade at higher prices but with a lower price-dividend ratio in less liquid markets. Sellers of high-quality assets signal quality by accepting a lower trading probability. We show how the distribution of sellers' private information affects an asset's price and liquidity, how a change in that distribution can cause a fire sale and a flight to quality, and how asset purchase and subsidy programs may raise prices and liquidity and reverse the flight to quality. (JEL D82, G12)

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41

Gao, Xing You. "Analysis on Third-Degree Price Discrimination in Oligopoly Market Based on Static Game Theory." Advanced Materials Research 912-914 (April 2014): 1865–73. http://dx.doi.org/10.4028/www.scientific.net/amr.912-914.1865.

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Equilibrium production, equilibrium price and equilibrium total revenue in the case of implementing third-degree price discrimination and unified pricing were analyzed under the condition of two oligopoly firms with 2 sub markets by complete information static game method, and the relationship between the three indexes of the two cases were studied. The results showed that, under the condition of linear demand functions of the two sub markets, the equilibrium output of unified pricing was equal to the equilibrium output of discriminative pricing; the equilibrium price of unified pricing was weighted average of the equilibrium prices of two sub markets while discriminative pricing; the equilibrium total revenue of unified pricing was less than the equilibrium total revenue of discriminative pricing.

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Balduzzi, Pierluigi, Silverio Foresi, and David J. Hait. "Price Barriers and the Dynamics of Asset Prices in Equilibrium." Journal of Financial and Quantitative Analysis 32, no. 2 (1997): 137. http://dx.doi.org/10.2307/2331170.

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Mircea, Gabriela, Mihaela Neamţu, and Laura Mariana Cismaş. "Dynamical Models For Prices With Distributed Delays." Timisoara Journal of Economics and Business 8, no. 1 (2015): 91–102. http://dx.doi.org/10.1515/tjeb-2015-0010.

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Abstract In the present paper we study some models for the price dynamics of a single commodity market. The quantities of supplied and demanded are regarded as a function of time. Nonlinearities in both supply and demand functions are considered. The inventory and the level of inventory are taken into consideration. Due to the fact that the consumer behavior affects commodity demand, and the behavior is influenced not only by the instantaneous price, but also by the weighted past prices, the distributed time delay is introduced. The following kernels are taken into consideration: demand price weak kernel and demand price Dirac kernel. Only one positive equilibrium point is found and its stability analysis is presented. When the demand price kernel is weak, under some conditions of the parameters, the equilibrium point is locally asymptotically stable. When the demand price kernel is Dirac, the existence of the local oscillations is investigated. A change in local stability of the equilibrium point, from stable to unstable, implies a Hopf bifurcation. A family of periodic orbits bifurcates from the positive equilibrium point when the time delay passes through a critical value. The last part contains some numerical simulations to illustrate the effectiveness of our results and conclusions.

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Gevorgyan, Kristine. "Do demographic changes affect house prices?" Journal of Demographic Economics 85, no. 4 (2019): 305–20. http://dx.doi.org/10.1017/dem.2019.9.

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AbstractThe paper tests the idea that major demographic shifts can affect housing prices. We first build an overlapping generation model and analytically solve for the equilibrium price of the asset. The model predicts that economies with a higher fraction of old people in the overall population have lower house prices. We empirically test this hypothesis using data on house prices and demographic variables from the Organization for Economic Co-operation and Development (OECD). We find that if population growth increases by one percentage point, house price growth increases by 1.4 percentage points.

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ARNADE, CARLOS, and LINWOOD HOFFMAN. "THE IMPACT OF PRICE VARIABILITY ON CASH/FUTURES MARKET RELATIONSHIPS: IMPLICATIONS FOR MARKET EFFICIENCY AND PRICE DISCOVERY." Journal of Agricultural and Applied Economics 47, no. 4 (2015): 539–59. http://dx.doi.org/10.1017/aae.2015.24.

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AbstractThis study investigates the relationship between cash and futures prices of soybeans and soybean meal from 1992 to 2013. Error correction models are estimated for the prices of both commodities. An exogenous measure of price variability is included in both models to determine if variability increases the speed with which cash and futures prices return to their long-run equilibrium relationship. This is used to measure the impact of price variability on short-run market efficiency and the price discovery process. The findings indicate that the level of price variability influences market adjustment rates and the price discovery process.

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Li, Yi Bing, Rui Yang, and Fang Ye. "Price Game Based Spectrum Sharing in Cognitive Radio Networks." Advanced Materials Research 225-226 (April 2011): 632–36. http://dx.doi.org/10.4028/www.scientific.net/amr.225-226.632.

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The competitive price model is applied in the analysis of spectrum sharing in cognitive radio networks. As the prices of shared spectrum are determined independently by primary users in practical application, to deal with the solution of equilibrium price without acknowledgement of current price strategies from other primary users, the iterative method is used to calculate price of the shared spectrum. In order to achieve better characteristics, an exponential iterative method for the competitive price based spectrum sharing model is proposed. It can achieve the desired spectrum price only with the prices strategies during last iteration. Simulation results show that the proposed exponential gradient iterative scheme can achieve the equilibrium price that maximizes the profits of primary users, and have better convergence performance than linear gradient iterative scheme.

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Irz, Xavier, Jyrki Niemi, and Liu Xing. "Determinants of food price inflation in Finland." Suomen Maataloustieteellisen Seuran Tiedote, no. 28 (January 31, 2012): 1–7. http://dx.doi.org/10.33354/smst.75469.

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The agricultural commodity crisis of 2006-8 and the recent evolution of commodity markets have reignited anxieties in Finland over fast-rising food prices and food security. Although the impact of farm commodity price shocks on the final consumer is mitigated by a large degree of processing as well as the complex structure of the food chain, little is known about the strength of the linkages between food markets and input markets. Using monthly series of price indices from 1995 to 2010, we estimate a vector error-correction (VEC) model in a co-integration framework in order to investigate the short-term and long-term dynamics of food price formation. The results indicate that a statistically significant long-run equilibrium relationship exists between the prices of food and those of the main variable inputs consumed by the food chain, namely agricultural commodities, labour, and energy. When judged by the magnitude of long-run pass-through rates, farm prices represent the main determinant of food prices, followed by wages in food retail and the price of energy. However, highly volatile energy prices are also important in explaining food price variability. The parsimonious VEC model suggests that the dynamics of food price formation is dominated by a relatively quick process of adjustment to the long-run equilibrium, the half life of the transitional dynamics being six to eight months following a shock.

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Michaillat, Pascal, and Emmanuel Saez. "Aggregate Demand, Idle Time, and Unemployment *." Quarterly Journal of Economics 130, no. 2 (2015): 507–69. http://dx.doi.org/10.1093/qje/qjv006.

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Abstract This article develops a model of unemployment fluctuations. The model keeps the architecture of the general-disequilibrium model of Barro and Grossman (1971) but takes a matching approach to the labor and product markets instead of a disequilibrium approach. On the product and labor markets, both price and tightness adjust to equalize supply and demand. Since there are two equilibrium variables but only one equilibrium condition on each market, a price mechanism is needed to select an equilibrium. We focus on two polar mechanisms: fixed prices and competitive prices. When prices are fixed, aggregate demand affects unemployment as follows. An increase in aggregate demand leads firms to find more customers. This reduces the idle time of their employees and thus increases their labor demand. This in turn reduces unemployment. We combine the predictions of the model and empirical measures of product market tightness, labor market tightness, output, and employment to assess the sources of labor market fluctuations in the United States. First, we find that product market tightness and labor market tightness fluctuate a lot, which implies that the fixed-price equilibrium describes the data better than the competitive-price equilibrium. Next, we find that labor market tightness and employment are positively correlated, which suggests that the labor market fluctuations are mostly due to labor demand shocks and not to labor supply or mismatch shocks. Last, we find that product market tightness and output are positively correlated, which suggests that the labor demand shocks mostly reflect aggregate demand shocks and not technology shocks.

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Kang, Minwook. "NONCONNECTEDNESS OF THE SET OF BANKRUPTCY-FREE MONEY EQUILIBRIA IN THE STATIC ECONOMY: A CONSTRUCTIVE EXAMPLE." Macroeconomic Dynamics 18, no. 7 (2013): 1539–46. http://dx.doi.org/10.1017/s1365100513000011.

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A static economy in which nominal taxes and transfers are balanced, as proposed by Balasko and Shell (1993), typically has a continuum of equilibrium money prices. This paper presents a constructive example in which the set of equilibrium money prices is not connected. By allowing negative consumption as a mathematical construct, closed form solutions for equilibrium tax-adjusted income are derived. The main result of the example implies that bankrupt taxpayers with negative tax-adjusted income can be free from bankruptcy as the price of money increases. This paradoxical outcome is similar to that of the transfer paradox, as suggested by Gale (1974), where tax-transfer plans make taxpayers better off.

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Sieg, Holger, V. Kerry Smith, H. Spencer Banzhaf, and Randy Walsh. "Interjurisdictional housing prices in locational equilibrium." Journal of Urban Economics 52, no. 1 (2002): 131–53. http://dx.doi.org/10.1016/s0094-1190(02)00007-4.

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