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Journal articles on the topic 'Observed price'
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1
Levy, Tamir, and Joseph Yagil. "Observed versus theoretical prices under price limit regimes." Journal of Economics and Business 57, no. 3 (May 2005): 208–37. http://dx.doi.org/10.1016/j.jeconbus.2004.11.003.
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NISHIHARA, MICHI, MUTSUNORI YAGIURA, and TOSHIHIDE IBARAKI. "COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS." Asia-Pacific Journal of Operational Research 27, no. 02 (April 2010): 211–25. http://dx.doi.org/10.1142/s0217595910002648.
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This paper derives, in closed forms, upper and lower bounds on risk-neutral cumulative distribution functions of the underlying asset price from the observed prices of European call options, based only on the no-arbitrage assumption. The computed bounds from the option price data show that the gap between the upper and lower bounds is large near the underlying asset price but gets smaller away from the underlying asset price. Since the bounds can be easily computed and visualized, they could be practically used by investors in various ways.
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Bangalee, Varsha, and Fatima Suleman. "Has the increase in the availability of generic drugs lowered the price of cardiovascular drugs in South Africa?" Health SA Gesondheid 21 (October 11, 2016): 60–66. http://dx.doi.org/10.4102/hsag.v21i0.935.
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Background: This research focuses on pharmaceutical competition in South Africa where concurrent pricing legislation is being implemented without monitoring the consequences on generic drug competition and usage.Objective: To examine the relationship between originator drug prices and the number of generic brands within the cardiovascular class of drugs and to compare South African prices with international reference prices.Method: Data on private sector drug prices was sourced from the South African Medicine Price Registry. The relationship between the median proportional price and the number of brands in the therapeutic class was analysed using correlation analysis. International reference prices were obtained from the Management Sciences for Health International Drug Price Indicator Guide (2012 edition).Results: A weak correlation between originator and generic drug prices and the number of available brands was observed, the exception being diuretic drugs. The median prices per strength of the originator generic were still higher than the most expensive generic version manufactured by any other company, the exception being telmisartan. Comparison of price ratios between the originator drug, lowest priced generic and international reference price values revealed that the originator drug prices had a median price ratio of 20.99 (interquartile range 7.31—53.46) and the lowest priced generics had a median price ratio of 4.28 (interquartile range 2.10—8.47).Conclusion: Increased generic competition is not a predictor of lower drug prices. The study also concludes that the current South African pharmaceutical policies have not yet achieved the lowest prices for drugs when compared internationally.
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Pokrivčák, J., and M. Rajčaniová. "Crude oil price variability and its impact on ethanol prices." Agricultural Economics (Zemědělská ekonomika) 57, No. 8 (August 23, 2011): 394–403. http://dx.doi.org/10.17221/42/2010-agricecon.
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The world annual biofuel production has exceeded 100 billion litres in 2009. The development of the biofuel production is partly influenced by the government support programs and partly by the development of oil prices. The main purpose of this paper is to analyze the statistical relationship between ethanol, gasoline and crude oil prices. We aim to check the correlation among these variables and to analyze the strength and direction of a possible linear relationship among the variables. We are interested in analyzing how each variable is related to another, so we evaluate the inter-relationship among the variables in the Vector Autoregression (VAR) and the Impulse Response Function (IRF). In order to achieve our goal, we first collected weekly data for each variable from January, 2000 to October, 2009. The results provide evidence of the cointegration relationship between oil and gasoline prices, but no cointegration between ethanol, gasoline and ethanol, oil prices. As a result, we used a VAR model on first differences. After running the Impulse Response Function, we found out that the impact of the oil price shock on the other variables is considerable larger than vice versa. The largest impact of oil price shock was observed on the price of gasoline.
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BÄUERLE, NICOLE, and DANIEL SCHMITHALS. "CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS." International Journal of Theoretical and Applied Finance 24, no. 02 (March 2021): 2150011. http://dx.doi.org/10.1142/s0219024921500114.
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We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for these maturities. A model-free approach is used, only taking into account that the (discounted) stock price process is a martingale under the no-arbitrage condition. In case the payoff is directionally convex we obtain the worst case marginal pricing measures. The speed of convergence of the upper price bound is determined when the number of observed stock prices increases. We illustrate our findings with some numerical computations.
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Eckert, Christine. "Different Channel – Different Price? INVESTIGATING THE PRACTICE OF MULTI-CHANNEL PRICE DIFFERENTIATION." GfK Marketing Intelligence Review 3, no. 2 (November 1, 2011): 50–53. http://dx.doi.org/10.2478/gfkmir-2014-0048.
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Abstract Price differentiation has long been recognized as a strategy that companies can use to increase profits when consumers’ tastes and valuations of a good price vary. Companies engaging in price differentiation have the opportunity to increase profits considerably compared to those which use a uniform pricing strategy. Accordingly, it should be beneficial for companies to exploit the possibility of charging different prices in online and offline channels as they offer different shopping benefits and are differently valued by consumers. nevertheless, it can be observed that some multi-channel retailers prefer to charge uniform prices in online and offline channels. They argue for consistent prices across distribution channels to maintain a strong brand - and because varying prices may lead to customers’ confusion, anger, irritation and perceptions of price unfairness.
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EL QALLI, YASSINE. "RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING." International Journal of Theoretical and Applied Finance 13, no. 02 (March 2010): 301–33. http://dx.doi.org/10.1142/s0219024910005784.
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In this paper we describe a recursive Bayesian algorithm for the estimation of forward price models. The forward price is modeled within the benchmark framework for a forward price volatility function which includes a stochastic variable; a forward price with a liquidly traded maturity. A relationship between the bond price, the spot price and certain forward prices is stated. We set up the stochastic real world dynamics for these discretely compounded market observed forward prices. We propose a dynamic Bayesian estimation algorithm for a Monte Carlo time-discretized version of the resulting forward prices dynamics. The parameter to be estimated is a vector consisting of the forward price volatility parameters and the benchmarked bond price volatility parameters.
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Callard, Cynthia D., and Neil Collishaw. "Cigarette pricing 1 year after new restrictions on tobacco industry retailer programmes in Quebec, Canada." Tobacco Control 28, no. 5 (February 15, 2019): 562–65. http://dx.doi.org/10.1136/tobaccocontrol-2018-054516.
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ObjectivesOver the past 15 years, tobacco companies operating in Canada abandoned their long-standing unitary price model in favour of price differentiation. Concerns about low cigarette prices were identified by the Quebec government in 2015 when it introduced restrictions on the types of incentives that tobacco manufacturers may offer to retailers. This study sought to explore cigarette prices in Quebec 1 year after these restrictions came into effect.MethodsDetails on cigarette trading terms and programmes were obtained from websites maintained by retailer groups. Visits were made to tobacco retailers in four Quebec municipalities in the autumn of 2017. The price displayed for cigarettes was observed and recorded in 273 convenience stores.ResultsTwo forms of price differentiation were observed. The first was price-segmentation between brands, reflected in a difference of $3 or more in the average displayed price between premium and discount brands of each manufacturer (ie, $10.48 vs $7.43 for a package of 20 cigarettes of the most and least expensive brands sold by Philip Morris International). Price localisation was also observed, reflected in a $2 range of prices between retail outlets for the same package of cigarettes. Even among outlets of a given chain of convenience stores, the price of the least expensive brands varied by more than $1 per package. The size of the variance in prices rivals or exceeds the size of tobacco tax increases in Quebec over the past decade.ConclusionsRecent restrictions on tobacco industry incentive programmes for retailers have not ended price differentiation. Tobacco manufacturers’ and retailers’ pricing policies continue to provide price-sensitive smokers with ways to avoid the impact of tobacco tax increases.
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Egger, Sam, Suzan Burton, Rebecca Ireland, and Scott C. Walsberger. "Observed retail price of Australia’s market-leading cigarette brand before and up to 3 years after the implementation of plain packaging." Tobacco Control 28, e2 (November 28, 2018): e86-e91. http://dx.doi.org/10.1136/tobaccocontrol-2018-054577.
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ObjectiveDespite claims by tobacco companies that plain packaging would lead to lower cigarette prices, recommended and observed real cigarette prices in Australia rose in the 9–11 months after plain packaging was introduced. However, little is known about trends in prices longer term. In this report, we assess whether inflation (Consumer Price Index; CPI) and tax adjusted (‘CPI-tax-adjusted’) prices of the market-leading Australian cigarette brand changed in the 3-year period after plain packaging, and whether price changes were associated with retailer characteristics.MethodCigarette prices were ascertained from a panel of tobacco retailers at three time points: (1) in November 2012 (n=857) (before full implementation of plain packaging, compulsory in retail outlets from December 2012), (2) between October 2014 and February 2015 (n=789) and (3) between November 2015 and March 2016 (n=579). Generalised estimating equations were used to estimate percentage change in mean CPI/tax-adjusted cigarette prices over time.ResultsCPI/tax-adjusted adjusted mean stick prices rose by 13.7% (95% CI 13.0 to 16.0) and 15.2% (95% CI 14.3 to 16.0) at 2.1 and 3.1 years after plain packaging was introduced, respectively. Increases in mean CPI/tax-adjusted stick prices varied by outlet type (p<0.001), socioeconomic status (p=0.013) and remoteness of retailer’s area (p=0.028) and whether twin packs were sold (p=0.009).ConclusionsContrary to tobacco company predictions of a fall in prices, the price of the market-leading Australian cigarette brand increased significantly in the 3 years after plain packaging was introduced, and these increases were above the combined effects of inflation and increases in excise/customs duty.
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Kessner, Ekkehard, and Mattias K. Polborn. "A New Test of Price Dispersion." German Economic Review 1, no. 2 (May 1, 2000): 221–37. http://dx.doi.org/10.1111/1468-0475.00012.
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Abstract Economists have been concerned with price dispersion for apparently homogeneous goods for a long time. Many models have been developed which explain price dispersion by imperfect consumer information about prices in the market. There are few empirical tests of these models. Moreover, these tests at most show that the observed price dispersion is consistent with the models; however, an alternative explanation of price dispersion is always that the goods sold are not homogeneous from the consumers' point of view but that there are quality differences which cannot be observed by the empirical economist. Since both models yield different welfare conclusions, it would be important to distinguish empirically between the two explanations. We use data from the German life insurance industry for tests of the two models. Our data support the equilibrium price dispersion model.
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HSM, Zani Anjani Rafsanjani. "ANALISA LAJU PERUBAHAN HARGA SAHAM LQ45 MENGGUNAKAN PERSAMAAN DIFERENSIAL." Jurnal Riset Akuntansi Politala 3, no. 2 (December 29, 2020): 60. http://dx.doi.org/10.34128/jra.v3i2.68.
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The stock price movement is a very interesting discussion today. Dynamic price changes every time requires deep analysis to determine trends and stock price predictions in the future. There have been many methods used to analyze and predict stock prices. This paper will analyze the acceleration of stock price changes using a mathematical approach, known as a second-order differential equation. The benefit of this research is to obtain a coefficient of change in stock prices that can be used to predict stock prices in the future. Stock prices that will be observed are stocks including the LQ45 category. Furthermore, program analysis is carried out using Matlab software. At the end of the study, the coefficient of price change for LQ45 stocks was generated through provided historical data.
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Ben Abdallah, Marwa, Maria Fekete Farkas, and Zoltan Lakner. "Analysis of meat price volatility and volatility spillovers in Finland." Agricultural Economics (Zemědělská ekonomika) 66, No. 2 (February 24, 2020): 84–91. http://dx.doi.org/10.17221/158/2019-agricecon.
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Unforeseen important changes in price can present a significant risk in the market. The price fluctuation of agricultural commodities has raised concern for studying the volatility of different agricultural products. A persistent volatility in prices causes continued uncertainty in the market. Higher price volatility is to be mitigated by higher management costs and the higher cost of risk mitigation is often converted into higher producer prices. The aim of this paper is to investigate the price volatility of producer and consumer meat prices and to capture the volatility spillover along the Finnish meat supply chain. The Generalised Autoregressive Conditional Heteroskedasticity – Baba, Engle, Kraft and Kroner (GARCH-BEKK) model is applied to analyse shocks and volatilities of the prices and to estimate whether the price volatility is flowing from the first price level (producer) to the second price level (consumer), using monthly price indices. An asymmetric volatility spillover effect was detected in the poultry meat and a unidirectional, volatility spillover effect, from consumer to producer, is observed for pork prices. The findings of this study could serve as a tool for forecasting meat producer and consumer prices, which could assist the Finnish government with endorsing policy options to alleviate the price volatility impact, to protect both consumers and producers from its negative effects.
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Elmanisa, Adisti Madella, An An Kartiva, Alfaret Fernando, Rama Arianto, Haryo Winarso, and Denny Zulkaidi. "LAND PRICE MAPPING OF JABODETABEK, INDONESIA." Geoplanning: Journal of Geomatics and Planning 4, no. 1 (December 23, 2016): 53. http://dx.doi.org/10.14710/geoplanning.4.1.53-62.
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Land provision is one of the biggest challenges for development in urban area. Most of the available urban land will be the object of speculation to be resold at a higher price when the time is right. In Jabodetabek, where the pace of urban development is faster than other parts of Indonesia, the prices of land show an abnormal increase; they seem to rise too fast. This paper discusses the increasing land prices in Jabodetabek area and argues that the increasing land price has encourages the private developer to bank the land in the area. Based on land price survey in Jabodetabek, urban activity is moving to south Jakarta. The highest land prices were found at East Kuningan, Setiabudi, and South Jakarta. By constrast, the lowest prices were observed in Sumur Batu and Cimuning (Bantar Gebang, Bekasi).It can be concluded that the land price increase also triggered land banking practice in Jabodetabek reaching in total approximately 60% of total area of Jakarta.
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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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Smith, T. A., C. L. Huang, and B. H. Lin. "Estimating organic premiums in the US fluid milk market." Renewable Agriculture and Food Systems 24, no. 3 (July 30, 2009): 197–204. http://dx.doi.org/10.1017/s1742170509002579.
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AbstractUsing actual retail purchases from the 2006 Nielsen Homescan panel data, we estimate a hedonic model on price premiums and discounts associated with household characteristics, market factors, and product attributes focusing on the organic attribute for fluid milk. The organic attribute carries a significant price premium, which is largest of all product attributes considered in this study. Further, additional price variations among organic milk are observed for differences in fat content, container size and branding. Specifically, the results suggest that organic price premiums for half-gallon milk range from $1.23 for whole private label organic milk (60–68% above conventional counterpart) to $1.86 for nonfat/skim-branded organic milk (89–109% above conventional counterpart). The study also found that milk sold in a discount store (i.e., supercenter or club warehouse) was price 13 cents per half gallon, or 7.4%, below milk sold through other venues, and that milk on sale was priced 26 cents per half gallon, or 14.3%, less than the regular average price. Although household characteristics exert little influence on price relative to product attributes and market factors, the study does find that unmarried households and those with children under six pay slightly higher prices for milk, possibly due to time constraints.
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Yam, Wun Kwan, Kin Long Fong, Juntao Wang, Siew Ann Cheong, and K. Y. Michael Wong. "Intrinsic Quasi-Periodicity in Hong Kong Housing Price and Its Prediction." New Mathematics and Natural Computation 16, no. 03 (November 2020): 645–55. http://dx.doi.org/10.1142/s1793005720500398.
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Housing price time series is worth studying as it is closely related to the well-being of society. In the Hong Kong housing market from 1992 to 2010, signs of quasi-periodicity in housing price and transaction volume can be observed. We find that there is an overall periodicity of approximately 30 months in housing price changes and a strong lead–lag relationship between housing price and transaction volume. Analysis of the cross-covariance of the housing price, transaction volume and prime lending rate reveals that this quasi-periodicity is potentially driven by prime lending rates. Incorporation of quasi-periodicity into the kernel of Gaussian processes further enables us to construct a predictive model of the Hong Kong housing price trends that outperforms other traditional kernel functions.
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Zalewski, Arkadiusz. "Sezonowość cen środków ochrony roślin w wybranych krajach Unii Europejskiej." Zeszyty Naukowe SGGW w Warszawie - Problemy Rolnictwa Światowego 18(33), no. 2 (July 2, 2018): 315–21. http://dx.doi.org/10.22630/prs.2018.18.2.58.
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Plant protection products stand out from other means of production for agriculture with little price dynamics. The article presents the occurrence and the size of seasonal fluctuations in plant protection product prices in selected EU countries. Due to the availability of data, the prices of plant protection products in Poland, France, Ireland and Greece were analyzed. Seasonal variation analysis was performed using the seasonal decomposition method. The study does not point to a clear seasonality in the prices of plant protection products on the markets analyzed. The seasonality of plant protection products prices was observed only on the Polish and French markets, while the variations in seasonal fluctuations were small. Seasonal price increases were observed for the Polish market from March to June, during the period of increased demand for plant protection products. In the second half of the year, prices generally declined. Seasonal price changes on the French market were similar.
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Ho, Kim Hin David, and Shea Jean Tay. "REIT market efficiency through a binomial option pricing tree approach." Journal of Property Investment & Finance 34, no. 5 (August 1, 2016): 496–520. http://dx.doi.org/10.1108/jpif-01-2016-0004.
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Purpose – The purpose of this paper is to examine the risk neutral and non-risk neutral pricing of Singapore Real Estate Investment Trusts (S-REITs) via comparing the average of the individual ratios (of deviation between expected and observed closing price/observed closing price) with the ratio (of standard deviation/mean) for closing prices via the binomial options pricing tree model. Design/methodology/approach – If the ratio (of standard deviation/mean) ratio > the ratio (of deviation between expected and observed closing price/observed closing price), then the deviation of closing prices from the expected risk neutral prices is not significant and that the S-REIT is consistent with risk neutral pricing. If the ratio (of deviation between expected and observed closing price/observed closing price) is greater, then the S-REIT is not consistent with risk neutral pricing. Findings – Capitacommercial Trust (CCT), Capitamall Trust (CMT) and Keppel Real Estate Investment Trust (REIT) have large positive differences between the two ratios (39.86, 30.79 and 18.96 percent, respectively), implying that these S-REITs are not trading at risk neutral pricing. Suntec REIT has a small positive difference of 2.35 percent between both ratios, implying that it is trading at risk neutral pricing. Ascendas REIT has the largest negative difference between the two ratios at −4.24 percent, to be followed by Mapletree Logistics Trust at −0.44 percent. Both S-REITs are trading at risk neutral pricing. The analysis shows that CCT, CMT and Keppel REIT exhibit risk averse pricing. Research limitations/implications – Results are consistent with prudential asset allocation for viable S-REIT portfolio investing but that not all these S-REITs exhibit strong market efficiency in their pricing. Practical implications – Pricing may be risk neutral over a certain period but investor sentiments, fear of risks and speculative activities could affect an S-REIT’s risk neutrality. Social implications – With enhanced risk diversification activities, the S-REITs should attain risk neutral pricing. Originality/value – Virtually no research of this nature has been undertaken for S-REITS.
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Gruber, Joseph W., and Robert J. Vigfusson. "INTEREST RATES AND THE VOLATILITY AND CORRELATION OF COMMODITY PRICES." Macroeconomic Dynamics 22, no. 3 (November 9, 2016): 600–619. http://dx.doi.org/10.1017/s1365100516000389.
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We propose a novel explanation for the observed increase in the correlation of commodity prices over the past decade. In contrast to theories that rely on the increased influence of financial speculators, we examine the effect of interest rates on the volatility and correlation of commodity prices via a panel GARCH model. In theory, lower interest rates decrease the volatility of prices, as lower inventory costs promote the smoothing of transient shocks, and increase price correlation if common shocks are more persistent than idiosyncratic shocks. Empirically, we find that price volatility attributable to transitory shocks declines with interest rates, whereas particularly for metals prices, price correlation increases as interest rates decline.
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Herzhoff, Tim, and Thomas Teichert. "Leadership Sentiment and Price Fluctuations." SCENTIA International Economic Review 1, no. 2 (June 13, 2021): 1–36. http://dx.doi.org/10.52514/sier.v1i2.7.
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The relationship between prices and leadership mood was examined using the example of crude oil prices and the sentiment of the CEOs of 5 leading oil production companies between 2014 and 2019. The crude oil market was chosen due to recent price fluctuations and upcoming challenges, and for its significant for the global economy. This study uses an empirical approach based on a mood analysis of the CEO's natural language. 160 speech transcripts were analyzed using a leading aspect-based sentiment analysis machine learning algorithm to obtain sentiment data. The relation between sentiment and oil price was tested using linear regression. The results of this study show in detail that the sentiment correlates positively in times of low prices and negatively in times of high prices. The average threshold price calculated using this method was 63 USD per barrel of West Texas Intermediate (WTI) crude oil in the observed period. This corresponds to analysts who estimated the ideal oil price for 2018 at USD 60 to 70. Finally, the restrictions and prospects are discussed. Findings of this study could aid investors decision making and advance the use of sentiment analysis in economic sciences.
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Wafula, Lugongo Maurice, and Dr Sifunjo E. Kisaka. "AN EMPIRICAL STUDY OF PRICE CLUSTERING ON THE NAIROBI SECURITIES EXCHANGE." International Journal of Finance and Accounting 2, no. 2 (February 14, 2017): 23. http://dx.doi.org/10.47604/ijfa.295.
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Purpose: The purpose of this study was to empirically investigate price clustering phenomenon on the Nairobi Securities Exchange for the period 2009 to 2013.Materials and methods: The study used secondary sources of data obtained from the Nairobi Securities exchange. The study revealed that there has been a preference by investors for stock whose prices end with the digit 5 and this accounted for 67.88 percent of all the stocks examined and was followed by stocks whose prices ended with the digit 0 which accounted for 4.55 percent. In order to establish the determinants of this observed behavior a multivariate regression model used by Harris (1991) was adopted where price clustering was regressed against stock volatility, number of trades, market capitalization, and own stock price.Results: The regression results indicated that the number of trades as well as Market Capitalization was positive and significantly related to price clustering. The study also found the stock price to be negative and significantly related to price clustering. On the other hand, Stock volatility was established to be an insignificant predictor of price clustering. The multivariate regression model was found to be significant in explaining the observed relationship and that 15.4 percent of the variance in price clustering was explained by number of trades, stock volatility, own stock price and the market capitalization. The study finds that there is a tendency of prices to cluster around certain numbers as evidenced by the 67.88 percent of numbers clustering around the number 5 and that price clustering is positively related to number of tradesRecommendations: It is thus recommended that if firms are to increase the number of trades of their shares they should consider pricing their shares according to the preferences of investors who prefer shares or stocks whose prices ends with 5 or 0.
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Bonatti, Alessandro, and Gonzalo Cisternas. "Consumer Scores and Price Discrimination." Review of Economic Studies 87, no. 2 (September 12, 2019): 750–91. http://dx.doi.org/10.1093/restud/rdz046.
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Abstract We study the implications of aggregating consumers’ purchase histories into scores that proxy for unobserved willingness to pay. A long-lived consumer interacts with a sequence of firms. Each firm relies on the consumer’s current score–a linear aggregate of noisy purchase signals—to learn about her preferences and to set prices. If the consumer is strategic, she reduces her demand to manipulate her score, which reduces the average equilibrium price. Firms in turn prefer scores that overweigh past signals relative to applying Bayes’ rule with disaggregated data, as this mitigates the ratchet effect and maximizes the firms’ ability to price discriminate. Consumers with high average willingness to pay benefit from data collection, because the gains from low average prices dominate the losses from price discrimination. Finally, hidden scores—those only observed by the firms—reduce demand sensitivity, increase average prices, and reduce consumer surplus, sometimes below the naive-consumer level.
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Richards, Timothy J., and Stephen F. Hamilton. "Retail price discrimination and food waste." European Review of Agricultural Economics 47, no. 5 (July 29, 2020): 1861–96. http://dx.doi.org/10.1093/eurrag/jbaa012.
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Abstract We examine a food retailer’s incentive to use a minimum quality standard as part of a quality-based price-discrimination strategy and show how price discrimination can result in a substantial level of retail food waste. Using data from a major US food retailer, we estimate a structural model of retail price discrimination and conduct a series of counter-factual experiments to demonstrate that observed retail prices are consistent with quality-based price discrimination in the retail market. Our findings indicate that quality standards on fresh produce can explain a substantial proportion ($7.5\%$) of food waste by retailers in the US.
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Haroon, Usama, Muhammad Hassan Chaudhary, Muhammad Aamir Shahzad, Muhammad Adnan Khan, and Nimra Nisar. "Vegetable Prices Possess Seasonal Volatility: A Case Study of Lahore, Punjab, Pakistan." Journal of Economic Impact 2, no. 2 (June 15, 2020): 62–71. http://dx.doi.org/10.52223/jei0202204.
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The present research was conducted to determine the seasonal volatility of four important vegetables in Pakistan. The four vegetables included in this study are onion, tomato, potato, and cabbage. The first three of which are necessary kitchen items in the food consumption of the country. The study area is comprised of the Lahore district of the Punjab province which is the most populous city in the province and the major producer of the vegetables in the country. Secondary data of the year 2010 and 2011 about prices and quantity of these four vegetables were collected from the market committee and agriculture marketing information system Lahore. The price flexibility coefficient was estimated along with the seasonal behavior concerning prices for perishable vegetables. The results indicate that the irregular seasonal and cyclical fluctuations observed every year. Price fluctuations for onion, tomato, potato, and cabbage are seasonal. After the harvest, low prices were observed while price were observed high before the start of the season when relative supply shortage occursand vice versa. Hence, the study suggests that prices can be controlled by intervening in the market by increasing supply and production using new technology and high yielding seed varieties.
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Isakov, Alex, Rodion Latypov, Andrey Repin, Egor Postolit, Alexey Evseev, and Elena Sinelnikova-Muryleva. "Hard Numbers: Open Consumer Price Database." Russian Journal of Money and Finance 80, no. 1 (March 2021): 104–19. http://dx.doi.org/10.31477/rjmf.202101.104.
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We document a new source of consumer price microdata. The new database allows researchers studying consumer price behaviour to access current and granular raw statistical observations. The range of observed prices fully covers goods and services of the Rosstat’s CPI sample and extends beyond it. In this paper, we pursue two objectives. First, we describe the data collection mechanism, data structure, and their access protocols, as well provide four complete illustrations of their application using open API: i) training machine models of product classification based on text labels, ii) real-time tracking of product prices, iii) estimating hedonic regressions for product groups, and iv) calculating arbitrary analytical price indices. Second, we share a set of basic skills and technologies for the benefit of researchers interested in creating their own sources of alternative data.
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Burian, Jaroslav, Karel Macků, Jarmila Zimmermannová, and Barbora Kočvarová. "Spatio-Temporal Changes and Dependencies of Land Prices: A Case Study of the City of Olomouc." Sustainability 10, no. 12 (December 18, 2018): 4831. http://dx.doi.org/10.3390/su10124831.
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Land price sustainability issues have been addressed by many authors in the past. Most of these researchers used land prices (from land price maps) as the primary data source in their studies. Only a few papers analysed official land price maps, which are available very rarely. For this reason, we studied the spatial and temporal changes of land prices in the city of Olomouc based in an analysis of official land price maps from 1993 to 2017. We proposed several research hypotheses to confirm some general statements about land price changes. We concluded that some economic indicators had a significant impact on changes in land prices. In the residential and commercial areas and historical centre, land prices are significantly higher than in other monitored aspects (land-use types). We also concluded that no link existed between land-use stability and land price stability. Surprisingly, no long-term stable areas were found in the area of interest. The analysis also confirmed that land price and its change over time varied in different spatial aspects. Unexpectedly, the smallest influence was reflected in the economic aspect. Regarding natural events in recent decades, we observed a significant drop in land prices in the vicinity of watercourses threatened by flooding. These findings can assist in better understanding local development and changes in land price. The results of this study can help in gaining better understanding of economic, social, and environmental aspects of sustainability of land price changes.
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B., Kiran, Kala P., Chitra N. S., and Jamuna Rani R. "Comparison of different brands of centrally acting skeletal muscle relaxants: a cost analysis study." International Journal of Basic & Clinical Pharmacology 8, no. 6 (May 23, 2019): 1419. http://dx.doi.org/10.18203/2319-2003.ijbcp20192213.
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Background: Skeletal muscle relaxants are structurally distinct drugs prescribed for reducing muscle spasms, pain, and hyperreflexia. Centrally acting skeletal muscle relaxants are manufactured by various pharmaceutical companies with variable price. The present study, aimed to analyze the cost variation of various brands of centrally acting skeletal muscle relaxants, so as to help the physician to choose the cost effective treatment.Methods: Current index of medical stores (CIMS) April 2018 and online literature were used as information guide to review the prices of drugs used in the treatment of musculo skeletal pain and spastic neurological disorders.Results: Among anti spasmodic group, thiocolchicoside 4 mg shows maximum price variation of 337.5%, whereas carisoprodol 350 mg shows the least variation of 0.1%. It is evident from antispastic group that baclofen 10 mg shows maximum price variation of 93.91% and 5 mg of Baclofen shows the least variation of 11.22%. It is observed that, among anti spastic group, a percentage prize variation of 93.91 for 10 mg and 11.22 for 5 mg baclofen. Largest % prize variation is seen in metaxalone + diclofenac sodium (400+50) mg as 525% and the least variation is observed in tolperisone+ paracetamol (150+325) mg as 3.88%.Conclusions: Centrally acting orally effective skeletal muscle relaxants are commonly prescribed for painful musculoskeletal and spastic neurological disorders. Physicians should give due importance for the cost of the drugs while selecting appropriate drug for musculo skeletal disorders.
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Gudino, Gustavo. "Self-Enforcing Price Leadership." Games 12, no. 3 (July 29, 2021): 59. http://dx.doi.org/10.3390/g12030059.
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A dynamic Bertrand-duopoly model where price leadership emerges in equilibrium is developed. In the price leadership equilibrium, a firm leads price changes and its competitor always matches in the next period. The firms produce a homogeneous product and are identical except for the information they possess about demand. The market size follows a two-state Markov process. Market size realizations are observed by one of the firms but not the other. Without explicit communication, price leadership allows firms to jointly approximate monopolistic profits in equilibrium as the market size becomes more persistent provided that firms are patient. In the presence of persistent market dynamics, the informed firm’s price serves as a signal of current and therefore future market conditions. In the proposed price leadership equilibrium, the informed firm could cut prices without being detected, but it does not do so because it would lead the uninformed to also lower their price in the following period.
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Kopp, Thomas, Bernhard Brümmer, Zulkifli Alamsyah, and Raja Sharah Fatricia. "Welfare implications of intertemporal marketing margin manipulation." British Food Journal 119, no. 8 (August 7, 2017): 1656–71. http://dx.doi.org/10.1108/bfj-11-2016-0572.
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Purpose In Indonesia, rubber is the most valuable export crop produced by small scale agriculture and plays a key role for inclusive economic development. This potential is likely to be not fully exploited. The observed concentration in the crumb rubber processing industry raises concerns about the distribution of export earnings along the value chain. Asymmetric price transmission (APT) is observed. The paper aims to discuss these issues. Design/methodology/approach This study investigates the price transmission between international prices and the factories’ purchasing prices on a daily basis. An auto-regressive asymmetric error correction model is estimated to find evidence for APT. In a subsequent step the rents that are redistributed from factories to farmers are calculated. The study then provides estimations of the size of this redistribution under different scenarios. Findings The results suggest that factories do indeed transmit prices asymmetrically, which has substantial welfare implications: around USD3 million are annually redistributed from farmers to factories. If the price transmission was only half as asymmetric as it is observed, the majority of this redistribution was re-diverted. Originality/value This study combines the approaches of non-parametric and parametric estimation techniques of estimating APT processes with a welfare perspective to quantify the distributional consequences of this intertemporal marketing margin manipulation. Especially the calculation of different scenarios of alternative price transmissions is a novelty. The data set of prices on such a disaggregated level and high frequency as required by this approach is also unique.
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Green, Hilary, Nino Kordzakhia, and Ruben Thoplan. "A Bivariate Model for Deman and Spot Price of Electricity." Advanced Materials Research 433-440 (January 2012): 3910–17. http://dx.doi.org/10.4028/www.scientific.net/amr.433-440.3910.
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In this paper bivariate modelling methodology, solely applied to the spot price of electricity or demand for electricity in earlier studies, is extended to a bivariate process of spot price of electricity and demand for electricity. The suggested model accommodates common idiosyncrasies observed in deregulated electricity markets such as cyclical trends in price and demand for electricity, occurrence of extreme spikes in prices, and mean-reversion effect seen in settling of prices from extreme values to the mean level over a short period of time. The paper presents detailed statistical analysis of historical data of daily averages of electricity spot prices and corresponding demand for electricity. The data is obtained from the NSW section of Australian Energy Markets.
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Müller, Christopher. "Welfare Effects of Water Pricing in Germany." Water Economics and Policy 01, no. 04 (December 2015): 1550019. http://dx.doi.org/10.1142/s2382624x15500198.
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The observed two-part tariff price structure (consisting of a lump-sum price and linear marginal price) for drinking water in Germany does not reflect the cost structure reported in the literature. Recovering marginal costs from a sample of 251 German counties, we see that there are positive price-cost margins, while lump-sum prices are too low. A price structure readjustment along welfare economic principles (marginal cost pricing, lump-sum price ensures cost-recovery) would increase the mean consumer surplus by 0.037% of the local GDP or €[Formula: see text]2.129 million per county, assuming a share of 15% variable costs in total costs.
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Pawlewicz, Adam. "Change of Price Premiums Trend for Organic Food Products: The Example of the Polish Egg Market." Agriculture 10, no. 2 (February 1, 2020): 35. http://dx.doi.org/10.3390/agriculture10020035.
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One of the most rapidly growing areas of the organic agricultural system is egg production. However, the price premium often decreases the affordability of organic foods. In this study, the production and sales of organic eggs in Europe were compared, the prices of organic and conventional eggs in Poland were analyzed, and the price premium on the Polish market was evaluated. This study relied on data of Eurostat, Statistics Poland, Agricultural and Food Quality Inspection and Ministry of Agriculture and Rural Development in Poland. The prices of organic and conventional eggs on the Polish wholesale market were analyzed based on the monthly price registers. The production and sales of organic eggs in Europe were characterized by a steady increase. The nominal and real prices of organic eggs were higher than the prices of conventional eggs throughout the entire analyzed period. The nominal prices of organic eggs tended to decrease. However, an upward trend was observed in the real prices of both organic and conventional eggs. The average price premium for organic eggs exceeded 128% (median of 121%). The price premium was characterized by moderate variation (Vc = 33%). In Poland, the price premium was on a downward trend by around 1% per month in the examined period.
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Cardebat, Jean-Marie, Benoît Faye, Eric Le Fur, and Karl Storchmann. "The Law of One Price? Price Dispersion on the Auction Market for Fine Wine." Journal of Wine Economics 12, no. 3 (August 2017): 302–31. http://dx.doi.org/10.1017/jwe.2017.32.
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AbstractThis paper examines the strong version of the law of one price (LOOP) on the auction market for fine wine. We draw on worldwide auction prices from eight auction houses,1 covering the time period from 2000 to 2012. Employing a hedonic approach, we find significant price premiums in particular in Hong Kong and between auction companies (independent of their locations). The price premiums by far exceed the expected transaction costs, casting doubt on the existence of the strong version of LOOP in the fine wine market. Our results suggest that heterogeneity in buyer preferences may crucially contribute to the observed price dispersion. In particular, although wines suspected of being counterfeits are sold at discounts in Western markets, they fetch price premiums in Hong Kong. (JEL Classifications: Q14, G11)
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Bello, Zakri. "Stock Price Behavior In An Underdeveloped Capital Market: Nigeria In Contrast To The U.S." Journal of Applied Business Research (JABR) 6, no. 4 (October 21, 2011): 71. http://dx.doi.org/10.19030/jabr.v6i4.6278.
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Most of the studies of stock price behavior agree that temporal changes in prices follow the random walk model. With few exceptions these studies were based on American stock price data. The purpose of the present research is to study the behavior of Nigerian stock prices to find out if the observed behavior of American stock prices can be generalized to a small and thinly traded capital market. The findings reveal that Nigerian stock prices do not conform to the random walk model when traditional statistical analysis applied.
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Somogyi, Robert, and János Vincze. "Price Rigidity and Strategic Uncertainty." International Journal of Agent Technologies and Systems 3, no. 4 (October 2011): 57–69. http://dx.doi.org/10.4018/jats.2011100104.
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The phenomenon of infrequent price changes has troubled economists for decades. Intuitively one feels that for most price-setters there exists a range of inaction, i.e., a substantial measure of the states of the world, within which they do not wish to modify prevailing prices. Economists wishing to maintain rationality of price-setters resorted to fixed price adjustment costs as an explanation for price rigidity. This paper proposes an alternative explanation, without recourse to any sort of physical adjustment cost, by putting strategic interaction into the center-stage of the analysis. Price-making is treated as a repeated oligopoly game. The traditional analysis of these games cannot pinpoint any equilibrium as a reasonable “solution” of the strategic situation. Thus, decision-makers have a genuine strategic uncertainty about the strategies of other decision-makers. Hesitation may lead to inaction. To model this situation, the authors follow the style of agent-based models, by modeling firms that change their pricing strategies following an evolutionary algorithm. In addition to reproducing the known negative relationship between price rigidity and the level of general inflation, the model exhibits several features observed in real data. Moreover, most prices fall into the theoretical “range” without explicitly building this property into strategies.
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Malmendier, Ulrike, and Young Han Lee. "The Bidder's Curse." American Economic Review 101, no. 2 (April 1, 2011): 749–87. http://dx.doi.org/10.1257/aer.101.2.749.
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We employ a novel approach to identify overbidding in auctions. We compare online auction prices to fixed prices for the same item on the same webpage. In detailed data on auctions of a board game, 42 percent of auctions exceed the simultaneous fixed price. The result replicates in a broad cross-section of auctions (48 percent overbidding). A small fraction of overbidders, 17 percent of bidders, suf fices to generate the large fraction of auctions with overbidding. We show that the observed behavior is inconsistent with rational behavior, even allowing for uncertainty about prices and switching costs, since the expected auction price also exceeds the fixed price. Limited attention best explains our results. (JEL D12, D44)
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Arısoy, Hasan, and Zeki Bayramoğlu. "Determination of the Effect of Price Fluctuations on Producer Income – the Case of Potatoes." Turkish Journal of Agriculture - Food Science and Technology 5, no. 11 (October 30, 2017): 1342. http://dx.doi.org/10.24925/turjaf.v5i11.1342-1349.1356.
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Prices of agricultural products fluctuate depending upon several factors. In Turkey, potatoes are one of the main products for which price fluctuations are observed. This study was undertaken to determine the effect of the fluctuation in potato prices on producer incomes in Turkey. The Neyman Method was used to determine the sample size. The number of enterprises required to achieve a representative sample size was determined to be 56, with a 5% error margin and a 95% reliability limit. The way in which the potato cultivation area is affected by price was examined. The Koyck model was utilized for this purpose. By using Koyck analysis, average lag time was calculated to be approximately 1 year. This result indicates that the fluctuation in potato prices has quite a rapid effect on production. It was determined that producer income varies greatly depending on annual potato prices. The difference between estimated potato price and the actual price for the year 2012 resulted in an income loss of 11,198.6 $/ha. Some sustainable efforts such as production planning can be recommended to prevent these price fluctuations.
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Jacod, Jean, Claudia Klüppelberg, and Gernot Müller. "Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data." Journal of Applied Probability 49, no. 04 (December 2012): 901–14. http://dx.doi.org/10.1017/s0021900200012778.
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Many prominent continuous-time stochastic volatility models exhibit certain functional relationships between price jumps and volatility jumps. We show that stochastic volatility models like the Ornstein–Uhlenbeck and other continuous-time CARMA models as well as continuous-time GARCH and EGARCH models all exhibit such functional relations. We investigate the asymptotic behaviour of certain functionals of price and volatility processes for discrete observations of the price process on a grid, which are relevant for estimation and testing problems.
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Jacod, Jean, Claudia Klüppelberg, and Gernot Müller. "Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data." Journal of Applied Probability 49, no. 4 (December 2012): 901–14. http://dx.doi.org/10.1239/jap/1354716647.
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Many prominent continuous-time stochastic volatility models exhibit certain functional relationships between price jumps and volatility jumps. We show that stochastic volatility models like the Ornstein–Uhlenbeck and other continuous-time CARMA models as well as continuous-time GARCH and EGARCH models all exhibit such functional relations. We investigate the asymptotic behaviour of certain functionals of price and volatility processes for discrete observations of the price process on a grid, which are relevant for estimation and testing problems.
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Garrett, Daniel F. "Intertemporal Price Discrimination: Dynamic Arrivals and Changing Values." American Economic Review 106, no. 11 (November 1, 2016): 3275–99. http://dx.doi.org/10.1257/aer.20130564.
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We study the profit-maximizing price path of a monopolist selling a durable good to buyers who arrive over time and whose values for the good evolve stochastically. The setting is completely stationary with an infinite horizon. Contrary to the case with constant values, optimal prices fluctuate with time. We argue that consumers’ randomly changing values offer an explanation for temporary price reductions that are often observed in practice. (JEL D82)
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Osland, Liv, Arnstein Gjestland, and Inge Thorsen. "Measures of labour market accessibility. What can we learn from observed commuting patterns?" REGION 7, no. 1 (April 29, 2020): 49–70. http://dx.doi.org/10.18335/region.v7i1.261.
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It is well known that measures of labour market accessibility explains spatial variation in housing prices even in markets with polycentric labour market structures. This paper examines whether data on observed commuting patterns can replace or supplement gravity-based measures representing the commuting potential at specific locations. We use data from a region in Western Norway,and we find that measures based on observed commuting flows and commuting time cannot replace a gravity-based measure of labour market accessibility. Based on, inter alia, the spatial Durbin estimator we find that measures of observed commuting flows increase the explanatory power of a hedonic house price model.
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Goldstein, Robin S. "Half-Blind Tasting: A Deception-Free Method for Sizing Placebo and Nocebo Responses to Price and Packaging Attributes." Journal of Wine Economics 14, no. 3 (August 2019): 321–31. http://dx.doi.org/10.1017/jwe.2019.40.
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AbstractInformation conveyed on the price tag or label of a consumable packaged good is widely thought to change the consumer's sensory experience of consuming the good. Can the positive “placebo” effects of high prices and negative “nocebo” effects of low prices on consumer experience be isolated and observed in a controlled experiment without using deception? In a pilot wine experiment using a method I call “half-blind tasting,” I observe that the nocebo response to a $5 price tag is stronger than the placebo response to a $50 price tag. To interpret these preliminary results, I borrow some insights from prospect theory. (JEL Classifications: C91, D81, L66, M31, Q11)
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YURA, YOSHIHIRO, TAKAAKI OHNISHI, KENTA YAMADA, HIDEKI TAKAYASU, and MISAKO TAKAYASU. "REPLICATION OF NON-TRIVIAL DIRECTIONAL MOTION IN MULTI-SCALES OBSERVED BY THE RUNS TEST." International Journal of Modern Physics: Conference Series 16 (January 2012): 136–48. http://dx.doi.org/10.1142/s2010194512007830.
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Non-trivial autocorrelation in up-down statistics in financial market price fluctuation is revealed by a multi-scale runs test(Wald-Wolfowitz test). We apply two models, a stochastic price model and dealer model to understand this property. In both approaches we successfully reproduce the non-stationary directional price motions consistent with the runs test by tuning parameters in the models. We find that two types of dealers exist in the markets, a short-time-scale trend-follower and an extended-time-scale contrarian who are active in different time periods.
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Chisasa, Joseph, and Winnie Dlamini. "An Empirical Analysis Of The Interest Rate-Vehicle Purchase Decision Nexus In South Africa." International Business & Economics Research Journal (IBER) 12, no. 5 (April 27, 2013): 477. http://dx.doi.org/10.19030/iber.v12i5.7823.
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The domestic passenger car market has witnessed substantial growth in South Africa. At the same time, bank repossessions and black-listing of defaulting borrowers have increased in sympathy. This paper empirically examines the link between interest rates and the borrowers decision to purchase a passenger vehicle in South Africa. We use monthly time series data of passenger vehicles purchased, household income, fuel prices, prime interest rates and producer price index for manufacturers from January 1995 to December 2011. With passenger vehicle unit purchases as the dependent variable, we obtain OLS estimates of the passenger vehicle purchase function. Results show that there is a negative, but insignificant, relationship between interest rates and passenger vehicle purchases in South Africa. Holding other factors constant, a 1% increase in interest rate results in a 0.9% decrease in passenger vehicle purchases. Household income, fuel price and producer price index are observed to have a positive and insignificant impact on the decision to purchase a passenger vehicle. Our results have policy and decision making implications to lenders and borrowers, respectively.
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Chen, Tao. "Price Clustering and Price Barriers: International Evidence." Nang Yan Business Journal 3, no. 1 (December 1, 2014): 1–16. http://dx.doi.org/10.1515/nybj-2015-0001.
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Abstract In this paper, I try to complement the existing literature by empirically examining the effect of price clustering and price barriers based on the international stock market. Evidence suggests that a strong effect of clustering and barriers is observed on last digit 0. Such effect is not robust and persistent on last digit 5. In addition, the cross-country analysis shows that price clustering and barriers become intensified in countries with a more transparent and open environment.
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OHNISHI, TAKAAKI, TAKAYUKI MIZUNO, CHIHIRO SHIMIZU, and TSUTOMU WATANABE. "POWER LAWS IN REAL ESTATE PRICES DURING BUBBLE PERIODS." International Journal of Modern Physics: Conference Series 16 (January 2012): 61–81. http://dx.doi.org/10.1142/s2010194512007787.
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How can we detect real estate bubbles? In this paper, we propose making use of information on the cross-sectional dispersion of real estate prices. During bubble periods, prices tend to go up considerably for some properties, but less so for others, so that price inequality across properties increases. In other words, a key characteristic of real estate bubbles is not the rapid price hike itself but a rise in price dispersion. Given this, the purpose of this paper is to examine whether developments in the dispersion in real estate prices can be used to detect bubbles in property markets as they arise, using data from Japan and the U.S. First, we show that the land price distribution in Tokyo had a power-law tail during the bubble period in the late 1980s, while it was very close to a lognormal before and after the bubble period. Second, in the U.S. data we find that the tail of the house price distribution tends to be heavier in those states which experienced a housing bubble. We also provide evidence suggesting that the power-law tail observed during bubble periods arises due to the lack of price arbitrage across regions.
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Raji, Rahman olanrewaju. "Exchange Rate Pass Through in a Small Open Economy: A case study of West African Monetary Zone." Journal of Global Economy 9, no. 4 (December 28, 2013): 275–90. http://dx.doi.org/10.1956/jge.v9i4.301.
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The study investigated the magnitude of exchange rate pass through to import prices and domestic prices   (consumer price index) in WAMZ economy using quarterly time-series data between 2000 and 2010 with the aids of Vector autoregressive (VAR) modeling technique supported with Johansen co-integration approach cross country analysis comprising of Gambia, Ghana, Nigeria and Sierra-Leone. The study discovered that transmission of exchange rate to import prices is more when compared with consumer price in the zone while the contributions of exchange rate to import price are not less 13 percent at average in entire zone. Consumer price index was explained by exchange rate pass through with an average of 26 percent in the zone where the pass through to consumer price is less than two percent in Ghanaian economy. The Taylor (2000) hypothesis was observed in the study where Ghana and Nigeria are the outlier economies while Nigeria established a positive relationship between interest rate volatility and exchange rate pass through to import prices.
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Garriga, Carlos, Rodolfo Manuelli, and Adrian Peralta-Alva. "A Macroeconomic Model of Price Swings in the Housing Market." American Economic Review 109, no. 6 (June 1, 2019): 2036–72. http://dx.doi.org/10.1257/aer.20140193.
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This paper shows that a macro model with segmented financial markets can generate sizable movements in housing prices in response to changes in credit conditions. We establish theoretically that reductions in mortgage rates always have a positive effect on prices, whereas the relaxation of loan-to-value constraints has ambiguous effects. A quantitative version of the model under perfect foresight accounts for about one-half of the observed price increase in the United States in the 2000s. When we include shocks to expectations about housing finance conditions, the model’s ability to match house values improves significantly. The framework reconciles the observed disconnect between house prices and rents since, in general equilibrium, financial shocks can decrease rents and increase prices. (JEL E44, G21, R31)
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Maul, Daniel, Martin Fischer, and Dirk Schiereck. "Spekulation am Terminmarkt und die Preisentwicklung von Agrarrohstoffen am Kassamarkt: Eine Zeitreihenanalyse der CFTC Berichte für Weizen, Mais und Sojabohnen / Speculation in Futures Markets and the Impact on Agricultural Commodity Prices: A Time Series Analysis of the CFTC Reports for Wheat, Corn and Soybeans." Jahrbücher für Nationalökonomie und Statistik 235, no. 6 (December 1, 2015): 608–29. http://dx.doi.org/10.1515/jbnst-2015-0606.
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Summary Over the last few years, rising prices and increasing price volatility of major agricultural food commodities were observed. This caused a debate among various organizations about who is responsible for this development. While many Non-Governmental Organizations proclaim that speculations in future markets cause the rise in food prices, academic research provides ambiguous results on this topic. This controversy is the motivation for this study. In order to offer additional insights, the relationship between the price changes of corn, wheat, and soybeans and the corresponding changes in open interests are analyzed. Commitments of Traders as well as Disaggregated Commitments of Traders reports are investigated to determine whether the activities of speculators adversely affect food prices. First, Johansen cointegration tests are employed to analyze the relationship between price and position data. Second, VAR and VECM are used to analyze short- and long-term dynamics. The results of the empirical analysis demonstrate that in the short-run price changes precede changes in open interest. Additionally, soybeans show a long-run equilibrium relationship between both series, indicating that speculators influenced past prices to some extent. However, the percentage price change is rather low. Therefore, sharp rises in soybean prices cannot be explained by it.
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Adam, Klaus, Albert Marcet, and Johannes Beutel. "Stock Price Booms and Expected Capital Gains." American Economic Review 107, no. 8 (August 1, 2017): 2352–408. http://dx.doi.org/10.1257/aer.20140205.
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Investors' subjective capital gains expectations are a key element explaining stock price fluctuations. Survey measures of these expectations display excessive optimism (pessimism) at market peaks (troughs). We formally reject the hypothesis that this is compatible with rational expectations. We then incorporate subjective price beliefs with such properties into a standard asset-pricing model with rational agents (internal rationality). The model gives rise to boom-bust cycles that temporarily delink stock prices from fundamentals and quantitatively replicates many asset-pricing moments. In particular, it matches the observed strong positive correlation between the price dividend ratio and survey return expectations, which cannot be matched by rational expectations. (JEL D83, D84, G12, G14)