WorldWideScience

Sample records for volatile wholesale prices

  1. Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Higgs, Helen [Griffith University, Department of Accounting, Finance and Economics, Nathan campus, 170 Kessels Road, Nathan, Brisbane 4111, Queensland (Australia)

    2009-09-15

    This paper examines the inter-relationships of wholesale spot electricity prices among the four regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales, Queensland, South Australia and Victoria using the constant conditional correlation and Tse and Tsui's (Tse, Y.K., Tsui, A.K.C., 2002. A multivariate generalised autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics 20 (3), 351-362.) and Engle's (Engle, R., 2002. Dynamic conditional correlation: a sample class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics 20 (3), 339-350.) dynamic conditional correlation multivariate GARCH models. Tse and Tsui's (Tse, Y.K., Tsui, A.K.C., 2002. A multivariate generalised autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics 20 (3), 351-362.) dynamic conditional correlation multivariate GARCH model which takes account of the Student t specification produces the best results. At the univariate GARCH(1,1) level, the mean equations indicate the presence of positive own mean spillovers in all four markets and little evidence of mean spillovers from the other lagged markets. In the dynamic conditional correlation equation, the highest conditional correlations are evident between the well-connected markets indicating the presence of strong interdependence between these markets with weaker interdependence between the not so well-interconnected markets. (author)

  2. Fluctuation traits of Litchi wholesale price in China

    Science.gov (United States)

    Yan, F. F.; Qi, W. E.; Ouyang, X.

    2017-07-01

    This paper chose the wholesale price of litchi as research object based on the daily data of 11 main sales markets in China -- Beijing, Chengdu, Guangzhou, Hefei, Jiaxing, Nanjing, Shanghai, Shenyang, Changsha, Zhengzhou and Chongqing from April 1, 2012 to September 30, 2016. After analyzing the fluctuation characteristics with BP filter method and H-P filter method, and the fluctuation trends of litchi wholesale price in China obtained by BP filter are roughly consistent with the trends obtained by H-P filter. The main conclusions are as follows: there is strong cyclicality in the fluctuation of litchi wholesale price; the period of fluctuations of litchi wholesale prices are not repeatable; litchi wholesale price fluctuates asymmetrically in one fluctuation cycle.

  3. Pricing Volatility Referenced Assets

    Directory of Open Access Journals (Sweden)

    Alan De Genaro Dario

    2006-12-01

    Full Text Available Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated by its asset price dependence, volatility and variance swaps provide a pure exposure to volatility alone. This article discusses the risk-neutral valuation of volatility and variance swaps based on the framework outlined in the Heston (1993 stochastic volatility model. Additionally, the Heston (1993 model is calibrated for foreign currency options traded at BMF and its parameters are used to price swaps on volatility and variance of the BRL / USD exchange rate.

  4. Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets

    OpenAIRE

    Buguk, Cumhur; Hudson, Darren; Hanson, Terrill R.

    2003-01-01

    Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model was used to test univariate volatility spillovers for prices in the supply chain. Strong price volatility spillover from feeding material (corn, soybeans, menhaden) to catfish feed and farm- and wholesale-leve...

  5. PRICING ELECTRIC POWER UNDER A HYBRID WHOLESALE MECHANISM: EVALUATING THE TURKISH ELECTRICITY MARKET

    Directory of Open Access Journals (Sweden)

    Hatice Karahan

    2013-01-01

    Full Text Available During the restructuring process, Turkish electricity sector has gone through significant changes both in wholesale and retail markets. In this framework, the Market Financial Settlement Mechanism established for handling market imbalances has become a spot market in time. So, it can be claimed that the wholesale electricity market in Turkey is a hybrid mechanism composed of bilateral contracts and the balancing market. On the other hand, the main target of liberalization program is providing consumers with affordable electric power. Hence, this study attempts to explore the link between retail tariffs for ineligible consumers and prices in the two wholesale mechanisms, in the period after the launch of the day-ahead market. Findings suggest that regulated wholesale prices are more effective in the determination of end-user prices, whereas unregulated ones might have a price reduction effect in case the free market dominates. However, the volatility in spot market prices implies that the sector would better continue with the hybrid mechanism for quite some time.

  6. Strategic wholesale pricing for an incumbent supplier facing with a competitive counterpart.

    Science.gov (United States)

    Sun, Jianwu

    2014-01-01

    We introduce a wholesale pricing strategy for an incumbent supplier facing with a competitive counterpart. We propose a profit function which considers both the present loss and future loss from a wholesale price and then study the optimal wholesale prices for different objectives about this profit function for the incumbent supplier. First, we achieve an optimal wholesale price for the incumbent supplier to maximize his expected profit. Then, to reduce the risk originating from the fluctuation in the competitive supplier's wholesale price, we integrate the conditional value-at-risk (CVaR) measure in financial risk management into this study and derive an optimal wholesale price to maximize CVaR about profit for the incumbent supplier. Besides, the properties of the two optimal wholesale prices are discussed. Finally, some management insights are suggested for the incumbent supplier in a competitive setting.

  7. Option Pricing using Realized Volatility

    DEFF Research Database (Denmark)

    Stentoft, Lars Peter

    In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate...... benchmark model estimated on return data alone. Hence the paper provides evidence on the value of using high frequency data for option pricing purposes....

  8. Option Pricing using Realized Volatility

    DEFF Research Database (Denmark)

    Stentoft, Lars Peter

    In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate d...... benchmark model estimated on return data alone. Hence the paper provides evidence on the value of using high frequency data for option pricing purposes....

  9. Industrial customer response to wholesale prices in the restructured Texas electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Zarnikau, J. [Frontier Associates, Austin, TX (United States); The University of Texas at Austin, (United States). LBJ School of Public Affairs; Landreth, G.; Hallett, I. [The University of Texas at Austin, (United States). LBJ School of Public Affairs; Kumbhakar, S.C. [State University of New York at Binghamton, (United States)

    2007-09-15

    This paper estimates the demand responsiveness of the 20 largest industrial energy consumers in the Houston area to wholesale price signals in the restructured Electric Reliability Council of Texas (ERCOT) market. Statistical analysis of their load patterns employing a Symmetric Generalized McFadden cost function model suggests that ERCOT achieved limited success in establishing a market that facilitates demand response from the largest industrial energy consumers in the Houston area to wholesale price signals in its second year of retail competition. The muted price response is at least partially because energy consumers who opt to offer their ''interruptibility'' to the market as an ancillary service are constrained in their ability to respond to wholesale energy prices. (author)

  10. RICE PRICE VOLATILITY IN EAST JAVA

    Directory of Open Access Journals (Sweden)

    Wati R.Y.E.

    2017-09-01

    Full Text Available The purpose of the research is analyzing the volatility and volatility spillover of monthly price of paddy at the level of farmers and consumers in 2010-2016. ARCH/GARCH used to analyze volatility and GARCH BEKK-model is used to analyze the volatility spillover. The results of the analysis show that price volatility at the farmer level is very high (extremely high volatility, price volatility at the consumer level is low (low volatility, and volatility spillover does not occur between the farmers and the consumers market. The need to guarantee an effective floor price as well as information disclosure related to the market commodity prices so that the pattern of prices transmission among interrelated markets can be symmetrical.

  11. Condition on price in contracts of petrol delivery at wholesale and retail in the Russian Federation

    Directory of Open Access Journals (Sweden)

    Irkyagul A. Sadriyevа

    2016-01-01

    Full Text Available Objective to reveal the peculiarities of forming conditions on price in contracts on delivery of oil products in wholesale and retail markets on thenbspbasis of analysis of legislation and law enforcement practice and to substantiate the proposals concerning the necessity to codify in the legislation the rule that a condition on price in the petrol delivery contract is an essential condition. Methods the methodological basis of the study includes general logical methods analysis induction analogy research synthesis and specific scientific methods of interpretation of law comparative law survey method. Results normative legal acts legal practice and theoretical ideas on price were analyzed. The expediency of the legal rule isnbsp grounded which stipulates that the condition on price in the petrol delivery contract is essential. The peculiarities are revealed of forming the conditions on price in the petrol delivery contracts in wholesale and retail markets. Scientific novelty the article attempts to divide the conditions of price forming on the wholesale and retail markets of oil products supplies. Thenbspconcept is formulated of price in petrol delivery contracts reflecting the specifics of relations in this sphere through analysis of court practice and petrol delivery contracts. Practical significance the conclusions of the research can be used in the field of legislative activity to improve the civil legislation on the petrol delivery contract. The article can be used in educational process for preparing special courses on civil and business law in the law schools. nbsp

  12. Leader-follower Game in VMI System with Limited Production Capacity Considering Wholesale and Retail Prices

    OpenAIRE

    Yu, Yugang; Liang, Liming; Huang, George

    2006-01-01

    textabstractVMI (Vendor Managed Inventory) is a widely used cooperative inventory policy in supply chains in which each enterprise has its autonomy in pricing. This paper discusses a leader-follower Stackelberg game in a VMI supply chain where the manufacturer, as a leader, produces a single product with a limited production capacity and delivers it at a wholesale price to multiple different retailers, as the followers, who then sell the product in dispersed and independent markets at retail ...

  13. Fuel prices scenario generation based on a multivariate GARCH model for risk analysis in a wholesale electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Batlle, C.; Barquin, J. [Universidad Pontifica Comillas, Madrid (Spain). Instituto de Investigacion Tecnologica

    2004-05-01

    This paper presents a fuel prices scenario generator in the frame of a simulation tool developed to support risk analysis in a competitive electricity environment. The tool feeds different erogenous risk factors to a wholesale electricity market model to perform a statistical analysis of the results. As the different fuel series that are studied, such as the oil or gas ones, present stochastic volatility and strong correlation among them, a multivariate Generalized Autoregressive Conditional Heteroskedastic (GARCH) model has been designed in order to allow the generation of future fuel prices paths. The model makes use of a decomposition method to simplify the consideration of the multidimensional conditional covariance. An example of its application with real data is also presented. (author)

  14. Price volatility in wind dominant electricity markets

    DEFF Research Database (Denmark)

    Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe

    2013-01-01

    High penetration of intermittent renewable energy sources causes price volatility in future electricity markets. This is specially the case in European countries that plan high penetration levels. This highlights the necessity for revising market regulations and mechanisms in accordance to genera......High penetration of intermittent renewable energy sources causes price volatility in future electricity markets. This is specially the case in European countries that plan high penetration levels. This highlights the necessity for revising market regulations and mechanisms in accordance...... electricity markets. High price volatility is unappreciated because it imposes high financial risk levels to both electricity consumers and producers. Additionally high price variations impede tracking price signals by consumers in future smart grid and jeopardize implementation of demand response concepts....... The main contribution of this paper is to quantify volatility patterns of electricity price, as penetration level of wind power increases. Results explain a direct relationship between wind penetration and electricity price volatility in a quantitative manner....

  15. Modeling the Volatility in Global Fertilizer Prices

    NARCIS (Netherlands)

    P-Y. Chen (Ping-Yu); C-L. Chang (Chia-Lin); C-C. Chen (Chi-Chung); M.J. McAleer (Michael)

    2010-01-01

    textabstractThe main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARC

  16. The impact of Australian ETS news on wholesale spot electricity prices: An exploratory analysis

    Energy Technology Data Exchange (ETDEWEB)

    Chevallier, Julien, E-mail: julien.chevallier@dauphine.f [Universite Paris Dauphine, Place du Marechal de Lattre de Tassigny, 75775 Paris Cedex 16 (France)

    2010-08-15

    This article investigates the impact of news concerning the development of emissions trading in Australia (such as the Carbon Pollution Reduction Scheme (CPRS)) on wholesale electricity spot prices, by using a database of 117 news announcements from December 1, 1998 to July 1, 2009. As power producers constitute the bulk of the participants of the proposed Australian emissions trading scheme, regulatory changes (about allocation, banking, coverage, targets) are indeed likely to affect the five interconnected electricity markets in New South Wales, Queensland, South Australia, Victoria, and Tasmania. We assess these effects with an ARMA(1,1)-GARCH(1,1) model, where daily electricity spot prices are regressed against exogenous variables in the mean and variance equations. This article constitutes the first empirical analysis of Australian ETS news effects on electricity wholesale spot prices. Our results show two asymmetric types of news effects, depending on their information content.

  17. The impact of Australian ETS news on wholesale spot electricity prices. An exploratory analysis

    Energy Technology Data Exchange (ETDEWEB)

    Chevallier, Julien [Universite Paris Dauphine, Place du Marechal de Lattre de Tassigny, 75775 Paris Cedex 16 (France)

    2010-08-15

    This article investigates the impact of news concerning the development of emissions trading in Australia (such as the Carbon Pollution Reduction Scheme (CPRS)) on wholesale electricity spot prices, by using a database of 117 news announcements from December 1, 1998 to July 1, 2009. As power producers constitute the bulk of the participants of the proposed Australian emissions trading scheme, regulatory changes (about allocation, banking, coverage, targets) are indeed likely to affect the five interconnected electricity markets in New South Wales, Queensland, South Australia, Victoria, and Tasmania. We assess these effects with an ARMA(1,1)-GARCH(1,1) model, where daily electricity spot prices are regressed against exogenous variables in the mean and variance equations. This article constitutes the first empirical analysis of Australian ETS news effects on electricity wholesale spot prices. Our results show two asymmetric types of news effects, depending on their information content. (author)

  18. The price of fixed income market volatility

    CERN Document Server

    Mele, Antonio

    2015-01-01

    Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities. The ultimate goal of the authors´ efforts is to make interest rate volatility standardization a valuable...

  19. Milk Price Volatility and its Determinants

    OpenAIRE

    Dong, Fengxia; Du, Xiaodong; Gould, Brian W.

    2011-01-01

    The classified pricing of fluid milk under the Federal Milk Marketing Orders (FMMO) system combined with the cash settlement feature of Class IIII milk futures contracts generate a unique volatility pattern of these futures markets in the sense that the volatility gradually decreases as the USDA price announcement dates approaching in the month. Focusing on the evolution of volatility in Class III milk futures market, this study quantifies the relative importance of a set of factors driving m...

  20. Pricing Volatility of Stock Returns with Volatile and Persistent Components

    DEFF Research Database (Denmark)

    Zhu, Jie

    2009-01-01

    This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively. The model is applied to 10 Asia-Pacific stock...... markets. Their in-mean effects on returns are tested. The empirical results show that the persistent component is much more important for the volatility dynamic process than is the volatile component. However, the volatile component is found to be a significant pricing factor of asset returns for most...... markets. A positive or risk-premium effect exists between the return and the volatile component, yet the persistent component is not significantly priced for the return dynamic process....

  1. FORECASTING ELECTRICITY PRICES IN DEREGULATED WHOLESALE SPOT ELECTRICITY MARKET - A REVIEW

    Directory of Open Access Journals (Sweden)

    Girish Godekere Panchakshara Murthy,

    2014-01-01

    Full Text Available In the new framework of competitive electricity markets, all power market participants need accurate price forecasting tools. Electricity price forecasts characterize significant information that can help captive power producer, independent power producer, power generation companies, power distribution companies or open access consumers in careful planning of their bidding strategies for maximizing their profits, benefits and utilities from long term, medium term and short term perspective. Short term spot electricity price forecasting techniques are either inspired from electrical engineering literature (i.e. load forecasting or from economics literature (i.e. game theory models and the time-series econometric models. In this study we investigate the emergence of spot electricity markets with particular emphasis on Indian electricity market which has never been done before and review selected finance and econometrics inspired literature and models for forecasting electricity spot prices in deregulated wholesale spot electricity markets.

  2. CAM Stochastic Volatility Model for Option Pricing

    Directory of Open Access Journals (Sweden)

    Wanwan Huang

    2016-01-01

    Full Text Available The coupled additive and multiplicative (CAM noises model is a stochastic volatility model for derivative pricing. Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process. We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot. We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks of the model. We also derive an approximation for the characteristic function of the model.

  3. Pricing Volatility of Stock Returns with Volatile and Persistent Components

    DEFF Research Database (Denmark)

    Zhu, Jie

    In this paper a two-component volatility model based on the component's first moment is introduced to describe the dynamic of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. Then the model is applied to 10 Asia-Pacific stock m......, a positive or risk-premium effect exists between return and the volatile component, yet the persistent component is not significantly priced for return dynamic process.......In this paper a two-component volatility model based on the component's first moment is introduced to describe the dynamic of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. Then the model is applied to 10 Asia-Pacific stock...... markets. Their in-mean effects on return are also tested. The empirical results show that the persistent component accounts much more for volatility dynamic process than the volatile component. However the volatile component is found to be a significant pricing factor of asset returns for most markets...

  4. Forward and Spot Prices in Multi-Settlement Wholesale Electricity Markets

    Science.gov (United States)

    Larrieu, Jeremy

    In organized wholesale electricity markets, power is sold competitively in a multi-unit multi-settlement single-price auction comprised of a forward and a spot market. This dissertation attempts to understand the structure of the forward premium in these markets, and to identify the factors that may lead forward and spot prices to converge or diverge. These markets are unique in that the forward demand is price-sensitive, while spot residual demand is perfectly inelastic and must be met in full, a crucial design feature the literature often glosses over. An important contribution of this dissertation is the explicit modeling of each market separately in order to understand how generation and load choose to act in each one, and the consequences of these actions on equilibrium prices and quantities given that firms maximize joint profits over both markets. In the first essay, I construct a two-settlement model of electricity prices in which firms that own asymmetric capacity-constrained units facing convex costs compete to meet demand from consumers, first in quantities, then in prices. I show that the forward premium depends on the costliness of spot production relative to firms' ability to exercise market power by setting quantities in the forward market. In the second essay, I test the model from the first essay with unit-level capacity and marginal cost data from the California Independent System Operator (CAISO). I show that the model closely replicates observed price formation in the CAISO. In the third essay, I estimate a time series model of the CAISO forward premium in order to measure the impact that virtual bidding has had on forward and spot price convergence in California between April 2009 and March 2014. I find virtual bidding to have caused forward and spot prices to diverge due to the large number of market participants looking to hedge against - or speculate on - the occurrence of infrequent but large spot price spikes by placing virtual demand bids.

  5. The volatility of stock market prices.

    Science.gov (United States)

    Shiller, R J

    1987-01-02

    If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are considered: changes in dividends, in real interest rates, and in a direct measure of intertemporal marginal rates of substitution. Although there are some ambiguities in interpreting the evidence, dividend changes appear to contribute very little toward justifying the observed historical volatility of stock prices. The other indicators contribute some, but still most of the volatility of stock market prices appears unexplained.

  6. Effects of Idiosyncratic Volatility in Asset Pricing

    Directory of Open Access Journals (Sweden)

    André Luís Leite

    2016-04-01

    Full Text Available This paper aims to evaluate the effects of the aggregate market volatility components - average volatility and average correlation - on the pricing of portfolios sorted by idiosyncratic volatility, using Brazilian data. The study investigates whether portfolios with high and low idiosyncratic volatility - in relation to the Fama and French model (1996 - have different exposures to innovations in average market volatility, and consequently, different expectations for return. The results are in line with those found for US data, although they portray the Brazilian reality. Decomposition of volatility allows the average volatility component, without the disturbance generated by the average correlation component, to better price the effects of a worsening or an improvement in the investment environment. This result is also identical to that found for US data. Average variance should thus command a risk premium. For US data, this premium is negative. According to Chen and Petkova (2012, the main reason for this negative sign is the high level of investment in research and development recorded by companies with high idiosyncratic volatility. As in Brazil this type of investment is significantly lower than in the US, it was expected that a result with the opposite sign would be found, which is in fact what occurred.

  7. Market power in electric power markets: Indications of competitiveness in spatial prices for wholesale electricity

    Science.gov (United States)

    Denton, Michael John

    The issue of market delineation and power in the wholesale electric energy market is explored using three separate approaches: two of these are analyses of spatial pricing data to explore the functional size of the markets, and the third is a series of experimental tests of the effects of different cost structures and market mechanisms on oligopoly strength in those markets. An equilibrium model of spatial network competition is shown to yield linear relationships between spatial prices. A data set comprising two years of spatial weekly peak and off-peak prices and weather for 6 locations in the Western States Coordinating Council and the Southwest Power Pool is subjected to a pairwise cointegration analysis. The use of dummy variables to account the the flow directions is found to significantly improve model performance. The second analytical technique utilizes the extraction of principal components from a spatial price correlation matrix to identify the extent of natural markets. One year of daily price observations for eleven locations within the WSCC is compiled and eigenvectors are extracted and subjected to oblique rotation, each of which is then interpreted as representing a separate geographic market. The results show that two distinct natural markets, correlated at 84%, account for over 96% of the variation in the spatial prices in the WSSC. Together, the findings support the assertion that the wholesale electricity market in the Western U.S. is large and highly competitive. The experimental analysis utilizes a radial three node network in which suppliers located at the outer nodes sell to buyers located at the central node. The parameterization captures the salient characteristics of the existing bulk power markets, and includes cyclical demand, transmission losses, as well as fixed and avoidable fixed costs for all agents. Treatments varied the number of sellers, the avoidable fixed cost structures, and the trading mechanism. Results indicated that

  8. Can higher prices increase market share? Average wholesale prices and Medicaid drug procurement

    National Research Council Canada - National Science Library

    Fitzgerald, Jay

    2014-01-01

    ..., generic drug manufacturers have an incentive to compete for pharmacy market share by driving up the prices paid to pharmacies by Medicaid. The authors report that a federal government crackdown on Medicaid pricing practices in 2000 led to a 45 percent decrease in the Medicaid market share of the drugs tar geted by the crackdown, which were generic...

  9. Price volatility and banking in green certificate markets

    DEFF Research Database (Denmark)

    Amundsen, Eirik Schrøder; Baldursson, Fridrik M.; Mortensen, Jørgen Birk

    2006-01-01

    There is concern that prices in a market for Green Certificates (GCs) primarily based on volatile wind power will fluctuate excessively, leading to corresponding volatility of electricity prices. Applying a ratinal expectations simulation model of competitive storage and specualtion of GCs...... the paper shows that the introduction of banking of GCs may reduce price volatility considerably and lead to increased social surplus. Banking lowers average prices and is therefore not necessarily to the benefit of 'green producers'. Prooposed price bounds on GC-prices will reduce the importance of banking...

  10. Price determinants of the wholesale electricity market in France; Preisdeterminanten des Stromgrosshandels in Frankreich. Eine modellgestuetzte Analyse

    Energy Technology Data Exchange (ETDEWEB)

    Kondziella, Hendrik; Mueller, Bjoern; Bruckner, Thomas [Leipzig Univ. (Germany). Inst. fuer Infrastruktur und Ressourcenmanagement

    2011-12-15

    This article provides a model-based analysis of the French spot market for electricity. Therefore a cost optimizing dispatch model is applied in order to derive a broader understanding of the liberalized electricity market in France considering empirical spot market prices in 2009. At first analysis of market structure and power plant mix is done in accordance with the european framework. The state of supply side competition is suggested as well. Due to the high portion of nuclear energy in the French energy mix the technical availability forecast of the plants plays a crucial role during the price formation on the wholesale market. As a result prices determined by the model are highly correlated with the French spot market. The results suggest a functioning pricing mechanism although deviations occur by ex-ante uncertain demand or unscheduled non-usability of generating units. (orig.)

  11. Effect of oil price on Nigeria’s food price volatility

    Directory of Open Access Journals (Sweden)

    Ijeoma C. Nwoko

    2016-12-01

    Full Text Available This study examines the effect of oil price on the volatility of food price in Nigeria. It specifically considers the long-run, short-run, and causal relationship between these variables. Annual data on oil price and individual prices of maize, rice, sorghum, soya beans, and wheat spanning from 2000 to 2013 were used. The price volatility for each crop was obtained using Generalized Autoregressive Conditional Heteroskedascity (GARCH (1, 1 model. Our measure of oil price is the Refiner acquisition cost of imported crude oil. The Augmented Dickey–Fuller and Phillip–Perron unit root tests show that all the variables are integrated of order one, I (1. Therefore, we use the Johansen co-integration test to examine the long-run relationship. Our results show that there is no long-run relationship between oil price and any of the individual food price volatility. Thus, we implement a VAR instead of a VECM to investigate the short-run relationship. The VAR model result revealed a positive and significant short-run relationship between oil price and each of the selected food price volatility with exception of that of rice and wheat price volatility. These results were further confirmed by the impulse response functions. The Granger causality test result indicates a unidirectional causality from oil price to maize, soya bean, and sorghum price volatilities but does not show such relationship for rice and wheat price volatilities. We draw some policy implications of these findings.

  12. EL NINO AND COFFEE PRICE VOLATILITY IN 1997

    OpenAIRE

    Frechette, Darren L.; Delavan, Willard

    1998-01-01

    Coffee price volatility was extreme in 1997. With no obvious drought or freezing conditions in major growing countries, market analysts blamed El Nino. Alternatively, economic theory implies that commodity price volatility should be high when inventories are low. We analyze and test these two hypotheses

  13. Price Volatility Transmission in Food Supply Chains: A Literature Review

    NARCIS (Netherlands)

    Assefa, T.T.; Meuwissen, M.P.M.; Oude Lansink, A.G.J.M.

    2015-01-01

    This paper reviews the literature on price volatility transmission in vertical food markets. The methods and major findings of the literature are discussed and avenues for future research are suggested. The literature review shows that price volatility is analyzed using a class of univariate and mul

  14. Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility

    Directory of Open Access Journals (Sweden)

    Min-Ku Lee

    2014-01-01

    Full Text Available Recently, hybrid stochastic and local volatility models have become an industry standard for the pricing of derivatives and other problems in finance. In this study, we use a multiscale stochastic volatility model incorporated by the constant elasticity of variance to understand the price structure of continuous arithmetic average Asian options. The multiscale partial differential equation for the option price is approximated by a couple of single scale partial differential equations. In terms of the elasticity parameter governing the leverage effect, a correction to the stochastic volatility model is made for more efficient pricing and hedging of Asian options.

  15. Real-Time Pricing Decision Making for Retailer-Wholesaler in Smart Grid Based on Game Theory

    Directory of Open Access Journals (Sweden)

    Yeming Dai

    2014-01-01

    Full Text Available Real-time pricing DSM (demand side management is widely used to dynamically change or shift the electricity consumption in the smart grid. In this paper, a game decision making scheme is proposed in the smart grid with DSM. The interaction between two retailers and their wholesaler is modeled as a two-stage game model. Considering the competition between two retailers, two different game models are developed in terms of the different action order between retailers and their wholesaler. Through analyzing the equilibrium revenues of the retailers for different situations we find that although the wholesaler expects to decentralize certain management powers to the retailers, it has retained the right to change the rules of the game and frequently reneged on the promises. More specifically, the law should ensure that any change of the revenue-sharing formula must go through certain legal procedures. Imposing legal restrictions on the wholesaler’s discretionary policy suggests that the time-inconsistency problem is mitigated. Numerical simulation shows the effectiveness of proposed scheme.

  16. Detecting instability in the volatility of carbon prices

    Energy Technology Data Exchange (ETDEWEB)

    Chevallier, Julien [Univ. Paris Dauphine (France)

    2011-01-15

    This article investigates the presence of outliers in the volatility of carbon prices. We compute three different measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (implied volatility), and intraday data (realized volatility). Based on the methodology developed by Zeileis et al. (2003) and Zeileis (2006), we detect instability in the volatility of carbon prices based on two kinds of tests: retrospective tests (OLS-/Recursive-based CUSUM processes, F-statistics, and residual sum of squares), and forward-looking tests (by monitoring structural changes recursively or with moving estimates). We show evidence of strong shifts mainly for the EGARCH and IV models during the time period. Overall, we suggest that yearly compliance events, and growing uncertainties in post-Kyoto international agreements, may explain the instability in the volatility of carbon prices. (author)

  17. Comparative Performance of Volatility Models for Oil Price

    Directory of Open Access Journals (Sweden)

    Afees A. Salisu

    2012-07-01

    Full Text Available In this paper, we compare the performance of volatility models for oil price using daily returns of WTI. The innovations of this paper are in two folds: (i we analyse the oil price across three sub samples namely period before, during and after the global financial crisis, (ii we also analyse the comparative performance of both symmetric and asymmetric volatility models for the oil price. We find that oil price was most volatile during the global financial crises compared to other sub samples. Based on the appropriate model selection criteria, the asymmetric GARCH models appear superior to the symmetric ones in dealing with oil price volatility. This finding indicates evidence of leverage effects in the oil market and ignoring these effects in oil price modelling will lead to serious biases and misleading results.

  18. Competition compliant wholesale electricity prices. An examination of the regulation on the integrity and transparency of wholesale energy market; Wettbewerbskonforme Stromgrosshandelspreise. Eine Untersuchung der Verordnung ueber die Integritaet und Transparenz des Energiegrosshandelsmarkts

    Energy Technology Data Exchange (ETDEWEB)

    Konar, Selma

    2015-07-01

    The development of wholesale electricity prices showed in recent years a very fluctuating course. The starting point for ensuring competitive compliant electricity prices have uniform rules that establish effective competition in the overall wholesale electricity, ensure greater transparency in the market and prohibit market abuse influence exercised on the wholesale price. The REMIT regulation creates a first union-law rules to this standardized specifications. The volume first examines the transparency, competitiveness, and supervisory structures in the wholesale electricity before legislating a regulation. It is clear, as the transparency and supervisory structures should be designed from the wholesale electricity ideally. On this basis, the work is dealing with the REMIT regulation. The author works out to market participants relevant notification and publication requirements, the follow-up demands on the company as well as the now existing prohibitions on market abuse and the related penalty catalog and analyze the supervisory structures newly created in the wholesale electricity. Here, the work also identified the weaknesses of the regulation and shows suitable solution approaches. [German] Die Entwicklung der Stromgrosshandelspreise zeigte in den letzten Jahren einen sehr schwankenden Verlauf. Ausgangspunkt fuer die Gewaehrleistung wettbewerbskonformer Strompreise sind einheitliche Bestimmungen, die im gesamten Stromgrosshandel einen funktionierenden Wettbewerb etablieren, fuer mehr Transparenz am Markt sorgen und marktmissbraeuchliche Einflussnahmen auf den Grosshandelspreis verbieten. Die REMIT-Verordnung schafft als erstes unionsrechtliches Regelwerk hierzu einheitliche Vorgaben. Der Band untersucht zunaechst die Transparenz-, Wettbewerbs-, und Aufsichtsstrukturen im Stromgrosshandel vor Erlass der Verordnung. Dabei wird deutlich, wie die Transparenz- und Aufsichtsstrukturen im Stromgrosshandel idealerweise ausgestaltet sein sollten. Auf dieser Grundlage

  19. Another Look at the Volatility of Stock Prices

    Science.gov (United States)

    Maruszewski, Richard F., Jr.

    2007-01-01

    Investors are interested in the volatility of a stock for various reasons. One investor may desire to purchase a low volatility stock for peace of mind. Another may be interested in a high volatility stock in order to have the opportunity to buy low and sell high as the price of the stock oscillates. This author had the fortunate timing of reading…

  20. Customer response to day-ahead wholesale market electricity prices: Case study of RTP program experience in New York

    Energy Technology Data Exchange (ETDEWEB)

    Goldman, C.; Hopper, N.; Sezgen, O.; Moezzi, M.; Bharvirkar, R.; Neenan, B.; Boisvert, R.; Cappers, P.; Pratt, D.

    2004-07-01

    There is growing interest in policies, programs and tariffs that encourage customer loads to provide demand response (DR) to help discipline wholesale electricity markets. Proposals at the retail level range from eliminating fixed rate tariffs as the default service for some or all customer groups to reinstituting utility-sponsored load management programs with market-based inducements to curtail. Alternative rate designs include time-of-use (TOU), day-ahead real-time pricing (RTP), critical peak pricing, and even pricing usage at real-time market balancing prices. Some Independent System Operators (ISOs) have implemented their own DR programs whereby load curtailment capabilities are treated as a system resource and are paid an equivalent value. The resulting load reductions from these tariffs and programs provide a variety of benefits, including limiting the ability of suppliers to increase spot and long-term market-clearing prices above competitive levels (Neenan et al., 2002; Boren stein, 2002; Ruff, 2002). Unfortunately, there is little information in the public domain to characterize and quantify how customers actually respond to these alternative dynamic pricing schemes. A few empirical studies of large customer RTP response have shown modest results for most customers, with a few very price-responsive customers providing most of the aggregate response (Herriges et al., 1993; Schwarz et al., 2002). However, these studies examined response to voluntary, two-part RTP programs implemented by utilities in states without retail competition.1 Furthermore, the researchers had limited information on customer characteristics so they were unable to identify the drivers to price response. In the absence of a compelling characterization of why customers join RTP programs and how they respond to prices, many initiatives to modernize retail electricity rates seem to be stymied.

  1. Oil price and food price volatility dynamics: The case of Nigeria

    Directory of Open Access Journals (Sweden)

    Ijeoma C. Nwoko

    2016-12-01

    Full Text Available This study examines the long and short run relationships between oil price and food price volatility as well as the causal link between them. The study used annual food price volatility index from FAO from 2000 to 2013 and crude oil price from U.S. Energy Information and Administration (EIA from 2000 to 2013. The Johansen and Jesulius co-integration test revealed that there is a long run relationship between oil price and domestic food price volatility. The vector error correction model indicated a positive and significant short run relationship between oil price and food price volatility. The Granger causality test revealed a unidirectional causality with causality running from oil price to food price volatility but not vice versa. It is recommended that policies and interventions that will help reduce uncertainty about food prices such as improved market information, trade policies and investment in research and development among others should be encouraged. Also to reduce the effect of oil price shock, it is recommended that government should subsidise pump price of refined oil, seek alternative sources of energy and there should be less dependence on oil for fertilizer production.

  2. Modeling prices of wholesale market of electric energy and power by the example of the UPS of the Ural

    Directory of Open Access Journals (Sweden)

    Mokhov V.G.

    2017-01-01

    Full Text Available The article oversees forecasting model for deviations of the balancing market index and day-ahead market index according to the maximum similarity sample for different levels of approximation in the context of positive and negative time-series value. The model was being tested on the factual data of the Integrated Power system of the Ural, Wholesale market for electricity and power of Russian Federation. Describes the price formation on the day-ahead market and the balancing market index. The necessity to use accurate forecasting methods consumption and prices of electrical energy and power to reduce penalties when the electric power industry entities on the energy exchange. The testing of mathematical models to predict the balancing market index deviations and day-ahead market based on a sample of maximum similarity with certain approximation equations for positive and negative values gave the prediction error of 3.3%.

  3. Commodity Price Volatility: Causes, Effects and Implications

    OpenAIRE

    Mugera, Harriet Kasidi

    2015-01-01

    Agricultural commodities experienced substantial increases in prices over the most recent decade with major surges in both 2007-08 and again in 2010-11. These price movements coincided with sharp rises in energy prices, in particular crude oil. Sharp increases in agricultural prices were not uncommon, but it is the short period between the recent two price surges that has drawn concerns and raised questions. What were the causes of the increase in world agricultural prices and what are the pr...

  4. Analysis of the Behavior of Volatility in Crude Oil Price

    Directory of Open Access Journals (Sweden)

    Fernando Antonio Lucena Aiube

    2014-02-01

    Full Text Available This article analyzes volatility in the spot price of crude oil. In recent years the price has also increased reaching more than US$ 140/barrel in the last decade. Moreover, the negotiated trading volume in the futures market in recent years higher than the trading volume of the earlier years. How these changes have affected the volatility in the oil prices? Does the presence of huge players, which leads to an increase in the volume under negotiation, increase volatility? Has the persistence been affected? To answer these questions, we first estimated spot prices using the two-factor model of Schwartz and Smith. With this filtering process we can capture the entire information from the future term-structure. We then analyzed the estimated spot-price series to identify the stylized facts and then adjusted conditional volatility models of GARCH family. Our findings show that the volatility in the high prices period is not different from that of low prices. The shocks behaved as transitory and the persistence in the high prices period decreased. This fact has pricing and hedging implications for short-term derivatives.

  5. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...

  6. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Cont, Rama; Kokholm, Thomas

    2013-01-01

    We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...

  7. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...

  8. Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

    NARCIS (Netherlands)

    Chen, P.Y. Chen, P.Y. (Chen, P.Y.); C-L. Chang (Chia-Lin); M.J. McAleer (Michael)

    2013-01-01

    textabstractThe main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used t

  9. Stock price dynamics and option valuations under volatility feedback effect

    Science.gov (United States)

    Kanniainen, Juho; Piché, Robert

    2013-02-01

    According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.

  10. Price Responsive Demand in New York Wholesale Electricity Market using OpenADR

    Energy Technology Data Exchange (ETDEWEB)

    Kim, Joyce Jihyun [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Kiliccote, Sila [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2012-06-01

    In New York State, the default electricity pricing for large customers is Mandatory Hourly Pricing (MHP), which is charged based on zonal day-ahead market price for energy. With MHP, retail customers can adjust their building load to an economically optimal level according to hourly electricity prices. Yet, many customers seek alternative pricing options such as fixed rates through retail access for their electricity supply. Open Automated Demand Response (OpenADR) is an XML (eXtensible Markup Language) based information exchange model that communicates price and reliability information. It allows customers to evaluate hourly prices and provide demand response in an automated fashion to minimize electricity costs. This document shows how OpenADR can support MHP and facilitate price responsive demand for large commercial customers in New York City.

  11. Natural Gas Price Volatility in the UK and North America

    OpenAIRE

    2012-01-01

    Lacking a commonly held definition, volatility is an often over-generalised term with different meanings to different constituencies. This does not detract from the importance of the subject. To traders volatility is a source of revenue, to energy intensive industrial end-users it is often perceived as a threat. Midstream utilities actively work to risk-manage volatility in order to deliver a ‘dampened’ price offer to end-user customers. In this working paper Sofya Alterman summarises ...

  12. The Price Volatility of Bitcoin : A search for the drivers affecting the price volatility of this digital currency

    OpenAIRE

    Stråle Johansson, Nathalie; Tjernström, Malin

    2014-01-01

    Created in 2009, the digital currency of bitcoin is a relatively new phenomenon. During this short period of time, it has however displayed a strong development of both price and trade volume. This has led to increased media attention, but also regulators and researchers have developed an interest. At this moment, the amount of available research is however limited. With a focus on the price volatility of bitcoin and an aim of finding drivers of this volatility, this study is taking a unique ...

  13. Volatility of bitumen prices and implications for the industry

    Science.gov (United States)

    Attanasi, E.D.

    2008-01-01

    Sustained crude oil price increases have led to increased investment in and production of Canadian bitumen to supplement North American oil supplies. For new projects, the evaluation of profitability is based on a prediction of the future price path of bitumen and ultimately light/medium crude oil. This article examines the relationship between the bitumen and light crude oil prices in the context of a simple error-correction economic-adjustment model. The analysis shows bitumen prices to be significantly more volatile than light crude prices. Also, the dominant effect of an oil price shock on bitumen prices is immediate and is amplified, both in absolute terms and percentage price changes. It is argued that the bitumen industry response to such market risks will likely be a realignment toward vertical integration via new downstream construction, mergers, or on a de facto basis by the establishment of alliances. ?? 2008 International Association for Mathematical Geology.

  14. Essays on oil price volatility and irreversible investment

    Science.gov (United States)

    Pastor, Daniel J.

    In chapter 1, we provide an extensive and systematic evaluation of the relative forecasting performance of several models for the volatility of daily spot crude oil prices. Empirical research over the past decades has uncovered significant gains in forecasting performance of Markov Switching GARCH models over GARCH models for the volatility of financial assets and crude oil futures. We find that, for spot oil price returns, non-switching models perform better in the short run, whereas switching models tend to do better at longer horizons. In chapter 2, I investigate the impact of volatility on firms' irreversible investment decisions using real options theory. Cost incurred in oil drilling is considered sunk cost, thus irreversible. I collect detailed data on onshore, development oil well drilling on the North Slope of Alaska from 2003 to 2014. Volatility is modeled by constructing GARCH, EGARCH, and GJR-GARCH forecasts based on monthly real oil prices, and realized volatility from 5-minute intraday returns of oil futures prices. Using a duration model, I show that oil price volatility generally has a negative relationship with the hazard rate of drilling an oil well both when aggregating all the fields, and in individual fields.

  15. Price Volatility of Main Food Commodity in Banyumas Regency Indonesia

    Directory of Open Access Journals (Sweden)

    Rahmi Hayati Putri

    2016-06-01

    Full Text Available Agricultural product is commodity which tends to fluctuate. Price volatility is caused by the change of agricultural production due to climate change as well as pest and disease. Furthermore, it is also caused by the change of agricultural land and high demand of agricultural products on religious holidays. This study was conducted to examine how volatile some of main food commodities in Banyumas Regency. Secondary data analysis method with quantitative approach was used in this research. Time series data of some food commodity prices (rice IR 64, local soybean, maize, chili red peppers, onion and garlic from January 2008 – December 2013 were utilized. The coefficient of variation was calculated to determine price volatility. The result showed that the price of red chili pepper, onion and garlic was tending to volatile. The coefficient of variation ratio of those commodities was about 20% - 35%. While the price of rice, local soybean and maize was stable. The coefficient of variation ratio of those commodities was less than 9%. This study also includes some policies that can be suggested to prevent price volatility.

  16. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher interact

  17. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Hernandez, M.A.; Gardebroek, C.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. The estimation results indicate a higher inter

  18. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2013-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher interact

  19. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Hernandez, M.A.; Gardebroek, C.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. The estimation results indicate a higher

  20. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher

  1. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2013-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher

  2. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Cont, Rama; Kokholm, Thomas

    options on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options......We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently. Our model reproduces various empirically...... on S&P 500 across strikes and maturities as well as options on the VIX volatility index. The calibration of the model is done in two steps, first by matching VIX option prices and then by matching prices of options on the underlying....

  3. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across......We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently. Our model reproduces various empirically...... strikes and maturities as well as options on the VIX volatility index. The calibration of the model is done in two steps, first by matching VIX option prices and then by matching prices of options on the underlying....

  4. Entity’s Irregular Demand Scheduling of the Wholesale Electricity Market based on the Forecast of Hourly Price Ratios

    Directory of Open Access Journals (Sweden)

    O. V. Russkov

    2015-01-01

    Full Text Available The article considers a hot issue to forecast electric power demand amounts and prices for the entities of wholesale electricity market (WEM, which are in capacity of a large user with production technology requirements prevailing over hourly energy planning ones. An electric power demand of such entities is on irregular schedule. The article analyses mathematical models, currently applied to forecast demand amounts and prices. It describes limits of time-series models and fundamental ones in case of hourly forecasting an irregular demand schedule of the electricity market entity. The features of electricity trading at WEM are carefully analysed. Factors that influence on irregularity of demand schedule of the metallurgical plant are shown. The article proposes method for the qualitative forecast of market price ratios as a tool to reduce a dependence on the accuracy of forecasting an irregular schedule of demand. It describes the differences between the offered method and the similar ones considered in research studies and scholarly works. The correlation between price ratios and relaxation in the requirements for the forecast accuracy of the electric power consumption is analysed. The efficiency function of forecast method is derived. The article puts an increased focus on description of the mathematical model based on the method of qualitative forecast. It shows main model parameters and restrictions the electricity market imposes on them. The model prototype is described as a programme module. Methods to assess an effectiveness of the proposed forecast model are examined. The positive test results of the model using JSC «Volzhsky Pipe Plant» data are given. A conclusion is drawn concerning the possibility to decrease dependence on the forecast accuracy of irregular schedule of entity’s demand at WEM. The effective trading tool has been found for the entities of irregular demand schedule at WEM. The tool application allows minimizing cost

  5. NordREG report on the price peaks in the Nordic wholesale market during winter 2009-2010. Final report

    Energy Technology Data Exchange (ETDEWEB)

    2011-01-15

    improvements is transparency. Based on the consultancy study and the feedback from some stakeholders, NordREG finds that it should be assessed whether the area bidding curves at Nord Pool Spot could be publicized to enhance the transparency of the market and to enable all the market participants to have access to the trading data. Transparency in the Nord Pool Spot bid data would enhance confidence in market developments. NordREG also proposes that the trading mechanisms at the Nord Pool Spot should be assessed. This assessment should especially focus on how to increase flexibility into the market, how to improve pricing and offering of peak load reserves to the Nord Pool Spot and how to improve possibilities to hedge area price risks. NordREG emphasizes that the development of the Nord Pool Spot trading mechanism and its transparency should be prepared together with the Nord Pool Spot. Finally, one of the key issues for ensuring a well-functioning electricity wholesale market is the optimal and sufficient transmission network with its cross-border interconnectors that support the wholesale electricity market. Traditionally the Nordic TSOs used to cooperate in the area of grid planning and produced Nordic Grid Master Plans. The Nordic Council of Energy Ministers has underlined the importance of continued Nordic grid planning. The 3rd Legislative Package raised the cooperation of TSOs on grid planning to the European level and as a task for the European TSO organisation ENTSO-E, which has organised regional groupings of TSOs to work on grid planning. ENTSO-E published the pilot Ten Year Network Development Plan in June 2010 and the process for preparing the next one is already underway. This planning work and the results of it that will materialise themselves through transmission network investments will have a significant impact on the functioning of the Nordic, Northern and the whole European electricity wholesale market and its integration. This work needs to be analyzed and

  6. Food price volatility and hunger alleviation – can Cannes work?

    Directory of Open Access Journals (Sweden)

    Hajkowicz Stefan

    2012-06-01

    Full Text Available Abstract Recent years have seen global food prices rise and become more volatile. Price surges in 2008 and 2011 held devastating consequences for hundreds of millions of people and negatively impacted many more. Today one billion people are hungry. The issue is a high priority for many international agencies and national governments. At the Cannes Summit in November 2011, the G20 leaders agreed to implement five objectives aiming to mitigate food price volatility and protect vulnerable persons. To succeed, the global community must now translate these high level policy objectives into practical actions. In this paper, we describe challenges and unresolved dilemmas before the global community in implementing these five objectives. The paper describes recent food price volatility trends and an evaluation of possible causes. Special attention is given to climate change and water scarcity, which have the potential to impact food prices to a much greater extent in coming decades. We conclude the world needs an improved knowledge base and new analytical capabilities, developed in parallel with the implementation of practical policy actions, to manage food price volatility and reduce hunger and malnutrition. This requires major innovations and paradigm shifts by the global community.

  7. Co-Movement Analysis of Italian and Greek Electricity Market Wholesale Prices by Using a Wavelet Approach

    Directory of Open Access Journals (Sweden)

    George P. Papaioannou

    2015-10-01

    Full Text Available We study the co-evolution of the dynamics or co-movement of two electricity markets, the Italian and Greek, by studying the dynamics of their wholesale day-ahead prices, simultaneously in the time-frequency domain. Co-movement is alternatively referred as market integration in financial economics and markets are internationally integrated if the reward for risk is identical regardless the market one trades in. The innovation of this work is the application of wavelet analysis and more specifically the wavelet coherence to estimate the dynamic interaction between these two prices. Our method is compared to other generic econometric tools used in Economics and Finance namely the dynamic correlation and coherence analysis, to study the co-movement of variables of the type related to these two fields. Our study reveals valuable information that we believe will be extremely useful to the authorities as well as other agents participating in these markets to better prepare the national markets towards the European target model, a framework in which the two markets will be coupled.

  8. Food commodity price volatility and food insecurity

    National Research Council Canada - National Science Library

    Alexander Sarris

    2013-01-01

      The paper first reviews several issues relevant to global food commodity market volatility as it pertains to food security, and food importing developing countries, and then discusses international...

  9. Food Price Volatility and Decadal Climate Variability

    Science.gov (United States)

    Brown, M. E.

    2013-12-01

    The agriculture system is under pressure to increase production every year as global population expands and more people move from a diet mostly made up of grains, to one with more meat, dairy and processed foods. Weather shocks and large changes in international commodity prices in the last decade have increased pressure on local food prices. This paper will review several studies that link climate variability as measured with satellite remote sensing to food price dynamics in 36 developing countries where local monthly food price data is available. The focus of the research is to understand how weather and climate, as measured by variations in the growing season using satellite remote sensing, has affected agricultural production, food prices and access to food in agricultural societies. Economies are vulnerable to extreme weather at multiple levels. Subsistence small holders who hold livestock and consume much of the food they produce are vulnerable to food production variability. The broader society, however, is also vulnerable to extreme weather because of the secondary effects on market functioning, resource availability, and large-scale impacts on employment in trading, trucking and wage labor that are caused by weather-related shocks. Food price variability captures many of these broad impacts and can be used to diagnose weather-related vulnerability across multiple sectors. The paper will trace these connections using market-level data and analysis. The context of the analysis is the humanitarian aid community, using the guidance of the USAID Famine Early Warning Systems Network and the United Nation's World Food Program in their response to food security crises. These organizations have worked over the past three decades to provide baseline information on food production through satellite remote sensing data and agricultural yield models, as well as assessments of food access through a food price database. Econometric models and spatial analysis are used

  10. SPECIFYING THE EFFECTIVE DETERMINANTS OF HOUSE PRICE VOLATILITIES IN IRAN

    Directory of Open Access Journals (Sweden)

    Murteza Sanjarani Pour

    2013-11-01

    Full Text Available The housing sector is one of the key sectors in an economy and its fluctuations could be accompanied with stagnation or expansion in other parts of an economy. Additionally, this sector has an intra-economic role in near to 120 sub-industries which therefore indicates its importance in an economy. Hence, this study examines the effective determinants of house price volatilities using the Engel Granger co-integration technique after modeling the price volatilities under the E-Garch model for the period 1973-2008 in Iran based on Eviews and Mathematica Software. The findings indicate that all variables, including coin price, GDP proxy, volume of money, inflation rate, and house interest rate have a significant impact on the volatilities.

  11. Option Pricing with Stochastic Volatility and Jump Diffusion Processes

    Directory of Open Access Journals (Sweden)

    Radu Lupu

    2006-05-01

    Full Text Available Option pricing by the use of Black Scholes Merton (BSM model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of lognormality is rejected by the history of returns. The objective of this article is to present the methods that developed after the Black Scholes Merton environment and deals with the option pricing model adjustment to the empirical properties of asset returns. The main models that appeared after BSM allowed for special changes of the returns that materialized in jump-diffusion and stochastic volatility processes. The article presents the foundations of risk neutral options evaluation and the empirical evidence that fed the amendment of the lognormal assumption in the first part and shows the evaluation procedure under the assumption of stock prices following the jump-diffusion process and the stochastic volatility process.

  12. Option Pricing with Stochastic Volatility and Jump Diffusion Processes

    Directory of Open Access Journals (Sweden)

    Radu Lupu

    2006-03-01

    Full Text Available Option pricing by the use of Black Scholes Merton (BSM model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of lognormality is rejected by the history of returns. The objective of this article is to present the methods that developed after the Black Scholes Merton environment and deals with the option pricing model adjustment to the empirical properties of asset returns. The main models that appeared after BSM allowed for special changes of the returns that materialized in jump-diffusion and stochastic volatility processes. The article presents the foundations of risk neutral options evaluation and the empirical evidence that fed the amendment of the lognormal assumption in the first part and shows the evaluation procedure under the assumption of stock prices following the jump-diffusion process and the stochastic volatility process.

  13. Bayesian Option Pricing Framework with Stochastic Volatility for FX Data

    Directory of Open Access Journals (Sweden)

    Ying Wang

    2016-12-01

    Full Text Available The application of stochastic volatility (SV models in the option pricing literature usually assumes that the market has sufficient option data to calibrate the model’s risk-neutral parameters. When option data are insufficient or unavailable, market practitioners must estimate the model from the historical returns of the underlying asset and then transform the resulting model into its risk-neutral equivalent. However, the likelihood function of an SV model can only be expressed in a high-dimensional integration, which makes the estimation a highly challenging task. The Bayesian approach has been the classical way to estimate SV models under the data-generating (physical probability measure, but the transformation from the estimated physical dynamic into its risk-neutral counterpart has not been addressed. Inspired by the generalized autoregressive conditional heteroskedasticity (GARCH option pricing approach by Duan in 1995, we propose an SV model that enables us to simultaneously and conveniently perform Bayesian inference and transformation into risk-neutral dynamics. Our model relaxes the normality assumption on innovations of both return and volatility processes, and our empirical study shows that the estimated option prices generate realistic implied volatility smile shapes. In addition, the volatility premium is almost flat across strike prices, so adding a few option data to the historical time series of the underlying asset can greatly improve the estimation of option prices.

  14. Leader-follower Game in VMI System with Limited Production Capacity Considering Wholesale and Retail Prices

    NARCIS (Netherlands)

    Y. Yu (Yugang); L. Liang (Liming); G.Q. Huang (George)

    2006-01-01

    textabstractVMI (Vendor Managed Inventory) is a widely used cooperative inventory policy in supply chains in which each enterprise has its autonomy in pricing. This paper discusses a leader-follower Stackelberg game in a VMI supply chain where the manufacturer, as a leader, produces a single product

  15. Leader-follower Game in VMI System with Limited Production Capacity Considering Wholesale and Retail Prices

    NARCIS (Netherlands)

    Y. Yu (Yugang); L. Liang (Liming); G.Q. Huang (George)

    2006-01-01

    textabstractVMI (Vendor Managed Inventory) is a widely used cooperative inventory policy in supply chains in which each enterprise has its autonomy in pricing. This paper discusses a leader-follower Stackelberg game in a VMI supply chain where the manufacturer, as a leader, produces a single product

  16. Markup pricing in the context of a violent conflict: differentiated apples in Hebron wholesale market

    NARCIS (Netherlands)

    Ihle, R.; Finkelshstain, I.; Rubin, O.D.

    2014-01-01

    We investigate whether hostile international relations in the framework of the ongoing Israeli-Palestinian conflict has an effect on pricing and consumption patterns of different varieties of apples marketed in Palestine. For this purpose, we employ a discrete choice equilibrium model with product d

  17. Minerals Price Increases and Volatility: Causes and Consequences

    Science.gov (United States)

    2008-10-03

    This subject is discussed in CRS Report RL34625, Gasoline and Oil Prices, by Robert Pirog. Minerals Price Increases and Volatility: Causes and...accounted for more than half the production in such large mineral-producing countries as South Africa, Namibia, New Caledonia, Indonesia, Colombia , Chile...catalytic converters that reduce air emissions . Catalysts for pollution control lead the consumption categories for PGMs, and this report will focus

  18. Uncertainties Mounting, Cotton Price Becomes Volatile

    Institute of Scientific and Technical Information of China (English)

    Huang Junfei

    2010-01-01

    @@ In the domestic market, the unre-mitting foul weather has delayed cotton picking by two weeks with downgraded quality; in the inter-national market, factors such as sus-pension of cotton export in India and disaster-affecting cotton yield in Paki-stan have led to such a market anticipa-tion that cotton stock across the world is to show another decline trend in the upcoming year. The unanimous market anticipation has resulted in a surge in cotton price during the Mid-autumn Festival: the transaction price for un-loading cotton inventories has increased by nearly RMB 3,000/ton, the price for purchasing new cotton has gone beyond RMB 25,000/ton and the cost for the imported cotton with owned quota (effect shipment after the next Spring Festival)has exceeded RMB 21,000/ton.

  19. Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis

    Energy Technology Data Exchange (ETDEWEB)

    Worthington, A.; Kay-Spratley, A.; Higgs, H. [Queensland University of Technology, Brisbane (Australia). School of Economics and Finance

    2005-03-01

    This paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the Australian National Electricity Market: namely, New South Wales, Queensland, South Australia, the Snowy Mountains Hydroelectric Scheme and Victoria. A multivariate generalised autoregressive conditional heteroskedasticity model is used to identify the source and magnitude of price and price volatility spillovers. The results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets. This appears to be directly related to the physical transfer limitations of the present system of regional interconnection. Nevertheless, the large number of significant own-volatility and cross-volatility spillovers in all five markets indicates the presence of strong autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity effects. This indicates that shocks in some markets will affect price volatility in others. Finally, and contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot prices are stationary. (author)

  20. Transmission of prices and price volatility in Australian electricity spot markets. A multivariate GARCH analysis

    Energy Technology Data Exchange (ETDEWEB)

    Worthington, Andrew; Kay-Spratley, Adam; Higgs, Helen [School of Economics and Finance, Queensland University of Technology, G.P.O. Box 2434, Brisbane, Qld 4001 (Australia)

    2005-03-15

    This paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the Australian National Electricity Market: namely, New South Wales, Queensland, South Australia, the Snowy Mountains Hydroelectric Scheme and Victoria. A multivariate generalised autoregressive conditional heteroskedasticity model is used to identify the source and magnitude of price and price volatility spillovers. The results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets. This appears to be directly related to the physical transfer limitations of the present system of regional interconnection. Nevertheless, the large number of significant own-volatility and cross-volatility spillovers in all five markets indicates the presence of strong autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity effects. This indicates that shocks in some markets will affect price volatility in others. Finally, and contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot prices are stationary.

  1. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across......We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...

  2. Interest Rate Derivative Pricing with Stochastic Volatility

    NARCIS (Netherlands)

    Chen, B.

    2012-01-01

    One purpose of exotic derivative pricing models is to enable financial institutions to quantify and manage their financial risk, arising from large books of portfolios. These portfolios consist of many non-standard exotic financial products. Risk is managed by means of the evaluation of sensitivity

  3. Ambiguity and Volatility : Asset Pricing Implications

    NARCIS (Netherlands)

    Pataracchia, B.

    2011-01-01

    Using a simple dynamic consumption-based asset pricing model, this paper explores the implications of a representative investor with smooth ambiguity averse preferences [Klibano¤, Marinacci and Mukerji, Econometrica (2005)] and provides a comparative analysis of risk aversion and ambiguity aversion.

  4. Ambiguity and Volatility : Asset Pricing Implications

    NARCIS (Netherlands)

    Pataracchia, B.

    2011-01-01

    Using a simple dynamic consumption-based asset pricing model, this paper explores the implications of a representative investor with smooth ambiguity averse preferences [Klibano¤, Marinacci and Mukerji, Econometrica (2005)] and provides a comparative analysis of risk aversion and ambiguity aversion.

  5. Child mortality, commodity price volatility and the resource curse.

    Science.gov (United States)

    Makhlouf, Yousef; Kellard, Neil M; Vinogradov, Dmitri

    2017-04-01

    Given many developing economies depend on primary commodities, the fluctuations of commodity prices may imply significant effects for the wellbeing of children. To investigate, this paper examines the relationship between child mortality and commodity price movements as reflected by country-specific commodity terms-of-trade. Employing a panel of 69 low and lower-middle income countries over the period 1970-2010, we show that commodity terms-of-trade volatility increases child mortality in highly commodity-dependent importers suggesting a type of 'scarce' resource curse. Strikingly however, good institutions appear able to mitigate the negative impact of volatility. The paper concludes by highlighting this tripartite relationship between child mortality, volatility and good institutions and posits that an effective approach to improving child wellbeing in low to lower-middle income countries will combine hedging, import diversification and improvement of institutional quality. Copyright © 2017. Published by Elsevier Ltd.

  6. Option pricing with transaction costs and stochastic volatility

    Directory of Open Access Journals (Sweden)

    Ionut Florescu

    2014-07-01

    Full Text Available In a realistic market with transaction costs, the option pricing problem is known to lead to solving nonlinear partial differential equations even in the simplest model. The nonlinear term in these partial differential equations (PDE reflects the presence of transaction costs. In this article we consider an underlying general stochastic volatility model. In this case the market is incomplete and the option price is not unique. Under a particular market completion assumption where we use a traded proxy for the volatility, we obtain a non-linear PDE whose solution provides the option price in the presence of transaction costs. This PDE is studied and under suitable regularity conditions, we prove the existence of strong solutions of the problem.

  7. Estimating Price Volatility Structure in Iran’s Meat Market: Application of General GARCH Models

    Directory of Open Access Journals (Sweden)

    Z. Rasouli Birami

    2016-10-01

    Full Text Available Introduction: Over the past few years, the price volatility of agricultural products and food markets has attracted attention of many researchers and policy makers. This growing attention was started from the food price crisis in 2007 and 2008 when major agricultural products faced accelerated price increases and then rapidly decreased. This paper focused on the price volatility of major commodities related to three market levels of Iran’s meat market, including hay (the input level, calf and sheep (the wholesale level and beef and mutton (the retail level. In particular, efforts will made to find more appropriate models for explaining the behavior of volatility of the return series and to identify which return series are more volatile. The effects of good and bad news on the volatility of prices in each return series will also be studied. Materials and Methods: Different GARCH type models have been considered the best for modeling volatility of return series. Nonlinear GARCH models were introduced to capture the effect of good and bad news separately. The paper uses some GARCH type models including GARCH, Exponential GARCH (EGARCH, GJR-GARCH, Threshold GARCH (TGARCH, Simple Asymmetric GARCH (SAGARCH, Power GARCH (PGARCH, Non-linear GARCH (NGARCH, Asymmetric Power GARCH (APGARCH and Non-linear Power GARCH (NPGARCH to model the volatility of hay, calf, sheep, beef and mutton return series. The data on hay, calf, sheep, and beef and mutton monthly prices are published by Iran’s livestock support firm. The paper uses monthly data over the sample period of the May 1992 to the March 2014. Results and Discussion: Descriptive statistics of the studied return series show evidence of skewness and kurtosis. The results here show that all the series has fat tails. The significant p-values for the Ljung-Box Q-statistics mean that the auto-correlation exists in the squared residuals. The presence of unit roots in the return series is confirmed by the

  8. Dynamics Model Applied to Pricing Options with Uncertain Volatility

    Directory of Open Access Journals (Sweden)

    Lorella Fatone

    2012-01-01

    model is proposed. The data used to test the calibration problem included observations of asset prices over a finite set of (known equispaced discrete time values. Statistical tests were used to estimate the statistical significance of the two parameters of the Black-Scholes model: the volatility and the drift. The effects of these estimates on the option pricing problem were investigated. In particular, the pricing of an option with uncertain volatility in the Black-Scholes framework was revisited, and a statistical significance was associated with the price intervals determined using the Black-Scholes-Barenblatt equations. Numerical experiments involving synthetic and real data were presented. The real data considered were the daily closing values of the S&P500 index and the associated European call and put option prices in the year 2005. The method proposed here for calibrating the Black-Scholes dynamics model could be extended to other science and engineering models that may be expressed in terms of stochastic dynamical systems.

  9. Stochastic Volatility Model and Technical Analysis of Stock Price

    Institute of Scientific and Technical Information of China (English)

    Wei LIU; Wei An ZHENG

    2011-01-01

    In the stock market, some popular technical analysis indicators (e.g. Bollinger Bands, RSI,ROC, ...) are widely used by traders. They use the daily (hourly, weekly, ...) stock prices as samples of certain statistics and use the observed relative frequency to show the validity of those well-knownindicators. However, those samples are not independent, so the classical sample survey theory does not apply. In earlier research, we discussed the law of large numbers related to those observations when one assumes Black-Scholes' stock price model. In this paper, we extend the above results to the more popular stochastic volatility model.

  10. Forward Volatility Contract Pricing in the Brazilian Market

    Directory of Open Access Journals (Sweden)

    Sandro Magalhães Manteiga

    2004-06-01

    Full Text Available In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime of the contract. It is shown how this expected value can be computed by means of an exotic option with logarithmic pay-off. We show how to statically replicate this pay-off in terms of a basket of synthetic vanilla call and put options. We apply this construction to the TNLP4 ticker of BOVESPA and synthetize a basket with pure exposure to volatility using actual market prices.

  11. Creditor Protection, Contagion, and Stock Market Price Volatility

    OpenAIRE

    Hale, Galina B; Razin, Assaf; Tong, Hui

    2008-01-01

    We study a mechanism through which strong creditor protection affect positively the level, and negatively the volatility, of the aggregate stock market price. In a Tobin-q model with liquidity and productivity shocks, two channels are at work: (1) Creditor protection raises the stock value in a credit-constraint regime; (2) Creditor protection lowers the probability of the credit crunch. We confront the key predictions of the model to a panel of 40 countries over the period from 1984 to 2004....

  12. The European power industry : asymmetries and price volatility

    Energy Technology Data Exchange (ETDEWEB)

    Isabel, M.; Soares, R.T. [Porto Univ., Porto (Portugal). Faculty of Economics

    2005-07-01

    A time series model was used to obtain empirical evidence on the spot price volatility of the Spanish electricity market. The model was based on a single market operator and 2 system operators. A generalized autoregressive conditional heteroskedasticity (GARCH) model was used to model and forecast conditional variances related to the spot price volatility of the Spanish electricity market. A correlogram analysis was used to model the processes behind the time series. Autocorrelation and partial autocorrelation functions were used to demonstrate that the the derived electricity spot price series was not a random walk. Lags in various areas were attributed to the fact that a large proportion of electricity is consumed by industry. Weekly cycles justified values presented by a lags multiple of 7. Results of the modelling study showed that the method can be used in the risk management of electricity portfolios as well as in the pricing and hedging of different types of derivatives in electricity markets. It was concluded that further work is needed to reduce instability and asymmetries between generators, consumers and regulators. 16 refs., 5 tabs., 5 figs.

  13. A futures market response to oil price volatility

    Energy Technology Data Exchange (ETDEWEB)

    Levine, A.H. (Shearson Lehman Brothers Inc., Bethseda, MD (US))

    1991-01-01

    The volatility of oil prices has expanded dramatically over the past twenty years. New mechanisms, including futures and forward contracts, options on futures and ''over the counter'' options have been developed to deal with the uncertainty of buying or selling of petroleum in the highly competitive markets that now characterize the oil situation. Futures contracts - agreements to buy or sell at a particular time in the future - are the core of the new mechanisms. Since futures market prices move in concert with cash (''wet'') market prices, futures can be an effective substitute for wet barrel transactions. Buyers of options gain the advantage of futures trading - the right to buy without the obligation to do so -for a fee. (author).

  14. The Wholesale Price Contract Under The Framework Of Fairness-Preferencing Nash-Bargain In A Two-Level Supply Chain

    Directory of Open Access Journals (Sweden)

    Yanhong Qin

    2013-07-01

    Full Text Available The paper establishes a fairness preference framework based on game theory of Nash bargaining, and builds a utility system about fairness preference. On the basis, we expeands the newboy model to behavior research. The analysis shows that because of the retailer and suppliers’ fairness preference, their optimal order quantities tend to became conservative, and the result shows that the greater the retailer’s fairness preference, the smaller the optimal order quantity of the retailer and the supply chain system, and the change tendency of the supply chan is more obvious than that of retailer. the greater the supplier’s fairness preference, the greater the optimalorder quantity of the retailer and the supply chain system, and the change tendency of the supply chan is more obvious than that of retailer. Furthermore, we draw a conclusion that the wholesale price contract don’t change the supply chain coordination. Finally, we make the sensitivity analysis of the wholesale price, the retail price, the manufacturing cost of supplier, the stortage cost of retailer and the stortage cost of supplier.

  15. Multivariate Option Pricing with Time Varying Volatility and Correlations

    DEFF Research Database (Denmark)

    Rombouts, Jeroen V.K.; Stentoft, Lars Peter

    In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...... neutral dynamics for a general class of multivariate heteroskedastic models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the assumed underlying distribution and dynamics, and it nests several important special cases. We provide an application...... to options on the minimum of two indices. Our results show that not only is correlation important for these options but so is allowing this correlation to be dynamic. Moreover, we show that for the general model exposure to correlation risk carries an important premium, and when this is neglected option...

  16. Grain price and volatility transmission from international to domestic markets in developing countries

    OpenAIRE

    Ceballos, Francisco; Hernandez, Manuel A.; Minot,Nicholas; Robles, Miguel

    2015-01-01

    Understanding the sources of domestic food price volatility in developing countries and the extent to which it is transmitted from international to domestic markets is critical to help design better global, regional, and domestic policies to cope with excessive food price volatility and to protect the most vulnerable groups. This paper examines price and volatility transmission from major grain commodities to 41 domestic food products across 27 countries in Africa, Latin America, and South As...

  17. Simple approximations for option pricing under mean reversion and stochastic volatility

    NARCIS (Netherlands)

    C.M. Hafner (Christian)

    2003-01-01

    textabstractThis paper provides simple approximations for evaluating option prices and implied volatilities under stochastic volatility. Simple recursive formulae are derived that can easily be implemented in spreadsheets. The traditional random walk assumption, dominating in the analysis of

  18. Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models

    Directory of Open Access Journals (Sweden)

    Shu Wing Ho

    2011-12-01

    Full Text Available The valuation of options and many other derivative instruments requires an estimation of exante or forward looking volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices compared to historical volatility estimates sourced from IVolatility.com (“IVolatility”. Our evidence suggests use of the Bayesian approach to estimate volatility can provide a more accurate measure of ex-ante stock price volatility and will be useful in the pricing of derivative securities where the implied stock price volatility cannot be observed.

  19. Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods

    Science.gov (United States)

    Lahmiri, Salim

    2017-01-01

    Fertilizers are important to improve agricultural productivity growth. The purpose of this study is to investigate asymmetry, leverage, and persistence of shocks on price volatility of five fertilizers using EGARCH model during stable and unstable time periods, corresponding to before and after 2007 international financial crisis, respectively. Using price data of rock phosphate, triple super phosphate, diammonium phosphate (DAP), urea, and potassium chloride, it is found that fertilizers price volatilities display an apparent asymmetric response to shocks which have much pronounced and permanent effect during unstable period than in during stable period. Such effects should be taken into account whenever volatility modeling of fertilizers is considered, particularly during periods of volatile price.

  20. Stochastic Volatility and Option Pricing in Heath-Jarrow-Morton Term Structure Analysis

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Konaris, George; Nicolato, Elisa

    We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented.......We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented....

  1. Inventories and Commodity Price Volatility: A Test of the Theory of Storage

    OpenAIRE

    Toyne, Chris

    2002-01-01

    The theory of storage implies that commodity price volatility is inversely related to inventories, and that as inventories decline, spot prices become relatively more volatile than futures prices, and vice versa. These implications are directly tested using inventory and price data for six non-ferrous metals traded on the London Metal Exchange over the period 1989 to 2000. The conditional variances are specified as multiplicative heteroskedasticity models. For four of the metals, the observed...

  2. Impact of Oil Price Shocks and Exchange Rate Volatility on Stock Market Behavior in Nigeria

    Directory of Open Access Journals (Sweden)

    Adedoyin I. Lawal

    2016-09-01

    Full Text Available The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate among researchers. This study examined the impact of both the exchange rate volatility and oil price volatility on stock market volatility in Nigeria, so as to guide policy formulation based on the fact that the nation’s economy was foreign induced and mono-cultured with heavy dependence on oil. EGARCH estimation techniques were employed to examine if either the volatility in exchange rate, oil price volatility or both experts on stock market volatility in Nigeria. The result shows that share price volatility is induced by both the exchange rate volatility and oil price volatility. Thus, it is recommended that policymakers should pursue policies that tend to stabilize the exchange rate regime on the one hand, and guarantee the net oil exporting position for the economy, that market practitioners should formulate portfolio strategies in such a way that volatility in both exchange rates and oil price will be factored in time when investment decisions are being made.

  3. Recovery of time-dependent volatility in option pricing model

    Science.gov (United States)

    Deng, Zui-Cha; Hon, Y. C.; Isakov, V.

    2016-11-01

    In this paper we investigate an inverse problem of determining the time-dependent volatility from observed market prices of options with different strikes. Due to the non linearity and sparsity of observations, an analytical solution to the problem is generally not available. Numerical approximation is also difficult to obtain using most of the existing numerical algorithms. Based on our recent theoretical results, we apply the linearisation technique to convert the problem into an inverse source problem from which recovery of the unknown volatility function can be achieved. Two kinds of strategies, namely, the integral equation method and the Landweber iterations, are adopted to obtain the stable numerical solution to the inverse problem. Both theoretical analysis and numerical examples confirm that the proposed approaches are effective. The work described in this paper was partially supported by a grant from the Research Grant Council of the Hong Kong Special Administrative Region (Project No. CityU 101112) and grants from the NNSF of China (Nos. 11261029, 11461039), and NSF grants DMS 10-08902 and 15-14886 and by Emylou Keith and Betty Dutcher Distinguished Professorship at the Wichita State University (USA).

  4. Stochastic volatility of the futures prices of emission allowances: A Bayesian approach

    Science.gov (United States)

    Kim, Jungmu; Park, Yuen Jung; Ryu, Doojin

    2017-01-01

    Understanding the stochastic nature of the spot volatility of emission allowances is crucial for risk management in emissions markets. In this study, by adopting a stochastic volatility model with or without jumps to represent the dynamics of European Union Allowances (EUA) futures prices, we estimate the daily volatilities and model parameters by using the Markov Chain Monte Carlo method for stochastic volatility (SV), stochastic volatility with return jumps (SVJ) and stochastic volatility with correlated jumps (SVCJ) models. Our empirical results reveal three important features of emissions markets. First, the data presented herein suggest that EUA futures prices exhibit significant stochastic volatility. Second, the leverage effect is noticeable regardless of whether or not jumps are included. Third, the inclusion of jumps has a significant impact on the estimation of the volatility dynamics. Finally, the market becomes very volatile and large jumps occur at the beginning of a new phase. These findings are important for policy makers and regulators.

  5. Adaptation of warrant price with Black Scholes model and historical volatility

    Science.gov (United States)

    Aziz, Khairu Azlan Abd; Idris, Mohd Fazril Izhar Mohd; Saian, Rizauddin; Daud, Wan Suhana Wan

    2015-05-01

    This project discusses about pricing warrant in Malaysia. The Black Scholes model with non-dividend approach and linear interpolation technique was applied in pricing the call warrant. Three call warrants that are listed in Bursa Malaysia were selected randomly from UiTM's datastream. The finding claims that the volatility for each call warrants are different to each other. We have used the historical volatility which will describes the price movement by which an underlying share is expected to fluctuate within a period. The Black Scholes model price that was obtained by the model will be compared with the actual market price. Mispricing the call warrants will contribute to under or over valuation price. Other variables like interest rate, time to maturity date, exercise price and underlying stock price are involves in pricing call warrants as well as measuring the moneyness of call warrants.

  6. Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model

    OpenAIRE

    Leunglung Chan; Eckhard Platen

    2015-01-01

    This paper studies volatility derivatives such as variance and volatility swaps, options on variance in the modified constant elasticity of variance model using the benchmark approach. The analytical expressions of pricing formulas for variance swaps are presented. In addition, the numerical solutions for variance swaps, volatility swaps and options on variance are demonstrated.

  7. Oil Price Volatility and Economic Growth in Nigeria: a Vector Auto-Regression (VAR Approach

    Directory of Open Access Journals (Sweden)

    Edesiri Godsday Okoro

    2014-02-01

    Full Text Available The study examined oil price volatility and economic growth in Nigeria linking oil price volatility, crude oil prices, oil revenue and Gross Domestic Product. Using quarterly data sourced from the Central Bank of Nigeria (CBN Statistical Bulletin and World Bank Indicators (various issues spanning 1980-2010, a non‐linear model of oil price volatility and economic growth was estimated using the VAR technique. The study revealed that oil price volatility has significantly influenced the level of economic growth in Nigeria although; the result additionally indicated a negative relationship between the oil price volatility and the level of economic growth. Furthermore, the result also showed that the Nigerian economy survived on crude oil, to such extent that the country‘s budget is tied to particular price of crude oil. This is not a good sign for a developing economy, more so that the country relies almost entirely on revenue of the oil sector as a source of foreign exchange earnings. This therefore portends some dangers for the economic survival of Nigeria. It was recommended amongst others that there should be a strong need for policy makers to focus on policy that will strengthen/stabilize the economy with specific focus on alternative sources of government revenue. Finally, there should be reduction in monetization of crude oil receipts (fiscal discipline, aggressive saving of proceeds from oil booms in future in order to withstand vicissitudes of oil price volatility in future.

  8. The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps

    DEFF Research Database (Denmark)

    Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    We study the relation between realized and implied volatility in the bond market. Realizedvolatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures.Implied volatility is backed out from prices of associated bond options. Recent nonparametric statisticaltech......, and bond options appear to be calibrated toincorporate information about future jumps in Treasury bond prices, and hence interest rates....... contain incremental information about future volatilityrelative to both components of realized volatility, and even subsumes the information contentof daily and weekly return based measures. Perhaps surprisingly, the jump component of realizedbond return volatility is, to some extent, predictable...

  9. Stochastic Volatility and Option Pricing in Heath-Jarrow-Morton Term Structure Analysis

    DEFF Research Database (Denmark)

    Skovmand, David

    We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented.......We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented....

  10. Excessive price reduction and extreme volatility in wind dominant electricity markets; solutions and emerging challenges

    DEFF Research Database (Denmark)

    Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe; Mousavi, Omid Alizadeh

    2013-01-01

    markets. While high price volatility imposes elevated risk levels for both electricity suppliers and consumers, excessive price reduction of electricity is a disincentive for investment in new generation capacity and might jeopardizes system adequacy in long term. A comparative study between marginal......High intermittency in the nature of wind power emphasize conceptual revising in the mechanisms of electricity markets with high wind power penetration levels. This paper introduces overmuch price reduction and high price volatility as two adverse consequences in future wind dominant electricity...... is developed. The paper indicates discriminatory pricing approach can be beneficial in high penetration of wind power because it alleviates high price variations and spikiness in one hand and prevents overmuch price reduction in wind dominant electricity markets on the other hand....

  11. Ethanol, Corn, and Soybean Price Relations in a Volatile Vehicle-Fuels Market

    Directory of Open Access Journals (Sweden)

    Cesar Escalante

    2009-06-01

    Full Text Available The rapid upward shift in ethanol demand has raised concerns about ethanol’s impact on the price level and volatility of agricultural commodities. The popular press attributes much of this volatility in commodity prices to a price bubble in ethanol fuel and recent deflation. Market economics predicts not only a softening of demand to high commodity prices but also a positive supply response. This volatility in ethanol and commodity prices are investigated using cointegration, vector error corrections (VECM, and multivariate generalized autoregressive conditional heteroskedascity (MGARCH models. In terms of derived demand theory, results support ethanol and oil demands as derived demands from vehicle-fuel production. Gasoline prices directly influence the prices of ethanol and oil. However, of greater significance for the fuel versus food security issue, results support the effect of agricultural commodity prices as market signals which restore commodity markets to their equilibriums after a demand or supply event (shock. Such shocks may in the short-run increase agricultural commodity prices, but decentralized freely operating markets will mitigate the persistence of these shocks. Results indicate in recent years there are no long-run relations among fuel (ethanol, oil and gasoline prices and agricultural commodity (corn and soybean prices.

  12. Mobile Communication Resale Wholesale Price for Resale Products%移动通信转售批发价对转售产品的影响

    Institute of Scientific and Technical Information of China (English)

    彭荣林

    2015-01-01

    分析了因中国的移动转售产品依赖于转售批发价的限制,在转售价格和开放的转售功能的影响下,各虚拟运营商推出的产品受到的影响以及各虚拟运营商产品受自身转售业务的目标定位、自有业务以及成本价格的影响;针对现阶段转售业务现状,提出了批零倒挂问题需要有标准、运营商不能按自身价格体系来制订转售结算价格、虚拟运营商在商业模式不清晰情况下可以和有通信提供能力企业先合作试点等建议,以避免高投入无回收情况.%The resale product of China relies on the limitation of resale wholesale price. Products launched on the market by virtual network operators have been affected by the resale price and open resale function since mobile resale business went live. At the same time, the products of each virtual network operator are affected by their own resale business positioning, existing business, and operating cost. Focusing on the status of resale business, this paper proposes that certain criteria should be established for zero upside down, mobile operators cannot set resale products ''sel ing rate according to their own pricing system, and virtual network operators are al owed to cooperate with companies which are capable of offering mobile service to launch pilot projects if the business pattern is not clear. In this way, high input and low return can be avoided.

  13. A Path Integral Approach to Option Pricing with Stochastic Volatility: Some Exact Results

    Science.gov (United States)

    Baaquie, Belal E.

    1997-12-01

    The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic volatility is reviewed starting from the first principles of finance. The equation of Merton and Garman is then recast using the path integration technique of theoretical physics. The price of the stock option is shown to be the analogue of the Schrödinger wavefunction of quantum mechanics and the exact Hamiltonian and Lagrangian of the system is obtained. The results of Hull and White are generalized to the case when stock price and volatility have non-zero correlation. Some exact results for pricing stock options for the general correlated case are derived.

  14. Approximation methods of European option pricing in multiscale stochastic volatility model

    Science.gov (United States)

    Ni, Ying; Canhanga, Betuel; Malyarenko, Anatoliy; Silvestrov, Sergei

    2017-01-01

    In the classical Black-Scholes model for financial option pricing, the asset price follows a geometric Brownian motion with constant volatility. Empirical findings such as volatility smile/skew, fat-tailed asset return distributions have suggested that the constant volatility assumption might not be realistic. A general stochastic volatility model, e.g. Heston model, GARCH model and SABR volatility model, in which the variance/volatility itself follows typically a mean-reverting stochastic process, has shown to be superior in terms of capturing the empirical facts. However in order to capture more features of the volatility smile a two-factor, of double Heston type, stochastic volatility model is more useful as shown in Christoffersen, Heston and Jacobs [12]. We consider one modified form of such two-factor volatility models in which the volatility has multiscale mean-reversion rates. Our model contains two mean-reverting volatility processes with a fast and a slow reverting rate respectively. We consider the European option pricing problem under one type of the multiscale stochastic volatility model where the two volatility processes act as independent factors in the asset price process. The novelty in this paper is an approximating analytical solution using asymptotic expansion method which extends the authors earlier research in Canhanga et al. [5, 6]. In addition we propose a numerical approximating solution using Monte-Carlo simulation. For completeness and for comparison we also implement the semi-analytical solution by Chiarella and Ziveyi [11] using method of characteristics, Fourier and bivariate Laplace transforms.

  15. Estimating the Volatility of Cocoa Price Return with ARCH and GARCH Models

    Directory of Open Access Journals (Sweden)

    Lya Aklimawati

    2013-08-01

    Full Text Available Dynamics of market changing as a result of market liberalization have an impact on agricultural commodities price fluctuation. High volatility on cocoa price movement reflect its price and market risk. Because of price and market uncertainty, the market players face some difficulties to make a decision in determining business development. This research was conducted to 1 understand the characteristics of cocoa price movement in cocoa futures trading, and 2analyze cocoa price volatility using ARCH and GARCH type model. Research was carried out by direct observation on the pattern of cocoa price movement in the futures trading and volatility analysis based on secondary data. The data was derived from Intercontinental Exchange ( ICE Futures U.S. Reports. The analysis result showed that GARCH is the best model to predict the value of average cocoa price return volatility, because it meets criteria of three diagnostic checking, which are ARCH-LM test, residual autocorrelation test and residual normality test. Based on the ARCH-LM test, GARCH (1,1did not have heteroscedasticity, because p-value  2 (0.640139and F-statistic (0.640449 were greater than 0.05. Results of residual autocorrelation test indicated that residual value of GARCH (1,1 was random, because the statistic value of Ljung-Box (LBon the 36 th lag is smaller than the statistic value of  2. Whereas, residual normality test concluded the residual of GARCH (1,1 were normally distributed, because AR (29, MA (29, RESID (-1^2, and GARCH (-1 were significant at 5% significance level. Increasing volatility value indicate high potential risk. Price risk can be reduced by managing financial instrument in futures trading such as forward and futures contract, and hedging. The research result also give an insight to the market player for decision making and determining time of hedging. Key words: Volatility, price, cocoa, GARCH, risk, futures trading

  16. A STUDY OF THE EFFECT OF INFORMATION FLOWSON PRICE VOLATILITY IN CHINA'S STOCK MARKET

    Institute of Scientific and Technical Information of China (English)

    YuePan; ShinongWu

    2004-01-01

    By using GARCH and EGARCH models, the authors examine the relationship between price volatility and new information flow, represented by trading volume, and past information flow, represented by the ARCH effect, in the Shanghai Stock Market for the three different periods from July 1998 to December 2002: the soft period, the bull period, and the bear period. The empirical results show that: (1) there exists a 'leverage effect' in the stock market; that is, negative news had a greater impact on stock price volatility than did positive news in the soft period and bear period, but in the bull period the 'leverage effect' behaves differently; (2) there is a significantly positive relationship between trading volume and stock price volatility, and such a relationship is even more significant in the bear period; (3) it turns out that in the three periods, the relationships between stock price volatility and information flow, both past and new, are not the same; that is, in both the soft and bull periods, both the ARCH effect, reflecting 'past information flow', and trading volume,reflecting 'new information flow', explain price volatility simultaneously, but in the bear period, the ARCH effect is substantially reduced. These findings provide key evidence for understanding, explaining, and tracking the characteristics of price volatility and the changing rules of the stock market in China more comprehensively.

  17. Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels

    DEFF Research Database (Denmark)

    Babaglou, Kadir G.; Christoffersen, Peter; Heston, Stefen L.;

    We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare their contribution to describing returns and option data. All three features lead to statistically significant model improvements. A second volatility factor is economically most...

  18. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

    NARCIS (Netherlands)

    van Haastrecht, A.; Lord, R.; Pelsser, A.; Schrager, D.

    2009-01-01

    We consider the pricing of long-dated insurance contracts under stochastic interest rates and stochastic volatility. In particular, we focus on the valuation of insurance options with long-term equity or foreign exchange exposures. Our modeling framework extends the stochastic volatility model of Sc

  19. Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility

    NARCIS (Netherlands)

    van Haastrecht, A.; Pelsser, A.

    2009-01-01

    We consider the pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility, for which we use a generic multi-currency framework. We allow for a general correlation structure between the drivers of the volatility, the inflation index, the domestic (nominal)

  20. The transmission and management of price volatility in food supply chains

    NARCIS (Netherlands)

    Assefa, Tsion Taye

    2016-01-01

    The 2006-2011 period has been marked by increased volatility in food an agricultural commodity prices at a global level. In the EU, the continuous liberalization of agricultural markets under the Common Agricultural Policy has led to the exposure of EU agricultural to increasing market price

  1. Price and Volatility Transmission and Market Power in the German Fresh Pork Supply Chain

    NARCIS (Netherlands)

    Assefa, Tsion Taye; Meuwissen, Miranda P.M.; Gardebroek, Koos; Oude Lansink, Alfons G.J.M.

    2017-01-01

    We investigate the relationship between the transmission of price volatility and market power in the German fresh pork supply chain. We use a theoretical model underpinning this relationship followed by an empirical application that uses monthly farm, slaughterhouse and retail pork price data for

  2. Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility

    OpenAIRE

    Escribano, Alvaro; Sucarrat, Genaro

    2016-01-01

    Electricity prices are characterised by strong autoregressive persistence, periodicity (e.g. intraday, day-of-the week and month-of-the-year effects), large spikes or jumps, GARCH and -- as evidenced by recent findings -- periodic volatility. We propose a multivariate model of volatility that decomposes volatility multiplicatively into a non-stationary (e.g. periodic) part and a stationary part with log-GARCH dynamics. Since the model belongs to the log-GARCH class, the model is robust to ...

  3. Three essays on agricultural price volatility and the linkages between agricultural and energy markets

    Science.gov (United States)

    Wu, Feng

    This dissertation contains three essays. In the first essay I use a volatility spillover model to find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time-varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices become more energy-driven as the ethanol gasoline consumption ratio increases. Based on this strong volatility link between crude oil and corn prices, a new cross hedging strategy for managing corn price risk using oil futures is examined and its performance studied. Results show that this cross hedging strategy provides only slightly better hedging performance compared to traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. The second essay studies the spillover effect of biofuel policy on participation in the Conservation Reserve Program. Landowners' participation decisions are modeled using a real options framework. A novel aspect of the model is that it captures the structural change in agriculture caused by rising biofuel production. The resulting model is used to simulate the spillover effect under various conditions. In particular, I simulate how increased growth in agricultural returns, persistence of the biofuel production boom, and the volatility surrounding agricultural returns, affect conservation program participation decisions. Policy implications of these results are also discussed. The third essay proposes a methodology to construct a risk-adjusted implied volatility measure that removes the forecasting bias of the model-free implied volatility measure. The risk adjustment is based on a closed

  4. An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty

    Directory of Open Access Journals (Sweden)

    Hanlei Hu

    2017-01-01

    Full Text Available In financial markets with volatility uncertainty, we assume that their risks are caused by uncertain volatilities and their assets are effectively allocated in the risk-free asset and a risky stock, whose price process is supposed to follow a geometric G-Brownian motion rather than a classical Brownian motion. The concept of arbitrage is used to deal with this complex situation and we consider stock price dynamics with no-arbitrage opportunities. For general European contingent claims, we deduce the interval of no-arbitrage price and the clear results are derived in the Markovian case.

  5. 基于供求定理的卷烟市场批发价格形成探讨%Cigarette Wholesale Market Price Formation Based on the Laws of Supply and Demand

    Institute of Scientific and Technical Information of China (English)

    荆志瑞; 王亚莉

    2013-01-01

      在重点卷烟品牌在全国市场快速发展的时期,作为检验品牌运行质量的市场批发价格指标显得愈发重要。文章应用经济理论中的供求定理对卷烟市场上的供求关系变化进行分析,并构建出市场批发价格形成均衡模型,以此作为研究市场批发价格的形成和变动机制。%In the period of Key cigarette brand's rapidly development, the market wholesale prices, as a test of the brand operation quality becomes more and more important. We use the Laws of Supply and Demand to analyze the changes of supply and demand of cigarettes, and set up the market wholesale price formation equilibrium model as the wholesale market price formation and fluctuation mechanism.

  6. International Price Relationship and Volatility Transmission Between Stock Index and Stock Index Futures

    Directory of Open Access Journals (Sweden)

    ArIsmail bin Ahmad

    2011-09-01

    Full Text Available This study investigates the international price relationship and volatility transmissions betweenstock index and stock index futures of Malaysia, Hong Kong and Japan. Vector Autoregression(VAR GJR-GARCH model was applied to the nine years daily price. Japanesemarkets are the main information producer to the market price changes. International marketinterdependence only affected the domestic volatility transmission of spot and futuresmarket in Hong Kong. Asymmetric effects exist in all markets and the volatility persistence ineach market is high. Finally, the overall conditional correlation estimates for spot and futuresmarkets are higher in the unrestricted model form compared to the restricted modelform.Keywords: spot-futures, lead-lags, volatility, VAR GJR-GARCH, Asian financial markets

  7. FDI Inflows, Price and Exchange Rate Volatility: New Empirical Evidence from Latin America

    Directory of Open Access Journals (Sweden)

    Silvia Dal Bianco

    2017-02-01

    Full Text Available This paper investigates the impact of price and real exchange rate volatility on Foreign Direct Investment (FDI inflows in a panel of 10 Latin American and Caribbean countries, observed between 1990 and 2012. Both price and exchange rate volatility series are estimated through the Generalized Autoregressive Conditional Heteroscedasticity model (GARCH. Our results obtained, employing the Fixed Effects estimator, confirm the theory of hysteresis and option value, in so far as a statistically significant negative effect of exchange rate volatility on FDI is found. Price volatility, instead, turns out to be positive but insignificant. Moreover, we show that human capital and trade openness are key for attracting foreign capital. From the policy perspective, our analysis suggests the importance of stabilization policies as well as the policy of government credibility in promoting trade openness and human capital formation.

  8. Commodity Price Volatility: The Impact of Commodity Index Traders

    OpenAIRE

    Getu, Hailu; Weersink, Alfons

    2010-01-01

    Over the years, critics have argued that futures market prices have been either too low or too high. Speculators have often been the target for the wrath of those feeling the futures price does not properly reflect market fundamentals. Recently, the criticism has been vented toward a new type of speculator that has been blamed for the dramatic changes in agricultural commodity prices experienced over the last several years. Commodity index traders (CITs) and other large institutional traders ...

  9. Determining the Causality Between Retail Price and Consumer Demand in a Linear Function when Demand-Shift Variables are Missing but Wholesale Prices are Available

    NARCIS (Netherlands)

    Kuiper, W.E.; Meulenberg, M.T.G.

    2005-01-01

    A test procedure is proposed to test for the simultaneous nature of the relationship between price and quantity with respect to consumer demand of fresh products at the level of an individual retail chain. It is argued in the literature that, on the sector level, inverse demand systems in which quan

  10. Energy prices, volatility, and the stock market. Evidence from the Eurozone

    Energy Technology Data Exchange (ETDEWEB)

    Oberndorfer, Ulrich [Federal Ministry of Economics and Technology, Scharnhorststr. 34-37, 10115 Berlin (Germany)

    2009-12-15

    This paper constitutes a first analysis on stock returns of energy corporations from the Eurozone. It focuses on the relationship between energy market developments and the pricing of European energy stocks. According to our results, oil price hikes negatively impact on stock returns of European utilities. However, they lead to an appreciation of oil and gas stocks. Interestingly, forecastable oil market volatility negatively affects European oil and gas stocks, implying profit opportunities for strategic investors. In contrast, the gas market does not play a role for the pricing of Eurozone energy stocks. Coal price developments affect the stock returns of European utilities. However, this effect is small compared to oil price impacts, although oil is barely used for electricity generation in Europe. This suggests that for the European stock market, the oil price is the main indicator for energy price developments as a whole. (author)

  11. Energy prices, volatility, and the stock market: Evidence from the Eurozone

    Energy Technology Data Exchange (ETDEWEB)

    Oberndorfer, Ulrich, E-mail: ulrich.oberndorfer@bmwi.bund.d [Federal Ministry of Economics and Technology, Scharnhorststr. 34-37, 10115 Berlin (Germany)

    2009-12-15

    This paper constitutes a first analysis on stock returns of energy corporations from the Eurozone. It focuses on the relationship between energy market developments and the pricing of European energy stocks. According to our results, oil price hikes negatively impact on stock returns of European utilities. However, they lead to an appreciation of oil and gas stocks. Interestingly, forecastable oil market volatility negatively affects European oil and gas stocks, implying profit opportunities for strategic investors. In contrast, the gas market does not play a role for the pricing of Eurozone energy stocks. Coal price developments affect the stock returns of European utilities. However, this effect is small compared to oil price impacts, although oil is barely used for electricity generation in Europe. This suggests that for the European stock market, the oil price is the main indicator for energy price developments as a whole.

  12. Incorporating the value of changes in price volatility into cost-benefit analysis-an application to oil prices in the transport sector

    DEFF Research Database (Denmark)

    Jensen, Thomas Christian; Møller, Flemming

    2010-01-01

    in the policy assessment taking into account the most significant correlations between prices of alternative fuels and between fuel prices and consumption in general. In the present paper, a method of valuing changes in price volatility based on portfolio theory is applied to some very simple transport......This paper contains a tentative suggestion of how to take into account the value of changes in price volatility in real world cost-benefit analyses. Price volatility is an important aspect of security of supply which first of all concerns physical availability, but assuming that consumers are risk...... averse, security of supply can also be viewed as a matter of avoiding oscillations in consumption originating from volatile prices of for instance oil. When the government makes transport-related choices on behalf of the consumers, the effect on oscillations in general consumption should be included...

  13. FEWS NET Price Volatility Data 2002-2012

    Data.gov (United States)

    US Agency for International Development — This dataset from the Famine Early Warning System Network (FEWS NET) documents ten years, from 2002 to 2012, of cereal price fluctuations across twenty-five African...

  14. Managing price volatility in an open economy environment

    OpenAIRE

    P.V. Srinivasan

    2004-01-01

    "This study examines the impact of alternative price stabilization policies for edible oils and oilseeds in India on the farmers growing oilseeds, the consumers of edible oils and the processing sector with the help of a multi market equilibrium dynamic simulation model. Price stability in the edible oil sector is important at least for two reasons. It can help realize the growth potential in the production of edible oils and improve the nutritional security of Indian households. While effici...

  15. A Generic Decomposition Formula for Pricing Vanilla Options under Stochastic Volatility Models

    Directory of Open Access Journals (Sweden)

    Raúl Merino

    2015-01-01

    Full Text Available We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model, extending a previous decomposition formula for the Heston model. We realize that a new term arises when the stock price does not follow an exponential model. The techniques used for this purpose are nonanticipative. In particular, we also see that equivalent results can be obtained by using Functional Itô Calculus. Using the same generalizing ideas, we also extend to nonexponential models the alternative call option price decomposition formula written in terms of the Malliavin derivative of the volatility process. Finally, we give a general expression for the derivative of the implied volatility under both the anticipative and the nonanticipative cases.

  16. Fractional Black–Scholes option pricing, volatility calibration and implied Hurst exponents in South African context

    Directory of Open Access Journals (Sweden)

    Emlyn Flint

    2017-03-01

    Full Text Available Background: Contingent claims on underlying assets are typically priced under a framework that assumes, inter alia, that the log returns of the underlying asset are normally distributed. However, many researchers have shown that this assumption is violated in practice. Such violations include the statistical properties of heavy tails, volatility clustering, leptokurtosis and long memory. This paper considers the pricing of contingent claims when the underlying is assumed to display long memory, an issue that has heretofore not received much attention. Aim: We address several theoretical and practical issues in option pricing and implied volatility calibration in a fractional Black–Scholes market. We introduce a novel eight-parameter fractional Black–Scholes-inspired (FBSI model for the implied volatility surface, and consider in depth the issue of calibration. One of the main benefits of such a model is that it allows one to decompose implied volatility into an independent long-memory component – captured by an implied Hurst exponent – and a conditional implied volatility component. Such a decomposition has useful applications in the areas of derivatives trading, risk management, delta hedging and dynamic asset allocation. Setting: The proposed FBSI volatility model is calibrated to South African equity index options data as well as South African Rand/American Dollar currency options data. However, given the focus on the theoretical development of the model, the results in this paper are applicable across all financial markets. Methods: The FBSI model essentially combines a deterministic function form of the 1-year implied volatility skew with a separate deterministic function for the implied Hurst exponent, thus allowing one to model both observed implied volatility surfaces as well as decompose them into independent volatility and long-memory components respectively. Calibration of the model makes use of a quasi-explicit weighted

  17. Incorporating the value of changes in price volatility into cost-benefit analysis-an application to oil prices in the transport sector

    DEFF Research Database (Denmark)

    Jensen, Thomas Christian; Møller, Flemming

    2010-01-01

    in the policy assessment taking into account the most significant correlations between prices of alternative fuels and between fuel prices and consumption in general. In the present paper, a method of valuing changes in price volatility based on portfolio theory is applied to some very simple transport...

  18. Study of Volatility of New Ship Building Prices in LNG Shipping

    Directory of Open Access Journals (Sweden)

    T. Bangar Raju

    2016-12-01

    Full Text Available The natural gas market has been expanding in size and has attracted particular attention across the global energy market. Although most natural gas transportation is carried out through pipelines, almost one third of it is done with the help of merchant vessels, capable of carrying liquefied natural gas. These LNG carriers have a special design and thus can be treated as a separate class of global fleet. New vessels are huge capital investments by vessel owning companies and just like other vessel classes; the new shipbuilding prices for the LNG segment continue to be a key aspect in the decision making of business players. Additionally these prices can be volatile as new ship building prices fluctuate with time. This paper attempts to analyse the volatility of new ship building prices of LNG carriers. For the study, the average ship building prices for all the LNG carriers having volume carrying capacity is between 160,000 – 173,000 cbm to be delivered between 2016 – 2019 were taken into account. For the analysis, GARCH and EGARCH methods were applied on the data set. The analysis concluded that there is a great deal of volatility in the new ship building prices of LNG vessels. It was also identified that negative shocks were more persistent the positive shocks.

  19. PREDICTABLE AND PRICE VOLATILITY RISK IN THE BRAZILIAN MARKET INTEGRATION OF SHRIMP

    Directory of Open Access Journals (Sweden)

    Israel José dos Santos Felipe

    2015-12-01

    Full Text Available The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. It´s presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Society of General Warehouses of São Paulo (CEAGESP.The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of "One Step Ahead" with 12 periods horizon , proved to be statistically more robust. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread.

  20. Forecasting of the industrial power consumption in the conditions of volatility price signals

    Directory of Open Access Journals (Sweden)

    Igor Aleksandrovich Baev

    2012-12-01

    Full Text Available Article is devoted to problems of purchase of the electric power in the wholesale market for the industry of Russia. Authors considered the mechanism of pricing and various combinations between the prices of the market for days forward and the prices of the balancing market. Favorable and adverseratios between the prices of the balancing market and submitted plans for power consumption are revealed. The urgency of forecasting of the industrial power consumption, allowing providing a sustainable development not only power supply systems and the power companies, but also region economy as a whole is proved. Recommendations about improvement of forecasting of the power consumption, based on the account not only the factors defining requirement for the electric power, but also factors considering tendencies of the balancing market are offered. As methods of forecasting sharing of methods of the regression analysis and method of expert evaluations is offered. Results of research will allow to increase accuracy of forecasting and to reduce financial losses not only at level of the concrete enterprises, but also at region level as a whole.

  1. Market-oriented ethanol and corn-trade policies can reduce climate-induced US corn price volatility

    Science.gov (United States)

    Verma, Monika; Hertel, Thomas; Diffenbaugh, Noah

    2014-05-01

    Agriculture is closely affected by climate. Over the past decade, biofuels have emerged as another important factor shaping the agricultural sector. We ask whether the presence of the US ethanol sector can play a role in moderating increases in US corn price variability, projected to occur in response to near-term global warming. Our findings suggest that the answer to this question depends heavily on the underlying forces shaping the ethanol industry. If mandate-driven, there is little doubt that the presence of the corn-ethanol sector will exacerbate price volatility. However, if market-driven, then the emergence of the corn-ethanol sector can be a double-edged sword for corn price volatility, possibly cushioning the impact of increased climate driven supply volatility, but also inheriting volatility from the newly integrated energy markets via crude oil price fluctuations. We find that empirically the former effect dominates, reducing price volatility by 27%. In contrast, mandates on ethanol production increase future price volatility by 54% in under future climate after 2020. We also consider the potential for liberalized international corn trade to cushion corn price volatility in the US. Our results suggest that allowing corn to move freely internationally serves to reduce the impact of near-term climate change on US corn price volatility by 8%.

  2. The Volatility of Oil Prices on Stock Exchanges in the Context of Recent Events

    Directory of Open Access Journals (Sweden)

    Popescu Maria-Floriana

    2016-04-01

    Full Text Available Oil along with currencies and gold are the main indicators of the most important processes which take place in the world economy, quotations’ volatility being always followed by economic and social events. Quiet periods of oil prices, when quotations have a constant evolution or only suffer minor fluctuations, are very rare. Most of the time, very sharp price increases or decreases are happening over night or week. This is mostly due to the fact that the oil market is extremely speculative, being influenced by political, military, social, or meteorological events. Since the major oil price shocks of the 70s, the impact of oil price changes on the economic reality of a country or region has been widely studied by academic researchers. Moreover, the stock market plays an important role in the economic welfare and development of a country. Therefore, a vast number of studies have investigated the relationship between oil prices and stock market returns, being discovered significant effects of oil price shocks on the macroeconomic activity for both developed and emerging countries. The purpose of this study is to investigate the volatility of oil prices on stock exchanges taking into consideration the recent events that have affected the oil markets around the globe. Furthermore, based on the findings of this research, some possible scenarios will be developed, taking into account various events that might take place and their potential outcome for oil prices’ future.

  3. Price and volatility transmissions between natural gas, fertilizer, and corn markets

    NARCIS (Netherlands)

    Etienne, Xiaoli Liao; Trujillo-Barrera, Andrés; Wiggins, Seth

    2016-01-01

    Purpose – The purpose of this paper is to investigate the price and volatility transmission between natural gas, fertilizer (ammonia), and corn markets, an issue that has been traditionally ignored in the literature despite its significant importance. Design/methodology/approach – The authors

  4. Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); M.J. McAleer (Michael); Y-A. Wang (Yu-Ann)

    2016-01-01

    textabstractThe recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers

  5. Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise

    DEFF Research Database (Denmark)

    Nolte, Ingmar; Voev, Valeri

    The expected value of sums of squared intraday returns (realized variance) gives rise to a least squares regression which adapts itself to the assumptions of the noise process and allows for a joint inference on integrated volatility (IV), noise moments and price-noise relations. In the iid noise...

  6. Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation

    NARCIS (Netherlands)

    Jiang, George J.; Sluis, Pieter J. van der

    1999-01-01

    While the stochastic volatility (SV) generalization has been shown to improve the explanatory power over the Black-Scholes model, empirical implications of SV models on option pricing have not yet been adequately tested. The purpose of this paper is to first estimate a multivariate SV model using th

  7. Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); C-P. Liu (Chia-Ping); M.J. McAleer (Michael)

    2016-01-01

    textabstractThe agricultural and energy industries are closely related, both biologically and financially. The paper discusses the relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two industries. The interaction and covolat

  8. Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); M.J. McAleer (Michael); Y-A. Wang (Yu-Ann)

    2016-01-01

    textabstractThe recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers he

  9. Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models

    Directory of Open Access Journals (Sweden)

    Xuemei Gao

    2014-01-01

    Full Text Available The aim of this paper is to extend the lattice method proposed by Ritchken and Trevor (1999 for pricing American options with one-dimensional stochastic volatility models to the two-dimensional cases with strangle payoff. This proposed method is compared with the least square Monte-Carlo method via numerical examples.

  10. The Economics of Biofuel Policies. Impacts on Price Volatility in Grain and Oilseed Markets

    NARCIS (Netherlands)

    Gorter, de H.; Drabik, D.

    2015-01-01

    The global food crises of 2008 and 2010 and the increased price volatility revolve around biofuels policies and their interaction with each other, farm policies and between countries. The Economics of Biofuel Policies focuses on the role of biofuel policies in creating turmoil in the world grains an

  11. The Economics of Biofuel Policies. Impacts on Price Volatility in Grain and Oilseed Markets

    NARCIS (Netherlands)

    Gorter, de H.; Drabik, D.

    2015-01-01

    The global food crises of 2008 and 2010 and the increased price volatility revolve around biofuels policies and their interaction with each other, farm policies and between countries. The Economics of Biofuel Policies focuses on the role of biofuel policies in creating turmoil in the world grains

  12. Option pricing for stochastic volatility model with infinite activity Lévy jumps

    Science.gov (United States)

    Gong, Xiaoli; Zhuang, Xintian

    2016-08-01

    The purpose of this paper is to apply the stochastic volatility model driven by infinite activity Lévy processes to option pricing which displays infinite activity jumps behaviors and time varying volatility that is consistent with the phenomenon observed in underlying asset dynamics. We specially pay attention to three typical Lévy processes that replace the compound Poisson jumps in Bates model, aiming to capture the leptokurtic feature in asset returns and volatility clustering effect in returns variance. By utilizing the analytical characteristic function and fast Fourier transform technique, the closed form formula of option pricing can be derived. The intelligent global optimization search algorithm called Differential Evolution is introduced into the above highly dimensional models for parameters calibration so as to improve the calibration quality of fitted option models. Finally, we perform empirical researches using both time series data and options data on financial markets to illustrate the effectiveness and superiority of the proposed method.

  13. IMPACTS OF EURO/USD VOLATILITY ON STEEL PRICES OF TURKEY

    Directory of Open Access Journals (Sweden)

    Engin AKMAN

    2016-02-01

    Full Text Available Steel sector is the driving force of industry as it provides raw or semi-finished materials for the majority of manufacturing industries. Turkey is an important steel producer, importer and exporter. 45% of steel imports are from EU-27 zone while only 24% of the exports are destined to the European countries. The study is concentrated on the effects of EUR/USD volatility on the steel prices of Turkey. VAR models, Impulse Response Functions, Granger Causality Tests and Variance Decomposition analysis are employed for the data covering the period of April 2008- January 2015. The study reveals that EUR/USD currency volatility has significant effect on steel prices explaining about 5-6% of the changes in the prices.

  14. How volatilities nonlocal in time affect the price dynamics in complex financial systems.

    Science.gov (United States)

    Tan, Lei; Zheng, Bo; Chen, Jun-Jie; Jiang, Xiong-Fei

    2015-01-01

    What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time.

  15. How volatilities nonlocal in time affect the price dynamics in complex financial systems.

    Directory of Open Access Journals (Sweden)

    Lei Tan

    Full Text Available What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time.

  16. Price volatility, hedging and variable risk premium in the crude oil market

    Energy Technology Data Exchange (ETDEWEB)

    Ahmad Jalali-Naini [Institute for Education and Research in Management and Planning, Tehran (Iran); Maryam Kazemi Manesh [University of Mannheim (Germany)

    2006-06-15

    The crude oil price exhibits a high degree of volatility which varies significantly over time. Such characteristics imply that the oil market is a promising area for testing volatility models. Testing and predicting volatility using ARCH and GARCH models have grown in the literature. A useful application of the volatility models is in the formulation of hedging strategies. In this paper we compare the optimal hedge ratio for the crude oil using the classical minimum risk approach and use ARCH to incorporate the effect of heteroskedasticity in the residuals on the hedge ratio. In addition, we test for the existence of a variable risk premium in the crude oil market. We find that, assuming rational expectations, there is a non-zero risk premium. We test for the variability of the risk premia and find evidence in its support when we employed a multivariate GARCH model. (author)

  17. A regime-switching stochastic volatility model for forecasting electricity prices

    DEFF Research Database (Denmark)

    Exterkate, Peter; Knapik, Oskar

    In a recent review paper, Weron (2014) pinpoints several crucial challenges outstanding in the area of electricity price forecasting. This research attempts to address all of them by i) showing the importance of considering fundamental price drivers in modeling, ii) developing new techniques...... for probabilistic (i.e. interval or density) forecasting of electricity prices, iii) introducing an universal technique for model comparison. We propose new regime-switching stochastic volatility model with three regimes (negative jump, normal price, positive jump (spike)) where the transition matrix depends...... on explanatory variables. Bayesian inference is explored in order to obtain predictive densities. The main focus of the paper is on shorttime density forecasting in Nord Pool intraday market. We show that the proposed model outperforms several benchmark models at this task....

  18. A discontinuous Galerkin method for numerical pricing of European options under Heston stochastic volatility

    Science.gov (United States)

    Hozman, J.; Tichý, T.

    2016-12-01

    The paper is based on the results from our recent research on multidimensional option pricing problems. We focus on European option valuation when the price movement of the underlying asset is driven by a stochastic volatility following a square root process proposed by Heston. The stochastic approach incorporates a new additional spatial variable into this model and makes it very robust, i.e. it provides a framework to price a variety of options that is closer to reality. The main topic is to present the numerical scheme arising from the concept of discontinuous Galerkin methods and applicable to the Heston option pricing model. The numerical results are presented on artificial benchmarks as well as on reference market data.

  19. Scaling and volatility of breakouts and breakdowns in stock price dynamics.

    Directory of Open Access Journals (Sweden)

    Lu Liu

    Full Text Available BACKGROUND: Because the movement of stock prices is not only ubiquitous in financial markets but also crucial for investors, extensive studies have been done to understand the law behind it. In particular, since the financial crisis in 2008, researchers have a more interest in investigating large market volatilities in order to grasp changing market trends. METHODOLOGY/PRINCIPAL FINDINGS: In this work, we analyze the breakouts and breakdowns of both the Standard & Poor's 500 Index in the US stock market and the Shanghai Composite Index in the Chinese stock market. The breakout usually represents an ongoing upward trend in technical analysis while the breakdown represents an ongoing downward trend. Based on the renormalization method, we introduce two parameters to quantize breakouts and breakdowns, respectively. We discover scaling behavior, characterized by power-law distributions for both the breakouts and breakdowns in the two financial markets with different power-law exponents, which reflect different market volatilities. In detail, the market volatility for breakdowns is usually larger than that for breakouts. Moreover, as an emerging market, the Chinese stock market has larger market volatilities for both the breakouts and breakdowns than the US stock market (a mature market. Further, the short-term volatilities show similar features for both the US stock market and the Chinese stock market. However, the medium-term volatilities in the US stock market are almost symmetrical for the breakouts and breakdowns, whereas those in the Chinese stock market appear to be asymmetrical for the breakouts and breakdowns. CONCLUSIONS/SIGNIFICANCE: The methodology presented here provides a way to understand scaling and hence volatilities of breakouts and breakdowns in stock price dynamics. Our findings not only reveal the features of market volatilities but also make a comparison between mature and emerging financial markets.

  20. Characteristics of the volatility in the Korea composite stock price index

    Science.gov (United States)

    Lee, Chang-Yong

    2009-09-01

    We empirically analyze the time series of the Korea Composite Stock Price Index (KOSPI) from March of 1992 to February of 2007 using methods from the hydrodynamic turbulence. To this end, we focus on characteristics of the return and volatility, which are respectively the price change and a measure of the financial market fluctuation over a time interval. With these, we show that the non-Gaussian probability distribution of the return can be modeled by the convolution of the conditional probability distribution of the return given the volatility and the distribution of the volatility per se. From this model, we suggest that the non-Gaussian characteristic of the return results from the fluctuation of the volatility. That is, a large return is partly, if not entirely, due to the market fluctuation in a long time scale influencing the fluctuation in a short time scale via net information flow. We further show that the volatility has a multi-fractal property, which resembles the multifractality of the energy dissipation in the turbulence.

  1. The analysis of volatility of gold coin price fluctuations in Iran using ARCH & VAR models

    Directory of Open Access Journals (Sweden)

    Younos Vakilolroaya

    2014-03-01

    Full Text Available The aim of this study is to investigate the changes in gold price and modeling of its return volatility and conditional variance model. The study gathers daily prices of gold coins as the dependent variable and the price of gold in world market, the price of oil in OPEC, exchange rate USD to IRR and index of Tehran Stock Exchange from March 2007 to July 2013 and using ARCH family models and VAR methods, the study analysis the data. The study first examines whether the data are stationary or not and then it reviews the household stability, Arch and Garch models. The proposed study investigates the causality among variables, selects different factors, which could be blamed of uncertainty in the coin return. The results indicate that the effect of sudden changes of standard deviation and after a 14-day period disappears and gold price goes back to its initial position. In addition, in this study we observe the so-called leverage effect in Iran’s Gold coin market, which means the good news leads to more volatility in futures market than bad news in an equal size. Finally, the result of analysis of variance implies that in the short-term, a large percentage change in uncertainty of the coin return is due to changes in the same factors and volatility of stock returns in the medium term, global gold output, oil price and exchange rate fluctuation to some extent will show the impact. In the long run, the effects of parameters are more evident.

  2. Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets

    Directory of Open Access Journals (Sweden)

    P. Srinivasan

    2012-12-01

    Full Text Available This study attempts to examine the price discovery process and volatility spillovers in Goldfutures and spot markets of National Commodity Derivatives Exchange (NCDEX by employingJohansen’s Vector Error Correction Model (VECM and the Bivariate ECM-EGARCH(1,1model. The empirical result confirms that the spot market of Gold plays a dominant role andserves as effective price discovery vehicle. Besides the study results show that the spillovers ofcertain information take place from spot market to futures market and the spot market of goldhave the capability to expose the all new information through the channel of its new innovation.

  3. Equilibrium Asset and Option Pricing under Jump-Diffusion Model with Stochastic Volatility

    Directory of Open Access Journals (Sweden)

    Xinfeng Ruan

    2013-01-01

    Full Text Available We study the equity premium and option pricing under jump-diffusion model with stochastic volatility based on the model in Zhang et al. 2012. We obtain the pricing kernel which acts like the physical and risk-neutral densities and the moments in the economy. Moreover, the exact expression of option valuation is derived by the Fourier transformation method. We also discuss the relationship of central moments between the physical measure and the risk-neutral measure. Our numerical results show that our model is more realistic than the previous model.

  4. Pricing of American Put Option under a Jump Diffusion Process with Stochastic Volatility in an Incomplete Market

    Directory of Open Access Journals (Sweden)

    Shuang Li

    2014-01-01

    Full Text Available We study the pricing of American options in an incomplete market in which the dynamics of the underlying risky asset is driven by a jump diffusion process with stochastic volatility. By employing a risk-minimization criterion, we obtain the Radon-Nikodym derivative for the minimal martingale measure and consequently a linear complementarity problem (LCP for American option price. An iterative method is then established to solve the LCP problem for American put option price. Our numerical results show that the model and numerical scheme are robust in capturing the feature of incomplete finance market, particularly the influence of market volatility on the price of American options.

  5. Pricing credit default swaps under a multi-scale stochastic volatility model

    Science.gov (United States)

    Chen, Wenting; He, Xinjiang

    2017-02-01

    In this paper, we consider the pricing of credit default swaps (CDSs) with the reference asset driven by a geometric Brownian motion with a multi-scale stochastic volatility (SV), which is a two-factor volatility process with one factor controlling the fast time scale and the other representing the slow time scale. A key feature of the current methodology is to establish an equivalence relationship between the CDS and the down-and-out binary option through the discussion of "no default" probability, while balancing the two SV processes with the perturbation method. An approximate but closed-form pricing formula for the CDS contract is finally obtained, whose accuracy is in the order of O(ɛ + δ +√{ ɛδ }) .

  6. Volatile oil prices: two propositions from economics and ''Realpolitik''

    Energy Technology Data Exchange (ETDEWEB)

    Wirl, F.

    1988-02-01

    This paper attempts to interpret OPEC's decision making process by analysing the political-economic behaviour of the Member Countries of the Organization of the Petroleum Exporting Countries. The economic objectives of OPEC members is first discussed under the hypothesis of cooperation versus competition. A loose marketing arrangement among OPEC members is then assumed. Both approaches, pure economics and Real-politik lead to the same conclusion: the likelihood of a volatile price increase.

  7. Computational intelligence applications to option pricing, volatility forecasting and value at risk

    CERN Document Server

    Mostafa, Fahed; Chang, Elizabeth

    2017-01-01

    The results in this book demonstrate the power of neural networks in learning complex behavior from the underlying financial time series data . The results in this book also demonstrate how neural networks can successfully be applied to volatility modeling, option pricings, and value at risk modeling. These features allow them to be applied to market risk problems to overcome classical issues associated with statistical models. .

  8. Relationship between financial speculation and food prices or price volatility: applying the principles of evidence-based medicine to current debates in Germany.

    Science.gov (United States)

    Bozorgmehr, Kayvan; Gabrysch, Sabine; Müller, Olaf; Neuhann, Florian; Jordan, Irmgard; Knipper, Michael; Razum, Oliver

    2013-10-16

    There is an unresolved debate about the potential effects of financial speculation on food prices and price volatility. Germany's largest financial institution and leading global investment bank recently decided to continue investing in agricultural commodities, stating that there is little empirical evidence to support the notion that the growth of agricultural-based financial products has caused price increases or volatility. The statement is supported by a recently published literature review, which concludes that financial speculation does not have an adverse effect on the functioning of the agricultural commodities market. As public health professionals concerned with global food insecurity, we have appraised the methodological quality of the review using a validated and reliable appraisal tool. The appraisal revealed major shortcomings in the methodological quality of the review. These were particularly related to intransparencies in the search strategy and in the selection/presentation of studies and findings; the neglect of the possibility of publication bias; a lack of objective or rigorous criteria for assessing the scientific quality of included studies and for the formulation of conclusions. Based on the results of our appraisal, we conclude that it is not justified to reject the hypothesis that financial speculation might have adverse effects on food prices/price volatility. We hope to initiate reflections about scientific standards beyond the boundaries of disciplines and call for high quality, rigorous systematic reviews on the effects of financial speculation on food prices or price volatility.

  9. Quantifying the value that wind power provides as a hedge against volatile natural gas prices

    Energy Technology Data Exchange (ETDEWEB)

    Bolinger, Mark; Wiser, Ryan; Golove, William

    2002-05-31

    Advocates of renewable energy have long argued that wind power and other renewable technologies can mitigate fuel price risk within a resource portfolio. Such arguments--made with renewed vigor in the wake of unprecedented natural gas price volatility during the winter of 2000/2001--have mostly been qualitative in nature, however, with few attempts to actually quantify the price stability benefit that wind and other renewables provide. This paper attempts to quantify this benefit by equating it with the cost of achieving price stability through other means, particularly gas-based financial derivatives (futures and swaps). We find that over the past two years, natural gas consumers have had to pay a premium of roughly 0.50 cents/kWh over expected spot prices to lock in natural gas prices for the next 10 years. This incremental cost is potentially large enough to tip the scales away from new investments in natural gasfired generation and in favor of investments in wind power and other renewable technologies.

  10. ONE WHOLESALE PRICE COORDINATING STRATEGY FOR THE MANUFACTURER IN A TWO-STAGE ADVERTISING GAME%两层次广告博弈中供应商的一种批发价协调策略

    Institute of Scientific and Technical Information of China (English)

    肖成勇; 王谦

    2011-01-01

    We consider a two stage advertising game in a supply chain consisting of one manufacturer and two retailers, in which the manufacturer sells its goods through the two retailers in a local market. The manufacturer plays a dominant role in the supply chain, and deicides the wholesale price and retail price. The retailers can influence the profits for the supply chain through advertising and promotion in the local market. The analysis shows that by setting the wholesale price to the level of marginal cost, the manufacturer can make the supply chain to maximize the profits.%研究了在包含一个供应商和两个零售商的供应链中的广告博弈协调问题.将该问题构造为一个两层次的博弈:供应商与零售商之间的Stackelberg博弈以及零售商之间的合作博弈.供应商作为整个供应链上的主导者,拥有产品批发价和零售价的决策权,而零售商则通过在当地市场上的广告促销投入来影响需求,进而影响整个供应链的收益.研究发现,供应商可以通过简单地设定适当的批发价来影响零售商的广告促销投入,从而使得整个供应链实现最大收益.

  11. An inverse problem of determining the implied volatility in option pricing

    Science.gov (United States)

    Deng, Zui-Cha; Yu, Jian-Ning; Yang, Liu

    2008-04-01

    In the Black-Scholes world there is the important quantity of volatility which cannot be observed directly but has a major impact on the option value. In practice, traders usually work with what is known as implied volatility which is implied by option prices observed in the market. In this paper, we use an optimal control framework to discuss an inverse problem of determining the implied volatility when the average option premium, namely the average value of option premium corresponding with a fixed strike price and all possible maturities from the current time to a chosen future time, is known. The issue is converted into a terminal control problem by Green function method. The existence and uniqueness of the minimum of the control functional are addressed by the optimal control method, and the necessary condition which must be satisfied by the minimum is also given. The results obtained in the paper may be useful for those who engage in risk management or volatility trading.

  12. Study on Wholesale Price Discount Rate with Retailer’s Advance Payment Financing Mode%零售商提前支付融资模式下的批发价折扣研究

    Institute of Scientific and Technical Information of China (English)

    占济舟

    2014-01-01

    在由单一供应商和单一零售商构成的二级供应链中,当供应商生产资金受到约束时,在提前支付融资模式下,供应商按零售商的预订量进行生产,供应链系统利润将达到最优,且相对于供应商而言,提前支付给零售商带来更大的融资价值。同时,考虑供应链系统的整体利润,当缺货成本越高时,批发价折扣率越低对供应链系统越有利;反之,缺货成本越低,批发价折扣率越高对供应链系统越有利。%In a supply chain which is consisted of one supplier and one retailer,when the supplier’s production capital is constrained,the supplier’s production decision and retailer’s booking decision models are constructed based on retailer’s advance payment financing mode,the retailer and supplier’s bargaining discount rate of wholesale price is given in this paper.From analysing numerical examples,the research conclusions are presented:when the supplier produces according to the retailer’s booking amount,the system profit of supply chain will be optimized,and compared to supplier,the advance payment will create more financing value to retailer.Meanwhile,considering the whole profit of the supply chain system,when the shortage cost is higher,a lower wholesale price discount rate is benefit for supply chain system,otherwise,when the shortage cost is lower,a higher wholesale price discount rate is advantageous.

  13. Pricing foreign equity option under stochastic volatility tempered stable Lévy processes

    Science.gov (United States)

    Gong, Xiaoli; Zhuang, Xintian

    2017-10-01

    Considering that financial assets returns exhibit leptokurtosis, asymmetry properties as well as clustering and heteroskedasticity effect, this paper substitutes the logarithm normal jumps in Heston stochastic volatility model by the classical tempered stable (CTS) distribution and normal tempered stable (NTS) distribution to construct stochastic volatility tempered stable Lévy processes (TSSV) model. The TSSV model framework permits infinite activity jump behaviors of return dynamics and time varying volatility consistently observed in financial markets through subordinating tempered stable process to stochastic volatility process, capturing leptokurtosis, fat tailedness and asymmetry features of returns. By employing the analytical characteristic function and fast Fourier transform (FFT) technique, the formula for probability density function (PDF) of TSSV returns is derived, making the analytical formula for foreign equity option (FEO) pricing available. High frequency financial returns data are employed to verify the effectiveness of proposed models in reflecting the stylized facts of financial markets. Numerical analysis is performed to investigate the relationship between the corresponding parameters and the implied volatility of foreign equity option.

  14. Are stock prices too volatile to be justified by the dividend discount model?

    Science.gov (United States)

    Akdeniz, Levent; Salih, Aslıhan Altay; Ok, Süleyman Tuluğ

    2007-03-01

    This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555-574] and of Shiller [Do stock prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev. 71 (1981) 421-436.]. The conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock [Asset prices in a production economy, in: J.J. McCall (Ed.), The Economics of Information and Uncertainty, University of Chicago Press, Chicago (for N.B.E.R.), 1982]. Results show that the conditional variance bounds hold, hence, our hypothesis of the validity of the dividend discount model cannot be rejected. Moreover, in our setting, markets are efficient and stock prices are neither affected by herd psychology nor by the outcome of noise trading by naive investors; thus, we are able to control for market efficiency. Consequently, we show that one cannot infer any conclusions about market efficiency from the unconditional variance bounds tests.

  15. Detecting Chaos from Agricultural Product Price Time Series

    Directory of Open Access Journals (Sweden)

    Xin Su

    2014-12-01

    Full Text Available Analysis of the characteristics of agricultural product price volatility and trend forecasting are necessary to formulate and implement agricultural price control policies. Taking wholesale cabbage prices as an example, a multiple test methodology has been adopted to identify the nonlinearity, fractality, and chaos of the data. The approaches used include the R/S analysis, the BDS test, the power spectra, the recurrence plot, the largest Lyapunov exponent, the Kolmogorov entropy, and the correlation dimension. The results show that there is chaos in agricultural wholesale price data, which provides a good theoretical basis for selecting reasonable forecasting models as prediction techniques based on chaos theory can be applied to forecasting agricultural prices.

  16. Does EU's energy dependence on Russia increase price volatility for consumers?

    Science.gov (United States)

    Yekeler, Zeynep

    Europe's dependence on natural gas imports from Russia has raised questions about energy risk and the vulnerability of the European countries, especially after the supply cuts in 2006, 2008, 2009, and 2012. The implementation of the Third Energy Package to finally unify European energy markets by linking the states located on the periphery to the well connected gas hubs in Northern Europe has been slow due to a lack of political will across Europe. This has enabled Russian Gazprom to retain its position as a major player in European markets and hinder any European effort to diversify the energy portfolio of the region. Using residential natural gas and electricity price data from 2000 through 2014, this paper analyzes the impact of EU's import reliance on natural gas from Russia and the supply disruptions on the volatility of natural gas and electricity prices through a fixed effects regression model. Results indicate that while the size of Russian natural gas imports does not significantly affect natural gas and electricity price volatility in EU countries, security supply measures such as natural gas stocks matter, especially for Southeast European countries that consistently pay more according to the results. The paper concludes by discussing the importance of formulating policies that not only aim to reduce overall EU dependence but minimize Southeastern Europe's vulnerabilities. Policy suggestions include increasing cross-border interconnectors and storage capacity as well as increasing LNG import capacity by building regasification terminals in periphery countries like Greece, Bulgaria, Romania and Slovenia.

  17. The Volatility of Indonesia Shari’ah Capital Market Stock Price Toward Macro Economics Variable

    Directory of Open Access Journals (Sweden)

    Helma Malini

    2014-08-01

    Full Text Available Shari’ah stock market is also affected by many highly interrelated economic, social, political andother factor, same as the conventional stock market, the interaction between macroeconomic variablesand Shari’ah stock market creating volatility in the stock price as a response towards severalshocks. The sensitivity of Shari’ah stock market towards shocks happened related with the futureexpectation of micro and macro factor in one country which can be predict or unpredictable.There are six macroeconomic variables that used in this research; inflation, exchange rate, interestrate, dow jones index, crude oil palm price, and FED rate. Using vector error correction model(VECM, the result shows that domestic macroeconomic variables that significantly affect IndonesiaShari’ah compliance for long term, while for international macroeconomic variables the selectedvariable such as FED rate and Dow Jones Index are not significantly affected Indonesia Shari’ahcompliance both in short term and long term. Keywords: Indonesia Shari’ah compliance, Macro Economic Indicators, Impulse Response Function,Stock Price Volatility

  18. A long-term/short-term model for daily electricity prices with dynamic volatility

    Energy Technology Data Exchange (ETDEWEB)

    Schlueter, Stephan

    2010-09-15

    In this paper we introduce a new stochastic long-term/short-term model for short-term electricity prices, and apply it to four major European indices, namely to the German, Dutch, UK and Nordic one. We give evidence that all time series contain certain periodic (mostly annual) patterns, and show how to use the wavelet transform, a tool of multiresolution analysis, for filtering purpose. The wavelet transform is also applied to separate the long-term trend from the short-term oscillation in the seasonal-adjusted log-prices. In all time series we find evidence for dynamic volatility, which we incorporate by using a bivariate GARCH model with constant correlation. Eventually we fit various models from the existing literature to the data, and come to the conclusion that our approach performs best. For the error distribution, the Normal Inverse Gaussian distribution shows the best fit. (author)

  19. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures

    DEFF Research Database (Denmark)

    Andersen, Torben G.; Bollerslev, Tim; Huang, Xin

    Building on realized variance and bi-power variation measures constructed from high-frequency financial prices, we propose a simple reduced form framework for effectively incorporating intraday data into the modeling of daily return volatility. We decompose the total daily return variability...... of an ACH model for the time-varying jump intensities coupled with a relatively simple log-linear structure for the jump sizes. Lastly, we discuss how the resulting reduced form model structure for each of the three components may be used in the construction of out-of-sample forecasts for the total return...

  20. Volatilidad de precios internacionales recibidos por los productores de kiwis y manzanas frescas chilenas Volatility of international prices received by chilean fresh kiwi and apple farmers

    Directory of Open Access Journals (Sweden)

    Germán Lobos Andrade

    2008-03-01

    Full Text Available El objetivo de este trabajo fue analizar el comportamiento de los precios medios FOB y el de los precios medios recibidos por los productores de kiwis y manzanas frescas chilenas, usando datos mensuales del periodo enero 1998 a diciembre 2005. Los valores fueron expresados en moneda de diciembre de 2005 usando como deflactor el WPI de EE.UU. Las series de precios medios recibidos por los productores se estimaron indirectamente restando a los precios medios FOB las comisiones y tarifas de exportación. Como medida de volatilidad se usó la desviación estándar de los retornos (variación de precios continuos de cada serie. Se utilizó el método del promedio geométrico móvil para estimar patrones de estacionalidad ajustada de los precios recibidos por los productores de kiwis y manzanas frescas chilenas. Se observó una mayor volatilidad de los retornos en kiwis (47,5% que en manzanas (17,3%. Los resultados mostraron: a una menor estacionalidad de precios para kiwis que manzanas; b una estabilidad de precios en marzo y desde julio a noviembre para kiwis, y desde febrero a junio y desde agosto a diciembre para manzanas; c un valor máximo en diciembre y más bajo en junio para kiwis, un valor máximo en julio y más bajo en enero para manzanas.The purpose of this study is to analyze the behavior of FOB average prices and the average prices received by fresh kiwi and apple producers, using monthly figures for the period spanning from January 1998 to December 2005. The values were expressed in December 2005 currency rates using the U.S.A. WPI (Wholesale Price Index as a deflator. The series of average prices received by the producers were estimated indirectly by subtracting the commissions and export tariffs from the FOB average prices. As a measure of volatility, the standard deviation of the continuous returns (prices variation of each series was used. The patterns of seasonally adjusted price fluctuations, received by Chilean fresh kiwi and

  1. Essays on price dynamics and consumer search

    Science.gov (United States)

    Lewis, Matthew Stephen

    It has been documented that retail gasoline prices respond more quickly to increases in wholesale price than to decreases. However, there is very little theoretical or empirical evidence identifying the market characteristics responsible for this behavior. Chapter 2 presents a new theoretical model of asymmetric adjustment that empirically matches observed retail gasoline price behavior better than previously suggested explanations. I develop a "reference price" consumer search model that assumes consumers' expectations of prices are based on prices observed during previous purchases. The model predicts that consumers search less when prices are falling. This reduced search results in higher profit margins and therefore causes a slower price response to cost decreases than to cost increases. Chapter 3 discusses the robustness of some of the important assumptions of the reference price search model, and describes the effects of altering these assumptions. Chapter 4 develops testable implications that distinguish my model from two alternative explanations of asymmetric adjustment. The first is a model in which firms temporarily collude using past prices as a focal price. The second theory suggests that increases in wholesale cost volatility reduce consumer search behavior. Using a panel of gas station prices, I estimate the response pattern of prices to a change in costs. Estimates are consistent with the predictions of the reference price search model and contradict the previously suggested explanations of asymmetric price adjustment. Chapter 5 examines the empirical fact that price response varies depending on the current level of profit margins. This fact is contrasted with the common empirical observation that response differs based on the direction of the change in cost. I go on to document that this relationship between price response and margins is observed in gasoline markets across the country.

  2. Modeling the return and volatility of the Greek electricity marginal system price

    Energy Technology Data Exchange (ETDEWEB)

    Theodorou, Petros [Department of Economics, Athens University of Economics and Business, 76, Patission Street, 104 34 Athens (Greece); Karyampas, Dimitrios [School of Economics, Mathematics and Statistics, Birkbeck, University of London (United Kingdom)

    2008-07-15

    Traditional cost based optimization models (WASP) for expansion planning do not allow for mark-to-market valuation and cannot satisfy arbitrage free requirements. This work will fill this gap by developing and estimating models for mark-to-market valuation. Furthermore the present paper examines the return and volatility of the newly born Greek's electricity market's marginal system price. A detailed description of the market mechanism and regulation is used to describe how prices are determined in order to proceed with return and volatility modeling. Continuous time mean reverting and time varying mean reverting stochastic processes have been solved in discrete time processes and estimated econometrically along with ARMAX and GARCH models. It was found that GARCH model gave much better estimation and forecasting ability. Strong persistence in mean has been found giving suspicions of market inefficiency and strong incentives for arbitrage opportunities. Finally, the change in the regulatory framework has been controlled and found to have significant impact. (author)

  3. Quantifying the value that energy efficiency and renewable energy provide as a hedge against volatile natural gas prices

    Energy Technology Data Exchange (ETDEWEB)

    Bolinger, Mark; Wiser, Ryan; Bachrach, Devra; Golove, William

    2002-05-15

    Advocates of energy efficiency and renewable energy have long argued that such technologies can mitigate fuel price risk within a resource portfolio. Such arguments--made with renewed vigor in the wake of unprecedented natural gas price volatility during the winter of 2000/2001--have mostly been qualitative in nature, however, with few attempts to actually quantify the price stability benefit that these sources provide. In evaluating this benefit, it is important to recognize that alternative price hedging instruments are available--in particular, gas-based financial derivatives (futures and swaps) and physical, fixed-price gas contracts. Whether energy efficiency and renewable energy can provide price stability at lower cost than these alternative means is therefore a key question for resource acquisition planners. In this paper we evaluate the cost of hedging gas price risk through financial hedging instruments. To do this, we compare the price of a 10-year natural gas swap (i.e., what it costs to lock in prices over the next 10 years) to a 10-year natural gas price forecast (i.e., what the market is expecting spot natural gas prices to be over the next 10 years). We find that over the past two years natural gas users have had to pay a premium as high as $0.76/mmBtu (0.53/242/kWh at an aggressive 7,000 Btu/kWh heat rate) over expected spot prices to lock in natural gas prices for the next 10 years. This incremental cost to hedge gas price risk exposure is potentially large enough - particularly if incorporated by policymakers and regulators into decision-making practices - to tip the scales away from new investments in variable-price, natural gas-fired generation and in favor of fixed-price investments in energy efficiency and renewable energy.

  4. Intensity of Price and Volatility Spillover Effects in Asia-Pacific Basin Equity Markets

    Directory of Open Access Journals (Sweden)

    Sazali Abidin

    2014-12-01

    Full Text Available This paper investigates the intensity of price and volatility spillover effects in five major stock markets within the Asia Pacific basin region with a particular emphasis in the spillover effects between Australia and China. VAR(5 model is used for measuring the return spillover while AR/VAR model with exogenous variables is employed for measuring the effects of same day returns on return spillover. .In modelling the volatility spillover, we employ AR/GARCH model which also incorporates the same day effects. Results of both return and volatility spillover provide evidence that there are significant spillover effects across different markets in the Asia-Pacific region and as well as between Australia and China. This study also provides support to the view that a market is most affected by other markets that opens/closes just before it. The main contribution of this paper is the confirmation of spillover effects between markets in the region, in particular, the interdependence between Australia and China which may have evolved only recently and thus have received relatively little research attention to date.

  5. Oil-Price Volatility and Macroeconomic Spillovers in Central and Eastern Europe: Evidence from a Multivariate GARCH Model

    Directory of Open Access Journals (Sweden)

    Hegerty Scott W.

    2015-11-01

    Full Text Available Recent commodity price declines have added to worldwide macroeconomic risk, which has had serious effects on both commodity exporters and manufacturers that use oil and raw materials. These effects have been keenly felt in Central and Eastern Europe—particularly in Russia, but also in European Union member states. This study tests for spillovers among commodity-price and macroeconomic volatility by applying a VAR(1-MGARCH model to monthly time series for eight CEE countries. Overall, we find that oil prices do indeed have effects throughout the region, as do spillovers among exchange rates, inflation, interest rates, and output, but that they differ from country to country—particularly when different degrees of transition and integration are considered. While oil prices have a limited impact on the currencies of Russia and Ukraine, they do make a much larger contribution to the two countries’ macroeconomic volatility than do spillovers among the other macroeconomic variables.

  6. Volatility spillovers of rupee-dollar and rupee-euro exchange rates on Indian stock prices: evidence from GARCH model

    OpenAIRE

    I, Sahadudheen I

    2013-01-01

    This paper examines the effect of volatility in both rupee-dollar and rupee-euro exchange rates on stock prices in India using daily data from 3-Apr-2007 to 30-Mar-2012. Adopting a generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) model, the study suggests a negative relationship between exchange rate and stock prices in India. Even though India is a major trade partner of European Union, the study couldn’t find any significant statistical effect...

  7. From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes

    Science.gov (United States)

    Henkel, Christof

    2017-03-01

    We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/excited two state system discussed in the context of quantum mechanics to agent socio-economic behavior and provide microfoundations. After we link the endogenous agent behavior to price dynamics we establish the circumstances under which the dynamics converge to an Itô-diffusion price processes in the large market limit.

  8. DEVELOPMENT OF TIGHT OIL RESOURCES IN USA: PROFITABILITY OF EXPLOITATION AND EFFECT OF MACROECONOMIC INDICATORS IN VOLATILE OIL PRICE ENVIRONMENT

    Directory of Open Access Journals (Sweden)

    Kristina Strpić

    2017-01-01

    Full Text Available Large scale development of tight oil resources in US started after 2010. with following five-year period of favorable steady increase in crude oil price. During this relatively short expansion cycle, operating and capital expenses changed drastically for main tight oil plays due to technological improvements in both well drilling and completion, expansion of service sector as well as loose government monetary policy which allowed favorable financing. This paper analyzed trends in costs during expansion period, as well as correlation of oil price to number of operating rigs and production quotas. After 2008/2009. world financial crisis economy recovery in US was somewhat sluggish and it caused extreme volatile environment in both equity and commodity markets. In such volatile environment intra-day crude oil prices, as well as other commodities and equities, show significant reaction to monthly published macroeconomic indicator reports, which give better overviews of trends in economic recovery. Prior to announcement, these reports always have forecasted value determined by consensus among market analysts. Therefore, any positive or negative surprise in real value tends to influence price of oil. This paper investigated influence of such macroeconomic reports to closing intraday oil price, as well as effect of other important daily market indices. Analysis showed that only Producer Price Index (PPI, among other indicators, has statistical significance of affecting intraday closing oil price.

  9. TRADE POLICY CHANGE AND PRICE VOLATILITY SPILLOVER IN A CUSTOMS UNION: A CASE STUDY OF LAMB TRADE BETWEEN NAMIBIA AND SOUTH AFRICA

    Directory of Open Access Journals (Sweden)

    Rakhal Sarker

    2015-01-01

    Full Text Available Namibia introduced the “Small Stock Marketing Scheme” (SSMS in 2004 which replaced 15% export duty on live sheep exports to South Africa with progressively demanding quantitative restrictions. This policy increased price volatility in the Namibian sheep market. We used relevant monthly price data and employed EGARCH modeling to determine if price volatility spilled-over from the sheep market in Namibia to South African sheep market. About 71 percent of the volatility in the Namibian sheep market is transmitted to the retail market in South Africa and the transmitted volatility remains persistent.

  10. A state space approach to the estimation of multi-factor affine stochastic volatility option pricing models

    NARCIS (Netherlands)

    van der Ploeg, A.P.C.; Boswijk, H.P.; de Jong, F.

    2003-01-01

    We propose a class of stochastic volatility (SV) option pricing models that is more flexible than the more conventional models in different ways. We assume the conditional variance of the stock returns to be driven by an affine function of an arbitrary number of latent factors, which follow mean-rev

  11. Eastern European retailers and wholesalers' buying behaviour

    DEFF Research Database (Denmark)

    Esbjerg, Lars; Stacey, Julia

    1999-01-01

    During the last ten years, retailing in Eastern Europe has undergone considerable changes. The entry of Western European retail chains into Eastern Europe has helped accelerate the distributive trade of Eastern Europe. But what does it take to sell fish and cheese to retailers and wholesalers....... Low prices and favourable terms of payment are most important when retailers in Eastern Europe buy fish and cheese. Then follows the supplier's range of products, trustworthiness of the supplier and product quality. Eastern European wholesalers also rank price and financial conditions as most....... In comparison,Western European retailers prefer doing business with suppliers that are capable of supplying all shops in a chain. Also the question about traceability is decisive.Retailers also prefer doing business with suppliers that are interested in a long-term trade relationship and who are from their own...

  12. Exchange rate volatility and oil prices shocks and its impact on economic sustainability

    Directory of Open Access Journals (Sweden)

    Khuram Shaf

    2015-01-01

    Full Text Available Impact of exchange rate volatility has received a great attention from the last century, its importance is certain in all sectors of the economy and it affects welfare as well as social life of the economy. Exchange rate between two currencies tells the value of one currency in terms of others one. Depreciation/Appreciation of exchange rate affects economic growth in terms of trade and shifts income to/from exporting countries from/to importing countries. The factors affecting exchange rate are inflation, interest rate, foreign direct investment, government consumption expenditure and balance of trade. This research study examines the impact of oil prices and exchange rate volatility on economic growth in Germany based on 40-year annual data. Cointegration technique is applied to check the impact of macroeconomic variables on exchange rate in the long run and short run. It is estimated that imports, exports, inflation, interest rate, government consumption expenditure and foreign direct investment had significant impacts on real effective exchange rate in the long run and short run. Sin addition, Engle Granger results indicate that relationship was significant for the long run and its error correction adjustment mechanism (ECM in short a run is significant and correctly signed for Germany.

  13. Active risk management required. Increasingly volatile gas prices require covering; Aktives Risikomanagement gefragt. Zunehmend volatile Gaspreise erfordern Absicherung

    Energy Technology Data Exchange (ETDEWEB)

    Lange, Michael; Braun, Christoph [Bayern LB, Muenchen (Germany)

    2011-07-01

    There is a change of paradigm going on in the continental European gas market. Gas-to-gas competition is icnreasing and may replace the oil price peg. After a massive price drop, gas prices have soared again since early 2010. Against this background, risk management tools are getting more important. The authors describe natural gas price trends in Europe, as well as their dependence on international parameters, and also present options on how to achieve greater security with financial products.

  14. 国际大宗商品期货价格与中国农产品批发市场价格关系研究%Relationship Between International Bulk Commodity Futures Price and Chinese Agricultural Products Wholesale Market Price

    Institute of Scientific and Technical Information of China (English)

    谭晶荣; 邓强; 王瑞

    2012-01-01

    This paper uses Johansen co-integration test and tiranger causality test to anatyze tne relationship between Commodity Research Bureau Futures Price (CRB) and agricultural products wholesale market price (AWPI) from January 2005 to September 2011. The results show that: 1) CRB (or through CPI ) has a direct effect on AWPI, the longer the lag period, the more significant performance shows, and long-term equilibrium relationship exists; 2) VEC model reflects that deviates from the long-term equilibrium between CRB and AWPI can be modified in the short-term. In addition, the study finds that CRB plays a warning role for domestic agricultural wholesale market prices. enlightenments from the study. Finally, the paper puts forwards some policy%本文通过Johansen协整和Granger因果关系检验,分析了2005年1月至2011年9月国际大宗商品期货价格指数(CRB)与批发价格指数(AWPI)之间的关系,结果表明:CRB对AwPI具有直接或通过CPI的间接传导作用,滞后期越长,表现越显著,并存在长期均衡关系;VEC模型结果表明短期对CRB与AwPI之间长期均衡偏离可以加以修正。此外,研究发现CRB对批发价格具有预警作用,并从中得出政策性启示。

  15. The effect of virtual bidding on forward premiums in the New York wholesale energy market

    Science.gov (United States)

    Knudsen, Andrew D.

    In many parts of the United States, the power industry has been deregulated and replaced with regional wholesale energy markets, where utilities purchase electricity from generators at competitive market rates for subsequent distribution to customers. Numerous studies have shown that in each of these markets, the price of energy purchased in the Day Ahead (futures) market exceeds the price in the Real Time (spot) market on average. The existence of this "forward premium" is evidence of market inefficiency and may indicate participants' aversion to risk in the Real Time market or the exercise of market power by generators. To address this inefficiency, the New York Independent System Operator introduced a virtual bidding system within its wholesale market, which permitted participants to engage in purely financial transactions and hedge their exposure to risk. The new policy was expected to promote price convergence by allowing bidders to arbitrage expected differences between Day Ahead and Real Time prices. This study examines whether the presence of virtual bidding was associated with a change in the mean value and magnitude of forward premiums in the NYISO energy market. The study applies a GARCH model to hourly pricing data from 2001 to 2009, controlling for temperature and economic activity. The results indicate that prior to 2005, virtual bidding was associated with significantly lower and less volatile forward premiums in New York's five most congested zones but with increased premiums in the remaining less congested zones. However, when the entire period from 2001 to 2009 is examined, the results suggest that prices have become significantly more divergent in the presence of virtual bidding. Closer examination of the data reveals a dramatic increase in forward premium volatility across all zones beginning in 2005 that is not accounted for by temperature or economic activity and may have biased the results. This study attempts to account for this unexplained

  16. Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model

    Science.gov (United States)

    Perelló, Josep

    2007-08-01

    The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the return distributions. This paper wants to go further on with the expOU model we have studied in Ref. [J. Masoliver, J. Perelló, Quant. Finance 6 (2006) 423] by exploring an aspect of practical interest. Having as a benchmark the parameters estimated from the Dow Jones daily data, we want to compute the price for the European option. This is actually done by Monte Carlo, running a large number of simulations. Our main interest is to “see” the effects of a long-range market memory from our expOU model in its subsequent European call option. We pay attention to the effects of the existence of a broad range of time scales in the volatility. We find that a richer set of time scales brings the price of the option higher. This appears in clear contrast to the presence of memory in the price itself which makes the price of the option cheaper.

  17. An empirical analysis of freight rate and vessel price volatility transmission in global dry bulk shipping market

    Directory of Open Access Journals (Sweden)

    Lei Dai

    2015-10-01

    Full Text Available Global dry bulk shipping market is an important element of global economy and trade. Since newbuilding and secondhand vessels are often traded as assets and the freight rate is the key determinant of vessel price, it is important for shipping market participants to understand the market dynamics and price transmission mechanism over time to make suitable strategic decisions. To address this issue, a multi-variate GARCH model was applied in this paper to explore the volatility spillover effects across the vessel markets (including newbuilding and secondhand vessel markets and freight market. Specifically, the BEKK parameterization of the multi-variate GARCH model (BEKK GARCH was proposed to capture the volatility transmission effect from the freight market, newbuilding and secondhand vessel markets in the global dry bulk shipping industry. Empirical results reveal that significant volatility transmission effects exist in each market sector, i.e. capesize, panamax, handymax and handysize. Besides, the market volatility transmission mechanism varies among different vessel types. Moreover, some bilateral effects are found in the dry bulk shipping market, showing that lagged variances could affect the current variance in a counterpart market, regardless of the volatility transmission. A simple ratio is proposed to guide investors optimizing their portfolio allocations. The findings in this paper could provide unique insights for investors to understand the market and hedge their portfolios well.

  18. A discrete-time two-factor model for pricing bonds and interest rate derivatives under random volatility

    OpenAIRE

    Heston, Steven L.; Nandi, Saikat

    1999-01-01

    This paper develops a discrete-time two-factor model of interest rates with analytical solutions for bonds and many interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level of the short rate itself. Besides bond and bond futures, the model yields analytical solutions for prices of European options on discount bonds (and futures) as well as other interest rate derivatives such as caps, floors, average rate options, yield curv...

  19. Modelling and forecasting electricity price variability

    Energy Technology Data Exchange (ETDEWEB)

    Haugom, Erik

    2012-07-01

    The liberalization of electricity sectors around the world has induced a need for financial electricity markets. This thesis is mainly focused on calculating, modelling, and predicting volatility for financial electricity prices. The four first essays examine the liberalized Nordic electricity market. The purposes in these papers are to describe some stylized properties of high-frequency financial electricity data and to apply models that can explain and predict variation in volatility. The fifth essay examines how information from high-frequency electricity forward contracts can be used in order to improve electricity spot-price volatility predictions. This essay uses data from the Pennsylvania-New Jersey-Maryland wholesale electricity market in the U.S.A. Essay 1 describes some stylized properties of financial high-frequency electricity prices, their returns and volatilities at the Nordic electricity exchange, Nord Pool. The analyses focus on distribution properties, serial correlation, volatility clustering, the influence of extreme events and seasonality in the various measures. The objective of Essay 2 is to calculate, model, and predict realized volatility of financial electricity prices for quarterly and yearly contracts. The total variation is also separated into continuous and jump variation. Various market measures are also included in the models in order potentially to improve volatility predictions. Essay 3 compares day-ahead predictions of Nord Pool financial electricity price volatility obtained from a GARCH approach with those obtained using standard time-series techniques on realized volatility. The performances of a total of eight models (two representing the GARCH family and six representing standard autoregressive models) are compared and evaluated. Essay 4 examines whether predictions of day-ahead and week-ahead volatility can be improved by additionally including volatility and covariance effects from related financial electricity contracts

  20. Volatility Discovery

    DEFF Research Database (Denmark)

    Dias, Gustavo Fruet; Scherrer, Cristina; Papailias, Fotis

    The price discovery literature investigates how homogenous securities traded on different markets incorporate information into prices. We take this literature one step further and investigate how these markets contribute to stochastic volatility (volatility discovery). We formally show...... that the realized measures from homogenous securities share a fractional stochastic trend, which is a combination of the price and volatility discovery measures. Furthermore, we show that volatility discovery is associated with the way that market participants process information arrival (market sensitivity...

  1. The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps

    DEFF Research Database (Denmark)

    Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    components. We also introduce a new vector HAR (VecHAR) modelfor the resulting simultaneous system, controlling for possible endogeneity of implied volatility inthe forecasting equations. We show that implied volatility is a biased and inefficient forecast in thebond market. However, implied volatility does...... statisticaltechniques are used to separate realized volatility into its continuous sample path and jumpcomponents, thus enhancing forecasting performance. We generalize the heterogeneous autoregressive(HAR) model to include implied volatility as an additional regressor, and to the separateforecasting of the realized...

  2. Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model

    CERN Document Server

    Perello, J

    2006-01-01

    The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the return distributions. This paper wants to go further on with the expOU model we have studied in Ref. 1 by exploring an aspect of practical interest. Having as a benchmark the parameters estimated from the Dow Jones daily data, we want to compute the price for the European option. This is actually done by Monte Carlo, running a large number of simulations. Our main interest is to "see" the effects of a long-range market memory from our expOU model in its subsequent European call option. We pay attention to the effects of the existence of a broad range of time scales in the volatility. We find that a richer set of time scales brings to a higher price of the option. This appears in clear contrast to the presence of memory ...

  3. Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices

    OpenAIRE

    Ghassan, Hassan B.; Alhajhoj, Hassan R.

    2015-01-01

    Understanding the long-run dynamics of OPEC and non-OPEC crude oil prices is important in an era of increased financialization of petroleum markets. Utilizing an ECM within a threshold cointegration and CGARCH errors framework, we provide evidence on the cointegrating relationship and estimate how and to what extent the respective prices adjust to eliminate disequilibrium. Our findings suggest that the adjustment process of OPEC prices to the positive discrepancies is slow which implies that ...

  4. Joint Pricing of VIX and SPX Options with Stochastic Volatility and Jump models

    DEFF Research Database (Denmark)

    Kokholm, Thomas; Stisen, Martin

    2015-01-01

    and variance (SVJJ) are jointly calibrated to market quotes on SPX and VIX options together with VIX futures. The full flexibility of having jumps in both returns and volatility added to a stochastic volatility model is essential. Moreover, we find that the SVJJ model with the Feller condition imposed...

  5. Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels

    DEFF Research Database (Denmark)

    Babaoglu, Kadir Gokhan; Christoffersen, Peter; Heston, Steven

    important and improves option …fit by 18% on average. A U-shaped pricing kernel improves the option fit by 17% on average, and more so for two-factor models. Fat tails improve option …fit by just over 3% on average, and more so when a U-shaped pricing kernel is applied. Our results suggest that the three...

  6. DOES VOLATILITY IN CRUDE OIL PRICE PRECIPITATE MACROECONOMIC PERFORMANCE IN NIGERIA?

    Directory of Open Access Journals (Sweden)

    Joseph Ayoola Omojolaibi

    2013-01-01

    Full Text Available This study examines the effects of crude oil price changes on economic activity in an oil dependent economy-Nigeria. A small open economy structural vector autoregressive (SVAR technique is employed to study the macroeconomic dynamics of domestic price level, economic output, money supply and oil price in Nigeria. The sample covers the data from 1985:q1 to 2010:q4. The Impulse Response Functions (IRFs and the Forecast Error Variance Decompositions (FEVDs results suggest that domestic policies, instead of oil-boom should be blamed for inflation. Also, oil price variations are driven mostly by oil shocks, however, domestic shocks are responsible for a reasonable portion of oil price variations.

  7. The price level and monetary policy

    Directory of Open Access Journals (Sweden)

    Charles P. Kindleberger

    2002-03-01

    Full Text Available Most central banks are required to or choose to stabilize a price index, largely by manipulating short term interest rates. A serious problem is which index to choose among the national income deflator, wholesale prices, the cost of living, with or eliminating highly volatile commodities such as food and energy, to produce a core index, plus others such as housing, including or without imputed rent of owner-occupied houses, or assets, whether equities or houses. No obvious and widely agreed index exists. Even if there were a clear choice, there remains a question whether a central bank should carefully consider action in order to achieve other goals: full employment, adjustment of the balance of payments, of the exchange rate, prevention of bubbles in asset prices, or recovery from financial crises. If so, the question of central bank weapons remains: monetary expansion or contraction, credit controls, for overall or for particular purposes, and moral suasion.

  8. Measuring and testing natural gas and electricity markets volatility : evidence from Alberta's deregulated markets

    Energy Technology Data Exchange (ETDEWEB)

    Serletis, A.; Shahmoradi, A. [Calgary Univ., AB (Canada). Dept. of Economics

    2005-03-01

    A number of innovative methods for modelling spot wholesale electricity prices have recently been developed. However, these models have primarily used a univariate time series approach to the analysis of electricity prices. This paper specified and estimated a multivariate GARCH-M model of natural gas and electricity price changes and their volatilities, using data over the deregulated period between January 1996 to November 2004 from Alberta's spot power and natural gas markets. The primary objective of the model was to investigate the relationship between electricity and natural gas prices. It was noted that the model allows for the possibilities of spillovers and asymmetries in the variance-covariance structure for natural gas and electricity price changes, and also for the separate examination of the effects of the volatility of anticipated and unanticipated changes in natural gas and electricity prices. Section 2 of the paper provided a description of the model used to test for causality between natural gas and electricity price changes, while section 3 discussed the data and presented the empirical results. It was concluded that there is a bidirectional causality between natural gas and electricity price changes. However, neither anticipated nor unanticipated natural gas price volatility causes electricity price changes. Anticipated electricity price volatility has a causal effect on natural gas. 10 refs., 2 tabs., 3 figs.

  9. Calibration of the Volatility in Option Pricing Using the Total Variation Regularization

    Directory of Open Access Journals (Sweden)

    Yu-Hua Zeng

    2014-01-01

    Full Text Available In market transactions, volatility, which is a very important risk measurement in financial economics, has significantly intimate connection with the future risk of the underlying assets. Identifying the implied volatility is a typical PDE inverse problem. In this paper, based on the total variation regularization strategy, a bivariate total variation regularization model is proposed to estimate the implied volatility. We not only prove the existence of the solution, but also provide the necessary condition of the optimal control problem—Euler-Lagrange equation. The stability and convergence analyses for the proposed approach are also given. Finally, numerical experiments have been carried out to show the effectiveness of the method.

  10. Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

    NARCIS (Netherlands)

    M. Asai (Manabu); M.J. McAleer (Michael)

    2013-01-01

    textabstractThe paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace

  11. Liquidity, Volatility and Stock Price Adjustment: Evidence from Seasoned Equity Offerings in an Emerging Market

    OpenAIRE

    Chia-Cheng Ho; Chin-Chuan Lee; Chien-Ting Lin; C. Edward Wang

    2005-01-01

    Using data from the Taiwanese stock market, an emerging market, this paper documents positive changes in liquidity and volatility around seasoned equity offerings (SEOs). These findings are consistent with the uncertain signal hypothesis that investors with diverse views on the information content of SEOs are likely to induce larger trading activity and subsequent higher stock return volatility. We also provide direct evidence that changes in liquidity is positively associated with stock pric...

  12. A Markov switching model of the conditional volatility of crude oil futures prices

    Energy Technology Data Exchange (ETDEWEB)

    Fong, Wai Mun; See, Kim Hock [Department of Finance and Accounting, National University of Singapore, 119260 Kent Ridge Cresent (Singapore)

    2002-01-01

    This paper examines the temporal behaviour of volatility of daily returns on crude oil futures using a generalised regime switching model that allows for abrupt changes in mean and variance, GARCH dynamics, basis-driven time-varying transition probabilities and conditional leptokurtosis. This flexible model enables us to capture many complex features of conditional volatility within a relatively parsimonious set-up. We show that regime shifts are clearly present in the data and dominate GARCH effects. Within the high volatility state, a negative basis is more likely to increase regime persistence than a positive basis, a finding which is consistent with previous empirical research on the theory of storage. The volatility regimes identified by our model correlate well with major events affecting supply and demand for oil. Out-of-sample tests indicate that the regime switching model performs noticeably better than non-switching models regardless of evaluation criteria. We conclude that regime switching models provide a useful framework for the financial historian interested in studying factors behind the evolution of volatility and to oil futures traders interested short-term volatility forecasts.

  13. Volatility Risk

    OpenAIRE

    Zhiguang Wang

    2009-01-01

    Classical capital asset pricing theory tells us that riskaverse investors would require higher returns to compensate for higher risk on an investment. One type of risk is price (return) risk, which reflects uncertainty in the price level and is measured by the volatility (standard deviation) of asset returns. Volatility itself is also known to be random and hence is perceived as another type of risk. Investors can bear price risk in exchange for a higher return. But are investors willing to p...

  14. Long-term Memory and Volatility Clustering in Daily and High-frequency Price Changes

    CERN Document Server

    Oh, G J; Um, C J; Kim, Seunghwann; Oh, GabJin; Um, Cheol-Jun

    2006-01-01

    We study the long-term memory in diverse stock market indices and foreign exchange rates using the Detrended Fluctuation Analysis(DFA). For all daily and high-frequency market data studied, no significant long-term memory property is detected in the return series, while a strong long-term memory property is found in the volatility time series. The possible causes of the long-term memory property are investigated using the return data filtered by the AR(1) model, reflecting the short-term memory property, and the GARCH(1,1) model, reflecting the volatility clustering property, respectively. Notably, we found that the memory effect in the AR(1) filtered return and volatility time series remains unchanged, while the long-term memory property either disappeared or diminished significantly in the volatility series of the GARCH(1,1) filtered data. We also found that in the high-frequency data the long-term memory property may be generated by the volatility clustering as well as higher autocorrelation. Our results i...

  15. Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Jacobs, Kris; Mimouni, Karim

    in the search for alternative specifications. We then estimate the models using maximum likelihood on S&P500 returns. Finally, we employ nonlinear least squares on a panel of option data. In comparison with earlier studies that explicitly solve the filtering problem, we analyze a more comprehensive option data...... set. The scope of our analysis is feasible because of our use of the particle filter. The three sources of data we employ all point to the same conclusion: the SQR model is misspecified. Overall, the best of the alternative volatility specifications is a model with linear rather than square root...... diffusion for variance which we refer to as the VAR model. This model captures the stylized facts in realized volatilities, it performs well in fitting various samples of index returns, and it has the lowest option implied volatility mean squared errors in- and out-of-sample....

  16. ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS

    Directory of Open Access Journals (Sweden)

    Maxim Ioan

    2009-05-01

    Full Text Available In our paper we build a reccurence from generalized Garman equation and discretization of 3-dimensional domain. From reccurence we build an algorithm for computing values of an option based on time, momentan volatility of support and value of support on a

  17. New Evidence on Price and Volatility Effects of Stock Option Introductions

    NARCIS (Netherlands)

    Kabir, M.R.

    1997-01-01

    This paper adds to the literature dealing with the effect of derivatives trading on underlying securities by examining option listings from the Netherlands. The effects on both stock returns and volatility are investigated using three types of samples, namely, listing of call options alone, simultan

  18. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

    NARCIS (Netherlands)

    Jiang, G.J.; van der Sluis, P.J.

    2000-01-01

    This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot interest rate processes. We first estimate the multivariate SV model via the efficient method of moments (EMM) technique based on observations of underlying state variables, and then investigate the

  19. The Impact of Oil Price Volatility on Macroeconomic Activity in Russia

    Directory of Open Access Journals (Sweden)

    Katsuya Ito

    2010-07-01

    Full Text Available Since the beginning of the 1980s a large number of studies using a vector autoregressive (VAR model have been made on the macroeconomic effects of oil price changes. However, surprisingly few studies have so far focused on Russia, the world’s second largest oil exporter. The purpose of this paper is to empirically examine the impact of oil prices on the macroeconomic variables in Russia using the VAR model. The time span covered by the series is from 1994:Q1 to 2009:Q3, giving 63 observations. The analysis leads to the finding that a 1% increase (decrease in oil prices contributes to the depreciation (appreciation of the exchange rate by 0.17% in the long run, whereas it leads to a 0.46% GDP growth (decline. Likewise, we find that in the short run (8 quarters rising oil prices cause not only the GDP growth and the exchange rate depreciation, but also a marginal increase in inflation rate.

  20. Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations

    NARCIS (Netherlands)

    Pistorius, M.; Stolte, J.

    2012-01-01

    We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a number of widely used models. In particular, we use the variance

  1. Pricing long-term options with stochastic volatility and stochastic interest rates

    NARCIS (Netherlands)

    van Haastrecht, A.

    2010-01-01

    The markets for long-term options have expanded tremendously over the last decade. Nowadays many of these derivatives along with pension schemes and insurance products depend on joint changes in stock prices, interest rates and inflation. As a result the dependencies between the underlying assets ha

  2. Irish and British electricity prices: what recent history implies for future prices

    OpenAIRE

    2014-01-01

    PUBLISHED This paper compares retail and wholesale electricity prices in SEM, the market of the island of Ireland, and BETTA in Great Britain. Estimated wholesale costs are much lower in BETTA. We show that this is mostly because the wholesale price in BETTA is set too low to cover generation costs, although it is compensated by large retail margins. The need for substantial new investment in generation in Great Britain suggests that returns to generators will have to increase. This should...

  3. Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices

    CERN Document Server

    Kaizoji, T

    2005-01-01

    The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to August 18, 2004, of (ii) the Dow Jones Industrial Average (DJIA) from January 2, 1946 to August 18, 2004, of (iii) Standard and Poor's 500 index (SP500) from November 22, 1982 to August 18, 2004, and of (iii) the Financial Times Stock Exchange 100 index (FT 100) from April 2, 1984 to August 18, 2004. We divide the time series of each of these indices in the two periods: booms and stagnations, and investigate the statistical properties of absolute log returns, which is a typical measure of volatility, for each period. We find that (i) the tail of the distribution of the absolute log-returns is approximated by a power-law function with the exponent close to 3 in the periods of booms while the distribution is described b...

  4. Volatile behaviour of enrichment uranium in the total nuclear fuel price; Volatilidad de los mercados de Uranio enriquecido. Impactos sobre el coste de combustible

    Energy Technology Data Exchange (ETDEWEB)

    Arnaiz, J.; Inchausti, J. M.; Tarin, F.

    2004-07-01

    In this article the historical high volatile behaviour of the total nuclear fuel price is evaluated quantitatively and it is concluded that it has been due mainly to the fluctuations of the price of the principal components of enriched uranium (concentrates and enrichment). In order to avoid the negative effects of this volatiles behaviour as far as possible, a basic strategy in the uranium procurement activities is recommended (union of buyers, diversification of supplier, stock management, optimisation of contract portfolio and suitable currency management that guarantees a reliable uranium supply at reasonable prices. These guidelines are those that ENUSA has been following on behalf of the Spanish Utilities in the Commission of Uranium Procurement (CAU in Spanish). (Author) 11 refs.

  5. EFFECT OF CAPTIVE SUPPLY ON FARM-TO-WHOLESALE BEEF MARKETING MARGIN

    OpenAIRE

    Pendell, Dustin L.; Schroeder, Ted C.

    2003-01-01

    Debates about captive supplies have been ongoing for more than a decade. This study investigates the effects captive supplies have on the beef farm-to-wholesale marketing margin. A relative price spread (RPS) model is used to estimate beef farm-to-wholesale marketing margins. Estimates indicate that forward contracts and marketing agreements have a small positive relationship with margins that is marginally significant. Packer fed cattle may or may not be related to margins to depending upon ...

  6. The supply function equilibrium and its policy implications for wholesale electricity auctions

    Energy Technology Data Exchange (ETDEWEB)

    Holmberg, Paer [Research Institute of Industrial Economics (IFN), Box 55665, Grevgatan 34, 10215 Stockholm (Sweden); Newbery, David [Faculty of Economics, University of Cambridge, Cambridge (United Kingdom)

    2010-12-15

    The supply function equilibrium provides a game-theoretic model of strategic bidding in oligopolistic wholesale electricity auctions. This paper presents an intuitive account of current understanding and shows how welfare losses depend on the number of firms in the market and their asymmetry. Previous results and general recommendations for divisible-good/multi-unit auctions provides guidance on the design of the auction format, setting the reservation price, the rationing rule, and restrictions on the offer curves in wholesale electricity auctions. (author)

  7. Analysis on the Comparison of Vegetable Price

    Institute of Scientific and Technical Information of China (English)

    Na; LI; Jianmin; SHI

    2013-01-01

    In 2010,the garlic,bean and ginger became more expensive than ever,which made some people’s life harder.In response to such phenomena,the retail price and wholesale price at the producers’ end,the retail price and wholesale price at distributors’ end,and consumption related data(disposable income,consumption expenditure,fresh vegetables amount from 2004 to 2011 were compared and analyzed in this paper.Results showed that the average price(selling price,wholesale price and retail price) of five kinds of vegetables generally rose.There was certain differences in the price change range.Since 2004,especially in 2009 the vegetable prices had been so high that it had influenced the life of low income families in China.

  8. 7 CFR 1206.24 - Wholesaler.

    Science.gov (United States)

    2010-01-01

    ... for sale to other wholesalers, retailers, and foodservice firms. National Mango Promotion Board ... AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE MANGO PROMOTION, RESEARCH, AND INFORMATION Mango Promotion, Research, and Information Order Definitions § 1206.24 Wholesaler....

  9. Measuring Price Changes: A Study of the Price Indexes. Fourth Edition.

    Science.gov (United States)

    Wallace, William H.; Cullison, William E.

    This three-part monograph examines the major price indexes used to measure the intensity of inflation. The first part discusses the recent behavior of prices as measured by the Consumer Price Index (commodities, goods, and services), the Producer Price Index (wholesale prices of crude materials, intermediate materials, supplies, components, and…

  10. Study and Simulation on Dynamics of a Risk-Averse Supply Chain Pricing Model with Dual-Channel and Incomplete Information

    Science.gov (United States)

    Sun, Lijian; Ma, Junhai

    Under the industrial background of dual-channel, volatility in demand of consumers, we use the theory of bifurcations and numerical simulation tools to investigate the dynamic pricing game in a dual-channel supply chain with risk-averse behavior and incomplete information. Due to volatility of demand of consumers, we consider all the players in the supply chain are risk-averse. We assume there exist Bertrand game and Manufacturers’ Stackelberg in the chain which are closer to reality. The main objective of the paper is to investigate the complex influence of the decision parameters such as wholesale price adjustment speed, risk preference and service value on stability of the risk-averse supply chain and average utilities of all the players. We lay emphasis on the influence of chaos on average utilities of all the players which did not appear in previous studies. The dynamic phenomena, such as the bifurcation, chaos and sensitivity to initial values are analyzed by 2D bifurcation phase portraits, Double Largest Lyapunov exponent, basins of attraction and so on. The study shows that the manufacturers should slow down their wholesale price adjustment speed to get more utilities, if the manufacturers are willing to take on more risk, they will get more profits, but they must keep their wholesale prices in a certain range in order to maintain the market stability.

  11. Long memory volatility of gold price returns: How strong is the evidence from distinct economic cycles?

    Science.gov (United States)

    Bentes, Sonia R.

    2016-02-01

    This paper examines the long memory behavior in the volatility of gold returns using daily data for the period 1985-2009. We divided the whole sample into eight sub-samples in order to analyze the robustness and consistency of our results during different crisis periods. This constitutes our main contribution. We cover four major world crises, namely, (i) the US stock market crash of 1987; (ii) the Asian financial crisis of 1997; (iii) the World Trade Center terrorist attack of 2001 and finally, (iv) the sub-prime crisis of 2007, in order to investigate how the fractional integrated parameter of the FIGARCH(1, d,1) model evolves over time. Our findings are twofold: (i) there is evidence of long memory in the conditional variance over the whole sample period; (ii) when we consider the sub-sample analysis, the results show mixed evidence. Thus, for the 1985-2003 period the long memory parameter is positive and statistically significant in the pre-crisis sub-samples, and there is no evidence of long memory in the crisis sub-sample periods; however the reverse pattern occurs for the 2005-2009 period. This highlights the unique characteristics of the 2007 sub-prime crisis.

  12. A study on pricing decision of supply chain based on fairness concern

    Science.gov (United States)

    Yang, Hongxiong; Sun, Xiongle

    2017-03-01

    The fairness concern is introduced into a closed-loop supply chain, which includes a manufacturer and a retailer. This paper study the effect of fairness concern on wholesale price, retail price, recycling prices, manufacturer profits and retails profits under two situation: only the manufacturer is fairness concern and only the retailer is fairness concern. Studies show that: Retailer's fairness concern will reduce the price of the wholesale price, while the retail price and the recycling price unchanged, which led to the retailer to get more supply chain profits. Manufacturers' fairness concerns will raise the wholesale price, thereby increasing the manufacturer's supply chain profit, and the retailer's profit is compromised.

  13. European CO{sub 2} prices and carbon capture investments

    Energy Technology Data Exchange (ETDEWEB)

    Abadie, Luis M.; Chamorro, Jose M. [Bilbao Bizkaia Kutxa, Gran Via, 30, 48009 Bilbao (Spain); University of the Basque Country, Dpt. Fundamentos del Analisis Economico I, Av. Lehendakari Aguirre, 83, 48015 Bilbao (Spain)

    2008-11-15

    We assess the option to install a carbon capture and storage (CCS) unit in a coal-fired power plant operating in a carbon-constrained environment. We consider two sources of risk, namely the price of emission allowance and the price of the electricity output. First we analyse the performance of the EU market for CO{sub 2} emission allowances. Specifically, we focus on the contracts maturing in the Kyoto Protocol's first commitment period (2008 to 2012) and calibrate the underlying parameters of the allowance price process. Then we refer to the Spanish wholesale electricity market and calibrate the parameters of the electricity price process. We use a two-dimensional binomial lattice to derive the optimal investment rule. In particular, we obtain the trigger allowance prices above which it is optimal to install the capture unit immediately. We further analyse the effect of changes in several variables on these critical prices, among them allowance price volatility and a hypothetical government subsidy. We conclude that, at current permit prices, immediate installation does not seem justified from a financial point of view. This need not be the case, though, if carbon market parameters change dramatically, carbon capture technology undergoes significant improvements, and/or a specific governmental policy to promote these units is adopted. (author)

  14. Developing a consumer pricing strategy.

    Science.gov (United States)

    Sturm, Arthur; Tiedemann, Frank

    2013-05-01

    Healthcare providers can learn a variety of pricing lessons from the retail market: For providers, wholesale pricing--"the price to play"--alone is not enough. Once a hospital or health system chooses a market position, the provider creates an expectation that must be met-consistently. Consumer loyalty is fluid, and the price of care or service is not always the motivator for choosing one organization over another; intangibles such as location and level of customer service also drive purchasing decisions.

  15. Analysis of relationships between hourly electricity price and load in deregulated real-time power markets

    Energy Technology Data Exchange (ETDEWEB)

    Lo, K.L.; Wu, Y.K. [University of Strathclyde, Glasgow (United Kingdom). Power Systems Research Group

    2004-07-01

    Risk management in the electric power industry involves measuring the risk for all instruments owned by a company. The value of many of these instruments depends directly on electricity prices. In theory, the wholesale price in a real-time market should reflect the short-run marginal cost. However, most markets are not perfectly competitive, therefore by understanding the degree of correlation between price and physical drivers, electric traders and consumers can manage their risk more effectively and efficiently. Market data from two power-pool architectures, both pre-2003 ISO-NE and Australia's NEM, have been studied. The dynamic character of electricity price is mean-reverting, and consists of intra-day and weekly variations, seasonal fluctuations, and instant jumps. Parts of them are affected by load demands. Hourly signals on both price and load are divided into deterministic and random components with a discrete Fourier transform algorithm. Next, the real-time price-load relationship for periodic and random signals is examined. In addition, time-varying volatility models are constructed on random price and random load with the GARCH model, and the correlation between them analysed. Volatility plays a critical role on evaluating option pricing and risk management. (author)

  16. Study on Spillover Effect of Energy Price Volatility in China and Abroad%国内外能源价格波动溢出效应研究

    Institute of Scientific and Technical Information of China (English)

    王世进

    2013-01-01

    As China's energy consumption is increasingly depending on the international market, price fluctuations in international energy have a significant impact on China' s economic development and the security and sustainable development of China's energy industry. There has been little research on the mutual influence between international energy prices and Chinese domestic energy prices. Based on the Granger causality tests, VAR and DCC-GARCH models, we analyze the influence of international energy price vibration on Chinese energy prices using relevant data and fuels and power purchasing price index. We found a long-running equilibrium relationship and volatility spillover effect between international energy prices and Chinese energy prices, and one-way price leading relationship exists between both in the short term. With the rapid development of China's energy industry and innovation and market development of energy derivatives, demand for energy price hedging instruments in domestic energy industry will become more urgent. Borrowing from international models, China will be able to firmly grasp the energy pricing right to maintain the secure development of its energy industry and speed up the rapid integration of China's energy pricing mechanism with the international energy market. This approach will better reflect the demands of China's energy market and effectively guarantee the healthy and orderly development of China's energy industry and stable economic development. We conclude by suggesting energy legislation, energy cooperation with consumption countries, and the promotion of an energy derivatives futures market in order to maintain the healthy development of the energy industry.%本文利用相关数据及燃料、动力类购进价格指数,运用Granger因果检验,VAR和DCC-GARCH模型,分析了国际能源价格波动对我国能源价格平衡的影响.通过研究,表明国际能源价格与我国能源价格间存在长期的稳定协整关系和双

  17. How Well Does the Price of Unleaded Gasoline Predict the Price of Ethanol?

    OpenAIRE

    Swenson, David A.

    2008-01-01

    This paper looks at the historical relationship of unleaded gasoline prices relative to ethanol prices. It uses several basic measures to determine the usefulness of wholesale unleaded gasoline price as a determinant of ethanol price, and it looks at the stability of that simple model over this decade.

  18. Evaluation of the price volatility of short-term in Brazil and its relation with the thermal generation; Avaliacao da volatilidade do preco de curto prazo no Brasil e sua relacao com a geracao termica

    Energy Technology Data Exchange (ETDEWEB)

    Heideier, R.B.; Prado, F.A.A.; Saidel, M.A.; Ueocka, M.Z. [Universidade de Sao Paulo (EPUSP), SP (Brazil). Escola Politecnica. Dept. de Energia e Automacao Eletricas], E-mails: fernando@sinerconsult.com.br, saidel@pea.usp.br, marcos.ueocka@poli.usp.br

    2009-07-01

    This article evaluate the intensity of volatility of the electric power prices in the short term market in selected countries. It were analyzed historical series of monthly prices of major energy markets worldwide, with assessment of the energy matrix of each region. The study, by analysis of data entry program for optimizing the operation of the SIN (NEWAVE and DECOM), concludes that the price volatility in short-term in Brazil is marked by the large variation of thermal power available, especially the lack of natural gas.

  19. The Dark Side of Bank Wholesale Funding

    NARCIS (Netherlands)

    Huang, R.; Ratnovksi, L.

    2009-01-01

    Commercial banks increasingly use short-term wholesale funds to supplement traditional retail deposits. Existing literature mainly points to the "bright side" of wholesale funding: sophisticated financiers can monitor banks, disciplining bad ones but refinancing solvent ones. This paper models a "da

  20. 75 FR 63805 - Annual Wholesale Trade Survey

    Science.gov (United States)

    2010-10-18

    ... Bureau of the Census Annual Wholesale Trade Survey AGENCY: Bureau of the Census, Commerce. ACTION: Notice... to conduct the 2010 Annual Wholesale Trade Survey (AWTS). AWTS covers firms with establishments...; manufacturers' sales branches and offices; and agents, brokers, and electronic markets. Through this survey,...

  1. Wholesale electricity markets in Europe; Mercados Mayoristas de Electricidad en Europa

    Energy Technology Data Exchange (ETDEWEB)

    Rios, J. L.

    2010-07-01

    Electricity Wholesale Markets provide efficient operation of power stations, facilitate hedging instruments for generators and retailers and deliver price signals for new investments. Despite having a common regulatory framework at European level whose last aim is a single electricity market, Wholesale markets have been unevenly developed in each Member State. The evolution form a spot-based market towards a forward-based market needs a certain level of liquidity, transparency and regulatory stability. Interconnections are the key element to promote the integration of electricity markets. To facilitate this, European Regional Initiatives have pushed regulatory harmonization between countries and market coupling projects. (Author)

  2. Il livello dei prezzi e la politica monetaria (The Price Level and Monetary Policy

    Directory of Open Access Journals (Sweden)

    Charles P. Kindleberger

    2002-06-01

    Full Text Available Most central banks are required or choose to stabilize a price index, largely by manipulating short term interest rates. A serious problem is what index to choose among the national income deflator, wholesale prices, the cost of living, with or eliminating highly volatile commodities such as food and energy, to produce a core index, plus others such as housing, including or without imputed rent of owner-occupied houses, or assets, whether equities or houses. No obvious and widely agreed index exists. Even if there were a clear choice, there remains a question whether a central bank should carefully consider action to achieve other goals: full employment, adjustment of the balance of payments, of the exchange rate, prevention of bubbles in asset prices, or recovery from financial crises. If so, the question of central bank weapons remains: monetary expansion or contraction, credit controls, overall or for particular purposes, and moral suasion.

  3. Retail and wholesale buying behaviour for two different food products in six Eastern European countries

    DEFF Research Database (Denmark)

    Esbjerg, Lars; Skytte, Hans

    functions found between retailers were also found for wholesalers. The most important evaluative criteria used by wholesale buyers are price and financial requirements, quality, reliability of suppliers and marketing support offered. 7. The paper concludes with a discussion of managerial and theoretical...... implications and areas for future research. We propose that in the long term, the best strategy for Danish food exporters is to approach a number of key retailers and establish close relationships with these retailers in order to fulfil their specific requirements. Theoretically, we conclude that retail...... and wholesale buying behaviour in Eastern Europe can be analysed using concepts developed for studying retail buying behaviour in Western Europe. Finally, we believe that further research is needed regarding the importance of individual criteria, the relationship between economic development and the buying...

  4. DOES WTI OIL PRICE RETURNS VOLATILITY SPILLOVER TO THE EXCHANGE RATE AND STOCK INDEX IN THE US?

    Directory of Open Access Journals (Sweden)

    Ching-Chun Wei

    2014-04-01

    Full Text Available The purpose of this paper is to examine whether the volatility of the West Texas Intermediate oil spot returns (WTIR is affected by the Texas Light Sweet oil futures returns (FUR, the exchange rate returns between the US dollar and the Euro (ERR, and the S&P 500 energy index returns (EIR, and if any of those have changed over time. The daily data of the WTIR, the FUR, the ERR, and the EIR between the period of January 4, 2000 and September 30, 2009, were utilized. The empirical results of the multivariate GARCH of the BEKK model indicated that the WTIR is significantly affected by its own past volatility, and by the volatility of FUR, ERR, and EIR. Most likely, WTIR employs a structural conversion in our dummy variable for selected time points. This suggests that investors could use the FUR’s past volatility as a basis for WTIR purchase. In addition, the changes in ERR’s and EIR’s past volatility can be partially used as a basis for the same purpose.

  5. Vertical Price Transmission in Local Rice Markets in Cote d'Ivoire: Are Consumers Really Right?

    Directory of Open Access Journals (Sweden)

    Yaya KEHO

    2012-12-01

    Full Text Available This paper analyses vertical relationships between wholesale and retail prices in three local rice markets in Côte d’Ivoire. The aim of the paper is to ascertain whether the popular complaint of consumers about the asymmetric price transmission holds true. Our empirical analysis makes use of threshold cointegration and error correction models and monthly data for the period 1990-1999. We found that wholesale and retail prices are cointegrated and increases in wholesale prices are passed on to retail prices more quickly than decreases.

  6. Dynamics and impacts of fine-scale climate change: greenhouse forcing, heat-waves, and corn price volatility in the United States

    Science.gov (United States)

    Diffenbaugh, N. S.; Ashfaq, M.; Hertel, T. W.; Scherer, M.; Verma, M.

    2012-12-01

    We explore the use of climate impacts as a probe for understanding the dynamics governing the response of the climate system to changes in radiative forcing. As a case study, we focus on the volatility of corn prices in the U.S. Recent price spikes have raised concern that climate change could increase food insecurity by reducing grain yields in the coming decades. However, commodity price volatility is also influenced by other factors, which may either exacerbate or buffer the effects of climate change. Here we show that US corn price volatility exhibits higher sensitivity to near-term climate change than to energy policy influences or agriculture-energy market integration, and that the presence of a biofuels mandate enhances the sensitivity to climate change by more than 50%. The climate change impact is driven primarily by intensification of severe hot conditions in the primary corn-growing region of the US, which causes US corn price volatility to increase sharply in response to global warming projected to occur over the next three decades. Given this sensitivity to severe heat, we next explore the dynamics shaping the projected near-term intensification of severe heat over the US in our high-resolution ensemble climate model experiment. We find that the intensification of hot extremes is associated not only with increased downward long-wave radiation from increasing greenhouse gases, but also with a shift towards more anticyclonic atmospheric circulation during the warm season, along with warm season drying over much of the US. We find that the coupling between surface temperature change and surface moisture change is robust across a suite of global climate model experiments. Given these projected changes in climate dynamics associated with near-term intensification of severe hot events, we next explore the transient response of summer climate in the US to increasing greenhouse forcing through the end of the 21st century. We find that the central US exhibits

  7. A pricing policy towards the sourcing of cheaper drugs in Cyprus.

    Science.gov (United States)

    Merkur, Sherry; Mossialos, Elias

    2007-05-01

    In contrast to other EU countries, Cyprus lacks comprehensive health care coverage for its population, thus a significant portion of the population lacks insurance for medicines. Due to the small size of the country and small indigenous pharmaceutical industry, pharmaceuticals are mainly imported. Prices in the private sector are determined based on the ex-factory price from the country of origin. Distribution margins are calculated as a percentage of the import price, which creates perverse incentives for wholesalers to import products from high price countries, or import very expensive products, to maximize their income. In this article, we compare pharmaceutical prices in Cyprus to other EU counties with higher or similar GDP per capita and found Cyprus to be a high price country. We then propose a new pricing system to change wholesaler incentives, which would encourage them to shop around for the best buy in Europe. Prices can be set based on average prices from a basket of European countries, and adjusted to reflect the GDP per capita level in Cyprus. This will establish the wholesale price that the government will accept, and wholesalers can procure products from any country at a lower rate. Thus, wholesalers would be encouraged to go for the lowest prices and the authorities would be indifferent to the actual price they obtain, so long as the necessary criteria (good manufacturing practice, safety, effectiveness and efficacy) are met. Our proposal has implications for low and middle income countries where this system of pharmaceutical pricing and wholesaler incentives can be used.

  8. Essays on pricing electricity and electricity derivatives in deregulated markets

    Science.gov (United States)

    Popova, Julia

    2008-10-01

    wholesale electricity prices. It is well known that electricity prices exhibit both cyclicity and high volatility which varies through time. Results indicate that heterogeneity in unconditional variance---which is not detected by classical unit root tests---may contribute to the appearance of non-stationarity.

  9. Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models

    OpenAIRE

    Friedrich Hubalek; Petra Posedel

    2008-01-01

    We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of unobservable instantaneous variance. We develop an explicit estimator based on martingale estimating functions in a bivariate model that is not a diffusion, but admits jumps. It is assumed that both the quantities are observed on a discrete grid of fixed width, a...

  10. Price Transmission Analysis in the Fresh Vegetable Supply Chain of Saudi Arabia

    OpenAIRE

    Alhashim, Jawad; Saghaian, Sayed

    2015-01-01

    Price transmission studies focus on how price variation at one marketing level affects the prices at other levels, either vertically or horizontally. Price movement among farms, wholesale, and retail levels is indicative of vertical price transmission. Any change in the farmer’s price is reflected in the final consumer’s price. Asymmetric price transmission (APT) can occur anywhere along the supply chain. The objective of this study is to explore the existence of APT for selected fresh vegeta...

  11. Projecto empresa: financiamento wholesale & retalho

    OpenAIRE

    Rias, João Paulo de Oliveira Andrade

    2012-01-01

    Projeto de Mestrado em Gestão Empresarial / JEL Classification System: A - General Economics and Teaching; A2 - Economic Education and Teaching of Economics; A20 – General D – Microeconomics; D4 - Market Structure and Pricing; D49 - Other G - Financial Economics; G2 - Financial Institutions and Services; G21 - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages O tema desta dissertação é a capacidade de leverage1 que a linha de negócio do financiament...

  12. Price leadership within a marketing channel: A cointegration study

    NARCIS (Netherlands)

    Kuiper, W.E.; Meulenberg, M.T.G.

    2004-01-01

    Building upon a multiple-product channel structure, this paper develops a model to test channel price leadership on the basis of time series observations on retail and wholesale prices and using absence of double marginalisation as a criterion for channel price leadership. The model studies

  13. Price leadership within a marketing channel: A cointegration study

    NARCIS (Netherlands)

    Kuiper, W.E.; Meulenberg, M.T.G.

    2004-01-01

    Building upon a multiple-product channel structure, this paper develops a model to test channel price leadership on the basis of time series observations on retail and wholesale prices and using absence of double marginalisation as a criterion for channel price leadership. The model studies strategi

  14. Price leadership within a marketing channel: A cointegration study

    NARCIS (Netherlands)

    Kuiper, W.E.; Meulenberg, M.T.G.

    2004-01-01

    Building upon a multiple-product channel structure, this paper develops a model to test channel price leadership on the basis of time series observations on retail and wholesale prices and using absence of double marginalisation as a criterion for channel price leadership. The model studies strategi

  15. 国际粮食价格波动、趋势与对策研究%The international food price volatility, trend and countermeasures research

    Institute of Scientific and Technical Information of China (English)

    赵闰; 华树春; 石研研

    2013-01-01

    International food prices relatively stable in the first half of 2010, the second half of a comprehensive and rapid rise, enter the price kept rising sharply in 2011. In 2012 because of the severe failure of grain and other food exporters suffered a drought, food prices con-tinue to rise. A weaker dollar and global excess liquidity is a major cause of the food price volatility;In addition, the development of agricul-tural machinery, food production, capital speculation, food export restrictions, and development of biomass energy is also important factor. The next year, the international market of wheat, soybean prices may continue to fall, but the average price of corn will from this year will continue to rise, especially rice prices may hit a record high. Therefore, our country should continue to increase support for major grain-pro-ducing areas, strengthen the development of agricultural mechanization, efforts to prepare for food market regulation and control work, we will continue to improve the grain market monitoring function, establish and improve the grain market risk management mechanism.%2010年上半年国际粮食价格相对稳定、下半年出现全面快速上涨,进入2011年价格仍保持大幅上涨态势。2012年因美国粮食出现严重欠收及其他粮食出口大国遭遇干旱,导致粮食价格持续出现上涨局面。美元贬值和全球流动性过剩是粮食价格波动的主因;此外,农业机械化发展、粮食减产、资本投机、粮食出口限制及发展生物质能源等也是重要因素。未来年度,国际市场小麦、大豆价格可能回落,但玉米价格均值将较2013年会继续上涨,尤其大米价格可能创出新高。为此,我国应继续加大对粮食主产区的支持力度,加大农业机械化的发展步伐,努力作好粮食市场调控工作,继续完善粮食市场监测功能,建立健全粮食市场风险管理机制。

  16. Price forecast and pricing models on the options exchange for electric power. Information material - documentation; Preisprognose und Preismodelle am Stromterminmarkt. Materialienband

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2006-07-01

    The development of the future prices for electric power calls for a continuous analysis of the market. The quantities to be sold are purchased directly on the wholesale-trading market or via models indicating the development of the wholesale trading prices. A professional and risk-adjusted control of the portfolio is the central module in order to get the right position in the increasing competition. Within the options trading, forecasting the electric power prices is of central importance.

  17. Volatility Spillover Research on NYMEX Crude Oil Prices and US Dollar Index Based on CARRX Model%基于CARRX模型的NYMEX原油价格和美元指数的波动溢出研究

    Institute of Scientific and Technical Information of China (English)

    郭名媛; 蒲赢健

    2016-01-01

    Exchange rate plays an important role in petroleum transaction.The relations between petroleum prices and exchange rates have gradually become a research focus in the recent years.An empirical results are concluded by adopting CARRX model to conduct related research on volatility spillover between crude oil prices and exchange rates,and assuming residual erro of model respectively obeying standard exponen-tial distribution,standard Weibull distribution and standardized and generalized Gamma distribution,which indicate that,first,there are volatility spillover relations between crude oil prices and exchange rates.Sec-ond,the effect of volatility spillover of exchange rates on crude oil prices is stronger than the effect of vola-tility spillover of crude oil prices on exchange rates.%汇率在石油交易中扮演着重要的角色,二者的关系在近年来逐渐成为研究热点.采用CARRX模型对原油价格和汇率之间的波动溢出进行相关研究,并假设模型残差项分别服从标准指数分布、标准Weibull分布和标准化的广义Gamma分布.实证结果表明:首先,原油价格与汇率之间存在波动溢出关系;其次,汇率对原油价格的波动溢出作用要强于原油价格对汇率的波动溢出.

  18. Short-term differences in drug prices after implementation of the national essential medicines system: A case study in rural Jiangxi Province, China

    Directory of Open Access Journals (Sweden)

    Junyong Wang

    2015-01-01

    Conclusion: While the NEMS zero-markup policy significantly reduced retail prices at pilot health institutions, the centralized bidding system was insufficient to lower wholesale prices. A drug price management system should be constructed to control medicine prices and a long-term price information system is needed to monitor price changes.

  19. 房地产价格波动与宏观经济稳定性的联动效应%The Influence of Housing Price Volatility on Macroeconomic Stability

    Institute of Scientific and Technical Information of China (English)

    齐讴歌; 白永秀

    2014-01-01

    房地产市场的特殊性使得房地产价格波动对宏观经济稳定构成潜在影响。本文通过构建Structural-VAR-MVGARCH-BEKK模型,从均值(一阶矩)和波动(二阶矩)两个层面考察了房地产价格波动与产出、通胀、货币供给之间的互动关系。实证结果显示,在均值层面上,房地产价格对产出的影响不是很明显,对通胀具有显著的正向推动作用,其与货币供给之间呈现反向关系;在波动层面,房地产价格与宏观变量之间存在显著的溢出效应,波动关系紧密。%The Unique Character of Real Estate Market Makes Housing Price Volatility has Potential Influ-ence to Macroeconomic Stability .The Paper Analyzes the Correlation between Housing Price and Macro-economic Variables Such as GDP , Inflation and Monetary Supply through Mean and Volatility Perspective on the Basis of Structural -VAR-MVGARCH-BEKK Model .The Empirical Result shows that in the Mean Perspective , Housing Price has no obvious impact to GDP , but Significant Positive Relation with Inflation and Negative Relation with Monetary Supply .In the Perspective of Volatility , Housing Price Volatility has Significant Spillover Effect with Macroeconomic Variables .

  20. Functioning of the Finnish electricity wholesale markets; Saehkoen tukkumarkkinan toimivuus Suomessa

    Energy Technology Data Exchange (ETDEWEB)

    Vehvilainen, I.; Broeckl, M.; Hakala, L.; Vanhanen, J.

    2012-12-15

    The purpose of common Nordic electricity market has been to increase competition and efficiency. Market seems to be moving to the opposite direction in the 2010s. Wholesale market has become more fragmented as the market is split to larger number of price areas more often. Poor functioning of the wholesale markets is also the largest contributor to problems in the retail market. Politicians, market regulators, transmission system operators, and market players need to take action to improve the functioning of the market. Separation of price areas reduces competition in all market areas. The Finnish wholesale market is moderately or highly concentrated when Finland is separated from other price areas. Concentration is moderate, if all production capacity is considered. If only price setting hydropower and condensing power capacity are considered, the market is highly concentrated. High concentration can provide opportunities for the biggest producers to use strategic bidding to increase market prices. Larger number of price areas has reduced competition and liquidity with the financial area price products or CfDs. Poor functioning of CfD markets is emphasized by the low competition within the price areas. Bottlenecks between market areas create income for the Transmission System Operators (TSOs) that are responsible of the border transmissions. TSOs have no economic incentives to maintain and repair the border transmission lines, which seems peculiar when compared to e.g. regulation of electricity distribution companies. Finnish Fingrid shows a good example on transparent disclosure of received income and how the accrued funds are used. Import of electricity from Russia to Finland has been reduced since the end of 2011 because of the changes made in the Russian electricity market. Market liberalization in Russia has lead to a market structure that is different from the Nordic markets. Despite the differences, the two markets are becoming more integrated as the

  1. Modeling the Effect of Oil Price on Global Fertilizer Prices

    NARCIS (Netherlands)

    P-Y. Chen (Ping-Yu); C-L. Chang (Chia-Lin); C-C. Chen (Chi-Chung); M.J. McAleer (Michael)

    2010-01-01

    textabstractThe main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model, and alternative volatility models, including the

  2. PRICE AND PRICING STRATEGIES

    OpenAIRE

    Titus SUCIU

    2013-01-01

    In individual companies, price is one significant factor in achieving marketing success. In many purchase situations, price can be of great importance to customers. Marketers must establish pricing strategies that are compatible with the rest of the marketing mix. Management should decide whether to charge the same price to all similar buyers of identical quantities of a product (a one-price strategy) or to set different prices (a flexible price strategy). Many organizations, especially retai...

  3. PRICE AND PRICING STRATEGIES

    OpenAIRE

    Titus SUCIU

    2013-01-01

    In individual companies, price is one significant factor in achieving marketing success. In many purchase situations, price can be of great importance to customers. Marketers must establish pricing strategies that are compatible with the rest of the marketing mix. Management should decide whether to charge the same price to all similar buyers of identical quantities of a product (a one-price strategy) or to set different prices (a flexible price strategy). Many organizations, especially retai...

  4. Comparison of United States and Canadian Glaucoma Medication Costs and Price Change from 2006 to 2013

    Directory of Open Access Journals (Sweden)

    Matthew B. Schlenker

    2015-01-01

    Full Text Available Objective. Compare glaucoma medication costs between the United States (USA and Canada. Methods. We modelled glaucoma brand name and generic medication annual costs in the USA and Canada based on October 2013 Costco prices and previously reported bottle overfill rates, drops per mL, and wastage adjustment. We also calculated real wholesale price changes from 2006 to 2013 based on the Average Wholesale Price (USA and the Ontario Drug Benefit Price (Canada. Results. US brand name medication costs were on average 4x more than Canadian medication costs (range: 1.9x–6.9x, averaging a cost difference of $859 annually. US generic costs were on average the same as Canadian costs, though variation exists. US brand name wholesale prices increased from 2006 to 2013 more than Canadian prices (US range: 29%–349%; Canadian range: 9%–16%. US generic wholesale prices increased modestly (US range: −23%–58%, and Canadian wholesale prices decreased (Canadian range: −38%–0%. Conclusions. US brand name glaucoma medications are more expensive than Canadian medications, though generic costs are similar (with some variation. The real prices of brand name medications increased more in the USA than in Canada. Generic price changes were more modest, with real prices actually decreasing in Canada.

  5. Il livello dei prezzi e la politica monetaria (The Price Level and Monetary Policy

    Directory of Open Access Journals (Sweden)

    Charles P. Kindleberger

    2012-04-01

    Full Text Available Most central banks are required or choose to stabilize a price index, largely by manipulating short term interest rates. A serious problem is what index to choose among the national income deflator, wholesale prices, the cost of living, with or eliminating highly volatile commodities such as food and energy, to produce a core index, plus others such as housing, including or without imputed rent of owner-occupied houses, or assets, whether equities or houses. No obvious and widely agreed index exists. Even if there were a clear choice, there remains a question whether a central bank should carefully consider action to achieve other goals: full employment, adjustment of the balance of payments, of the exchange rate, prevention of bubbles in asset prices, or recovery from financial crises. If so, the question of central bank weapons remains: monetary expansion or contraction, credit controls, overall or for particular purposes, and moral suasion.  JEL Codes: E31, E52Keywords: Cost of Living, Interest Rates, Interest; Monetary Policy, Monetary, Policy, Price Level, Prices

  6. On guidance and volatility

    NARCIS (Netherlands)

    Billings, M.B.; Jennings, R.; Lev, B.

    2013-01-01

    Survey evidence suggests that managers voluntarily disclose information, particularly earnings guidance, with an aim toward dampening share price volatility. Yet, consultants and influential institutions advise against providing guidance — citing fears of litigation and market penalties associated w

  7. The Effect of Exchange Rate Volatility on Iran’s Raisin Export

    Directory of Open Access Journals (Sweden)

    2014-10-01

    Full Text Available Exchange rate volatility is one of the effective and ambiguous factors in agricultural product export. Considering the importance of agricultural trade to avoid single-product economy, the main aim of this study was to investigate the impact of exchange rate volatility on the Raisin export of Iran during the years1959-2011. For this purpose, exchange rate volatility index was estimated using Moving Average Standard Deviation (MASD. Then, the impact of exchange rate volatility on the value of Raisin export was examined using Johansen's and Juselius's cointegration method and Vector Error Correction Model (VECM.The results showed that in the long-term and short-term there is a significant relationship between Raisin exports and its main variables (weighted average of Gross income of importers, Wholesale Prices, real exchange rate, Value-added of agricultural sector; as according to the theory it has negative relationship with exchange rate volatility. The error correction coefficient sentence ECM (-1 significantly and its sign was negative as expected. The value of this coefficient is equal to the -0/20 and indicates that about 20 percent of Raisin exports imbalance from its long-term value, after of a period will be Elapse.

  8. Prices and Price Setting

    NARCIS (Netherlands)

    R.P. Faber (Riemer)

    2010-01-01

    textabstractThis thesis studies price data and tries to unravel the underlying economic processes of why firms have chosen these prices. It focuses on three aspects of price setting. First, it studies whether the existence of a suggested price has a coordinating effect on the prices of firms. Second

  9. Cotton Pricing Discussion

    Institute of Scientific and Technical Information of China (English)

    2010-01-01

    @@ Cotton prices have received a lot of attention recently.Cotton Incorporated especically designed this Special Edition of Supply Chain Insights to frame the discussion concerning prices throughout the cotton supply chain in terms of the cyclical events that contributed to recent volatility and how a return to long-term averages over time can be expected.

  10. Oil price shocks and stock market activity

    Energy Technology Data Exchange (ETDEWEB)

    Sadorsky, P. [Schulich School of Business, York University, Toronto, ON (Canada)

    1999-10-01

    Results from a vector autoregression show that oil prices and oil price volatility both play important roles in affecting real stock returns. There is evidence that oil price dynamics have changed. After 1986, oil price movements explain a larger fraction of the forecast error variance in real stock returns than do interest rates. There is also evidence that oil price volatility shocks have asymmetric effects on the economy. 29 refs.

  11. Price vs. quantity competition in a vertically related market

    OpenAIRE

    Alipranti, Maria; Milliou, Chrysovalantou; Petrakis, Emmanuel

    2014-01-01

    This paper demonstrates that the standard conclusions regarding the comparison of Cournot and Bertrand competition are reversed in a vertically related market with upstream monopoly and trading via two-part tariffs. In such a market, downstream Cournot competition yields higher output, lower wholesale prices, lower final prices, higher consumers' surplus, and higher total welfare than Bertrand competition.

  12. Vertical price transmission in the Danish food chain

    DEFF Research Database (Denmark)

    Jensen, Jørgen Dejgård; Møller, Anja Skadkær

    2005-01-01

    This purpose of this paper is to investigate price transmission patterns through selected Danish food chains – from primary production to processing, from processing to wholesale and from wholesale to retail prices. Specifically, the study addresses the following research questions: To what extent...... are commodity prices transmitted from one stage to another in the food chain? What is the time horizon in the price transmission? Is price transmission symmetric – in the short run and in the long run? Is the degree of price transmission affected by the degree of concentration in the supply and demand stage...... considered? These questions are analysed theoretically and empirically using econometric analysis. 6 food chains are investigated: pork, chicken, eggs, milk, sugar and apples. Preliminary empirical results suggest that for most commodities, price transmission tends to be upward asymmetric, i.e. stronger...

  13. Price Transmission Process in Vertical Markets: an Empirical Analysis of Onion Markets in Tamil Nadu State (India

    Directory of Open Access Journals (Sweden)

    Srinivasulu Rajendran

    2015-02-01

    Full Text Available The objective of the paper is to examine price transmission process between wholesale and retail markets by adopting Asymmetric Price Transmission (APT Model.  The paper has taken a case of Onion ((Allium cepa L. wholesale and retail markets in Tamil Nadu state, India.   The paper used wholesale and retail prices data from secondary sources.  The results show that high margin at retail and wholesale levels of prices points to possibility of distortion in prices which may lead to an asymmetric process in the vertical market. The speed and magnitude of price changes and also the type of asymmetry in the vertical market system has identified the presence of both positive and negative asymmetry. With respect to speed, where the markets have shown negative asymmetry, there is evidence of retail prices responding much faster to decrease in wholesale prices than to increases in wholesale prices. Where a positive asymmetry holds, the result is the opposite. Keywords: Vegetables, Asymmetry, Efficiency, Market Integration and Symmetry 

  14. New wholesale power market design using linked forward markets :

    Energy Technology Data Exchange (ETDEWEB)

    Silva Monroy, Cesar Augusto; Loose, Verne William; Ellison, James F.; Elliott, Ryan Thomas; Byrne, Raymond Harry; Guttromson, Ross; Tesfatsion, Leigh S.

    2013-04-01

    This report proposes a reformulation of U.S. ISO/RTO-managed wholesale electric power mar- kets for improved reliability and e ciency of system operations. Current markets do not specify or compensate primary frequency response. They also unnecessarily limit the participation of new technologies in reserve markets and o er insu cient economic inducements for new capacity invest- ment. In the proposed market reformulation, energy products are represented as physically-covered rm contracts and reserve products as physically-covered call option contracts. Trading of these products is supported by a backbone of linked ISO/RTO-managed forward markets with planning horizons ranging from multiple years to minutes ahead. A principal advantage of this reformulation is that reserve needs can be speci ed in detail, and resources can o er the services for which they are best suited, without being forced to conform to rigid reserve product de nitions. This should improve the business case for electric energy storage and other emerging technologies to provide reserve. In addition, the facilitation of price discovery should help to ensure e cient energy/reserve procurement and adequate levels of new capacity investment.

  15. The Ecuador electric wholesaler market: the financial equilibrium problems; O mercado eletrico atacadista equatoriano: a problematica de equilibrio financeiro

    Energy Technology Data Exchange (ETDEWEB)

    Irrazabal Bohorquez, Washington Orlando; Azevedo, Erick Menezes de [Universidade Federal de Itajuba (UNIFEI), MG (Brazil)]. E-mails: wirraz@yahoo.com; erickazevedo@unifei.edu.br

    2006-07-01

    The paper presents the established debt among the different actors of the Ecuadorian Electric Wholesaler Market, the tariff deficit by the application of the tariffs that established prices below the objective tariffs, the un accomplish with the times predicted and the maintenance and the expansion plans for the generation, transmission and distribution systems. An attempt was made for proposal medium and long terms for the stimulation of new inversions guaranteeing the supply the Ecuadorian electric demand and to get the market financial equilibrium.

  16. Supplier pricing based on threshold cointegration in agri-supply chain

    Institute of Scientific and Technical Information of China (English)

    LENG Zhi-jie; TANG Huan-wen

    2008-01-01

    Aiming at the pricing of primary agricultural products for the large-scale suppliers and the wholesalers in agri-supply chain management, an approach for the large-scale supplier pricing is presented based on the threshold cointegration method of wholesale prices online including the GBand-TAR modified Band-TAR model. Our empirical work shows that it is more appropriate for a large-scale supplier pricing with his wholesalers based on the threshold cointegration method than the conventional linear cointegratiun method in spatially separate markets in an agri-supply chain of soybean in China in short time. Firstly, the three pairs of prices in spatially separate markets are of long-run equilibrium and threshold cointcgration. The forecast lest shows that the thresh-old cointegration approach is superior to the conventional linear cointegration approach in short time. Secondly, there are two thresholds of GBand-TAR in which the threshuht parameters represent relative transaction costs. Larger thresholds or wider neutral band corresponds to the greater distance between markets. Thirdly, the esti-mation of M-TAR shows that the large-scale supplier is more sensitive to incrcase of wholesaler prices than de-crease of wholesaler prices. The supplier can price on the forecast of market price by the threshold ECM inclu-ding the GBand-TAR if the equilibrium error of threshold lag is not in the interval of thresholds in which there is not profitable trading opportunities for the supplier.

  17. 75 FR 30812 - Frequency Regulation Compensation in the Organized Wholesale Power Markets; Further Notice...

    Science.gov (United States)

    2010-06-02

    ... Energy Regulatory Commission Frequency Regulation Compensation in the Organized Wholesale Power Markets... of Proposed Rulemaking on Frequency Regulation Compensation in the Organized Wholesale Power Markets... Conference re Frequency Compensation in the Organized Wholesale Power Markets, issued April 27, 2010. The...

  18. Volatility of the petroleum prices and the relationship with dollar depreciation; Volatilidade dos precos do petroleo e sua relacao com a desvalorizacao do dolar

    Energy Technology Data Exchange (ETDEWEB)

    Pinto Junior, Helder Queiroz; Iootty, Mariana; Fernandes, Camila

    2007-07-01

    This article aims to examine how the dollar instability is related to the totality of the petroleum prices. The article examines the time behavior of three variables: the prices of Brent type petroleum in dollar per barrel; the prices of Brent type petroleum in euros; and the exchange ratio euro/dollar. The series analyses was performed from three time cuts presents as follows, to put in evidence the relationship between the dollar declines and the recent run away of the petroleum prices: 01/002/2002-12/31/2002 (259 observations); 01/02/2003-12/31/2003 (258 observations); 01/02/2002-10/13/2004 (204 observations)

  19. 42 CFR 414.904 - Average sales price as the basis for payment.

    Science.gov (United States)

    2010-10-01

    ... acquisition cost as determined by the Inspector General report as required by section 623(c) of the Medicare... the Act. (3) Widely available market price and average manufacturer price. If the Inspector General... influenza vaccine and are calculated using 95 percent of the average wholesale price. (2) Infusion...

  20. 27 CFR 31.34 - Wholesale dealer in beer.

    Science.gov (United States)

    2010-04-01

    ... 27 Alcohol, Tobacco Products and Firearms 1 2010-04-01 2010-04-01 false Wholesale dealer in beer... Classified § 31.34 Wholesale dealer in beer. (a) General. Except as otherwise provided in paragraph (b) of this section, every person who sells or offers for sale beer, but not distilled spirits or wines,...

  1. Stochastic volatility selected readings

    CERN Document Server

    Shephard, Neil

    2005-01-01

    Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P. K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-7, S. J. Taylor. 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices, B. Rosenberg. 4. The Pricing of Options on Assets with Stochastic Volatilities, J. Hull and A. White. 5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, F. X. Diebold and M. Nerlove. 6. Multivariate Stochastic Variance Models. 7. Stochastic Autoregressive...

  2. Volatility Spillovers in Soybean Prices between International and Domestic Markets%国内外市场间大豆价格波动溢出效应分析

    Institute of Scientific and Technical Information of China (English)

    林学贵

    2016-01-01

    Sharp fluctuation of soybean prices in international and domestic markets has caused big risks for both domestic soybean producers and processing enterprises in recent years. It also increased the difficulties in implementing price stabilization policy for the government. This paper analyzed the volatility spillovers in soybean prices between international and domestic markets using multivariate VAR-BEKK-GARCH model based on the data set from the 22nd December 2004 to 19th December 2014. The estimate results indicated that there were volatility spillover effects from domestic futures market to spot market and bilateral spillover between international futures market and domestic spot market. In order to prevent market manipulation and to reduce the impacts of price volatility in international soybean market on Chinese market, the author proposed the following policy measures such as establishing early warning mechanism for soybean price fluctuations, improving soybean futures contract design and strengthening trading risk management mechnism, amplifying information disclosure system, regularizing speculation activities of big traders.%近年来,国内外大豆市场价格大幅波动,给国内大豆生产者和压榨企业带来了较大风险,也增加了政府调控市场的难度。基于2004年12月22日至2014年12月19日每日大豆市场价格数据,运用三元VAR-BEKK-GARCH模型,对大豆价格在国内现货市场、国内期货市场、国际期货市场之间的波动溢出效应进行了分析。研究发现,大豆存在从国内期货市场向国内现货市场的单向波动溢出效应以及国内现货市场与国际期货市场之间的双向波动溢出效应。建议建立大豆价格波动预警机制,进一步完善大豆期货合约和交易风险管理机制,健全信息披露制度,规范大户投机行为,防止市场操控,减少国际市场波动风险对国内市场的冲击。

  3. Migration, the Chinese wholesale trade and ethnicity

    Directory of Open Access Journals (Sweden)

    Débora Betrisey Nadali

    2007-10-01

    Full Text Available In the historical-social context of Spain, the ethnic-national identities of Chinese immigrants are not free from hierarchisation, given that they can tend to be sources of recognition and prestige, though also of discrimination. In recent decades, the presenceof Chinese people has become alternately or simultaneously an ambiguous resource to be celebrated by certain hegemonic groups as something positive in accordance with their cultural and economic contributions (“entrepreneurs”, “model traders”, or a dissonance thatis sufficiently complex to be accepted within the country. This article focuses on analysing Chinese immigrants working in the area of wholesale trading in the city of Madrid, and bears in mind the social processes by which these groups were constituted as different in cultural terms in the heart of social relations of inequality; it also examines to what extent and under what conditions these processes end up forming part of these traders’ self-image, determine

  4. Wholesale power marketing in restructured electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Sioshansi, F.P. [Convector Consulting Inc., Menlo Park, CA (United States); Altman, A. [Electric Power Research Institute, Palo Alto, CA (United States)

    1998-12-01

    Prior to 1992, very few people had heard the term power marketing. Today, power marketing is well-recognized, however, few people know what is behind the industry's exponential growth. This communication, which is based on a major study recently completed for the Electric Power Research Institute (EPRI), explains what power marketing is, who the power marketers are, what they do, and what's behind the industry's explosive growth in the past few years. It also explains what types of products and services power marketers offer, and what are the fundamental drivers of this demand. Understanding the last item is particularly significant, namely the growth of power marketing in the context of the rapid restructuring of the wholesale - soon to be followed by the retail - electricity markets in the US. (author)

  5. PRICE TRANSMISSION IN SELECTED MALAYSIAN FRUITS MARKETS

    Directory of Open Access Journals (Sweden)

    Fatimah Mohamed Arshad

    2014-01-01

    Full Text Available The market for fresh produce such as fruits in Malaysia is alleged to be inefficient due to poor flow of information between market levels and uncompetitive market particularly at the wholesale and retail levels. Due to these structural problems, pricing efficiency is questionable, in that they are not integrated. This study intends to examine the cointegration and causality relationships between the farm and retail prices in the Malaysian market of fruits. To that end, the bivariate cointegration approach, using Granger causality tests, is applied. The study uses monthly data from January 2000 through December 2010. The results show that there is evidence of long run bidirectional causal relationship between farm and retail prices for banana and watermelon. However, the analysis revealed a long run unidirectional relationship from farm prices to retail prices with no evidence of reverse or feedback causality running from farm price to retail prices for jackfruit and durian.

  6. A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role

    OpenAIRE

    Yatracos, Yannis G.

    2013-01-01

    A new method is proposed to obtain the risk neutral probability of share prices without stochastic calculus and price modeling, via an embedding of the price return modeling problem in Le Cam's statistical experiments framework. Strategies-probabilities $P_{t_0,n}$ and $P_{T,n}$ are thus determined and used, respectively,for the trader selling the share's European call option at time $t_0$ and for the buyer who may exercise it in the future, at $T; \\ n$ increases with the number of share's tr...

  7. A Note on Pricing Options on Defaultable Stocks

    CERN Document Server

    Bayraktar, Erhan

    2007-01-01

    In this note, we develop stock option price approximations for a model which takes both the risk o default and the stochastic volatility into account. We also let the intensity of defaults be influenced by the volatility. We show that it might be possible to infer the risk neutral default intensity from the stock option prices. Our option price approximation has a rich implied volatility surface structure and fits the data implied volatility well. Our calibration exercise shows that an effective hazard rate from bonds issued by a company can be used to explain the implied volatility skew of the implied volatility of the option prices issued by the same company.

  8. The impact of price discovery and volatility spillovers of index futures on stock index in China%中国股指期货的价格发现功能和波动外溢效应

    Institute of Scientific and Technical Information of China (English)

    刘瑾婧; 方兆本; 李海涛

    2011-01-01

    Using the EC-EGARCH-GED model, the function of price discovery and volatility spillovers of index futures was investigated. The result suggests that index futures enlarge volatility in the stock market. In the long run, index futures have an impact on the price of stock indexes, while in the short run, the impact of index futures is greater than long run equilibrium. The effect of the recently listed index futures on the Shanghai and Shenzhen 300 stock index was measured at last and the results showed that index futures' listing brought a impact on stock indexes.%运用EC-EGARCH-GED模型,分析了中国股指期货的价格发现功能和波动外溢效应.研究结果表明股指期货增大了股指的波动性.从长期看,股指期货的价格影响股票指数的价格;而短期内股指期货价格对股指价格的影响比长期均衡的影响大.最后还考察了中国新上市的股指期货对沪深300指数的影响,认为股指期货的上市给股指带来了一定的冲击力.

  9. Target Price Accuracy

    Directory of Open Access Journals (Sweden)

    Alexander G. Kerl

    2011-04-01

    Full Text Available This study analyzes the accuracy of forecasted target prices within analysts’ reports. We compute a measure for target price forecast accuracy that evaluates the ability of analysts to exactly forecast the ex-ante (unknown 12-month stock price. Furthermore, we determine factors that explain this accuracy. Target price accuracy is negatively related to analyst-specific optimism and stock-specific risk (measured by volatility and price-to-book ratio. However, target price accuracy is positively related to the level of detail of each report, company size and the reputation of the investment bank. The potential conflicts of interests between an analyst and a covered company do not bias forecast accuracy.

  10. Business Cycles, Financial Crises, and Stock Volatility

    OpenAIRE

    G. William Schwert

    1989-01-01

    This paper shows that stock volatility increases during recessions and financial crises from 1834-1987. The evidence reinforces the notion that stock prices are an important business cycle indicator. Using two different statistical models for stock volatility, I show that volatility increases after major financial crises. Moreover. stock volatility decreases and stock prices rise before the Fed increases margin requirements. Thus, there is little reason to believe that public policies can con...

  11. Pricing Models of e-Books When Competing with p-Books

    Directory of Open Access Journals (Sweden)

    Yan Li

    2013-01-01

    Full Text Available With the rise in popularity of e-books, there is a growing need to reexamine the pricing strategy in the e-book supply chain. In this paper, we study two forms of pricing models widely used in the book industry: wholesale and agency pricing models. We first assume a stylized deterministic demand model in which the demand depends on the price, the degree of substitution, and the overall market potential. Subsequently, we employ the game theory to determine the price equilibriums and profit distribution under different pricing models. Finally, we explore the behavior of the publisher and the retailer under different preferences and degrees of substitution through a computational study. Our findings indicate that the e-book price will be lower under the agency pricing model than under the wholesale pricing model, which is counterintuitive. The publishers have higher incentives to adopt the agency pricing model than the wholesale pricing model. The agency pricing model benefits the whole system and can provide readers with books at lower prices. The degree of substitution between the two forms of books and the readers’ preference toward e-book will affect the books’ price and the profit distribution between the publisher and the retailers.

  12. Comparative analysis of wholesale and retail frozen fish marketing ...

    African Journals Online (AJOL)

    Comparative analysis of wholesale and retail frozen fish marketing in Port ... the effects of the marketer's socioeconomic variables on the volume of sales. ... policies that would enhance frozen fish marketers' access to loans in order to increase ...

  13. Price competition and equilibrium analysis in multiple hybrid channel supply chain

    Science.gov (United States)

    Kuang, Guihua; Wang, Aihu; Sha, Jin

    2017-06-01

    The amazing boom of Internet and logistics industry prompts more and more enterprises to sell commodity through multiple channels. Such market conditions make the participants of multiple hybrid channel supply chain compete each other in traditional and direct channel at the same time. This paper builds a two-echelon supply chain model with a single manufacturer and a single retailer who both can choose different channel or channel combination for their own sales, then, discusses the price competition and calculates the equilibrium price under different sales channel selection combinations. Our analysis shows that no matter the manufacturer and retailer choose same or different channel price to compete, the equilibrium price does not necessarily exist the equilibrium price in the multiple hybrid channel supply chain and wholesale price change is not always able to coordinate supply chain completely. We also present the sufficient and necessary conditions for the existence of equilibrium price and coordination wholesale price.

  14. 我国棉花期货与现货市场的价格发现与波动溢出效应%Price discovery and volatility spillovers between futures and spot cotton market in China

    Institute of Scientific and Technical Information of China (English)

    何晓燕; 张蜀林

    2013-01-01

    以研究我国棉花期货和现货市场的动态关系为目的,基于VEC模型、Granger因果检验、脉冲响应分析和BEKK模型,对我国棉花期货和现货市场的价格发现功能和波动溢出效应进行实证分析.研究结果表明:期货价格和现货价格之间存在长期均衡关系和双向Granger引导关系.但期货市场对现货市场的引导作用更强,并且较现货市场具有更强的信息效应.此外,两个市场均存在很强的自身波动滞后效应,相互间的波动溢出效应也非常显著,但期货市场对现货市场的波动溢出效应明显大于后者对前者的波动溢出效应.%The purpose of this paper is to describe the dynamic relationship between futures and spot cotton market in China.Price discovery and volatility spillovers were examined for futures and spot cotton market based on VEC model,Granger causality test,impulse response analysis and BEKK model.The empirical results show that there is a cointegration relation between spot and futures prices of cotton.The futures market is the leader of price discovery in long-term,although bidirectional Granger causality are observed in short run.Meanwhile,the response of futures market is faster than spot market when they received impacts at the same time.Besides,there are strong volatility lagging effects and volatility spillovers in both markets,which in futures market are dominant.

  15. Literatures Review of the Relationship between Margin Trading and Stock Price Volatility at Home and Abroad%国内外融资融券业务与股价波动性关系的文献评述

    Institute of Scientific and Technical Information of China (English)

    钟碧兰; 申韬

    2016-01-01

    现阶段,针对内地市场融资融券与股价波动关系的研究存在正效用说、负效用说和效用不明说,研究结论差异较大。未来可通过借鉴和改进国外研究方法,结合中国内地融资融券市场开放程度,运用更长期的样本数据,从不同研究视角、采用适合内地实际的实证分析方法对融资融券业务与A股股价波动的关系进行研究,可以分别对融资卖空和融券买空交易进行研究,更确切地把握融资融券交易对股价波动的影响,不断提升我国A股市场的开放程度,提高我国证券市场的运作效率,促进融资融券业务的良性、有序发展。%There are three different perspectives on the present study of the relationship between margin trading business and stock price volatility in China:the positive effectiveness、negative effectiveness and unknown effective-ness,and the research results are quite different. In the future,by referring the foreign research methods,combining the openness of Chinese margin trading market,using long-term data,from different perspectives,using the method of empirical research which fitting for the local situation,we can analyze the relationship between Chinese margin trading business and A-share price volatility,and do the analysis on short of financing and overbuying of securities loan transactions respectively. Thus,we can accurately grasp the impact of margin trading on stock price volatility accurately,improve our A-share market’s openness,increase the efficiency of stock market operation,and promote healthy development of margin trading business.

  16. Do daily retail gasoline prices adjust asymmetrically?

    NARCIS (Netherlands)

    Bettendorf, L.; van der Geest, S. A.; Kuper, G. H.

    2009-01-01

    This paper analyses adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004, taking care of volatility clustering by estimating an EGARCH model. It turns out that the volatility

  17. 75 FR 9107 - Regulation of Fuels and Fuel Additives: Federal Volatility Control Program in the Denver-Boulder...

    Science.gov (United States)

    2010-03-01

    ..., etc) would occur primarily in the form of a slightly higher wholesale gasoline price which would then be passed along in product price increases. In the proposed rule, we estimated low RVP incremental... more stringent low RVP standard. Applying an average price of $2.50 per gallon for gasoline, the...

  18. 中国房地产价格波动风险的稳健性测度%Robustness Measurement of Volatility Risk of Chinese Real Estate Price

    Institute of Scientific and Technical Information of China (English)

    聂英; 董娜

    2015-01-01

    The rapid rise of China real estate prices in recent years has exceeded the resident unbearable degree. Real estate prices once become the bubble,will cause serious negative impact on economy. This paper firstly analyzes the mechanism,cause,harm of real estate bubble. Then it uses Housing Price-income Ratio,Multiple Regression and Partial Equilibrium Analysis to measure the Real Es-tate Bubble of China. The research show the prices of China real estate show a rising trend from 2004 to 2013,it has cluster autocorrela-tion effect in areas. The extent of price bubble in the eastern coastal areas is more serious than Midwest areas.%近几年来,中国房地产价格的快速上涨,已经超出了居民的可忍受程度。房地产价格严重偏离其均衡价格水平,会对国民经济造成严重的负面影响。笔者首先分析了房地产价格上涨的成因及危害,然后通过指标法、因素回归法和局部均衡法测度了2004年以来中国内陆各地区的房地产价格偏离均衡价格情况,研究发现:2004年~2013年中国房价呈现直线上涨趋势,房价在地区间存在集聚自相关效应。房价高的东部沿海地区比房价低的中西部地区偏离均衡水平程度更加严重。

  19. Ham Petrol Fiyatlarındaki Volatilitenin Gayri Safi Yurtiçi Hasıla Büyümesi Üzerindeki Etkileri: Türkiye Örneği( The Effects on Gross Domestic Product Growth of Crude Oil Price Volatility: A Case Study for Turkey

    Directory of Open Access Journals (Sweden)

    Arif ÖZSAĞIR

    2011-01-01

    Full Text Available In this paper, the relationship between international crude oil prices and GDP growth in Turkey was studied for 1987-2007 period. Crude oil prices with reference to the study,. Include annual average data. GDP data was obtained from Central Bank of Turkish as US dolar. With a view to display cointegration relationship between the data, Angle Granger and Johansen methods were applied. Notwithstanding, the results were inquired with VAR method. In the meanwhile; Dickey Fuller, Unit Root and Modified Akaike tests were executed too. Crude oil prices volatility effects on GDP growth, and also affect in question has appeared especially as from the second period (1997-2007.

  20. Empirical study of Spillover Effect of Oil Price Volatility based on Daqing and Brent Oil Price%国内外石油价格波动溢出效应实证分析——以大庆原油价格和布伦特原油价格为例

    Institute of Scientific and Technical Information of China (English)

    李文星

    2012-01-01

    采用大庆原油价格和布伦特原油价格2001~2010年的周数据,运用BEKK-GARCH模型分析了国内外石油市场的波动溢出效应以及国内石油市场与国际石油市场波动的动态相关性。实证结果表明,国外市场对国内市场产生了显著的波动溢出,国内市场对国外市场具有一定的影响,但效果并不明显;信息传导方向是从国外市场到国内市场,且国内石油市场波动滞后于国外市场。进一步的研究发现,国内外石油价格波动的动态相关性不断加强。%This paper uses BEKK-GARCH model to uncover the volatility spillover effect between international and Chinese markets and the dynamic relevance,based on the weekly data of crude oil price in two markets ranging from January 2001 to August 2010.Our findings indicate that there exists obvious volatility spillover effect from international market to Chinese market and the volatility spillover effect from Chinese market to international market is small though unnegle ctable,which manifests an information flow from international market to Chinese market.In addition,the dynamic relevance between international oil price is getting stronger.

  1. Modelación de la volatilidad de los precios de la energía eléctrica en Colombia Volatility modeling of electric power prices in Colombia

    Directory of Open Access Journals (Sweden)

    Martha María Gil Zapata

    2008-01-01

    Full Text Available Se explora en este trabajo un adecuado procedimiento para modelar el precio de la energía eléctrica y su volatilidad, para con ello aportar al desarrollo del mercado de contado y de derivados sobre este, subyacente en Colombia, en términos de su valoración, de un cálculo más acertado de los márgenes de operación del sistema y de un manejo adecuado del riesgo asociado.This article analyzes an appropriate procedure to model electric power price and its volatility with the purpose of making some contributions to the development of cash market and its by-products, underlying in Colombia, in terms of its valuation, of a more precise calculation of system operation margins and an appropriate management of associated risk.

  2. Idiosyncratic Volatility Puzzle

    DEFF Research Database (Denmark)

    Aslanidis, Nektarios; Christiansen, Charlotte; Lambertides, Neophytos;

    from a large pool of macroeconomic and Önancial variables. Cleaning for macro-Önance e§ects reverses the puzzling negative relation between returns and idiosyncratic volatility documented previously. Portfolio analysis shows that the e§ects from macro-Önance factors are economically strong......In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-Önance factors as well as upon traditional asset pricing factors. The macro-Önance factors are constructed...

  3. Pricing and reimbursement of drugs in Ireland.

    Science.gov (United States)

    Barry, Michael; Tilson, Lesley; Ryan, Máirín

    2004-06-01

    Expenditure on healthcare in Ireland, which is mainly derived from taxation, has increased considerably in recent years to an estimated 9.2 billion euro in 2003. Pharmaceuticals account for approximately 10% of total healthcare expenditure. Approximately one-third of patients receive their medications free of charge whilst the remaining two-thirds are subject to a co-payment threshold of 78 euro per month, i.e. 936 euro per year. The price of medications in Ireland is linked to those of five other member states where the price to the wholesaler of any medication will not exceed the lesser of the currency-adjusted wholesale price in the United Kingdom or the average of wholesale prices in Denmark, France, Germany, The Netherlands and the United Kingdom. A price freeze at the introduction price has been in existence since 1993. Despite the price freeze, expenditure on medicines on the community drugs scheme has increased from 201 million euro in 1993 to 898 million euro in 2002. The two main factors contributing to the increased expenditure on medicines include "product mix", the prescribing of new and more expensive medication, and "volume effect" comprising growth in the number of prescription items. Changing demographics and the extension of the General Medical Services (GMS) Scheme to provide free medicines for all those over the age of 70 years have also contributed. Prior to reimbursement under the community drugs schemes, a medicine must be included in the GMS code book or positive list. A demonstration of cost-effectiveness is not a pre-requisite for reimbursement.

  4. Oil and stock market volatility: A multivariate stochastic volatility perspective

    Energy Technology Data Exchange (ETDEWEB)

    Vo, Minh, E-mail: minh.vo@metrostate.edu

    2011-09-15

    This paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility structure in an attempt to extract information intertwined in both markets for risk prediction. It offers four major findings. First, the stock and oil futures prices are inter-related. Their correlation follows a time-varying dynamic process and tends to increase when the markets are more volatile. Second, conditioned on the past information, the volatility in each market is very persistent, i.e., it varies in a predictable manner. Third, there is inter-market dependence in volatility. Innovations that hit either market can affect the volatility in the other market. In other words, conditioned on the persistence and the past volatility in their respective markets, the past volatility of the stock (oil futures) market also has predictive power over the future volatility of the oil futures (stock) market. Finally, the model produces more accurate Value-at-Risk estimates than other benchmarks commonly used in the financial industry. - Research Highlights: > This paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility model. > The correlation between the two markets follows a time-varying dynamic process which tends to increase when the markets are more volatile. > The volatility in each market is very persistent. > Innovations that hit either market can affect the volatility in the other market. > The model produces more accurate Value-at-Risk estimates than other benchmarks commonly used in the financial industry.

  5. Volatility and Risk Controlling between Bank Credit and House Price%银行信贷与房价波动的关系及风险控制

    Institute of Scientific and Technical Information of China (English)

    李运蒙; 钱鑫

    2011-01-01

    选取全国房屋销售价格指数和居民中长期消费贷款2007年1月至2010年6月的月度统计数据,运用协整和Granger因果检验法分析了二者之间的关系,并建立了误差修正模型,结果显示在所考虑的数据区间内相关贷款和房价之间存在协整关系,且为双向因果关系.最后提出了对银行信贷风险控制的相关建议.%Monthly house selling price index and individual medium and long - term consumption loans from January 2007 to June 2010 were selected as statistics data. The relationship between the price index and the consumption loans was analyzed by co - integration model and Granger causality test,and then the error correction model was established. It showed that in the range of considered data the co - integration relationship between related loans and house price does exist, and can be two - way causality. Finally, some related suggestions were proposed to control the bank credit risk.

  6. Integration of capacity, pricing, and lead-time decisions in a decentralized supply chain

    NARCIS (Netherlands)

    Zhu, Stuart X.

    We consider a decentralized supply chain consisting of a supplier and a retailer facing price- and lead-time-sensitive demand. The decision process is modelled by a Stackelberg game where the supplier, as a leader, determines the capacity and the wholesale price, and the retailer, as a follower,

  7. Integration of capacity, pricing, and lead-time decisions in a decentralized supply chain

    NARCIS (Netherlands)

    Zhu, Stuart X.

    2015-01-01

    We consider a decentralized supply chain consisting of a supplier and a retailer facing price- and lead-time-sensitive demand. The decision process is modelled by a Stackelberg game where the supplier, as a leader, determines the capacity and the wholesale price, and the retailer, as a follower, det

  8. Price Discovery and Volatility Spillovers of Stock Index Futures Markets in China%我国股指期货市场的价格发现与波动溢出效应

    Institute of Scientific and Technical Information of China (English)

    严敏; 巴曙松; 吴博

    2009-01-01

    This paper investigates the price discovery function,the linkages and interactions between the futures and spot markets of Hu-Shen 300 stock indexes with a VEC model,common factor models and a modified bivariate EGARCH model with an error correction.The evidence suggests that there is a long-run cointegration,a short-term bidirectional Granger relationship between the futures and spot markets,although most of the price discovery takes place at the spot markets for the moment and significant asymmetric volatility-spillovers are not found.%借助向量误差修正模型、公共因子模型和带有误差修正的双变量EGARCH模型,对沪深300股指期货市场和现货市场之间的价格发现功能以及互动关系进行了研究和分析,研究结论表明:目前指数现货市场在价格发现中起到主导作用,且两个市场之间不存在显著的非对称双向波动溢出效应,但是指数期货价格和现货价格之间存在长期的均衡关系、短期的双向Granger因果关系.

  9. 跳扩散模型中随机利率和随机波动下期权定价%Option pricing in jump-diffusion model with stochastic volatility and stochastic interest rate

    Institute of Scientific and Technical Information of China (English)

    张素梅

    2012-01-01

    To describe the real volatility of stock returns, this paper provides a rational model through allowing for stochastic interest rate and stochastic volatility rate in the double exponential jump-diffusion model. Subsequently, a closed-form solution for European call option is derived under the proposed model. Furthermore, the effects of main parameters on option prices are analyzed using numerical simulation. Simulations show that the model is suitable for modeling real-market changes. Stock returns are negatively correlated with volatility and stochastic interest rate has a significant impact on long term option values.%为合理刻画股价实际变化趋势,在双指数跳扩散模型中通过允许利率随机和波动率随机建立了合理的市场模型;然后利用鞅方法推导了随机利率、随机波动率下双指数跳扩散模型的欧式期权定价的闭式解;最后通过数值模拟分析了模型的主要参数对期权定价的影响.数值结果显示:所提模型能够较好地刻画股价实际变化趋势,股票收益和波动率负相关,随机利率对短期到期期权影响几乎可以忽略,而对长期到期期权价格影响显著.

  10. 异质价格预期、无风险利率调整与证券市场波动%Heterogeneous price expectations, risk free rate adjustment and volatility of security markets

    Institute of Scientific and Technical Information of China (English)

    袁晨; 傅强

    2012-01-01

    After constructing a two-dimensional discrete nonlinear dynamical model of asset prices with traders ' heterogeneous price expectations, this paper studies the impact of risk free rate adjustments on the stability of the equilibrium point. Moreover, an empirical test has been used to study the volatility *of Chinese stock market from 2004 to 2009. Theoretical analysis shows that the local stability in security markets is difficult to show up due to the increasing risk free rate, and it can not be essentially changed when the risk free rate declines. Furthermore, the results are also indirectly confirmed by the empirical work. Especially compared with the benchmark, the volatility of China' s stock market is excessive during the seven times of increasing interest ra'te from August 2006 to October 2008. However, during the four times the central bank' s reduced interest rates from October 2008 to October 2009, the volatility shows no significant difference with respect to the benchmark.%基于交易者的异质价格预期规则,构建了二维离散非线性资产价格动态模型,探讨了无风险利率调整对均衡点稳定性的影响,实证检验了2004-2009年期间我国证券市场的波动性.理论分析表明,提高无风险利率易导致证券市场难以形成局部稳定,降低无风险利率则不会从本质上改变稳定性.实证结果显示:相对基准期而言,2006年8月—2008年10月的7次加息期间,证券市场呈现波动加剧特征;2008年10月—2009年10月的4次降息期间,证券市场的波动性没有显著改变.

  11. Optimal Willingness to Supply Wholesale Electricity Under Asymmetric Linearized Marginal Costs

    Directory of Open Access Journals (Sweden)

    David Hudgins

    2012-01-01

    Full Text Available This analysis derives the profit-maximizing willingness to supply functions for single-plant and multi-plant wholesale electricity suppliers that all incur linear marginal costs. The optimal strategy must result in linear residual demand functions in the absence of capacity constraints. This necessarily leads to a linear pricing rule structure that can be used by firm managers to construct their offer curves and to serve as a benchmark to evaluate firm profit-maximizing behavior. The procedure derives the cost functions and the residual demand curves for merged or multi-plant generators, and uses these to construct the individual generator plant offer curves for a multi-plant firm.

  12. Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach

    DEFF Research Database (Denmark)

    Bach, Christian; Christensen, Bent Jesper

    We include simultaneously both realized volatility measures based on high-frequency asset returns and implied volatilities backed out of individual traded at the money option prices in a state space approach to the analysis of true underlying volatility. We model integrated volatility as a latent...... fi…rst order Markov process and show that our model is closely related to the CEV and Barndorff-Nielsen & Shephard (2001) models for local volatility. We show that if measurement noise in the observable volatility proxies is not accounted for, then the estimated autoregressive parameter in the latent...... process is downward biased. Implied volatility performs better than any of the alternative realized measures when forecasting future integrated volatility. The results are largely similar across the stock market (S&P 500), bond market (30-year U.S. T-bond), and foreign currency exchange market ($/£ )....

  13. Assessment of business activity of the organizations wholesale trade

    Directory of Open Access Journals (Sweden)

    Svetlana Alekseevna Soroka

    2012-09-01

    Full Text Available This paper is devoted to the issues related to the assessment of business activity of the enterprises in public service sphere. The importance of this problem is in the fact that an assessment of business activity is the basis for optimal management decisions to improve the efficiency of economic activities, sustainable development both of businesses in general and wholesale trade enterprises in particular. Wholesale trade enterprises fulfill a function of sales divisions and departments for the purchase of resources. An assessment of business activity of wholesale trade organizations, circumspected fulfillment of its functions by an organization, formation of complex long-term competitive advantages lead to increased production, restoration of economic connections and inter-regional integration of the consumer market, improve the efficiency of the trading process and sustainable development of the region as a whole

  14. Research on the Longitudinal Transmission Mechanism of Prices for Urban Vegetable Supply Chain-Based on the Empirical Research in Chongqing

    Institute of Scientific and Technical Information of China (English)

    Peng; XIE; Jing; GAO; Yurong; YANG

    2014-01-01

    This paper mainly introduces the longitudinal transmission mechanism of urban vegetable prices in Chongqing area. On the basis of the supply chain theory,the " farm price- wholesale price- retail price" of vegetables in Chongqing has been identified as the research object. Through statistical analysis,it is found that the above three types of price show a modest annual fluctuation of 7- 12% from 2008 to2013. Later,the paper focuses on the empirical research on the weekly price data in 2013 applying the co-integration theory,which reveals that the farm price of vegetables is largely influenced by themselves; the wholesale price of vegetables is mainly affected by their own price,the production price and the retail price of the earlier stage without the current influence of the production price; and the retail price of vegetables is also affected by their own price,but is not affected by the their current local price and the wholesale price. Vegetable prices have shown an obvious positive transmission mechanism in the links from production to retail,but the feedback effect of retail on production is not brought into play.

  15. Implicit price of mussel characteristics in the auction market

    DEFF Research Database (Denmark)

    Nguyen, Thong Tien

    2012-01-01

    This study explores desired and undesired characteristics of mussels in wholesale market by applying hedonic price analysis. Transaction data in auction market in Yerseke, the Netherlands, was used to estimate linear and semi-log price models. Meat content and size count, which are measured...... as the ratio of the weight of cooked meat to the total weight and the number of mussel per kg of raw mussels, respectively, are the most important characteristics determining the price. At the sample mean, if the meat content increases by 1%, farmers can get a premium price of 5.5 eurocents kg−1 of raw mussel...

  16. China Adjusts Natural Gas Price for Better Allocation of Resources

    Institute of Scientific and Technical Information of China (English)

    Luo Shichao

    2010-01-01

    @@ China has recently increased the wholesale prices of natural gas by around 25 percent to curb demand and better allocate resources.Natural gas benchmark prices went up by 230 yuan to 1,155 yuan per thousand cubic meters,according to the announcement made by the National Development and Reform Commission(NDRC)at the end of May."It is necessary to make the adjustment,as the country's natural gas price is significantly lower than that of other fuels,"said Cap Changqing,head of NDRC's pricing department.

  17. Price regulation and generic competition in the pharmaceutical market

    OpenAIRE

    Dalen, Dag Morten; Strøm, Steinar; Haabeth, Tonje

    2009-01-01

    In March 2003 the Norwegian government implemented yardstick based price regulation schemes on a selection of drugs experiencing generic competition. The retail price cap, termed “index price”, on a drug (chemical substance) was set equal to the average of the three lowest producer prices on that drug, plus a fixed wholesale and retail margin. This is supposed to lower barriers of entry for generic drugs and to trigger price competition. Using monthly data over the period 1998-2004 for the 6 ...

  18. Price regulation and generic competition in the pharmaceutical market.

    Science.gov (United States)

    Dalen, Dag Morten; Strøm, Steinar; Haabeth, Tonje

    2006-09-01

    In March 2003 the Norwegian government implemented yardstick-based price regulation schemes on a selection of drugs subjected to generic competition. The retail price cap, termed the "index price," on a drug (chemical substance) was set equal to the average of the three lowest producer prices on that drug, plus a fixed wholesale and retail margin. This is supposed to lower barriers of entry for generic drugs and to trigger price competition. Using monthly data over the period 1998-2004 for the six drugs (chemical entities) included in the index price system, we estimate a structural model enabling us to examine the impact of the reform on both demand and market power. Our results suggest that the index price helped to increase the market shares of generic drugs and succeeded in triggering price competition.

  19. 英文摘要%House Price Volatility, the Selection of Monetary Policy Instruments and the Stability of Macro-economy: Theory and Empirical Evidence

    Institute of Scientific and Technical Information of China (English)

    2011-01-01

    LI Cheng, LI Ke-jun, MA Wen-tao (School of Economics and Finance, Xi'an Jiaotong University, Xi'an 710061, China) Abstract: This paper applies the simulation method on the basis of Dynamic Stochastic General Equilibrium Model with house sector and the test of spillover effect based on VAR GARCH( 1,1 ) -ABEKK Model to analyze the relationship between monetary policy and house price. The results show that when monetary policy regulates and controls house market, the central bank should focus on quantity instrument of monetary policy.

  20. Current merchandising practices and characteristics of beef wholesale rib usage in three U.S. cities.

    Science.gov (United States)

    Wulf, D M; Romans, J R; Costello, W J

    1994-01-01

    Packers/processors, supermarket meat managers, and restaurant meat purchasers were surveyed to determine industry utilization of the beef wholesale rib. Nine packer/processors representing > 52% of the U.S. steer-heifer slaughter reported that more than two-thirds (68.5%) of the ribs were wholesaled as ribeye, lip-on (IMPS 112A) subprimals and that its predominance in the market makes it the standard for pricing. For merchandising variations of this cut (e.g., ribeye, lip-off), packer prices are adjusted to lip-on bases according to the relative yield. Excess fat was the most common complaint about ribeye steaks, reported by 78% of the packer/processors. In particular, 71% of them reported the "kernel" fat near the center of a ribeye steak between the longissimus and spinalis dorsi muscles is quite difficult to trim out and represents the greatest problem in merchandising. Forty-two percent of supermarket meat managers and 58% of restaurant meat purchasers thought the fat content of beef ribeyes discouraged consumers from purchasing all beef. Kernel fat was specifically cited by 36% of the restaurateurs. Alternative merchandising strategies should be employed to minimize the negative value effects of kernel fat. Even with excess fat being a concern to approximately half of the beef rib buyers, most still bought lip-on ribeyes and trimmed excess fat away. Apparently, they made this choice of lower price per weight, even though price per trimmed serving might be similar to lip-off ribeyes. Excess fat is being transported from packer/processor to buyers in the form of lip-on ribeyes because of the price relationships.(ABSTRACT TRUNCATED AT 250 WORDS)

  1. 燃油价格波动与汽车市场需求%Gasoline price volatility and auto market demand

    Institute of Scientific and Technical Information of China (English)

    苏子杉; 方兆本; 刘杰

    2012-01-01

    以离散选择模型为基础,通过引入心理学中的随机效用模型解释了整体效用中由不可观测因素带来的随机效用部分,结合包括燃油价格在内的多种市场因素及各车型自身属性,给出了一个市场份额模型,并讨论了燃油价格波动对于不同汽车款型市场份额的影响.区别于以往基于人口统计学数据的传统方法,直接模拟了总体市场选择行为,一方面使方法简化从而提高了可操作性,另一方面也避免了由于人口统计学数据中的误差对模型整体准确性的影响.%Based on the discrete choice model, this work adopted a random utility model from psychology theories to explain the random utility resulting from unobservable attributes in the overall utility. A market share model was constructed in view of various factors including gasoline prices, multiple market factors and the attributes of each model, and a discussion of the relationship between gasoline prices and market shares was performed. Different from the previous demographic data based approaches, this work simulated the choice behavior of the whole market, thereby presenting a simpler and more practical approach. Meanwhile, the possible error brought by demographic data was avoided consequently.

  2. Inflation impact of food prices: Case of Serbia

    Directory of Open Access Journals (Sweden)

    Šoškić Dejan

    2015-01-01

    Full Text Available Food prices traditionally have an impact on inflation around the world. Movements in these prices are coming more from the supply side, then from the demand side. If treated as a supply shock, monetary policy should not react. However, food prices are part of headline inflation that is an official target for most central banks. Serbia conducts Inflation targeting and faces serious challenges with food price volatility. Food price volatility in Serbia hampers inflation forecasting, and may have a negative influence on inflationary expectations and public confidence in (i.e. credibility of the Central bank, all of crucial importance for success of Inflation targeting. There are several important possible improvements that may decrease volatility of food prices but also limit negative impact of food price volatility on Consumer Price Index (CPI as a measure of inflation. These improvements are very important for success of Inflation targeting in Serbia.

  3. 76 FR 10492 - Credit Reforms in Organized Wholesale Electric Markets

    Science.gov (United States)

    2011-02-25

    ..., reasonable, and not unduly discriminatory or preferential. The management of risk and credit requires a... Energy Regulatory Commission 18 CFR Part 35 Credit Reforms in Organized Wholesale Electric Markets AGENCY... on rehearing, the Commission reaffirms in part its determinations in Credit Reforms in...

  4. Deposit Market Competition, Wholesale Funding, and Bank Risk

    NARCIS (Netherlands)

    Craig, B.R.; Dinger, V.

    2010-01-01

    In this paper we revisit the long debate on the risk effects of bank competition and propose a new approach to the empirical estimation of the relation between deposit market competition and bank risk. Our approach accounts for the opportunity of banks to shift to wholesale funding when deposit mark

  5. Commercial Interactions in the Buenos Aires Central Wholesale Produce Market

    NARCIS (Netherlands)

    Arce, A.M.G.; Viteri, M.L.

    2010-01-01

    The Buenos Aires Central Wholesale Produce Market (BACWM) in Argentina supplies 1,500,000 tons of produce yearly to more than 11 million consumers and receives about 13,000 trucks a week from areas within and outside the country. This market faced global transformations with the emergence of superma

  6. A Simulation of Alternatives for Wholesale Inventory Replenishment

    Science.gov (United States)

    2016-03-01

    algorithmic details. The last method is a mixed-integer, linear optimization model. Comparative Inventory Simulation, a discrete event simulation model, is...simulation; event graphs; reorder point; fill-rate; backorder; discrete event simulation; wholesale inventory optimization model 15. NUMBER OF PAGES...5  A.  INVENTORY POLICY

  7. 27 CFR 31.51 - Wholesale dealers making retail sales.

    Science.gov (United States)

    2010-04-01

    ... retail sales. 31.51 Section 31.51 Alcohol, Tobacco Products and Firearms ALCOHOL AND TOBACCO TAX AND... Persons Exempt from Registration And/or Recordkeeping § 31.51 Wholesale dealers making retail sales. A... under this part, is exempt from registration at that place as a retail dealer in liquors or in beer....

  8. 12 CFR 704.19 - Wholesale corporate credit unions.

    Science.gov (United States)

    2010-01-01

    ...) Earnings retention requirement. A wholesale corporate credit union must increase retained earnings if the prior month-end retained earnings ratio is less than 1 percent. (1) Its retained earnings must increase... month-end retained earnings ratio is less than 1 percent and the core capital ratio is less than 3...

  9. 21 CFR 203.50 - Requirements for wholesale distribution of prescription drugs.

    Science.gov (United States)

    2010-04-01

    ... HUMAN SERVICES (CONTINUED) DRUGS: GENERAL PRESCRIPTION DRUG MARKETING Wholesale Distribution § 203.50 Requirements for wholesale distribution of prescription drugs. (a) Identifying statement for sales by... 21 Food and Drugs 4 2010-04-01 2010-04-01 false Requirements for wholesale distribution...

  10. Fluctuation behaviors of financial return volatility duration

    Science.gov (United States)

    Niu, Hongli; Wang, Jun; Lu, Yunfan

    2016-04-01

    It is of significantly crucial to understand the return volatility of financial markets because it helps to quantify the investment risk, optimize the portfolio, and provide a key input of option pricing models. The characteristics of isolated high volatility events above certain threshold in price fluctuations and the distributions of return intervals between these events arouse great interest in financial research. In the present work, we introduce a new concept of daily return volatility duration, which is defined as the shortest passage time when the future volatility intensity is above or below the current volatility intensity (without predefining a threshold). The statistical properties of the daily return volatility durations for seven representative stock indices from the world financial markets are investigated. Some useful and interesting empirical results of these volatility duration series about the probability distributions, memory effects and multifractal properties are obtained. These results also show that the proposed stock volatility series analysis is a meaningful and beneficial trial.

  11. Dynamic Volatility Arbitrage

    DEFF Research Database (Denmark)

    Dorn, Jochen

    profit on well-developed markets. Dynamic participation features on cross asset portfolios are at rst sight a remedy to that dilemma. Based on volatility thresholds and portfolio re-balancing, the fund engineers try to create a "volatility guaranteed" investment opportunity by surfing on the unusual high...... concepts, next to nothing is known about position reverting strategies and how, and -even more important- in which context they are applied in practice. In the recent market downturn only one sector generated signicant profits for the leading investment banks: Volatility trading activities, namely on Forex......, interest rates and commodities. If an investor positions himself on the (volatility) market within a long/short trading framework, he typically bets on a traditional mispricing arbitrage. However as this corresponds to a call spread with equal exercise prices, this strategy alone would not generate enough...

  12. Volatility Spillover and Correlations between Stock Prices of Chinese New Energy Companies and Crude Oil Prices%我国新能源公司股票价格与原油价格的波动率外溢与相关性研究

    Institute of Scientific and Technical Information of China (English)

    温晓倩; 魏宇; 黄登仕

    2012-01-01

    目前投资者对新能源公司股票的重视程度大大提高。本文使用非对称的(BV)GARCH模型研究了我国新能源股票和WTI原油期货收益的波动率外溢与相关性。非对称的(BV)GARCH模型不仅提供了两个市场之间存在波动率外溢的证据,而且发现这两项资产的价格波动存在非对称性。基于上述发现,我们进一步利用非对称的(BV)GARCH模型进行了两项资产的套期保值和投资组合构建分析。实证结果显示,平均来讲,1元的新能源股票多头头寸可以用0.2元的WTI原油期货空头头寸来避险.而对于一个1元的投资组合.则应该投资0.43元于新能源股票,0.57元于WTI原油期货。本文的实证结果为新能源公司股票的投资风险管控和投资决策提供了经验支持。%New energy companies have been paid much more attention by investors these days. In this paper, volatility spillover effect and correlations between stock prices of Chinese new energy companies and oil prices are investigated via Asymmetric (BV) GARCH. Asymmetric (BV) GARCH not only provides evidence of volatility spillover between the markets, but also the asymmetry in the assets volatilities. Based on the empirical results above, we further make hedging and portfolio investment decisions with Asymmetric (BV) GARCH. The results show that, on the average, a RMB 1 long position in new energy companies can be hedged for RMB0.2 with a short position in the crude oil futures market. And if there is a RMB 1 portfolio, then RMB0.43 should be invested in new energy company stocks and RMBO.57 in the crude oil futures. The results may provide empirical suggestions for new energy company stock investors in terms of risk management.

  13. Option Pricing when the Regime-Switching Risk is Priced

    Institute of Scientific and Technical Information of China (English)

    Tak Kuen Siu; Hailiang Yang

    2009-01-01

    We study the pricing of an option when the price dynamic of the underlying risky asset is governed by a Markov-modulated geometric Brownian motion. We suppose that the drift and volatility of the underlying risky asset are modulated by an observable continuous-time, finite-state Markov chain. We develop a twostage pricing model which can price both the diffusion risk and the regime-switching risk based on the Esscher transform and the minimization of the maximum entropy between an equivalent martingale measure and the real-world probability measure over different states. Numerical experiments are conducted and their results reveal that the impact of pricing regime-switching risk on the option prices is significant.

  14. Essays on pricing dynamics, price dispersion, and nested logit modelling

    Science.gov (United States)

    Verlinda, Jeremy Alan

    The body of this dissertation comprises three standalone essays, presented in three respective chapters. Chapter One explores the possibility that local market power contributes to the asymmetric relationship observed between wholesale costs and retail prices in gasoline markets. I exploit an original data set of weekly gas station prices in Southern California from September 2002 to May 2003, and take advantage of highly detailed station and local market-level characteristics to determine the extent to which spatial differentiation influences price-response asymmetry. I find that brand identity, proximity to rival stations, bundling and advertising, operation type, and local market features and demographics each influence a station's predicted asymmetric relationship between prices and wholesale costs. Chapter Two extends the existing literature on the effect of market structure on price dispersion in airline fares by modeling the effect at the disaggregate ticket level. Whereas past studies rely on aggregate measures of price dispersion such as the Gini coefficient or the standard deviation of fares, this paper estimates the entire empirical distribution of airline fares and documents how the shape of the distribution is determined by market structure. Specifically, I find that monopoly markets favor a wider distribution of fares with more mass in the tails while duopoly and competitive markets exhibit a tighter fare distribution. These findings indicate that the dispersion of airline fares may result from the efforts of airlines to practice second-degree price discrimination. Chapter Three adopts a Bayesian approach to the problem of tree structure specification in nested logit modelling, which requires a heavy computational burden in calculating marginal likelihoods. I compare two different techniques for estimating marginal likelihoods: (1) the Laplace approximation, and (2) reversible jump MCMC. I apply the techniques to both a simulated and a travel mode

  15. Performance of Batangas II Electric Cooperative, Inc. (Batelec II in the Wholesale Electricity Spot Market

    Directory of Open Access Journals (Sweden)

    IAN JIM SANTOS LAQUI

    2014-08-01

    Full Text Available In the face of electricity reformation, every electric cooperative needs a stable operation. The operational stability of participation in the Power Industry reformation such as Wholesale Electricity Spot Market (WESM depends on the performance of any electricity provider and management of the problems they encountered in new environment. The study aimed to determine the level of performance of Batelec II, which will serve as basis of enhancing the energy trading transaction of Batelec II. Furthermore, it also assesses to identify the problems encountered on the WESM to arrive at a specific action plan. The descriptive method was utilized in the conduct of the study. The study revealed that Batelec II distribute an uninterruptible flow of electricity among its memberconsumers. It also manifest that the price of electricity it serve were competitive enough. This was due to the effort and strategy of Batelec II’s trading team. As part also of efficiency of the performance of Batelec II, they manage to respond to the line trouble quickly. This gives Batelec II a good rating in terms of operations and maintenance. It is noted that problems in the said matter was identified. These were the transmission failure, generation facility outages and change in law. This aspect makes the electricity price go high. In response to the problems identified, the researcher proposed an action plan for the board directors and top management of Batelec II for implementation.

  16. Option price and market instability

    Science.gov (United States)

    Baaquie, Belal E.; Yu, Miao

    2017-04-01

    An option pricing formula, for which the price of an option depends on both the value of the underlying security as well as the velocity of the security, has been proposed in Baaquie and Yang (2014). The FX (foreign exchange) options price was empirically studied in Baaquie et al., (2014), and it was found that the model in general provides an excellent fit for all strike prices with a fixed model parameters-unlike the Black-Scholes option price Hull and White (1987) that requires the empirically determined implied volatility surface to fit the option data. The option price proposed in Baaquie and Cao Yang (2014) did not fit the data during the crisis of 2007-2008. We make a hypothesis that the failure of the option price to fit data is an indication of the market's large deviation from its near equilibrium behavior due to the market's instability. Furthermore, our indicator of market's instability is shown to be more accurate than the option's observed volatility. The market prices of the FX option for various currencies are studied in the light of our hypothesis.

  17. Petroleum price; Prix du petrole

    Energy Technology Data Exchange (ETDEWEB)

    Maurice, J

    2001-07-01

    The oil market is the most volatile of all markets, with the exception of the Nasdaq. It is also the biggest commodity market in the world. Therefore one cannot avoid forecasting oil prices, nor can one expect to avoid the forecasting errors that have been made in the past. In his report, Joel Maurice draws a distinction between the short term and the medium-long term in analysing the outlook for oil prices. (author)

  18. NONLINEAR ANALYSIS OF FINANCIAL SYSTEMS:EXPLORING THE NONLINEAR IMPACT OF THE TRADING VOLUME ON THE PRICE VOLATILITY%金融系统的非线性分析:交易量对股价波动的非线性影响

    Institute of Scientific and Technical Information of China (English)

    彭海伟; 卢祖帝

    2009-01-01

    Exploring the relationship between price volatility and trading volume in financial market has been a hot topic in the study of financial systems. Lamoureux and Lastrapes advance that the daily trading volume is a proper measure of the information arrivals at the market, but they assume that this impact of the trading volume on the price volatility is linear. In this paper, we propose a partially nonlinear GARCH model, together with local linear maximum likelihood estimation method, to examine the nonlinear relationship between the trading volume and the price volatility. Using the data sets of 20 stocks from the Chinese stock market, we empirically demonstrate that the impact of the trading volume on the stock price volatility is significantly nonlinear. An empirical parametric power function is also suggested for this nonlinear impact, which is more significantly reasonable than the linear impact hypothesis.%如何研究股价波动和成交量之间的关系一直是金融系统研究中感兴趣的话题.Lamoureux和Lastrapes认为选择日交易量度量每天流入市场的信息量是合理的,但他们假定交易量对波动率的影响是线性的.提出部分非线性GARCH模型分析交易量对股票市场波动率的影响,基于GARCH模型局部线性化非参数似然估计方法,对中国证券市场股票价格和交易量数据进行实证研究.结果表明,交易量对股价波动的影响具有显著的非线性性.

  19. Higher prices in Jamaica.

    Science.gov (United States)

    1982-03-01

    Price increases in the Jamaica CSM program went into effect on August 31, 1981. The program began in 1975. While the need for higher prices has been under discussion for the past 3 years, this is the 1st time the requisite approval from the Jamaica Price Commission has been obtained. The Jamaica National Family Planning Board (JNFPB) reports that the Panther 3-pack (condom) is up US$0.15 to US$0.30. Each Perle package (oral contraceptive) was increased by US$0.20. Single cycle Perle now sells for US$0.50, and 3-pack Perle sells for US$1.10. The 6-year price stagnation experienced by the CSM program resulted in a decreasing operational budget as program costs continued to rise. Marketing costs alone during this period escalated by 100-300%. For example, Panther pop-up display cartons cost the project US 16U each in 1975. By 1979 the same product cost US 49U. Newspaper advertisements have increased from the 1975 cost of US$68.00 to nearly $200.00 per placement. The overall inflation rate in Jamaica during the last 5 years has averaged more than 20% annually. In the face of these rising costs, outlet expansion for Perle has been prevented, wholesaler margins have been unavailable, and new retailer training has been discontinued. It is projected that the new prices will result in an annual increased revenues of US$80,000 which will be used to reinstate these essential marketing activities. The JNFPB is also planning to introduce a Panther 12-pack and Panther strips to the CSM product line. According to Marketing Manager Aston Evans, "We believe the public is now ready for this type of packaging" which is scheduled to be available soon. Panther is presently only available in a 3-pack, but annual sales have been steady. The new 12-pack will be stocked on supermarket shelves to provide higher product visibility and wider distribution. The selling price has been set as US$1.20 and is expected to yield a 25% increase in sales during the 1st year. A complete sales promotion

  20. Trends in manufacturer prices of brand name prescription drugs used by older Americans--first quarter 2004 update.

    Science.gov (United States)

    Gross, David J; Schondelmeyer, Stephen W; Raetzman, Susan O

    2004-06-01

    This Issue Brief reports on changes in manufacturers' prescription drug prices during the first three months of 2004 (January through March) for the brand name prescription drugs most widely used by Americans age 50 and over. This report is the first quarterly update in an ongoing study of changes in drug manufacturer prices-that is, manufacturers' prices charged for drugs they sold to wholesalers. A baseline study published in May 2004 by the AARP Public Policy Institute identified steady increases in the average annual manufacturer price from calendar year 2000 through calendar year 2003. This report's focus is on changes in the prices that brand name drug manufacturers charge to wholesalers for sales to retail pharmacies. The manufacturer's charge to wholesalers is the most substantial component of a prescription drug's retail price. When there is an increase in the manufacturer price to wholesalers for a brand name drug, this added cost is generally passed on as a similar percent change in the retail price to most prescription purchasers. The report presents three measures of price change (see methodological appendix). The first set of findings are annual rates of change in manufacturers' prices for widely used brand name drugs, using both rolling average and point-to-point estimates; information is presented on percentage change in manufacturer price and on potential dollar changes in consumer spending. The second set of findings are three-month percentage changes in prices (i.e., changes from December 31, 2003 through March 31, 2004); the distribution of percentage price changes is shown, as well as differences in average percentage price changes by manufacturer and by therapeutic category.

  1. Impact of cigarette minimum price laws on the retail price of cigarettes in the USA.

    Science.gov (United States)

    Tynan, Michael A; Ribisl, Kurt M; Loomis, Brett R

    2013-05-01

    Cigarette price increases prevent youth initiation, reduce cigarette consumption and increase the number of smokers who quit. Cigarette minimum price laws (MPLs), which typically require cigarette wholesalers and retailers to charge a minimum percentage mark-up for cigarette sales, have been identified as an intervention that can potentially increase cigarette prices. 24 states and the District of Columbia have cigarette MPLs. Using data extracted from SCANTRACK retail scanner data from the Nielsen company, average cigarette prices were calculated for designated market areas in states with and without MPLs in three retail channels: grocery stores, drug stores and convenience stores. Regression models were estimated using the average cigarette pack price in each designated market area and calendar quarter in 2009 as the outcome variable. The average difference in cigarette pack prices are 46 cents in the grocery channel, 29 cents in the drug channel and 13 cents in the convenience channel, with prices being lower in states with MPLs for all three channels. The findings that MPLs do not raise cigarette prices could be the result of a lack of compliance and enforcement by the state or could be attributed to the minimum state mark-up being lower than the free-market mark-up for cigarettes. Rather than require a minimum mark-up, which can be nullified by promotional incentives and discounts, states and countries could strengthen MPLs by setting a simple 'floor price' that is the true minimum price for all cigarettes or could prohibit discounts to consumers and retailers.

  2. Forecasting volatility of crude oil markets

    Energy Technology Data Exchange (ETDEWEB)

    Kang, Sang Hoon [Department of Business Administration, Gyeongsang National University, Jinju, 660-701 (Korea); Kang, Sang-Mok; Yoon, Seong-Min [Department of Economics, Pusan National University, Busan, 609-735 (Korea)

    2009-01-15

    This article investigates the efficacy of a volatility model for three crude oil markets - Brent, Dubai, and West Texas Intermediate (WTI) - with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we assess persistence in the volatility of the three crude oil prices using conditional volatility models. The CGARCH and FIGARCH models are better equipped to capture persistence than are the GARCH and IGARCH models. The CGARCH and FIGARCH models also provide superior performance in out-of-sample volatility forecasts. We conclude that the CGARCH and FIGARCH models are useful for modeling and forecasting persistence in the volatility of crude oil prices. (author)

  3. Understanding Price Formation in Electricity Markets

    Science.gov (United States)

    Kadoya, Toshihisa; Sasaki, Tetsuo; Yokoyama, Akihiko; Ihara, Satoru

    The electricity price will influence the future growth and mix of generation capacity that will in turn influence the future electricity price, and therefore, it is important to understand how electricity price is formed as well as its short-term and long-term impacts on the economy. This paper describes evaluation of PJM day-ahead market bidding data and comparison of various electricity markets in terms of the market clearing price and volatility. The objective is to find critical factors and mechanisms determining the movements of electricity price. It was found that speculation by a small number of bidders can cause price spikes, that a Nash equilibrium may exist during a delayed response of the electricity price to a decline of the fuel price, and that the hydro generation with storage capability effectively stabilizes the electricity price.

  4. IMPROVEMENT OF ORGANIZATIONAL FORMS FOR WHOLESALE TRADE IMPLEMENTATION

    Directory of Open Access Journals (Sweden)

    O. V. Peklina

    2011-01-01

    Full Text Available A wholesale trade can be implemented in various organizational forms and a cash and carry warehouse is considered as one of the most perspective and least developed forms in the Republic of Belarus. The paper analyzes tendencies of a cash and carry  warehouse  development  in the Republic of Belarus. Main problems and appropriate  measures for their solution are cited in the paper. 

  5. Compound Option Pricing under Fuzzy Environment

    Directory of Open Access Journals (Sweden)

    Xiandong Wang

    2014-01-01

    Full Text Available Considering the uncertainty of a financial market includes two aspects: risk and vagueness; in this paper, fuzzy sets theory is applied to model the imprecise input parameters (interest rate and volatility. We present the fuzzy price of compound option by fuzzing the interest and volatility in Geske’s compound option pricing formula. For each α, the α-level set of fuzzy prices is obtained according to the fuzzy arithmetics and the definition of fuzzy-valued function. We apply a defuzzification method based on crisp possibilistic mean values of the fuzzy interest rate and fuzzy volatility to obtain the crisp possibilistic mean value of compound option price. Finally, we present a numerical analysis to illustrate the compound option pricing under fuzzy environment.

  6. Scaling Foreign Exchange Volatility

    OpenAIRE

    Jonathan Batten; Craig Ellis

    2001-01-01

    When asset returns are normally distributed the risk of an asset over a long return interval may be estimated by scaling the risk from shorter return intervals. While it is well known that asset returns are not normally distributed a key empirical question concerns the effect that scaling the volatility of dependent processes will have on the pricing of related financial assets. This study provides an insight into this issue by investigating the return properties of the most important currenc...

  7. Price Discrimination

    OpenAIRE

    Armstrong, Mark

    2008-01-01

    This paper surveys recent economic research on price discrimination, both in monopoly and oligopoly markets. Topics include static and dynamic forms of price discrimination, and both final and input markets are considered. Potential antitrust aspects of price discrimination are highlighted throughout the paper. The paper argues that the informational requirements to make accurate policy are very great, and with most forms of price discrimination a laissez-faire policy may be the best availabl...

  8. The Empirical Research of the Relationship on Underlying Stock Volatility in China Convertible Bonds Market

    Directory of Open Access Journals (Sweden)

    Youzhi Zeng

    2013-04-01

    Full Text Available The study tries to improve the pricing efficiency of pricing models for the convertible bond by calculating the volatility of the underlying stock more accurately. By deducing the relationship between the historical volatility before the convertible bond issue which can be calculated accurately and the historical volatility of the underlying stock after the convertible bond issue which is suitable for pricing models and can’t be calculated accurately in China, the after volatility can be calculated directly and accurately.

  9. Transfer Pricing

    DEFF Research Database (Denmark)

    Nielsen, Søren Bo

    2014-01-01

    Against a background of rather mixed evidence about transfer pricing practices in multinational enterprises (MNEs) and varying attitudes on the part of tax authorities, this paper explores how multiple aims in transfer pricing can be pursued across four different transfer pricing regimes. A MNE h...

  10. The Study on the Volatility Spillover Effect between RMB Exchange Rate and Stock Price Based on the MV-GARCH Model%人民币汇率与股票价格波动溢出效应的MV-GARCH分析

    Institute of Scientific and Technical Information of China (English)

    景海霞; 寇明婷; 史润玲

    2013-01-01

    基于二元VAR-BEKK-MVGARCH模型,以人民币兑美元汇率(RMB/USD)与上证综合指数每日收盘价为样本,分析了汇率制度改革后人民币汇率与A-股市场价格的波动溢出效应。我们的研究表明,汇率制度改革后,人民币兑美元汇率(RMB/USD)与中国A股市场股票价格指数之间的一阶价格溢出效应表现不明显,但存在显著的双向高阶波动溢出效应,且汇率市场对股票市场表现出更为强烈波动溢出效应。%T his paper investigates the impact of the spillover effect between RMB exchange rate and stock price after exchange rates reform in virtue of the VAR-BEKK-MVGARCH model. Our empirical analysis is based on the data from Shanghai A- share market and RMB exchange rates (RMB against US dollar RMB/USD). We have found that there are no price spillover effects between RMB exchange rate against US dollar and stock price, but a bi-directional volatility spillovers effect between RMB/USD and stock price, and the volatility spillover effect of RMB exchange rate to stock price is more significant than stock price to RMB exchange rate.

  11. Pricing products: juxtaposing affordability with quality appeal.

    Science.gov (United States)

    1984-01-01

    Choosing appropriate product prices is 1 of the most crucial steps in creating an effective contraceptive social marketing (CSM) sales campaign. The Social Marketing Forum conducted an informal survey of social marketing project managers, international contractors, and marketing consultants to determine how CSM programs cope with pricing problems and ways to circumvent some obstacles. According to Diana Altman, a family planning consultant, low prices that make products available to needy individuals are more important than the program's self sufficiency, yet if prices are too low, consumers think the products were unusable in the US and thus were dumped on local markets. Other key factors include commercial competition, spiraling inflation rates, and problems with rising prices and retailer/distributor margins. A sampling of per capita gross national products indicates the poverty level of most CSM projects' target market. Consequently, CSM projects must set low pices, regardless of program operating costs. The goal often is to increase the demand and availability for contraceptives. The fact that social marketing products must pass through retail networks to reach consumers complicates the pricing equation. To deal with the problem, India's Nirodh program gives a 25% margin to distributors/wholesalers, compared to 6% offered on most other goods. Retailers also receive a 25% margin, more than double the commercial rate. Once prices are set, increases pose hazards. Local government approval often is a prerequisite and can require lengthy negotiations. Market studies remain a valuable approach to effective pricing, according to PNA's Mallamad and other research consultants. They cite such effective research strategies as test marketing products and asking consumers how prices affect buying habits. Further, CSM projects can jump over some pricing hurdles through creative marketing. An effective pricing strategy alone cannot produce a successful CSM program. Pricing

  12. A Buffer Stock Model to Ensure Price Stabilization and Availability of Seasonal Staple Food under Free Trade Considerations

    Directory of Open Access Journals (Sweden)

    Wahyudi Sutopo

    2012-07-01

    Full Text Available The price volatility and scarcity have been became a great problem in the distribution system of seasonal staple food produced by agro industry. It has salient supply disparity during the harvest and planting season. This condition could cause disadvantages to the stakeholders such as producer, wholesaler, consumer, and government. This paper proposes a buffer stock model under free trade considerations to substitute quantitative restrictions and tariffs by indirect market intervention instrument. The instrument was developed through buffer stock scheme in accordance with warehouse receipt system (WRS and collateral management system. The public service institution for staple food buffer stock (BLUPP is proposed as wholesaler’s competitor with main responsibility to ensure price stabilization and availability of staple food. Multi criteria decision making is formulated as single objective a mixed integer non linear programming (MINLP. The result shows that the proposed model can be applied to solve the distribution problem and can give more promising outcome than its counterpart, the direct market intervention instrument.

  13. Essays on Economic Volatility and Financial Frictions

    OpenAIRE

    Zhao, Hongyan

    2012-01-01

    This dissertation consists of three essays in macroeconomics. The first one essay discusses the reasons of Chinese huge foreign reserves holdings. It contributes to the literature of sudden stops, precautionary saving and foreign assets holdings. In the second essay, I study the price volatility of commodities and manufactured goods. I measure the price volatility of each individual goods but not on the aggregated level and therefore the results complete the related study. The third essay exp...

  14. Do Daily Retail Gasoline Prices adjust Asymmetrically?

    NARCIS (Netherlands)

    L.J.H. Bettendorf (Leon); S.A. van der Geest (Stéphanie); G. Kuper

    2005-01-01

    textabstractThis paper analyzes adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by estimating an EGARCH model. It turns out the vola

  15. Do Daily Retail Gasoline Prices adjust Asymmetrically?

    NARCIS (Netherlands)

    L.J.H. Bettendorf (Leon); S.A. van der Geest (Stéphanie); G. Kuper

    2005-01-01

    textabstractThis paper analyzes adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by estimating an EGARCH model. It turns out the vola

  16. Labor Unions and Asset Prices

    DEFF Research Database (Denmark)

    Busato, Francesco; Addessi, William

    The paper investigates the nexus between labor and financial markets, focusing on the interaction between labor union behavior in setting wages, firms' investment strategy and asset prices. The way unions set wage claims after observing firm's financial performance increases the volatility of firms...

  17. DECOMPOSING PRODUCER PRICE RISK: A POLICY ANALYSIS TOOL WITH AN APPLICATION TO NORTHERN KENYAN LIVESTOCK MARKETS

    OpenAIRE

    2002-01-01

    This paper introduces a simple method of price risk decomposition that determines the extent to which producer price risk is attributable to volatile inter-market margins, intra-day variation, intra-week (day of week) variation, or terminal market price variability. We apply the method to livestock markets in northern Kenya, a setting of dramatic price volatility where price stabilization is a live policy issue. In this particular application, we find that large, variable inter-market basis i...

  18. DECOMPOSING PRODUCER PRICE RISK: AN ANALYSIS OF LIVESTOCK MARKETS IN NORTHERN KENYA

    OpenAIRE

    2001-01-01

    This paper introduces a simple method of price risk decomposition that determines the extent to which producer price risk is attributable to volatile inter-market margins, intra-day variation, intra-week (day of week) variation, or seasonality. We apply the method to livestock markets in northern Kenya, a setting of dramatic price volatility where price stabilization is a live policy issue. Large, variable inter-market basis is the single most important factor in explaining producer price ris...

  19. Open Automated Demand Response Dynamic Pricing Technologies and Demonstration

    Energy Technology Data Exchange (ETDEWEB)

    Ghatikar, Girish; Mathieu, Johanna L.; Piette, Mary Ann; Koch, Ed; Hennage, Dan

    2010-08-02

    This study examines the use of OpenADR communications specification, related data models, technologies, and strategies to send dynamic prices (e.g., real time prices and peak prices) and Time of Use (TOU) rates to commercial and industrial electricity customers. OpenADR v1.0 is a Web services-based flexible, open information model that has been used in California utilities' commercial automated demand response programs since 2007. We find that data models can be used to send real time prices. These same data models can also be used to support peak pricing and TOU rates. We present a data model that can accommodate all three types of rates. For demonstration purposes, the data models were generated from California Independent System Operator's real-time wholesale market prices, and a California utility's dynamic prices and TOU rates. Customers can respond to dynamic prices by either using the actual prices, or prices can be mapped into"operation modes," which can act as inputs to control systems. We present several different methods for mapping actual prices. Some of these methods were implemented in demonstration projects. The study results demonstrate show that OpenADR allows interoperability with existing/future systems/technologies and can be used within related dynamic pricing activities within Smart Grid.

  20. The economic value of realized volatility

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Feunou, Bruno; Jacobs, Kris

    2014-01-01

    Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so, we...... develop a new class of affine discrete-time option valuation models that use daily returns as well as realized volatility. We derive convenient closed-form option valuation formulas, and we assess the option valuation properties using Standard & Poor’s (S&P) 500 return and option data. We find...... that realized volatility reduces the pricing errors of the benchmark model significantly across moneyness, maturity, and volatility levels....

  1. Determining the Managerial Skills’ Training Needs of Retail and Wholesale Industry in Tshwane Area of Gauteng

    OpenAIRE

    Van Scheers, Louise; Adesoga, Adefulu; Johan, Botha

    2015-01-01

    The paper determines the managerial skills training needs of Retail and Wholesale industry in Tshwane area of Gauteng. Several researches identified range of problem with retail and wholesale businesses emanating from lack of managerial skills without identifying the lacking skills. Survey research method was adopted. The population of study was the retail and wholesale businesses in Tshwane area of Gauteng from which sample were selected using multistage and convenience sampling technique. Q...

  2. 76 FR 770 - Proposed Information Collection; Comment Request; Monthly Wholesale Trade Survey

    Science.gov (United States)

    2011-01-06

    ... wholesalers, excluding manufacturers' sales branches and offices. The Bureau of Economic Analysis uses this information to improve the inventory valuation adjustments applied to estimates of the Gross Domestic...

  3. Some recent developments in stochastic volatility modelling

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole Eiler; Nicolato, Elisa; Shephard, N.

    2002-01-01

    This paper reviews and puts in context some of our recent work on stochastic volatility (SV) modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and SV, (ii) OU based volatility models, (iii) exact option pricing, (iv) realized power variation...

  4. Volatile Metabolites

    Directory of Open Access Journals (Sweden)

    Daryl D. Rowan

    2011-11-01

    Full Text Available Volatile organic compounds (volatiles comprise a chemically diverse class of low molecular weight organic compounds having an appreciable vapor pressure under ambient conditions. Volatiles produced by plants attract pollinators and seed dispersers, and provide defense against pests and pathogens. For insects, volatiles may act as pheromones directing social behavior or as cues for finding hosts or prey. For humans, volatiles are important as flavorants and as possible disease biomarkers. The marine environment is also a major source of halogenated and sulfur-containing volatiles which participate in the global cycling of these elements. While volatile analysis commonly measures a rather restricted set of analytes, the diverse and extreme physical properties of volatiles provide unique analytical challenges. Volatiles constitute only a small proportion of the total number of metabolites produced by living organisms, however, because of their roles as signaling molecules (semiochemicals both within and between organisms, accurately measuring and determining the roles of these compounds is crucial to an integrated understanding of living systems. This review summarizes recent developments in volatile research from a metabolomics perspective with a focus on the role of recent technical innovation in developing new areas of volatile research and expanding the range of ecological interactions which may be mediated by volatile organic metabolites.

  5. Evaluation of wholesale electric power market rules and financial risk management by agent-based simulations

    Science.gov (United States)

    Yu, Nanpeng

    dissertation, basic financial risk management concepts relevant for wholesale electric power markets are carefully explained and illustrated. In addition, the financial risk management problem in wholesale electric power markets is generalized as a four-stage process. Within the proposed financial risk management framework, the critical problem of financial bilateral contract negotiation is addressed. This dissertation analyzes a financial bilateral contract negotiation process between a generating company and a load-serving entity in a wholesale electric power market with congestion managed by locational marginal pricing. Nash bargaining theory is used to model a Pareto-efficient settlement point. The model predicts negotiation results under varied conditions and identifies circumstances in which the two parties might fail to reach an agreement. Both analysis and agent-based simulation are used to gain insight regarding how relative risk aversion and biased price estimates influence negotiated outcomes. These results should provide useful guidance to market participants in their bilateral contract negotiation processes.

  6. A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method

    DEFF Research Database (Denmark)

    Lunde, Asger; Brix, Anne Floor; Wei, Wei

    We propose an energy spot price model featuring a two-factor price process and a two-component stochastic volatility process. The first factor in the price process captures the normal variations; the second accounts for spikes. The two-component volatility allows for a flexible autocorrelation st...

  7. Operation of Distributed Generation Under Stochastic Prices

    Energy Technology Data Exchange (ETDEWEB)

    Siddiqui, Afzal S.; Marnay, Chris

    2005-11-30

    We model the operating decisions of a commercial enterprisethatneeds to satisfy its periodic electricity demand with either on-sitedistributed generation (DG) or purchases from the wholesale market. Whilethe former option involves electricity generation at relatively high andpossibly stochastic costs from a set of capacity-constrained DGtechnologies, the latter implies unlimited open-market transactions atstochastic prices. A stochastic dynamic programme (SDP) is used to solvethe resulting optimisation problem. By solving the SDP with and withoutthe availability of DG units, the implied option values of the DG unitsare obtained.

  8. Option pricing during post-crash relaxation times

    Science.gov (United States)

    Dibeh, Ghassan; Harmanani, Haidar M.

    2007-07-01

    This paper presents a model for option pricing in markets that experience financial crashes. The stochastic differential equation (SDE) of stock price dynamics is coupled to a post-crash market index. The resultant SDE is shown to have stock price and time dependent volatility. The partial differential equation (PDE) for call prices is derived using risk-neutral pricing. European call prices are then estimated using Monte Carlo and finite difference methods. Results of the model show that call option prices after the crash are systematically less than those predicted by the Black-Scholes model. This is a result of the effect of non-constant volatility of the model that causes a volatility skew.

  9. The impact of wind power on electricity prices

    Energy Technology Data Exchange (ETDEWEB)

    Brancucci Martinez-Anido, Carlo; Brinkman, Greg; Hodge, Bri-Mathias

    2016-08-01

    This paper investigates the impact of wind power on electricity prices using a production cost model of the Independent System Operator - New England power system. Different scenarios in terms of wind penetration, wind forecasts, and wind curtailment are modeled in order to analyze the impact of wind power on electricity prices for different wind penetration levels and for different levels of wind power visibility and controllability. The analysis concludes that electricity price volatility increases even as electricity prices decrease with increasing wind penetration levels. The impact of wind power on price volatility is larger in the shorter term (5-min compared to hour-to-hour). The results presented show that over-forecasting wind power increases electricity prices while under-forecasting wind power reduces them. The modeling results also show that controlling wind power by allowing curtailment increases electricity prices, and for higher wind penetrations it also reduces their volatility.

  10. Pricing mechanism for real-time balancing in regional electricity markets

    NARCIS (Netherlands)

    De Weerdt, M.M.; Ketter, W.; Collins, J.

    2011-01-01

    We consider the problem of designing a pricing mechanism for precisely controlling the real-time balance in electricity markets, where retail brokers aggregate the supply and demand of a number of individual customers, and must purchase or sell power at the wholesale level such that the total supply

  11. Pricing mechanism for real-time balancing in regional electricity markets

    NARCIS (Netherlands)

    De Weerdt, M.M.; Ketter, W.; Collins, J.

    2011-01-01

    We consider the problem of designing a pricing mechanism for precisely controlling the real-time balance in electricity markets, where retail brokers aggregate the supply and demand of a number of individual customers, and must purchase or sell power at the wholesale level such that the total supply

  12. Pricing and collecting decisions in a closed-loop supply chain with symmetric and asymmetric information

    DEFF Research Database (Denmark)

    Wei, Jie; Govindan, Kannan; Li, Yongjian;

    2015-01-01

    The optimal decision problem of a closed-loop supply chain with symmetric and asymmetric information structures is considered using game theory in this paper. The paper aims to explore how the manufacturer and the retailer make their own decisions about wholesale price, retail price, and collection....... The optimal strategies in closed form are given under the decision scenarios with symmetric information; moreover, the first order conditions that the optimal retail price, optimal wholesale price, and optimal collection rate satisfy are given under the decision scenarios with asymmetric information...... rate under symmetric and asymmetric information conditions. Four game models are established, which allow one to examine the strategies of each firm and explore the role of the manufacturer and the retailer in four different game scenarios under symmetric and asymmetric information structures...

  13. Pricing and collecting decisions in a closed-loop supply chain with symmetric and asymmetric information

    DEFF Research Database (Denmark)

    Wei, Jie; Govindan, Kannan; Li, Yongjian

    2015-01-01

    The optimal decision problem of a closed-loop supply chain with symmetric and asymmetric information structures is considered using game theory in this paper. The paper aims to explore how the manufacturer and the retailer make their own decisions about wholesale price, retail price, and collection...... rate under symmetric and asymmetric information conditions. Four game models are established, which allow one to examine the strategies of each firm and explore the role of the manufacturer and the retailer in four different game scenarios under symmetric and asymmetric information structures....... The optimal strategies in closed form are given under the decision scenarios with symmetric information; moreover, the first order conditions that the optimal retail price, optimal wholesale price, and optimal collection rate satisfy are given under the decision scenarios with asymmetric information...

  14. On the Pricing of Options in Incomplete Markets

    NARCIS (Netherlands)

    Melenberg, B.; Werker, B.J.M.

    1996-01-01

    In this paper we reconsider the pricing of options in incomplete continuous time markets.We first discuss option pricing with idiosyncratic stochastic volatility.This leads, of course, to an averaged Black-Scholes price formula.Our proof of this result uses a new formalization of idiosyncraticy whic

  15. Implicit price of mussel characteristics in the auction market

    DEFF Research Database (Denmark)

    Nguyen, Thong Tien

    2012-01-01

    as the ratio of the weight of cooked meat to the total weight and the number of mussel per kg of raw mussels, respectively, are the most important characteristics determining the price. At the sample mean, if the meat content increases by 1%, farmers can get a premium price of 5.5 eurocents kg−1 of raw mussel......This study explores desired and undesired characteristics of mussels in wholesale market by applying hedonic price analysis. Transaction data in auction market in Yerseke, the Netherlands, was used to estimate linear and semi-log price models. Meat content and size count, which are measured....... Mussel lots with size counts below 50 pieces kg−1 can command the highest implicit price of size. Processors prefer mussel lots in which the size of mussels is more or less heterogeneous. The impurity of mussel lots, which is measured by the percentage of tare, the amount of barnacles and limpets per kg...

  16. Private sector responses to price volatility

    OpenAIRE

    Cordier, Jean

    2014-01-01

    Le risque agricole spécifique concerne le risque exogène (climatique, sanitaire et médiatique) et le risque endogène (transfert de risque entre classes d'actifs financiers). Le marché privé du risque est crucial. Il concerne l'assurance pour les risques indépendants et la finance pour les risques systémiques. Les instruments publics et privés doivent être coordonnés pour éviter l'éviction des contrats privés de gestion du risque.

  17. THE IMPACTS OF PRICING SCHEMES ON DECENTRALIZED ASSEMBLY SYSTEMS

    Institute of Scientific and Technical Information of China (English)

    Li JIANG

    2008-01-01

    We study an assembly system where one assembler produces a final product to satisfy the price sensitive and uncertain demands.One unit of final product needs inputs from n complementary components each provided from a distinct supplier.The assembler orders from the suppliers and their relationships are governed by price-only contracts.The assembler practices two alternative pricing schemes:a fixed pricing scheme by which she fixes a retail price in all market situations.and a responsive pricing scheme by which she adjusts retail prices after observing actual demand curves.We find that,when the assembler practices the two pricing schemes,the suppliers charge the same wholesale prices,channel profit is allocated among the firms according to the same proportions,and the relative performances of the system under decentralized decision makings with respect to those under centralized decision makings are the same.Furthermore,responsive pricing improves the assembler's absolute performance,and the gains pass over to the suppliers in terms of higher profits and to the customers in terms of enhanced product availability and lowered market price.

  18. The Future of Centrally-Organized Wholesale Electricity Markets

    Energy Technology Data Exchange (ETDEWEB)

    Glazer, Craig [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Morrison, Jay [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Breakman, Paul [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Clements, Allison [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Schwartz, Lisa [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2017-06-21

    The electricity grid in the United States is organized around a network of large, centralized power plants and high voltage transmission lines that transport electricity, sometimes over large distances, before it is delivered to the customer through a local distribution grid. This network of centralized generation and high voltage transmission lines is called the “bulk power system.” Costs relating to bulk power generation typically account for more than half of a customer’s electric bill.1 For this reason, the structure and functioning of wholesale electricity markets have major impacts on costs and economic value for consumers, as well as energy security and national security. Diverse arrangements for bulk power wholesale markets have evolved over the last several decades. The Southeast and Western United States outside of California have a “bilateral-based” bulk power system where market participants enter into long-term bilateral agreements — using competitive procurements through power marketers, direct arrangements among utilities or with other generation owners, and auctions and exchanges.

  19. RETAIL FOOD PRICE FORECASTING AT ERS: THE PROCESS, METHODOLOGY, AND PERFORMANCE FROM 1984 TO 1997

    OpenAIRE

    Frederick L Joutz; Trost, Robert P.; Hallahan, Charles B.; Clauson, Annette L.; Denbaly, Mark

    2000-01-01

    Forecasting retail food prices has become increasingly important to the U.S. Department of Agriculture (USDA). This is due to the changing structure of food and agricultural economies and the important signals the forecasts provide to farmers, processors, wholesalers, consumers, and policymakers. The American food system is going through fundamental structural changes. It is unclear how these changes will affect the cyclical variation of food price markups and translate into changes in retail...

  20. Factor Structure in Commodity Futures Return and Volatility

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Lunde, Asger; Olesen, Kasper Vinther

    Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration...... volatility indicates a nontrivial degree of market integration....

  1. Energy prices and substitution in United States manufacturing plants

    Science.gov (United States)

    Grim, Cheryl

    Persistent regional disparities in electricity prices, growth in wholesale power markets, and recent deregulation attempts have intensified interest in the performance of the U.S. electric power industry, while skyrocketing fuel prices have brought renewed interest in the effect of changes in prices of all energy types on the U.S. economy. This dissertation examines energy prices and substitution between energy types in U.S. manufacturing. I use a newly constructed database that includes information on purchased electricity and electricity expenditures for more than 48,000 plants per year and additional data on the utilities that supply electricity to study the distribution of electricity prices paid by U.S. manufacturing plants from 1963 to 2000. I find a large compression in the dispersion of electricity prices from 1963 to 1978 due primarily to a decrease in quantity discounts for large electricity purchasers. I also find that spatial dispersion in retail electricity prices among states, counties and utility service territories is large, rises over time for smaller purchasers, and does not diminish as wholesale power markets expand in the 1990s. In addition, I examine energy type consumption patterns, prices, and substitution in U.S. manufacturing plants. I develop a plant-level dataset for 1998 with data on consumption and expenditures on energy and non-energy production inputs, output, and other plant characteristics. I find energy type consumption patterns vary widely across manufacturing plants. Further, I find a large amount of dispersion across plants in the prices paid for electricity, oil, natural gas, and coal. These high levels of dispersion are accounted for by the plant's location, industry, and purchase quantity. Finally, I present estimates of own- and cross-price elasticities of demand for both the energy and non-energy production inputs.

  2. Transfer Pricing

    DEFF Research Database (Denmark)

    Rohde, Carsten; Rossing, Christian Plesner

    trade internally as the units have to decide what prices should be paid for such inter-unit transfers. One important challenge is to uncover the consequences that different transfer prices have on the willingness in the organizational units to coordinate activities and trade internally. At the same time...

  3. Pricing Options.

    Science.gov (United States)

    Tenopir, Carol

    1998-01-01

    Presents results of a recent survey of over 100 public and academic libraries about pricing options from online companies. Most options fall into three categories: pay-as-you-go, fixed-rate, and user-based. Results are discussed separately for public and academic libraries and for consortial discounts. Trends in pricing options preferred by…

  4. Simulation Analysis on Reaction of China's Monetary Policy to Asset Price Volatility%中国货币政策对资产价格波动反应的模拟分析

    Institute of Scientific and Technical Information of China (English)

    王胜; 田涛

    2013-01-01

    By introducing the fluctuation of exchange rate and inflation expectation,this paper uses the IS-Philips model to deduce the monetary policy reaction function considering asset price. Then taking stock price and house price as the proxy variable of asset price respectively.it simulates the effect of fluctuation of asset price on China's economy. The result shows as follows: monetary policy considering house price has significant effects on stabilizing output and price fluctuation, but causes the fluctuation of interest rate to increase; compared with monetary policy considering stock price, monetary policy considering house price has a better effect on stabilizing output and price fluctuation s compared with monetary policy considering stock price, monetary policy considering house price has smaller shock on the fluctuation of interest rate.%利用包含汇率波动和通胀预期的IS-Philips模型推导考虑资产价格的货币政策反应函数.在此基础上,分别以股价和房价作为资产价格的代理变量,模拟分析了资产价格波动对中国经济的影响.研究结果表明:考虑资产价格的货币政策在平抑产出和物价波动方面具有显著作用,但会增大利率波动幅度;考虑房价波动的货币政策比考虑股价波动的货币政策在平抑产出和物价波动方面具有更好的效果;与考虑股价波动的货币政策相比,考虑房价波动的货币政策对利率的冲击更小.

  5. The Variation Law of the Market Price of Pork in Beijing City

    Institute of Scientific and Technical Information of China (English)

    GE Xue-song; HUANG Ti-ran; WANG Xiao-dong; ZHAO You-sen

    2012-01-01

    In order to research the fluctuation law of price of pork in Beijing City and determine its fluctuation cycle,we use level indicator analysis,speed indicator analysis,the coefficient of variation,the seasonal adjustment model and the HP filter method,to analyze the data on the market price of pork in 8 wholesale markets in Beijing City during the period 2002-2011.The results show that the annual price of pork in wholesale markets in Beijing City shows a gradual upward trend;during the period 2002-2011,the price of pork in Beijing City experienced three full fluctuation cycle,and each fluctuation cycle was roughly 38 months;the price of pork within the year shows a trend of " one trough,one crest",and the interval of high prices is mainly concentrated in June-december;the amount of pork for sale within the year is basically inversely correlated with the price.Therefore,we should strengthen the monitoring of pig production information and market information,to ensure the sufficient supply of pork,and stabilize the market price of pork.In addition,according to the variation law of the market price of pork,improving the purchasing,storage and allocation work mechanism of the reserve meat is also necessary to stabilizing the market price of pork.

  6. Electricity prices in a competitive environment: Marginal cost pricing of generation services and financial status of electric utilities. A preliminary analysis through 2015

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    1997-08-01

    The emergence of competitive markets for electricity generation services is changing the way that electricity is and will be priced in the United States. This report presents the results of an analysis that focuses on two questions: (1) How are prices for competitive generation services likely to differ from regulated prices if competitive prices are based on marginal costs rather than regulated {open_quotes}cost-of-service{close_quotes} pricing? (2) What impacts will the competitive pricing of generation services (based on marginal costs) have on electricity consumption patterns, production costs, and the financial integrity patterns, production costs, and the financial integrity of electricity suppliers? This study is not intended to be a cost-benefit analysis of wholesale or retail competition, nor does this report include an analysis of the macroeconomic impacts of competitive electricity prices.

  7. 12 CFR 563e.25 - Community development test for wholesale or limited purpose savings associations.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 5 2010-01-01 2010-01-01 false Community development test for wholesale or... SUPERVISION, DEPARTMENT OF THE TREASURY COMMUNITY REINVESTMENT Standards for Assessing Performance § 563e.25 Community development test for wholesale or limited purpose savings associations. (a) Scope of test. The...

  8. 12 CFR 345.25 - Community development test for wholesale or limited purpose banks.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 4 2010-01-01 2010-01-01 false Community development test for wholesale or... REGULATIONS AND STATEMENTS OF GENERAL POLICY COMMUNITY REINVESTMENT Standards for Assessing Performance § 345.25 Community development test for wholesale or limited purpose banks. (a) Scope of test. The...

  9. 75 FR 31430 - Frequency Regulation Compensation in the Organized Wholesale Power Markets; Notice Establishing...

    Science.gov (United States)

    2010-06-03

    ... Energy Regulatory Commission Frequency Regulation Compensation in the Organized Wholesale Power Markets... technical conference regarding frequency regulation in the organized wholesale power markets, as previously... Markets, 75 FR 23,759, as supplemented by Supplemental Notice of Technical Conference re Frequency...

  10. The state line of solution of imbalances problem the wholesale electricity market of Ukraine

    Directory of Open Access Journals (Sweden)

    А.S. Kolesnichenko

    2011-10-01

    Full Text Available This article deals with the problem of formation and dynamics of imbalances of the wholesale electricity market (WEM of Ukraine. The features and prospects of imbalance control in the context of reforming the wholesale electricity market are analyzed.

  11. Hotel Brand Websites, OTA’s, Meta Search and Wholesalers: A Distribution Dilemma Within The Industry

    Directory of Open Access Journals (Sweden)

    Nick Cohen

    2017-06-01

    Full Text Available As technology and powerful meta search channels increase, wholesale hotel room rates are now being sold publicly online. Now, hotels have the challenge of keeping strong relationships with wholesalers while keeping sales competitive on their brand website and online travel agencies.

  12. 27 CFR 31.53 - Wholesale dealers in beer consummating sales at premises of other dealers.

    Science.gov (United States)

    2010-04-01

    ... 27 Alcohol, Tobacco Products and Firearms 1 2010-04-01 2010-04-01 false Wholesale dealers in beer... beer consummating sales at premises of other dealers. Any dealer who has registered as a wholesale dealer in beer for the place from which that dealer conducts selling operations may consummate sales...

  13. Evaluation on Core Competitiveness of Wholesale Market of Agricultural Products Based on CWAA Operator

    Institute of Scientific and Technical Information of China (English)

    2011-01-01

    According to relevant data,we select five indices,namely management ability,organization and management capability,enterprise culture,development ability and technical equipment ability,to establish the index system of core competitiveness of wholesale market of agricultural products.Based on combination weight arithmetic average(CWAA) operator,we advance an evaluation model of core competitiveness of wholesale market of agricultural products which involves participation of many people.By inviting five exerts,we conduct evaluation in terms of management ability of wholesale market of agricultural products,organization and management capability of leadership,enterprise culture of wholesale market of agricultural products,future development ability of wholesale market of agricultural products,and exiting technical equipment ability of wholesale market of agricultural products.We adopt hundred-mark system to grade and evaluate core competitiveness of wholesale market of agricultural products.The results show that the experts’ evaluation score of core competitiveness of wholesale market of agricultural products is high.The evaluation result is reasonable and authentic and this model is feasible.

  14. 27 CFR 31.163 - Requirements when a wholesale dealer in liquors maintains a retail department.

    Science.gov (United States)

    2010-04-01

    ... wholesale dealer in liquors maintains a retail department. 31.163 Section 31.163 Alcohol, Tobacco Products... wholesale dealer in liquors maintains a retail department. (a) Constructive receipt and sale. When a... spirits, and the retail sales of distilled spirits normally represent 90 percent or more of the volume...

  15. The Value of Renewable Energy as a Hedge Against Fuel Price Risk: Analytic Contributions from Economic and Finance Theory

    Energy Technology Data Exchange (ETDEWEB)

    Bolinger, Mark A; Wiser, Ryan

    2008-09-15

    For better or worse, natural gas has become the fuel of choice for new power plants being built across the United States. According to the Energy Information Administration (EIA), natural gas-fired units account for nearly 90% of the total generating capacity added in the U.S. between 1999 and 2005 (EIA 2006b), bringing the nationwide market share of gas-fired generation to 19%. Looking ahead over the next decade, the EIA expects this trend to continue, increasing the market share of gas-fired generation to 22% by 2015 (EIA 2007a). Though these numbers are specific to the US, natural gas-fired generation is making similar advances in many other countries as well. A large percentage of the total cost of gas-fired generation is attributable to fuel costs--i.e., natural gas prices. For example, at current spot prices of around $7/MMBtu, fuel costs account for more than 75% of the levelized cost of energy from a new combined cycle gas turbine, and more than 90% of its operating costs (EIA 2007a). Furthermore, given that gas-fired plants are often the marginal supply units that set the market-clearing price for all generators in a competitive wholesale market, there is a direct link between natural gas prices and wholesale electricity prices. In this light, the dramatic increase in natural gas prices since the 1990s should be a cause for ratepayer concern. Figure 1 shows the daily price history of the 'first-nearby' (i.e., closest to expiration) NYMEX natural gas futures contract (black line) at Henry Hub, along with the futures strip (i.e., the full series of futures contracts) from August 22, 2007 (red line). First, nearby prices, which closely track spot prices, have recently been trading within a $7-9/MMBtu range in the United States and, as shown by the futures strip, are expected to remain there through 2012. These price levels are $6/MMBtu higher than the $1-3/MMBtu range seen throughout most of the 1990s, demonstrating significant price escalation for

  16. The Value of Renewable Energy as a Hedge Against Fuel Price Risk: Analytic Contributions from Economic and Finance Theory

    Energy Technology Data Exchange (ETDEWEB)

    Bolinger, Mark A; Wiser, Ryan

    2008-09-15

    For better or worse, natural gas has become the fuel of choice for new power plants being built across the United States. According to the Energy Information Administration (EIA), natural gas-fired units account for nearly 90% of the total generating capacity added in the U.S. between 1999 and 2005 (EIA 2006b), bringing the nationwide market share of gas-fired generation to 19%. Looking ahead over the next decade, the EIA expects this trend to continue, increasing the market share of gas-fired generation to 22% by 2015 (EIA 2007a). Though these numbers are specific to the US, natural gas-fired generation is making similar advances in many other countries as well. A large percentage of the total cost of gas-fired generation is attributable to fuel costs--i.e., natural gas prices. For example, at current spot prices of around $7/MMBtu, fuel costs account for more than 75% of the levelized cost of energy from a new combined cycle gas turbine, and more than 90% of its operating costs (EIA 2007a). Furthermore, given that gas-fired plants are often the marginal supply units that set the market-clearing price for all generators in a competitive wholesale market, there is a direct link between natural gas prices and wholesale electricity prices. In this light, the dramatic increase in natural gas prices since the 1990s should be a cause for ratepayer concern. Figure 1 shows the daily price history of the 'first-nearby' (i.e., closest to expiration) NYMEX natural gas futures contract (black line) at Henry Hub, along with the futures strip (i.e., the full series of futures contracts) from August 22, 2007 (red line). First, nearby prices, which closely track spot prices, have recently been trading within a $7-9/MMBtu range in the United States and, as shown by the futures strip, are expected to remain there through 2012. These price levels are $6/MMBtu higher than the $1-3/MMBtu range seen throughout most of the 1990s, demonstrating significant price escalation for

  17. Virtual volatility

    Science.gov (United States)

    Silva, A. Christian; Prange, Richard E.

    2007-03-01

    We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio. In particular, and as an example, we were able to identify mean reversion effect in our portfolio. Finally, we briefly discuss the potential practical effect of the virtual volatility on an investor asset allocation strategy.

  18. Virtual volatility

    OpenAIRE

    A. Christian Silva; Prange, Richard E.

    2006-01-01

    We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio. In particular, and as an example, we were able to identify mean reversion effect in our portfolio. Finally, we briefly discuss the potential practical effect of the virtual volatility on an investor asset allocation st...

  19. Securitization and Lending Standards : Evidence from the Wholesale Loan Market

    NARCIS (Netherlands)

    Kara, A.; Marques-Ibanez, D.; Ongena, S.

    2011-01-01

    We investigate the effect of securitization activity on banks’ lending standards using evidence from pricing behavior on the syndicated loan market. We find that banks more active at originating asset-backed securities are also more aggressive on their loan pricing practices. This suggests that secu

  20. Securitization and Lending Standards : Evidence from the Wholesale Loan Market

    NARCIS (Netherlands)

    Kara, A.; Marques-Ibanez, D.; Ongena, S.

    2011-01-01

    We investigate the effect of securitization activity on banks’ lending standards using evidence from pricing behavior on the syndicated loan market. We find that banks more active at originating asset-backed securities are also more aggressive on their loan pricing practices. This suggests that

  1. Exchange Rate Policy and Endogenous Price Flexibility

    OpenAIRE

    Devereux, Michael B.

    2004-01-01

    A fixed exchange rate limits the ability of the real exchange rate to adjust to shocks, and tends to raise the volatility of real GDP. But adjustment may be enhanced if internal prices are more flexible under a fixed exchange rate. This Paper develops a model in which price setters incur a cost to retain the option of ex-post price flexibility. The benefit of flexibility is increasing in the variance of demand facing price-setters. We ask whether fixing the exchange rate is likely to increase...

  2. Plant volatiles.

    Science.gov (United States)

    Baldwin, Ian T

    2010-05-11

    Plant volatiles are the metabolites that plants release into the air. The quantities released are not trivial. Almost one-fifth of the atmospheric CO2 fixed by land plants is released back into the air each day as volatiles. Plants are champion synthetic chemists; they take advantage of their anabolic prowess to produce volatiles, which they use to protect themselves against biotic and abiotic stresses and to provide information - and potentially disinformation - to mutualists and competitors alike. As transferors of information, volatiles have provided plants with solutions to the challenges associated with being rooted in the ground and immobile.

  3. The pricing of long and short run variance and correlation risk in stock returns

    OpenAIRE

    Cosemans, M.

    2011-01-01

    This paper studies the pricing of long and short run variance and correlation risk. The predictive power of the market variance risk premium for returns is driven by the correlation risk premium and the systematic part of individual variance premia. Furthermore, I find that aggregate volatility risk is priced in the cross-section because shocks to average stock volatility and correlation are priced. Both long and short run volatility and correlation factors have explanatory power for returns....

  4. Discrimination of Cross-Market Price Manipulations in Stock Index Futures Market:Evidences from Volatility and Liquidity%从波动性和流动性判别股指期货跨市场价格操纵行为

    Institute of Scientific and Technical Information of China (English)

    张维; 韦立坚; 熊熊; 李根; 马正欣

    2011-01-01

    股指期货价格操纵一般具有期现跨市场联合操纵的特点,仅按单一市场从波动性分析去判别价格操纵行为是不够充分的。本文引入流动性分析为判别提供了更充分的依据:首先运用GARCH模型分析被操纵资产在波动性的异常变化,判断价格序列偏离了"自然特性",具有被操纵的嫌疑;然后利用日交易量、日持仓量和Amivest流动性比率等指标分析流动性的异常变化,发现与根据跨市场操纵过程推测的变化一致,从而构成价格操纵行为的事实依据。%This paper aims to expand the method that we usually discriminate price manipulation behavior in accordance with the analysis of market volatility in the single market in view of the fact that stock index futures price manipulation bears the characteristics of cross-market.This paper firstly uses GARCH model to analyze the abnormal changes concerning the volatility of the manipulated assets,then comes to the conclusion that the price series deviate from the"natural characteristics" and are suspected of being manipulated.Following this,it analyses the abnormal change of volatility by use of the daily trading volume daily positions and Amivest liquidity ratios indicators and finds out that price manipulation behavior exerts a big impact upon the liquidity changes.And then,it comes to the final conclusion that the liquidity changes are consistent with the manipulation processes,so it forms the factual basis of the existence of the price manipulation behavior.

  5. Arbitrage and Volatility in Chinese Stock's Markets

    Science.gov (United States)

    Lu, Shu Quan; Ito, Takao; Zhang, Jianbo

    From the point of view of no-arbitrage pricing, what matters is how much volatility the stock has, for volatility measures the amount of profit that can be made from shorting stocks and purchasing options. With the short-sales constraints or in the absence of options, however, high volatility is likely to mean arbitrage from stock market. As emerging stock markets for China, investors are increasingly concerned about volatilities of Chinese two stock markets. We estimate volatility's models for Chinese stock markets' indexes using Markov chain Monte Carlo (MCMC) method and GARCH. We find that estimated values of volatility parameters are very high for all data frequencies. It suggests that stock returns are extremely volatile even at long term intervals in Chinese markets. Furthermore, this result could be considered that there seems to be arbitrage opportunities in Chinese stock markets.

  6. Price increase

    CERN Multimedia

    2006-01-01

    Please take note that after five years of stable prices at Restaurant No 1 a price increase will come into force on 1st January 2006. This increase has been agreed after discussions between the CSR (Comité de Surveillance des Restaurants) and the catering company Novae and will reflect the inflation rate of the last few years. In addition, a new children's menu will be introduced, as well as 'Max Havelaar' fair-trade coffee at a price of 1.70 CHF.

  7. Price increase

    CERN Multimedia

    2005-01-01

    Please take note that after five years of stable prices at Restaurant No 1 a price increase will come into force on 1st January 2006. This increase has been agreed after discussions between the CSR (Comité de Surveillance des Restaurants) and the catering company Novae and will reflect the inflation rate of the last few years. In addition, a new children's menu will be introduced as well as 'Max Havelaar' fair-trade coffee at a price of 1.70 CHF.

  8. Option Pricing Method in a Market Involving Interval Number Factors

    Institute of Scientific and Technical Information of China (English)

    2005-01-01

    The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in the interval number valued market and the rule to judge the reasonability of a price interval are given. Using the method, the price interval where the riskless interest and the volatility under B-S setting is given. The price interval from binomial tree model when the key factors u, d, R are all interval numbers is also discussed.

  9. 27 CFR 31.52 - Wholesale dealers in liquors consummating sales of wines or beer at premises of other dealers.

    Science.gov (United States)

    2010-04-01

    ... liquors consummating sales of wines or beer at premises of other dealers. 31.52 Section 31.52 Alcohol... § 31.52 Wholesale dealers in liquors consummating sales of wines or beer at premises of other dealers... wholesale dealer on account of those sales. (b) Sales of beer. Any wholesale dealer in liquors who...

  10. Labor Unions and Asset Prices

    DEFF Research Database (Denmark)

    Busato, Francesco; Addessi, William

    The paper investigates the nexus between labor and financial markets, focusing on the interaction between labor union behavior in setting wages, firms' investment strategy and asset prices. The way unions set wage claims after observing firm's financial performance increases the volatility of firms......' returns and the riskiness of corporate ownership. To remunerate this higher volatility and stronger risk, firms' equities have to grant high return. This mechanism is able to offer an explanation of for the "equity puzzle", that is it can explain the difference between equity returns and the risk free...

  11. Stochastic volatility and stochastic leverage

    DEFF Research Database (Denmark)

    Veraart, Almut; Veraart, Luitgard A. M.

    This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...... treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility...... models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new...

  12. Assessing Relative Volatility/Intermittency/Energy Dissipation

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole E.; Pakkanen, Mikko; Schmiegel, Jürgen

    We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are generated by a non-semimartingale, or a Brownian semistationary...... process in particular. While this estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, we apply it also to energy price data. Moreover, we develop a probabilistic asymptotic theory for relative power variations of Brownian semistationary...... processes and Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency....

  13. Unstable volatility

    DEFF Research Database (Denmark)

    Casas, Isabel; Gijbels, Irène

    2012-01-01

    The objective of this paper is to introduce the break-preserving local linear (BPLL) estimator for the estimation of unstable volatility functions for independent and asymptotically independent processes. Breaks in the structure of the conditional mean and/or the volatility functions are common i...

  14. Unstable volatility

    DEFF Research Database (Denmark)

    Casas, Isabel; Gijbels, Irène

    2012-01-01

    The objective of this paper is to introduce the break-preserving local linear (BPLL) estimator for the estimation of unstable volatility functions for independent and asymptotically independent processes. Breaks in the structure of the conditional mean and/or the volatility functions are common i...

  15. Food Price Policy in an Era of Market Instability: A Political Economy Analysis

    OpenAIRE

    Pinstrup-Andersen, Per

    2016-01-01

    Food price volatility is one of the major challenges facing the global agricultural system today. This was most vividly illustrated during the global food crisis of 2007–9 when price spikes occurred for key staple food commodities—such as wheat, rice, maize, and soybeans. Given the variety of reactions by governments of countries experiencing similar food price shocks, the 2007–9 crisis offered an excellent natural experiment for generating knowledge on responses to price volatility in partic...

  16. Implied volatility transmissions between Thai and selected advanced stock markets

    OpenAIRE

    Thakolsri, Supachok; Sethapramote, Yuthana; Jiranyakul, Komain

    2015-01-01

    This paper investigates the impacts of changes in the U. S. implied volatility on the changes in implied volatilities of the Euro and Thai stock markets. For that purpose, volatilities implicit in stock index option prices from the U. S., Euro and Thai stock markets are analyzed using the standard Granger causality test, impulse response analysis, and variance decompositions. The results found in this study suggest that the U. S. stock market is the leading source of volatility transmissions ...

  17. Forecasting Exchange Rate Volatility in the Presence of Jumps

    OpenAIRE

    Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    2005-01-01

    We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of exchange rate futures options, allowing calculation of option implied volatility. We find that implied volatility is an informationally efficient but biased forecast of future realized exchange rate v...

  18. Competitive electricity markets, prices and generator entry and exit

    Science.gov (United States)

    Ethier, Robert George

    The electric power industry in the United States is quickly being deregulated and restructured. In the past, new electric generation capacity was added by regulated utilities to meet forecasted demand levels and maintain reserve margins. With competitive wholesale generation, investment will be the responsibility of independent private investors. Electricity prices will assume the coordinating function which has until recently been the responsibility of regulatory agencies. Competitive prices will provide the entry and exit signals for generators in the future. Competitive electricity markets have a distinctive price formation process, and thus require a specialized price model. A mean-reverting price process with stochastic jumps is proposed as an appropriate long-run price process for annual electricity prices. This price process is used to develop an analytic real options model for private investment decisions. The required recursive infinite series solutions have not been widely used for real option models. Entry thresholds and asset values for competitive wholesale electricity markets, and exit decisions for plants with significant retirement costs (i.e. nuclear power plants), are examined. The proposed model results in significantly lower trigger prices for both entry and exit decisions, and higher asset values, when compared with other standard models. The model is used to show that the incentives for retiring a nuclear plant are very sensitive to the treatment of decommissioning costs (e.g. if plant owners do not face full decommissioning costs, retirement decisions may be economically premature.) An econometric model of short-run price behavior is estimated by the method of maximum likelihood using daily electricity prices from markets in the USA and Australia. The model specifies two mean reverting price processes with stochastic Markov switching between the regimes, which allows discontinuous jumps in electricity prices. Econometric tests show that a two

  19. Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market

    OpenAIRE

    Onour, Ibrahim

    2011-01-01

    This paper investigates the causal relationships between volatility in Saudi stock market and banks credit for equity investments. Our finding indicate there is a bi-directional feedback effects between the stock price volatility and banks credit loans. In other words, volatility in private credit for equity investments influence volatility in stock price and vice versa. A policy implication of such result is that regulating private credit loans in banking sector could reduce the upn...

  20. Fair pricing, and pricing paradoxes

    Directory of Open Access Journals (Sweden)

    Barbara Swart

    2016-05-01

    Full Text Available The St Petersburg Paradox revolves round the determination of a fair price for playing the St Petersburg Game. According to the original formulation, the price for the game is infinite, and, therefore, paradoxical. Although the St Petersburg Paradox can be seen as concerning merely a game, Paul Samuelson (1977 calls it a “fascinating chapter in the history of ideas”, a chapter that gave rise to a considerable number of papers over more than 200 years involving fields such as probability theory and economics. In a paper in this journal, Vivian (2013 undertook a numerical investigation of the St Petersburg Game. In this paper, the central issue of the paradox is identified as that of fair (risk-neutral pricing, which is fundamental in economics and finance and involves important concepts such as no arbitrage, discounting, and risk-neutral measures. The model for the St Petersburg Game as set out in this paper is new and analytical and resolves the so-called pricing paradox by applying a discounting procedure. In this framework, it is shown that there is in fact no infinite price paradox, and simple formulas for obtaining a finite price for the game are also provided.

  1. Value-added service provision through ICT by drug wholesalers in Japan

    Directory of Open Access Journals (Sweden)

    Tsutomu Nakamura

    2013-06-01

    Full Text Available This report examines the ways in which drug wholesalers have played a role in healthcare distribution in Japan. Such merchants have reorganized their operations and provided new value-added services for customers through the use of Information and Communication Technology (ICT. In addition to performing intermediate distribution, they have also intensified logistics functions for pharmaceutical manufacturers and pharmacies. Because drug wholesalers need to meet the local needs of specific regions when introducing ICT, the technology is not implemented in all areas. The results of this survey on drug wholesalers highlight the balance between the potential for expanding geographic reach and practicing local specialization.

  2. Processes of concentration of wholesale trade in poland in the light of empirical research

    Directory of Open Access Journals (Sweden)

    Szymon Strojny

    2016-09-01

    Full Text Available Background: The increasing role of trade as the integrator of distribution channels has been observed in Poland recently. Retail companies have gained a competitive advantage in relationships with both  suppliers and recipients. The natural questions are, how the situation of the wholesale trade looks at present in such a situation and what prospects it has for the future. The main aim of this paper is to identify and describe the influence of new conditions on the development of the wholesale trade as part of the supply chain. The hypothesis was assumed that this development is determined by processes related to the concentration of trade companies, which were also visiblerecently in Poland. Methods: The main concentration processes in Polish trade were identified based on a literature review and previous research. Then, based on the results of a survey and data obtained from the Central Statistical Office, the influence of these trends on the development of wholesale trade was evaluated. The further directions of changes in Polish wholesale trade were also indicated. Empirical research was conducted by the use of a direct interview with a random sample of 108 wholesale companies, both independent  and as part of chains. The research focused on wholesalers' opinions of market trends and integration processes in Polish wholesale trade and cover the  years 2014-15. Results: The results show the key market processes with regard to trade concentration. The biggest threats to the development of the wholesale trade are the processes of the horizontal concentration in retail. The concentration of retail companies leads to a shortening of the distribution channels and direct purchases from producers omitting the wholesale stage. Despite these threats, wholesalers describe their situation as good, and their opinion can be confirmed in data provided by the Central Statistical Office. Conclusions: The market processes identified must be taken into

  3. The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts

    NARCIS (Netherlands)

    F. Ravazzolo (Francesco); C. Zhou (Chen); C. Huurman

    2007-01-01

    textabstractIn the literature the effects of weather on electricity sales are well-documented. However, studies that have investigated the impact of weather on electricity prices are still scarce (e.g. Knittel and Roberts, 2005), partly because the wholesale power markets have only recently been

  4. The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts

    NARCIS (Netherlands)

    F. Ravazzolo (Francesco); C. Zhou (Chen); C. Huurman

    2007-01-01

    textabstractIn the literature the effects of weather on electricity sales are well-documented. However, studies that have investigated the impact of weather on electricity prices are still scarce (e.g. Knittel and Roberts, 2005), partly because the wholesale power markets have only recently been der

  5. Governança corporativa: nível de evidenciação das informações e sua relação com a volatilidade das ações do Ibovespa Corporate governance: information disclosure level and its relation with the stock price volatility on Ibovespa

    Directory of Open Access Journals (Sweden)

    Mara Jane Contrera Malacrida

    2006-08-01

    Full Text Available Este estudo busca analisar se o nível de evidenciação de informações contábeis, apresentadas pelas empresas componentes do Ibovespa, influencia a volatilidade do retorno de suas ações quando negociadas na Bolsa de Valores de São Paulo, pois se espera que empresas com maior nível de evidenciação apresentem menor volatilidade dos retornos de suas ações. Para efetuar a análise entre o nível de evidenciação e a volatilidade do retorno das ações, fez-se necessária a coleta das informações publicadas por 42 empresas pertencentes ao Ibovespa, através dos relatórios anuais referentes ao exercício de 2002. Após segregar essas companhias em 3 grupos distintos, de acordo com seus níveis específicos de evidenciação, foram aplicados testes estatísticos com o propósito de se verificar a existência de diferenças significativas entre o nível de evidenciação das empresas e a volatilidade do retorno das suas ações. Este estudo caracteriza-se como empírico-analítico, e as análises possibilitaram a constatação de que as empresas com maior nível médio de evidenciação das informações contábeis apresentam menor volatilidade média dos retornos das ações; as empresas com menor nível médio de evidenciação das informações contábeis apresentam maior volatilidade média dos retornos das ações. Com isso, verifica-se que maior nível médio de evidenciação resulta em menor volatilidade média dos retornos das ações.This empirical-analytical study investigates the role of accounting as a source of information to the Brazilian capital market. It aims to verify whether the accounting disclosure level provided by Brazilian entities is related to the volatility of their share prices on Bovespa (Brazilian Stock Exchange. Entities with greater accounting disclosure level are expected to present lower volatility of their stock returns. To analyze the relation between disclosure level and stock price volatility, we

  6. Wholesale energy market in a smart grid. Dynamic modeling, stability, and robustness

    Energy Technology Data Exchange (ETDEWEB)

    Kiani Bejestani, Arman

    2013-01-24

    The recent paradigm shift in the architecture of the smart grid is driven by the need to integrate Renewable Energy Resources (RER), the availability of information through communication networks, and an emerging policy of demand that is intertwined with pricing. A major component of this architecture is the design of electricity markets, which pertains to the optimal scheduling of power generation and reserve requirements. The challenge is to carry out this scheduling with a high level of integration of renewable generation sources, a formidable task due to intermittency and uncertainty. Introducing huge intermittency and uncertainty in the smart grid will demand a dynamic framework for addressing the operation, scheduling and financial settlements in the uncertain environment. The temporal components in scheduling generation are necessary due to increasing penetration of renewable sources, and increasing potential of adjustable demand via Demand Response (DR). The former brings issues of strong intermittency and uncertainty, and the latter brings a feedback structure, where demand can be modulated over a range of time-scales. Both of these components are dictating a new look at market mechanisms, with a controls viewpoint enabling a novel framework for analysis and synthesis. This dissertation provides static and dynamic models that capture the various aspects of electrical power systems, including the dynamics of market participants, the physical and technical constraints of power systems, and the uncertainty of RER. The proposed models shed new light on wholesale electricity market design, allowing an understanding to be gained of how to create markets, which enhance the stability of price profiles, and efficiency of the power systems, in the presence of uncertain demand and intermittent resources. The notion of market equilibrium in the presence of RER and DR is presented. The effects of uncertainties due to forecast errors in RER and variations due to DR on

  7. Chasing volatility

    DEFF Research Database (Denmark)

    Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo

    The realized volatility of financial returns is characterized by persistence and occurrence of unpreditable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification, the condi...... models, the introduction of the jump component provides a sensible improvement in the fit, as well as for in-sample and out-of-sample volatility tail forecasts....

  8. French wholesale electricity and gas markets in 2007. Monitoring report; Le fonctionnement des marches de gros francais de l'electricite et du gaz naturel en 2007. Rapport de surveillance

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2008-12-15

    Settled on 24 March 2000, the French Energy Regulatory Commission (CRE) is an independent authority. CRE supports an efficient functioning of the electricity and natural gas markets, to the advantage of final consumers. CRE ensures the absence of any discrimination, cross subsidy or obstacle to competition. CRE has examined the functioning of the wholesale markets for electricity and gas for the year 2007. The report discloses the results of a first set of analyses, as well as the next actions to be conducted in order to explain some observed behaviour. On the basis of analyses led on the electricity market, CRE observes that nuclear generation was marginal during 15% of the hours in 2007. Hydraulic generation was marginal during 25% of the hours, coal generation during 25% to 30% of the hours and oil generation during less than 2% of the hours in 2007. Finally, prices on the border markets were of high importance on the French prices which they determined during 20% to 25% of the hours of the year. On an efficient market, the price is driven by the marginal power plant among all those which contribute to satisfy the demand. Therefore the wholesale price formation is conditioned by the frequency of marginality of each generation sector and by the associated valuation of production. On the day-ahead market, when nuclear or hydraulic generation was marginal, the day-ahead price reflected the associated valuation which was decided by EDF. The level of this valuation was generally higher than the marginal generation cost of these plants. As a matter of fact, a producer, even market dominant, may legitimately seek to optimise its income, provided that there is no abuse of a dominant position or any price manipulation. Consequently, at this stage, the relevance of the valuation method for nuclear and hydraulic generation on the wholesale market is still to be checked. CRE has also demonstrated that generation transparency, even if it gradually increased, still needs to

  9. Sectoral Innovation Foresight. Wholesale and Retail Trade Sector. Final Report. Task 2

    NARCIS (Netherlands)

    Giesecke, S.; Schaper-Rinkel

    2010-01-01

    The internationalization, concentration and differentiation of retailing is challenging the traditional retail and wholesale sector organisation and its distribution structures that firms have employed to get goods and services to market. With the intensification of competition and speed of change

  10. Improvement of logistics system wholesale trade companies at conditions of uncertainty

    Directory of Open Access Journals (Sweden)

    Gizatulin, Artem Mahmutovych

    2011-11-01

    Full Text Available In the article has developed a new simulation model for optimizing logistics flows, which increases the efficiency of the wholesalers logistics system at conditions of uncertainty.

  11. Food Wholesalers and Distributors, US and Territories, 2015, EPA Region 9

    Data.gov (United States)

    U.S. Environmental Protection Agency — This GIS dataset contains point features that represent food wholesalers, distributors, and supermarket and grocery stores represented by twenty-two unique NAICS...

  12. A study on electricity export capability of the μCHP system with spot price

    DEFF Research Database (Denmark)

    You, Shi; Træholt, Chresten; Poulsen, Bjarne

    2009-01-01

    When a number of muCHP systems are aggregated as a virtual power plant (VPP), they will be able to participate in the electricity wholesale market with no discrimination compared to conventional large power plants. Hence, this paper investigates the electricity export capability of the muCHP syst...... technical parameters, the associated energy price during the trade, as well as the demand profile. Furthermore, the muCHP system running under fluctuating spot price is likely to gain more profit than that running under a fixed electricity export price....

  13. Forecasting of the Egg Price Based on EEMD

    Institute of Scientific and Technical Information of China (English)

    Dan; WANG; Yucheng; HE

    2015-01-01

    In the transitional period of " new normal",the target price is put forward to deepen the reform system of agricultural product price. Egg is the main agricultural product and its price has fluctuated violently in recent years. Setting up a target price for egg will reduce the price fluctuations. This article brings up a three-step agricultural price forecasting model based on EEMD and applies it to the analysis of egg price. It shows that the upward trend can be divided into three stages,and the fluctuation is greater than that of food consumer price in the foreseeable future. The volatility of egg price is bad for the development of the fresh market and stable life of the residents. This article finally puts forward some recommendations.

  14. Price Setting Behaviour in the Czech Republic, Micro Data Evidence

    Directory of Open Access Journals (Sweden)

    Robert Murárik

    2011-06-01

    Full Text Available The aim of this analysis was to obtain information on the strategies of retailers of consumer goods andservices in terms of changes to final prices. From detailed data on many price changes in all the monitoredstores we have evaluated, for example, how often the prices of specific items change or rise or fall, and byhow much on average, how these indicators change during the year, whether downwards price rigidityexists and so on.The average price change frequency for all the selected items came to 0.26, which means that approximatelyone in every four prices was changed compared to the month before. A typical characteristic of theprices of regulated items was that these prices mainly rose and this usually by steps of higher percentagesand mostly at the start of the year. Food prices had a higher frequency of price changes, mainly in the caseof unprocessed foods, which is a consequence of the volatile development of the prices of agricultural commodities.The prices of tradables excluding food and fuels continuously fell for the whole of the monitoredperiod and only had a low price change frequency. The prices of non-regulated non-tradables continuouslyand smoothly rose and, with the exception of hypothetical rent and package holidays, this subgroupdemonstrated the lowest frequency of price changes. The prices of fuels changed most frequently while onaverage these price changes were the lowest in size, as they react relatively quickly to changes in the pricesof raw materials and the koruna exchange rate.

  15. Perceptions and practices of pharmaceutical wholesalers surrounding counterfeit medicines in a developing country: a baseline survey

    OpenAIRE

    Khan Mohiuddin H; Akazawa Manabu; Dararath Eav; Kiet Heng B; Sovannarith Tey; Nivanna Nam; Yoshida Naoko; Kimura Kazuko

    2011-01-01

    Abstract Background Recent investigations by the Ministry of Health of Cambodia suggest that counterfeit medicines have been introduced into the pharmaceutical market in tampered packaging. To further explore this possibility, an interview survey was conducted at the wholesaler level to investigate the medicinal supply chain in Cambodia. Methods Managing executives of 62 (83.8%) registered wholesalers of modern medicines in Cambodia were interviewed in 2009 on their knowledge of, perception o...

  16. Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis

    Energy Technology Data Exchange (ETDEWEB)

    Du Xiaodong, E-mail: xdu23@wisc.ed [Department of Agricultural and Applied Economics, University of Wisconsin-Madison, WI (United States); Yu, Cindy L., E-mail: cindyyu@iastate.ed [Department of Statistics, Iowa State University, IA (United States); Hayes, Dermot J., E-mail: dhayes@iastate.ed [Department of Economics and Department of Finance, Iowa State University, IA (United States)

    2011-05-15

    This paper assesses factors that potentially influence the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn, and wheat futures prices from November 1998 to January 2009. Model parameters are estimated using Bayesian Markov Chain Monte Carlo methods. Speculation, scalping, and petroleum inventories are found to be important in explaining the volatility of crude oil prices. Several properties of crude oil price dynamics are established, including mean-reversion, an asymmetry between returns and volatility, volatility clustering, and infrequent compound jumps. We find evidence of volatility spillover among crude oil, corn, and wheat markets after the fall of 2006. This can be largely explained by tightened interdependence between crude oil and these commodity markets induced by ethanol production.

  17. Volatility at Karachi Stock Exchange

    OpenAIRE

    Aslam Farid; Javed Ashraf

    1995-01-01

    Frequent “crashes” of the stock market reported during the year 1994 suggest that the Karachi bourse is rapidly converting into a volatile market. This cannot be viewed as a positive sign for this developing market of South Asia. Though heavy fluctuations in stock prices are not an unusual phenomena and it has been observed at almost all big and small exchanges of the world. Focusing on the reasons for such fluctuations is instructive and likely to have important policy implications. Proponen...

  18. Three essays on the effects of oil prices on state economies

    Science.gov (United States)

    Kang, Wei

    2011-12-01

    This dissertation consists of three chapters that examine the effects of oil prices on state economies. The first chapter, "Asymmetric Effects of Oil Prices on State Economies," examines the impact of oil price changes on state-level income growth. I find strong evidence of asymmetry in the impacts of oil prices and that states vary considerably in terms of sensitivity to oil price shocks. Further analysis shows that states with a higher prevalence of manufacturing and higher coal production are more likely to be negatively affected by positive oil price shocks, while states with a high prevalence of petroleum and natural gas production tend to benefit from positive oil price shocks. The second chapter, "Regime-Switching Analysis of a State Economy's Response to An Oil Price Shock," analyzes the effects of oil price changes on state economies using a smooth transition autoregressive (STAR) approach. States are shown to present differences in both the tolerance and speed of response to an oil price shock. The differences are further explained by state-specific economic characteristics. The third chapter, "Multivariate Unobserved Component Analysis of State Employment with Oil Price Volatility," investigates whether and how oil price volatility affects state employment, with a focus on regional similarities and differences. Results show that oil price volatility has significant negative impacts on most states. Further, states with a higher prevalence of motor vehicle production are likely to experience larger job losses during periods of high oil price volatility.

  19. Analyzing Crude Oil Spot Price Dynamics versus Long Term Future Prices: A Wavelet Analysis Approach

    Directory of Open Access Journals (Sweden)

    Josué M. Polanco-Martínez

    2016-12-01

    Full Text Available The West Texas Intermediate (WTI spot price shows high volatility and in 2014 and 2015 when quoted prices declined sharply, long-term prices in future markets were less volatile. These prices are different and diverge depending on how they process fundamental and transitory factors. US tight oil production has been a major innovation with significant macroeconomic effects. In this paper we use WTI spot prices and long-term futures prices, the latter calculated as the expected value with a stochastic model calibrated with the futures quotes of each sample day. These long-term prices are the long-term equilibrium value under risk neutral measurement. In order to analyze potential time-scale relationships between spots and future, we perform a wavelet cross-correlation analysis using a novel wavelet graphical tool recently proposed. To check the direction of the causality, we apply non-linear causality tests to raw data and log returns as well as to the wavelet transform of the spot and futures prices. Our results show that in the spot and futures markets for the period 24 February 2006–2 April 2016 there is a bi-directional causality effect for most time scales (from intra-week to biannual. This suggests that spot and futures prices react simultaneously to new information.

  20. There's more to volatility than volume

    CERN Document Server

    Gillemot, L; Lillo, F; Gillemot, Laszlo; Lillo, Fabrizio

    2005-01-01

    It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, which cause both clustered volatility and heavy tails in price returns. We investigate this hypothesis using tick by tick data from the New York and London Stock Exchanges and show that only a small fraction of volatility fluctuations are explained in this manner. Clustered volatility is still very strong even if price changes are recorded on intervals in which the total transaction volume or number of transactions is held constant. In addition the distribution of price returns conditioned on volume or transaction frequency being held constant is similar to that in real time, making it clear that neither of these are the principal cause of heavy tails in price returns. We analyze recent results of Ane and Geman (2000) an...

  1. Nash equilibrium strategy in the deregulated power industry and comparing its lost welfare with Iran wholesale electricity market

    Science.gov (United States)

    Mousavi, Seyed Hosein; Nazemi, Ali; Hafezalkotob, Ashkan

    2016-07-01

    With the increasing use of different types of auctions in market designing, modeling of participants' behaviors to evaluate the market structure is one of the main discussions in the studies related to the deregulated power industries. In this article, we apply an approach of the optimal bidding behavior to the Iran wholesale electricity market as a restructured electric power industry and model how the participants of the market bid in the spot electricity market. The problem is formulated analytically using the Nash equilibrium concept composed of large numbers of players having discrete and very large strategy spaces. Then, we compute and draw supply curve of the competitive market in which all generators' proposed prices are equal to their marginal costs and supply curve of the real market in which the pricing mechanism is pay-as-bid. We finally calculate the lost welfare or inefficiency of the Nash equilibrium and the real market by comparing their supply curves with the competitive curve. We examine 3 cases on November 24 (2 cases) and July 24 (1 case), 2012. It is observed that in the Nash equilibrium on November 24 and demand of 23,487 MW, there are 212 allowed plants for the first case (plants are allowed to choose any quantity of generation except one of them that should be equal to maximum Power) and the economic efficiency or social welfare of Nash equilibrium is 2.77 times as much as the real market. In addition, there are 184 allowed plants for the second case (plants should offer their maximum power with different prices) and the efficiency or social welfare of Nash equilibrium is 3.6 times as much as the real market. On July 24 and demand of 42,421 MW, all 370 plants should generate maximum energy due to the high electricity demand that the economic efficiency or social welfare of the Nash equilibrium is about 2 times as much as the real market.

  2. Real prices from spot foreign exchange market

    Science.gov (United States)

    Petroni, Filippo; Serva, Maurizio

    2004-12-01

    In this work we discuss the problem of price definition when using high frequency foreign exchange data. If one uses the spot mid price a strong autocorrelation of returns, at one lag, is found which is only due to microstructure effect and does not capture the real behavior of price dynamics. This autocorrelation increases the intraday volatility estimated from this type of data. To solve this problem we introduce an algorithm which is able, by using the no-arbitrage principle, of eliminating every microstructure effects.

  3. Observability of market daily volatility

    Science.gov (United States)

    Petroni, Filippo; Serva, Maurizio

    2016-02-01

    We study the price dynamics of 65 stocks from the Dow Jones Composite Average from 1973 to 2014. We show that it is possible to define a Daily Market Volatility σ(t) which is directly observable from data. This quantity is usually indirectly defined by r(t) = σ(t) ω(t) where the r(t) are the daily returns of the market index and the ω(t) are i.i.d. random variables with vanishing average and unitary variance. The relation r(t) = σ(t) ω(t) alone is unable to give an operative definition of the index volatility, which remains unobservable. On the contrary, we show that using the whole information available in the market, the index volatility can be operatively defined and detected.

  4. Animal health and price transmission along livestock supply chains.

    Science.gov (United States)

    Aragrande, M; Canali, M

    2017-04-01

    Animal health diseases can severely affect the food supply chain by causing variations in prices and market demand. Price transmission analysis reveals in what ways price variations are transmitted along the supply chain, and how supply chains of substitute products and different regional markets are also affected. In perfect markets, a price variation would be completely and instantaneously transmitted across the different levels of the supply chain: producers, the processing industry, retailers and consumers. However, empirical studies show that food markets are often imperfect, with anomalies or asymmetries in price transmission and distortions in the distribution of market benefits. This means, for instance, that a price increase at the consumer level may not be transmitted from retailers to processors and producers; yet, on the other hand, price falls may rapidly affect the upstream supply chain. Market concentration and the consequent exertion of market power in key segments of the supply chain can explain price transmission asymmetries and their distributional effects, but other factors may also be involved, such as transaction costs, scale economies, and imperfect information. During the bovine spongiform encephalopathy (BSE) crisis, asymmetric price transmission in the beef supply chain and related meat markets determined distributional effects among sectors. After the spread of the BSE food scare, the fall in demand marginally affected the price paid to retailers, but producers and wholesalers suffered much more, in both price reductions and the time needed to recover to precrisis demand. Price transmission analysis investigates how animal health crises create different economic burdens for various types of stakeholder, and provides useful socioeconomic insights when used with other tools.

  5. Policy Dilemmas in India - The Impact of Changes in Agricultural Prices on Rural and Urban Poverty

    OpenAIRE

    2008-01-01

    Trade policy reforms which lead to changes in world prices of agricultural commodities or domestic policies aimed at affecting agricultural prices are often seen as causing a policy dilemma : a fall in agricultural prices benefits poor urban consumers but hurts poor rural producers, while a rise yields the converse. Poor countries have argued that they need to be able to use import protection and/or price support policies to protect themselves against volatility in world agricultural prices i...

  6. Policy dilemmas in India: The Impact of changes in agricultural prices on rural and urban poverty

    OpenAIRE

    2008-01-01

    Trade policy reforms which lead to changes in world prices of agricultural commodities or domestic policies aimed at affecting agricultural prices are often seen as causing a policy dilemma: a fall in agricultural prices benefits poor urban consumers but hurts poor rural producers, while a rise yields the converse. Poor countries have argued that they need to be able to use import protection and/or price support policies to protect themselves against volatility in world agricultural prices in...

  7. The effect of the volatility of the oil price in the actual world economy (1998 until 02/2008); A influencia da volatilidade dos precos do petroleo na atual economia mundial

    Energy Technology Data Exchange (ETDEWEB)

    Plaster, Vinicius Almeida [Universidade Vila-Velha, ES (Brazil). Relacoes Internacionais

    2008-07-01

    In the elapse of the X X century the world experienced different cycles of prices in the world's oil production. From the principle of the century until the years 70's there were times of relative stability, in the 70's nevertheless a little variation in the price took the world's economy into a huge recession. Since then the consume of oil, that were increasing, has suffered a shock and started to decrease. The stability just will return in the 90's , but it will not last for a long time, and not with the same level of prices of the time before crisis, but as sad before it do not last long, as we can see nowadays the quotation break new records every day , but one factor distinguish this new shock of prices, of the shock of the 70's. Distinct of that time, the global economy in the beginning of the X XI century live a period of economical stability that was not seen for a long time in history, with controlled inflation and decrease of the interests rates, therefore this article concludes that happened a maturation of global economy, and that due the previous shocks happened a diversification in relation of the previous excessive dependence of oil. (author)

  8. Effects of regulatory reforms in the electricity supply industry on electricity prices in developing countries

    Energy Technology Data Exchange (ETDEWEB)

    Nagayama, Hiroaki [Kyoto University, Yoshida-honmachi, Kyoto (Japan). Graduate School of Energy Science, Department of Socio-Environmental Energy Science

    2007-06-15

    Electric power sector reforms in the electricity supply industry have had an impact on industrial and household prices in developing countries in Latin America, the former Soviet Union, and Eastern Europe. Using original panel data for 83 countries during the period from 1985 to 2002, we examine how each policy instrument of the reform measures influenced electricity prices for countries in the above regions. We found that variables such as entry of independent power producers (IPP), unbundling of generation and transmission, establishment of a regulatory agency, and the introduction of a wholesale spot market have had a variety of impacts on electricity prices, some of which were not always consistent with expected results. The research findings suggest that neither unbundling nor introduction of a wholesale pool market on their own necessarily reduces the electric power price. In fact, contrary to expectations, there was a tendency for the price to rise. However, coexistent with an independent regulator, unbundling may work to reduce electricity prices. Privatization and the introduction of foreign IPP and retail competition lower electricity prices in some regions, but not all. (author)

  9. Modeling spot markets for electricity and pricing electricity derivatives

    Science.gov (United States)

    Ning, Yumei

    Spot prices for electricity have been very volatile with dramatic price spikes occurring in restructured market. The task of forecasting electricity prices and managing price risk presents a new challenge for market players. The objectives of this dissertation are: (1) to develop a stochastic model of price behavior and predict price spikes; (2) to examine the effect of weather forecasts on forecasted prices; (3) to price electricity options and value generation capacity. The volatile behavior of prices can be represented by a stochastic regime-switching model. In the model, the means of the high-price and low-price regimes and the probabilities of switching from one regime to the other are specified as functions of daily peak load. The probability of switching to the high-price regime is positively related to load, but is still not high enough at the highest loads to predict price spikes accurately. An application of this model shows how the structure of the Pennsylvania-New Jersey-Maryland market changed when market-based offers were allowed, resulting in higher price spikes. An ARIMA model including temperature, seasonal, and weekly effects is estimated to forecast daily peak load. Forecasts of load under different assumptions about weather patterns are used to predict changes of price behavior given the regime-switching model of prices. Results show that the range of temperature forecasts from a normal summer to an extremely warm summer cause relatively small increases in temperature (+1.5%) and load (+3.0%). In contrast, the increases in prices are large (+20%). The conclusion is that the seasonal outlook forecasts provided by NOAA are potentially valuable for predicting prices in electricity markets. The traditional option models, based on Geometric Brownian Motion are not appropriate for electricity prices. An option model using the regime-switching framework is developed to value a European call option. The model includes volatility risk and allows changes

  10. European bond markets: do illiquidity and concentration aggravate price shocks?

    NARCIS (Netherlands)

    Boermans, M.A.; Frost, Jon; Steins Bisschop, Sophie

    2016-01-01

    We study the effects of market liquidity and ownership concentration of European bonds on price volatility during periods of market stress. Specifically, using security-by-security data from euro area investors we examine if market illiquidity and concentrated holdings explain the large price shocks

  11. Pricing to Market: Chinese Export Pricing to the USA after the Peg

    Institute of Scientific and Technical Information of China (English)

    Mark David Witte

    2009-01-01

    In July 2005, the Chinese Govermnent unpegged the RMB from the US dollar. As the RMB has followed a remarkably predictable appreciation over time, I examine the price of Chinese exports to the USA after unpegging the exchange rate. Results suggest that the Chinese industries with greater import market share were able to raise their prices after the removal of the pegged exchange rate regime; however, over time there is a significant deflationary trend Chinese export prices tended to decrease under an unanticipated RMB appreciation; this effect was more pronounced for industries with more pricing flexibility. This suggests that Chinese exporters are consistently "pricing to market" and thus creating a significant foreign exchange policy implication. Specifically, a more flexible exchange rate regime will likely have little impact on the prices of Chinese exports to the USA but might increase the profit volatility of Chinese firms.

  12. Modeling Tiered Pricing in the Internet Transit Market

    CERN Document Server

    Valancius, Vytautas; Feamster, Nick; Johari, Ramesh; Vazirani, Vijay V

    2011-01-01

    ISPs are increasingly selling "tiered" contracts, which offer Internet connectivity to wholesale customers in bundles, at rates based on the cost of the links that the traffic in the bundle is traversing. Although providers have already begun to implement and deploy tiered pricing contracts, little is known about how such pricing affects ISPs and their customers. While contracts that sell connectivity on finer granularities improve market efficiency, they are also more costly for ISPs to implement and more difficult for customers to understand. In this work we present two contributions: (1) we develop a novel way of mapping traffic and topology data to a demand and cost model; and (2) we fit this model on three large real-world networks: an European transit ISP, a content distribution network, and an academic research network, and run counterfactuals to evaluate the effects of different pricing strategies on both the ISP profit and the consumer surplus. We highlight three core findings. First, ISPs gain most ...

  13. THE EFFECT OF GASOLINE PRICE ON ECONOMIC SECTORS IN NIGERIA

    Directory of Open Access Journals (Sweden)

    Philip Ifeakachukwu Nwosa

    2013-01-01

    Full Text Available This paper examined the long-run and short-run relationship between gasoline price and sectoral output in Nigeria for the period from 1980 to 2010. Six sectors (agriculture; manufacturing; building and construction; wholesale and retail; transportation and communication of the economy were examined. The long run regression estimate showed that gasoline price is a significant determinant output in all sectors examined with exception to the building and construction sector while the short run error correction estimate revealed that only output of the agriculture and the manufacturing sectors of the Nigerian economy is affect by gasoline price increase in the short run. The study recommended among others the need for the government to ensure adequate power supply in order to reduce the over reliance of economics sectors on gasoline as a prime source of power.

  14. The Effect of Long Memory in Volatility on Stock Market Fluctuations

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    on returns. Asset pricing theory imposes testable cross- equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive...... risk-return trade-off and long memory in volatility....

  15. Reducing Fuel Volatility - An Additional Benefit From Blending Bio-fuels?

    NARCIS (Netherlands)

    Bailis, R.E.; Koeb, B.S.; Sanders, M.W.J.L.

    2011-01-01

    Oil price volatility harms economic growth. Diversifying into different fuel types can mitigate this effect by reducing volatility in fuel prices. Producing bio-fuels may thus have additional benefits in terms of avoided damage to macro-economic growth. In this study we investigate trends and patter

  16. Food security in an era of economic volatility.

    Science.gov (United States)

    Naylor, Rosamond L; Falcon, Walter P

    2010-01-01

    This article analyzes international commodity price movements, assesses food policies in response to price fluctuations, and explores the food security implications of price volatility on low-income groups. It focuses specifically on measurements, causes, and consequences of recent food price trends, variability around those trends, and price spikes. Combining these three components of price dynamics shows that the variation in real prices post-2000 was substantially greater than that in the 1980s and 1990s, and was approximately equal to the extreme volatility in commodity prices that was experienced in the 1970s. Macro policy, exchange rates, and petroleum prices were important determinants of price variability over 2005–2010, highlighting the new linkages between the agriculture-energy and agriculture-finance markets that affect the world food economy today. These linkages contributed in large part to misguided expectations and uncertainty that drove prices to their peak in 2008. The article also argues that there is a long-lasting effect of price spikes on food policy around the world, often resulting in self-sufficiency policies that create even more volatility in international markets. The efforts by governments to stabilize prices frequently contribute to even greater food insecurity among poor households, most of which are in rural areas and survive on the margin of net consumption and net production. Events of 2008—and more recently in 2010—underscore the impact of price variability for food security and the need for refocused policy approaches to prevent and mitigate price spikes.

  17. Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH

    OpenAIRE

    Syed Abul, Basher; Perry, Sadorsky

    2015-01-01

    While much research uses multivariate GARCH to model volatility dynamics and risk measures, one particular type of multivariate GARCH model, GO-GARCH, has been underutilized. This paper uses DCC, ADCC and GO-GARCH to model volatilities and conditional correlations between emerging market stock prices, oil prices, VIX, gold prices and bond prices. A rolling window analysis is used to construct out-of-sample onestep-ahead forecasts of dynamic conditional correlations and optimal hedge rat...

  18. On the Pricing of Options in Incomplete Markets

    OpenAIRE

    Melenberg, B.; Werker, B.J.M.

    1996-01-01

    In this paper we reconsider the pricing of options in incomplete continuous time markets.We first discuss option pricing with idiosyncratic stochastic volatility.This leads, of course, to an averaged Black-Scholes price formula.Our proof of this result uses a new formalization of idiosyncraticy which encapsulates other definitions in the literature.Our method of proof is subsequently generalized to other forms of incompleteness and systematic (i.e. non-idiosyncratic) information.Generally thi...

  19. Incomplete Financial Markets and Jumps in Asset Prices

    DEFF Research Database (Denmark)

    Crès, Hervé; Markeprand, Tobias Ejnar; Tvede, Mich

    A dynamic pure-exchange general equilibrium model with uncertainty is studied. Fundamentals are supposed to depend continuously on states of nature. It is shown that: 1. if financial markets are complete, then asset prices vary continuously with states of nature, and; 2. if financial markets...... are incomplete, jumps in asset prices may be unavoidable. Consequently incomplete financial markets may increase volatility in asset prices significantly....

  20. Global Versus Local Shocks in Micro Price Dynamics

    OpenAIRE

    Marios Zachariadis

    2012-01-01

    A number of recent papers point to the importance of distinguishing between the price reaction to micro and macro shocks in order to reconcile the volatility of individual prices with the observed persistence of aggregate inflation. We emphasize instead the importance of distinguishing between global and local shocks. We exploit a panel of 276 micro price levels collected on a semi-annual frequency from 1990 to 2010 across 88 cities in 59 countries around the world, that enables us to disting...

  1. Application of Markov Model in Crude Oil Price Forecasting

    Directory of Open Access Journals (Sweden)

    Nuhu Isah

    2017-08-01

    Full Text Available Crude oil is an important energy commodity to mankind. Several causes have made crude oil prices to be volatile. The fluctuation of crude oil prices has affected many related sectors and stock market indices. Hence, forecasting the crude oil prices is essential to avoid the future prices of the non-renewable natural resources to rise. In this study, daily crude oil prices data was obtained from WTI dated 2 January to 29 May 2015. We used Markov Model (MM approach in forecasting the crude oil prices. In this study, the analyses were done using EViews and Maple software where the potential of this software in forecasting daily crude oil prices time series data was explored. Based on the study, we concluded that MM model is able to produce accurate forecast based on a description of history patterns in crude oil prices.

  2. Option Valuation with Observable Volatility and Jump Dynamics

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Feunou, Bruno; Jeon, Yoontae

    Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dy...

  3. Investigating Market Integration and Price Transmission of Different Rice Qualities in Iran

    Directory of Open Access Journals (Sweden)

    Amir Hossein Chizari

    2013-12-01

    Full Text Available Rice production in most of Asian countries has been increased more rapidly than population and this has been led to increase in supply and proportionately decrease in the real price of rice in world and domestic markets. Furthermore, together with growth in production and national gross income of the country per-capita income has been increased and also demand for rice at national and international level quality has been increased. In this case studying the market conditions of different qualities of rice including marketing margins, causative relations among the prices, market integrations in long term and finally price transferring and market integration in short term is the important consequence that can help policymakers and planners in their decision makings on research, production, distribution and marketing of rice strategic product. So, using the statistics from Jihad Agriculture Organization of Guilan Province in case of the price of rice qualities (items including Sadri momtaz (S1, Sadri darge yek (S2, Sadri mamooli (S3 and Khazar (K1 during 1999-2009 market conditions of different qualities of rice was studied. Results show that impulses in wholesale prices in Khazar rice rapidly influence on-farm prices, however, in case of other rice qualities the rate and speed of this influence is low. But in wholesale-retail market for Sadri quality rice impulses influence strongly in wholesale price and this shows intense integration of these two rice markets in Iran. It is suggested that according to the different quality of rice verities, support policy design and decision making process assigned separately

  4. Outside Shock, Structural Change and Domestic Agricultural Product Price Volatility%外部冲击对国内农产品价格波动影响分析

    Institute of Scientific and Technical Information of China (English)

    李显戈; 周应恒

    2013-01-01

    On the background of continuing market reform, especially accession into WTO in 2001, reduction of import duty and non-tariff trade barrier、 increase of import of agricultural commodity, construction and completion of future market, agricultural product market become more and more interrelated. Based on monthly data from Jan 2005 to Nov. 2010, the paper establishes regression model to research the impact of international agricultural product price, oil price, global liquidity (money supply) and U.S-RMB exchange rate on domestic agricultural product price. The research indicates that international agricultural product price does not have an obvious effect on domestic agricultural product. However, 1% increase of oil price will increase domestic agricultural product price by 0.43%. One percent increase of global liquidity index will correspondingly increase domestic agricultural product price by 2.252% and 1% rise of current and lagged one period U.S-RMB exchange rate will reduce domestic agricultural product price respectively by 3.497%and 1.234%.%  在我国农产品持续市场化改革背景下,尤其是2001年加入世界贸易组织,进口关税和非关税壁垒不断削减、农产品进口量不断增加、农产品期货市场的建立和完善导致国内外农产品市场的联系日益紧密.全球农产品价格在2006-2008年上半年大幅上涨,大豆、玉米、小麦期货价格均创30年来新高;同期在国内,大豆、豆粕价格接近翻番,豆油价格涨幅达76%.本文基于2005.1-2010.11的月度数据,采用回归模型考察国际农产品价格、石油价格、全世界流动性(货币供应量)和美元/人民币汇率等外部因素对国内农产品价格的整体影响.在控制其它变量不变的情况下,研究表明国际农产品价格对我国农产品价格的影响并不显著,而石油价格每上升1%将带动国内农产品价格整体上升0.43%;国际流动性指数上升1%,国内

  5. Area price and demand response in a market with 25% wind power

    DEFF Research Database (Denmark)

    Grohnheit, Poul Erik; Møller Andersen, Frits; Larsen, Helge V.

    2011-01-01

    , which can improve market efficiency, and a welfare gain is obtained. An important limitation for demand response is events of several consecutive hours with extreme values. The analysis in this paper is a summary and update of some of the issues covered by the EU RESPOND project. It shows that extreme...... not only on the electricity wholesale prices, but also on the development of the market. Hourly market data are available from the website of Danish TSO from 1999. In this paper these data are analysed for the period 2004–2010. Electricity generators and customers may respond to hourly price variations...... events were few, and the current infrastructure and market organisation have been able to handle the amount of wind power installed so far. This recommends that geographical bidding area for the wholesale electricity market reflects external transmission constraints caused by wind power....

  6. Possibility of controlling nonregulated prices in the electricity market by means of varying the parameters of a power system

    Science.gov (United States)

    Vaskovskaya, T. A.

    2014-12-01

    This paper offers a new approach to the analysis of price signals from the wholesale electricity and capacity market that is based on the analysis of the influence exerted by input data used in the problem of optimization of the power system operating conditions, namely: parameters of a power grid and power-receiving equipment that might vary under the effect of control devices. It is shown that it would be possible to control nonregulated prices for electricity in the wholesale electricity market by varying the parameters of control devices and energy-receiving equipment. An increase in the effectiveness of power transmission and the cost-effective use of fuel-and-energy resources (energy saving) can become an additional effect of controlling the nonregulated prices.

  7. Theory of Financial Risk and Derivative Pricing

    Science.gov (United States)

    Bouchaud, Jean-Philippe; Potters, Marc

    2009-01-01

    Foreword; Preface; 1. Probability theory: basic notions; 2. Maximum and addition of random variables; 3. Continuous time limit, Ito calculus and path integrals; 4. Analysis of empirical data; 5. Financial products and financial markets; 6. Statistics of real prices: basic results; 7. Non-linear correlations and volatility fluctuations; 8. Skewness and price-volatility correlations; 9. Cross-correlations; 10. Risk measures; 11. Extreme correlations and variety; 12. Optimal portfolios; 13. Futures and options: fundamental concepts; 14. Options: hedging and residual risk; 15. Options: the role of drift and correlations; 16. Options: the Black and Scholes model; 17. Options: some more specific problems; 18. Options: minimum variance Monte-Carlo; 19. The yield curve; 20. Simple mechanisms for anomalous price statistics; Index of most important symbols; Index.

  8. Forecasting Exchange Rate Volatility in the Presence of Jumps

    DEFF Research Database (Denmark)

    Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    of exchange rate futures options, allowingcalculation of option implied volatility. We find that implied volatility is an informationallyefficient but biased forecast of future realized exchange rate volatility. Furthermore,we show that log-normality is an even better distributional approximation...... for impliedvolatility than for realized volatility in this market. Finally, we show that the jump componentof future realized exchange rate volatility is to some extent predictable, and thatoption implied volatility is the dominant forecast of the future jump component.......We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniquesto compute realized return volatility and its separate continuous sample path and jumpcomponents, and measures based on prices...

  9. Volatility of an Indian stock market A random matrix approach

    CERN Document Server

    Kulkarni, V

    2005-01-01

    We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE index for the three-year period 2000-2002. Random matrix analysis is carried out using daily returns of 70 stocks for several time windows of 85 days in 2001 to (i) do a brief comparative analysis with statistics of eigenvalues and eigenvectors of the matrix C of correlations between price fluctuations, in time regimes of different volatilities. While a bulk of eigenvalues falls within RMT bounds in all the time periods, we see that the largest (deviating) eigenvalue correlates well with the volatility of the index, the corresponding eigenvector clearly shows a shift in the distribution of its components from volatile to less volatile periods and verifies the qualitative association between participation and volatility (ii) observe that the Inverse participation ratio for the ...

  10. Perceptions and practices of pharmaceutical wholesalers surrounding counterfeit medicines in a developing country: a baseline survey.

    Science.gov (United States)

    Khan, Mohiuddin H; Akazawa, Manabu; Dararath, Eav; Kiet, Heng B; Sovannarith, Tey; Nivanna, Nam; Yoshida, Naoko; Kimura, Kazuko

    2011-11-11

    Recent investigations by the Ministry of Health of Cambodia suggest that counterfeit medicines have been introduced into the pharmaceutical market in tampered packaging. To further explore this possibility, an interview survey was conducted at the wholesaler level to investigate the medicinal supply chain in Cambodia. Managing executives of 62 (83.8%) registered wholesalers of modern medicines in Cambodia were interviewed in 2009 on their knowledge of, perception on, and practices related to counterfeiting issues through a semi-structured questionnaire. According to our findings, 12.9% of the wholesalers had encountered counterfeit medicine. However, they demonstrated a variety of perceptions regarding this issue. A majority (59.7%) defined counterfeit medicines as medicines without registration, while other definitions included medicines that were fraudulently manufactured, medicines without a batch/lot number, those containing harmful ingredients or a reduced amount of active ingredients, and expired medicines. Additionally, 8.1% responded that they did not know what counterfeit medicines were.During procurement, 66.1% of the wholesalers consider whether the product is registered in Cambodia, while 64.5% consider the credibility and quality of the products and 61.3% consider the reputation of the manufacturers. When receiving a consignment, 80.6% of wholesalers check the intactness of medicines, 72.6% check the specification and amount of medicines, 71% check Cambodian registration, 56.5% check that the packaging is intact, 54.8% check batch and lot numbers, 48.4% check the dates of manufacture and expiration, and 9.7% check analytical certificates.Out of 62 wholesalers, 14.5% had received medicines that arrived without packages or were separated from their packaging and had to be repacked before distribution. Significant statistical association was found between wholesalers who received medicines separately from their packs/containers and who consider their

  11. Perceptions and practices of pharmaceutical wholesalers surrounding counterfeit medicines in a developing country: a baseline survey

    Directory of Open Access Journals (Sweden)

    Khan Mohiuddin H

    2011-11-01

    Full Text Available Abstract Background Recent investigations by the Ministry of Health of Cambodia suggest that counterfeit medicines have been introduced into the pharmaceutical market in tampered packaging. To further explore this possibility, an interview survey was conducted at the wholesaler level to investigate the medicinal supply chain in Cambodia. Methods Managing executives of 62 (83.8% registered wholesalers of modern medicines in Cambodia were interviewed in 2009 on their knowledge of, perception on, and practices related to counterfeiting issues through a semi-structured questionnaire. Results According to our findings, 12.9% of the wholesalers had encountered counterfeit medicine. However, they demonstrated a variety of perceptions regarding this issue. A majority (59.7% defined counterfeit medicines as medicines without registration, while other definitions included medicines that were fraudulently manufactured, medicines without a batch/lot number, those containing harmful ingredients or a reduced amount of active ingredients, and expired medicines. Additionally, 8.1% responded that they did not know what counterfeit medicines were. During procurement, 66.1% of the wholesalers consider whether the product is registered in Cambodia, while 64.5% consider the credibility and quality of the products and 61.3% consider the reputation of the manufacturers. When receiving a consignment, 80.6% of wholesalers check the intactness of medicines, 72.6% check the specification and amount of medicines, 71% check Cambodian registration, 56.5% check that the packaging is intact, 54.8% check batch and lot numbers, 48.4% check the dates of manufacture and expiration, and 9.7% check analytical certificates. Out of 62 wholesalers, 14.5% had received medicines that arrived without packages or were separated from their packaging and had to be repacked before distribution. Significant statistical association was found between wholesalers who received medicines separately

  12. Uma avaliação da volatilidade dos preços da soja no mercado internacional com dados de alta frequência An evaluation of the volatility of soybeans prices in the international market using high frequency data

    Directory of Open Access Journals (Sweden)

    Mario Domingues Simões

    2012-01-01

    Full Text Available Neste trabalho foram avaliados os ajustes de cinco modelos para previsão da variância, utilizando-se uma série de preços de soja, uma commodity negociada na bolsa de mercadorias de Chicago (CBOT, com dados de alta frequência. Os modelos utilizados foram do tipo GARCH, FIGARCH e ARFIMA. Foi possível observar características desta série de preços de uma commodity negociada globalmente que se apresentaram inteiramente diferentes daquelas de ativos financeiros anteriormente estudados, possivelmente em virtude da característica contínua dos preços observados, induzida pela sua negociação global independente de pregões com início e fim. Foi possível concluir que a série de dados de alta frequência encerra informações adicionais às séries de dados diários, também no caso estudado de preços da soja, e que o tradicional modelo GARCH(1,1 tem um bom desempenho também no caso dos dados de alta frequência, assim como aqueles da família ARFIMA. Recomenda-se mais investigação para o caso dos modelos FIGARCH, procurando um melhor ajuste.In the present study, five volatility prediction models were evaluated using a series of soybeans prices, a commodity traded in the Chicago Board of Trade (CBOT, using high-frequency data. The models used belonged to the GARCH, FIGARCH and ARFIMA families. It was possible to observe entirely different characteristics of this commodity price series, which is negotiated on a global scale, from those of the financial assets previously studied, possibly due to the continuity of the price series studied allowed by the global negotiation nature of this trade, fully independent of daily exchange markets subject to opening and closing times. It was possible to conclude that the high-frequency price data do provide additional information to the traditional daily time series, also in the case of soybeans, and that the traditional GARCH(1,1 model also has good performance on the high-frequency price data just

  13. Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period

    OpenAIRE

    Laborde, David; Rey, Serge

    2001-01-01

    This paper analyzes the causal relationships between returns and volatilities of assets prices in U.S. and French markets. The period for the study has been taken from January 1997 to December 2000, using daily and weekly data. Initial results show that U.S. stock prices "Granger-cause" French stock prices, while changes in French and American stock prices influence significatively the euro/dollar exchange rate. Moreover, it appears that the volatilities of stock markets are linked (with caus...

  14. REDUCTION OF BULLWHIP EFFECT ON COMMODITY SUPPLY CHAIN IN FRESH FRUITS AND VEGETABLES WHOLESALE LOTTEMART BOGOR

    Directory of Open Access Journals (Sweden)

    Bimahri Qaulan Tsaqiela

    2016-01-01

    Full Text Available The purpose of this study was: (1 To identify supply chain structure of fresh fruit and vegetables in LotteMart Wholesale Bogor, (2 Analyze the value of bullwhip effect in the supply chain of fresh fruit and vegetables in LotteMart Wholesale Bogor. (3 Analyze the factors that led to the bullwhip effect in the supply chain of fresh fruit and vegetables at LotteMart Wholesale Bogor, (4 Reduce the bullwhip effect in the supply chain of fresh fruit and vegetables in LotteMart Wholesale Bogor. Method that used in this research are bullwhip effect formula to analyze the value of bullwhip effect and simulation to reduce bullwhip effect with software Arena Rockwell 14.0. The results showed that fresh fruit and vegetables in LotteMart Wholesale Bogor experienced bullwhip effect and also different scenario of time between arivals distribution able to reduce bullwhip effect value in supply chain.Keywords: supply chain, bullwhip effect, arena  simulation, LotteMart

  15. Financial market volatility and inflation uncertainty: An empirical investigation

    OpenAIRE

    Döpke, Jörg; Pierdzioch, Christian

    1999-01-01

    Using monthly data for Germany from 1968 through 1998, the relationship betweenfluctuations of prices in financial markets and inflation is analyzed. The results of Granger-causality tests reveal that stock market has no predictive power volatility for inflation uncertainty, et vice versa. Regarding the subsequent volatility of short-term and of long-term interest rate. In contrast, inflation uncertainty provides some information. The hypothesis of a causality running from the volatility of t...

  16. PRICE DISCRIMINATION IN CONDITION OF OIL PRODUCT EXCHANGE

    Directory of Open Access Journals (Sweden)

    Anna Elagina

    2015-01-01

    Full Text Available The development of exchange trading of oil products in the Russian Federation was intended as an instrument of control of market power by dominant economic entities, support of development of business wholesale and retail trade, liberalization of service markets fuel supply at airports. However, practice of the trading development shows that in terms of institutional trades can occur prerequisites for the development of price discrimination. Therefore, the development of data analysis tools in the conditions for petroleum product trading development is a very important area in the development of Antimonopoly control.

  17. The impact of Macroeconomic Fundamentals on Stock Prices revisited: An Evidence from Indian Data

    OpenAIRE

    Pramod Kumar, Naik; Puja, Padhi

    2012-01-01

    The study investigates the relationships between the Indian stock market index (BSE Sensex) and five macroeconomic variables, namely, industrial production index, wholesale price index, money supply, treasury bills rates and exchange rates over the period 1994:04–2011:06. Johansen’s co-integration and vector error correction model have been applied to explore the long-run equilibrium relationship between stock market index and macroeconomic variables. The analysis reveals that macroeconomic v...

  18. The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data

    OpenAIRE

    Naik, Pramod Kumar; Puja PADHI

    2012-01-01

    The study investigates the relationships between the Indian stock market index (BSE Sensex) and five macroeconomic variables, namely, industrial production index, wholesale price index, money supply, treasury bills rates and exchange rates over the period 1994:04–2011:06. Johansen’s co-integration and vector error correction model have been applied to explore the long-run equilibrium relationship between stock market index and macroeconomic variables. The analysis reveals that ...

  19. Can Increases in the Cigarette Tax Rate be Linked to Cigarette Retail Prices? Solving mysteries related to the cigarette pricing mechanism in China

    Science.gov (United States)

    Gao, Song; Zheng, Rong; Hu, Teh-wei

    2013-01-01

    Objective To explain China’s cigarette pricing mechanism and the role of the Chinese State Tobacco Monopoly Administration (STMA) on cigarette pricing and taxation. Methods Published government tobacco tax documentation and statistics published by the Chinese State Tobacco Monopoly Administration (STMA) are used to analyze the interrelations among industry profits, taxes, and retail price of cigarettes in China. Results The 2009 excise tax increase on cigarettes in China has not translated into higher retail prices because the Chinese STMA used its policy authority to ensure that retail cigarette prices did not change. The government tax increase is being collected at both the producer and wholesale levels. As a result, the 2009 excise tax increase in China has resulted in higher tax revenue for the government and lower profits for the tobacco industry, with no increase in the retail price of cigarettes for consumers. Conclusions Numerous studies have found that taxation is one of the most effective policy instruments for tobacco control. However, these findings come from countries that have market economies where market forces determine prices and influence how cigarette taxes are passed to the consumers in retail prices. China’s tobacco industry is not a market economy; therefore, nonmarket forces and the current Chinese tobacco monopoly system determine cigarette prices. The result is that tax increases do not necessarily get passed on to the retail price. PMID:23076787

  20. Welfare Effects of Higher Energy and Food Prices in Botswana: A ...

    African Journals Online (AJOL)

    emerging market economies those contributing to higher food prices include global warming and the shift to ... Botswana has allowed energy and food prices to be transmitted to domestic markets in the form of higher ..... Responding to global food price volatility and its impact on food security ... Poverty and Equity. Group.

  1. Optimization of Combine Heat and Power Plants in the Russian Wholesale Power Market Conditions

    Directory of Open Access Journals (Sweden)

    I. A. Chuchueva

    2015-01-01

    Full Text Available The paper concerns the relevant problem to optimize the combine heat and power (CHP plants in the Russian wholesale power market conditions. Since 1975 the CHP plants specialists faced the problem of fuel rate or fuel cost reduction while ensuring the fixed level of heat and power production. The optimality criterion was the fuel rate or fuel cost which has to be minimized. Produced heat and power was paid by known tariff. Since the power market started in 2006 the power payment scheme has essentially changed: produced power is paid by market price. In such condition a new optimality criterion the paper offers is a profit which has to be maximized for the given time horizon. Depending on the optimization horizon the paper suggests four types of the problem urgency, namely: long-term, mid-term, short-term, and operative optimization. It clearly shows that the previous problem of fuel cost minimization is a special case of profit maximization problem. To bring the problem to the mixed-integer linear programming problem a new linear characteristic curves of steam and gas turbine are introduced. Error of linearization is 0.6%. The formal statement of the problem of short-term CHP plants optimization in the market conditions is offered. The problem was solved with IRM software (OpenLinkInternational for seven power plants of JSC “Quadra”: Dyagilevskaya CHP, Kurskaya CHP-1, Lipetskaya CHP-2, Orlovskaya CHP, Kurskaya CHP NWR, Tambovskaya CHP, and Smolenskaya CHP-2.The conducted computational experiment showed that a potential profit is between 1.7% and 4.7% of the fuel cost of different CHP plants and depends on the power plant operation conditions. The potential profit value is 2–3 times higher than analogous estimations, which were obtained solving fuel cost minimization problem. The perspectives of the work are formalization of mid-term and long-term CHP plants optimization problem and development of domestic software for the new problem

  2. Evidence of the Price Discovery and Volatility Spillover of the CSI 300 Stock Index Futures Based on the BEEK-GARCH Model%沪深300股指期货的价格发现能力及波动溢出效应研究--基于BEEK-GARCH 模型的证据

    Institute of Scientific and Technical Information of China (English)

    陶启智; 李亮; 郭姝辛

    2015-01-01

    以沪深300股指期货自推出至今的1分钟数据作为研究样本,使用BEEK‐GARCH模型量化沪深300股指期货和现货市场的价格发现能力及波动溢出效应。研究发现,我国期货市场成立初期并未发挥其价格发现功能,这一现象随着市场成熟度增加而逐渐改善,期货市场在价格发现过程中占主要地位。通过GARCH 模型对收益率调整过程进行估计,发现市场之间存在双向波动溢出效应:短期内表现出均值回归;长期来看,误差修正项系数显著异于0,符合调整的负反馈性质,价格偏差会被纠正从而达到长期均衡。%With the 1 minute interval data up to the present time of the CSI 300 stock index futures as the samples ,this paper quantitatively studies the price discovery and volatility spillover of the CSI 300 stock index futures and spot markets ,using the BEEK‐GARCH model .The impulse response function and vari‐ance decomposition are used to imply the price discovery ,w hich show s that the future market plays a more important role .A vector error correction model is built to describe the dynamic adjustment of the futures and spot price of stock indexes .The result shows that there exists a two‐way granger causal relationship between the futures and the spots ,as well as a volatility spillover effect .The regression will return to the mean in the short run and satisfies the negative feedback of the correction that the existence of arbitrage will adjust the bias to the equilibrium in the long run .

  3. PARAMETER ESTIMATION FOR A DISCRETELY OBSERVED STOCHASTIC VOLATILITY MODEL WITH JUMPS IN THE VOLATILITY

    Institute of Scientific and Technical Information of China (English)

    2003-01-01

    In this paper a stochastic volatility model is considered. That is, a log price process Y whichis given in terms of a volatility process V is studied. The latter is defined such that the logprice possesses some of the properties empirically observed by Barndorff-Nielsen & Jiang[6]. Inthe model there are two sets of unknown parameters, one set corresponding to the marginaldistribution of V and one to autocorrelation of V. Based on discrete time observations ofthe log price the authors discuss how to estimate the parameters appearing in the marginaldistribution and find the asymptotic properties.

  4. Modeling and forecasting petroleum futures volatility

    Energy Technology Data Exchange (ETDEWEB)

    Sadorsky, Perry [York Univ., Schulich School of Business, Toronto, ON (Canada)

    2006-07-15

    Forecasts of oil price volatility are important inputs into macroeconometric models, financial market risk assessment calculations like value at risk, and option pricing formulas for futures contracts. This paper uses several different univariate and multivariate statistical models to estimate forecasts of daily volatility in petroleum futures price returns. The out-of-sample forecasts are evaluated using forecast accuracy tests and market timing tests. The TGARCH model fits well for heating oil and natural gas volatility and the GARCH model fits well for crude oil and unleaded gasoline volatility. Simple moving average models seem to fit well in some cases provided the correct order is chosen. Despite the increased complexity, models like state space, vector autoregression and bivariate GARCH do not perform as well as the single equation GARCH model. Most models out perform a random walk and there is evidence of market timing. Parametric and non-parametric value at risk measures are calculated and compared. Non-parametric models outperform the parametric models in terms of number of exceedences in backtests. These results are useful for anyone needing forecasts of petroleum futures volatility. (author)

  5. Research on the Transmission and Distribution Cost Allocation Model of the Electricity Wholesale Business at Provincial Level%趸售业务分摊省级共用输配电网络费模型研究

    Institute of Scientific and Technical Information of China (English)

    程瑜; 刘梦娜

    2011-01-01

    输配电成本合理分摊是制定输配电价的基础。针对我国现阶段输配电业务中趸售电量比重较大的特点,研究趸售业务对省级共用输配电网络费的合理分摊问题;结合趸售电量输配特点,基于现有的省级共用输配电网络费分摊模型,建立了趸售业务对省级共用输配电网络费分摊模型;结合算例数据,验证了模型的可行性。%While reasonable allocation of the transmission and distribution cost is the foundation and premise of electricity pricing, considering that the wholesale currently takes a larger portion in the transmission and distribution business in China, this paper studies how to fairly allocate the cost of the wholesale business within the provincial transmission and distribution network. In the light of the features of the power wholesale business, it puts forward a cost allocation mode based on the embedded cost method at the provincial level. Finally, calculation cases of the data verify that the upgraded model helps to improve the reasonable allocation of the transmission and distribution cost at the provincial level.

  6. An Analysis of Colombian Power Market Price Behavior from an Industrial Organization Perspective

    Directory of Open Access Journals (Sweden)

    Ona Duarte Venslauskas

    2015-12-01

    Full Text Available We analyze the behavior of spot prices in the Colombian wholesale power market, using a series of models derived from industrial organization theory.  We first create a Cournot-based model that simulates the strategic behavior of the market-leader power generators, which we use to estimate two industrial organization variables, the Index of Residual Demand and the Herfindahl-Hirschman Index (HHI.  We use these variables to create VAR models that estimate spot prices and power market impulse-response relationships.  The results from these models show that hydroelectric generators can use their water storage capability strategically to affect off-peak prices primarily, while the thermal generators can manage their capacity strategically to affect on-peak prices.  In addition, shocks to the Index of Residual Capacity and to the HHI cause spot price fluctuations, which can be interpreted as the generators´ strategic response to these shocks.

  7. Volatility and covariation of financial assets: a high-frequency analysis

    OpenAIRE

    Cartea, Alvaro; Karyampas, Dimitrios

    2009-01-01

    Using high frequency data for the price dynamics of equities we measure the impact that market microstructure noise has on estimates of the: (i) volatility of returns; and (ii) variance-covariance matrix of n assets. We propose a Kalman-filter-based methodology that allows us to deconstruct price series into the true efficient price and the microstructure noise. This approach allows us to employ volatility estimators that achieve very low Root Mean Squared Errors (RMSEs) compared to other est...

  8. THE WHOLESALE COMPANIES AS A LINK BETWEEN THE TWO CIRCUITS OF URBAN ECONOMY IN BRAZIL

    Directory of Open Access Journals (Sweden)

    Marcos Xavier

    2011-12-01

    Full Text Available The current space division of labour increases the importance of circulation in production process and imposes a rapid and more frequent replacement of supplies, according to shorter stated periods, both in industry and retail. In Brazil, the opening of the economy, imposing a bigger competitiveness to the companies, and the social and territorial expansion of consumption have affected the organization and the structure of the wholesale companies. In reply, the logistics, as the management of the flow of goods, information and other resources, has enhanced the activities of planning and control. As the logistics becomes more important, a new organization of territory arises, increasing the relationships among places. Thus, we conclude that the wholesale distributors continue exerting a significant role in the intermediation between the industry and small retail. The modernization of Brazilian wholesale companies confirms the link existing between the two circuits of urban economy in Brazil.

  9. INDICATOR ANALYSIS IN THE PROCESS OF FINANCIAL SECURITY MANAGEMENT FOR THE WHOLESALE FOODSTUFF SECTOR

    Directory of Open Access Journals (Sweden)

    Rafał Balina

    2016-06-01

    Full Text Available Presented is the indicator analysis in the process of fi nancial security management for Poland’s wholesale foods sector. The study examined 160 wholesalers of foodstuff s, beverages and tobacco products (Polish commercial classifi - cations – PKD – from 46.31z to 46.39z, during the period 2008–2014. The study took advantage of corporate balance sheets, and profi ts and loss accounts of fi rms organized as limited liability entities and companies for scrutiny were chosen randomly. It was found that wholesaler liquidity diffi culty is a signal for other entities of fi nancial commercial stress which can consequently indicate diffi culty in payment for entrusted goods. The study confi rmed that the scrutinized companies have diffi culty in improving their liquidity and profi tability, potentially leading to bankruptcy as a result of negative opinions from potential investors. 

  10. Dynamic Factor Models for the Volatility Surface

    DEFF Research Database (Denmark)

    van der Wel, Michel; Ozturk, Sait R.; Dijk, Dick van

    The implied volatility surface is the collection of volatilities implied by option contracts for different strike prices and time-to-maturity. We study factor models to capture the dynamics of this three-dimensional implied volatility surface. Three model types are considered to examine desirable...... features for representing the surface and its dynamics: a general dynamic factor model, restricted factor models designed to capture the key features of the surface along the moneyness and maturity dimensions, and in-between spline-based methods. Key findings are that: (i) the restricted and spline......-based models are both rejected against the general dynamic factor model, (ii) the factors driving the surface are highly persistent, (iii) for the restricted models option Delta is preferred over the more often used strike relative to spot price as measure for moneyness....

  11. 77 FR 33491 - Phillips-Van Heusen Corporation, Izod Women's Wholesale Division, New York, NY; Notice of...

    Science.gov (United States)

    2012-06-06

    ... Employment and Training Administration Phillips-Van Heusen Corporation, Izod Women's Wholesale Division, New... former workers of Phillips-Van Heusen Corporation, Izod Women's Wholesale Division, New York, New York... Section 222(b)(2) of the Act, the investigation revealed that Phillips-Van Heusen Corporation is not a...

  12. 75 FR 14342 - Market-Based Rates for Wholesale Sales of Electric Energy, Capacity and Ancillary Services by...

    Science.gov (United States)

    2010-03-25

    ... Energy Regulatory Commission 18 CFR Part 35 Market-Based Rates for Wholesale Sales of Electric Energy... Electric Energy, Capacity and Ancillary Services by Public Utilities, Order No. 697- C, FERC Stats. & Regs. ] 31,291 (2009). \\2\\ 18 CFR 35.42. \\3\\ Market-Based Rates for Wholesale Sales of Electric...

  13. The Green Shoe Option’s Effectiveness at Stabilizing the IPO’S Stock Price on the Indonesian Stock Exchange (2000-2013

    Directory of Open Access Journals (Sweden)

    Siti Saadah

    2016-02-01

    Full Text Available The increased of price volatility due to positive initial returns will reduce investor confidence and impact on the overall market. Market stabilization mechanism is needed to control the price volatility. This research is intended to explore the effectiveness of Green-Shoe Option in reducing stock price volatility after IPO. This study is done through GARCH model development intended to identify the volatility of IPO shares price. This research compares the volatility price of company shares that apply Green shoe option at IPO with companies that do not apply it. The result of this research on companies that conduct IPO on 2000-2013 periods showed that the green shoe option stabilization program which was used by the issuers was effective in muffing the stock prices’ volatility. Therefore, according to researchers Green Shoe Option stabilization program can be used to prevent or ease the drop of shares price under Public offering.

  14. The Influence of Signed Order Volume on Stock Prices

    Science.gov (United States)

    Gerig, Austin; Farmer, Doyne; Lillo, Fabrizio; Mike, Szabolcs

    2007-03-01

    Using data from the London Stock Exchange we investigate the influence of signed transaction order volume on current and future price changes. (Buy orders are given a positive sign, sell orders a negative sign). Empirical studies have shown that transaction order signs display long memory. Because buying tends to move the price up and selling tends to move the price down, this creates a puzzle regarding efficiency -- if transaction order signs are highly predictable, why aren't prices predictable? We show that efficiency is maintained by correlated fluctuations in the response of prices to orders. We also study whether or not this is an important effect causing clustered volatility in price changes, i.e. the tendency of the magnitude of price changes to be temporally correlated.

  15. The Weird Vegetable Price

    Institute of Scientific and Technical Information of China (English)

    2011-01-01

    The Chinese Government faces the task of stabilizing vegetable prices to avoid steep increases and dips Fluctuations of vegetable prices in China have recently caused near panic in the domestic market.Purchase prices for farm produce are decreasing dramatically

  16. Efficient Option Pricing in Crisis Based on Dynamic Elasticity of Variance Model

    Directory of Open Access Journals (Sweden)

    Congyin Fan

    2016-01-01

    Full Text Available Market crashes often appear in daily trading activities and such instantaneous occurring events would affect the stock prices greatly. In an unstable market, the volatility of financial assets changes sharply, which leads to the fact that classical option pricing models with constant volatility coefficient, even stochastic volatility term, are not accurate. To overcome this problem, in this paper we put forward a dynamic elasticity of variance (DEV model by extending the classical constant elasticity of variance (CEV model. Further, the partial differential equation (PDE for the prices of European call option is derived by using risk neutral pricing principle and the numerical solution of the PDE is calculated by the Crank-Nicolson scheme. In addition, Kalman filtering method is employed to estimate the volatility term of our model. Our main finding is that the prices of European call option under our model are more accurate than those calculated by Black-Scholes model and CEV model in financial crashes.

  17. 7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing... advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent butterfat, component prices, and advanced pricing factors shall be as follows. The prices and pricing factors...

  18. Does Monetary Policy Respond to Commodity Price Shocks?

    OpenAIRE

    Ano Sujithan, Kuhanathan; Koliai, Lyes; Avouyi-Dovi, Sanvi

    2013-01-01

    Commodity prices, especially oil prices, peaked in the aftermath of the financial crisis of 2007 and they have remained highly volatile. All things being equal, the increase in commodity prices may induce a similar tendency of inflation and hence become a monetary policy issue. However, the impact of the changes of commodity prices on inflation is not clear. In this paper, by using Markov-switching models we show that there is an implicit impact of commodity markets on short-term interest rat...

  19. Oil Price Shocks and Stock Markets in BRICs

    Directory of Open Access Journals (Sweden)

    Ono, Shigeki

    2011-06-01

    Full Text Available This paper examines the impact of oil prices on real stock returns for Brazil, China, India and Russia over 1999:1-2009:9 using VAR models. The results suggest that whereas real stock returns positively respond to some of the oil price indicators with statistical significance for China, India and Russia, those of Brazil do not show any significant responses. In addition, statistically significant asymmetric effects of oil price increases and decreases are observed in India. The analysis of variance decomposition shows that the contribution of oil price shocks to volatility in real stock returns is relatively large and statistically significant for China and Russia.

  20. Drug Pricing Reforms

    DEFF Research Database (Denmark)

    Kaiser, Ulrich; Mendez, Susan J.; Rønde, Thomas

    2015-01-01

    Reference price systems for prescription drugs have found widespread use as cost containment tools. Under such regulatory regimes, patients co-pay a fraction of the difference between pharmacy retail price of the drug and a reference price. Reference prices are either externally (based on drug...... prices in other countries) or internally (based on domestic drug prices) determined. In a recent study, we analysed the effects of a change from external to internal reference pricing in Denmark in 2005, finding that the reform led to substantial reductions in prices, producer revenues, and expenditures...