asymmetry in retail wholesale and shipping point pricing for fresh vegetables the linkage among retail wholesale and shipping point prices for a select group of fresh vegetables is measured using wolffram s asymmetry model procedures for dealing with discontinuous time series are shown and granger s causality test is used to show the direction of the price linkage wholesale prices are shown to lead both retail and shipping point prices asymmetry in the retail wholesale response indicates that wholesale price decreases are reflected at the retail more so than are wholesale price increases wholesale price decreases are more fully passed through to the shipping point relative to wholesale increases

time series econometric analyses of biofuel related price volatility time series econometrics studies have analyzed volatility interactions between biofuel and food and fossil fuel markets we review data modeling techniques and the main findings in the literature and present our latest contributions we identify areas for further research

non stationarities in financial time series the long range dependence and the igarch effects we give the theoretical basis of a possible explanation for two stylized facts observed in long log return series the long range dependence lrd in volatility and the integrated garch igarch both these effects can be explained theoretically if one assumes that the data are nonstationary

installed base and compatibility innovation product preannouncements and predation a good is often more valuable to any user the more others use compatible goods the authors show that this effect may inhibit innovation if an installed base exists and transition to a new standard must be gradual early adopters bear a disproportionate share of transient incompatibility costs this can produce excess inertia the installed base however is stranded if the new standard is adopted this may create excess momentum these dynamic effects have strategic implications temporary price cutting can permanently prevent entry and product preannouncements can be critical in innovation these strategic actions have ambiguous welfare effects

price competition and compatibility in the presence of positive demand externalities in many cases the benefit to a consumer of a product increases with the number of other users of the same product these demand interdependencies are referred to in the literature as positive demand externalities or network externalities this paper examines the dynamic pricing behaviors of an incumbent and a later entrant with special attention to the impacts of demand externalities compatibility and competition on prices and profits defining market power as the ability to price above a competitor without losing market share we show how demand externalities and installed base combine to confer market power we model optimal pricing as a differential game with the optimal price trajectory established as nash open loop controls for a duopoly durable goods market with strong demand externalities the results show an increasing price trajectory can be optimal as expected a new entrant is better off if its products are compatible with those of the incumbent especially when demand externalities are strong and the installed base of the incumbent is large less intuitively the incumbent as well may be better off agreeing on common standards the comparison of monopoly and duopoly shows that under strong demand externalities and a small installed base the incumbent profits from compatible entry

price volatility in niger millet markets price volatility of food staples is one of the most complex factors affecting food security recent food price crises have raised academic interest in improved volatility assessment the widely held assumption in econometric volatility models that long run volatility is constant has been recently questioned and partly blamed for these crises a multiplicative mgarch model recently proposed by bauwens et al is used in this article to model price volatility transmission along the niger millet marketing chain results suggest important volatility links between consumer and producer prices as well as noteworthy differences between short and long run price dynamics

volatility linkages between energy and agricultural commodity prices abstract we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in germany and study their dynamics over time we propose an econometric approach to quantify the volatility and correlation risk structure which has a large impact for investment and hedging strategies of market participants as well as for policy makers volatilities and their short and long run linkages are analyzed using an asymmetric dynamic conditional correlation garch model as well as a multivariate multiplicative volatility model our approach provides a flexible and accurate fitting procedure for volatility and correlation risk we find that in the long run prices move together and preserve an equilibrium while correlations are mostly positive with persistent market shocks our results reveal that concerns about biodiesel being the cause of high and volatile agricultural commodity prices are rather unjustified

incentive compatibility in signaling games with a continuum of types on donne deux resultats utiles pour demontrer l existence et pour caracteriser des equilibres de separation dans des jeux de signalement

bubbles in food commodity markets four decades of evidence abstract we use daily prices from individual futures contracts to test whether speculative bubbles exist in 12 agricultural markets and to identify whether patterns of bubble behavior exist over time the samples begin as far back as 1970 and run through 2011 the findings demonstrate that all 12 agricultural markets experienced multiple periods of price explosiveness however bubble episodes represent a very small portion between 1 5 and 2 of price behavior during the 42 year period in addition most bubbles are short lived with 80 90 lasting fewer than 10 days though receiving far less attention negative bubbles contribute significantly to price behavior accounting for more than one third of explosive episodes markets over react during both positive and negative explosive episodes leading to a correction as they return to a random walk this adjustment back to fundamental values is most pronounced with positive bubbles particularly in the earlier part of the sample while the magnitudes of the corrections are generally small there were a few instances of significant increases in prices and large over reactions most notably in the softs e g cocoa 1973 coffee 1994 cotton 2010 we also find that explosive periods did not become more common or last longer in the second half of the sample period and that the most recent bubble episodes may not have been as severe as in mid 1970s

price transmission and asymmetric adjustment in the u s beef sector the u s livestock sector has experienced numerous structural changes in recent years for example the meatpacking industry has experienced many mergers and acquisitions leading to significant increases in industry concentration in particular the four firm concentration ratio for steer and heifer slaughter a frequently cited statistic and an important indicator of industry concentration increased from 35 7 in 1980 to 79 8 in 1997 usda there have also been significant regional shifts in livestock production and changes in marketing practices with decreased use of public markets in many areas for some products traditional auction markets have been largely replaced by contract production and sales cattle inventories have also trended downward over the last two decades this has been accompanied by decreases in the number of producers and in some cases with significant increases in the scale of operations the vertical transmission of shocks among various levels of the market is an important characteristic describing the overall operation of the market of course price is the primary mechanism by which various levels of the market are linked the extent of adjustment and speed with which shocks are transmitted among producer wholesale and retail market prices is an important factor reflecting the actions of market participants at alternative market levels the nature speed and extent of adjustments to market shocks may also have important implications for marketing margins spreads and mark up pricing practices an extensive literature has examined mar

the behavior of bid ask spreads in the electronically traded corn futures market this is the first paper to analyze liquidity costs in agricultural futures markets based on the observed bid ask spread bas faced by market participants the results reveal a highly liquid corn market that mostly offers order execution at minimum cost the bas responds negatively to volume and positively to price volatility but also affects volume traded and price volatility while statistically significant these responses on a cents bushel or a percentage basis are generally small liquidity costs are also virtually impervious to short term changes in demand for spreading and trend following trader activity as well as differences from day of the week changes in market activity much larger cents bushel and percentage changes in bas occur during commodity index trader roll periods and on usda report release days the roll period findings indicate a sunshine trading effect while announcement effects identify the importance of unexpected information and adverse selection on order execution costs overall our research demonstrates that the transition to electronic trading in the corn futures market has led to low and stable liquidity costs despite the market turbulence in 2008 2009

cross market network effect with asymmetric customer loyalty implications for competitive advantage a cross market network effect exists in many industries e g newspaper publishing media software in which a seller sells both a primary and a secondary product e g a newspaper publisher sells newspapers to readers and advertising space to advertisers and the value of the secondary product depends on the size of the user base of the primary product this paper examines the competitive implications of asymmetric customer loyalty in such markets in traditional markets an advantage in customer loyalty generates a profit advantage we show here however that in the presence of a cross market network effect a midlevel of loyalty advantage in the primary product market can lead to an overall profit disadvantage this surprising result is derived from the interdependence of the two markets whereby a profit in one market may be gained at the cost of the other and by the positive relationship between a larger loyalty segment and a higher opportunity cost of price competition in the product of the primary market extending our model to a two period entry game also shows that under certain conditions the entrant with disadvantage in customer loyalty can outperform the incumbent in profit and market share this result suggests that asymmetry in customer loyalty can be a source of first mover advantage or disadvantage

spatial dispersion of retail margins evidence from turkish agricultural prices the farmer share of retail prices is shown to be about 16 percent corresponding to about 84 percent of a distribution share on average across agricultural products and regions within turkey the share of transportation costs in retail prices is only about 7 percent while the share of retail margins is about 77 percent of retail prices the dispersion of retail prices across regions is shown to be mostly due to local wages and variable markups while the contribution of traded input prices is relatively small accordingly the high dispersion of farmer prices across locations is not reflected in the dispersion of retail prices due to the high contribution of retail margins these retail margins are also shown to account for about one third of the consumer welfare dispersion across regions and more than half of the consumer welfare dispersion across products

competitive promotional strategies this article analyzes the equilibrium pricing strategies of brands engaged in a pricing game each brand has a monopoly market loyal consumers and competes with others in a common market called brand switchers in the case of a duopoly it is shown that the behavior of the brand switchers characterizes the equilibrium behavior of the duopolists this article focuses on two key comparative statics namely the depth of discounts away from a regular high price and the probability of giving a deal or the frequency of deals how these properties vary with the size of the loyal markets and the behavior of the brand switching population is discussed copyright 1988 by the university of chicago

spatial price transmission and asymmetry in the ghanaian maize market abstract this paper utilizes recently developed threshold cointegration tests that allow for asymmetric adjustment toward a long run equilibrium relationship to examine price linkages between principal maize markets in ghana unlike previous studies the approach employed here assumes that economic agents only act to move the system back to equilibrium when the deviation from equilibrium exceeds a critical threshold whereby the benefits of this adjustment exceed the costs the findings indicate that major maize markets in ghana are well integrated both the threshold cointegration and asymmetric error correction models reveal that wholesale maize prices in local markets accra and bolgatanga respond more swiftly to increases than to decreases in central market techiman prices accra prices are found to react faster than bolgatanga prices to changes in techiman market prices

nontraded food commodity spatial price transmission evidence from the niger millet market using an augmented factor vector autoregressive favar model this study analyzes spatial millet prices transmission in niger our results did not find condition for millet markets integration existence however the granger causality tests and impulse response functions from the estimated short term dynamic as favar model revealed the existence of leading markets whose millet prices affect a maximum number of other regional millet prices while some regions seem to be isolated from trade or information flows furthermore the significance of a shock depends also on the characteristics of the region where it originates in terms of millet demand or supply indicating that the region to target and where the price shock originated matter for the policies success

multivariate volatility modeling of electricity futures the deregulation of european electricity markets has led to an increasing need in understanding the volatility and correlation structure of electricity prices we model a multivariate futures series of the european energy exchange eex index using an asymmetric garch model for volatilities and augmented dynamic conditional correlation dcc models for correlations in particular we allow for smooth changes in the unconditional volatilities and correlations through a multiplicative component that we estimate non parametrically we also introduce exogenous variables in our new multiplicative dcc model to account for congestion in short term conditional volatilities we find different correlation dynamics for long and short term contracts and the new model achieves higher forecasting performance compared to a standard dcc model

rural chinese food consumption the case of guangdong chinese consumer behavior is analyzed based on rural guangdong household survey data for most food items own price elasticities estimated with an aids model are inelastic commodity substitution due to relative price changes is small except in the case of grain commodities most responsive to expenditure changes are meats poultry fruits sweets and durable goods

price transmission and asymmetric adjustment in the spanish dairy sector asymmetric threshold vector error correction models are applied to monthly price data to analyse price relationships and patterns of transmission among farm and retail markets for a variety of dairy products in spain the results suggest that asymmetries affect a conspicuous part of the raw milk processed in spain implications for the organizational structure of spanish dairy markets are offered

spatial market integration in the presence of threshold effects a large body of research has evaluated price linkages in spatially separate markets much recent research has applied models appropriate for nonstationary data such analyses have been criticized for their ignorance of transactions costs which may inhibit price adjustments and thus affect tests of integration this analysis utilizes threshold autoregression and cointegration models to account for a neutral band representing transactions costs we evaluate daily price linkages among four corn and four soybean markets in north carolina nonlinear impulse response functions are used to investigate dynamic patterns of adjustments to shocks our results confirm the presence of thresholds and indicate strong support for market integration though adjustments following shocks may take many days to be complete in every case the threshold models suggest much faster adjustments in response to deviations from equilibrium than is the case when threshold behavior is ignored a large amount of empirical research has evaluated the extent to which spatially separate markets are integrated though the term is used loosely in the literature tests of market integration usually consider the extent to which shocks are transmitted among spatially separate markets the integration of markets can have important implications for price discovery and the operation of the market since persistent deviations from integration may imply riskless profit opportunities for spatial traders

the impact of food scares on price adjustment in the uk beef market abstract this paper considers the impact of food scares predominately concerns relating to bse on uk beef prices at retail wholesale and producer levels over the 1990s acknowledging the co movement that exists between prices in the meat marketing chain we use a co integrating framework the results of which show the importance of publicity regarding the safety of food in the transmission of beef prices in the uk the food publicity index that we use has a marked negative impact on the prices at all levels a result that is consistent with the effect of an inward shift in the demand function moreover the extent of price decline varies between the marketing stages entailing that the price spreads rise in response to an increase in the negative publicity about food safety while not a formal test of market power these observations are consistent with recent theoretical results demonstrating that market power exacerbates price changes in the upstream sectors for a given change in the retail demand function the implication of these varying price changes is that the food safety concerns also cause the marketing margins between the stages to widen the uk s competition commission has recently investigated the abuse of market power in the food sector inspired largely by this specific issue