cost allocation revisited an optimality result the resource manager of a firm is faced with capacity and pricing decisions with regard to a congestion prone system such as computer communication facilities difficulties arise since the manager is uninformed of the system demand when the capacity decision is to be made a game theoretic model is developed to analyze the effects of different accounting rules on the elicitation of relevant information and ex post efficiency in acquisition and allocation decisions the key result is that the cost allocation method aided by an anonymous reporting scheme is indeed as asserted by zimmerman zimmerman j 1979 the costs and benefits of cost allocations accounting rev 54 july 504 521 a full information efficient rule achieving optimality both in acquisition and allocation decisions discussions of the main assumptions underlying this result are provided

planning of renewables schemes deliberative and fair decision making on landscape issues instead of reproachful accusations of non cooperation abstract the main issues related to successful implementation policies concern the socio economic institutions that are conditional to planning in the energy policy domain but also in the domain of spatial planning successful investments and the siting of renewable power plants eventually determine the success rate of national efforts in establishing renewable capacity central planning usually has several objectives and these often have a detrimental effect on the goal of renewable energy application current problems related to implementation decisions concerning wind power schemes are an example to those who will be faced by other renewable power plants notably biomass regarding community acceptance of wind power schemes the visual evaluation of the impact of wind power on the values of the landscape is by far the most dominant factor in explaining opposition or support type of landscape fully overshadows other attitudinal attributes as well as other visual and scenic factors such as the design of wind turbines and wind farms and the number and the size of turbines planning regimes and decision making practices that really enhance the implementation processes of renewable energy require strong ecological modernization this means institutional changes that create involvement and trust of actors at the actual implementation level local opposition cannot be explained by the egotistical motives of local residents when the inclination to behave according to supposed backyard motives is investigated the scale to measure this phenomenon appears to indicate commitment to equity issues and fairness of decision making hence for wind power local involvement to represent the local values of site specific landscapes is crucial for other renewables the source specific features are different but conflicts can be expected as well because the fairness of implementation decisions will be equally significant

integrated regressors and tests of the permanent income hypothesis abstract we use recent research on estimation and testing in the presence of unit roots to argue that hall s 1978 t and f tests of whether consumption is predicted by lagged income or by lags of consumption beyond the first are asymptotically valid a monte carlo experiment suggests that the asymptotic t and f distributions provide a good approximation to the actual finite sample distribution

adaptive estimation of cointegrated models simulation evidence and an application to the forward exchange market the paper reports simulation and empirical evidence on the finite sample performance of adaptive estimators in cointegrated systems adaptive estimators are asymptotically efficient even when the shape of the likelihood function is unknown we consider two representations of cointegrated systems triangular cointegrating regressions and error correction models the motivation for and advantages of adaptive estimators in such systems are discussed and their construction is described we report results from the estimation of a forward exchange market unbiasedness regression using the adaptive and competing estimators and provide related monte carlo simulation evidence on the performance of the estimators copyright 1999 john wiley sons ltd

the speculative efficiency hypothesis the hypothesis that forward prices are the best unbiased forecast of future spot prices is often presented in the economic and financial analysis of futures markets this paper considers the hypothesis independently of its implications for rational expectations or market efficiency and in order to stress this fact the term speculative efficiency is used to characterize the state envisaged under the hypothesis if a market is subject to efficient speculation the supply of speculative funds is infinitely elastic at the forward price that is equal to the expected future spot price the expected future spot price is a market price determined as the solution to the underlying rational expectations macroeconomic model although the paper is primarily concerned with testing this hypothesis in the foreign exchange market the methodology introduced in the paper is of general application to all futures markets this abstract was borrowed from another version of this item

econometric modelling of the sterling effective exchange rate the exchange rate is recognised as a particularly tricky subject for modelling and prediction the problems of unobservables such as expectations of simultaneity and of policy changes both overt and covert in the sample period to which models must be fitted may account for the disappointing results of recent attempts to test theories of exchange rate determination this paper develops an appropriate empirical model to deal with these problems it allows consideration of the proper interpretation of theoretical assumptions and determination of how far modelling for ex ante prediction can succeed the exchange rate is recognised as a particularly tricky subject for modelling and prediction the problems of unobservables such as expectations of simultaneity and of policy changes both overt and covert in the sample period to which models must be fitted may account for the disappointing results of recent attempts to test theories of exchange rate determination see for example the pessimistic conclusions of hacche and townend 1981 the aim of this paper is to develop an appropriate empirical model for these purposes to consider in particular the proper interpretation of theoretical assumptions and to determine how far in this case modelling for ex ante prediction can succeed the core of the model is the view of the exchange rate as a price determined in an efficient market with low transactions costs and well informed transactors in this view the observed rate represents a market equilibrium apart from random deviations and where equilibrium is contingent upon an expected future state of the world the expectations are assumed rational in the sense of being unbiased relative to a given information set the implications of strong and weak forms of rationality in which the information set is either relatively wide or narrow must however be carefully distinguished under the most extreme rationality hypothesis it will not be possible to improve on a simple modified random walk model for ex ante prediction and so the role of additional lagged variables is an important empirical issue compare for example the life cycle model of consumption as in hall 1978 and see also davidson and hendry 1981 although there has been a good deal of investigation of exchange market rationality e g frenkel 1981 levich 1978 hacche and townend 1981 baillie lippens and macmahon 1983 the evidence remains inconclusive another important issue which the paper seeks to understand separate from although related to the rationality question is the volatility of the exchange rate relative to the variables which might be expected to explain it explanation in terms of a linear short run equilibrium model e g the overshooting hypothesis does not account convincingly for the very large shifts periodically observed in response to apparently minor stimuli a theoretical justification for a nonlinear econometric framework is developed and this model is found to dominate the linear alternative on goodness of fit criteria

a note on exchange rate expectations and nominal interest differentials a test of the fisher hypothesis this note tests the hypothesis that nominal interest differentials between similar assets denominated in different currencies can be explained entirely by the expected change in the exchange rate over the holding period this proposition often called the fisher open hypothesis or the hypothesis of perfect asset substitutability has been a major component of recent theories of exchange rate determination and has important implications for monetary policy 1 the fisher hypothesis differs from the covered interest parity theorem enunciated by keynes 11 while covered interest parity equates the nominal interest differential between financial centers to a known premium or discount on forward foreign exchange and is thus in principle riskless fisher parity involves risk in an essential way the two conditions are equivalent only when forward exchange rates equal expected future spot rates recent theoretical work for example that of grauer litzenberger and stehle 8 kouri 12 and frankel 6 shows that this need not be the case when market participants are risk averse thus while covered interest parity must always hold exactly in an informationally efficient asset market with no transactions costs fisher parity need not nominal interest differentials may reflect risk premia in addition to expected exchange rate movements 2 it should be emphasized at the outset that the tests conducted in this paper are really joint tests of the fisher hypothesis and a weak form of foreign exchange market informational efficiency levich 14 has argued that tests of market efficiency are always joint tests involving some hypothesized structure of normal equilibrium returns below we assume informational efficiency and instead test fisher s hypothesized arbitrage condition that nominal interest differentials equal expected percentage changes in exchange rates

mean reversion in g 10 nominal exchange rates according to conventional wisdom industrial country floating exchange rates contain unit roots sur tests on panels of monthly group of ten g 10 log nominal rates reject the null of unit roots for various samples over the current float with significance levels from 0 5 to 15 on average in out of sample forecasts mean reversion models beat random walks significantly in some forecast periods for monthly data the range of expected usd dem appreciation rates exceeds 15 per year in the mean reversion model mean reversion places strong restrictions on international models over the sample period the g 10 had to run monetary policies consistent with stable long run nominal rates

error correction mechanisms the interface between economic theory and applied econometrics is often one of uneasy compromise with the pragmatic justification for many accepted procedures resting on a theoretical base this paper examines the surprisingly strong arguments that exist in terms of economic theory for the use of error correction mechanisms in the specification of short run dynamic adjustment a common heresy exists that while economic theory provides a detailed analysis of comparative static equilibria it can offer no guidance as to the appropriate specification of dynamic adjustment towards an equilibrium perhaps in consequence it is not uncommon to find examples where the necessary dynamic specification is achieved by tacking onto an existing equilibrium specification some relatively ad hoc short run adjustment scheme the intercession of stochastic arguments in this process is confused and critical implications are frequently ignored in practice but perhaps more importantly there will typically be no guarantee that the dynamic specification is consistent with the prescribed equilibrium consistency in this sense requires that the short run dynamic adjustment be directed by the perceived disequilibrium and that eventual convergence to the equilibrium position be ensured that two separate theoretical arguments co exist within the final specification is the root cause of many difficulties both theoretical and empirical this abstract was borrowed from another version of this item

community perspectives of wind energy in australia the application of a justice and community fairness framework to increase social acceptance decisions concerning the siting of infrastructure developments or the use of natural resources have the potential to damage a community s social well being if the outcomes are perceived to be unfair justice is accepted as central to the well functioning of society with fairness being an expectation in day to day interactions outcomes that are perceived to be unfair can result in protests damaged relationships and divided communities particularly when decisions are made which benefit some sections of the community at the perceived expense of others through empirical research using a wind farm pilot study community perceptions of a community consultation process are explored using procedural justice principles to evaluate fairness findings from the pilot study indicate that perceptions of fairness do influence how people perceive the legitimacy of the outcome and that a fairer process will increase acceptance of the outcome a key research finding was that different sections of a community are likely to be influenced by different aspects of justice namely by outcome fairness outcome favourability and process fairness based on this finding a community fairness framework was developed which has potential application in community consultation to increase social acceptance of the outcome

cointegration and market integration an application to the indonesian rice market this article suggests improvements in the use of regression analysis to measure spatial market integration the procedure pioneered by ravallion is still widespread but is valid only under certain conditions of exogeneity the alternative offered here is an error correction mechanism which makes it possible to test for exogeneity as well as indicating the direction and strength of causality in price formation between markets the method is illustrated with data on rice prices in different parts of the indonesian market the results confirm among other things that supply sources are more important than demand sources in driving prices

nimby or not exploring the relevance of location and the politics of voiced opinions in renewable energy siting controversies local protests against renewable energy facilities have added fuel to the debate about the so called nimby not in my back yard effect this paper identifies six variables that can hamper the comparison between different public perception studies and offers two broad conclusions on aggregate proximity does have strong influence on public attitudes to proposed projects but the nature strength and spatial scale of this effect may vary according to local context and value of the land residents of stigmatised places are more likely to welcome facilities that are relatively green while people who derive a more positive sense of identity from particular rural landscapes are likely to resist such potential developments especially if they also live there secondly the fear of being branded a nimby and the positive ethics associated with the notion of renewable are both likely to colour the responses of many interviewees these aspects need to be clarified and accounted for in analyses of elicited responses both quantitative and qualitative if we are to improve our understanding of the social construction of individual attitudes in siting conflicts

dynamic pricing for network service equilibrium and stability consider a data communication network owned and operated by a single organization the network has an infinite number of small users and is managed by a system manager sm whose objective is to maximize the net value of the system as a whole the objective of this paper is to study pricing mechanisms that induce the optimal arrival rates when the sm has no full knowledge of the demand in advance we investigate the system behavior under three alternative dynamic pricing rules and users expectations models and characterize the equilibrium and its stability conditions

atheoretical macroeconometrics a critique abstract the spurious nature of the restrictions used to identify many macroeconometric models has led some researchers to advocate a style of econometric inquiry that is less dependent on prior theoretical restrictions of the sort that were central to the approach of the cowles commission this development which we call atheoretical macroeconometrics is summarized and evaluated in the current paper it is contrasted with an updated version of the cowles commission approach we conclude that while some of the exercises of atheoretical macroeconometrics are valid those that have attracted the most attention and appear the most innovative exogeneity testing impulse response analysis and policy analysis using estimated vector autoregressions are based on incorrect analysis

does the exchange rate follow a random walk a monte carlo study of four tests for a random walk abstract several authors have urged that real and nominal exchange rates follow a random walk conditions under which the exchange rate follows a random walk are reviewed in this paper many of these do not appear to hold therefore the empirical evidence presents a puzzle some evidence suggets the exchange rate follows a random walk while other evidence suggests the opposite should be true this paper attempts to reconcile the evidence it is argued that the tests for a random walk have low power monte carlo evidence on four tests for a random walk is presented that suppors this claim

distributional justice in swedish wind power development an odds ratio analysis of windmill localization and local residents socio economic characteristics with a fast rise in large scale wind power development in sweden and other countries in recent years issues related to energy justice generally and distributional justice specifically have become

the networked minority how a small group prevailed in a local windfarm conflict abstract this paper aims to explain through a qualitative case study how a small protest group prevailed during a local windfarm conflict in south eastern australia a social capital analytical framework was developed to analyse the data the analysis found that two communities inhabited the area for which the windfarm development was proposed the public participation process failed to address the concerns of both communities and led to the emergence of a social network of resistance the network had high stocks of bridging social capital which enabled an effective protest that led to the abandonment of the development their effectiveness was inadvertently aided by the windfarm supporters who were unable to act collectively to defend their interests because socio economic changes in the community among other factors had led to a depletion of their social capital in this context different democratic participatory processes were needed to address the concerns of the two communities guidance and tools for researching and developing the types of participatory processes needed for vulnerable communities with low social capital and those similar to the social network with high social capital are provided these will inform community appropriate public participation processes and participatory planning policy

foreign exchange market efficiency revisited abstract the cointegration of spot rates is neither a necessary nor a sufficient condition to account for the lack of foreign exchange market efficiency instead crowder crowder w 1994 1996 j int money finance 13 551 564 15 661 664 and engel engel c 1996 j int money finance 15 557 560 claimed that the stationarity of the forward premium is crucial to the hypothesis of market efficiency in this paper we employ the panel unit root test of im et al to examine the stationarity of forward premia and interest differentials among nine oecd countries we reject the unit root null for both the time series of the forward premium and interest differential which in turn supports the hypothesis of foreign exchange market efficiency

optimal internal pricing and capacity planning for service facility with finite buffer abstract an economic model is developed for exploring optimal internal pricing and capacity planning for service facility with finite buffer capacity because of the limited buffer capacity jobs finding the system full upon their arrival would be rejected such rejections create a gap between the value collectively perceived by users and the actual achievement of the organizational value this gap called a loss externality has never been studied before and plays an important role for designing optimal pricing scheme in general the underlying economic structure may involve multiple equilibria and it is unclear whether or not the system can be controlled through internal pricing in this regard a sufficient condition is given under which the system administrator can find two separate prices for accepted and rejected users at any demand level to be desired so that the desired demand level becomes the unique equilibrium of the system for a short run problem it is shown that the optimal pricing scheme can be expressed as the sum of the congestion and the loss externalities for a long run problem the optimal pricing scheme is expressed in a unified manner so that a structural relationship between the short run problem and the long run problem at optimality can be readily observed a necessary and sufficient condition is also given for the marginal capacity pricing to be optimal i e the optimal long run pricing consists of the marginal cost for processing capacity and the marginal cost for buffer capacity without involving any externality at all

market efficiency and cointegration an application to the sterling and deutschemark exchange markets abstract the assumption that the foreign exchange market is efficient that is that agents are risk neutral and use all available information rationally so that the forward exchange rate is an unbiased predictor of the future spot rate is a property often imposed in theoretical international macroeconomic models although a vast empirical literature has evolved to test market efficiency we use recent developments in the theory of cointegration to provide new methods of testing several aspects of foreign exchange market efficiency we ffind evidence inconsistent with market efficiency for both germany and the united kingdom

measuring global money market interrelationships an investigation of five major world currencies abstract this paper extends the study of global money market integration in two primary directions first a technique which combines stationarity and cointegration tests as a basis for constructing an error correction model is applied to assess the existence of long run equilibrium relationships between money market series second analysis for the increasingly significant asian offshore markets of singapore and hong kong is added to traditional european and national markets analysis major findings are 1 the error correction model is an appropriate technique for identifying causality relationships and 2 major domestic markets and included offshore markets are partially segmented

arbitrage cointegration and testing the unbiasedness hypothesis in financial markets we use a no arbitrage cost of carry asset pricing model to show that the existence of coin tegration between spot and forward futures prices depends on the time series properties of the cost of carry we argue that the conditions for cointegration are more likely to hold in currency markets than in commodity markets explaining many of the empirical results in the literature we also use this model to demonstrate why the forward rate forecast error the basis and the forward premium are serially correlated and to develop econometric tests ofthe unbiasedness hypothesis sometimes called the simple efficiency hypothesis in various financial markets the unbiasedness hypothesis is so prevalent in the finance liter ature that many tests for it have been developed we examine four of the common tests and and use our cointegration results to demonstrate why each of these tests should reject the null hypothesis of unbiasedness we find strong support for our hypothesis in the existing empirical literature

cointegration how short is the long run abstract when testing for cointegration and faced with short sample periods it is common for researchers to turn to more frequently sampled observations that is to move from annual to quarterly or monthly data in order to increase the number of observations we argue that such a gain in the degrees of freedom is more apparent than real essentially cointegration is a long run concept and hence requires long spans of data to give tests for cointegration much power rather than merely large numbers of observations using monte carlo simulations we demonstrate this for four popular tests for cointegration

user delay costs and internal pricing for a service facility this paper studies optimal pricing and capacity decisions for a service facility in an environment where users delay cost is important the model assumes a general nonlinear delay cost structure and incorporates the tradeoff between the delay cost and capacity cost we find necessary and sufficient conditions for the optimality of a pricing rule that charges out service resources at their marginal capacity cost we examine the issue of budgetary balance and find that net value maximization entails a budget deficit for the service facility that is the service facility should be evaluated as a deficit center the results provide guidelines under which the optimal magnitude of the deficit can be determined

the relative adjustment of wages and prices direct tests within a multiple equation system in order to assess the relative rigidity of the aggregate price level and the nominal wage rate most researchers have focused on the implied behaviour of the real wage rate in response to a purely demand disturbance the present work examines the explicit behaviour of the two variables and is therefore able to analyse the variables short run responses within the context of their defined long run behaviour while the paper reports evidence of long run stability in the real wage rate additional evidence is presented which supports both sticky price and sticky wage models the determining factor is the choice of lag

pricing and capacity decisions for a service facility stability and multiple local optima we consider a model for optimal pricing and capacity for a service facility the problem is formulated as one of optimal design of a single server queueing system in which the design variables are the service rate and the arrival rate equivalently the price charged for admission the model is a variant of one introduced by dewan and mendelson we allow for an upper bound on the arrival rate and consider slightly more general user value functions we show that an optimal solution may not lie in the interior of the feasible region and thus may not be characterized by the first order differential conditions moreover the first order conditions typically have several solutions some of which may be relative minima and produce a negative value of the objective function customer value minus the sum of expected delay cost and capacity cost per unit time we also examine the stability of the equilibrium arrival rate and the convergence of a dynamic adaptive algorithm for finding the optimal service rate in the context of a model in which the distribution of customers value of service is uniform we show that the equilibrium arrival rate is stable if and only if the service rate is above a threshold value which depends on the price charged for admission and the parameters of the uniform distribution of value of service the dynamic adaptive algorithm always converges to a relative maximum of the objective function if the service rate can be adjusted every time the arrival rate changes otherwise the algorithm will start to diverge if and when the service rate ever falls below the threshold value associated with stability of the equilibrium arrival rate

are foreign exchange forecasts rational new evidence from survey data abstract tests of rationality in foreign exchange markets have been inconclusive because of disagreement over the relevant asset pricing model this paper uses a newly available set of data on foreign exchange expectations to directly test the rationality of four foreign currency markets overall the results reject the rational expectations hypothesis

cost allocation and opportunity costs one explanation for the widespread use of allocated fixed costs is that they can serve as a proxy for difficult to calculate opportunity costs this explanation is pursued by modeling a service department as an m m s s queueing system two main results are that the expected value of opportunity costs equals both the incremental productivity of capacity and the optimal transfer price when the cost of capacity is of the form cs as and is close to one we show that allocated fixed costs are a good proxy for average opportunity costs however if there are great economies of scale is close to zero then a method which charges users only for the variable costs of the service department is recommended finally the economic efficiency of transfer prices based on either variable cost or full cost is compared with optimal transfer pricing policies

uncovered interest parity monetary policy and time varying risk premia abstract in a recent paper mccallum argued that monetary policy behavior can be responsible for the apparent empirical failure of uncovered interest parity uip the present paper investigates whether optimizing policy behavior can account for the observed regime dependence of uip evidence the main result is that the tradeoff between interest rate and exchange rate stability is a potential candidate for the explanation of the apparent failure of uip and that the consideration of policy reactions can explain why deviations from uip differ systematically by the exchange rate regime

forward exchange market unbiasedness the case of the australian dollar since 1984 abstract this paper implements a robust statistical approach to regression with non stationary time series the methods were recently developed in other work and are briefly exposited here they allow us to perform regressions in levels with non stationary time series data they accommodate data distributions with heavy tails and they permit serial dependence and temporal heterogeneity of unknown form in the equation errors with these features the methods are well suited to applications with frequently sampled exchange rate data which generally display all of these empirical characteristics our application here is to daily data on spot and forward exchange rates between the australian and us dollars over the period 1984 1991 following the deregulation of the australian foreign exchange market we find big differences between the robust and the non robust regression outcomes and in the associated statistical tests of the hypothesis that the forward rate is an unbiased predictor of the future spot rate the robust tests reject the unbiasedness hypothesis but still give the forward rate an important role as a predictor of the future spot rate

modelling weekly data on uk interest and exchange rates this paper examines the short term dynamic relationships existing between four variables of major interest to market analysts in the uk long and short interest rates the dollar sterling exchange rate and the sterling effective exchange rate the sample period investigated is from july 1985 to december 1988 both interest and exchange rates are found to be first order integrated processes but they are not cointegrated this is inconsistent with the term structure of interest rates but is consistent with exchange markets being efficient a vector autoregression is developed and analysed through two alternative sets of structural restrictions on the contemporaneous correlations between the series the predominant relationship between the interest rates runs from long to short rates thus confirming the rejection of the term structure hypothesis there are negative contemporaneous relationships between interest and exchange rates while the lagged relationship runs from interest to exchange rates so that

tests of exchange market efficiency fragile evidence from cointegration tests abstract several recent papers have employed engle and granger 1987 cointegration tests to determine whether or not markets are efficient we use a new test for cointegration due to johansen 1988 to examine market efficiency with respect to the us dollar exchange rates for canadian japanese and west german currencies the fragile nature of the test indications suggests that cointegration methodologies cannot be relied upon to provide reliable evidence on market efficiency

the expectations hypothesis of the term structure tests on us german french and uk euro rates abstract this paper tests the expectations hypothesis of the term structure on us german french and uk euro rates three tests are examined the first is based on forward rates and the other two are based on the interest rates spread first we show that the sign puzzle highlighted by campbell and shiller campbell j y shiller r j 1991 yield spreads and interest rate movements a bird s eye view review of economic studies 58 495 514 for us data does not arise in the cases of french and uk short term rates second we propose tests for the expectations hypothesis based on error correction models with these tests the sign puzzle disappears but the country puzzle remains

testing the hypothesis of market efficiency in the taiwan us forward exchange market since 1990 this article examines the applicability of the hypothesis of market efficiency in taiwan s foreign exchange market using daily data instead of linear regression based models we consider the possibility that the true data generating process may come from two different distributions and we employ the markov switching approach to analyse this from the results of the two state markov switching model we define state 1 as the efficient state and state 2 as the inefficient one only the 30 day forward rate is able to differentiate between the two states based on the unconditional probabilities from the markov switching model we also find that the 30 day forward rate has a 70 probability in the efficient state which indicates that 70 of all speculators fully extract information when predicting future spot rates while 30 of all investors do not

persistence in foreign exchange rates abstract this study examines the long run behavior of seven daily nominal exchange rates using univariate and multivariate persistence measures our results indicate that for some currencies the long run behavior deviates from that of a pure random walk in certain periods the multivariate estimates reflect the effect of both the ems exchange rate mechanism and increased post louvre accord coordinated intervention a large portion of the effect of a shock in one currency on another currency s long run value can be attributed to contemporaneous effects on the other currencies

interdependence and dynamics in currency futures markets a multivariate analysis of intraday data abstract this paper investigates long term interdependencies and short term dynamics in currency futures utilizing intraday data for six major foreign currencies the british pound deutsche mark swiss franc australian dollar canadian dollar and japanese yen lack of cointegration ci among the foreign exchange futures is found to be the prevailing mode of behavior but some temporary deviations from the no ci condition are detected there is a notable overlap between detected ci relationships and the timing of policy changes world events and regime shifts indicating that the observed cis are event driven the robustness of the ci results is checked with respect to variations in the model lag structure data period sample horizon and currency basket grouping impulse response functions irfs reveal that currency markets are in general efficient and absorb new information within the day the interdependence among currencies is found to be asymmetric

some further evidence on the law of one price the law of one price still holds international trade models often postulate the existence of a representative price i e the price which prevails at all markets this is known as the law of one price in this paper the law of one price is tested for seven commodities among four countries by explicitly considering transaction costs the empirical evidence suggests that in most cases the law of one price cannot be rejected asa maintained hypothesis furthermore for the remaining cases transaction costs seem to cause the failure

econometric modelling of non ferrous metal prices abstract this article evaluates the significance of the empirical models and the distributional properties of prices in non ferrous metal spots and futures markets published in leading refereed economics and finance journals between 1980 and 2002 the survey focuses on econometric analyses of pricing and return models applied to exchange based spot and futures markets for the main industrially used non ferrous metals namely aluminium copper lead nickel tin and zinc published empirical research is evaluated in the light of the type of contract examined frequency of data used choice of both dependent and explanatory variables use of proxy variables type of model chosen economic hypotheses tested methods of estimation and calculation of ses for inference reported descriptive statistics use of diagnostic tests of auxiliary assumptions use of nested and non nested tests use of information criteria and empirical implications for non ferrous metals