excise taxes with multiproduct transactions i examine excise taxes levied on multiproduct retailers excise taxes reduce equilibrium output and decrease equilibrium product variety in the short run but taxes can raise output per product in the long run and induce entry excise taxes are overshifted into prices in a wide range of cases including under linear and concave demand conditions and excise taxes shift less than one for one into prices only when demand is highly convex multiproduct transactions substantively alter the efficiency of ad valorem and specific forms of excise taxes and affect the comparison of relative tax performance over short run and long run time horizons jel h25 h32 l11 l13 l81

carbon pass through in the electricity sector an econometric analysis abstract we conduct an econometric analysis to investigate the carbon pass through in the greek electricity sector for this reason we utilize a rich micro level panel dataset including hourly data for 24 thermal power plants spanning the period from january 2014 to december 2017 in order to study the pass through of emissions costs to wholesale electricity prices we employ an instrumental variable approach our findings survived several robustness checks accounting for logged linear and non linear econometric specifications the empirical results indicate the existence of an almost complete pass through revealing that retailers fully internalize the cost of co2 permits this study incurs important policy implications since the complete pass through signify that wholesale electricity prices will increase at least in the short run however the overall effect on retail prices will be mostly affected by the amount of co2 permits and the fuel energy mix

food versus fuel an updated and expanded evidence abstract this paper replicates the study of zhang et al 2010 food versus fuel what do prices tell us energy policy 38 pp 445 451 we confirm the findings of the original paper that there was only a weak relationship between ethanol and food commodities in the period between march 1989 and july 2008 in addition we extend that study and examine the cointegration relationship between biofuels and related commodities for a considerably enlarged dataset 3 vs 1 market 26 vs 8 commodities analysis up till 2017 vs 2008 weekly vs monthly data frequency focusing on the biofuel markets of brazil the eu and the usa in the three separate periods before during and after the food crisis of 2007 and 2008 we show that studying the time variation of the relationships plays an essential role in their proper understanding our results help to clarify the wide extensive discussion about the role of biofuels prices in food shortages manifested particularly during the food crises in agreement with the original study we confirm that price series data do not support strong statements about biofuels uniformly serving as main leading source of high food prices and consequently the food shortages

crude oil corn ethanol nexus a contextual approach this paper offers a holistic study on the complex relationships between crude oil corn and ethanol during a turbulent period between 2006 and end of 2011 through a holistic mapping of the current market situation and a contextual analytical design we show that there exists a strong relationship between crude oil and corn markets on one side and crude oil and ethanol on the other however the price relationship between corn and ethanol was revealed to be less straightforward and is driven by the us government fuel policy furthermore the study indicates that corn markets have became more prone to volatility due to ethanol production especially when the demand for corn is high and or the crude oil prices are high enough to create a competitive market for ethanol

an analysis of policy scenario effects on the adoption of energy production on the farm a case study in emilia romagna italy abstract the agriculture sector s contribution to energy production is a central issue in ongoing policy debates and one of the central elements of the development of bioeconomy sector the common agricultural policy cap is one of the main determinants of the different farm strategies of european farmers the cap is now undergoing a thorough revision process which necessarily includes a debate of the role of the policy in rural areas and the effectiveness of the various cap policy mechanisms the objective of this paper is to assess the impact of alternative cap scenarios in the light of the possible changes in 2013 and the willingness to adopt energy plants for energy crops in the province of bologna italy this is pursued using both survey information and farm household mathematical programming models hence using stated intentions and simulated profitability to analyse the adopt of new technologies for energy production the results underscore the relevance of the cap scenarios in altering intentions with regard to the adoption of energy production and the relevant effect of uncertainty in delaying the diffusion of energy production systems

oil market conditions and sovereign risk in mena oil exporters and importers abstract we analyze for the first time how various levels of oil returns and oil volatility changes affect sovereign risk in static and time varying settings empirical analyses involve daily data from february 14 2011 to november 23 2018 covering a sample of mena oil exporters and importers the results from a quantile based approach show that the sovereign risk of mena oil exporters and importers is directionally predicted by shocks in oil prices and oil volatility especially during the oil crash of 2014 2016 overall the impact of oil returns and volatility changes occur in a very short time span that is within one day lag and the quantile specific reactions of sovereign risk spreads are time varying the impact of oil returns is asymmetric across quantiles the results hold when we control for stock market returns the findings have implications for investors in terms of portfolio and risk management importantly the findings are useful to policymakers for sovereign risk management decisions the cost of sovereign borrowing and the market timing of debt issuance finally the findings matter to bankers given that central and domestic banks hold large amounts of sovereign debt which makes banking systems particularly exposed to their own sovereign stress

monopoly pricing with negative network effects the case of vaccines abstract we study the market for vaccinations considering income heterogeneity on the demand side and monopoly power on the supply side a monopolist has an incentive to exploit the external effect of vaccinations and leave the poor susceptible in order to increase the willingness to pay the rich even the possibility of price discrimination does not remove this incentive we demonstrate that the weaknesses of standard policy measures are mitigated when income heterogeneity is taken into account this offers an efficiency based rationale for distribution oriented national or international public health interventions

dutch disease effect of oil rents on agriculture value added in middle east and north african mena countries abstract this paper investigates the effect of oil rents on agriculture value added in oil producing middle east and north african mena countries annual data from 1970 to 2011 panel cointegration tests by pedroni 1999 long ran panel causality tests by canning and pedroni 2008 and two step system gmm by blundell and bond 1998 are used in this study we find a negative relationship between oil rents and agriculture value added in the long run with a rather slow rate of short run adjustment of agriculture value added back to equilibrium after a boom in oil rents these results indicate that an oil sector boom is associated with a contraction in the agriculture sectors of the countries in the panel in the long run this is probably attributable to a resource movement effect from other economic sectors to the booming oil sector in these countries this serves as evidence of a dutch disease effect of an oil sector boom on agriculture in the mena countries in this study

contingency fit institutional fit and firm performance a metafit approach to organization environment relationships in this paper we attempt to reconcile contingency and institutional fit approaches concerning the organization environment relationship whereas prior scholarly research has examined both theories and compared their impacts on organizational fit and performance we lay the groundwork for a metafit approach by investigating how contingency and institutional fit interact to influence firm performance we test our theoretical framework using a data set of 3 259 respondents from 1 904 companies examining task environmental demands and institutional demands on organizational design across a broad range of industries and firm size classes our results show that contingency and institutional fit provide complementary and interdependent explanations of firm performance importantly our findings indicate that for firms under conditions of quasi fit rather than perfect contingency fit or optimal institutional fit improvements in contingency and or institutional fit will result in better performance however firms with high contingency fit are less vulnerable to deviation from institutional fit in the formation of firm performance whereas firms with perfect institutional fit will slightly decrease their performance when they strive to achieve contingency fit

global oil prices and local food prices evidence from east africa it is widely believed that oil prices impact food prices in developing countries yet rigorous evidence on this relationship is scarce using maize and petrol price data from east africa we show that global oil prices do affect food prices but primarily through transport costs rather than through biofuel or production cost channels we find that global oil prices transmit much more rapidly to the pump and then to local maize prices than do global maize prices suggesting that the immediate effects of correlated commodity price shocks on local food prices are driven more by transport costs than by the prices of the grains themselves furthermore we present suggestive evidence that for markets furthest inland changes in world oil prices have larger effects on local maize prices than do changes in world maize prices

pass through and consumer search an empirical analysis retail price pass through is one of the most important issues facing manufacturers of consumer packaged goods although retailers tend to pass higher wholesale prices through to consumers quickly and completely they often do not pass on trade promotions currently asymmetric pass through is commonly thought to result from retailers exercise of market power alternatively it may be because of consumer search behavior and retailers competitive response we test this theory using a panel threshold asymmetric error correction model applied to wholesale and retail scanner data for ready to eat cereal for a number of retailers in the los angeles metropolitan market we find that consumer search behavior contributes significantly to imperfect pass through by allowing pass through to depend on market power and consumer search costs we find results that are contrary to the conventional wisdom namely market power causes retail prices to fall quickly and rise slowly whereas consumer search behavior causes retail prices to rise quickly and fall slowly precisely the rockets and feathers phenomenon

monopoly pricing of an antibiotic subject to bacterial resistance we develop a dynamic bio economic model of bacterial resistance and disease transmission in which we characterize the pricing policy of a monopolist who is protected by a patent after expiration the monopolist behaves competitively in a generic industry having open access to the common pool of antibiotic efficacy and infection the monopolist manages endogenously the levels of antibiotic efficacy as well as the infected population which represent quality and market size respectively and achieves at least temporarily higher such levels than a hypothetically myopic monopolist who does not take into account the dynamic externalities the pricing policy and the biological system is characterized by the turnpike property before the patent vanishes the monopolist behaves more and more myopically leading to a continuous decrease in the price of the antibiotic once the generic industry takes over a discontinuous fall in price occurs whether a prolongation of the patent is socially desirable depends on the relative levels of antibiotic efficacy and infection

competitive pricing behavior in the auto market a structural analysis in a competitive marketplace the effectiveness of any element of the marketing mix is determined not only by its absolute value but also by its relative value with respect to the competition for example the effectiveness of a price cut in increasing demand is critically related to competitors reaction to the price change managers therefore need to know the nature of competitive interactions among firms in this paper we take a theory driven empirical approach to gain a deeper understanding of the competitive pricing behavior in the u s auto market the ability motivation paradigm posits that a firm needs both the ability and the motivation to succeed in implementing a strategy boulding and staelin 1995 we use arguments from the game theoretic literature to understand firm motivation and abilities in different segments of the auto market we then combine these insights from the game theoretic literature and the ability motivation paradigm to develop hypotheses about competition in different segments of the u s auto market to test our hypotheses of competitive behavior we estimate a structural model that disentangles the competition effect from the demand and cost effects on prices the theory of repeated games predicts that firms with a long run profitability objective will try to sustain cooperative pricing behavior as a stable equilibrium when conditions permit for example markets with high concentration and stable market environments are favorable for sustaining cooperative behavior and therefore provide firms with the ability to cooperate the theory of switching costs suggests that in markets in which a firm s current customers tend to be loyal firms have a motivation to compete very aggressively for new customers recognizing the positive benefits of loyalty from the customer base in the long run as consumer loyalty in the market increases the gains from increasing market share by means of aggressive competitive behavior are more than offset by losses in profit margins firms therefore have the motivation to price cooperatively empirically we find aggressive behavior in the minicom pact and subcompact segments cooperative behavior in the compact and midsize segments and bertrand behavior in the full size segment these findings are consistent with our theory based hypotheses about competition in different segments in estimating a structural model of the auto market we address several methodological issues a particular difficulty is the large number of car models in the u s auto market existing studies have inferred competitive behavior only in markets with two to four products they also use relatively simple functional forms of demand to facilitate easy estimation functional forms of demand however impose structure on cross elasticities between products such structure when inappropriate can bias the estimates of competitive interaction we therefore use the random coefficients logit demand model to allow flexibility in cross elasticities we also use recent advances in new empirical industrial organization neio to extend structural estimation of competitive behavior to markets with a large number of products we use the simulation based estimation approach developed by berry et al 1995 to estimate our model a frequent criticism of the neio approach is that its focus on industry specific studies limits the generalizability of its findings in this study we retain the advantages of neio methods but partially address the issue of generalizability by analyzing competitive behavior in multiple segments within the auto industry to see whether there is a consistent pattern that can be explained by theory theoretical modelers can use our results to judge the appropriateness of their models in predicting competitive outcomes for the markets that they analyze a by product of our analysis is that we also get estimates of demand and cost apart from competitive interactions for the market managers can use these estimates to perform what if analysis they can answer questions about what prices to charge when a new product is introduced or when an existing product s characteristics are changed

focusing firm evolution the impact of information infrastructure on market entry by u s telecommunications companies 1984 1998 organization structure acts as a lens on the environment gathering information and shaping its flow through a firm to inform managers choices this shaping of information flow happens through an organization s operating units which selectively process information from the environment and through the links between them which pass information between units we explore the relationship between this information infrastructure and firm strategy using structure and service information from the eight largest telephone service providers in the united states from 1984 to 1998 we find that firms with more units that scan areas of opportunity are more likely to enter a market while firms with more units that scan nonfocal areas are less likely to enter the market we also find that personnel links between units and the corporate level of the firm often constrain entry to new markets by dampening a unit s appetite for risk personnel links between operating units on the other hand can make a firm more likely to enter new markets particularly when the cooperating units combine different sets of information thus a firm s information infrastructure plays a dual role in shaping firm evolution leading toward some paths and away from others

modeling the dynamics of strategic fit a normative approach to strategic change this study develops and tests a dynamic perspective on strategic fit drawing from contingency and resource based arguments in the strategy and organizational theory literatures we propose a distinctive analytical approach to identify environmental and organizational contingencies that should predict changes in a firm s strategy and the performance implications of such changes we test our model using extensive longitudinal data from over 4000 u s savings and loan institutions during a period when many s ls considered changing strategic direction the findings support our model of dynamic strategic fit specifically we find that 1 the timing direction and magnitude of strategic changes can be logically predicted based on differences in specific environmental forces and organizational resources and 2 organizations that deviated from our model s prediction of dynamic strategic fit i e changed more or changed less than our model prescribed experienced negative performance consequences we conclude by discussing the implications of our approach and findings for future research on strategic fit and strategic change copyright 2000 john wiley sons ltd

co movements between crude oil and food prices a post commodity boom perspective using the correlations of var forecast errors at different horizons this paper analyzes the dynamics of co movements between crude oil and food prices for each food price considered a bivariate var model is estimated on two subsample periods a pre commodity boom 1990m1 2006m12 and a post boom period 2007m1 2015m5 our results reveal strong positive co movements between crude oil and food prices in the aftermath of the commodity boom while no statistically significant co movements are observed over the pre boom period hence our findings provide further empirical evidence on the actual linkages between the crude oil and agricultural markets

how do export controls affect price transmission and volatility spillovers in the ukrainian wheat and flour markets abstract this study investigates the impact of export controls implemented on ukrainian wheat during two periods of significant commodity price spikes and volatility first we investigate the equilibrium price relationship between wheat and flour prices to identify whether export restrictions dampened the price transmission from the wheat market to the flour market second we estimate an asymmetric vec bekk garch model to characterize the nature of short run price adjustments and volatility spillovers between the ukrainian wheat and flour markets the results indicate that export controls insulated the flour market from price shocks in the wheat market by reducing the transmission elasticity by 25 we also find evidence that suggests export controls lead to increased volatility in the flour market in the periods immediately before and after the export controls however we find no evidence that the export controls increase the time invariant i e the constant part of volatility of wheat or flour prices lastly we do not observe asymmetric spillover effects in the flour market but we do find that the wheat market is more volatile when experiencing positive shocks than negative ones

market structure and communicable diseases communicable diseases pose a formidable challenge for public policy using numerical simulations we show under which scenarios a monopolist s price and prevalence paths converge to a non zero steady state in contrast a planner typically eradicates the disease if eradication is impossible the planner subsidizes treatments as long as the prevalence can be controlled drug resistance exacerbates the welfare difference between monopoly and first best outcomes nevertheless because the negative externalities from resistance compete with the positive externalities of treatment a mixed competition monopoly regime may perform better than competition alone this result has important implications for the design of many drug patents les maladies contagieuses posent un defi important a la politique publique a l aide de simulations numeriques on montre dans quels scenarios les prix de monopole et le sentier de prevalence tendent a engendrer un regime permanent ou la maladie ne disparait pas un planificateur typiquement elimine la maladie si l eradication est impossible le planificateur subventionne les traitements aussi longtemps que la prevalence peut etre controlee la resistance au remede agrandit l ecart de bien etre entre le cas du monopole et l optimum cependant comme les effets externes negatifs de la resistance au traitement sont en conflit avec les effets externes positifs des traitements un regime mixte concurrence monopole peut donner de meilleurs resultats que la seule concurrence ce resultat a des implications importantes pour l elaboration de nombreux brevets pharmaceutiques

biofuel related price transmission literature a review abstract in this article an extensive review of the rapidly growing biofuel related time series literature is carried out the data used the modeling techniques and the main findings of this literature are discussed providing a review of this flourishing research area is relevant as a guidepost for future research this literature concludes that energy prices drive long run agricultural price levels and that instability in energy markets is transferred to food markets

who bears the cost of a change in the exchange rate pass through accounting for the case of beer abstract nominal exchange rates are remarkably volatile they ordinarily appear disconnected from the fundamentals of the economies whose currencies they price these facts make up a classic puzzle about the international economy if prices do not respond fully to changes in the nominal exchange rate who bears the cost of such large and unpredictable changes foreign firms domestic firms or domestic consumers this study presents a new analysis of the sources of incomplete pass through and then uses this analysis to re examine its implications for social welfare i develop and estimate a structural model that analyzes the sources of local currency price stability for a particular industry the model enables counterfactual simulations that quantify the relative importance of firms local cost components and markup adjustments in the incomplete transmission of exchange rate shocks to prices and the effect of the exchange rate shock on domestic and foreign firms profits and on consumer surplus the model is applied to a panel dataset of one industry with retail and wholesale prices for upc level products i find that markup adjustments by manufacturers and the retailer explain roughly half of the incomplete transmission and local cost components account for the other half foreign manufacturers generally bear a greater cost or reap a greater benefit following an exchange rate induced marginal cost shock than do domestic consumers domestic manufacturers or the domestic retailer

retailers strategies and food price dynamics evidence from dairy scanner data abstract we investigate the relationship between retailers strategies and dairy price dynamics using high frequency italian scanner data for different dairy products we compute a weekly drift free price index specific for product category chain and type of store exploiting the unbalanced panel data structure to control for unobservable strategies by chain time and type of store we test if unobservables are statistically significant in influencing the price dynamics of each of the products covered by our analysis in general chain and type of store specific unobservables play a significant role moreover we identify the role of some observable strategic variables in controlling or in stimulating price inflation rates we obtain mixed results on the relationship between private label pl market shares and price trend while we find price promotions to be more effective if applied to national brands nbs rather than pls we conclude with some implications for the potential role of public policies in controlling food inflation

the short and long run efficiency of energy precious metals and base metals markets evidence from the exponential smooth transition autoregressive models abstract the aim of this paper is to investigate the long and short run relationship between spot and futures prices of the energy precious metals and base metals markets we analyze daily data from january 1985 to february 2019 the empirical findings based on the cointegration test which follows a nonlinear process suggest that the spot prices of energy and metals assets have long run relationships with their futures prices nonparametric granger causality test results also indicate bi directional causality among futures and spot prices these findings indicate that the energy and metals markets are informationally efficient in the sense of fama 1970

global oil prices macroeconomic fundamentals and china s commodity sector comovements abstract this paper investigates the common movements of commodity sectors in china as well as the economic underpinnings of the comovements we employ a bayesian dynamic latent factor model to disentangle the common and idiosyncratic sector specific factors of the prices of a group of china s commodity sectors petrochemicals grains energy non ferrous metals oils fats and softs the results indicate that the common factor accounts for a significant portion of the fluctuations of china s commodity sectors providing evidence of the strong commodity sector comovements in china we further use a var model to link the common movements across china s commodity sectors to the underlying determinants including global oil price shocks and domestic macroeconomic fluctuations we find that the global oil price shocks have strong effects on the common movements across commodity sectors in china in addition to its domestic macroeconomic fluctuations at long horizons however at short horizons the common movements across commodity sectors in china respond more strongly to the global oil shocks than to its domestic macroeconomic fluctuations

causality and predictability in distribution the ethanol food price relation revisited abstract this paper examines the relationship between biofuels field crops and cattle prices in the u s from a new perspective we focus on predictability in distribution by asking whether ethanol returns can be used to forecast different parts of field crops and cattle returns distribution or vice versa density forecasts are constructed using conditional autoregressive expectile models estimated with asymmetric least squares forecast evaluation relies on quantile weighed scoring rules which identify regions of the distribution of interest to the analyst results show that both the centre and the left tail of the ethanol returns distribution can be predicted by using field crops returns on the contrary there is no evidence that ethanol can be used to forecast any region of the field crops or cattle returns distributions

measuring market power in the ready to eat cereal industry the ready to eat cereal industry is characterized by high concentration high price cost margins large advertising to sales ratios and numerous introductions of new products previous researchers have concluded that the ready to eat cereal industry is a classic example of an industry with nearly collusive pricing behavior and intense nonprice competition this paper empirically examines this conclusion in particular i estimate price cost margins but more importantly i am able empirically to separate these margins into three sources i that which is due to product differentiation ii that which is due to multi product firm pricing and iii that due to potential price collusion the results suggest that given the demand for different brands of cereal the first two effects explain most of the observed price cost margins i conclude that prices in the industry are consistent with noncollusive pricing behavior despite the high price cost margins leading firms are able to maintain a portfolio of differentiated products and influence the perceived product quality it is these two factors that lead to high price cost margins

return on assets loss from situational and contingency misfits we develop a rule based contingency misfit model and related hypotheses to test empirically the burton and obel 1998 multi contingency model for strategic organizational design the model is a set of if then misfit rules in which misfits lead to a loss in performance they are complements to the strategy and organizational contingency theory fit rules using data from 224 small and medium sized danish firms misfits are categorized and identified then performance hypotheses are developed and tested using regression models we confirm the hypotheses that firms with situational misfits or contingency misfits or both incur performance losses in return on assets compared with firms with no misfits contrary to our hypotheses we did not find that additional misfits lead to increased performance loss our results suggest that just one misfit of any kind may significantly compromise performance these results yield a deeper understanding of organizational contingency theory as well as implications for the rule based fit misfit organizational design model

cost pass through in differentiated product markets the case of u s processed cheese in this paper we estimate a mixed logit model for demand in the u s processed cheese market the estimates are used to determine pass through rates of cost changes under different behavioral regimes we find that under collusion the pass through rates for all brands fall between 21 and 31 while under nash bertrand price competition the range of pass through rates is between 73 and 103 the mixed logit model provides a more flexible framework for studying pass through rates than the logit model since the curvature of the demand functions depends upon the empirical distribution of consumer types

do food and oil prices co move abstract this paper studies co movements between world oil prices and global prices for corn soybean and wheat using copulas several copula models with different conditional dependence structures and time varying dependence parameters were considered empirical results for weekly data from january 1998 to april 2011 showed weak oil food dependence and no extreme market dependence between oil and food prices these results support the neutrality of agricultural commodity markets to the effects of changes in oil prices and non contagion between the crude oil and agricultural markets however dependence increased significantly in the last three years of the sampling period even though upper tail dependence remained insignificant indicating that food price spikes are not caused by positive extreme oil price changes these results have implications for policy design risk management and hedging strategies

global disease eradication an infectious disease can only be eradicated globally if it is eliminated in every country but does this require only international coordination or does it require cooperation using a model that blends epidemiology economics and game theory this paper shows that coordination will not always suffice even when the global benefits of eradication exceed the costs in general eradication will require strong international institutions jel h41 i18 k33 o19

limit theorems for estimating the parameters of differentiated product demand systems we provide an asymptotic distribution theory for a class of generalized method of moments estimators that arise in the study of dierentiated product markets when the number of observations is associated with the number of products within a given market we allow for three sources of error sampling error in estimating market shares simulation error in approximating the shares predicted by the model and the underlying model error it is shown that the estimators are can provided the size of the consumer sample and the number of simulation draws grow at a large enough rate relative to the number of products we consider the implications of the results for berry levinsohn and pakes 1995 random coecient logit model and the pure characteristic model analyzed in berry and pakes 2002 the required rates dier for these two frequently used demand models a small monte carlo study shows that the dierence in asymptotic properties of the two models are reflected in quite a striking way in the models small sample properties moreover the limit distributions provide a good approximation to the actual monte carlo distribution of the parameter estimates the results have important implications for the computational burden of the two models

commodity price inflation retail pass through and market power abstract when commodity prices rise wholesalers and retailers of products derived from basic commodities respond by passing along at least a portion of the price increase to consumers in this paper we examine whether firms respond differently to positive commodity price shocks than to negative commodity price shocks that is whether commodity price volatility alters market power we exploit recent volatility in food commodity prices over the period 2007 2010 to investigate how commodity price shocks translate into market power in two different vertically structured food product industries potatoes and fluid milk for potatoes we find both wholesale and retail market power decreases increases during periods of rising falling commodity prices moreover price cost margins widen a substantially greater degree in response to negative shocks than margins narrow in response to positive shocks indicating that commodity price volatility increases market power for fluid milk we find that market power likewise declines during periods of rising commodity prices however market power does not significantly change during periods of falling commodity prices suggesting that commodity price volatility decreases market power

dynamic jumps in global oil price and its impacts on china s bulk commodities abstract this paper investigated the impacts of oil price shocks especially dynamic jumps in its returns on china s bulk commodity markets at both the aggregate and industry levels after setting a zero lower bound to the jump intensity of the arji model we found that dynamic jumps exist in oil price movements moreover under shocks of oil price jumps not only the returns but also the risks of china s bulk commodity markets are affected significantly and the reactions of risks are characterized by overreactions meanwhile by decomposing oil price shocks into expected positive negative and unexpected positive negative components we discovered that the impacts of unexpected shocks are positive and significantly asymmetric at both levels while those of the expected shocks are negative and insignificantly asymmetric at the industry level in addition the volatility clustering of all price movements and the permanent volatility effects on china s bulk commodities are also authenticated by applying the garch family models

five facts about prices a reevaluation of menu cost models are price decreases 3 the frequency of price increases covaries strongly with inflation whereas the frequency of price decreases and the size of price increases and price decreases do not 4 the frequency of price change is highly seasonal it is highest in the first quarter and then declines 5 we find no evidence of upwardsloping hazard functions of price changes for individual products we show that the first second and third facts are consistent with a benchmark menu cost model whereas the fourth and fifth facts are not

tax subsidy policies toward vector borne infectious diseases abstract vector borne diseases especially rife in poor countries pose sectoral tax subsidy issues preventions and therapies mitigate these diseases in a numerical optimization model combining dynamic epidemiology and economics the medical distinction between prevention and therapy does not distinguish economic properties of preventions and therapies some interventions increase and others decrease moving to the steady state depending on the utility function the targeting of interventions and the disease process interventions display negative own price but indeterminate cross price effects juxtaposing the social planner s with decentralized choices quantifies externalities and shows how subsidies implement the first best one prevention and the therapy are equally subsidized

the impact of energy prices on the volatility of ethanol prices and the role of gasoline emissions abstract the contribution of renewable energy resources is vital for a country s economic growth by providing high efficiency in energy as well as an effective tool for the confrontation of climate change in particular concerning the eu an increase in the consumption of renewable energy resources as a proportion of the total energy consumption by its member states was set as an objective until 2020 ethanol has been widely used as a substitute to conventional energy like gasoline and oil the present paper surveys the role of alternative energy prices and gas emissions in the formation of the ethanol prices the results of the empirical survey confirmed the existence of a sole relationship among the variables employed according to the results obtained an increase in the volume of emissions or in gasoline prices results in an increase in ethanol prices while the opposite is confirmed in the case of crude oil he elasticity of ethanol prices to the increase of the emissions is another result worth mentioning indicative of the significant role of the emissions in the formation of ethanol prices

structural analysis of manufacturer pricing in the presence of a strategic retailer consumer goods manufacturers usually sell their brands to consumers through common independent retailers theoretical research on such channel structures has analyzed the optimal behavior of channel members under alternative assumptions of manufacturer retailer interaction vertical strategic interaction research in empirical industrial organization has focused on analyzing the competitive interactions between manufacturers horizontal strategic interaction decision support systems have made various assumptions about retailer pricing rules e g constant markup category profit maximization the appropriateness of such assumptions about strategic behavior for any specific market however is an empirical question this paper therefore empirically infers 1 the vertical strategic interaction vsi between manufacturers and retailer 2 the horizontal strategic interaction hsi between manufacturers simultaneously with the vsi and 3 the pricing rule used by a retailer the approach is particularly appealing because it can be used with widely available scanner data where there is no information on wholesale prices researchers usually have no access to wholesale prices even manufacturers who have access to their own wholesale prices usually have limited information on competitors wholesale prices in the absence of wholesale prices we derive formulae for wholesale prices using game theoretic solution techniques under the specific assumptions of vertical and horizontal strategic interaction and retailer pricing rules we then embed the formulae for wholesale prices into the estimation equations while our empirical illustration is using scanner data without wholesale prices the model itself can be applied when wholesale prices are available early research on the inference of hsi among manufacturers in setting wholesale prices using scanner data e g kadiyali et al 1996 1999 made the simplifying assumption that retailers charge a constant margin this assumption enabled them to infer wholesale prices and analyze competitive interactions between manufacturers in this paper we show that this model is econometrically identical to a model that measures retail price coordination across brands hence the inferred cooperation among manufacturers could be exaggerated by the coordinated pricing category management done by the retailer we find empirical support for this argument this highlights the need to properly model and infer vsi simultaneously to accurately estimate the hsi when using data at the retail level functional forms of demand have been evaluated in terms of the fit of the model to sales data but recent theoretical research on channels lee and staelin 1997 tyagi 1999 has shown that the functional form has serious implications for strategic behavior such as retail passthrough while the logit and linear model implies equilibrium passthrough of less than 100 lee and staelin call this vertical strategic substitute vss the multiplicative model implies optimal passthrough of greater than 100 vertical strategic complement vsc because passthrough rates on promotions have been found to be below or above 100 chevalier and curhan 1976 armstrong 1991 we empirically test the appropriateness of the logit vss and the multiplicative vsc functional form for the data we perform our analysis in the yogurt and peanut butter categories for the two biggest stores in a local market we found that the vss implications of the logit fit the data better than the multiplicative model we also find that for both categories the best fitting model is one in which 1 the retailer maximizes category profits 2 the vsi is manufacturer stackelberg and 3 manufacturer pricing hsi is tacitly collusive the fact that the retailer maximizes category profits is consistent with theoretical expectations the inference that the vsi is manufacturer stackelberg reflects the institutional reality of the timing of the game retailers set their retail prices after manufacturers set their wholesale prices note that in the stores and product categories that we analyze the two manufacturers own the dominant brands with combined market shares of about 82 in the yogurt market and 65 in the peanut butter market the result is also consistent with a balance of power argument in the literature the finding that manufacturer pricing is tacitly collusive is consistent with the argument that firms involved in long term competition in concentrated markets can achieve tacit collusion managers use decision support systems for promotion planning that routinely make assumptions about vsi hsi and the functional form the results from our analysis are of substantive import in judging the appropriateness of assumptions made in such decision support systems

linear and nonlinear causality between sectoral electricity consumption and economic growth evidence from taiwan this study investigates the linear and nonlinear causality between the total electricity consumption tec and real gross domestic production rgdp unlike previous literature we solve the undetermined relation between rgdp and electricity consumption by classifying tec into industrial sector consumption isc and residential sector consumption rsc as well as investigating how tec isc and rsc influence taiwan s rgdp by using the granger s linear causality test it is shown that i there is a bidirectional causality among tec isc and rgdp but a neutrality between rsc and rgdp with regard to the linear causality and ii there is still a bidirectional causality between tec and rgdp but a unidirectional causality between rsc and rgdp with regard to the nonlinear causality on the basis of i and ii we suggest that the electricity policy formulators loosen the restriction on isc and limit rsc in order to achieve the goal of economic growth

estimating a nonlinear rational expectations commodity price model with unobservable state variables this paper is concerned with the estimation of a model in which a possibly serially correlated stochastic process the harvest of an agricultural commodity generates a competitive price in a market comprising both final consumers and risk neutral speculators who can store the commodity at a cost in the anticipation of profit because storage cannot be negative the relationship between prices and harvests is inherently nonlinear and is an unpromising candidate for a linear quadratic model or for linearization more generally instead we calculate numerically a policy function in which price is a function of two unobservable state variables the harvest and current availability and we use the result to fit the price data

food versus fuel what do prices tell us abstract sorting out the impacts of biofuels on global agricultural commodity prices is impossible without turning to data and distinguishing between the short run versus the long run impacts using time series prices on fuels and agricultural commodities the aim is to investigate the long run cointegration of these prices simultaneously with their multivariate short run interactions results indicate no direct long run price relations between fuel and agricultural commodity prices and limited if any direct short run relationships in terms of short run price movements sugar prices are influencing all the other agricultural commodity prices except rice with sugar the number one world input for ethanol results indicate increased ethanol production is potentially influencing short run agricultural commodity prices overall results support the effect of agricultural commodity prices as market signals which restore commodity markets to their equilibria after a demand or supply event shock

how is volatility in commodity markets linked to oil price shocks abstract this study investigates the effects of oil price shocks on volatility of agricultural and metal commodities we decompose an oil price shock to its underlying components including macroeconomics and oil specific shocks the applied method is the structural vector autoregressive svar model and the time span is from april 1983 to may 2014 the investigation is divided into two subsamples before and after may 2006 for agriculture taking into account the 2006 2008 food crisis and change in u s ethanol production policy and before and after january 2008 for metals considering the recent global financial crisis we find that based on impulse response functions the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying cause of the shock for the both periods moreover according to variance decomposition the explanatory power of oil shocks becomes stronger after the crisis the different responses of commodities are described in detail by investigating market characteristics in each period

a new statistic and practical guidelines for nonparametric granger causality testing abstract in this paper we introduce a new nonparametric test for granger non causality which avoids the over rejection observed in the frequently used test proposed by hiemstra and jones 1994 testing for linear and nonlinear granger causality in the stock price volume relation journal of finance 49 1639 1664 after illustrating the problem by showing that rejection probabilities under the null hypothesis may tend to one as the sample size increases we study the reason behind this phenomenon analytically it turns out that the hiemstra jones test for the null of granger non causality which can be rephrased in terms of conditional independence of two vectors x and z given a third vector y is sensitive to variations in the conditional distributions of x and z that may be present under the null to overcome this problem we replace the global test statistic by an average of local conditional dependence measures by letting the bandwidth tend to zero at appropriate rates the variations in the conditional distributions are accounted for automatically based on asymptotic theory we formulate practical guidelines for choosing the bandwidth depending on the sample size we conclude with an application to historical returns and trading volumes of the standard and poor s index which indicates that the evidence for volume granger causing returns is weaker than suggested by the hiemstra jones test

testing for linear and nonlinear granger causality in the stock price volume relation linear and nonlinear granger causality tests are used to examine the dynamic relation between daily dow jones stock returns and percentage changes in new york stock exchange trading volume we find evidence of significant bidirectional nonlinear causality between returns and volume we also examine whether the nonlinear causality from volume to returns can be explained by volume serving as a proxy for information flow in the stochastic process generating stock return variance as suggested by clark s 1973 latent common factor model after controlling for volatility persistence in returns we continue to find evidence of nonlinear causality from volume to returns

world oil and agricultural commodity prices evidence from nonlinear causality abstract the increasing co movements between the world oil and agricultural commodity prices have renewed interest in determining price transmission from oil prices to those of agricultural commodities this study extends the literature on the oil agricultural commodity prices nexus which particularly concentrates on nonlinear causal relationships between the world oil and three key agricultural commodity prices corn soybeans and wheat to this end the linear causality approach of toda yamamoto and the nonparametric causality method of diks panchenko are applied to the weekly data spanning from 1994 to 2010 the linear causality analysis indicates that the oil prices and the agricultural commodity prices do not influence each other which supports evidence on the neutrality hypothesis in contrast the nonlinear causality analysis shows that i there are nonlinear feedbacks between the oil and the agricultural prices and ii there is a persistent unidirectional nonlinear causality running from the oil prices to the corn and to the soybeans prices the findings from the nonlinear causality analysis therefore provide clues for better understanding the recent dynamics of the agricultural commodity prices and some policy implications for policy makers farmers and global investors this study also suggests the directions for future studies

nonlinear causality between crude oil price and exchange rate a comparative study of china and india a failed replication negative type 1 and type 2 evidence published in this journal by bal and rath 2015 purports a bidirectional nonlinear causality between oil price and india s exchange rate and for china unidirectional nonlinear causality running from exchange rate to oil price their entire testing protocol and ensuing results rest upon claims that all the variables contain a unit root we raise several critical issues and revisit the order of integration of the series as well as their cointegration and granger causality properties through a pure replication and a reanalysis contrary to bal and rath 2015 when we repeat their estimated model with their specification of the ng and perron 2001 unit root test on their data we find that their oil price series rol is level stationary negative replication type 1 a result which makes all their subsequent results biased and misleading our reanalysis confirms that rol is i 0 linearly as well as nonlinearly we also find that the basic bivariate model proposed by bal and rath 2015 fails to produce statistically robust and stable cointegrating patterns nonlinear causality tests confirm the absence of any nonlinear causality for both countries negative replication type 2

the effects of oil prices on the price indices in taiwan international or domestic oil prices matter abstract this study employs the multivariate threshold model developed by tsay 1998 to examine the effects of international and domestic oil prices on the price indices in taiwan using monthly data from january 1999 to december 2011 the results show that changes in domestic oil prices do not granger cause changes in the price indices when the oil price change exceeds the threshold level however international oil price shocks still affect the wholesale price index through the effects of announcement and expectation therefore controlling domestic oil prices to prevent volatility in the price indices is ineffective if we focus on the period when the left wing party is in power we also find that changes in international oil prices have more critical effects on the price indices than changes in domestic oil prices however the lead lag relationship between changes in domestic oil prices and changes in the price indices vanishes except with respect to the transportation category where the consumer price index is affected by domestic oil prices this result may be due to the government s extensive intervention in setting oil prices

the relationship between co2 emissions and economic growth the case of korea with nonlinear evidence abstract using star models we investigate the nonlinear dynamic properties and the interdependence of co2 emissions and economic growth for korea the estimation results indicate that the growth rate of both co2 emissions and industrial production exhibit a significant nonlinear asymmetric dynamics while the linear granger causality test finds no causality in any direction the results of the nonlinear granger causality tests show a two way causality between co2 emissions and economic growth the strong mutual causation between co2 emissions and economic activities indicates that the economic impact from co2 mitigation is expected to be higher in korea this suggests that the appropriate energy and environmental policy be to mitigate co2 emissions while having less impact on the economy

impact of energy prices and cellulosic biomass supply on agriculture energy and the environment an integrated modeling approach abstract the accelerated growth in biofuel markets has both created and reinforced linkages between agriculture and energy the evolution of biofuel markets over the next 10 20 years and the implications for energy agriculture and the environment are uncertain building on an integrated agriculture energy modeling framework this study analyzes a baseline and three alternative scenarios two scenarios based on energy prices crude oil and natural gas and one based on assumptions regarding cellulosic biomass availability by examining the impact of scenarios driven by a changes in the energy sector and b changes in the agricultural sector we can compare the differential effects on biofuels markets commodity prices and quantities in each sector and co 2 emissions scenario comparisons show biofuel markets affected more by crude oil prices than natural gas prices however higher natural gas prices shift the biofuel production mix away from corn grain based to more cellulosic ethanol via multiple mechanisms alternatively the scenario with no cellulosic feedstock lowers total ethanol production and raises ethanol and corn prices in terms of environmental impacts higher ethanol levels driven by higher oil prices lead to lower co 2 emissions in comparison the no cellulosic scenario results in the highest co 2 trajectory relative to the baseline

economic growth and energy consumption revisited evidence from linear and nonlinear granger causality the relationship between energy consumption and economic growth is considered as an imperative issue in energy economics previous studies have ignored the nonlinear behavior which could be caused by structural breaks in this study both linear and nonlinear granger causality tests are applied to examine the causal relationship between energy consumption and economic growth for a sample of asian newly industrialized countries as well as the u s this study finds evidence supporting a neutrality hypothesis for the united states thailand and south korea however empirical evidence on philippines and singapore reveals a unidirectional causality running from economic growth to energy consumption while energy consumption may have affected economic growth for taiwan hong kong malaysia and indonesia policy implications are also discussed

brand supermarket demand for breakfast cereals and retail competition the berry levinsohn and pakes 1995 market equilibrium model is extended to the supermarket chain level to examine consumer choices and retail competition for thirty seven brands of breakfast cereals in boston estimated taste parameters for product characteristics vary significantly across consumers although consumers are price sensitive with respect to their chosen cereals they exhibit strong brand and supermarket loyalty retail markups increase and marginal costs decrease with grocery market shares attesting to oligopoly power with efficiencies markups decrease with the own price elasticity of demand with corn flakes having the highest markups a detailed picture of consumer response and supermarket competition is provided

externalities and compulsary vaccinations abstract this paper challenges the conventional wisdom that because of the free rider problem a case can be made for compulsary vaccination against infectious disease for a very general class of models requiring that all individuals be vaccinated is strictly dominated by free choice the market allocation is not optimum and in the full information optimum some individuals would be compelled to be vaccinated this allocation can be achieved by taxes and subsidies however the government can exploit the revelation properties of vaccination and achieve an even better allocation than the full information optimum

dynamic epidemiology and the market for vaccinations abstract the intent of this paper is to raise the question of how and when externalities can arise in the market for vaccinations static and dynamic models of such markets are developed and compared a special case in a continuous time dynamic framework is examined and is found to be efficient i e there is no externality this is in contrast to the results from the static formulation raising doubts about the suitability of a static approach these results indicate that the question of whether there are externalities in individual immunization decisions is more involved than is generally supposed

vertical relationships between manufacturers and retailers inference with limited data in this paper different models of vertical relationships between manufacturers and retailers in the supermarket industry are compared demand estimates are used to compute price cost margins for retailers and manufacturers under different supply models when wholesale prices are not observed the purpose is to identify the set of margins compatible with the margins obtained from estimates of cost and to select the model most consistent with the data among non nested competing models the models considered are 1 a simple linear pricing model 2 a vertically integrated model and 3 a variety of alternative strategic supply scenarios that allow for collusion non linear pricing and strategic behaviour with respect to private label products using data on yogurt sold in several stores in a large urban area of the u s the results imply that wholesale prices are close to marginal cost and that retailers have pricing power in the vertical chain this is consistent with non linear pricing by the manufacturers or high bargaining power of the retailers

a control function approach to endogeneity in consumer choice models abstract endogeneity arises for numerous reasons in models of consumer choice it leads to inconsistency with standard estimation methods that maintain independence between the model s error and the included variables the authors describe a control function approach for handling endogeneity in choice models observed variables and economic theory are used to derive controls for the dependence between the endogenous variable and the demand error the theory points to the relationships that contain information on the unobserved demand factor such as the pricing equation and the advertising equation the authors approach is an alternative to berry levinsohn and pakes s 1995 product market controls for unobserved quality the authors apply both methods to examine households choices among television options including basic and premium cable packages in which unobserved attributes such as quality of programming are expected to be correlated with price without correcting for endogeneity aggregate d

risk spillover between energy and agricultural commodity markets a dependence switching covar copula model abstract unlike previous studies we employ a relatively newer modelling technique a time varying copula with a switching dependence to characterise the conditional dependence between energy and agricultural commodity markets in a more realistic way because the dependence may switch between positive and negative correlation regimes over time a dependence switching copula more appropriately and realistically captures a dependence structure than a single copula regime our findings indicate that the lower tail dependence is much stronger in a bearish regime than in a bullish regime highlighting the importance of systematic risk spillovers during extreme downward movements furthermore the significant risk spillovers from energy to agricultural commodities are verified by measuring the conditional value at risk covar and delta covar finally some useful implications are summarized for investors portfolios and risk avoidance

accounting for incomplete pass through recent theoretical work has suggested a number of potentially important factors in causing incomplete pass through of exchange rates to prices including markup adjustment local costs and barriers to price adjustment we empirically analyze the determinants of incomplete passthrough in the coee industry the observed pass through in this industry replicates key features of pass through documented in aggregate data prices respond sluggishly and incompletely to changes in costs we use microdata on sales and prices to uncover the role of markup adjustment local costs and barriers to price adjustment in determining incomplete pass through using a structural oligopoly model that nests all three potential factors the implied pricing model explains the main dynamic features of short and long run pass through local costs reduce long run pass through by a factor of 59 relative to a ces benchmark markup adjustment reduces pass through by an additional factor of 33 where the extent of markup adjustment depends on the estimated super elasticity of demand the estimated menu costs are small 0 23 of revenue and have a negligible eect on long run pass through but are quantitatively successful in explaining the delayed response of prices to costs we nd that delayed passthrough in the coee industry occurs almost entirely at the wholesale rather than the retail level

volatility spillover between oil and agricultural commodity markets abstract this study examines volatility transmission between oil and selected agricultural commodity prices wheat corn soybeans and sugar we apply the newly developed causality in variance test and impulse response functions to daily data from 01 january 1986 to 21 march 2011 in order to identify the impact of the food price crisis the data are divided into two sub periods the pre crisis period 01 january 1986 to 31 december 2005 and the post crisis period 01 january 2006 21 march 2011 the variance causality test shows that while there is no risk transmission between oil and agricultural commodity markets in the pre crisis period oil market volatility spills on the agricultural markets with the exception of sugar in the post crisis period the impulse response analysis also indicates that a shock to oil price volatility is transmitted to agricultural markets only in the post crisis period this paper thereby shows that the dynamics of volatility transmission changes significantly following the food price crisis after the crisis risk transmission emerges as another dimension of the dynamic interrelationships between energy and agricultural markets

the long run impact of energy prices on world agricultural markets the role of macro economic linkages the world prices of some food and energy products have followed similar large swings in recent years we investigate the long run relationship between these prices using a world computable general equilibrium model with detailed representations of food and energy markets particular attention is paid to specifying macro economic linkages which have often been overlooked in recent analysis and debate we find that the omission of these macro economic linkages has a substantial bearing on this relationship a positive relationship due to the cost push effect has been identified in most analysis but we find that the introduction of the real income effect may indeed imply a negative relationship between world food and energy prices

improving the numerical performance of static and dynamic aggregate discrete choice random coefficients demand estimation the widely used estimator of berry levinsohn and pakes 1995 p roduces estimates of consumer preferences from a discrete choice demand model with random coefficients market level demand shocks and endogenous prices we derive numerical theory results characterizing the properties of the nested fixed point algorithm used to evaluate the objective function of blp s estimator we discuss problems with typical implementations including cases that can lead to incorrect parameter estimates as a solution we recast estimation as a mathematical program with equilibrium constraints which can be faster and which avoids the numerical issues associated with nested inner loops the advantages are even more pronounced for forward looking demand models where the bellman equation must also be solved repeatedly several monte carlo and real data experiments support our numerical concerns about the nested fixed point approach and the advantages of constrained optimization for static blp the constrained optimization approach can be as much as ten to forty times faster for large dimensional problems with many markets

choices beliefs and infectious disease dynamics a dynamic model of risky behavior in the midst of an epidemic is discussed the key result is that pessimistic expectations over the future of the epidemic induce more current risky behavior numerical simulation of equilibrium epidemics shows that this effect can accelerate spread of the disease in an epidemic s early stages and that the effect of policy interventions such as preventative vaccines may depend on whether the intervention was anticipated

do patents work thickets trolls and antibiotic resistance this paper connects ideas from recent literature on the economics of intellectual property ip to address the question did the strengthening and broadening of ip rights from important patent policy changes in the us promote greater innovation the analysis rests on the theory of cumulative innovation which shows that if ip rights on a pioneer invention extend to follow on research and impediments to contracting exist then strengthening patents can actually reduce overall innovation recent empirical studies are consistent with the theory patents can significantly deter follow on research in complex technology areas where contracting is difficult computers electronics telecommunications but not in drugs chemicals and human genes i outline remedies from court decisions and antitrust policy for addressing inefficiencies from patent trolling patent thickets and the anti commons of fragmented ownership i then apply the analysis to the antibiotics market drawing on recent research to examine how patent and competition policies can be used to improve incentives for drug development in the battle against antibiotic resistance the literature provides persuasive evidence that the policy changes overreached in broadening and strengthening ip rights and reveals important patent reforms for improving the effectiveness of patent systems in the us and canada

world oil prices and agricultural commodity prices evidence from an emerging market abstract oil prices are thought to have direct effect on agricultural prices followed by an indirect effect through the exchange rate this paper examines the short and long run interdependence between world oil prices lira dollar exchange rate and individual agricultural commodity prices wheat maize cotton soybeans and sunflower in turkey to this end the toda yamamoto causality approach and generalized impulse response analysis for identification of the long and short run interrelationships are applied to the monthly data spanning from january 1994 to march 2010 the impulse response analysis suggests the turkish agricultural prices do not significantly react to oil price and exchange rate shocks in the short run the long run causality analysis reveals that the changes in oil prices and appreciation depreciation of the turkish lira are not transmitted to agricultural commodity prices in turkey hence our results support neutrality of agricultural commodity markets in turkey to both direct and indirect effects of oil price changes

energy milk price transmission at the product brand level this article estimates the pass through rates between diesel fuel and retail milk prices at the product brand level using a random coefficient logit demand model and taking the direct and indirect impacts of energy prices this research identifies changes in pass through rates before and after the great recession in 2008 empirical results show that diesel prices significantly impacted the retail prices of milk products and are an important determinant of food price inflation pass through rates are estimated to range from 0 16 to approximately 0 60 through 2008 with an average of 0 22 for the whole period statistical tests indicate that pass through rates before june 2008 were significantly higher than after june 2008 when they dropped significantly to 0 04 to 0 17 interestingly private label brands have the lowest pass through rates implying that compared to manufacturer brands private label prices are more insulated from diesel price shocks

the relationship between crude oil spot and futures prices cointegration linear and nonlinear causality the present study investigates the linear and nonlinear causal linkages between daily spot and futures prices for maturities of one two three and four months of west texas intermediate wti crude oil the data cover two periods october 1991 october 1999 and november 1999 october 2007 with the latter being significantly more turbulent apart from the conventional linear granger test we apply a new nonparametric test for nonlinear causality by diks and panchenko after controlling for cointegration in addition to the traditional pairwise analysis we test for causality while correcting for the effects of the other variables to check if any of the observed causality is strictly nonlinear in nature we also examine the nonlinear causal relationships of vecm filtered residuals finally we investigate the hypothesis of nonlinear non causality after controlling for conditional heteroskedasticity in the data using a garch bekk model whilst the linear causal relationships disappear after vecm cointegration filtering nonlinear causal linkages in some cases persist even after garch filtering in both periods this indicates that spot and futures returns may exhibit asymmetric garch effects and or statistically significant higher order conditional moments moreover the results imply that if nonlinear effects are accounted for neither market leads or lags the other consistently videlicet the pattern of leads and lags changes over time

fossil fuel price uncertainty and feedstock edible oil prices evidence from mgarch m and virf analysis abstract this paper focuses on examining the impact of crude oil price volatility on the price changes of major edible oils rapeseed soybean and sunflower which are the main feedstock for the biodiesel industry in the european union for this purpose a four variate version of non diagonal garch in mean model that allows for asymmetry in the variance covariance matrix is used an important conclusion that emerges from this study is that the crude oil price uncertainty appears to be responsible for a significant decline in price returns of major feedstock edible oils considered in this study the volatility impulse response analyses support the conclusion that the conditional variances of both edible and crude oil and covariances between them are generally highly responsive to historical shock however the size of the impacts is mainly commodity specific finally we investigate the causality from crude oil price volatility to edible oil prices and the effects of oil price shocks on edible oil prices by using the granger causality test and generalized impulse response function analysis respectively the empirical results show that there is strong evidence of causality from crude oil price volatility to all edible oil prices under study and generalized impulse response analysis shows that the edible oil markets significantly respond to the shocks in oil prices

dynamic spillovers among major energy and cereal commodity prices abstract over the past decade the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them this article deals with the dynamic return and volatility spillovers across international energy and cereal commodity markets it also examines the impacts of three types of opec news announcements on the volatility spillovers and persistence in these markets for this purpose we make use of the var bekk garch and var dcc garch models for the daily spot prices of eight major commodities including wti oil europe brent oil gasoline heating oil barley corn sorghum and wheat our results provide evidence of significant linkages between these energy and cereal markets moreover the opec news announcements are found to exert influence on the oil markets as well as on the oil cereal relationships finally we show that the persistence of volatility decreases increases for the crude oil and heating oil gasoline returns after accounting for the opec announcements in these multivariate garch models however the results are more mixed for the cereal markets overall our results can be used to improve the risk adjusted performance by having more diversified portfolios and also serve to hedge the oil risk more effectively

search with learning from prices does increased inflationary uncertainty lead to higher markups aggregate cost uncertainty arising from real shocks or unanticipated inflation reduces the informativeness of prices by scrambling relative and aggregate variations but when agents can acquire additional information such increased noise may in fact lead them to become better informed and price competition will intensify we examine these issues in a model of search with learning where consumers search optimally from an unknown price distribution while firms price optimally given consumers search rules we show that the decisive factor in whether inflation variability increases or reduces the incentive to search and thereby market efficiency is the size of informational costs