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Wlazlowski, Szymon S. "Asymmetric price transmission." Thesis, Aston University, 2008. http://publications.aston.ac.uk/10899/.
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Bastos, Maria Isabel Rodrigues. "Price discovery and price transmission within CO2 European financial markets." Master's thesis, Universidade de Aveiro, 2010. http://hdl.handle.net/10773/5333.
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Mestrado em EconomiaO desenvolvimento económico iniciado com a revolução industrial nos finais do século XVIII, deu origem a níveis crescentes de poluição em todo o mundo. O esgotamento dos recursos naturais, preço pago por todas as amenidades criadas, levou os governos mundiais a procurarem um acordo internacional que limitasse o aumento da poluição. A primeira tentativa a, conseguir o consenso internacional foi o Protocolo de Quioto, que entrou em vigor a 16 de Fevereiro de 2005, 90 dias após a ractificação da Rússia. Nele, 54 países concordaram reduzir em 20% as emissões dos Gases com Efeito de Estufa (GEE), até 2020 e com base nas emissões verificadas em 1990. No seguimento da assinatura do Protocolo de Quioto, a União Europeia pôs em marcha o seu próprio plano de controlo das emissões de carbono, designado por “European Union Emission Trading Scheme (EU-ETS)”, que, desde então, tem liderado os movimentos mundiais para o controlo do CO2. Enquadrando-se nas linhas gerais de Quioto, o EU-ETS foi implementado através duma directiva europeia com o objectivo global de fazer incorporar nos custos de produção as externalidades causadas pelas emissões poluentes e promover o investimento em tecnologias limpas, impondo limites máximos (“caps”) às emissões de cada país e instituindo esquemas específicos para a comercialização de carbono, com vista à mitigação das emissões já emitidas. Alguns anos depois do lançamento do EU-ETS, surgiram os produtos financeiros de carbono. Até ao momento os mercados de emissões ainda não foram estudados de forma consistente, duma perspectiva financeira, e são ainda necessárias novas investigações académicas sobre o tema específico da dinâmica da formação dos preços dos EUA, dos CER e de todos os restantes activos de carbono, incluindo os seus derivados. Assim sendo, e com base na informação publicada pela European Energy Exchange (EEX) ao longo de um período de mais de cinco anos, a presente dissertação procura avaliar qual dos mercados – spot ou forward – lidera o processo de formação do preço do carbono. Após a análise estatística das características dos dados, analisaremos ao pormenor os preços spot e os preços dos futuros de carbono, focando-nos nos conceitos mais importantes dos commodity markets: o convenience yield, o prémio de risco e a relação entre estas duas variáveis. Ao analisarmos os preços dos futuros de carbono duma perspectiva ex-post para verificar se existe evidência empírica para um prémio de risco positivo, concluímos que se verifica uma relação negativa entre os prémios de risco e o time-to-maturity de cada activo em análise. Ao investigarmos quais os factores que influenciam os prémios de risco e o convenience yield, obtemos resultados que sugerem que ambos são afectados negativamente pela volatilidade do preço spot, e que o preço tem um impacto positivo no convenience yield; mais, vemos que no geral os convenience yields influenciam de forma positiva os prémios de risco. Sendo variáveis os resultados obtidos em função da Fase do Protocolo Quioto a que dizem respeito os activos analisados e das respectivas maturidades, há evidência de que os direitos de emissão - e o EU-ETS em particular – parecem estar a atingir os resultados procurados no que diz respeito à protecção do ambiente, reduzindo os GEE. Há também indícios crescentes de que as incertezas quanto à viabilidade futura do EU-ETS estão a diminuir. Como suporte à definição de políticas, destacamos a evidência empírica de que as externalidades provocadas pelos GEE já estão a ser incorporadas nas estruturas de custo dos agentes económicos, nomeadamente nos preços da electricidade. Contudo, a permissão do short-selling e do banking entre períodos sucessivos do Protocolo de Quioto poderia aumentar a liquidez e melhorar a eficiência do mercado de carbono. Por último, os factores combustíveis (carvão, gás e petróleo), condições climatéricas e restrições do mercado, revestiram-se de particular interesse ao evidenciar a relação dos contratos de CO2 com a intensidade de consumo de energia, nomeadamente com os mercados electricidade (spot e de futuros).
World economic development, starting with industrial revolution in the late 18th century, has led to increasing pollution levels all over the world. Depletion of natural resources has been the result and the price paid for all the amenities and comfort bring by development. Because of this, world governments decided to try to find a consensual way to control pollution escalation. The first successful international attempt to do that is known as „The Kyoto Protocol‟ and entered into force on 16 February 2005, 90 days after its ratification by Russia. There, 54 countries put forward the overall goal of reducing GHG emissions by 20% below 1990 levels, until 2020. Following Kyoto Protocol signature, European Union has implemented its own carbon control scheme, the so-called European Union Emission Trading Scheme (EU-ETS), which leads the carbon control worldwide movements, since then. With the general aim of incorporating externalities caused by pollution in the production costs and to foster investment in clean technologies, the EU-ETS was launched through an EU directive. Within Kyoto framework, this new EU ETS imposed emission‟s caps over each European country and established specific carbon trading schemes to mitigate emitted pollution. Some years after the launching of EU ETS, carbon financial products have also developed all over international Stock Exchanges. So far, emission markets have not yet been consistently studied from a financial point of view and we still have a lack of academic work on the specific subject of pricing dynamics of the EUAs, CERs and other carbon assets, as well as its derivatives. So, using European Energy Exchange data with a time spam of more than five years, this thesis attempts to evaluate which market – spot or forward – leads the carbon price discovery process. We focus specifically on carbon future prices and on carbon spot prices, analysing them in a most thorough way. After analyzing the statistical properties of data, we focus on the most important concepts in the commodity markets: the convenience yield, the risk premium and the relationship between these variables, for the Exchange under analysis. We analyze carbon futures prices from an ex-post perspective to find if there is evidence for significant positive risk premia and conclude that a negative relationship between risk premia and time-to-maturity does exist. When testing for factors influencing risk premia and convenience yields, we obtain results implying that spot price volatility impact negatively both of them and that the price itself impact the convenience yield in a positive way; more, generally convenience yields influence risk premia in a positive way. Results change depending on the Kyoto Protocol Phase and on the characteristics of the assets used, but seem to confirm that uncertainties about the future of the EU ETS are disappearing. So, we can assume that allowances appear to be producing the desired results, in terms of environmental protection. For policy, empirical evidence found that there is already a pass-through of externalities caused by GHG costs into the cost structure of economic agents, influencing namely electricity prices. The EU ETS seems, though, to fulfil its goal of reducing GHG emitted. Nevertheless, allowing short-selling and banking between successive Kyoto periods could increase liquidity and improve market efficiency. Finally, the role of fuels (coal, gas and oil), weather and market constraints, was found to be of particular interest relating CO2 contracts to energy consumption intensity, namely to electricity spot and futures markets. Moreover, the recently created liberalized electricity market throughout Europe encouraged the development of environmental protection policies since newly carbon financial contracts emerged in this context.
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Weldegebriel, Habtu Tadesse. "Price transmission in vertically-related markets." Thesis, University of Nottingham, 2004. http://eprints.nottingham.ac.uk/14436/.
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The thesis aims to contribute to the literature on two fronts. Firstly, it aims to contribute to the literature by developing a conjectural variations model of price transmission in vertically related markets where the final product sector exercises both oligopoly power and oligopsony power. It finds that oligopoly and oligopsony power do not necessarily weaken the degree of price transmission relative to that under perfectly competitive markets although they can. The key to these outcomes is to be found in the functional forms for retail demand and farm supply. Secondly, it attempts to draw inferences about the conditions under which the prices of the farm and retail prices cointegrate by themselves based on the predictions of the existing theoretical models of vertical price transmission. It then evaluates whether these conditions are borne out empirically. To this end, it tests for the existence of a co-integrating relation between the raw input and retail prices for a sample of 11 food and energy markets in the UK using the Johansen Full-information Maximum Likelihood Procedure. It finds that a co-integrating relation is identified for only 4 out of 11 price pairs; i.e., for potato, fresh fruits, milk and oil. For all other price pairs, it is not identified unless the cointegration regression allows for sector shocks. This result seems to support our theoretical prediction that, given information provided by a price pair alone, co-integration can be observed only for products for which the cost share of the farm input is unity; i.e., for products with a constant margin. And obviously, potatoes, fresh fruits and milk are products which are sold in supermarkets as they appear in their raw form with minimum processing involved suggesting that the share of processing cost for these products is minimal.
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Al, Sabbagh Osama. "Asymmetric price transmission in EU petroleum markets." Thesis, Aston University, 2015. http://publications.aston.ac.uk/27969/.
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This research investigates the determinants of asymmetric price transmission (APT) in European petroleum markets. APT is the faster response of retail prices to cost increases than to cost decreases; resulting in a welfare transfer from consumers to fuel retailers. I investigate APT at 3 different levels: the EU, the UK and at the Birmingham level. First, I examine the incidence of asymmetries in the retail markets of six major EU countries; significant asymmetries are found in all countries except from the UK. The market share data suggest that asymmetries are more important in more concentrated markets; this finding supports the collusion theory. I extend the investigation to 12 EU countries and note that APT is greater in diesel markets. The cross-country analysis suggests that vertical and horizontal concentration at least partly explains the degree of asymmetry. I provide evidence justifying scrutiny over retail markets’ pricing and structure. Second daily data unveil the presence of APT in the UK fuel markets. I use break tests to identify segments with different pricing regimes. Two main types of periods are identified: periods of rising oil price exhibit significant asymmetries whilst periods of recession do not. Our results suggest that oligopolistic coordination between retailers generate excess rents during periods of rising oil price whilst the coordination fails due to price wars when oil prices are going downwards. Finally I investigate the pricing behaviour of petroleum retailers in the Birmingham (UK) area for 2008. Whilst the market structure data reveals that the horizontal concentration is higher than the national UK average, I find no evidence of APT. In contrast, I find that retail prices are sticky upwards and downwards and that firms with market power (majors and supermarkets) adjust their prices slower than other firms.
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Wang, Xiaohong. "Price transmission asymmetries in United States dairy products." Access to citation, abstract and download form provided by ProQuest Information and Learning Company; downloadable PDF file, 87 p, 2007. http://proquest.umi.com/pqdlink?did=1251903891&Fmt=7&clientId=79356&RQT=309&VName=PQD.
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Matriz, Mary Joanne R. "Price transmission mechanism in the Philippine rice industry." Access to citation, abstract and download form provided by ProQuest Information and Learning Company; downloadable PDF file, 113 p, 2008. http://proquest.umi.com/pqdweb?did=1597632381&sid=20&Fmt=2&clientId=8331&RQT=309&VName=PQD.
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Rajam, G. "The UK food chain : restructuring, strategies and price transmission." Thesis, University of Nottingham, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.243617.
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Wilson, Paul. "Imperfect competition and price transmission in the food chain." Thesis, University of Newcastle Upon Tyne, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.360876.
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Kalodera, Iskra. "Essays on stock options : price dynamics, liquidity, and information transmission /." Marburg : Tectum-Verl, 2005. http://deposit.ddb.de/cgi-bin/dokserv?id=2687817&prov=M&dok_var=1&dok_ext=htm.
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Kalodera, Iskra. "Essays on stock options price dynamics, liquidity, and information transmission." Marburg Tectum-Verl, 2004. http://deposit.ddb.de/cgi-bin/dokserv?id=2687817&prov=M&dok_var=1&dok_ext=htm.
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Mandizvidza, Kudzai. "Price transmission in tomato markets of Limpopo Province, South Africa." Thesis, University of Limpopo, 2013. http://hdl.handle.net/10386/1272.
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Thesis (M.Sc. Agriculture (Agricultural Economics) --University of Limpopo, 2013The Limpopo Province is home to South Africa’s major tomato producer, who is also the largest producer of the commodity in the Southern Hemisphere. Regardless of its importance in the tomato industry of the country, there are few studies analysing the mechanism through which prices of tomatoes are determined and transmitted from the farm gate in Limpopo to the various provincial, local and international markets. This study attempts to fill the knowledge gap on the performance of Limpopo Province’s tomato markets by examining vertical price linkages amongst successive marketing levels. With the aid of both surveys and document analysis, daily tomato prices were collected at three levels that reflect the marketing chain of Limpopo produced tomatoes. Through marketing margin analysis, it was established that the farmers’ portion of the consumer’s Rand is low. About 85.1% of the consumer’s Rand goes to pay for marketing margins. Granger causality tests show that both the wholesale and retail prices are caused by farm gate prices, whereas an independent causal relationship was found between wholesale prices and retail prices. The study also found a long run cointegration relationship between farm gate prices and retail level prices, and not the same for the relationship between farm gate and wholesale prices. Furthermore, it was found that retailers are quick to react to increases in farm gate prices and slow in adjusting to price decreases. On the other hand, wholesale prices were found to be symmetrical to farm gate prices. These results suggest that the transmission of price information is more efficient between the farm and wholesale markets than between the farm and retail markets. Nonetheless, there is scope for increasing efficiency of tomato marketing in the province. Key words: Price transmission, marketing margins, vertical price linkage, market dominance, tomato markets, Limpopo Province
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Beggs, A. W. "Essays on information transmission, product compatibility and competition between systems." Thesis, University of Oxford, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.303483.
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Hassouneh, Islam. "An assessment of the impacts of recent food market shocks on food prices using price transmission analysis." Doctoral thesis, Universitat Politècnica de Catalunya, 2012. http://hdl.handle.net/10803/81564.
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Los mercados mundiales agroalimentarios se han visto recientemente afectados por shocks
importantes tales como crisis alimentarias y el estallido del mercado de los biocombustibles. La
presente tesis contribuye de forma significativa a la literatura existente sobre la transmisión de
precios, analizando los impactos que estos shocks de mercado han tenido sobre los niveles de
precios de los alimentos y la estabilidad de los mismos. Para ello se aplican modelos de
econometría de series temporales recientemente desarrollados.
La tesis estudia tres cuestiones principales en tres artículos científicos, que constituyen el
elemento central de la misma. En el primer artículo, un modelo de corrección del error de cambio
de régimen se aplica a series de precios mensuales para determinar el impacto de la crisis de la EEB
sobre la dinámica de los precios del bovino a lo largo de la cadena comercial en España. Diferentes
regímenes dentro del modelo representan diferentes comportamientos de precios ante distintas
condiciones de mercado. Para esclarecer si el efecto de la EEB sobre la transmisión vertical de
precios depende de la magnitud de la crisis, se construye un índice de información sobre la EEB que
se utiliza para determinar el cambio de régimen. Los resultados sugieren que la crisis de la EEB
afecta a los productores de carne y a los minoristas de forma diferente. Mientras que los precios al
consumo no se ajustan ante la crisis, los precios al ganadero sí que lo hacen. La magnitud del ajuste
depende de la magnitud de la crisis de la EEB.
En el segundo artículo, un modelo bivariante de corrección del error de transición suave se
aplica al estudio de los precios mensuales de las aves de corral para analizar los efectos que la gripe
aviar ha tenido sobre la transmisión de los precios a lo largo de la cadena comercial de aves en
Egipto. Al igual que en el artículo anterior, se construye un índice para reflejar el nivel de
información que los consumidores tienen sobre la crisis, el cual se utiliza en el modelo como variable de transición entre distintos regímenes. Si bien los índices de información se han utilizado
ampliamente para estudiar los impactos de las crisis alimentarias en los países desarrollados, este
trabajo es el primero en utilizarlos para estudiar los efectos de estas crisis en países en vías de
desarrollo. Nuestros resultados sugieren que los ajustes de precios ante desequilibrios del mercado
dependen de la magnitud de la crisis de la gripe aviar. Además, estos ajustes tienen consecuencias
muy diferentes para el equilibrio del mercado: durante la crisis los minoristas utilizan su poder de
mercado para aumentar los márgenes de comercialización. Por el contrario, los márgenes del
mayorista disminuyen. Los resultados también sugieren que los índices de información sobre las
crisis contribuyen a una mejor comprensión de los efectos económicos de las mismas en los países
en desarrollo.Food markets worldwide have been strongly affected by recent shocks such as food scares and the outbreak of the biofuels market. The present thesis makes a significant contribution to the existing literature on price transmission by shedding light on the impacts that these food market shocks have had on food price levels and stability. To do so, recent developments in time series econometrics are applied. Three specific objectives have been pursued in three papers that constitute the main body of the dissertation. In the first paper, a regime-switching vector error correction model is applied to monthly price data to assess the impact of BSE outbreaks on price relationships and patterns of transmission among farm and retail markets for bovine in Spain. Different regimes within the model represent different price behavior under different market conditions. To evaluate whether different magnitudes of the BSE food scare elicit different food price responses, a BSE food scare information index is developed and used as the variable determining regime-switching. Results suggest that BSE scares affect beef producers and retailers differently. While consumer prices are not found to respond to BSE scares, producer prices are adjusted as a response to the crisis. The magnitude of the adjustment is found to depend on the magnitude of the food scare. In the second paper, a bivariate smooth transition vector error correction model is applied to monthly poultry price data to analyze the effects that avian influenza has had on price transmission along the Egyptian poultry marketing chain. As in the previous paper, in order to reflect consumer awareness of the crisis, an avian influenza food scare information index is developed and used within the model as a transition variable. While food scare information indices have been used to assess the economic impacts of food scares on developed countries, ours is the first attempt to use them in the context of a developing country. Our results show that price responses to deviations from the market equilibrium parity depend on the magnitude of the avian influenza crisis. Further, these adjustments are found to have very different implications for market equilibrium: during the crisis retailers use their market power to increase marketing margins. In contrast, wholesaler margins are found to decline. Results also suggest that food safety information indices contribute to a better understanding of the economic effects of food scare crises in developing countries. In the last paper, error correction models estimated both using multivariate local linear regression and conventional parametric techniques are applied to assess price linkages and price transmission patterns between food and energy prices in Spain. More specifically, the models study the links between biodiesel, sunflower and crude oil prices. Results suggest the existence of a longrun, equilibrium relationship between the three prices studied. Biodiesel is the only variable that adjusts to deviations from this long-run relationship. Local linear regression techniques show that the speed of adjustment of biodiesel prices is faster when biodiesel is relatively cheap than when it is expensive. Energy prices are found to influence sunflower oil prices through short-run price dynamics.
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Moratoya, Elsie Estela. "Transmissão e volatilidade de preços das commodities agrícolas." Universidade Federal de Goiás, 2014. http://repositorio.bc.ufg.br/tede/handle/tede/3381.
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This study presents an empirical analysis of price and volatility transmission for soybean and corn prices, between an international market, represented by the Chicago Board of Trade, and four domestic markets in Brazil: State of Goiás, Mato Grosso, Paraná and Rio Grande do Sul. Daily soybean and corn prices were collected for the period January, 2008 to June 2013 from the Centre for Advanced Studies in Applied Economics and the Institute of Agricultural Economics in Brazil. Henceforth, returns for the nominal price series were calculated and logaritmized for a preliminary to assess the behavior of the series, in which all were found to be integrated of order (1). Furthermore, the international market and domestic markets were found to be highly correlated. Co-movement and price transmission speed for both crops in all domestic markets and international market were measured using the Johansen cointegration test and the error correction model. Empirical results for the soybean prices presented the state of Rio Grande do Sul as the market that more rapidly adjusts to international market prices, at a rate of speed of 55%. Soybean prices in the state of Goiás corrected at a rate of 40%, Mato Grosso at a rate of 46%, and Paraná at a rate of speed of 55%. In terms of corn prices, the state of Goiás was the first to arrive at equilibrium with those of CBOT, at a rate of speed of 1.12%. Corn prices in the state of Mato Grosso corrected at a rate of 0.67% and Paraná and Rio Grande do Sul at a rate of 0.83%. Volatility transmission was determined with the use of a lower triangular GARCH - BECK model and the Impulse Response Function. The results showed that, in the case of soybean prices, the state of Goiás was the only one that presents no evidence of volatility transmission. Evidence of volatility transmission was found from CBOT to Mato Grosso, Parana to CBOT and bi-directional transmission between CBOT and Parana. Furthermore, results of the impulse response function show that a shock in the international soybean prices on prices of the State of Goiás did not normalize within a period of twenty four months. Other domestic markets showed a tendency to stabilize on an average of twenty months. In the case of corn prices, evidence of bi-directional volatility transmission was found between CBOT prices and Goias, Mato Grosso and Parana. Volatility transmission was unidirectional for Rio Grande do Sul and CBOT. The reaction to a shock in prices in the international market showed that the persistence of the shock in the domestic markets lasted an average of ten days before normalizing. The results show that price and volatility transmission between the domestic markets for the commodities analyzed and CBOT do exist and new information within the individual markets play a bigger role on returns volatility than new information from CBOT.
Este estudo apresenta uma análise empírica de transmissão de preços e de volatilidade nos preços da soja e do milho entre o mercado internacional, representado pela CBOT, e quatro mercados domésticos no Brasil: o Estado de Goiás, Mato Grosso, Paraná e Rio Grande do Sul. Para isso, foram selecionados os preços diários da soja e do milho, para o período entre janeiro de 2008 e junho de 2013. Os preços foram obtidos junto ao Centro de Estudos Avançados de Economia Aplicada e o Instituto de Economia Agrícola; em seguida, foram convertidos em retornos e logaritimizados para as análises. Posteriormente, foi feita uma análise preliminar dos preços nominais para avaliar o comportamento das séries temporais, em que foi verificada a estacionariedade de ordem (1) para todas as séries de preços. Foi também constatada uma alta correlação entre o mercado internacional e os mercados domésticos. O comovimento e a velocidade da transmissão dos preços foram estimados mediante o uso do teste de cointegração de Johansen e o modelo de correção de erros. Os resultados apontaram uma cointegração entre os mercados domésticos e o mercado internacional para as duas culturas. Os resultados empíricos dos testes para os preços da soja mostraram que o Estado do Rio Grande do Sul é o mercado que mais rapidamente se ajusta e se equilíbra com os preços da CBOT, numa velocidade de 55%. Os preços da soja no Estado de Goiás se ajustam a uma velocidade de 40%, o de Mato Grosso a uma velocidade de 46%, e o Paraná a uma velocidade de 55%. Quanto aos preços do milho, o Estado de Goiás é o que mais rapidamente se equilibra com os preços da CBOT, com uma velocidade de 1,12%. Os preços do Mato Grosso se corrigem a uma velocidade do 0,67% e os mercados do Paraná e Rio Grande do Sul a uma velocidade de 0,83%. A análise empírica da transmissão de volatilidade foi estimada pelo uso do modelo GARCH-BECK triangular inferior. Os resultados para a soja apontam que o mercado do Estado de Goiás foi o único que não apresentou evidência de transmissão de volatilidade. Existência de transmissão de volatilidade foi encontrado da CBOT para Mato Grosso, do Paraná para CBOT, e bidirecional entre Rio Grande do Sul e CBOT. Além disso, os resultados da Função Resposta ao Impulso mostram que um choque do mercado internacional no mercado do Estado de Goiás não chega à estabilidade em um período de vinte e quatro meses. Os outros mercados domésticos mostraram uma tendência de se estabilizar, em média, a partir de vinte meses. No caso do milho, foram encontradas evidências de transmissão de volatilidade bidirecional nos Estados de Goiás, Mato Grosso e Paraná, e transmissão unidirecional de Rio Grande do Sul para CBOT. A reação a um choque da CBOT mostra que a persistência do choque nos mercados domésticos leva, em média, dez dias para se estabilizar. Portanto, os resultados mostram que existe transmissão de preços e de volatilidade entre os mercados domésticos para os commodities analisados com a CBOT, além do que as novas informações dos proprios mercados possuem maior papel na volatilidade dos retornos que das informações da CBOT.
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Antonova, Maria [Verfasser]. "Theoretical analysis of price transmission: a case of joint production / Maria Antonova." Kiel : Universitätsbibliothek Kiel, 2014. http://d-nb.info/1049687167/34.
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Srivastava, Joydeep. "Price and margin negotiations in marketing channels: The influence of strategic information transmission." Diss., The University of Arizona, 1996. http://hdl.handle.net/10150/187503.
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Marketing channel members, i.e., manufacturers and distributors, commonly negotiate key terms of exchange such as prices and margins. These negotiations can have a significant impact on a channel member's profit stream over the duration of the business relationship. Despite the importance of these negotiations, channel negotiations have received relatively little attention. Previous research has focused on Nash's cooperative bargaining model although recent advances in noncooperative game theory offer new opportunities for modeling and testing negotiation behavior. Rubinstein (1982) extended Nash's (1953) noncooperative model to a sequential strategic approach where bargaining occurs in discrete time and negotiators make offers and counteroffers with time preferences denoted by discount factors or fixed costs. We adapt and extend a sequential strategic model (Grossman and Perry 1986) to describe bargaining behavior and outcomes in the context of marketing channels. The model involves a manufacturer and a distributor negotiating to establish the transfer price for a good in a one-sided incomplete information situation. The focus is on the forces that drive the two parties to bargain and reach an agreement on a specific price within a finite number of iterations. The baseline model examines how different levels of manufacturer uncertainty about distributor value (resale price to consumers) and opportunity cost of delay (denoted by a discount factor) influence the bargaining process and outcomes. The conceptual framework then empirically examines how incorporation of trust between parties, as well as opportunities for explicit communication, moderate bargaining behavior and outcomes. The predictions from the conceptual framework are tested in three laboratory experiments conducted in a channel negotiation scenario adapted from a popular pricing case study. In general, changes in the level of manufacturer uncertainty and opportunity cost of delay influenced the bargaining process and outcomes as predicted by the model. A reduction in manufacturer uncertainty reduced bargaining duration, increased manufacturer profits, and improved bargaining efficiency while an increase in opportunity cost of delay lowered bargaining duration but did not improve bargaining efficiency. Bargaining efficiency improved as the potential gains from trade increased. Variations in trust and the opportunity to communicate also had a significant impact on the bargaining outcomes.
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Shi, Shimeng. "Information content of credit default swaps : price discovery, risk transmission, and news impact." Thesis, Durham University, 2017. http://etheses.dur.ac.uk/12097/.
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This thesis comprises three empirical studies regarding information content of credit default swap (CDS). The first study provides further evidence of credit risk discovery between CDS and stock of the U.S. non-financial firms. Stock generally leads CDS in discovering credit risk information, with the exception of the stressful financial crisis period of 2008–2010. The CDS of investment-grade firms generally possesses higher informational efficiency than that of speculative-grade firms. High funding cost and central clearing counterparty hinder CDS from rapidly incorporating credit risk news. The second study investigates dynamics and determinates of credit risk transmission across the global systemically important financial institutions (G-SIFIs). The aggregate credit risk transmission across G-SIFIs dramatically increases from mid-2006 to mid-2008 and then fluctuates around 90% until 2014. Global systemically important banks (G-SIBs) and the U.S.–based G-SIFIs are major credit risk providers. More interbank loans, more non-banking income, higher extra loss absorbency requirement, and lower Tier 1 leverage ratio are positively related to a G-SIB’s role in credit risk transmission. Global systemically important insurers (G-SIIs) which have more non-traditional non-insurance activities, larger sizes, and more global sales tend to be credit risk senders. The final study examines the impact of sovereign credit rating and bailout events on sovereign CDS and equity index, especially their contemporaneous correlation, in the U.S., the U.K., and the Eurozone countries. The two assets are less negatively correlated at the arrivals of domestic rating events or surprises. Good and bad rating events present asymmetric effects on the asset correlation in Portugal, Netherlands, Ireland, Finland, and the U.S., while their symmetric effects are found in Spain, Italy, and Cyprus. Two assets become more negatively correlated on the announcement days of major bailouts. Bailout events have a stronger impact than domestic rating events. Greek rating news exerts spillover effect and generally has positive impact on the asset correlation in other economies.
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Mofya-Mukuka, Rhoda [Verfasser]. "Effects of Policy Reforms on Price Transmission and Price Volatility in Coffee Markets : Evidence from Zambia and Tanzania / Rhoda Mofya-Mukuka." Kiel : Universitätsbibliothek Kiel, 2011. http://d-nb.info/102024593X/34.
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Sirolli, Ryan T. "An examination of price transmission in the United States beef, pork, and broiler industries." Access to citation, abstract and download form provided by ProQuest Information and Learning Company; downloadable PDF file 0.32 Mb., 84 p, 2006. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:1435251.
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Tian, Min. "Asymmetry in farm to retail price transmission evidence from Canada and the United States /." Access to citation, abstract and download form provided by ProQuest Information and Learning Company; downloadable PDF file 2.36 Mb., 87 p, 2006. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:1435809.
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Mokengoy, Mardochée Bopo. "Volatility transmission between the oil price, the exchange rate and the stock market index." Master's thesis, Université Laval, 2015. http://hdl.handle.net/20.500.11794/25856.
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Ce mémoire analyse la transmission de volatilité entre le prix du pétrole, le taux de change et l’indice boursier au Canada et aux États-Unis de 1999/01/04 à 2014/03/21. En utilisant un modèle MGARCH-BEKK, nos résultats montrent qu’au Canada, il existe une transmission bidirectionnelle de volatilité entre le taux de change $US/$CAD et l’indice boursier TSX, une transmission positive de l’indice boursier au prix du pétrole, ainsi qu’une transmission négative du taux de change au prix du pétrole. Les résultats suggèrent également que ces relations ne sont pas stables dans le temps. Pour les États-Unis, le modèle estimé ne satisfait pas la condition de stationnarité de la covariance pour la période totale et la sous période 1999/01/04 – 2002/10/08. C’est pourquoi nous considérons uniquement les résultats des sous périodes 2002/10/09 – 2008/05/30 et 2008/06/02 – 2014/03/21. Il ressort qu’il existe des transmissions de volatilité, mais que celles-ci ne sont pas stables dans le temps.This thesis analyzes the transmission of volatility between oil prices, exchange rates and stock market indices in Canada and in the USA for the period 1999/01/04 – 2014/03/21. Using a multivariate GARCH – BEKK model, we find that in Canada, there is a bidirectional transmission of volatility between the exchange rate $US/$CAD and the stock market index TSX, a positive transmission from the stock market index to the oil price and a negative transmission from the exchange rate to the oil price. We find also that these relationships are not stable over time. For the USA, the model estimated does not satisfy the condition of covariance stationarity for the entire sample and the sub sample 1999/01/04 – 2002/10/08. So we consider only results for sub samples 2002/10/09 – 2008/05/30 and 2008/06/02 – 2014/03/21. Results show that there are transmissions of volatility, but here again, these relationships are not stable over time.
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Listorti, Giulia. "Testing international price transmission under policy intervention. An application to the soft wheat market." Doctoral thesis, Università Politecnica delle Marche, 2009. http://hdl.handle.net/11566/242111.
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Rossini, Gustavo E. "Price transmission and vertical coordination in the U.S. beef sector : a time series analysis approach /." free to MU campus, to others for purchase, 2004. http://wwwlib.umi.com/cr/mo/fullcit?p3164539.
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Yang, Fan [Verfasser], and Martina [Akademischer Betreuer] Brockmeier. "International agricultural price transmission and its implications for iomestic markets / Fan Yang ; Betreuer: Martina Brockmeier." Hohenheim : Kommunikations-, Informations- und Medienzentrum der Universität Hohenheim, 2016. http://d-nb.info/1115794965/34.
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Unalmis, Deren. "Essays on the transmission of shocks : The role of financial contagion, and oil price shocks." Thesis, University of York, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507483.
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Song, Fei. "Deregulated power transmission analysis and planning in congested networks." Thesis, Brunel University, 2008. http://bura.brunel.ac.uk/handle/2438/4819.
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In this thesis, methods of charging for the transmission system and optimising the expansion of the transmission network under the competitive power market are described. The first part of this thesis considers transmission tariff design. In the proposed approach, not only is all the necessary investment in the transmission system recovered, but also an absolute economic signal is offered which is very useful in the competitive power market. A fair power market opportunity is given to every participant by the new nodal-use method. The second part of this thesis considers transmission system expansion. All the tests are based on the Three Gorges Project in China. In this thesis, to optimally expand the transmission system, the LMP (Locational Marginal Price) selection method and the CBEP (Congestion-Based transmission system Expansion Planning) method are introduced. The LMP selection method is used to select optional plans for transmission system expansion. It is especially suitable for large transmission systems. The outstanding advantages of the LMP selection method are simplicity and computational efficiency. The CBEP method produces the optimal system expansion plan. For the first time, generation congestion and transmission congestion are separated within the system expansion problem. For this reason the CBEP method can be used in a supply-side power market and is suitable for the Chinese power market. In this thesis, the issue of how to relax the congestion in the transmission system have been solved. The transmission system can obtain enough income to recover the total required cost. For this reason more and more investment will come into the transmission system from investors. The risk for the independent generators is also under control in the CBEP method. Even when the system is congested, the uncertainty of LMP is taken into consideration.
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Mengel, Carolin Simone [Verfasser], Stephan von [Akademischer Betreuer] Cramon-Taubadel, Bernhard [Akademischer Betreuer] Brümmer, and Sebastian [Akademischer Betreuer] Heß. "Determinants of price transmission / Carolin Simone Mengel. Gutachter: Bernhard Brümmer ; Sebastian Heß. Betreuer: Stephan von Cramon-Taubadel." Göttingen : Niedersächsische Staats- und Universitätsbibliothek Göttingen, 2014. http://d-nb.info/1058250442/34.
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Persaud, Suresh Chand. "Investigation market power and asymmetries in the retail-to-farm and farm-to-retail price transmission effects /." The Ohio State University, 2000. http://rave.ohiolink.edu/etdc/view?acc_num=osu1488196234908542.
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Westerich, Filho Valdemir Angelo. "Transmissão de preços no mercado de milho brasileiro : um estudo das regiões sul e centro-oeste." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2014. http://hdl.handle.net/10183/98166.
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O mercado do milho no Brasil tem demonstrado algumas mudanças nos últimos anos aumentando sua importância no agronegócio. Por esse motivo, tem sido maior a necessidade de estudo de suas características. O objetivo da presente dissertação consiste em verificar como se dá a transmissão de preços entre os mercados regionais dessa commodity no Brasil a nível de produtor, com foco nos estados da região Sul e Centro-Oeste, devido à sua importância para a produção nacional. Além disso, também foi buscado analisar como os preços dos estados analisados reagem ao preço cotado na bolsa de valores para saber qual sua relação com o mercado externo. O método de pesquisa utilizado foi: teste de raiz unitária; teste de cointegração; vetor de correção de erro; teste de causalidade de Granger e teste de impulso-resposta. Os resultados do teste de cointegração indicam que há transmissão de preços entre todos os estados analisados, bem como os estados respondem a oscilações de preços do mercado externo a longo prazo. O fato de existir cointegração entre os estados é condição suficiente para se afirmar que existe relação linear de equilíbrio para a qual o sistema converge, validando os pressupostos da Lei do Preço Único e a integração. Todos os estados apresentaram resposta significativa a mudanças de preços no estado de Santa Catarina pelo vetor de correção de erro (VEC), mostrando que esse estado tem forte influência na formação de preços dos estados das duas regiões analisadas. No curto prazo foi observado que os estados de Mato Grosso e Rio Grande do Sul não recebem influência direta das oscilações de preços dos outros mercados, enquanto os estados de Paraná, Santa Catarina e Goiás parecem ser interdependentes a curto prazo, pois apresentam relativa correlação. Além disso, a função impulso resposta demonstra também que um impulso nos preços do estado de Santa Catarina gera resposta significativa nos preços dos outros estados de forma geral, e um impulso no preço do estado de Goiás também gera uma reação forte no preço do estado do Mato Grosso.The corn market in Brazil has shown some changes in recent years increasing its importance in agribusiness. For this reason has increased the need for more studies related to this market’s characteristics . The objective of this dissertation is to check how is the price transmission between regional markets in Brazil at producer level for this commodity, focusing on states of the South and Midwest of the country, because of its importance to the national production. Furthermore, it was also sought to analyze how the prices of the analyzed states react to the price quoted on the stock market, looking for understanding how is its relationship with the external market. The research method used was: the unit root test , cointegration test , vector error correction; Granger causality test and impulse response test. The result of the cointegration test indicates that there is price transmission between all the states analyzed as well as states respond to price fluctuations on the stock market in the long run . The existence of cointegration between the states is sufficient to say that there is a linear equilibrium relationship to which converges the sistem, validating the assumptions of the Law of One Price and the integration condition. All states showed significant responses to price changes in the state of Santa Catarina by the vector error correction ( VEC ) , showing that this state has a strong influence on the pricing of the states on the two regions. In the short term it was observed that the states of Mato Grosso and Rio Grande do Sul receive no direct influence from the prices of other markets, while the states of Paraná, Santa Catarina and Goiás seem to be interdependent in the short term because they present a correlation. As well, the impulse response function also shows that a surge in prices in the state of Santa Catarina generates a significant response in prices of other states in general, and a boost in the price of Goias also generates a strong reaction in the price of Mato Grosso.
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Da, Câmara Ricardo Manuel. "The price and volatility transmission of international financial crises to the South African equity market / Ricardo Manuel da Câmara." Thesis, North-West University, 2011. http://hdl.handle.net/10394/8481.
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There is a large body of research that indicates that international equity markets co-move over time. This co-movement manifests in various instruments, ranging from equities and bonds to soft commodities. However, this co-movement is more prevalent over crisis periods and can be seen in returns and volatility transmission effects. The recent financial crisis demonstrated that no local market is immune to transmission effects from international markets. South African financial market participants, such as investors and policymakers, have a vested interest in understanding how the equity market in particular and the economy in general react to international financial crises. This study aims to contribute an improved understanding of how the South African equity market interacts with international equity markets, by identifying the degree of price and volatility transmission before, during, and after an international financial crisis.
This was done by investigating the possibility of changes in price and volatility transmissions from the Asian financial crisis (1997–1998), the dotcom bubble (2000–2001) and the more recent subprime financial crisis (2007–2009). An Exponential Generalized Autoregressive Conditional Heteroskedasticity (E-GARCH) model was employed within the framework of an Aggregate Shock model. The results indicate that during the international financial crises studied, the JSE All Share Index was directly affected through contagion effects inherent in the returns of the originating crisis country. Volatility transmissions during international financial crises came directly from the originating crisis country. Finally, the FTSE 100 Index was the main exporter of price and volatility transmission to the JSE All Share Index.Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2012
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Gurmu, Mesay Yami. "Price transmission in the era of global food market turmoil : the case of maize and wheat commodities in Ethiopia." Thesis, University of Pretoria, 2017. http://hdl.handle.net/2263/65893.
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This study pursued the following three objectives: (1) to test the presence of Asymmetric Price Transmission (APT) among integrated wholesale maize markets during the post-agricultural market liberalisation period from July 2004 to March 2016; (2) to understand the influence of government interventions on the performance of maize and wheat grain markets; and (3) to examine the effect of domestic supply and demand dynamics on the maize market using a partial equilibrium modelling framework. In pursuit of the first objective, this study estimated an Asymmetric Vector Error Correction Model (AVECM). Findings from the inter-regional maize market integration analysis indicated that all maize market pairs considered in this study were cointegrated with the central Addis Ababa wholesale maize market. Spatial maize market integration has not only improved, but there has been an improved complete pass-through of price signals, with no evidence of positive APT in the regional wholesale maize markets in Ethiopia. Despite the widely held belief by consumers and government that traders’ inappropriate price adjustment contributes to the persistence of soaring food prices in Ethiopia, we found no evidence to support this argument. Instead, wholesale maize traders tend to adjust homogenously to increases and decreases in maize price deviations from the central Addis Ababa maize market. Hence, the widely held perception that considers traders as constituting a main contributor to the recent soaring food price situation in Ethiopia is just a misconception. In this study, it is argued that the recent surge in grain prices in Ethiopia has little to do with APT in maize markets. The second objective employed a regime-dependent Vector Error Correction (VECM) model to examine the extent of the integration of Ethiopian wheat and maize markets with the world market and the effect of policy interventions on the spatial integration of food markets. Findings of the cointegration analysis indicate that domestic wheat and maize markets are strongly integrated with the world market during a period in which the government intervenes, as opposed to periods of low intervention. Despite the presence of a long-run relationship and absence of APT, domestic wheat prices are distorted by the government’s secretive and unplanned interventions. Domestic wheat prices have surpassed the ceiling price during periods of heavy government interventions (i.e. since 2008). We argue that the increasing price gap between domestic and world wheat markets since 2008 is due to trade flow restrictions caused by foreign exchange rationing and subsidised wheat distribution. A single commodity partial equilibrium approach was used to investigate the maize price formation and a likely impact of a bumper harvest and drought shocks on the maize market. Findings from the behavioural equations reveal that farmers respond very little to price in planning their maize acreage. Rather, the analysis demonstrated that rainfall and technological progress were relatively more important for higher maize acreage growth. Regarding the supply side shocks (a bumper harvest and drought) on maize prices, we found that a 20 per cent increase in maize yield could reduce nominal maize price by 81 per cent. This implies a decrease in maize price level of 238 per cent (110 USD/t) below the export parity price. This makes maize exports profitable, and shifts the trade regime from autarky to an export parity regime. On the other hand, the effect of drought could increase maize prices by 61 per cent in the short run (within the year). The effect could result in the domestic wholesale maize price moving over the upper threshold import parity price by 46 per cent (126 USD/t). As a result, maize imports would become profitable.Thesis (PhD)--University of Pretoria, 2017.
Agricultural Economics, Extension and Rural Development
PhD
Unrestricted
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McKendree, Melissa Gale Short. "Essays on beef cattle economics." Diss., Kansas State University, 2017. http://hdl.handle.net/2097/35798.
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Doctor of PhilosophyDepartment of Agricultural Economics
Glynn T. Tonsor
The U.S. beef industry is comprised of multiple, vertically connected segments. Beginning at the cow-calf level, cattle move through the industry to backgrounding/stocker operations, feedlots, and then to beef packers. The beef produced then continues to move through the marketing channel from beef packers to wholesalers and on to multiple final consumer outlets. Each level of the beef industry has both distinct and related economic issues. This dissertation contains three essays on beef cattle economics. Essay 1 focuses on price and animal health risk management at the feedlot level. Essays 2 and 3 explore how upstream demand changes impact primary beef suppliers. The objective of Essay 1 is to determine if feedlot operators manage price risk and animal health risk as two separate and independent risks or if they manage them jointly. The animal health attribute of interest is purchasing feeder steers from a single known source versus an auction with unknown background. The output price risk mitigation tools are futures contracts, forward contracts, other, and accept cash price at time of sale. Primary data is collected using an online survey administered to feedlot operators. Participants are placed in forward looking, decision making scenarios utilizing a split-sample block design. Evidence of a relationship between animal health risk and output price risk management is mixed. Ricardian rent theory (RRT) is tested in Essay 2 to determine if complete pass-through occurs from fed cattle and corn prices to feeder cattle prices. Monthly price data from December 1995 to December 2016 is used. Based on RRT, surplus rents should pass through the market to the holder of the scarcest resource. In cattle markets, feeder calves are the scarcest, widely traded resource and thus gains and losses at the feedlot theoretically pass-through to feeder cattle prices. The hypothesized pass-through rates suggested by RRT is calculated using monthly production data from the Focus on Feedlots data series. The regression pass-through estimates are tested against the hypothesized RRT pass-through. In many models, the estimated pass-through rate is statistically greater than the RRT hypothesized pass-through rate. Thus, when fed cattle or corn prices change, these changes are more than fully passed to cow-calf producers through the feeder cattle price. Evidence is found of asymmetric pass-through during times of herd expansion versus contraction. Essay 3 provides a quantification of how changes in retail and export beef demand are transmitted to different members of the beef industry. Understanding how information is transmitted from primary consumer demand through the supply chain is key for long-term prosperity of the U.S. cattle industry. However, empirical applications quantifying how demand signals are transmitted through vertically connected industries are limited. Using both naïve and forward looking price expectations, a four equation system of inverse demand and supply equations for live and feeder cattle is estimated. Using retail and export beef demand indices, the impacts of 1% change in retail or export demand on live cattle and feeder cattle prices are quantified.
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Li, Zili. "Topics in deregulated electricity markets." Thesis, Queensland University of Technology, 2016. https://eprints.qut.edu.au/98895/1/Zili_Li_Thesis.pdf.
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The deregulation and introduction of market oriented competition has been a feature of major electricity markets worldwide in recent decades. This deregulation has given rise to a myriad of new challenges that impinge upon the decisions of market regulators, market operators and electricity generators and electricity retailers. This thesis is an investigation of three challenges in the national electricity market of Australia that have emerged in the post deregulation era. These are, respectively, forecasting load, the strategic bidding and rebidding behaviour of generators, and the effect of transmission constraints on the behaviour of prices.
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ANTONIOLI, Federico. "Vertical Price Transmission in the Italian Milk Supply Chain: Understanding the Role of Distributors, CAP Reforms, and Market (Non) Fundamentals." Doctoral thesis, Università degli studi di Ferrara, 2018. http://hdl.handle.net/11392/2488119.
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Gli ultimi vent'anni hanno rappresentato un periodo di forte cambiamento per i mercati agroalimentari mondiali. Le diverse fusioni e acquisizioni hanno generato preoccupazioni circa il livello di concentrazione lungo le filiere agroalimentari e la conseguente inefficiente distribuzione del valore. Le recenti fluttuazioni dei prezzi delle materie prime agricole a livello mondiale sono state trasmesse ai diversi mercati agricoli Europei, mentre la Politica Agricola Comune (PAC) si è mossa verso una forte liberalizzazione degli stessi mercati. Capire in che modo questi due eventi hanno impattato i meccanismi di trasmissione di prezzo rappresenta una priorità per i policymaker come per la comunità scientifica. L'analisi delle dinamiche di trasmissione di prezzo ha suscitato quindi un notevole interesse tra gli economisti agrari. I prezzi rappresentano il primo anello di congiunzione tra i vari agenti delle filiere, guidando decisioni sia strategiche che strutturali. Per questo motivo si rivela uno strumento fondamentale per la descrizione del funzionamento delle filiere e delle relazioni tra gli agenti che le compongono, individuando e formulando ipotesi sulle fonti di inefficienza. Inoltre, permette di capire quali sono gli agenti maggiormente colpiti dai cambiamenti di prezzo, fornendo una solida base per lo sviluppo e la valutazione delle politiche e della distribuzione del valore. Il settore lattiero-caseario rappresenta un mercato affascinante, sia per la sua importanza economica, sia per rappresentare un settore agricolo di forti interventi di politica Europea. Da un lato, i produttori di latte affermano come un sistema distributivo fortemente concentrato stia erodendo i loro margini, mentre la forte dipendenza dai mercati cerealicoli (input primari per l'alimentazione dei bovini che rappresentano più della metà dei costi di trasformazione) rende il sistema ancora più complesso. Infine, la PAC ha conosciuto, dal 200 ad oggi, importanti riforme volte a liberalizzare i mercati agricoli europei, che non hanno risparmiato il settore lattiero-caseario. Attraverso l’applicazione di tre diversi modelli non strutturali di serie temporali per le tre diverse macro-aree descritte, la presente tesi vuole offrire un'analisi della filiera italiana del latte. In un primo capitolo viene analizzata la trasmissione di prezzo tra l’industria di trasformazione e la distribuzione moderna, tenendo conto del latte convenzionale e della sua controparte biologica. Attraverso l’uso di un dataset unico di prezzi scanner, i risultati forniscono nuovi spunti riguardo le strategie e le dinamiche dell’anello distributivo, così come sul funzionamento di un mercato di nicchia come il latte biologico. Successivamente, tenendo conto delle riforme PAC, viene studiato nuovamente il processo di trasmissione dei prezzi tra i trasformatori industriali e la distribuzione, concludendo come le riforme abbiano eliminato le asimmetrie ma aumentato la volatilità, ostacolando la velocità di aggiustamento del mercato al suo equilibrio di lungo periodo. Infine, attraverso un approccio più flessibile che tiene conto di eventuali interruzioni nella relazione di cointegrazione, è stato indagato l’impatto di un'ampia gamma di variabili, di tipo sia esogeno che endogeno rispetto al mercato di riferimento, sul meccanismo di trasmissione verticale dei prezzi tra il mais italiano e il mangime composto destinato alle vacche da latte. Considerando diverse serie di prezzi di tipo esogeno ed endogeno, si è rilevato come i cosiddetti non-fondamentali del mercato abbiano effetti trascurabili, mentre variabili afferenti ai fondamentali di mercato svolgano ancora un ruolo rilevante nella definizione dei cicli di prezzo nel mercato mangimistico Italiano.The last twenty years undoubtedly represented a very tumultuous run for the agrifood markets worldwide. Mergers and acquisitions (especially at the processing and retail levels) have raised worries about concentration level within the agro-food industry about market power exertion, and the following inefficient distribution of value. Recent international agricultural commodities price fluctuations have been pass-through along food chains, whereas the European Common Agricultural Policy (CAP) moved towards a strong liberalization of the agricultural markets. Disentangling how these two events framed price transmission mechanisms in European agricultural markets is a priority for policymakers and the academic community, allowing for a better understanding of the food sector functioning. The analysis of vertical price transmission dynamics has attracted considerable interest among agricultural economists. Indeed, prices are the first link among market economic agents, driving both strategic and structural decisions. Unveiling price transmission dynamics deepens the understanding of how the chain works, spotting inefficiencies, and draw hypothesis over the source of such inefficient behaviors. Facilitating the understanding on which agents of the supply chain the burden of price changes is taking place, provides a basis for policy assessment and contributes to the debate of the distributional effects in the food system. The dairy sector represents a fascinating argument, both for its economic importance and for being the most intervened agricultural sector under the CAP. Dairy farmers are claiming the distribution system is eroding their margins through the exertion of market power. The interrelation with the cereal markets – being cereals and oil crops raw inputs for bovine feeding, and accruing for more than a half of milk production costs in Italy – makes the system even more complex, since the 2007 commodity price increase opened up a fierce debate over the causes of such rise. The CAP featured important reforms since the 2000s, aimed at a liberalizing the European agricultural markets. Applying non-structural time series econometric models, this Thesis offers an analysis of the Italian milk supply chain, discovering price transmission processes considering three different macro-arguments (i.e., the role of distributors, the CAP liberalization reforms, and the effect of market (non) fundamentals) approached with three different econometric models. Firstly, we analyzed the PT mechanism between the processing and distribution phases, accounting for the conventional fluid milk and its organic counterpart. We relied on a unique retail-scanner price dataset accruing for a quality-differenced product, two aspects providing new insights both on the functioning of the distribution level and niche markets. Long and short-run behaviors describe different mechanisms of transmission according to specific structures of the two different retailing systems. Accounting for CAP reforms (i.e., structural breaks) in the cointegrating relationship, we investigated the price transmission process between industrial processors and retailers, disentangling how reforms impacted the process. Results indicate the set of reforms eliminated asymmetries, although the increase in price volatility hampered the speed of adjustment of the market to the equilibrium. Finally, a more flexible approach has been designed to investigate the impact of a wide range of variables, both exogenous and endogenous, on the vertical price transmission mechanism between Italian maize and Italian compound feed for dairy cows. Considering energy-related price series for both crude oil and biofuels, as well as financial-related variables, we conclude that non-fundamentals have negligible effects on the mechanism of transmission concerning the Italian scenario, while market fundamentals (i.e., supply and demand) still play a relevant role in shaping price cycles.
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Graef, Cleber Eduardo. "Transmissão de preços no mercado internacional e brasileiro de açúcar." Universidade Estadual do Oeste do Paraná, 2017. http://tede.unioeste.br/handle/tede/3124.
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES
In this research, the price transmission between international and Brazilian sugar market was analyzed, from January 2003 to May 2016. The principles of market integration, price transmission and the framework of the Law of One Price, using time series econometric models (Augmented Dickey-Fuller test, Granger causality, Johansen cointegration test, and variance decomposition of prediction errors) were used as a theoretical approach. The results indicated a long-term relationship between international and domestic sugar prices; however, it was not observed for exchange rate. Thus, in the long-term, a variation of 1% in the sugar international price implies a variation of 0.42% in the domestic price, resulting an inelastic relation. The results did not validate the Law of One Price.
Neste trabalho foi analisada a transmissão de preços entre os mercados internacional e brasileiro de açúcar, no período de janeiro de 2003 a maio de 2016. Como approach teórico foram utilizados os princípios da integração de mercado, da transmissão de preços e a abordagem da Lei do Preço Único, via modelos econométricos de séries temporais (teste Dickey-Fuller aumentado, causalidade de Granger, cointegração de Johansen, decomposição da variância dos erros de previsão). Os resultados indicaram relacionamento de longo prazo entre os preços internacionais e domésticos do açúcar, porém, o mesmo não se verificou com a taxa de câmbio. Assim, no longo prazo, uma variação de 1% no preço internacional do açúcar implica em uma variação 0,42% no preço doméstico, configurando uma relação inelástica. Os resultados não validaram a Lei do Preço Único.
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Tomiyama, Elias Kento 1981. "Estudo do aspecto locacional da alocação de custos da transmissão = Study of the locational aspect in the transmission cost allocation problem." [s.n.], 2012. http://repositorio.unicamp.br/jspui/handle/REPOSIP/262018.
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Orientador: Carlos Alberto de Castro JúniorDissertação (mestrado) - Universidade Estadual de Campinas, Faculdade de Engenharia Elétrica e de Computação
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Resumo: Esta dissertação de mestrado apresenta quatro metodologias de alocação de custos da transmissão: Pro rata (PR), Divisão Proporcional (PS), Zbus-médio (Zbus_AVG) e Nodal. Enquanto a primeira desconsidera o aspecto locacional e aloca os custos baseado apenas na quantidade de potência produzida pelos geradores e consumida pelas cargas, as últimas três levam em conta este aspecto, ou seja, as tarifas pagas por geradores e cargas dependem do seu ponto de conexão na rede elétrica. Através de simulações computacionais são levantadas várias situações de operação no sentido de avaliar a influência e as possíveis implicações de ordem regulatória, política, econômica e social de um país provocadas pela inclusão do aspecto locacional na definição das tarifas de uso do sistema de transmissão. Por fim, mostra-se a possibilidade de se considerar as tarifas pagas pelos agentes do sistema como um critério de decisão a mais no problema do planejamento da expansão da transmissão
Abstract: This dissertation describes four transmission cost allocation methodologies: Pro rata (PR), Proportional sharing (PS), Zbus-average (Zbus_AVG) and Nodal. While the first one disregards the locational aspect and allocates costs based only on the amount of power delivered by generators and consumed by loads, the last three ones take this aspect into account, i.e. charges are dependent on where generators and demands are connected in the network. Several computer simulations were made in order to assess the influence of the locational aspect into transmission pricing scheme and the results were used for a critical analysis, including political, regulatory, economic and social aspects. Finally, we discuss the possibility of using the fees paid by transmission system agents as an additional criterion for the Transmission Expansion Planning problem
Mestrado
Energia Eletrica
Mestre em Engenharia Elétrica
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Politi, Ricardo Batista. "Aspectos concorrenciais no mercado de leite fluido: um teste empírico no município de São Paulo." reponame:Repositório Institucional do FGV, 2006. http://hdl.handle.net/10438/2019.
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Previous issue date: 2006-09-05T00:00:00ZThe main purpose of this work is to characterize competition in the fluid milk market (long-shelf and pasteurized milk) in São Paulo considering evidences from retail price movements and market margins. It was applied the model proposed by Houck (1977) including the changes latter suggested by Carman and Sexton (2005). This approach separates the explanatory variables between price increases and price decreases paid to milk producers. This analysis allows to compare the different lags movements between prices increases and decreases and to study agents’ pricing strategies. Data ranges from December 1999 to December 2005, including milk retail price (source FIPE) and milk producer price (source CEPEA/USP). It is possible to conclude that competition in the long shelf market is different from the competition in the pasteurized milk market. Whereas in the long shelf market competition is closer to the perfect competitive market, the pasteurized market is far from competitive. To better understand these differences, it was considered the geographical relevant market and the retail area influence. The results allow some inferences for sector analysis and for public policies concerning the milk chain. The huge increase in the long shelf sales, when it has taken a major share in the fluid milk market, it has brought a higher competition in the processing and distribution milk industry, as long as a faster decrease price transmission to the consumer level. However, the mark-up pricing strategy on the retail level, as observed at the long shelf milk, reveals that at processor and at distribution level the industry has some market power. As a consequence price increases movements are higher transmitted at absolute level to the consumer marke.
O objetivo deste trabalho é caracterizar o padrão de concorrência no mercado de leite fluido (longa vida e pasteurizado) na cidade de São Paulo a partir de evidências sobre os movimentos de preços no varejo e do comportamento das margens de mercado. Utilizou-se o modelo originalmente proposto por Houck (1977) acrescido das observações feitas por Carman e Sexton (2005). Essa abordagem separa as variáveis explicativas entre aumentos e diminuições de preços pagos ao produtor. Além de maior clareza na sua estrutura, essa construção permite comparar a defasagem entre esses dois movimentos e estudar a estratégia de preços dos agentes a partir das margens dos intermediários. O período analisado foi de dezembro de 1999 à dezembro de 2005, com dados de preços ao consumidor da FIPE e dados de preços ao produtor da CEPEA/ USP. Identificou-se que o padrão de concorrência do leite longa vida é bastante diverso do encontrado para o leite pasteurizado. Enquanto para o longa vida o padrão de concorrência é mais próximo do modelo competitivo, para o leite pasteurizado o padrão encontrado foi de pouca concorrência. Para compreender essas diferenças, foi discutido o aspecto locacional do varejo e a importância do mercado relevante geográfico. Os resultados permitem algumas inferências para análises setoriais e de políticas públicas voltadas à produção leiteira. O vertiginoso crescimento das vendas de leite longa vida, absorvendo grande parte do mercado antes abastecido pelo leite pasteurizado, trouxe maior concorrência nos segmentos de indústria e distribuição, assim como maior velocidade de transmissão de preços ao longo da cadeia produtiva. Entretanto, a precificação com markups com percentual fixo, observada no leite longa vida, indica que indústria e distribuição gozam de algum poder de mercado e que variações de custo da matéria-prima são repassadas mais que proporcionalmente, em termos absolutos, ao consumidor final.
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Mengel, Carolin Simone. "Determinants of price transmission." Doctoral thesis, 2014. http://hdl.handle.net/11858/00-1735-0000-0022-5F6C-6.
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WANG, REN-TAO, and 王仁濤. "Marketing spread and price transmission." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/46796080431322995673.
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Lan, Yen-Chi, and 藍彥奇. "Price Transmission from Oil to Consumer Prices in the US." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/42206440606334720791.
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Mosese, Douglas. "Analysis of vertical price transmission in the South African potato markets." Thesis, 2020. http://hdl.handle.net/10386/3433.
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Thesis (M.A. Agricultural Management (Agricultural Economics)) -- University of Limpopo -- 2020Potato is the most important vegetable crop in South Africa in terms of contribution to the gross value of agricultural production, export earnings and contribution to food supply base and food security in the SACU region. Despite the importance of this commodity, very little is known about the nature of price transmission between different levels of potato value chain in South Africa. The study aims to determine the nature of price transmission in the South African potato market. The objectives of the study are to investigate the existence of long-run equilibrium relationship between producer, wholesale and retail prices; to determine characteristics of the relationship; and to determine the direction of price causality. The study made use of Error Correction Model and Granger Causality test. The Empirical results reveal the existence of price asymmetry in the South African potato value chain. Furthermore, the results show that retail prices are more responsive producer price increases than they are to producer price declines. The Granger causality test shows that prices in potato value chain are determined mainly at the wholesale level (i.e. at the National Fresh Produce Markets). The study recommends further research focusing on price transmission for other basic food commodities and that the government retains and strengthens the existing food price monitoring system.
Department of Agriculture, Forestry and Fisheries
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Htwe, Ma Ei, and 董寶蕾. "Domestic Rice Price Transmission in Myanmar." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/2t42fj.
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碩士國立中興大學
應用經濟學系所
101
This study attempted to analyze price transmission of the domestic rice market in Myanmar. Six domestic rice markets were chosen and the weekly wholesale rice prices period from April 2009 to December 2012 were enclose. Engel-Granger (1987) two step co-integration tests were employed to examine the long run equilibrium of rice price markets and error correction model (ECM) were used to test open up the mobile phone use weather effects the short run adjustment or not. Empirical results show that all of these time series are non-stationary in level price and stationary in fist different level were observe in unit root test. The outcome of Engel-Granger co-integration test displayedthat long run equilibrium are exist in all case of selected market pairs. In case of error correction model (ECM) exhibit open up mobile phone uses will accelerated the speed of short run adjustment, i.e. open up mobile phone uses have a positive effect in domestic rice price transmission.
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Jamora, Nelissa. "Price transmission in international rice markets." Doctoral thesis, 2014. http://hdl.handle.net/11858/00-1735-0000-0022-5F74-1.
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Chesala, Pattaporn, and 寶福. "Asymmetric Cassava Price Transmission in Thailand." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/11006150196381481888.
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碩士國立中興大學
應用經濟學系所
103
The cassava crop has contributed significantly to the growth and development of the Thailand economy. The market structure of cassava in Thailand is imperfect, a condition which results from an imbalance of market power. The middleman influences price transmission in the market. In addition to this, the government intervenes to stabilize prices. These influences can create asymmetry of price transmission. The objectives of this study is to examine the asymmetric price transmission relationship between export price, wholesale price and farm gate price in the Thailand cassava market. The time series used monthly data from January 2008 to December 2014. The augmented Dickey-Fuller (ADF) method is used, to identify whether or not the time series data are stationary or non-stationary. The testing results show that the time series data are stationary by first difference. Engle-Granger cointegration model is used to examine the long run relationship and the error correction model (ECM) is used to examine the short run relationship as well as deviation from the equilibrium and speed of adjustment to equilibrium. The results show asymmetry in transmission of farm gate and wholesale price found and also show that the speed adjustment values of cassava chip are significant in negative deviation. Therefore, there is a relationship between farm gate price and wholesale price in the long run but not in short run. The cause of the asymmetric price transmission is due to the middlemen having more market power than the farmers in the cassava market. Therefore, the government should determine suitable policies to help farmers receive more profit. Increasing the farmers access to skills, knowledge and information about production and marketing is also another way to avoid exploitation by middlemen in the future.
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Wang, Chi-Hsin, and 王啓信. "Price Transmission in the TDR Market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/30802499315453883152.
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碩士嶺東科技大學
財務金融研究所
99
In this study, we examine the price transmission effect between TDRs and their respective underlying stocks listed on Hong Kong market from May 2009 to December 2010. The methodologies include the cointegration test, error correction model and Granger causality. We find that TDRs and their underlying Hong Kong stocks exist the long-term cointegration relationship. Besides, the Hong Kong market plays a dominant role in price transmission relative to the Taiwan market. The rationale behind this is that Hong Kong market has no price limits and short sale restrictions. The informed traders tend to reflect their private information in Hong Kong market. We further analysis the short sale restriction effect. The evidence shows that removing short sale restriction will strengthen the TDRs’ price transmission abilities.
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Ihle, Rico. "Models for Analyzing Nonlinearities in Price Transmission." Doctoral thesis, 2010. http://hdl.handle.net/11858/00-1735-0000-0006-B04C-F.
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MURATORI, LODOVICO. "Essays on spatial and vertical price transmission." Doctoral thesis, 2017. http://hdl.handle.net/11573/973119.
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This is the final outcome of a three-year joint PhD programme carried out at the Sapienza University of Rome, Italy, and at the Friedrich-Schiller University of Jena, Germany, within the framework of a co-tutelle agreement between the two universities.
The first essay (“Vertical price transmission, geographical dispersion and the structure of the Ugandan coffee market”) extends the vertical price transmission analysis through a structural approach, which evaluates whether spatial oligopsony power is prevailing in Ugandan coffee market and in case how strong it is. The first paper tests whether in markets, such as Uganda, where infrastructure quality is poor and transport costs are relevant, geographic dispersion of smallholder farmers allows traders to exploit their market power against farmers with a large impact on market structure and reduction of farmers' welfare. By building upon (Sexton, 1990), the study brings an original contribution to the literature, since (Sexton, 1990) develops just a theoretical model and it is not interested to do any econometric exercise. (Sexton, 1990) employs a single spatial price gap equation instead of a system of well-founded behavioural equations in agricultural markets, which is indeed a major improvement delivered by this essay. Moreover, in this analysis the approach to spatial price gap determination is combined with the oligopsony modelling and SUR technique in order to produce empirically testable hypotheses. Without such transformations the approach by (Sexton, 1990) cannot be employed for any empirical exercise. Indeed, the idea of the role of distance is taken from (Sexton, 1990) and introduced in an original way in a more sophisticated model, which is micro-founded at three levels, i.e. demand and supply of agricultural commodities by traders and farmers as well as conditional demand of inputs by farmers. Since the wholesale-farmgate price spread is net of transport costs, results confirm that geographic dispersion of smallholder farmers plays a significant role on price margin and that there is room for local oligopsony, because traders exploit their market power and overcharge transport and transaction costs to farmers. Indeed, farmers are not able to skip traders in the value chain, because a significant information asymmetry is prevailing in the market. Traders exploit farmers' ignorance because the latter are small and dispersed as well as they lack information about current market prices because of villages remoteness and poor communications with marketplaces (Courtois and Subervie, 2015). Moreover, farmers are not aware of actual transport costs faced by traders, which carry larger quantities of coffee than single smallholder farmers and spread fixed costs over a larger amount of crop. The second essay (“Spatial price transmission and trade policies: new evidence from selected sub-Saharan African countries and crops with high frequency data”) assesses the impact of trade policies on spatial price transmission of maize, rice and wheat in Cameroon, Kenya and Tanzania. This paper improves the existing literature in the field (see, inter alia, Anderson and Nelgen, 2012a, Anderson and Nelgen, 2012b and Anderson and Nelgen, 2012c), because it estimates the impact of tariff and non-tariff trade policies on spatial price transmission in the agricultural markets using monthly data. Employment of monthly data allows assessing more precisely short-lived movements of the analysed series, which could disappear because of aggregation bias at lower yearly frequency, thus providing a better identification of insulation policies. Furthermore, this essay focuses on the impact of both tariff and non-tariff barriers on spatial price transmission by taking advantage of the combination of the FAO-GIEWS (Global Information and early warning system) database and trade policies information from the FAO-FADPA (Food and Agriculture Policy Decision Analysis) with the recent release of the World Bank World Integrated Trade Solutions (WITS) Database (UNCTAD, 2016) (FAO, 2016) (FAO, 2016b) (World Bank, 2016). This latest WITS release provides monthly ad-valorem equivalent tariff rates consist of tariff, para-tariff and non-tariff measures. In particular, non-tariff barriers comprises technical measures, such as sanitary or environmental protection measures, as well as others traditionally used as instruments of commercial policy, e.g. quotas, price control, exports restrictions, or contingent trade protective measures, and also other behind-the-border measures, such as competition, trade-related investment measures, government procurement or distribution restrictions (UNCTAD, 2015).
The empirical methodologies of this study, like threshold, fractional integration and panel estimation, allow to separately estimate the confounding factors and clean the estimates of the variables of interest from them. In particular, while the confounders cannot be identified, the coefficients of the variables of interest are consistent and they can be properly identified, conditional on the estimate of the confounders. An additional value added of this work is the possibility to separately estimate the impact of trade policies within the two regimes of behaviour of the domestic price series: in the first regime the trend of domestic prices is increasing, in the second one the trend is decreasing. It highlights that trade policies play a role both in case of increasing and decreasing domestic prices, but their relevance is much larger, if prices are increasing. The policy implication is that trade policies were able to insulate the country from the price shocks on the international markets during the food price spike crisis, when it was mostly needed. By presenting high frequency analyses and techniques able to detect non-linearities in the data generating process we thus provide results which are different from the standard literature (Anderson and Nelgen, 2012b and Anderson and Nelgen, 2012c). Note however that although the impact of these instruments is proved to be relevant in the short term during the food price spike crisis, these policies could not be regarded as long term solutions. The third essay ("Shocks, price transmission and Food consumption with changes in Price risk aversion) looks seriously at the issue of time variant price risk aversion parameters. This is a fundamental question to address in the investigation of both spatial and vertical price transmission in a risky environment. To this end, the essay assesses the behaviour of farm households, which consume and produce crops at the same time, and answers the following key research questions: i) whether the occurrence of exogenous shocks induces a change of price risk aversion over time and then ii) how the time-varying risk aversion parameter affects production and consumption pattern by the farm households. This research employs the risk aversion parameter introduced by (Bellemare et al., 2013), which takes into account not just the household psychological risk attitudes, but also the market imperfections and availability of institutions which facilitate risk-bearing (Mendola, 2007) (de Janvry et al., 1991). Nevertheless, unlike (Bellemare et al., 2013) the essay develops a microfounded empirical model, where the risk aversion parameter is allowed to change over time and not just across households. This empirical model is estimated within a two-stage structural approach. The results of the empirical analysis suggest that the risk aversion parameter is not constant over time and that households can become more risk averse, if they face adverse market conditions in the previous periods. Furthermore, this paper provides evidence that peasants do not aim just at need satisfaction, but they behave in an optimal way and make sure their food security in the medium term. Indeed, they prefer to increase their income instead of directly consuming the harvested crop, because the reduction of dietary energy consumption derived from the giving up the harvest for sale is more than offset by the rise of food purchasing power due to the larger profits obtained.
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Hillen, Judith. "Price Transmission and Market Integration in Swiss Agricultural and Food Markets." Doctoral thesis, 2019. http://hdl.handle.net/21.11130/00-1735-0000-0005-13F6-0.
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Tien, Chih-Wei, and 田志偉. "Price Discovery and Information Transmission of ETF Options." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/90333861965635445089.
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碩士國立交通大學
財務金融研究所
96
This thesis investigates the price discovery and the procedure of information transmission between ETF and ETF options. And the put-call parity approach is applied to calculate the implied spot prices of the options. The first part of this thesis discusses the power of price discovery of ETF options in the U.S. market and emerging markets separately. The second part compares SPDRs options and S&P 500 index options, two of the derivatives of S&P 500 index, by intraday data to observe their correlations. The results of cointegration test, VECM, and the price discovery models (PT and IS) imply that the ETF options market in U.S. grows rapidly in recent years and shows higher contribution to the price discovery function. Contrarily, the ETF options of emerging markets is of smaller scales, thus the spot market of ETF is dominant. Moreover, the high correlation of SPDRs options and S&P 500 index options reveals their joint long-term trend and bi-directional feedback. The tradability of the underlying assets and the characteristics of the contract make SPDRs options a significantly better contribution in the price discovery function. Hence the existence of SPDRs options is beneficial to the completeness and the efficiency of the overall market.
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Chueh, Yen-Ling, and 闕彥菱. "Dynamics Transmission Effects among the Interest Rate, Dollar, Gold Price and Crude Oil Price." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/23534740876542126762.
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碩士國立高雄第一科技大學
金融營運所
96
The present international financial market all concentrates on U.S. dollar about the gold and oil, when the FED funds rate are higher than the other countries, will make U.S. dollar appreciate and come as a hard blow at the international price of gold，and the economic recovery redounds the international crude oil price again，International crude oil price and international price of gold that may finally make are the reverse tendency. This research adopt Threshold Error-Correction Model(TECM) to investigate the dynamics transmission effects among the interest rate, U.S. Dollar, gold price and crude oil price, use the data of Federal Funds Rate, trade weighting U.S. Dollar Index, Price of Gold of New York trade and West Intermediate Crude Oil Price to analyze, The empirical result indicated in a short time, gold price and crude oil price are positive influence each other, Federal funds rate will influence gold price in the next period (negative), Federal funds rate will influence crude oil price in the next period (positive). As FED adjusts the FF rate of dropping，the investor of market for this signals will to interpret that declines prosperousness in the future, expecting U.S. dollar devalues and the low interest rate makes the fund numerous, the speculator and hedger will hold the gold in the market. And think the demand for the crude oil has been reduced in the future, result causing the crude oil price to drop too. In the long-term, the price transmission from Federal Funds rate to the dollar index, and dollar index to crude oil price, the interest rate reflects the economic basic law, as FED lowers the Federal funds rate to want to raise economy, influence it to under the expectancy of the crude oil demand in the future on the market, will make the crude oil price change. The price transmission from Federal Funds rate to gold price, when Federal funds rate declined, it influences investor''s expectancy that U.S. dollar will depreciate in the future, in order to preserve value or speculate purpose, will move the funds to the gold market. International price of gold and international crude oil price have result of feedback to the Federal Funds rate finally, when the crude oil price goes up to a certain degree, will initiate the anticipated inflation, FED may adopt the tighten monetary policy , enhance the Federal funds rate for dampening the inflation that is caused by rise of the oil price, and the FED thinks the tendency of the commodity market can assist the drafting of the policy。