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Price dispersion and price indexes

FAVA, Vera Lucia
Fonte: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD Publicador: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
65.64%
The traditional theory of price index numbers is based on the law of one price. But in the real world, we frequently observe the existence of an equilibrium price dispersion instead of one price of equilibrium. This article discusses the effects of price dispersion on two price indexes: the cost of living index and the consumer price index. With price dispersion and consumer searching for the lowest price, these indexes cannot be interpreted as deterministic indicators, but as stochastic indicators, and they can be biased if price dispersion is not taken into account. A measure for the bias of the consumer price index is proposed and the article ends with an estimation of the bias based on data obtained from the consumer price index calculated for the city of Sao Paulo, Brazil, from January 1988 through December 2004. The period analysed is very interesting, because it exhibits different inflationary environments: high levels and high volatility of the rates of inflation with great price dispersion until July 1994 and low and relatively stable rates of inflation with prices less dispersed after August 1994.

Integração espacial no mercado brasileiro de milho; Space integration in the brazilian market of corn

Chiodi, Luciane
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 29/09/2006 Português
Relevância na Pesquisa
55.57%
O objetivo deste estudo é analisar as relações de longo prazo do preço do milho na Bahia, Goiás, Minas Gerais, Mato Grosso do Sul, Mato Grosso, Paraná, Rio Grande do Sul, Santa Catarina e São Paulo, estados importantes na produção, consumo e comercialização do grão. A análise foi realizada no período de 1996 a 2004, marcado pela liberalização comercial e menor intervenção governamental. Para determinar a relação de integração entre as variáveis, foram aplicados testes de raiz unitária de Dickey e Pantula - DP, de cointegração de Johansen e testes sobre os parâmetros β e α do vetor de cointegração. Avaliada a relevância de cada estado dentro do vetor de cointegração pela hipótese βi = 0, testou-se a hipótese de perfeita integração (βi = - βj), a fim de verificar se a Lei do Preço Único - LPU é válida para esses mercados. Porém, o fato da LPU não se aplicar não implica que esses mercados não sejam integrados. Partindo-se dessa consideração, uma hipótese menos restritiva foi testada, a qual não impõe a relação de perfeita integração entre os mercados. Os resultados mostram que os preços de São Paulo e Minas Gerais estão perfeitamente integrados com quase todos os demais...

Lei do preço único e seus desvios: existe algum padrão?; Law of one price deviations: is there any pattern?

Leal, Bruno Westin Prado Soares
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 16/12/2009 Português
Relevância na Pesquisa
85.65%
O objetivo deste trabalho é identificar padrões nos desvios da Lei do Preço Único. Utilizando dados desagregados nacionais e internacionais do período 1998-2008, aplicaram-se duas metodologias distintas: i) análise de componentes principais; e ii) estimador group mean Fully Modified OLS para painel proposto por Pedroni (2000). A análise de componentes principais facilita a identificação de padrões na variação de uma quantidade grande de dados e, o estimador group mean FMOLS permite estimar a relação de longo prazo existente entre os preços de um mesmo produto, cotados na mesma moeda, praticados em mercados distintos. Os resultados obtidos indicam que o câmbio é o principal responsável pelos desvios da Lei do Preço Único. Ademais, os resultados sugerem a existência de uma relação fraca entre os preços de um mesmo bem, cotados em Reais, mas comercializados nos mercados brasileiro e americano.; The main goal of this essay is to identify patterns in deviation from the law of one price. Using disaggregated data from Brazil and USA for the period 1998-2008, we applied two different methodologies: i) principal component analysis and ii) panel group mean Fully Modified OLS estimator proposed by Pedroni (2000). The principal component analysis facilitates the identification of patterns in the variation of a large amount of data...

Integração entre os mercados de milho e soja : uma análise através da transmissão de preços

Libera, Affonso Amaral Dalla
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Dissertação Formato: application/pdf
Português
Relevância na Pesquisa
85.6%
O objetivo da presente dissertação consiste em verificar como se dá a transmissão de preços entre os mercados físico ao nível de produtor no Brasil e futuro para as commodities milho e soja, e, entre estes dois complexos produtivos. Para isso, utilizou-se o seguinte método de pesquisa: teste de raiz unitária, teste de co-integração, teste de causalidade de Granger, estimação da elasticidade de transmissão de preços e mecanismo de correção de erro. Os resultados indicam que há integração e consequentemente transmissão de preços entre os seguintes pares de variáveis (mercados), como dependentes e explicativas respectivamente: físico soja / futuro soja, físico milho / futuro milho, físico soja / futuro milho. O fato de existir co-integração entre tais pares de variáveis é condição suficiente para se afirmar a existência de uma relação linear de equilíbrio a longo prazo para o qual o sistema converge, validando os pressupostos teóricos da Lei do Preço Único e confirmando a integração. Porém, a estimação do parâmetro que corresponde ao coeficiente que mede a elasticidade de transmissão de preço não apresentou significância estatística para a relação físico milho / futuro milho. No caso da relação contemporânea entre físico soja / futuro soja a cada 1 dólar por saco de 60Kg de variação no mercado futuro de soja...

Transmissão de preços no mercado de milho brasileiro : um estudo das regiões sul e centro-oeste

Westerich Filho, Valdemir Angelo
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Dissertação Formato: application/pdf
Português
Relevância na Pesquisa
85.68%
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)...

The capital structure of portuguese firms within a crisis

Reis, Luís Henrique Vecchio
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2011 Português
Relevância na Pesquisa
95.56%
Mestrado em Finanças; In this study we review the theoretical approach behind the capital structure decisions by presenting the ideas of the Modigliani and Miller (1958) Theorem that was based on the perfect capital markets world and with the argument of the law of one price. We show that there are two useful theories in the firm’s financing decision: the Trade‐off theory, which builds on Modigliani and Miller’s original arguments and identifies several relevant factors in determining a firm’s capital structure (such as taxes, costs of financial distress, and agency costs and benefits of debt), and the Pecking Order Theory of Myers and Majluf (1984). Further in this study we describe the evolution of the capital structure of the 16 largest listed non‐financial Portuguese firms (“PSI‐16”) during the recent crisis peaking in 2008. We present a description of the level debt (and net debt) compared to the book value and to the market value of the equity of such firms (debt to equity ratio). We find some evidence consistent with both theories. In particular we find a cautious utilization of debt due to higher risk of bankruptcy (and its costs), but still taking advantage of the interest tax shield (consistent with the trade‐off theory view)...

Evaluation of alternative policies of water price for the agricultural use in Alentejo Region

Noéme, C.; Fragoso, R.
Fonte: CIGR Publicador: CIGR
Tipo: Artigo de Revista Científica
Publicado em //2004 Português
Relevância na Pesquisa
55.51%
Irrigation is economically important in many regions of Mediterranean Europe such as the Portuguese region of Alentejo. The new Water Law proposed by the European Commission, pointing out that water management might be based on the principle of payment by users. These issues have some effect on the cost pattern of the farmers, when considering the water cost. However, the implementation of water tariff policies can provide a very important policy instrument, in order to promote an efficient use of water in agricultural sector as well as to avoid, at least partially, the loss of farm incomes. The main objective of this study is to evaluate the effects of alternative policies of water price for agriculture use in the farm income and the production pattern, having in account the recovery of the public investment and the operating costs with irrigation infrastructures. The methodology used is based, on the one hand, on the estimate of farm water demand and, on the other hand on the determination of the investment and on the current costs of the irrigation infrastructures. This study was applied to irrigated areas of Odivelas, in the South of Portugal

International Financial Integration through the Law of One Price : The Role of Liquidity and Capital Controls

Levy Yeyati, Eduardo; Schmukler, Sergio L.; Van Horen, Neeltje
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
55.51%
This paper takes advantage of the fact that some stocks trade both in domestic and international markets to characterize the degree of international financial integration. The paper argues that the cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks) provides a valuable measure of international financial integration and the effectiveness of capital controls. Using autoregressive (AR) models to estimate convergence speeds and non-linear threshold autoregressive (TAR) models to identify non-arbitrage bands, the paper shows that price deviations across markets are rapidly arbitraged away and bands are narrow, particularly so for liquid stocks. The paper also shows that regulations on cross-border capital flows effectively segment domestic markets. As expected, the effects of both types of capital controls are asymmetric but in the opposite direction: controls on outflows induce positive premia, while controls on inflows generate negative premia. Both vary with the intensity of capital controls.

International Financial Integration through the Law of One Price

Levy Yeyati, Eduardo; Schmukler, Sergio L.; Van Horen, Neeltje
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
95.7%
The authors argue that the cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks) provides a valuable measure of international financial integration, reflecting accurately the factors that segment markets and inhibit price arbitrage. Applying to equity markets recent methodological developments in the purchasing power parity literature, they show that nonlinear Threshold Autoregressive (TAR) models properly capture the behavior of the cross market premium. The estimates reveal the presence of narrow non-arbitrage bands and indicate that price differences outside these bands are rapidly arbitraged away, much faster than what has been documented for good markets. Moreover, the authors find that financial integration increases with market liquidity. Capital controls, when binding, contribute to segment financial markets by widening the non-arbitrage bands and making price disparities more persistent. Crisis episodes are associated with higher volatility, rather than by more persistent deviations from the law of one price.

Pricing to Habits and the Law of One Price

RAVN, Morten O.; SCHMITT-GROHE, Stephanie; URIBE, Martin
Fonte: European University Institute Publicador: European University Institute
Tipo: Trabalho em Andamento Formato: 166566 bytes; application/pdf; digital
Português
Relevância na Pesquisa
85.63%
This paper proposes a novel international transmission mechanism based on the assumption of deep habits. The term deep habits stands for a preference specification according to which consumers form habits on a good-by-good basis. Under deep habits, firms face more elastic demand functions in markets where nonhabitual demand is high relative to habitual demand, creating an incentive to price discriminate. We refer to this type of price discrimination as pricing to habits. In the presence of pricing to habits, innovations to domestic aggregate demand induce a decline in markups in the domestic country but not abroad, leading to a departure from the law of one price. In this way, the proposed pricing-to-habit mechanism can explain the observation that prices of the same good across countries, expressed in the same currency, vary over the business cycle. Furthermore, it can account for the empirical fact that in response to a positive domestic demand shock, such as an increase in government spending, the real exchange rate depreciates, domestic consumption expands, and the trade balance deteriorates.

Optimal Monetary Policy and the Sources of Local-Currency Price Stability

CORSETTI, Giancarlo; DEDOLA, Luca; LEDUC, Sylvain
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf; digital
Português
Relevância na Pesquisa
55.58%
We analyze the policy trade-offs generated by local currency price stability of imports in economies where upstream producers strategically interact with downstream firms selling the final goods to consumers. We study the effects of staggered price setting at the downstream level on the optimal price (and markup) chosen by upstream producers and show that downstream price movements affect the desired markup of upstream producers, magnifying their price response to shocks. We revisit the international dimensions of optimal monetary policy, unveiling an argument in favor of consumer price stability as the main prescription for monetary policy. Since stable consumer prices feed back into a low volatility of markups among upstream producers, this contains inefficient deviations from the law of one price at the border. However, efficient stabilization of different CPI components will not generally result into perfect stabilization of headline inflation. National policies optimally respond to the same shocks in a similar way, thus containing volatility of the terms of trade, but not necessarily of the real exchange rate. The latter will be more volatile, among other things, the larger the home bias in expenditure and the content of local inputs in consumer goods.

On the efectiveness of several market integration measures: an empirical analysis

Pardo, Ángel; Balbás, Alejandro; Meneu, Vicente
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /05/1999 Português
Relevância na Pesquisa
65.4%
Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability ad market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets. Besides, cross market arbitrage-linked measures and equilibrium models-linked measures provide complementary information and reflect different properties, and consequently, both types of measures may be useful in practice.

Measuring the degree of fulfillment of the law of one price. Applications to financial markets integration

Balbás, Alejandro; Muñoz-Bouzo, María José
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /12/1996 Português
Relevância na Pesquisa
125.65%
This paper gives two measures of the degree of fulfillment of the Law of One Price. These measures are characterized by means of saddle point conditions, and are therefore easy to compute in practical situations. Many empirical papers analyze well-Known arbitrage strategies. Our measures present an important advantage over this approach, since we globally focus on the market to find its arbitrage opportunities, without studying special strategies. The developed theory is also applied to markets with frictions, and to study the integration of different financial markets. Our measures are continuous with respect to previous measures in the literature, and seem to be better than them since they compute how much money the agents can win due to the arbitrage opportunities in a financial market, or among different ones.

Fiscal policy under alternative exchange rate regimes : on the specification of money demand in new open economy macroeconomics; Fiskalpolitik unter alternativen Wechselkursregimen : über die Spezifikation der Geldnachfrage in der neuen offenen Makroökonomik

Steffen, Dirk
Fonte: Universität Tübingen Publicador: Universität Tübingen
Tipo: Dissertation; info:eu-repo/semantics/doctoralThesis
Português
Relevância na Pesquisa
55.79%
The transmission of monetary and fiscal policies in an international context is one of the most prominent topics in the realm of international finance. In particular, researchers are interested in the effects of the respective policy on exchange rate movements, international price level differentials, output stimulation, and welfare effects. Since Mundell (1963) and Fleming (1962) economists try to address these issues by formal models. While well established not only in the scientific arena but also in practice, international macro-models of the Mundell-Fleming (MF) type have a severe drawback: the entire absence of microfoundations results in the use of ad-hoc welfare criteria for the evaluation of alternative policy regimes. Moreover, MF models do not account for intertemporal budget constraints which are very important for a deeper understanding of exchange rate and current account dynamics. Starting with the publication of the seminal Redux model of Obstfeld and Rogoff (1995), a new promising strand of the international macroeconomics literature emerged, that combines rigorous microfoundations with the MF assumption of nominal rigidities. This approach allows for an explicit welfare analysis on the basis of the households' preference structure. Today...

Testing the law of one price in food markets: evidence for Colombia using disaggregated data

Iregui, Ana María; Otero, Jesús
Fonte: Facultad de Economía Publicador: Facultad de Economía
Tipo: info:eu-repo/semantics/book; info:eu-repo/semantics/acceptedVersion Formato: application/pdf
Publicado em //2008 Português
Relevância na Pesquisa
125.68%
This paper applies stationarity tests to examine evidence of market integration for a relatively large sample of food products in Colombia. We Önd little support for market integration when using the univariate KPSS tests for stationarity. However, within a panel context and after allowing for cross sectional dependence, the Hadri tests provide much more evidence supporting the view that food markets are integrated or, in other words, that the law of one price holds for most products.

Coherent CVA and FVA with Liability Side Pricing of Derivatives

Lou, Wujiang
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 24/10/2015 Português
Relevância na Pesquisa
65.54%
This article presents FVA and CVA of a bilateral derivative in a coherent manner, based on recent developments in fair value accounting and ISDA standards. We argue that a derivative liability, after primary risk factors being hedged, resembles in economics an issued variable funding note, and should be priced at the market rate of the issuer's debt. For the purpose of determining the fair value, the party on the liability side is economically neutral to make a deposit to the other party, which earns his current debt rate and effectively provides funding and hedging for the party holding the derivative asset. The newly derived partial differential equation for an option discounts the derivative's receivable part with counterparty's curve and payable part with own financing curve. The price difference from the counterparty risk free price, or total counterparty risk adjustment, is precisely defined by discounting the product of the risk free price and the credit spread at the local liability curve. Subsequently the adjustment can be broken into a default risk component -- CVA and a funding component -- FVA, consistent with a simple note's fair value treatment and in accordance with the usual understanding of a bond's credit spread consisting of a CDS spread and a basis. As for FVA...

The Principles of Exchange Rate Determination in an International Finance Experiment

Noussair, Charles N.; Plott, Charles R.; Riezman, Raymond G.
Fonte: University of Chicago Press Publicador: University of Chicago Press
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em /08/1997 Português
Relevância na Pesquisa
65.6%
This paper reports the first experiments designed to explore the behavior of economies with prominent features of international finance. Two “countries,” each with its own currency, were created. International trade could take place only through the operation of markets for currency. The law of one price and the flow of funds theory of exchange rate determination were used to produce general equilibrium models that captured much of the behavior of the economies. Prices of goods, as well as the exchange rate, evolve over time toward the predictions of the models. However, both the law of one price and purchasing power parity can be rejected for reasons that do not appear in the literature. Patterns of international trade were as predicted by the law of comparative advantage.

Interdependência dos preços do milho no sul brasileiro; Interdependece of maize prices in Southern Brazil

Sousa, Eliane Pinheiro de; Universidade Federal de Viçosa e Universidade Regional do Cariri; Braga, Marcelo José; Universidade Federal de Viçosa; Cunha, Dênis Antônio da; Universidade Federal de Viçosa
Fonte: Editora UFPR Publicador: Editora UFPR
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Formato: application/pdf
Publicado em 02/12/2010 Português
Relevância na Pesquisa
95.65%
This article aims to verify the relationship between the prices of the maizein the states of Paraná, Rio Grande do Sul and Santa Catarina in order to test thevalidity of the Law of One Price at those markets over the October, 2002 to March,2009 period. Monthly data were extracted from the Center of Advanced Studies forApplied Economy (CEPEA) of ESALQ / USP. The employed methods understand thetests for unitary root and Johansen´s co-integration, impulse-response function,decomposition of the variance of the forecasting error and estimate of the vector error correction model (VEC). The results showed that the Law of One Price wasnot perfectly verified for the regional maize markets analyzed, when restrictionswere imposed in the coefficient of relationship of long period.; Este artigo objetiva verificar a relação entre os preços do milho nosestados do Paraná, do Rio Grande do Sul e de Santa Catarina, buscando testar se aLei do Preço Único prevaleceu nesses mercados, no período de outubro de 2002 amarço de 2009. Utilizaram-se dados mensais provenientes do Centro de EstudosAvançados em Economia Aplicada (CEPEA), da ESALQ / USP. Os métodos empregadoscompreendem os testes de raiz unitária e de cointegração de Johansen...

Bitcoin and the PPP Puzzle

de Roure, Calebe; Tasca, Paolo
Fonte: Systemic Risk Centre, The London School of Economics and Political Science Publicador: Systemic Risk Centre, The London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em 30/07/2014 Português
Relevância na Pesquisa
55.51%
This paper approaches the PPP puzzle by using the Bitcoin/US Dollar exchange rate. The use of the virtual currency as macroeconomic laboratory allows us to remove frictions that previously impeded the empirical demonstration of the law of one price. We show that price adjustments are still far from perfect due to information asymmetry between agents. Nevertheless, the real exchange rate is stationary and adjusts by 81% within one day. Finally, because of the different speed of information spread, good market arbitrage takes place in the Bitcoin economy but not in the US economy. Thus, we conclude that in a frictionless economy the PPP holds and the speed of arbitrage for the good market depends on the speed of information spread among agents.

International and innovation activities of firms

Steinwender, Claudia
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em /04/2014 Português
Relevância na Pesquisa
65.56%
The economic environment in which a firm operates is constantly changing. This thesis contains three essays to examine how firms adapt their innovation and international activities to a variety of external changes. The first paper, “Information Frictions and the Law of One Price: ‘When the States and the Kingdom became United’”, shows how information frictions affect the exporting behavior of merchants, exploiting a unique historical experiment: the transatlantic telegraph, established in 1866. Using a newly collected data set on cotton trade based on historical newspapers, I find that information frictions result in large and volatile deviations from the Law of One Price. There are also real effects, because exports respond to information about foreign demand shocks, and average exports increase after the telegraph and become more volatile. I provide a model in which exporters use the latest news about a foreign market to forecast expected selling prices when their exports arrive at the destination. Their forecast error is smaller and less volatile the more recent the available information. The welfare gains from the telegraph are estimated to be around 8% of annual export value. The second paper, “Survive another day: Using changes in the composition of investments to measure the cost of credit constraints” is joint work with Luis Garicano. We introduce a novel empirical strategy to measure the credit shocks that were triggered by the recent financial crisis: Theoretically...