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Price Cycles (price + cycle)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

THE PROCYCLICAL LEVERAGE EFFECT OF COLLATERAL VALUE ON BANK LOANS,EVIDENCE FROM THE TRANSACTION DATA OF TAIWAN

ECONOMIC INQUIRY, Issue 2 2007
NAN-KUANG CHEN
We investigated the empirical relationship between firms' collateral values and land-secured loans over asset price cycles. A simultaneous equation model of loan demand and supply was estimated using a transaction-level data set from Taiwan. The data set contains collateral information and identifies lenders and borrowers. We found that the value of collateralizable assets has positive and significant effects on loan amounts and that the leverage effect of collateral is procyclical to asset price cycles. Firms in the electronics industry, the star industry in the sample period, are found to borrow more than other firms do at each marginal dollar of collateral. (JEL C50, E30, G20) [source]

Non-Linear Oil Price Dynamics: A Tale of Heterogeneous Speculators?

GERMAN ECONOMIC REVIEW, Issue 3 2009
Stefan Reitz
Oil price dynamics; endogenous bubbles; STR-GARCH model Abstract. While some of the recent surges in oil prices can be attributed to a robust global demand at a time of tight production capacities, commentators occasionally also blame the impact of speculators for part of the price pressure. We propose an empirical oil market model with heterogeneous speculators. Whereas trend-extrapolating chartists may tend to destabilize the market, fundamentalists exercise a stabilizing effect on the price dynamics. Using monthly data for West Texas Intermediate oil prices, our STR-GARCH estimates indicate that oil price cycles may indeed emerge due to the non-linear interplay between different trader types. [source]

The Impact of Day-Trading on Volatility and Liquidity,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 2 2009
Jay M. Chung
Abstract We examine day-trading activities for 540 stocks traded on the Korea Stock Exchange using transactions data for the period from 1999 to 2000. Our cross-sectional analysis reveals that day-traders prefer lower-priced, more liquid, and more volatile stocks. By estimating various bivariate VAR models using minute-by-minute data, we find that greater day-trading activity leads to greater return volatility and that the impact of a day-trading shock dissipates gradually within an hour. Past return volatility also positively affects future day-trading activity. We also find that past day-trading activity negatively affects bid-ask spreads, and past bid-ask spreads negatively affect future day-trading activity. Finally, we find that day-traders use short-term contrarian strategies and their order imbalance affects future returns positively. This result is consistent with a cyclical behavior of day-traders who concentrate their buy or sell trades at the bottom or peak of the short-term price cycles, respectively. [source]

Station level gasoline demand in an Australian market with regular price cycles,

AUSTRALIAN JOURNAL OF AGRICULTURAL & RESOURCE ECONOMICS, Issue 4 2009
Zhongmin Wang
Regular and frequent gasoline price cycles are being observed in many Australian and Canadian markets. What is driving these price cycles has been the subject of academic studies and government investigations. The existing explanations for these price cycles all rely on the presumption that drivers are intensively sensitive to gasoline price differentials at the station level. However, no empirical evidence exists in the literature to support this presumption. This paper provides the first piece of empirical evidence. This paper uses a unique price and quantity data set and novel instruments to estimate the station level gasoline demand in the cycling market of Perth, Australia. The elasticity estimates confirm that drivers in the Perth area are indeed very sensitive to gasoline price differentials. [source]

Retail price cycles and response asymmetry

CANADIAN JOURNAL OF ECONOMICS, Issue 1 2002
Andrew Eckert
Weekly retail gasoline prices in Windsor, Ontario, from 1989 to 1994 appear to respond faster to wholesale price increases than to decreases, but exhibit a cyclic pattern inconsistent with a common explanation of response asymmetry. I reconcile these observations through a model of price cycles. Prices on the downward portion of the cycle appear insensitive to costs, compared with price increases, supporting the theory that price decreases result from battles over market share. This pattern resembles a faster response to cost increases than to decreases, and the conclusion that asymmetry indicates a role for competition policy may be inappropriate. JEL Classification: L13, L71 Cycles des prix de détail et réponse asymétrique. Les prix de détail hebdomadaires de la gazoline à Windsor (Ont.) entre 1989 et 1994 semblent réagir plus vite aux accroissements qu'aux chutes des prix de gros, mais suivent un pattern cyclique qui ne semble pas consistant avec l'explication traditionnelle en termes de réponse asymétrique. L'auteur réconcilie ces observations à l'aide d'un modèle de cycle de prix. Les prix dans la portion descendante du cycle semblent insensibles aux variations de coûts, par comparaison avec les accroissements de prix, ce qui supporte la théorie que les chutes de prix résultent de luttes pour les parts de marché. Le pattern ressemble à celui déclenché par une réponse plus rapide aux augmentations qu'aux chutes de coûts, et la conclusion qui voudrait qu'on puisse attribuer le tout à l'asymétrie des réponses (et que donc une intervention de la politique de la concurrence s'impose) peut être inappropriée. [source]